January 2016

The zero curve on each of 19 trading days this month.

0.50%1.00%1.50%2.00%2.50%3.00%3.50%Jan 4, 2016Jan 29, 2016Jan 4, 20162Y zero rate1.087%10Y zero rate2.342%30Y zero rate3.209%Jan 5, 20162Y zero rate1.096%10Y zero rate2.349%30Y zero rate3.229%Jan 6, 20162Y zero rate1.054%10Y zero rate2.267%30Y zero rate3.152%Jan 7, 20162Y zero rate1.027%10Y zero rate2.241%30Y zero rate3.143%Jan 8, 20162Y zero rate1.018%10Y zero rate2.215%30Y zero rate3.130%Jan 11, 20162Y zero rate1.016%10Y zero rate2.266%30Y zero rate3.083%Jan 12, 20162Y zero rate0.996%10Y zero rate2.191%30Y zero rate3.101%Jan 13, 20162Y zero rate0.974%10Y zero rate2.146%30Y zero rate3.054%Jan 14, 20162Y zero rate0.960%10Y zero rate2.182%30Y zero rate3.101%Jan 15, 20162Y zero rate0.917%10Y zero rate2.117%30Y zero rate2.930%Jan 19, 20162Y zero rate0.924%10Y zero rate2.131%30Y zero rate3.032%Jan 20, 20162Y zero rate0.887%10Y zero rate2.081%30Y zero rate2.976%Jan 21, 20162Y zero rate0.886%10Y zero rate2.101%30Y zero rate3.019%Jan 22, 20162Y zero rate0.921%10Y zero rate2.141%30Y zero rate3.031%Jan 25, 20162Y zero rate0.910%10Y zero rate2.098%30Y zero rate3.012%Jan 26, 20162Y zero rate0.893%10Y zero rate2.090%30Y zero rate3.020%Jan 27, 20162Y zero rate0.888%10Y zero rate2.093%30Y zero rate3.039%Jan 28, 20162Y zero rate0.869%10Y zero rate2.074%30Y zero rate3.026%Jan 29, 20162Y zero rate0.818%10Y zero rate2.017%30Y zero rate2.995%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across January 2016.
TenorFirstLastChangeLowHigh
2Y1.087%0.818%-26.9 bp0.818%Jan 29, 20161.096%Jan 5, 2016
10Y2.342%2.017%-32.5 bp2.017%Jan 29, 20162.349%Jan 5, 2016
30Y3.209%2.995%-21.4 bp2.930%Jan 15, 20163.229%Jan 5, 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.

Every trading day

Zero rate at 2, 10 and 30 years for every fitted trading day in January 2016.
Date2 year10 year30 year
Jan 4, 20161.087%2.342%3.209%
Jan 5, 20161.096%2.349%3.229%
Jan 6, 20161.054%2.267%3.152%
Jan 7, 20161.027%2.241%3.143%
Jan 8, 20161.018%2.215%3.130%
Jan 11, 20161.016%2.266%3.083%
Jan 12, 20160.996%2.191%3.101%
Jan 13, 20160.974%2.146%3.054%
Jan 14, 20160.960%2.182%3.101%
Jan 15, 20160.917%2.117%2.930%
Jan 19, 20160.924%2.131%3.032%
Jan 20, 20160.887%2.081%2.976%
Jan 21, 20160.886%2.101%3.019%
Jan 22, 20160.921%2.141%3.031%
Jan 25, 20160.910%2.098%3.012%
Jan 26, 20160.893%2.090%3.020%
Jan 27, 20160.888%2.093%3.039%
Jan 28, 20160.869%2.074%3.026%
Jan 29, 20160.818%2.017%2.995%

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.