Full text of H.15 Selected Interest Rates : February 2, 1987

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FEDERAL RESERVE statistical release

V:

These data are released each Monday. The availability of the release will
be announced, when the information is available, on (202) 452-3206.

H.15 (519)

For immediate release

SELECTED INTEREST RATES

FEBRUARY

2 , 1987

Yields in percent per annum
Instruments

FEDERAL FUNDS (EFFECTIVE) 1 /
COMMERCIAL PAPER 2 / 3 /
1-MONTH
3-MONTH
6-MONTH
FINANCE PAPER PLACED DIRECTLY 2 /
1-MONTH
3-MONTH
6-MONTH
BANKERS ACCEPTANCES (TOP RATED) 2 /
3-MONTH
6-MONTH
CDS (SECONDARY MARKET)
1-MONTH
3-MONTH
6-MONTH
BANK PRIME LOAN 1 / 4 /
DISCOUNT WINDOW BORROWING 1 / 5 /
U.S.GOVERNMENT SECURITIES
TREASURY BILLS
AUCTION AVERAGE 2 / 6 /
3-MONTH
6-MONTH
1-YEAR
AUCTION AVERAGE(INVESTMENT) 6 /
3-MONTH
6-MONTH
SECONDARY MARKET 2 /
3-MONTH
6-MONTH
1-YEAR
TREASURY CONSTANT MATURITIES 7 / 8 /
1-YEAR
2-YEAR
3-YEAR
5-YEAR
7-YEAR
10-YEAR
30-YEAR
COMPOSITE
OVER 10 YEARS(L0NG-TERM)9/
CORPORATE BONDS
MOODY*S SEASONED
AAA
BAA
A-UTILITY 1 0 /
STATE 8 LOCAL BONDS 1 1 /
CONVENTIONAL MORTGAGES 1 2 /

1987
JAN
26

1987
JAN
27

1987
JAN
28

1987
JAN
29

1987
JAN
30

This
week

6.14

6.15

6.50

6.22

6.28

6.13

6.01

6.43

5.90
5.83
5.75

5.93
5.86
5.77

5.96
5.87
5.80

5.94
5.87
5.78

5.98
5.90
5.80

5.94
5.87
5.78

5.87
5.79
5.71

5.95
5.84
5.76

5.77
5.57
5.54

5.88
5.58
5.55

5.86
5.75
5.55

5.89
5.58
5.55

5.91
5.58
5.55

5.86
5.61
5.55

5.75
5.44
5.41

5.86
5.59
5.60

5.76
5.66

5.79
5.72

5.82
5.70

5.80
5.68

5.90
5.79

5.81
5.71

5.69
5.60

5.74
5.65

5.91
5.86
5.85
7.50
5.50

5.90
5.87
5.86
7.50
5.50

5.93
5.89
5.89
7.50
5.50

5.93
5.88
5.87
7.50
5.50

5.93
5.89
5.88
7.50
5.50

5.92
5.88
5.87
7.50
5.50

5.85
5.82
5.80
7.50
5.50

5.94
5.87
5.85
7 .50
5.50

5.44
5.43

5.44
5.43

5.23
5.27

5.45
5.47
5.44

5.59
5.66

5.59
5.66

5.37
5.49

5.60
5.71

Last
weeK

1987
JAN

5.49
5.43
5.47

5.49
5.45
5.49

5.47
5.43
5.47

5.48
5.46
5.48

5.60
5.59
5.60

5.51
5.47
5.50

5.35
5.33
5.38

5.43
5.44
5.46

5.79
6.26
6.45
6.67
6.97
7.17
7.49

5.81
6.24
6.46
6.66
6.97
7.16
7.49

5.79
6.24
6.43
6.63
6.93
7.13
7.46

5.80
6.24
6.45
6.65
6.95
7.13
7.45

5.93
6.33
6.51
6.71
6.99
7.18
7.48

5.82
6.26
6.46
6.66
6.96
7.15
7.47

5.69
6.18
6.37
6.58
6.86
7.03
7.33*

5.78
6.23
6.41
6.64
6.92
7.08
7.39

7.70

7.69

7.64

7.63

7.68

7.67

7.54

7.60

8.33
9.67

8.40

8.40
9.70

8.37
9.68

8.36
9.68
8.81

8.37
9.68
8.81
6.56
9.12

8.31
9.65
8.86
6.54
9.10

8.36
9.72
n 3

9.68

6.56

9.12

6 !6i
9.23

WEEKLY FIGURES ARE AVERAGES OF 7 CALENDAR DAYS ENDING ON WEDNESDAY OF THE CURRENT WEEK; MONTHLY FIGURES
INCLUDE EACH CALENDAR DAY I N THE MONTH.
3*
4*

RATES^N^OMK
FOR FIRMS WHOSE BOND RATING IS AA OR THE EQUIVALENT,
RATE CHARGED BY BANKS ON SHORT-TERM BUSINESS LOANS.
5EE

lilTD^E^^

AND MONTH AVERAGES ON ISSUE-DATE BASIS

!?TON^THE^Nl?AN? S?8K¥? SSSST^HE t^llk C^STAST^TURITY YIELD HAS
C ^ A B ^ I N ^ S S THAN , . YEARS,

^^ADT^OOFNTEHEE?IEt°DWoJlI^R^GENT[Y^EFER^DA-RATED
11
11
12!

UTILITY BOND WITH A MATURITY OF 30 YEARS AND CALL

E
E
B 55N
ER I S
G E N EE RRAAR0I 0BBLLI IGGAA TT I S N
MATURITY,
NDD BBUUYYE
S DDEEXX! ! G
N !! °22!!YY EE A R SS TO MATURITY,
T INTEREST RATES ON COMMITMENTS FOR FIXED-RATE
FIXEDRATE FIRST
CONTRACT

MIXED Q
QUALITY;
THURSDAYQ QUOTATIONS.
MIXED
;
MORTGAGES
SOURCE. FHLMC.
FHLMC
MORTGAGES.

NOTE- WEEKLY AND MONTHLY FIGURES ARE AVERAGES OF DAILY RATES, EXCEPT FOR STATE 8 LOCAL BONDS, WHICH ARE
BASED ON THURSDAY FIGURES, AND CONVENTIONAL MORTGAGES AND A - U T I L I T Y BONDS, BOTH OF WHICH
ARE BASED ON FRIDAY FIGURES.
*The 30-year Treasury constant maturity daily rate for January 23 was revised to 7.42.




SELECTED INTEREST RATES
YIELDS IN PERCENT PER ANNUM
WEEK ENDING WEDNESDAY

WEEK ENDED

FEDERAL
3-MONTH
3-MONTH
3-MONTH
3-MONTH

1.
2.
3.

FUNDS (EFFECTIVE) 1 /
TREASURY BILL 2 /
COMMERCIAL PAPER 2 /
CD (SECONDARY MARKET)
EURODOLLAR 3 /

4 WEEKS> ENDED

1987 :
JAN :
28

1987 :
JAN .
21 :

1987
JAN :
28 :

1986
DEC
31

6.13
5.45
5.82 5.85 :
6.10

6.01
5.33
5.80
5.83
6.08

6.44 •
5.42 •
5.85 :
5.87 :
6.10 -

7.36
5.56
6.17
6.11
6.29

:
:
:
;
:

FEDERAL FUNDS RATES ARE AVERAGES OF EFFECTIVE RATES FOR
SEVEN CALENDAR DAYS ENDING ON WEDNESDAY.
QUOTED ON BANK DISCOUNT B A S I S . "
FOR INDICATION PURPOSES ONLY.

DESCRIPTION OF THE TREASURY CONSTANT MATURITY SERIES

YIELDS ON TREASURY SECURITIES AT "CONSTANT MATURITY" ARE
ESTIMATED FROM THE TREASURY'S DAILY YIELD CURVE. THIS CURVE, WHICH
RELATES THE YIELD ON A SECURITY TO ITS TIME TO MATURITY, I S 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 REPORTED BY FIVE LEADING U.S.GOVERNMENT
SECURITIES DEALERS TO THE FEDERAL RESERVE BANK OF NEW YORK.
THE CONSTANT YIELD VALUES ARE READ FROM THE YIELD CURVE AT
FIXED MATURITIES, CURRENTLY 1 , 2 , 3 , 5 , 7 , 1 0 , AND 3 0 YEARS.
THIS METHOD PERMITS ESTIMATION OF THE YIELD FOR A 10-YEAR MATURITY,
FOR EXAMPLE, EVEN I F NO OUTSTANDING SECURITY HAS EXACTLY 1 0 YEARS
REMAINING TO MATURITY.