December 2012

The zero curve on each of 20 trading days this month.

0.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%Dec 3, 2012Dec 31, 2012Dec 3, 20122Y zero rate0.259%10Y zero rate1.659%30Y zero rate2.889%Dec 4, 20122Y zero rate0.255%10Y zero rate1.646%30Y zero rate2.873%Dec 5, 20122Y zero rate0.257%10Y zero rate1.629%30Y zero rate2.870%Dec 6, 20122Y zero rate0.254%10Y zero rate1.614%30Y zero rate2.853%Dec 7, 20122Y zero rate0.258%10Y zero rate1.664%30Y zero rate2.896%Dec 10, 20122Y zero rate0.253%10Y zero rate1.659%30Y zero rate2.887%Dec 11, 20122Y zero rate0.230%10Y zero rate1.678%30Y zero rate2.932%Dec 12, 20122Y zero rate0.256%10Y zero rate1.746%30Y zero rate2.971%Dec 13, 20122Y zero rate0.243%10Y zero rate1.764%30Y zero rate3.005%Dec 14, 20122Y zero rate0.234%10Y zero rate1.751%30Y zero rate2.982%Dec 17, 20122Y zero rate0.247%10Y zero rate1.819%30Y zero rate3.058%Dec 18, 20122Y zero rate0.268%10Y zero rate1.872%30Y zero rate3.109%Dec 19, 20122Y zero rate0.265%10Y zero rate1.857%30Y zero rate3.102%Dec 20, 20122Y zero rate0.261%10Y zero rate1.848%30Y zero rate3.093%Dec 21, 20122Y zero rate0.261%10Y zero rate1.808%30Y zero rate3.039%Dec 24, 20122Y zero rate0.265%10Y zero rate1.824%30Y zero rate3.048%Dec 26, 20122Y zero rate0.267%10Y zero rate1.804%30Y zero rate3.046%Dec 27, 20122Y zero rate0.253%10Y zero rate1.759%30Y zero rate2.994%Dec 28, 20122Y zero rate0.245%10Y zero rate1.752%30Y zero rate2.984%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 December 2012.
TenorFirstLastChangeLowHigh
2Y0.259%0.243%-1.6 bp0.230%Dec 11, 20120.268%Dec 18, 2012
10Y1.659%1.807%+14.7 bp1.614%Dec 6, 20121.872%Dec 18, 2012
30Y2.889%3.055%+16.6 bp2.853%Dec 6, 20123.109%Dec 18, 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.

Every trading day

Zero rate at 2, 10 and 30 years for every fitted trading day in December 2012.
Date2 year10 year30 year
Dec 3, 20120.259%1.659%2.889%
Dec 4, 20120.255%1.646%2.873%
Dec 5, 20120.257%1.629%2.870%
Dec 6, 20120.254%1.614%2.853%
Dec 7, 20120.258%1.664%2.896%
Dec 10, 20120.253%1.659%2.887%
Dec 11, 20120.230%1.678%2.932%
Dec 12, 20120.256%1.746%2.971%
Dec 13, 20120.243%1.764%3.005%
Dec 14, 20120.234%1.751%2.982%
Dec 17, 20120.247%1.819%3.058%
Dec 18, 20120.268%1.872%3.109%
Dec 19, 20120.265%1.857%3.102%
Dec 20, 20120.261%1.848%3.093%
Dec 21, 20120.261%1.808%3.039%
Dec 24, 20120.265%1.824%3.048%
Dec 26, 20120.267%1.804%3.046%
Dec 27, 20120.253%1.759%2.994%
Dec 28, 20120.245%1.752%2.984%
Dec 31, 20120.243%1.807%3.055%

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 Rate™, Safe Rate Indices™ and the Safe Rate US Treasury Index™ 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.