US Treasury rates, August 2020

Zero rates at all 10 fitted maturities on each of 21 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%0.25%0.50%0.75%1.00%1.25%1.50%1.75%Aug 3, 2020Aug 31, 2020Aug 3, 20202Y zero rate0.120%10Y zero rate0.566%30Y zero rate1.384%Aug 4, 20202Y zero rate0.115%10Y zero rate0.525%30Y zero rate1.333%Aug 5, 20202Y zero rate0.124%10Y zero rate0.558%30Y zero rate1.365%Aug 6, 20202Y zero rate0.126%10Y zero rate0.547%30Y zero rate1.337%Aug 7, 20202Y zero rate0.136%10Y zero rate0.573%30Y zero rate1.378%Aug 10, 20202Y zero rate0.138%10Y zero rate0.589%30Y zero rate1.403%Aug 11, 20202Y zero rate0.159%10Y zero rate0.643%30Y zero rate1.468%Aug 12, 20202Y zero rate0.167%10Y zero rate0.686%30Y zero rate1.518%Aug 13, 20202Y zero rate0.176%10Y zero rate0.716%30Y zero rate1.577%Aug 14, 20202Y zero rate0.160%10Y zero rate0.712%30Y zero rate1.608%Aug 17, 20202Y zero rate0.160%10Y zero rate0.692%30Y zero rate1.597%Aug 18, 20202Y zero rate0.152%10Y zero rate0.674%30Y zero rate1.558%Aug 19, 20202Y zero rate0.148%10Y zero rate0.687%30Y zero rate1.581%Aug 20, 20202Y zero rate0.143%10Y zero rate0.654%30Y zero rate1.546%Aug 21, 20202Y zero rate0.153%10Y zero rate0.645%30Y zero rate1.510%Aug 24, 20202Y zero rate0.160%10Y zero rate0.658%30Y zero rate1.510%Aug 25, 20202Y zero rate0.159%10Y zero rate0.691%30Y zero rate1.548%Aug 26, 20202Y zero rate0.163%10Y zero rate0.700%30Y zero rate1.568%Aug 27, 20202Y zero rate0.163%10Y zero rate0.750%30Y zero rate1.658%Aug 28, 20202Y zero rate0.138%10Y zero rate0.747%30Y zero rate1.681%Aug 31, 20202Y zero rate0.136%10Y zero rate0.725%30Y zero rate1.642%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across August 2020.
TenorFirstLastChangeLowHigh
2Y0.120%0.136%+1.7 bp0.115%Aug 4, 20200.176%Aug 13, 2020
10Y0.566%0.725%+15.9 bp0.525%Aug 4, 20200.750%Aug 27, 2020
30Y1.384%1.642%+25.9 bp1.333%Aug 4, 20201.681%Aug 28, 2020

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 2020.
Date1Y2Y3Y5Y7Y10Y15Y20Y25Y30Y
Aug 3, 20200.128%0.120%0.141%0.242%0.371%0.566%0.851%1.078%1.253%1.384%
Aug 4, 20200.127%0.115%0.128%0.216%0.337%0.525%0.806%1.031%1.204%1.333%
Aug 5, 20200.133%0.124%0.143%0.241%0.367%0.558%0.839%1.063%1.236%1.365%
Aug 6, 20200.136%0.126%0.144%0.238%0.361%0.547%0.822%1.042%1.211%1.337%
Aug 7, 20200.136%0.136%0.158%0.257%0.382%0.573%0.854%1.077%1.249%1.378%
Aug 10, 20200.142%0.138%0.162%0.265%0.394%0.589%0.873%1.100%1.274%1.403%
Aug 11, 20200.157%0.159%0.188%0.301%0.439%0.643%0.937%1.168%1.342%1.468%
Aug 12, 20200.158%0.167%0.203%0.328%0.473%0.686%0.988%1.221%1.394%1.518%
Aug 13, 20200.159%0.176%0.217%0.348%0.498%0.716%1.027%1.267%1.447%1.577%
Aug 14, 20200.151%0.160%0.199%0.331%0.486%0.712%1.036%1.287%1.473%1.608%
Aug 17, 20200.148%0.160%0.195%0.317%0.467%0.692%1.017%1.270%1.460%1.597%
Aug 18, 20200.146%0.152%0.184%0.306%0.454%0.674%0.990%1.237%1.423%1.558%
Aug 19, 20200.142%0.148%0.182%0.308%0.461%0.687%1.010%1.261%1.447%1.581%
Aug 20, 20200.141%0.143%0.175%0.294%0.439%0.654%0.967%1.215%1.405%1.546%
Aug 21, 20200.149%0.153%0.182%0.296%0.436%0.645%0.949%1.190%1.374%1.510%
Aug 24, 20200.153%0.160%0.192%0.308%0.449%0.658%0.961%1.199%1.379%1.510%
Aug 25, 20200.150%0.159%0.198%0.324%0.472%0.691%1.004%1.244%1.421%1.548%
Aug 26, 20200.156%0.163%0.196%0.321%0.474%0.700%1.022%1.266%1.445%1.568%
Aug 27, 20200.148%0.163%0.208%0.344%0.506%0.750%1.097%1.356%1.538%1.658%
Aug 28, 20200.131%0.138%0.178%0.318%0.489%0.747%1.109%1.375%1.559%1.681%
Aug 31, 20200.134%0.136%0.174%0.308%0.474%0.725%1.078%1.338%1.520%1.642%

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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