The Treasury curve in 2017

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

1.00%1.50%2.00%2.50%3.00%3.50%Jan 3, 2017Dec 29, 2017Jan 3, 20172Y zero rate1.230%10Y zero rate2.540%30Y zero rate3.265%Jan 11, 20172Y zero rate1.208%10Y zero rate2.447%30Y zero rate3.172%Jan 20, 20172Y zero rate1.222%10Y zero rate2.557%30Y zero rate3.268%Jan 30, 20172Y zero rate1.209%10Y zero rate2.571%30Y zero rate3.307%Feb 7, 20172Y zero rate1.171%10Y zero rate2.458%30Y zero rate3.251%Feb 15, 20172Y zero rate1.289%10Y zero rate2.592%30Y zero rate3.313%Feb 24, 20172Y zero rate1.156%10Y zero rate2.396%30Y zero rate3.178%Mar 6, 20172Y zero rate1.334%10Y zero rate2.574%30Y zero rate3.341%Mar 14, 20172Y zero rate1.418%10Y zero rate2.682%30Y zero rate3.407%Mar 22, 20172Y zero rate1.291%10Y zero rate2.481%30Y zero rate3.256%Mar 30, 20172Y zero rate1.312%10Y zero rate2.501%30Y zero rate3.276%Apr 7, 20172Y zero rate1.327%10Y zero rate2.450%30Y zero rate3.252%Apr 18, 20172Y zero rate1.201%10Y zero rate2.248%30Y zero rate3.079%Apr 26, 20172Y zero rate1.294%10Y zero rate2.384%30Y zero rate3.219%May 4, 20172Y zero rate1.332%10Y zero rate2.432%30Y zero rate3.235%May 12, 20172Y zero rate1.318%10Y zero rate2.412%30Y zero rate3.210%May 22, 20172Y zero rate1.301%10Y zero rate2.323%30Y zero rate3.133%May 31, 20172Y zero rate1.296%10Y zero rate2.276%30Y zero rate3.091%Jun 8, 20172Y zero rate1.333%10Y zero rate2.246%30Y zero rate3.070%Jun 16, 20172Y zero rate1.348%10Y zero rate2.200%30Y zero rate2.981%Jun 26, 20172Y zero rate1.360%10Y zero rate2.183%30Y zero rate2.877%Jul 5, 20172Y zero rate1.429%10Y zero rate2.384%30Y zero rate3.033%Jul 13, 20172Y zero rate1.395%10Y zero rate2.405%30Y zero rate3.100%Jul 21, 20172Y zero rate1.356%10Y zero rate2.291%30Y zero rate2.987%Jul 31, 20172Y zero rate1.366%10Y zero rate2.354%30Y zero rate3.085%Aug 8, 20172Y zero rate1.380%10Y zero rate2.339%30Y zero rate3.050%Aug 16, 20172Y zero rate1.350%10Y zero rate2.284%30Y zero rate2.979%Aug 24, 20172Y zero rate1.351%10Y zero rate2.246%30Y zero rate2.945%Sep 1, 20172Y zero rate1.352%10Y zero rate2.205%30Y zero rate2.950%Sep 12, 20172Y zero rate1.348%10Y zero rate2.215%30Y zero rate2.963%Sep 20, 20172Y zero rate1.468%10Y zero rate2.321%30Y zero rate2.991%Sep 28, 20172Y zero rate1.464%10Y zero rate2.350%30Y zero rate3.044%Oct 6, 20172Y zero rate1.533%10Y zero rate2.405%30Y zero rate3.082%Oct 17, 20172Y zero rate1.565%10Y zero rate2.325%30Y zero rate2.960%Oct 25, 20172Y zero rate1.602%10Y zero rate2.468%30Y zero rate3.114%Nov 2, 20172Y zero rate1.620%10Y zero rate2.374%30Y zero rate2.980%Nov 10, 20172Y zero rate1.672%10Y zero rate2.435%30Y zero rate3.027%Nov 20, 20172Y zero rate1.762%10Y zero rate2.417%30Y zero rate2.831%Nov 29, 20172Y zero rate1.779%10Y zero rate2.426%30Y zero rate2.876%Dec 7, 20172Y zero rate1.826%10Y zero rate2.394%30Y zero rate2.841%Dec 15, 20172Y zero rate1.873%10Y zero rate2.381%30Y zero rate2.702%Dec 26, 20172Y zero rate1.933%10Y zero rate2.516%30Y zero rate2.847%Dec 29, 20172Y zero rate1.903%10Y zero rate2.474%30Y zero rate2.740%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across 2017.
TenorFirstLastChangeLowHigh
2Y1.230%1.903%+67.4 bp1.156%Feb 24, 20171.933%Dec 26, 2017
10Y2.540%2.474%-6.6 bp2.093%Sep 7, 20172.702%Mar 13, 2017
30Y3.265%2.740%-52.5 bp2.702%Dec 15, 20173.439%Mar 13, 2017

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.