FRB: March 2004 Statistical Supplement--Interest Rates, Money and Capital Markets

Statistical Supplement | March 2004

Statistical Supplement to the Federal Reserve Bulletin, March 2004

1.35 Interest Rates, Money and Capital Markets
Item		2001	2002	2003	2003				2003, week ending
Percent per year; figures are averages of business day data unless otherwise noted
Item		2001	2002	2003	Sept	Oct	Nov	Dec	Nov 28	Dec 5	Dec 12	Dec 19	Dec 26
Money Market Instruments
1	Federal funds¹^, ²^, ³	3.88	1.67	1.13	1.01	1.01	1.00	0.98	0.99	1.00	0.98	1.00	0.99
2	Discount window primary credit²^, ⁴	n.a.	n.a.	n.a.	2.00	2.00	2.00	2.00	2.00	2.00	2.00	2.00	2.00

	Commercial paper³^, ⁵^, ⁶
	Nonfinancial
3	1-month	3.78	1.67	1.11	1.02	1.02	1.02	1.03	1.02	1.02	1.02	1.03	1.06
4	2-month	3.68	1.67	1.11	1.03	1.02	1.05	1.05	1.05	1.05	1.05	1.05	1.06
5	3-month	3.65	1.69	1.11	1.04	1.05	1.06	1.05	1.07	1.06	1.05	1.07	1.06

	Financial
6	1-month	3.80	1.68	1.12	1.04	1.03	1.03	1.05	1.02	1.04	1.06	1.06	1.06
7	2-month	3.71	1.69	1.13	1.05	1.04	1.06	1.07	1.06	1.07	1.08	1.06	1.07
8	3-month	3.65	1.70	1.13	1.06	1.06	1.08	1.07	1.07	1.08	1.08	1.07	1.07

	Certificates of deposit, secondary market³^, ⁷
9	1-month	3.84	1.72	1.15	1.07	1.06	1.06	1.09	1.07	1.10	1.09	1.08	1.08
10	3-month	3.71	1.73	1.15	1.08	1.10	1.11	1.10	1.11	1.11	1.10	1.10	1.10
11	6-month	3.66	1.81	1.17	1.13	1.14	1.17	1.17	1.18	1.20	1.17	1.15	1.16

12	Eurodollar deposits, 3-month³^, ⁸	3.70	1.73	1.14	1.08	1.09	1.10	1.09	1.10	1.10	1.09	1.09	1.10

	U.S. Treasury bills
	Secondary market³^, ⁵
13	4-week	2.43	1.60	1.00	0.89	0.89	0.92	0.87	0.94	0.93	0.89	0.85	0.83
14	3-month	3.40	1.61	1.01	0.94	0.92	0.93	0.90	0.93	0.92	0.90	0.88	0.88
15	6-month	3.34	1.68	1.05	1.01	1.00	1.02	0.99	1.02	1.02	1.00	0.96	0.98

U.S. Treasury Notes and Bonds
	Constant maturities⁹
16	1-year	3.49	2.00	1.24	1.24	1.25	1.34	1.31	1.35	1.37	1.31	1.27	1.28
17	2-year	3.83	2.64	1.65	1.71	1.75	1.93	1.91	1.97	2.04	1.90	1.84	1.86
18	3-year	4.09	3.10	2.10	2.23	2.26	2.45	2.44	2.47	2.58	2.45	2.38	2.38
19	5-year	4.56	3.82	2.97	3.18	3.19	3.29	3.27	3.27	3.40	3.27	3.20	3.22
20	7-year	4.88	4.30	3.52	3.74	3.75	3.81	3.79	3.79	3.92	3.80	3.71	3.73
21	10-year	5.02	4.61	4.01	4.27	4.29	4.30	4.27	4.25	4.36	4.29	4.20	4.21
22	20-year	5.63	5.43	4.96	5.21	5.21	5.17	5.11	5.13	5.20	5.15	5.05	5.03

	Treasury long-term average¹⁰^, ¹¹
23	25 years and above	n.a.	5.41	5.02	5.23	5.24	5.20	5.15	5.15	5.22	5.19	5.10	5.08

State and Local Notes and Bonds
	Moody's series¹²
24	Aaa	5.01	4.87	4.52	4.63	4.64	4.50	4.41	4.38	4.54	4.34	4.38	4.38
25	Baa	5.75	5.64	5.20	5.23	5.20	5.10	4.97	4.98	5.10	4.90	4.94	4.94
26	Bond Buyer series¹³	5.15	5.04	4.75	4.92	4.89	4.73	4.65	4.66	4.73	4.70	4.57	4.58

Corporate Bonds
27	Seasoned issues, all industries¹⁴	7.49	7.10	6.24	6.26	6.22	6.17	6.11	6.12	6.17	6.15	6.06	6.04

	Rating group
28	Aaa¹⁵	7.08	6.49	5.66	5.72	5.70	5.65	5.62	5.60	5.67	5.67	5.57	5.55
29	Aa	7.26	6.93	6.14	6.13	6.11	6.09	6.02	6.05	6.08	6.06	5.97	5.95
30	A	7.67	7.18	6.38	6.42	6.33	6.27	6.19	6.22	6.27	6.23	6.14	6.12
31	Baa	7.95	7.80	6.76	6.79	6.73	6.66	6.60	6.61	6.66	6.63	6.54	6.54

	Memo
	Dividend-price ratio¹⁶
32	Common stocks	1.32	1.61	1.72	1.63	1.62	1.63	1.60	1.62	1.62	1.62	1.60	1.58

Note. Some of the data in this table also appear in the Board's H.15 (519) weekly statistical release.

1. The daily effective federal funds rate is a weighted average of rates on trades through New York brokers. Return to table

2. Weekly figures are averages of seven calendar days, ending on Wednesday of the current week; monthly figures include each calendar day in the month. Return to table

3. Annualized using a 360-day year or bank interest. Return to table

4. 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. More information. The rate reported is that for the Federal Reserve Bank of New York. Historical series. Return to table

5. Quoted on a discount basis. Return to table

6. 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 the Board's Commercial Paper releases. Return to table

7. An average of dealer offering rates on nationally traded certificates of deposit. Return to table

8. Bid rates for eurodollar deposits collected around 9:30 a.m. Eastern time. Data are for indication purposes only. Return to table

9. Yields on actively traded issues adjusted to constant maturities. Return to table

10. 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. Return to table

11. 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. Return to table

12. General obligation bonds based on Thursday figures; Moody's Investors Service. Return to table

13. State and local government general obligation bonds maturing in twenty years are used in compiling this index. The twenty-bond index has a rating roughly equivalent to Moody's Al rating. Based on Thursday figures. Return to table

14. Daily figures are averages of Aaa, Aa, A, and Baa yields from Moody's Investors Service. Based on yields to maturity on selected long-term bonds. Return to table

15. Effective December 7, 2001, the Moody's Aaa yield includes yields only for industrial firms. Prior to December 7, 2001, the Aaa yield represented both utilities and industrial. Return to table

16. Standard & Poor's corporate series. Common stock ratio is based on the 500 stocks in the price index. Return to table

Source. U.S. Department of the Treasury.

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Last update: May 18, 2005