The Treasury curve in 2020

The zero curve on each of 251 trading days, at the two, ten and thirty year points.

0.00%0.50%1.00%1.50%2.00%2.50%Jan 2, 2020Dec 31, 2020Jan 2, 20202Y zero rate1.596%10Y zero rate1.915%30Y zero rate2.446%Jan 10, 20202Y zero rate1.590%10Y zero rate1.859%30Y zero rate2.405%Jan 21, 20202Y zero rate1.548%10Y zero rate1.803%30Y zero rate2.349%Jan 29, 20202Y zero rate1.436%10Y zero rate1.617%30Y zero rate2.185%Feb 6, 20202Y zero rate1.468%10Y zero rate1.661%30Y zero rate2.246%Feb 14, 20202Y zero rate1.441%10Y zero rate1.617%30Y zero rate2.176%Feb 25, 20202Y zero rate1.210%10Y zero rate1.357%30Y zero rate1.931%Mar 4, 20202Y zero rate0.704%10Y zero rate1.062%30Y zero rate1.871%Mar 12, 20202Y zero rate0.643%10Y zero rate0.971%30Y zero rate1.737%Mar 20, 20202Y zero rate0.456%10Y zero rate1.021%30Y zero rate1.826%Mar 30, 20202Y zero rate0.276%10Y zero rate0.771%30Y zero rate1.505%Apr 7, 20202Y zero rate0.327%10Y zero rate0.813%30Y zero rate1.471%Apr 16, 20202Y zero rate0.224%10Y zero rate0.676%30Y zero rate1.333%Apr 24, 20202Y zero rate0.236%10Y zero rate0.655%30Y zero rate1.361%May 4, 20202Y zero rate0.207%10Y zero rate0.689%30Y zero rate1.485%May 12, 20202Y zero rate0.188%10Y zero rate0.721%30Y zero rate1.591%May 20, 20202Y zero rate0.187%10Y zero rate0.722%30Y zero rate1.567%May 29, 20202Y zero rate0.182%10Y zero rate0.694%30Y zero rate1.601%Jun 8, 20202Y zero rate0.250%10Y zero rate0.915%30Y zero rate1.831%Jun 16, 20202Y zero rate0.211%10Y zero rate0.781%30Y zero rate1.718%Jun 24, 20202Y zero rate0.194%10Y zero rate0.712%30Y zero rate1.624%Jul 2, 20202Y zero rate0.166%10Y zero rate0.697%30Y zero rate1.612%Jul 13, 20202Y zero rate0.169%10Y zero rate0.655%30Y zero rate1.493%Jul 21, 20202Y zero rate0.154%10Y zero rate0.627%30Y zero rate1.464%Jul 29, 20202Y zero rate0.139%10Y zero rate0.592%30Y zero rate1.392%Aug 6, 20202Y zero rate0.126%10Y zero rate0.547%30Y zero rate1.337%Aug 14, 20202Y zero rate0.160%10Y zero rate0.712%30Y zero rate1.608%Aug 24, 20202Y zero rate0.160%10Y zero rate0.658%30Y zero rate1.510%Sep 1, 20202Y zero rate0.131%10Y zero rate0.683%30Y zero rate1.576%Sep 10, 20202Y zero rate0.144%10Y zero rate0.682%30Y zero rate1.563%Sep 18, 20202Y zero rate0.140%10Y zero rate0.701%30Y zero rate1.601%Sep 28, 20202Y zero rate0.132%10Y zero rate0.666%30Y zero rate1.577%Oct 6, 20202Y zero rate0.151%10Y zero rate0.762%30Y zero rate1.715%Oct 15, 20202Y zero rate0.145%10Y zero rate0.747%30Y zero rate1.667%Oct 23, 20202Y zero rate0.160%10Y zero rate0.859%30Y zero rate1.803%Nov 2, 20202Y zero rate0.156%10Y zero rate0.879%30Y zero rate1.775%Nov 10, 20202Y zero rate0.189%10Y zero rate0.993%30Y zero rate1.890%Nov 19, 20202Y zero rate0.166%10Y zero rate0.861%30Y zero rate1.708%Nov 30, 20202Y zero rate0.142%10Y zero rate0.854%30Y zero rate1.715%Dec 8, 20202Y zero rate0.139%10Y zero rate0.924%30Y zero rate1.803%Dec 16, 20202Y zero rate0.119%10Y zero rate0.928%30Y zero rate1.799%Dec 24, 20202Y zero rate0.127%10Y zero rate0.952%30Y zero rate1.746%Dec 31, 20202Y zero rate0.123%10Y zero rate0.940%30Y zero rate1.726%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across 2020.
TenorFirstLastChangeLowHigh
2Y1.596%0.123%-147.3 bp0.115%Dec 14, 20201.608%Jan 8, 2020
10Y1.915%0.940%-97.5 bp0.525%Aug 4, 20201.915%Jan 2, 2020
30Y2.446%1.726%-72.0 bp1.229%Mar 9, 20202.451%Jan 8, 2020

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.