US Treasury rates, January 2015

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.

0.00%0.50%1.00%1.50%2.00%2.50%3.00%Jan 2, 2015Jan 30, 2015Jan 2, 20152Y zero rate0.711%10Y zero rate2.190%30Y zero rate2.855%Jan 5, 20152Y zero rate0.712%10Y zero rate2.101%30Y zero rate2.762%Jan 6, 20152Y zero rate0.685%10Y zero rate2.033%30Y zero rate2.671%Jan 7, 20152Y zero rate0.666%10Y zero rate2.027%30Y zero rate2.660%Jan 8, 20152Y zero rate0.649%10Y zero rate2.095%30Y zero rate2.732%Jan 9, 20152Y zero rate0.622%10Y zero rate2.046%30Y zero rate2.682%Jan 12, 20152Y zero rate0.587%10Y zero rate1.983%30Y zero rate2.612%Jan 13, 20152Y zero rate0.579%10Y zero rate1.984%30Y zero rate2.594%Jan 14, 20152Y zero rate0.541%10Y zero rate1.939%30Y zero rate2.566%Jan 15, 20152Y zero rate0.468%10Y zero rate1.850%30Y zero rate2.535%Jan 16, 20152Y zero rate0.524%10Y zero rate1.918%30Y zero rate2.536%Jan 20, 20152Y zero rate0.555%10Y zero rate1.908%30Y zero rate2.486%Jan 21, 20152Y zero rate0.562%10Y zero rate1.961%30Y zero rate2.535%Jan 22, 20152Y zero rate0.574%10Y zero rate1.976%30Y zero rate2.584%Jan 23, 20152Y zero rate0.549%10Y zero rate1.893%30Y zero rate2.518%Jan 26, 20152Y zero rate0.568%10Y zero rate1.915%30Y zero rate2.528%Jan 27, 20152Y zero rate0.557%10Y zero rate1.911%30Y zero rate2.528%Jan 28, 20152Y zero rate0.518%10Y zero rate1.812%30Y zero rate2.413%Jan 29, 20152Y zero rate0.530%10Y zero rate1.866%30Y zero rate2.447%Jan 30, 20152Y zero rate0.492%10Y zero rate1.777%30Y zero rate2.350%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across January 2015.
TenorFirstLastChangeLowHigh
2Y0.711%0.492%-21.9 bp0.468%Jan 15, 20150.712%Jan 5, 2015
10Y2.190%1.777%-41.3 bp1.777%Jan 30, 20152.190%Jan 2, 2015
30Y2.855%2.350%-50.5 bp2.350%Jan 30, 20152.855%Jan 2, 2015

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 January 2015.
Date1Y2Y3Y5Y7Y10Y15Y20Y25Y30Y
Jan 2, 20150.278%0.711%1.101%1.649%1.956%2.190%2.391%2.549%2.704%2.855%
Jan 5, 20150.307%0.712%1.085%1.601%1.884%2.101%2.298%2.459%2.615%2.762%
Jan 6, 20150.277%0.685%1.040%1.533%1.811%2.033%2.233%2.389%2.535%2.671%
Jan 7, 20150.275%0.666%1.019%1.514%1.798%2.027%2.235%2.392%2.532%2.660%
Jan 8, 20150.240%0.649%1.018%1.543%1.846%2.095%2.318%2.476%2.612%2.732%
Jan 9, 20150.224%0.622%0.980%1.489%1.790%2.046%2.284%2.446%2.576%2.682%
Jan 12, 20150.216%0.587%0.932%1.429%1.725%1.983%2.227%2.390%2.514%2.612%
Jan 13, 20150.227%0.579%0.913%1.402%1.706%1.984%2.247%2.408%2.517%2.594%
Jan 14, 20150.214%0.541%0.866%1.351%1.657%1.939%2.209%2.374%2.487%2.566%
Jan 15, 20150.174%0.468%0.769%1.250%1.565%1.850%2.117%2.292%2.426%2.535%
Jan 16, 20150.221%0.524%0.839%1.324%1.633%1.918%2.187%2.349%2.459%2.536%
Jan 20, 20150.233%0.555%0.874%1.347%1.641%1.908%2.160%2.311%2.414%2.486%
Jan 21, 20150.218%0.562%0.896%1.388%1.690%1.961%2.213%2.363%2.464%2.535%
Jan 22, 20150.217%0.574%0.921%1.427%1.725%1.976%2.204%2.358%2.481%2.584%
Jan 23, 20150.216%0.549%0.880%1.365%1.652%1.893%2.120%2.279%2.409%2.518%
Jan 26, 20150.214%0.568%0.905%1.389%1.673%1.915%2.142%2.300%2.426%2.528%
Jan 27, 20150.232%0.557%0.889%1.375%1.663%1.911%2.147%2.308%2.431%2.528%
Jan 28, 20150.201%0.518%0.826%1.282%1.562%1.812%2.053%2.210%2.325%2.413%
Jan 29, 20150.173%0.530%0.856%1.323%1.607%1.866%2.115%2.268%2.373%2.447%
Jan 30, 20150.213%0.492%0.780%1.222%1.508%1.777%2.038%2.192%2.289%2.350%

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.