December 2020

The zero curve on each of 22 trading days this month.

0.00%0.50%1.00%1.50%2.00%Dec 1, 2020Dec 31, 2020Dec 1, 20202Y zero rate0.164%10Y zero rate0.936%30Y zero rate1.805%Dec 2, 20202Y zero rate0.159%10Y zero rate0.964%30Y zero rate1.844%Dec 3, 20202Y zero rate0.152%10Y zero rate0.934%30Y zero rate1.808%Dec 4, 20202Y zero rate0.151%10Y zero rate0.984%30Y zero rate1.876%Dec 7, 20202Y zero rate0.140%10Y zero rate0.945%30Y zero rate1.830%Dec 8, 20202Y zero rate0.139%10Y zero rate0.924%30Y zero rate1.803%Dec 9, 20202Y zero rate0.149%10Y zero rate0.949%30Y zero rate1.824%Dec 10, 20202Y zero rate0.142%10Y zero rate0.924%30Y zero rate1.721%Dec 11, 20202Y zero rate0.116%10Y zero rate0.902%30Y zero rate1.764%Dec 14, 20202Y zero rate0.115%10Y zero rate0.904%30Y zero rate1.771%Dec 15, 20202Y zero rate0.116%10Y zero rate0.925%30Y zero rate1.795%Dec 16, 20202Y zero rate0.119%10Y zero rate0.928%30Y zero rate1.799%Dec 17, 20202Y zero rate0.123%10Y zero rate0.942%30Y zero rate1.815%Dec 18, 20202Y zero rate0.127%10Y zero rate0.962%30Y zero rate1.782%Dec 21, 20202Y zero rate0.128%10Y zero rate0.963%30Y zero rate1.758%Dec 22, 20202Y zero rate0.122%10Y zero rate0.936%30Y zero rate1.730%Dec 23, 20202Y zero rate0.122%10Y zero rate0.975%30Y zero rate1.778%Dec 24, 20202Y zero rate0.127%10Y zero rate0.952%30Y zero rate1.746%Dec 28, 20202Y zero rate0.121%10Y zero rate0.945%30Y zero rate1.799%Dec 29, 20202Y zero rate0.128%10Y zero rate0.958%30Y zero rate1.754%Dec 30, 20202Y zero rate0.127%10Y zero rate0.948%30Y zero rate1.742%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 December 2020.
TenorFirstLastChangeLowHigh
2Y0.164%0.123%-4.1 bp0.115%Dec 14, 20200.164%Dec 1, 2020
10Y0.936%0.940%+0.3 bp0.902%Dec 11, 20200.984%Dec 4, 2020
30Y1.805%1.726%-7.9 bp1.721%Dec 10, 20201.876%Dec 4, 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.

Every trading day

Zero rate at 2, 10 and 30 years for every fitted trading day in December 2020.
Date2 year10 year30 year
Dec 1, 20200.164%0.936%1.805%
Dec 2, 20200.159%0.964%1.844%
Dec 3, 20200.152%0.934%1.808%
Dec 4, 20200.151%0.984%1.876%
Dec 7, 20200.140%0.945%1.830%
Dec 8, 20200.139%0.924%1.803%
Dec 9, 20200.149%0.949%1.824%
Dec 10, 20200.142%0.924%1.721%
Dec 11, 20200.116%0.902%1.764%
Dec 14, 20200.115%0.904%1.771%
Dec 15, 20200.116%0.925%1.795%
Dec 16, 20200.119%0.928%1.799%
Dec 17, 20200.123%0.942%1.815%
Dec 18, 20200.127%0.962%1.782%
Dec 21, 20200.128%0.963%1.758%
Dec 22, 20200.122%0.936%1.730%
Dec 23, 20200.122%0.975%1.778%
Dec 24, 20200.127%0.952%1.746%
Dec 28, 20200.121%0.945%1.799%
Dec 29, 20200.128%0.958%1.754%
Dec 30, 20200.127%0.948%1.742%
Dec 31, 20200.123%0.940%1.726%

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.