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FEDERAL RESERVE STATISTICAL RELEASE
H.15 DAILY UPDATE: WEB RELEASE ONLY
SELECTED INTEREST RATES
For use at 4:15 p.m. Eastern Time
Yields in percent per annum August 12, 2009
2009 2009
Instruments Aug Aug
10 11
Federal funds (effective) 1 2 3 0.17 0.16
Commercial Paper 3 4 5 6
Nonfinancial
1-month 0.20 0.17
2-month 0.24 0.22
3-month 0.21 0.24
Financial
1-month 0.22 0.22
2-month 0.27 0.26
3-month 0.30 0.29
3-month nonfinancial or financial
posted by CPFF 7
Without surcharge 1.20 1.19
With surcharge 2.20 2.19
CDs (secondary market) 3 8
1-month 0.27 0.27
3-month 0.32 0.32
6-month 0.46 0.46
Eurodollar deposits (London) 3 9
1-month 0.45 0.50
3-month 0.75 0.80
6-month 1.10 1.10
Bank prime loan 2 3 10 3.25 3.25
Discount window primary credit 2 11 0.50 0.50
U.S. government securities
Treasury bills (secondary market) 3 4
4-week 0.14 0.14
3-month 0.19 0.18
6-month 0.29 0.28
1-year 0.47 0.46
Treasury constant maturities
Nominal 12
1-month 0.15 0.14
3-month 0.19 0.18
6-month 0.29 0.28
1-year 0.49 0.48
2-year 1.24 1.21
3-year 1.79 1.78
5-year 2.75 2.69
7-year 3.40 3.32
10-year 3.80 3.71
20-year 4.49 4.40
30-year 4.52 4.44
Inflation indexed 13
5-year 1.33 1.33
7-year 1.53 1.52
10-year 1.83 1.80
20-year 2.29 2.24
Inflation-indexed long-term average 14 2.31 2.27
Interest rate swaps 15
1-year 0.89 0.83
2-year 1.72 1.62
3-year 2.38 2.28
4-year 2.88 2.77
5-year 3.25 3.11
7-year 3.76 3.61
10-year 4.15 3.98
30-year 4.54 4.39
Corporate bonds
Moody's seasoned
Aaa 16 5.37 5.31
Baa 6.65 6.59
State & local bonds 17
Conventional mortgages 18
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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. Financial paper that is insured by the FDIC's Temporary Liquidity Guarantee Program is not
excluded from relevant indexes, nor is any financial or nonfinancial commercial paper that may be
directly or indirectly affected by one or more of the Federal Reserve's liquidity facilities. Thus
the rates published after September 19, 2008, likely reflect the direct or indirect effects of the
new temporary programs and, accordingly, likely are not comparable for some purposes to rates
published prior to that period.
7. CPFF refers to the Federal Reserve's Commercial Paper Funding Facility. The rates are identical
under the CPFF for financial and nonfinancial commercial paper. An issuer of commercial paper into
the CPFF may avoid the surcharge by providing a collateral arrangement or indorsement that is
acceptable to the Federal Reserve Bank of New York. Source: Federal Reserve Bank of New York.
8. An average of dealer bid rates on nationally traded certificates of deposit.
9. Bid rates for Eurodollar deposits collected around 9:30 a.m. Eastern time.
10. 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.
11. 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 as
well as the rate on primary credit are available at www.federalreserve.gov/releases/h15/data.htm.
12. Yields on actively traded non-inflation-indexed issues adjusted to constant maturities. The
30-year Treasury constant maturity series was discontinued on February 18, 2002, and reintroduced
on February 9, 2006. From February 18, 2002, to February 9, 2006, the U.S. Treasury published a
factor for adjusting the daily nominal 20-year constant maturity in order to estimate a 30-year
nominal rate. The historical adjustment factor can be found at
www.treas.gov/offices/domestic-finance/debt-management/interest-rate/ltcompositeindex_historical.shtml.
Source: U.S. Treasury.
13. 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.
14. Based on the unweighted average bid yields for all TIPS with remaining terms to maturity of
more than 10 years.
15. 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.
16. 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.
17. Bond Buyer Index, general obligation, 20 years to maturity, mixed quality; Thursday quotations.
18. Contract interest rates on commitments for fixed-rate first mortgages. Source: Primary Mortgage
Market Survey(R) data provided by Freddie Mac.
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Note: Weekly and monthly figures on this release, as well as annual figures available on the
Board's historical H.15 web site (see below), are averages of business days unless otherwise noted.
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Current and historical H.15 data are available on the Federal Reserve Board's web site
(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.
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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, 20, and 30 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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