August 2016

The zero curve on each of 23 trading days this month.

0.50%1.00%1.50%2.00%2.50%3.00%Aug 1, 2016Aug 31, 2016Aug 1, 20162Y zero rate0.684%10Y zero rate1.545%30Y zero rate2.489%Aug 2, 20162Y zero rate0.687%10Y zero rate1.581%30Y zero rate2.541%Aug 3, 20162Y zero rate0.681%10Y zero rate1.578%30Y zero rate2.534%Aug 4, 20162Y zero rate0.662%10Y zero rate1.540%30Y zero rate2.494%Aug 5, 20162Y zero rate0.746%10Y zero rate1.616%30Y zero rate2.528%Aug 8, 20162Y zero rate0.756%10Y zero rate1.618%30Y zero rate2.502%Aug 9, 20162Y zero rate0.740%10Y zero rate1.570%30Y zero rate2.449%Aug 10, 20162Y zero rate0.705%10Y zero rate1.546%30Y zero rate2.458%Aug 11, 20162Y zero rate0.773%10Y zero rate1.610%30Y zero rate2.486%Aug 12, 20162Y zero rate0.731%10Y zero rate1.568%30Y zero rate2.462%Aug 15, 20162Y zero rate0.752%10Y zero rate1.602%30Y zero rate2.462%Aug 16, 20162Y zero rate0.770%10Y zero rate1.630%30Y zero rate2.503%Aug 17, 20162Y zero rate0.761%10Y zero rate1.608%30Y zero rate2.462%Aug 18, 20162Y zero rate0.726%10Y zero rate1.586%30Y zero rate2.461%Aug 19, 20162Y zero rate0.778%10Y zero rate1.634%30Y zero rate2.476%Aug 22, 20162Y zero rate0.766%10Y zero rate1.597%30Y zero rate2.443%Aug 23, 20162Y zero rate0.764%10Y zero rate1.593%30Y zero rate2.429%Aug 24, 20162Y zero rate0.775%10Y zero rate1.597%30Y zero rate2.441%Aug 25, 20162Y zero rate0.794%10Y zero rate1.615%30Y zero rate2.456%Aug 26, 20162Y zero rate0.846%10Y zero rate1.666%30Y zero rate2.471%Aug 29, 20162Y zero rate0.817%10Y zero rate1.608%30Y zero rate2.395%Aug 30, 20162Y zero rate0.817%10Y zero rate1.614%30Y zero rate2.418%Aug 31, 20162Y zero rate0.821%10Y zero rate1.626%30Y zero rate2.420%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across August 2016.
TenorFirstLastChangeLowHigh
2Y0.684%0.821%+13.6 bp0.662%Aug 4, 20160.846%Aug 26, 2016
10Y1.545%1.626%+8.0 bp1.540%Aug 4, 20161.666%Aug 26, 2016
30Y2.489%2.420%-6.9 bp2.395%Aug 29, 20162.541%Aug 2, 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 August 2016.
Date2 year10 year30 year
Aug 1, 20160.684%1.545%2.489%
Aug 2, 20160.687%1.581%2.541%
Aug 3, 20160.681%1.578%2.534%
Aug 4, 20160.662%1.540%2.494%
Aug 5, 20160.746%1.616%2.528%
Aug 8, 20160.756%1.618%2.502%
Aug 9, 20160.740%1.570%2.449%
Aug 10, 20160.705%1.546%2.458%
Aug 11, 20160.773%1.610%2.486%
Aug 12, 20160.731%1.568%2.462%
Aug 15, 20160.752%1.602%2.462%
Aug 16, 20160.770%1.630%2.503%
Aug 17, 20160.761%1.608%2.462%
Aug 18, 20160.726%1.586%2.461%
Aug 19, 20160.778%1.634%2.476%
Aug 22, 20160.766%1.597%2.443%
Aug 23, 20160.764%1.593%2.429%
Aug 24, 20160.775%1.597%2.441%
Aug 25, 20160.794%1.615%2.456%
Aug 26, 20160.846%1.666%2.471%
Aug 29, 20160.817%1.608%2.395%
Aug 30, 20160.817%1.614%2.418%
Aug 31, 20160.821%1.626%2.420%

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.