US Treasury rates, July 2016

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.

0.50%1.00%1.50%2.00%2.50%3.00%Jul 1, 2016Jul 29, 2016Jul 1, 20162Y zero rate0.612%10Y zero rate1.506%30Y zero rate2.501%Jul 5, 20162Y zero rate0.581%10Y zero rate1.412%30Y zero rate2.391%Jul 6, 20162Y zero rate0.599%10Y zero rate1.418%30Y zero rate2.394%Jul 7, 20162Y zero rate0.608%10Y zero rate1.431%30Y zero rate2.399%Jul 8, 20162Y zero rate0.629%10Y zero rate1.399%30Y zero rate2.355%Jul 11, 20162Y zero rate0.673%10Y zero rate1.460%30Y zero rate2.387%Jul 12, 20162Y zero rate0.718%10Y zero rate1.545%30Y zero rate2.454%Jul 13, 20162Y zero rate0.706%10Y zero rate1.501%30Y zero rate2.389%Jul 14, 20162Y zero rate0.706%10Y zero rate1.569%30Y zero rate2.493%Jul 15, 20162Y zero rate0.755%10Y zero rate1.623%30Y zero rate2.501%Jul 18, 20162Y zero rate0.725%10Y zero rate1.625%30Y zero rate2.543%Jul 19, 20162Y zero rate0.731%10Y zero rate1.585%30Y zero rate2.478%Jul 20, 20162Y zero rate0.748%10Y zero rate1.620%30Y zero rate2.518%Jul 21, 20162Y zero rate0.708%10Y zero rate1.604%30Y zero rate2.536%Jul 22, 20162Y zero rate0.730%10Y zero rate1.613%30Y zero rate2.522%Jul 25, 20162Y zero rate0.757%10Y zero rate1.610%30Y zero rate2.505%Jul 26, 20162Y zero rate0.762%10Y zero rate1.608%30Y zero rate2.513%Jul 27, 20162Y zero rate0.742%10Y zero rate1.548%30Y zero rate2.427%Jul 28, 20162Y zero rate0.733%10Y zero rate1.542%30Y zero rate2.428%Jul 29, 20162Y zero rate0.669%10Y zero rate1.497%30Y zero rate2.419%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across July 2016.
TenorFirstLastChangeLowHigh
2Y0.612%0.669%+5.7 bp0.581%Jul 5, 20160.762%Jul 26, 2016
10Y1.506%1.497%-0.9 bp1.399%Jul 8, 20161.625%Jul 18, 2016
30Y2.501%2.419%-8.2 bp2.355%Jul 8, 20162.543%Jul 18, 2016

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 July 2016.
Date1Y2Y3Y5Y7Y10Y15Y20Y25Y30Y
Jul 1, 20160.494%0.612%0.752%1.030%1.260%1.506%1.768%1.988%2.231%2.501%
Jul 5, 20160.476%0.581%0.707%0.961%1.176%1.412%1.672%1.890%2.127%2.391%
Jul 6, 20160.476%0.599%0.730%0.980%1.187%1.418%1.677%1.897%2.134%2.394%
Jul 7, 20160.500%0.608%0.735%0.986%1.198%1.431%1.684%1.897%2.132%2.399%
Jul 8, 20160.526%0.629%0.747%0.980%1.177%1.399%1.649%1.862%2.094%2.355%
Jul 11, 20160.540%0.673%0.806%1.049%1.246%1.460%1.699%1.903%2.129%2.387%
Jul 12, 20160.549%0.718%0.867%1.118%1.317%1.545%1.813%2.023%2.227%2.454%
Jul 13, 20160.542%0.706%0.851%1.093%1.283%1.501%1.758%1.961%2.164%2.389%
Jul 14, 20160.563%0.706%0.854%1.126%1.341%1.569%1.811%2.013%2.238%2.493%
Jul 15, 20160.577%0.755%0.913%1.177%1.386%1.623%1.895%2.097%2.289%2.501%
Jul 18, 20160.572%0.725%0.881%1.165%1.390%1.625%1.870%2.070%2.291%2.543%
Jul 19, 20160.559%0.731%0.885%1.143%1.348%1.585%1.863%2.072%2.268%2.478%
Jul 20, 20160.566%0.748%0.909%1.176%1.385%1.620%1.891%2.098%2.299%2.518%
Jul 21, 20160.559%0.708%0.859%1.137%1.361%1.604%1.864%2.072%2.292%2.536%
Jul 22, 20160.571%0.730%0.886%1.162%1.379%1.613%1.864%2.066%2.281%2.522%
Jul 25, 20160.575%0.757%0.916%1.179%1.382%1.610%1.874%2.081%2.284%2.505%
Jul 26, 20160.614%0.762%0.910%1.175%1.384%1.608%1.852%2.055%2.273%2.513%
Jul 27, 20160.582%0.742%0.885%1.127%1.322%1.548%1.818%2.026%2.220%2.427%
Jul 28, 20160.574%0.733%0.876%1.118%1.314%1.542%1.815%2.025%2.221%2.428%
Jul 29, 20160.546%0.669%0.801%1.054%1.265%1.497%1.749%1.953%2.173%2.419%

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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