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H.15 DAILY UPDATE: WEB RELEASE ONLY For immediate release
SELECTED INTEREST RATES October 20, 2004
Yields in percent per annum
2004 2004 2004 2004
Oct Oct Oct Oct
Instruments 18 19 20 21
Federal funds (effective) 1 2 3 1.73 1.72
Commercial paper 3 4 5
Nonfinancial
1-month 1.83 1.79
2-month 1.85 1.85
3-month
Financial
1-month 1.80 1.80
2-month 1.91 1.91
3-month 1.97 1.98
CDs (secondary market) 3 6
1-month 1.87 1.86
3-month 2.03 2.03
6-month 2.16 2.17
Eurodollar deposits (London) 3 7
1-month 1.83 1.84
3-month 2.00 2.01
6-month 2.14 2.15
Bank prime loan 2 3 8 4.75 4.75
Discount window primary credit 2 9 2.75 2.75
U.S. government securities
Treasury bills (secondary market) 3 4
4-week 1.56 1.60
3-month 1.78 1.79
6-month 2.00 2.00
Treasury constant maturities
Nominal 10
1-month 1.61 1.63
3-month 1.81 1.82
6-month 2.05 2.05
1-year 2.21 2.22
2-year 2.55 2.57
3-year 2.82 2.84
5-year 3.31 3.32
7-year 3.72 3.73
10-year 4.07 4.07
20-year 11 4.84 4.83
Inflation-indexed 12
5-year 0.99 0.99
7-year 1.35 1.35
10-year 1.71 1.70
20-year 2.10 2.10
Inflation-indexed
long-term average 13 2.12 2.12
Interest rate swaps 14
1-year 2.44 2.47
2-year 2.86 2.90
3-year 3.20 3.25
4-year 3.49 3.52
5-year 3.72 3.75
7-year 4.10 4.12
10-year 4.50 4.50
30-year 5.20 5.19
Corporate bonds
Moody's seasoned
Aaa 15 5.47 5.44
Baa 6.20 6.17
State & local bonds 16
Conventional mortgages 17 !THU45!
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See overleaf for footnotes
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). 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
(www.federalreserve.gov/releases/cp).
6. An average of dealer offering rates on nationally traded certificates of deposit.
7. Bid rates for Eurodollar deposits collected around 9:30
a.m. Eastern time.
8. 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.
9. 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.
10. Yields on actively traded non-inflation-index issues adjusted to
constant maturities. Source: U.S. Treasury.
11. A factor for adjusting the daily nominal 20-year constant maturity in
order to estimate a 30-year rate can be found at
www.treas.gov/offices/domestic-finance/debt-management/interest-rate/ltcompositeindex.html.
12. Yields on Treasury inflation protected securities (TIPS)
adjusted to constant maturities. Source: U.S. Treasury.
Additional information on both nominal and inflation-indexed
yields may be found at
www.treas.gov/offices/domestic-finance/debt-management/interest-rate/index.html.
13. Based on the unweighted average bid yields for all Inflation
Protected Securities with remaining terms to maturity of more than
10 years.
14. International Swaps and Derivatives Association (ISDA(R)) 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. Eastern time by Garban Intercapital plc and published
on Reuters Page ISDAFIX(R)1. ISDAFIX is a registered service mark
of ISDA. 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.
DESCRIPTION OF THE TREASURY NOMINAL AND INFLATION-INDEXED
CONSTANT MATURITY SERIES
Yields on Treasury nominal securities at "constant maturity" are
interpolated by the U.S. Treasury from the daily yield curve for
non-inflation-indexed Treasury securities. 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. Similarly, yields on inflation-indexed securities at
"constant maturity" are interpolated from the daily yield curve for
Treasury inflation protected securities in the over-the-counter market.
The inflation-indexed constant maturity yields are read from this yield
curve at fixed maturities, currently 5, 7, 10, and 20 years.
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