Full text of G.13 Selected Interest Rates : February 2, 1977

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ATTACHMENT TO G.13 AND H.15 RELEASES

February 2, 1977

Information About the Treasury Constant Maturity Yield Series
Yields on Treasury securities at constant maturity, which have just
been introduced into the Federal Reserve Board's H.15 and G.13 statistical
releases, are constructed daily by the Treasury Department. To obtain these
yields, personnel at the Treasury Department construct a yield curve each
day based on the closing market bid yields of actively traded Treasury
securities. Yield values are then read from the yield curve at fixed
maturities — presently 1, 2, 3, 5, 7, 10, and 20 years.
Constant maturity yield series have been constructed by the Treasury
Department since 1962 for maturities of 1, 3, 5, 10, and 20 years. The 7-year
series began in July 1969; and the 2-year series, in June 1976. The Federal
Reserve Board has recently constructed comparable data for the period April
1953 to December 1961. As a result, continuous monthly constant maturity yield
series (averages of daily data) now exist for five of the maturities for
nearly a 24-year period. Copies of the back data, which are in the process
of being rechecked, will be sent to you in two months or so.
For many years, the Federal Reserve Board has published three yield series
for Treasury securities — 9-12 month, 3-5 year, and long-term (10 years and
over) — in both the H.15 and G.13 releases. Unfortunately, these series, which
are simply unweighted averages of closing bid yields on all marketable Treasury
securities in those three maturity ranges, have become seriously flawed. In
particular, the 3-5 year and the long-term series include yields on low-yield,
deep discount Treasury bonds (sometimes referred to as "flower bonds") which
have special Federal estate tax privileges. As a result, the long-term yield
series has now fallen roughly 100 basis points or so below yields on recently
issued marketable Treasury bonds.
The constant maturity yield series constructed by the Treasury Department
are considered by the Federal Reserve Board now to be much better measures
of conditions in the Government securities market than are the three yield
series constructed by the Board. Therefore, the Board plans to discontinue
the latter three series. To give users ample time to adjust, however, the Board'
three yield series for Treasury securities will continue to be published for
another year or so; after that, they will no longer be constructed. 1/
If

A monthly series very similar to the Board's long-term Treasury yield series
will continue to be published in the Treasury Bulletin. (In the December
1976 Treasury Bulletin, see the yield series labelled "Treasury bonds",
in Table AY-1, p. 69.) Between 1960 and 1970, these two series differed
month-by-month only once by as much as 2 basis points; since 1971, they
have differed by at most 5 basis points. Differences between the two
series result primarily from their different treatments of new bond issues.
The Board's long-term series introduces a new bond into the average only
after the bond has been issued; the Treasury Bulletin series introduces it
perhaps a week or so earlier, as soon as the bond is traded on a when-issued
basis.




FEDERAL

statistical

RESERVE

For Immediate Release
February 2, 1977

SELECTED INTEREST RATES AND BOND PRICES
(Yields in per cent per annum)*

G.13

Finance paper placed directly (3 to 6 mos.). • .
Bankers' acceptances (prime, 90 days).
Prime loan (large business prime rate-majority)•
Discount rate (Federal Reserve Bank of New York)
Yields on U. S. Government securities 2/
Auction Average (Issue date):

CD

Commercial paper (prime, 90 to 119 days) . . . .

Jan. 1
4.66
4.63
4.65
4.50
4.65
6.25
5.25

j

Instruments

4.47
4.63
4.63
4.50
4.70
6.25
5.25

Weekly
Jan. 15
4.55
4.73
4.75
4.60
4.80
6.25
5.25

release

Jan. 22
4.65
4.75
4.75
4.70
4.84
6.25
5.25

Jan. 29
4.72
4.78
4.83
4.75
4.87
6.25
5.25

Monthly
Jan.
Dec.
4.61
4.65
4.72
4.66
4.74
4.70
4.64
4.56
4.81
4.62
6.25
6.35
5.25
5.25

4.296
4.474

4.407
4.555

4.613
4.803
4.728

4.668
4.868

4.700
4.905

4.354
4.513

4.597
4.783

4.34
4.51
4.62

4.49
4.64
4.76

4.58
4.79
4.93

4.65
4.86
5.08

4.72
4.97
5.18

4.35
4.51
4.64

4.62
4.83
5.on

4.87
5.37
5.71
6.14
6.42
6.83
7.23

5.02
5.53
5.83
6.24
6.59
6.92
7.26

5.22
5.85
6.20
6.59
6.97
7.24
7.50

5.38
6.01
6.33
6.65
6.99
7.29
7.54

5.50
6.15
6.48
6.80
7.09
7.36
7.59

4.89
5.38
5.68
6.10
6.37
6.87
7.30

5.2Q
5.90
6.22
6.58
6.92
7.21
7.48

4.88
5.98
6.37
62.20
8.40
7.91
9.09
5.04

5.06
6.12
6.42
61.82
8.37
7.88
9.06
5.01

5,33
6.48
6.62
60.17
8.39
7.94
9.07
5.10

5.43
6.57
6.73
59.36
8.43
7.99
9.08
5.13

5.51
6.71
6.88
58.16
8.46
8.01
9.11
5.17

4.92
5.96
6.39
62.05
8.47
7.98
9.12
5.07

5.34
6.49
6.68
59.73
8.41
7.96
9.08
5.10

Market Yields:

Treasury constant maturities 3j

Coupon issues due in: 4/

10 years or more (long-term) 5/ . . . .
Price of long-term Treasury bonds 5/ 6J
Average yields on corporate bonds (Moody's). . .

State and local government Aaa (Moody's) . . . .

Yields on actively traded issues adjusted to constant maturities. Source: U. S. Treasury Department.
5/ Bonds neither due nor callable in less than 10 years.
4/ Unweighted average of all issues outstanding.
6/ Derived from "long-term" yield above on the basis of an assumed 20-year bond with a 3 per cent coupon.
Averages of daily figures except for state and local governments, which are based on Thursday figures.
Digitized for* FRASER



INTEREST RATES
(Yields in per cent per annum)

G.13 continued
February 2, 1977
Federal
funds

Comm •
paper
90-119
days

3
4
5
6
7

4.89
4.71
4.30
4.59
4.62

4.63
4.63
4.63
4.63
4.63

4.39
4.49
4.47
4.50
4.62

4.54
4.63
4.60
4.64
4.80

4.66
4.75
4.71
4.75
4.94

4.88
5.00
4.96
5.01
5.24

5.42
5.50
5.48
5.57
5.68

5.73
5.78
5.79
5.88
5.99

6.16
6.19
6.18
6.23
6.42

6,.50
6,.56
6 .54
6,.59
6..76

6,.84
6,.90
6,.88
6,.93
7,,07

7.20
7.22
7.23
7.28
7.36

6.02
6.08
6.08
6.13
6.29

6.35
6.38
6.39
6.44
6.52

10
11
12
13
14

4.66
4.70
4.07
4.60
4.60

4.63
4.75
4.75
4.75
4.75

4.61
4.60
4.57
4.52
4.61

4.80
4.80
4.78
4.72
4.85

4.91
4.94
4.92
4.87
5.02

5.21
5.24
5.20
5.14
5.31

5.79
5.87
5.84
5.79
5.96

6.14
6.25
6.18
6.11
6.30

6.60
6.68
6.60
6.50
6.59

6.99
7.06
6.98
6.86
6.96

7.20
7.28
7.26
7.18
7.28

7.49
7.52
7.51
7.46
7.51

6.45
6.52
6.51
6.43
6.51

6.60
6.62
6.64
6.59
6.66

17
18
19
20
21

4.80
4.71
4.64
4.64
4.68

4.75
4.75
4.75
4.75
4.75

4.65
4.69
4.63
4.63
4.65

4.88
4.91
4.82
4.85
4.86

5.07
5.14
5.04
5.06
5.09

5.35
5.42
5.36
5.36
5.39

5.98
6.04
6.02
6.01
6.02

6.29
6.38
6.32
6.31
6.36

6.60
6.70
6.64
6.64
6.68

6.96
7.06
6.98
6.97
7.00

7.28
7.34
7.28
7.26
7.28

7.54
7.56
7.54
7.54
7.52

6.52
6.60
6.55
6.57
6.60

6.68
6.74
6.71
6.71
6.75

24
25
26
27
28

4.79
4.70
4.89
4.70
4.62

4.75
4.75
4.75
4.75
4.88

4.71
4.70
4.71
4.77
4.73

4.93
4.91
4.92
5.06
5.04

5.17
5.14
5.15
5.23
5.23

5.47
5.44
5.45
5.57
5.55

6.09
6.08
6.09
6.26
6.22

6.44
6.40
6.40
6.60
6.54

6.77
6.74
6.76
6.88
6.86

7.04
7.01
7.02
7.20
7.16

7.34
7.32
7.33
7.43
7.40

7.57
7.56
7.57
7.65
7.62

6.68
6.65
6.66
6.80
6.78

6.81
6.82
6.83
6.93
7.03

31

4.65

4.75

4.72

5.02

5.23

5.56

6.18

6.50

6.83

7.16

7.40

7.61

6.76

7.06

Daily
Jan. 1977

1/

U. S. Government Securities 1/
3-mo. 6-mo. 1-yr.
bill bill bill

Bills quoted on a bank discount basis.




Treasury constant maturities
1-yr.| 2-yr. | 3-yr.| 5-yr. | 7-yr. | 10-yr. | 20-yr.

Counons due
3-5 yrs. | OveflB)