← Damiana Data models·U.S. Department of the Treasury, Daily Treasury Par Yield Curve Rates (public domain)
Model · Treasury par yield curve
Thirty-six years of the yield curve as one surface
Every trading day since 1990 is a slice across maturities. Amber slices are days when the 10-year yield sat below the 2-year. Holes are maturities Treasury didn’t publish on those dates. Nothing is filled in.
drag to turn
Encoding
across
date, Jan 2, 1990 to (every 5th trading day shown)
depth
maturity, 1 month to 30 years, on a log scale so the short end is visible
height
par yield, percent
amber
10-year minus 2-year below zero on that day
holes
unpublished: 20-year before Oct 1993, 30-year Feb 2002–Feb 2006, 1-month before Aug 2001, newer bills before they began
10-year / 2-year inversions of 20+ trading days
From
To
Days
Deepest
An episode is a run of consecutive trading days below zero, defined before charting and not merged across positive days.