US Treasury rates, November 2014

Zero rates at all 10 fitted maturities on each of 17 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.

0.50%1.00%1.50%2.00%2.50%3.00%3.50%Nov 3, 2014Nov 28, 2014Nov 3, 20142Y zero rate0.569%10Y zero rate2.500%30Y zero rate3.167%Nov 4, 20142Y zero rate0.566%10Y zero rate2.484%30Y zero rate3.140%Nov 5, 20142Y zero rate0.574%10Y zero rate2.491%30Y zero rate3.154%Nov 6, 20142Y zero rate0.595%10Y zero rate2.529%30Y zero rate3.192%Nov 7, 20142Y zero rate0.555%10Y zero rate2.452%30Y zero rate3.143%Nov 10, 20142Y zero rate0.596%10Y zero rate2.507%30Y zero rate3.193%Nov 12, 20142Y zero rate0.592%10Y zero rate2.504%30Y zero rate3.184%Nov 13, 20142Y zero rate0.579%10Y zero rate2.493%30Y zero rate3.180%Nov 14, 20142Y zero rate0.575%10Y zero rate2.463%30Y zero rate3.151%Nov 17, 20142Y zero rate0.575%10Y zero rate2.486%30Y zero rate3.161%Nov 18, 20142Y zero rate0.571%10Y zero rate2.470%30Y zero rate3.153%Nov 19, 20142Y zero rate0.586%10Y zero rate2.506%30Y zero rate3.175%Nov 20, 20142Y zero rate0.567%10Y zero rate2.485%30Y zero rate3.153%Nov 24, 20142Y zero rate0.559%10Y zero rate2.448%30Y zero rate3.113%Nov 25, 20142Y zero rate0.553%10Y zero rate2.403%30Y zero rate3.066%Nov 26, 20142Y zero rate0.549%10Y zero rate2.379%30Y zero rate3.047%Nov 28, 20142Y zero rate0.518%10Y zero rate2.314%30Y zero rate2.995%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across November 2014.
TenorFirstLastChangeLowHigh
2Y0.569%0.518%-5.1 bp0.518%Nov 28, 20140.596%Nov 10, 2014
10Y2.500%2.314%-18.7 bp2.314%Nov 28, 20142.529%Nov 6, 2014
30Y3.167%2.995%-17.1 bp2.995%Nov 28, 20143.193%Nov 10, 2014

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 November 2014.
Date1Y2Y3Y5Y7Y10Y15Y20Y25Y30Y
Nov 3, 20140.177%0.569%0.996%1.673%2.111%2.500%2.829%2.998%3.099%3.167%
Nov 4, 20140.152%0.566%0.997%1.669%2.100%2.484%2.808%2.974%3.073%3.140%
Nov 5, 20140.169%0.574%1.003%1.674%2.105%2.491%2.818%2.985%3.086%3.154%
Nov 6, 20140.182%0.595%1.030%1.707%2.142%2.529%2.856%3.023%3.124%3.192%
Nov 7, 20140.171%0.555%0.972%1.631%2.061%2.452%2.791%2.966%3.072%3.143%
Nov 10, 20140.188%0.596%1.023%1.686%2.116%2.507%2.843%3.017%3.122%3.193%
Nov 12, 20140.188%0.592%1.018%1.684%2.115%2.504%2.838%3.010%3.114%3.184%
Nov 13, 20140.171%0.579%1.002%1.666%2.100%2.493%2.831%3.005%3.110%3.180%
Nov 14, 20140.173%0.575%0.990%1.644%2.072%2.463%2.800%2.975%3.081%3.151%
Nov 17, 20140.187%0.575%0.995%1.662%2.096%2.486%2.818%2.989%3.092%3.161%
Nov 18, 20140.169%0.571%0.991%1.650%2.080%2.470%2.806%2.979%3.083%3.153%
Nov 19, 20140.185%0.586%1.014%1.685%2.118%2.506%2.836%3.005%3.107%3.175%
Nov 20, 20140.177%0.567%0.990%1.661%2.096%2.485%2.814%2.983%3.085%3.153%
Nov 24, 20140.167%0.559%0.977%1.636%2.064%2.448%2.775%2.944%3.045%3.113%
Nov 25, 20140.170%0.553%0.961%1.604%2.024%2.403%2.728%2.897%2.998%3.066%
Nov 26, 20140.177%0.549%0.949%1.584%2.000%2.379%2.706%2.876%2.978%3.047%
Nov 28, 20140.162%0.518%0.903%1.522%1.934%2.314%2.646%2.820%2.925%2.995%

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.