US Treasury rates, August 2017

Zero rates at all 10 fitted maturities on each of 23 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%Aug 1, 2017Aug 31, 2017Aug 1, 20172Y zero rate1.357%10Y zero rate2.313%30Y zero rate3.040%Aug 2, 20172Y zero rate1.369%10Y zero rate2.318%30Y zero rate3.028%Aug 3, 20172Y zero rate1.348%10Y zero rate2.285%30Y zero rate2.990%Aug 4, 20172Y zero rate1.370%10Y zero rate2.320%30Y zero rate3.023%Aug 7, 20172Y zero rate1.373%10Y zero rate2.313%30Y zero rate3.021%Aug 8, 20172Y zero rate1.380%10Y zero rate2.339%30Y zero rate3.050%Aug 9, 20172Y zero rate1.353%10Y zero rate2.297%30Y zero rate3.002%Aug 10, 20172Y zero rate1.350%10Y zero rate2.258%30Y zero rate2.958%Aug 11, 20172Y zero rate1.314%10Y zero rate2.247%30Y zero rate2.964%Aug 14, 20172Y zero rate1.343%10Y zero rate2.281%30Y zero rate2.985%Aug 15, 20172Y zero rate1.369%10Y zero rate2.324%30Y zero rate3.011%Aug 16, 20172Y zero rate1.350%10Y zero rate2.284%30Y zero rate2.979%Aug 17, 20172Y zero rate1.332%10Y zero rate2.246%30Y zero rate2.949%Aug 18, 20172Y zero rate1.335%10Y zero rate2.248%30Y zero rate2.945%Aug 21, 20172Y zero rate1.331%10Y zero rate2.239%30Y zero rate2.938%Aug 22, 20172Y zero rate1.347%10Y zero rate2.271%30Y zero rate2.964%Aug 23, 20172Y zero rate1.334%10Y zero rate2.225%30Y zero rate2.925%Aug 24, 20172Y zero rate1.351%10Y zero rate2.246%30Y zero rate2.945%Aug 25, 20172Y zero rate1.356%10Y zero rate2.223%30Y zero rate2.925%Aug 28, 20172Y zero rate1.345%10Y zero rate2.212%30Y zero rate2.938%Aug 29, 20172Y zero rate1.329%10Y zero rate2.181%30Y zero rate2.925%Aug 30, 20172Y zero rate1.334%10Y zero rate2.193%30Y zero rate2.930%Aug 31, 20172Y zero rate1.331%10Y zero rate2.164%30Y zero rate2.908%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across August 2017.
TenorFirstLastChangeLowHigh
2Y1.357%1.331%-2.6 bp1.314%Aug 11, 20171.380%Aug 8, 2017
10Y2.313%2.164%-14.9 bp2.164%Aug 31, 20172.339%Aug 8, 2017
30Y3.040%2.908%-13.3 bp2.908%Aug 31, 20173.050%Aug 8, 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 August 2017.
Date1Y2Y3Y5Y7Y10Y15Y20Y25Y30Y
Aug 1, 20171.225%1.357%1.516%1.822%2.064%2.313%2.565%2.743%2.898%3.040%
Aug 2, 20171.230%1.369%1.531%1.835%2.074%2.318%2.558%2.727%2.881%3.028%
Aug 3, 20171.219%1.348%1.505%1.806%2.044%2.285%2.522%2.689%2.842%2.990%
Aug 4, 20171.226%1.370%1.532%1.835%2.074%2.320%2.565%2.735%2.883%3.023%
Aug 7, 20171.237%1.373%1.530%1.830%2.067%2.313%2.557%2.727%2.877%3.021%
Aug 8, 20171.234%1.380%1.544%1.852%2.092%2.339%2.584%2.755%2.906%3.050%
Aug 9, 20171.213%1.353%1.513%1.816%2.054%2.297%2.539%2.709%2.859%3.002%
Aug 10, 20171.207%1.350%1.505%1.790%2.018%2.258%2.504%2.674%2.821%2.958%
Aug 11, 20171.198%1.314%1.460%1.754%1.994%2.247%2.501%2.673%2.823%2.964%
Aug 14, 20171.212%1.343%1.495%1.791%2.030%2.281%2.527%2.693%2.841%2.985%
Aug 15, 20171.219%1.369%1.533%1.839%2.078%2.324%2.564%2.726%2.871%3.011%
Aug 16, 20171.210%1.350%1.506%1.800%2.036%2.284%2.534%2.701%2.845%2.979%
Aug 17, 20171.207%1.332%1.481%1.770%2.002%2.246%2.493%2.663%2.811%2.949%
Aug 18, 20171.187%1.335%1.491%1.778%2.006%2.248%2.494%2.662%2.807%2.945%
Aug 21, 20171.206%1.331%1.480%1.769%1.999%2.239%2.480%2.648%2.797%2.938%
Aug 22, 20171.208%1.347%1.505%1.801%2.033%2.271%2.508%2.673%2.821%2.964%
Aug 23, 20171.205%1.334%1.481%1.761%1.987%2.225%2.466%2.634%2.782%2.925%
Aug 24, 20171.203%1.351%1.505%1.786%2.009%2.246%2.488%2.655%2.803%2.945%
Aug 25, 20171.211%1.356%1.505%1.774%1.990%2.223%2.466%2.635%2.784%2.925%
Aug 28, 20171.210%1.345%1.487%1.754%1.972%2.212%2.464%2.639%2.791%2.938%
Aug 29, 20171.203%1.329%1.465%1.725%1.941%2.181%2.438%2.617%2.775%2.925%
Aug 30, 20171.211%1.334%1.475%1.744%1.961%2.193%2.439%2.620%2.781%2.930%
Aug 31, 20171.216%1.331%1.464%1.723%1.934%2.164%2.411%2.594%2.757%2.908%

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.

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