Yield Curve

About the yield curve

What a yield curve is

A yield curve shows the yields on U.S. Treasury securities of different maturities on one date, from the 1-month bill to the 30-year bond. Each point is one maturity: the time until the security is repaid runs along the bottom, and its yield in percent runs up the side. The points are spaced by length of time, so the 10-year sits a third of the way to the 30-year and the line keeps the curve's true shape.

Where the figures come from

Every yield in the yield curve sections at the top of this page is a par yield from the U.S. Department of the Treasury's Daily Treasury Par Yield Curve Rates, which Treasury publishes for each trading day, in percent to two decimal places. The real yields further down are par real yields from Treasury's separate Daily Treasury Par Real Yield Curve Rates. The breakevens are Calculated from Treasury data (approximation), using the par yields and the real yields. The page covers every record date from January 3, 2005 to the latest. Treasury publishes the yields and the real yields; the spreads and the breakevens are calculated from them.

Maturities Treasury did not publish

Treasury did not publish every maturity on every date. In this history, Treasury's first published yields are on February 9, 2006 for the 30-year, October 16, 2018 for the 2-month, October 19, 2022 for the 4-month and February 18, 2025 for the 6-week. Treasury also left the 3-month blank on three dates in December 2008, and listed October 11, 2010 with no yields at all, so that date is not a record date on this page. A maturity Treasury did not publish is left off that date's curve, the line joins the maturities Treasury did publish, and a note under the chart names what is not shown. GENM never fills in or estimates a missing yield.

The spreads

The 10-year minus 2-year spread is the 10-year yield minus the 2-year yield on the same date, in percentage points. The 10-year minus 3-month spread is worked out the same way. Both are calculated from Treasury data, and only on dates when Treasury published both yields; on any other date the page shows "Not available for this date". A negative spread means the shorter maturity's yield was higher than the 10-year yield on that date.

Reading the curve

Under the first chart, a short strip puts the curve for the record date shown into words. It lists the 1-month, 2-year, 10-year and 30-year yields, then the difference in percentage points between each neighboring pair: 1 month to 2 years, 2 to 10 years and 10 to 30 years. Each difference is the longer maturity's yield minus the shorter one's. Differences under 0.10 percentage points are described as about the same. The strip changes with the date slider and with Play, and it is calculated from Treasury data. If Treasury did not publish one of the four yields on a date, the strip says "Not available for this date" and GENM does not estimate it. The strip describes that one date; it does not say what the curve means for anyone's money.

Replaying the curve

The date slider under the first chart moves through every record date since January 3, 2005, one record date at a time. Play steps forward through the dates and stops at the latest; it pauses while the chart is off screen. The spread chart below it shows the 10-year minus 2-year spread on every record date, with a line at the date shown above. The page address holds the slider's date as ?date=, written when you release the slider or pause Play, so a copied address opens on the same record date.

How Then and Now works

Then and Now keeps the curve for the latest record date on screen as a solid gold line and adds a dashed curve for any record date since January 3, 2005. Each curve shows only the maturities Treasury published on its own date. The comparison opens on the first record date in this history. Three buttons jump to the Treasury record dates of three Federal Open Market Committee statements on the federal funds rate; each label states the date and what the statement announced, and the statements are linked under the buttons. One statement came out on a Sunday, when Treasury published no curve, so its button uses the next trading day. The page address holds the comparison date, so a copied link opens the same comparison. A date in a link that is not a record date opens on the nearest earlier record date, with a note.

Yield Curve Replays

The Yield Curve Replays section plays three dated windows one record date at a time: September 18, 2007 to December 16, 2008 (the 2008 financial crisis), March 3 to March 16, 2020, and March 16 to December 14, 2022 (the 2022 yield rise). Each window runs from one record date to another, both included. These three windows are examples chosen by GENM, and other periods are not shown. Every yield is Treasury's, and the 10-year minus 2-year spread is calculated from Treasury data. Each replay opens on its first record date, and Play steps forward to the last. Under the moving curve, one chart shows the 3-month, 2-year, 10-year and 30-year yields over the whole window and another shows the 10-year minus 2-year spread, each with a line at the date shown and a text summary of the latest value and the range with dates. Treasury did not publish the 3-month yield on December 10, 2008, which falls inside the first window: that date reads "Not available for this date", the line breaks there, and GENM never fills in or estimates a missing yield. The replays describe what Treasury yields did on those dates. The charts show yields, not prices. When a yield rises, the market price of an existing bond of that kind falls, and the reverse. Prices are not shown.

The bill ladder

The Treasury Bill Ladder shows rates on Treasury bills, the Treasury securities that mature in one year or less, from the U.S. Department of the Treasury's Daily Treasury Bill Rates. Treasury publishes two rates for each bill: the bank discount rate and the coupon equivalent. Treasury's Daily Treasury Bill Rates page states: "The Coupon Equivalent can be used to compare the yield on a discount bill to the yield on a nominal coupon security that pays semiannual interest with the same maturity date." This page shows the coupon equivalent, so the bills can be read beside the notes and bonds on the yield curve above. This history starts January 3, 2005. Treasury's first published rates in it are June 3, 2008 for the 52-week bill, October 16, 2018 for the 8-week, October 19, 2022 for the 17-week and February 18, 2025 for the 6-week. Treasury left the 4-week blank on December 21, 2009 and listed October 11, 2010 with no rates. A bill Treasury did not publish is left off that date's ladder, and a note under the chart names it. GENM never fills in or estimates a missing rate.

The long-term composite rate

The Treasury Long-Term Composite Rate comes from the U.S. Department of the Treasury's Daily Treasury Long-Term Rates. Treasury's Daily Treasury Long-Term Rates page states: "The Long-Term Composite Rate is the unweighted average of bid yields on all outstanding fixed-coupon bonds neither due nor callable in less than 10 years." It is an average across many bonds, not a point on the yield curve above, so on any date it can differ from the 10-year, 20-year and 30-year yields. This history starts January 3, 2005, and Treasury published the rate on every record date in it. Treasury's page also lists the 20-year rate and, until February 8, 2006, an extrapolation factor Treasury published for estimating a 30-year rate while its 30-year series was discontinued. Neither is part of the composite rate, and this page does not show them. GENM never fills in or estimates a missing rate.

Real yields and breakevens

The real yields come from the U.S. Department of the Treasury's Daily Treasury Par Real Yield Curve Rates. Treasury's Daily Treasury Par Real Yield Curve Rates page states: "Par real yields on Treasury Inflation Protected Securities (TIPS) at 'constant maturity' are interpolated by the U.S. Treasury from Treasury's daily par real yield curve." This history starts January 3, 2005. Treasury's first published 30-year real yield in it is February 22, 2010; a maturity Treasury did not publish is left off that date's curve, and a note under the chart names it. Treasury's page also notes a series break: starting December 1, 2008, its real yield curve uses the most recently auctioned TIPS rather than all of them, and the values from September 2 to November 28, 2008 use the earlier method and remain official. This page shows Treasury's values as published.

The breakevens and the 5Y5Y are calculated from Treasury data and are approximations, not Treasury figures. The 5-year breakeven is the 5-year par yield minus the 5-year real yield on the same date, and the 10-year breakeven is the 10-year par yield minus the 10-year real yield. The 5Y5Y is two times the 10-year breakeven minus the 5-year breakeven. Each is rounded to two decimal places and shown only on dates when Treasury published every yield it needs; on any other date the page shows "Not available for this date", and the chart shows a gap. GENM never fills in or estimates a missing yield.

Under the breakevens, a chart shows one maturity at a time, the 5-year or the 10-year, with three lines: the par yield, the real yield and the breakeven, which is the par yield minus the real yield. When the real yield is below zero, the par yield is below the breakeven. Bands mark stretches of consecutive record dates when the real yield was below zero. A date when Treasury published no real yield ends a stretch, and stretches are never joined across it. The text under the chart gives the number of record dates below zero, the number of stretches and the latest stretch with its first and last dates. Below it, a second chart shows the real yield beside the par yield for the 7-year, 20-year or 30-year. This page shows no breakevens for those maturities, because it calculates them only for the 5-year and 10-year. The charts show Treasury's values as published, including the series break in 2008 noted beside the first chart, and the breakeven is an approximation calculated from Treasury data.

If the data cannot load

If the GENM data service cannot be reached, the page shows the last Treasury data saved in your browser, with the date it was saved. With reduced motion turned on in your device settings, the curves change without animation.

What this page is not

This page shows Treasury's published yields and arithmetic on them, and describes what the curve looked like on each date. It does not say what the curve means for anyone's money or what yields will do next. Nothing on it is financial or investment advice.