Safe Rate Treasury LSC Curve

A three-factor model that reduces each day's curve to a level, a slope and a curvature, fitted with a fixed decay parameter.

Use this when

This is the family to regress on. Three factors with stable meaning make a time series you can model.

Know this about it

It fits the curve less tightly than the Svensson forms, 9.6 bp on average against their 3.8, because three factors cannot bend as many ways as six. That is the trade being made, not a defect.

Latest fit, September 10, 2026

All families on this day →
4.00%4.25%4.50%4.75%5.00%5.25%5.50%3M6M1Y2Y5Y10Y20Y30Y3MRate4.198%6MRate4.231%1YRate4.310%2YRate4.481%3YRate4.637%5YRate4.874%7YRate5.023%10YRate5.153%20YRate5.313%30YRate5.367%
3M
4.198%
6M
4.231%
1Y
4.310%
2Y
4.481%
3Y
4.637%
5Y
4.874%
7Y
5.023%
10Y
5.153%
20Y
5.313%
30Y
5.367%
Level
5.474
Slope
1.303
Curvature
-1.052
Implied short rate
4.171
10.93 bp root-mean-square fit error across 339 priced securities. Within the normal range for this family, which is flagged above 19 bp, its 95th percentile across the history.

Coverage

Fitted on every trading day from September 2, 2008 to the last close, 4,507 days. Weekends and federal holidays have no curve, which is correct rather than a gap.

How these curves are fittedCompare all four families

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.

Free to benchmark against. Paid only to track. Measuring anything against these curves and indices is free. No license, no fee, no registration, and no permission needed to say that you did, including in a prospectus. A fee applies to one thing: launching a product that tracks an index.

Safe Rate™, Safe Rate Indices™ and the Safe Rate US Treasury Index™ are trademarks of Safe Rate, claimed through use in commerce and not registered. Third-party marks are the property of their owners, which are not affiliated with and do not endorse this data.

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.