Over Six Decades of Yield Curve Animation



An improved version of this spreadsheet can be found on post: http://pistulka.com/Other/?p=3510


This spreadsheet is mostly for fun, but it does show the volatility of the Treasury yield curve. I took the yields from Federal Reserves  H.15 Selected Interest Rates, downloaded using FRED. I used the 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, and 30Y constant maturity rates, on a monthly basis. I’m not assuming that these rates are a true indication of what the Treasury curve was at any given time in the past. In fact, yield indications on many longer-term Treasury issues were callable in the past (see Treasury Issues History). Some rates were not there for all curves and some issues like the 30-year, were stopped and then restarted.

It might give those that did not live through this period, a better understanding of the volatility of the curve. As the yield curves moves through history, it appears like a snake, with the short end being the head. The head of the snake was the most volatile. As the snake gets closer to 2015, it shows how the Federal Reserve has slowly killed the snake. Starting on the head and finally the tail.


After you click the button to see the animation, you can use the scroll bar to look at any month end during this period.

Don Pistulka

Retired Credit Union CFO - Finance
Background: over 40 years in investments, asset/Liability management, banking, securities trader.
Worked for: California Credit Union, WesCorp, CalFed S&L, Crocker Bank, Carroll McEntee, Federal Home Loan Bank Board (D.C.), Western Asset Management, Security Pacific National Bank.

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