The Treasury curve in 2016

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

0.50%1.00%1.50%2.00%2.50%3.00%3.50%Jan 4, 2016Dec 30, 2016Jan 4, 20162Y zero rate1.087%10Y zero rate2.342%30Y zero rate3.209%Jan 12, 20162Y zero rate0.996%10Y zero rate2.191%30Y zero rate3.101%Jan 21, 20162Y zero rate0.886%10Y zero rate2.101%30Y zero rate3.019%Jan 29, 20162Y zero rate0.818%10Y zero rate2.017%30Y zero rate2.995%Feb 8, 20162Y zero rate0.716%10Y zero rate1.820%30Y zero rate2.806%Feb 17, 20162Y zero rate0.788%10Y zero rate1.885%30Y zero rate2.879%Feb 25, 20162Y zero rate0.740%10Y zero rate1.789%30Y zero rate2.816%Mar 4, 20162Y zero rate0.912%10Y zero rate1.976%30Y zero rate2.917%Mar 14, 20162Y zero rate0.981%10Y zero rate2.045%30Y zero rate2.959%Mar 22, 20162Y zero rate0.911%10Y zero rate2.015%30Y zero rate2.947%Mar 31, 20162Y zero rate0.747%10Y zero rate1.849%30Y zero rate2.865%Apr 8, 20162Y zero rate0.734%10Y zero rate1.782%30Y zero rate2.669%Apr 18, 20162Y zero rate0.753%10Y zero rate1.826%30Y zero rate2.808%Apr 26, 20162Y zero rate0.857%10Y zero rate1.996%30Y zero rate2.983%May 4, 20162Y zero rate0.743%10Y zero rate1.852%30Y zero rate2.892%May 12, 20162Y zero rate0.767%10Y zero rate1.818%30Y zero rate2.828%May 20, 20162Y zero rate0.895%10Y zero rate1.910%30Y zero rate2.853%May 31, 20162Y zero rate0.888%10Y zero rate1.913%30Y zero rate2.890%Jun 8, 20162Y zero rate0.798%10Y zero rate1.754%30Y zero rate2.734%Jun 16, 20162Y zero rate0.704%10Y zero rate1.621%30Y zero rate2.635%Jun 24, 20162Y zero rate0.658%10Y zero rate1.621%30Y zero rate2.706%Jul 5, 20162Y zero rate0.581%10Y zero rate1.412%30Y zero rate2.391%Jul 13, 20162Y zero rate0.706%10Y zero rate1.501%30Y zero rate2.389%Jul 21, 20162Y zero rate0.708%10Y zero rate1.604%30Y zero rate2.536%Jul 29, 20162Y zero rate0.669%10Y zero rate1.497%30Y zero rate2.419%Aug 8, 20162Y zero rate0.756%10Y zero rate1.618%30Y zero rate2.502%Aug 16, 20162Y zero rate0.770%10Y zero rate1.630%30Y zero rate2.503%Aug 24, 20162Y zero rate0.775%10Y zero rate1.597%30Y zero rate2.441%Sep 1, 20162Y zero rate0.811%10Y zero rate1.621%30Y zero rate2.432%Sep 12, 20162Y zero rate0.809%10Y zero rate1.725%30Y zero rate2.611%Sep 20, 20162Y zero rate0.826%10Y zero rate1.746%30Y zero rate2.571%Sep 28, 20162Y zero rate0.788%10Y zero rate1.633%30Y zero rate2.420%Oct 6, 20162Y zero rate0.890%10Y zero rate1.802%30Y zero rate2.650%Oct 17, 20162Y zero rate0.865%10Y zero rate1.834%30Y zero rate2.663%Oct 25, 20162Y zero rate0.890%10Y zero rate1.823%30Y zero rate2.641%Nov 2, 20162Y zero rate0.840%10Y zero rate1.860%30Y zero rate2.708%Nov 10, 20162Y zero rate0.972%10Y zero rate2.235%30Y zero rate3.210%Nov 21, 20162Y zero rate1.118%10Y zero rate2.425%30Y zero rate3.247%Nov 30, 20162Y zero rate1.153%10Y zero rate2.472%30Y zero rate3.257%Dec 8, 20162Y zero rate1.149%10Y zero rate2.520%30Y zero rate3.352%Dec 16, 20162Y zero rate1.306%10Y zero rate2.700%30Y zero rate3.427%Dec 27, 20162Y zero rate1.294%10Y zero rate2.668%30Y zero rate3.380%Dec 30, 20162Y zero rate1.212%10Y zero rate2.549%30Y zero rate3.305%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across 2016.
TenorFirstLastChangeLowHigh
2Y1.087%1.212%+12.5 bp0.581%Jul 5, 20161.322%Dec 15, 2016
10Y2.342%2.549%+20.8 bp1.399%Jul 8, 20162.700%Dec 16, 2016
30Y3.209%3.305%+9.6 bp2.355%Jul 8, 20163.427%Dec 16, 2016

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.

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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.