US Treasury rates, October 2010

Zero rates at all 10 fitted maturities on each of 20 trading days this month. Zero rates, not par yields: these discount a single cashflow, and the par yield for the same day is on that day's own page.

0%1%2%3%4%5%Oct 1, 2010Oct 29, 2010Oct 1, 20102Y zero rate0.396%10Y zero rate2.729%30Y zero rate4.122%Oct 4, 20102Y zero rate0.388%10Y zero rate2.695%30Y zero rate4.126%Oct 5, 20102Y zero rate0.372%10Y zero rate2.699%30Y zero rate4.111%Oct 6, 20102Y zero rate0.347%10Y zero rate2.610%30Y zero rate4.040%Oct 7, 20102Y zero rate0.327%10Y zero rate2.617%30Y zero rate4.110%Oct 8, 20102Y zero rate0.316%10Y zero rate2.612%30Y zero rate4.153%Oct 12, 20102Y zero rate0.343%10Y zero rate2.638%30Y zero rate4.152%Oct 13, 20102Y zero rate0.331%10Y zero rate2.654%30Y zero rate4.200%Oct 14, 20102Y zero rate0.359%10Y zero rate2.717%30Y zero rate4.271%Oct 15, 20102Y zero rate0.347%10Y zero rate2.811%30Y zero rate4.414%Oct 18, 20102Y zero rate0.333%10Y zero rate2.724%30Y zero rate4.297%Oct 19, 20102Y zero rate0.322%10Y zero rate2.691%30Y zero rate4.259%Oct 20, 20102Y zero rate0.313%10Y zero rate2.702%30Y zero rate4.245%Oct 21, 20102Y zero rate0.328%10Y zero rate2.783%30Y zero rate4.449%Oct 22, 20102Y zero rate0.325%10Y zero rate2.797%30Y zero rate4.427%Oct 25, 20102Y zero rate0.339%10Y zero rate2.787%30Y zero rate4.371%Oct 26, 20102Y zero rate0.376%10Y zero rate2.884%30Y zero rate4.477%Oct 27, 20102Y zero rate0.392%10Y zero rate2.961%30Y zero rate4.529%Oct 28, 20102Y zero rate0.343%10Y zero rate2.904%30Y zero rate4.554%Oct 29, 20102Y zero rate0.306%10Y zero rate2.840%30Y zero rate4.497%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across October 2010.
TenorFirstLastChangeLowHigh
2Y0.396%0.306%-9.0 bp0.306%Oct 29, 20100.396%Oct 1, 2010
10Y2.729%2.840%+11.1 bp2.610%Oct 6, 20102.961%Oct 27, 2010
30Y4.122%4.497%+37.6 bp4.040%Oct 6, 20104.554%Oct 28, 2010

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 each of the 10 fitted maturities, for every fitted trading day in October 2010.
Date1Y2Y3Y5Y7Y10Y15Y20Y25Y30Y
Oct 1, 20100.281%0.396%0.635%1.320%1.991%2.729%3.411%3.766%3.979%4.122%
Oct 4, 20100.267%0.388%0.616%1.282%1.948%2.695%3.394%3.759%3.979%4.126%
Oct 5, 20100.248%0.372%0.617%1.257%1.908%2.699%3.458%3.780%3.946%4.111%
Oct 6, 20100.223%0.347%0.585%1.206%1.838%2.610%3.366%3.699%3.875%4.040%
Oct 7, 20100.211%0.327%0.562%1.187%1.828%2.617%3.400%3.755%3.944%4.110%
Oct 8, 20100.200%0.316%0.550%1.171%1.814%2.612%3.416%3.785%3.982%4.153%
Oct 12, 20100.220%0.343%0.580%1.202%1.840%2.638%3.466%3.868%4.058%4.152%
Oct 13, 20100.216%0.331%0.565%1.190%1.838%2.654%3.505%3.917%4.108%4.200%
Oct 14, 20100.227%0.359%0.605%1.243%1.898%2.717%3.570%3.983%4.177%4.271%
Oct 15, 20100.223%0.347%0.598%1.267%1.956%2.811%3.663%4.046%4.244%4.414%
Oct 18, 20100.231%0.333%0.565%1.203%1.874%2.724%3.610%4.030%4.215%4.297%
Oct 19, 20100.224%0.322%0.549%1.179%1.846%2.691%3.575%3.994%4.179%4.259%
Oct 20, 20100.222%0.313%0.541%1.179%1.853%2.702%3.577%3.987%4.166%4.245%
Oct 21, 20100.246%0.328%0.533%1.213%1.939%2.783%3.594%4.021%4.278%4.449%
Oct 22, 20100.244%0.325%0.538%1.233%1.962%2.797%3.592%4.009%4.260%4.427%
Oct 25, 20100.241%0.339%0.561%1.255%1.972%2.787%3.560%3.964%4.208%4.371%
Oct 26, 20100.255%0.376%0.616%1.332%2.060%2.884%3.661%4.068%4.314%4.477%
Oct 27, 20100.259%0.392%0.654%1.402%2.141%2.961%3.728%4.127%4.368%4.529%
Oct 28, 20100.244%0.343%0.573%1.300%2.051%2.904%3.709%4.131%4.384%4.554%
Oct 29, 20100.239%0.306%0.519%1.233%1.984%2.840%3.649%4.072%4.327%4.497%

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.