The Treasury curve in 2012

The zero curve on each of 250 trading days, at the two, ten and thirty year points.

0%1%2%3%4%Jan 3, 2012Dec 31, 2012Jan 3, 20122Y zero rate0.266%10Y zero rate2.062%30Y zero rate3.126%Jan 11, 20122Y zero rate0.220%10Y zero rate2.012%30Y zero rate3.105%Jan 20, 20122Y zero rate0.240%10Y zero rate2.152%30Y zero rate3.252%Jan 30, 20122Y zero rate0.182%10Y zero rate1.942%30Y zero rate3.137%Feb 7, 20122Y zero rate0.228%10Y zero rate2.077%30Y zero rate3.290%Feb 15, 20122Y zero rate0.250%10Y zero rate2.009%30Y zero rate3.243%Feb 24, 20122Y zero rate0.305%10Y zero rate2.057%30Y zero rate3.251%Mar 5, 20122Y zero rate0.293%10Y zero rate2.086%30Y zero rate3.278%Mar 13, 20122Y zero rate0.360%10Y zero rate2.223%30Y zero rate3.398%Mar 21, 20122Y zero rate0.394%10Y zero rate2.421%30Y zero rate3.536%Mar 29, 20122Y zero rate0.344%10Y zero rate2.269%30Y zero rate3.420%Apr 6, 20122Y zero rate0.317%10Y zero rate2.143%30Y zero rate3.335%Apr 16, 20122Y zero rate0.293%10Y zero rate2.066%30Y zero rate3.247%Apr 24, 20122Y zero rate0.281%10Y zero rate2.067%30Y zero rate3.278%May 2, 20122Y zero rate0.269%10Y zero rate2.017%30Y zero rate3.276%May 10, 20122Y zero rate0.260%10Y zero rate1.943%30Y zero rate3.232%May 18, 20122Y zero rate0.307%10Y zero rate1.745%30Y zero rate2.947%May 29, 20122Y zero rate0.328%10Y zero rate1.774%30Y zero rate2.970%Jun 6, 20122Y zero rate0.304%10Y zero rate1.700%30Y zero rate2.849%Jun 14, 20122Y zero rate0.331%10Y zero rate1.681%30Y zero rate2.855%Jun 22, 20122Y zero rate0.318%10Y zero rate1.728%30Y zero rate2.887%Jul 2, 20122Y zero rate0.331%10Y zero rate1.633%30Y zero rate2.793%Jul 11, 20122Y zero rate0.301%10Y zero rate1.562%30Y zero rate2.704%Jul 19, 20122Y zero rate0.227%10Y zero rate1.572%30Y zero rate2.733%Jul 27, 20122Y zero rate0.247%10Y zero rate1.613%30Y zero rate2.742%Aug 6, 20122Y zero rate0.237%10Y zero rate1.638%30Y zero rate2.756%Aug 14, 20122Y zero rate0.275%10Y zero rate1.785%30Y zero rate2.930%Aug 22, 20122Y zero rate0.256%10Y zero rate1.766%30Y zero rate2.922%Aug 30, 20122Y zero rate0.244%10Y zero rate1.673%30Y zero rate2.865%Sep 10, 20122Y zero rate0.231%10Y zero rate1.721%30Y zero rate2.929%Sep 18, 20122Y zero rate0.237%10Y zero rate1.861%30Y zero rate3.099%Sep 26, 20122Y zero rate0.263%10Y zero rate1.663%30Y zero rate2.858%Oct 4, 20122Y zero rate0.223%10Y zero rate1.716%30Y zero rate2.986%Oct 15, 20122Y zero rate0.247%10Y zero rate1.713%30Y zero rate2.949%Oct 23, 20122Y zero rate0.287%10Y zero rate1.825%30Y zero rate3.000%Nov 1, 20122Y zero rate0.278%10Y zero rate1.783%30Y zero rate3.008%Nov 9, 20122Y zero rate0.266%10Y zero rate1.638%30Y zero rate2.843%Nov 20, 20122Y zero rate0.253%10Y zero rate1.690%30Y zero rate2.930%Nov 29, 20122Y zero rate0.264%10Y zero rate1.648%30Y zero rate2.888%Dec 7, 20122Y zero rate0.258%10Y zero rate1.664%30Y zero rate2.896%Dec 17, 20122Y zero rate0.247%10Y zero rate1.819%30Y zero rate3.058%Dec 26, 20122Y zero rate0.267%10Y zero rate1.804%30Y zero rate3.046%Dec 31, 20122Y zero rate0.243%10Y zero rate1.807%30Y zero rate3.055%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across 2012.
TenorFirstLastChangeLowHigh
2Y0.266%0.243%-2.3 bp0.181%Jan 27, 20120.426%Mar 20, 2012
10Y2.062%1.807%-25.5 bp1.455%Jul 24, 20122.506%Mar 19, 2012
30Y3.126%3.055%-7.1 bp2.565%Jul 25, 20123.644%Mar 19, 2012

Rates are percent; the change column is basis points. A rise in yield is a fall in price, so the colours here describe the rate rather than a bondholder's return.

Month by month

Index levels before September 30, 2026 are back-tested. They were computed after the fact by applying the rules to historical data, which benefits from hindsight in the choice of rules, and an index cannot be invested in directly. Methodology v1.0 takes effect at that rebalance, when levels begin to be struck on the day; the rulebook is identical either way, and the version is published on every row.

A fitted curve is a fit, not a quote. Daily error averages 3.8 basis points across the history and reaches about 20 on the worst days, in December 2008, when the market was genuinely hard to fit one smooth curve to. Every curve page publishes its own fit error rather than burying it.

Free to benchmark against. Paid only to track. Measuring anything against these curves and indices is free. No license, no fee, no registration, and no permission needed to say that you did, including in a prospectus. A fee applies to one thing: launching a product that tracks an index.

Safe Rateâ„¢, Safe Rate Indicesâ„¢ and the Safe Rate US Treasury Indexâ„¢ are trademarks of Safe Rate, claimed through use in commerce and not registered. Third-party marks are the property of their owners, which are not affiliated with and do not endorse this data.

Curves are fitted from public Treasury data and carry fit error; figures are not a record of trading, and an index cannot be invested in directly. No claim of compliance with the IOSCO Principles for Financial Benchmarks is made or implied. Not investment advice, not an offer, and not a recommendation to buy or sell any security.