US Treasury rates, January 2017

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.

1.00%1.50%2.00%2.50%3.00%3.50%Jan 3, 2017Jan 31, 2017Jan 3, 20172Y zero rate1.230%10Y zero rate2.540%30Y zero rate3.265%Jan 4, 20172Y zero rate1.241%10Y zero rate2.542%30Y zero rate3.267%Jan 5, 20172Y zero rate1.191%10Y zero rate2.456%30Y zero rate3.174%Jan 6, 20172Y zero rate1.241%10Y zero rate2.501%30Y zero rate3.215%Jan 9, 20172Y zero rate1.208%10Y zero rate2.453%30Y zero rate3.188%Jan 10, 20172Y zero rate1.214%10Y zero rate2.456%30Y zero rate3.181%Jan 11, 20172Y zero rate1.208%10Y zero rate2.447%30Y zero rate3.172%Jan 12, 20172Y zero rate1.203%10Y zero rate2.439%30Y zero rate3.167%Jan 13, 20172Y zero rate1.222%10Y zero rate2.468%30Y zero rate3.201%Jan 17, 20172Y zero rate1.175%10Y zero rate2.404%30Y zero rate3.144%Jan 18, 20172Y zero rate1.237%10Y zero rate2.492%30Y zero rate3.209%Jan 19, 20172Y zero rate1.252%10Y zero rate2.546%30Y zero rate3.252%Jan 20, 20172Y zero rate1.222%10Y zero rate2.557%30Y zero rate3.268%Jan 23, 20172Y zero rate1.165%10Y zero rate2.481%30Y zero rate3.196%Jan 24, 20172Y zero rate1.215%10Y zero rate2.546%30Y zero rate3.259%Jan 25, 20172Y zero rate1.232%10Y zero rate2.604%30Y zero rate3.317%Jan 26, 20172Y zero rate1.212%10Y zero rate2.589%30Y zero rate3.304%Jan 27, 20172Y zero rate1.213%10Y zero rate2.569%30Y zero rate3.272%Jan 30, 20172Y zero rate1.209%10Y zero rate2.571%30Y zero rate3.307%Jan 31, 20172Y zero rate1.204%10Y zero rate2.528%30Y zero rate3.275%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across January 2017.
TenorFirstLastChangeLowHigh
2Y1.230%1.204%-2.6 bp1.165%Jan 23, 20171.252%Jan 19, 2017
10Y2.540%2.528%-1.2 bp2.404%Jan 17, 20172.604%Jan 25, 2017
30Y3.265%3.275%+1.0 bp3.144%Jan 17, 20173.317%Jan 25, 2017

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 2017.
Date1Y2Y3Y5Y7Y10Y15Y20Y25Y30Y
Jan 3, 20170.905%1.230%1.524%1.979%2.278%2.540%2.769%2.935%3.099%3.265%
Jan 4, 20170.899%1.241%1.538%1.987%2.281%2.542%2.774%2.941%3.103%3.267%
Jan 5, 20170.858%1.191%1.476%1.909%2.196%2.456%2.689%2.853%3.012%3.174%
Jan 6, 20170.873%1.241%1.538%1.967%2.247%2.501%2.730%2.891%3.050%3.215%
Jan 9, 20170.866%1.208%1.499%1.930%2.207%2.453%2.680%2.852%3.020%3.188%
Jan 10, 20170.850%1.214%1.506%1.928%2.204%2.456%2.690%2.857%3.018%3.181%
Jan 11, 20170.870%1.208%1.497%1.926%2.203%2.447%2.670%2.839%3.005%3.172%
Jan 12, 20170.851%1.203%1.488%1.906%2.182%2.439%2.677%2.844%3.004%3.167%
Jan 13, 20170.877%1.222%1.515%1.948%2.223%2.468%2.699%2.874%3.040%3.201%
Jan 17, 20170.845%1.175%1.457%1.878%2.153%2.404%2.642%2.819%2.985%3.144%
Jan 18, 20170.884%1.237%1.538%1.977%2.252%2.492%2.720%2.894%3.056%3.209%
Jan 19, 20170.884%1.252%1.563%2.016%2.300%2.546%2.766%2.931%3.092%3.252%
Jan 20, 20170.864%1.222%1.533%1.999%2.297%2.557%2.782%2.945%3.105%3.268%
Jan 23, 20170.813%1.165%1.467%1.921%2.217%2.481%2.717%2.883%3.040%3.196%
Jan 24, 20170.855%1.215%1.524%1.986%2.283%2.546%2.779%2.946%3.104%3.259%
Jan 25, 20170.852%1.232%1.558%2.038%2.341%2.604%2.837%3.005%3.163%3.317%
Jan 26, 20170.859%1.212%1.527%2.008%2.319%2.589%2.822%2.986%3.145%3.304%
Jan 27, 20170.863%1.213%1.523%1.995%2.301%2.569%2.800%2.962%3.117%3.272%
Jan 30, 20170.856%1.209%1.519%1.992%2.299%2.571%2.811%2.981%3.144%3.307%
Jan 31, 20170.864%1.204%1.502%1.957%2.257%2.528%2.774%2.950%3.114%3.275%

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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