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Release Date: December 29, 2003
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FEDERAL RESERVE STATISTICAL RELEASE
H.15 (519) For immediate release
December 29, 2003
SELECTED INTEREST RATES
Yields in percent per annum
*
2003 2003 2003 2003 2003 Week Ending 2003
Dec Dec Dec Dec Dec Dec Dec Nov
Instruments 22 23 24 25 26 26 19
Federal funds (effective) 1 2 3 1.02 1.00 0.97 0.97 0.97 0.99 1.00 1.00
Commercial paper 3 4 5 6
Nonfinancial
1-month 1.02 1.09 1.07 1.05 1.06 1.03 1.02
2-month 1.09 1.02 1.08 1.05 1.06 1.05 1.05
3-month 1.06 n.a. n.a. n.a. 1.06 1.07 1.06
Financial
1-month 1.06 1.06 1.06 1.04 1.06 1.06 1.03
2-month 1.07 1.07 1.07 1.05 1.07 1.06 1.06
3-month 1.08 1.07 1.06 1.06 1.07 1.07 1.08
CDs (secondary market) 3 7
1-month 1.08 1.08 1.07 1.08 1.08 1.08 1.06
3-month 1.10 1.10 1.10 1.10 1.10 1.10 1.11
6-month 1.16 1.16 1.17 1.16 1.16 1.15 1.17
Eurodollar deposits (London) 3 8
1-month 1.07 1.07 1.07 1.12 1.08 1.06 1.04
3-month 1.08 1.09 1.09 1.13 1.10 1.09 1.10
6-month 1.15 1.16 1.16 1.21 1.17 1.15 1.17
Bank prime loan 2 3 9 4.00 4.00 4.00 4.00 4.00 4.00 4.00 4.00
Discount window primary credit 2 10 2.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00
U.S. government securities
Treasury bills (secondary market) 3 4
4-week 0.86 0.87 0.86 0.74 0.83 0.85 0.92
3-month 0.89 0.88 0.88 0.85 0.88 0.88 0.93
6-month 0.97 0.98 0.98 0.97 0.98 0.96 1.02
Treasury constant maturities 11
1-month 0.88 0.89 0.87 0.76 0.85 0.87 0.94
3-month 0.90 0.90 0.90 0.87 0.89 0.90 0.95
6-month 0.99 1.00 1.00 0.99 1.00 0.98 1.04
1-year 1.27 1.31 1.28 1.27 1.28 1.27 1.34
2-year 1.84 1.96 1.83 1.82 1.86 1.84 1.93
3-year 2.37 2.47 2.36 2.33 2.38 2.38 2.45
5-year 3.19 3.30 3.20 3.17 3.22 3.20 3.29
7-year 3.70 3.81 3.72 3.67 3.73 3.71 3.81
10-year 4.18 4.28 4.20 4.17 4.21 4.20 4.30
20-year 5.02 5.09 5.02 4.99 5.03 5.05 5.17
Treasury long-term average
(25 years and above) 12 13 5.06 5.13 5.07 5.05 5.08 5.10 5.20
Interest rate swaps 14
1-year 1.46 1.48 1.47 1.45 1.47 1.46 1.52
2-year 2.16 2.21 2.20 2.13 2.17 2.16 2.23
3-year 2.75 2.82 2.80 2.73 2.77 2.75 2.84
4-year 3.21 3.28 3.28 3.20 3.24 3.21 3.31
5-year 3.58 3.65 3.65 3.57 3.61 3.57 3.67
7-year 4.07 4.14 4.14 4.07 4.10 4.08 4.19
10-year 4.54 4.61 4.62 4.55 4.58 4.58 4.68
30-year 5.27 5.32 5.35 5.30 5.31 5.34 5.42
Corporate bonds
Moody's seasoned
Aaa 15 5.53 5.60 5.56 5.52 5.55 5.57 5.65
Baa 6.52 6.59 6.54 6.50 6.54 6.54 6.66
State & local bonds 16 4.58 4.58 4.57 4.73
Conventional mortgages 17 5.81 5.81 5.82 5.93
---------
See overleaf for footnotes
* Markets closed
n.a.--not available
FOOTNOTES
1. The daily effective federal funds rate is a weighted average of rates on brokered trades.
2. Weekly figures are averages of 7 calendar days ending on Wednesday of the current week;
monthly figures include each calendar day in the month.
3. Annualized using a 360-day year or bank interest.
4. On a discount basis.
5. Interest rates interpolated from data on certain commercial paper trades settled by The Depository
Trust Company. The trades represent sales of commercial paper by dealers or direct issuers to
investors (that is, the offer side). See Board's Commercial Paper Web pages
(http://www.federalreserve.gov/releases/cp) for more information.
6. The 1-, 2-, and 3-month rates are equivalent to the 30-, 60-, and 90-day dates reported on the
Board's Commercial Paper Web page.
7. An average of dealer offering rates on nationally traded certificates of deposit.
8. Bid rates for Eurodollar deposits collected around 9:30 a.m. Eastern time.
9. Rate posted by a majority of top 25 (by assets in domestic offices) insured U.S.-chartered commercial
banks. Prime is one of several base rates used by banks to price short-term business loans.
10. The rate charged for discounts made and advances extended under the Federal Reserve's primary credit
discount window program, which became effective January 9, 2003. This rate replaces that for
adjustment credit, which was discontinued after January 8, 2003. For further information, see
www.federalreserve.gov/boarddocs/press/bcreg/2002/200210312/default.htm.
The rate reported is that for the Federal Reserve Bank of New York. Historical series for the rate on
adjustment credit is available at www.federalreserve.gov/releases/h15/data.htm.
11. Yields on actively traded issues adjusted to constant maturities. Source: U.S. Treasury.
12. Based on the unweighted average of the bid yields for all Treasury fixed-coupon securities with
remaining terms to maturity of 25 years and over.
13. A factor for adjusting the daily long-term average in order to estimate a 30-year rate can be
found at http://www.treas.gov/offices/domestic-finance/debt-management/interest-rate/ltcompositeindex.html .
14. International Swaps and Derivatives Association (ISDA) mid-market par swap rates. Rates are for a Fixed
Rate Payer in return for receiving three month LIBOR, and are based on rates collected at 11:00 a.m. by
Garban Intercapital plc and published on Reuters Page ISDAFIX1. Source: Reuters Limited.
15. Moody's Aaa rates through December 6, 2001 are averages of Aaa utility and Aaa industrial bond rates.
As of December 7, 2001, these rates are averages of Aaa industrial bonds only.
16. Bond Buyer Index, general obligation, 20 years to maturity, mixed quality; Thursday quotations.
17. Contract interest rates on commitments for fixed-rate first mortgages. Source: FHLMC.
Note: Weekly and monthly figures are averages of business days unless otherwise noted.
Current and historical H.15 data are available on the Federal Reserve Board's web site
(http://www.federalreserve.gov/). For information about individual copies or subscriptions, contact
Publications Services at the Federal Reserve Board (phone 202-452-3244, fax 202-728-5886).
For paid electronic access to current and historical data, call STAT-USA at 1-800-782-8872 or
202-482-1986.
DESCRIPTION OF THE TREASURY CONSTANT MATURITY SERIES
Yields on Treasury securities at "constant maturity" are interpolated by the U.S. Treasury from the
daily yield curve. This curve, which relates the yield on a security to its time to maturity, is
based on the closing market bid yields on actively traded Treasury securities in the over-the-counter
market. These market yields are calculated from composites of quotations obtained by the Federal
Reserve Bank of New York. The constant maturity yield values are read from the yield curve at fixed
maturities, currently 1, 3 and 6 months and 1, 2, 3, 5, 7, 10 and 20 years. This method provides
a yield for a 10-year maturity, for example, even if no outstanding security has exactly 10 years
remaining to maturity.
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