yield curve history - 23 mar 2022

Testing

yct-2022-03-23.png
yct-2022-03-23.pdf (hi-res)

Yields

DATE         TB3   GS1   GS2   GS5   GS7  GS10  GS20  GS30
       ...   ...   ...   ...   ...   ...   ...   ...   ...
   2021-11  0.05  0.18  0.51  1.20  1.45  1.56  1.97  1.94
   2021-12  0.06  0.30  0.68  1.23  1.40  1.47  1.90  1.85
   2022-01  0.15  0.55  0.98  1.54  1.70  1.76  2.15  2.10
   2022-02  0.33  1.00  1.44  1.81  1.91  1.93  2.31  2.25
2022-03-23  0.50  1.52  2.13  2.34  2.37  2.32  2.65  2.52

Yield spreads

DATE        yc_1_2  yc_2_5  yc_2_10  yc_5_30  yc_3m_10  yc_3m_30  yc_slope  yc_sum  yc_sum_sma3  yc_sum_sma6
       ...     ...     ...      ...      ...       ...       ...       ...     ...          ...          ...
   2021-11    0.33    0.69     1.05     0.74      1.51      1.89      3.05    4.63         4.75         4.77
   2021-12    0.38    0.55     0.79     0.62      1.41      1.79      2.75    4.14         4.58         4.59
   2022-01    0.43    0.56     0.78     0.56      1.61      1.95      2.88    4.38         4.38         4.55
   2022-02    0.44    0.37     0.49     0.44      1.60      1.92      2.57    3.91         4.15         4.45
2022-03-23    0.61    0.21     0.19     0.18      1.82      2.02      2.43    3.73         4.01         4.30