Full text of H.15 Selected Interest Rates : February 23, 2004

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FEDERAL RESERVE statistical release
These data are released each Monday. The availability of the release is announced on (202) 452-3206.

H.15 (519) SELECTED INTEREST RATES
Yields in percent per annum

For immediate release
February 23, 2004
Week Ending

Instruments
Federal funds (effective) 1 2 3
Commercial paper 3 4 5
Nonfinancial
1-month
2-month
3-month
Financial
1-month
2-month
3-month
CDs (secondary market) 3 6
1-month
3-month
6-month
Eurodollar deposits (London) 3 7
1-month
3-month
6-month
Bank prime loan 2 3 8
Discount window primary credit 2 9
U.S. government securities
Treasury bills (secondary market) 3 4
4-week
3-month
6-month
Treasury constant maturities
Nominal 10
1-month
3-month
6-month
1-year
2-year
3-year
5-year
7-year
10-year
20-year
Inflation Indexed 11
5-year
7-year
10-year
Treasury long-term average
Nominal 12 13
Inflation indexed 14
Interest rate swaps 15
1-year
2-year
3-year
4-year
5-year
7-year
10-year
30-year
Corporate bonds
Moody’s seasoned
Aaa 16
Baa
State & local bonds 17
Conventional mortgages 18
See overleaf for footnotes
* Markets closed
n.a. -- not available

2004
Feb
16 *

2004
Feb
17

2004
Feb
18

2004
Feb
19

2004
Feb
20

Feb
20

Feb
13

1.01

1.02

1.00

1.00

0.99

1.01

1.00

1.00

0.98
1.01
n.a.

0.97
1.00
n.a.

1.00
0.99
n.a.

0.98
1.01
n.a.

0.98
1.00
n.a.

1.00
1.00
1.01

0.99
1.01
1.01

1.01
1.03
1.02

1.01
1.02
1.03

1.01
1.02
1.02

1.00
1.02
1.03

1.01
1.02
1.03

1.01
1.02
1.03

1.01
1.02
1.04

1.03
1.05
1.10

1.03
1.05
1.10

1.03
1.05
1.10

1.03
1.05
1.09

1.03
1.05
1.10

1.03
1.06
1.11

1.04
1.06
1.12

1.02
1.04
1.10
4.00
2.00

1.01
1.03
1.08
4.00
2.00

1.02
1.05
1.10
4.00
2.00

1.02
1.03
1.09
4.00
2.00

1.02
1.04
1.09
4.00
2.00

1.02
1.05
1.11
4.00
2.00

1.03
1.05
1.11
4.00
2.00

0.88
0.93
0.98

0.91
0.92
0.98

0.91
0.92
0.98

0.91
0.92
0.99

0.90
0.92
0.98

0.88
0.92
0.98

0.83
0.88
0.97

0.90
0.95
1.00
1.21
1.70
2.20
3.02
3.54
4.05
4.91

0.93
0.94
1.00
1.23
1.72
2.22
3.03
3.55
4.05
4.91

0.93
0.94
1.00
1.23
1.70
2.20
3.02
3.54
4.05
4.91

0.93
0.94
1.01
1.26
1.75
2.25
3.08
3.59
4.10
4.96

0.92
0.94
1.00
1.23
1.72
2.22
3.04
3.56
4.06
4.92

0.90
0.93
1.00
1.24
1.75
2.25
3.06
3.58
4.08
4.93

0.85
0.90
0.99
1.24
1.76
2.27
3.12
3.65
4.15
5.01

0.84
1.30
1.75

0.84
1.31
1.75

0.82
1.30
1.76

0.84
1.32
1.79

0.84
1.31
1.76

0.90
1.33
1.76

1.09
1.48
1.89

4.97
2.15

4.97
2.15

4.96
2.15

5.01
2.18

4.98
2.16

4.99
2.15

5.05
2.24

1.38
2.01
2.59
3.04
3.42
3.95
4.44
5.25

1.36
1.97
2.54
2.99
3.36
3.88
4.38
5.19

1.39
2.02
2.60
3.06
3.43
3.95
4.46
5.24

1.40
2.03
2.61
3.07
3.44
3.97
4.47
5.26

1.38
2.01
2.58
3.04
3.41
3.94
4.44
5.24

1.42
2.08
2.66
3.11
3.47
3.99
4.48
5.26

1.42
2.07
2.65
3.11
3.48
4.01
4.50
5.29

5.50
6.24

5.49
6.24

5.47
6.24
4.50

5.53
6.28

5.50
6.25
4.50
5.58

5.50
6.26
4.52
5.66

5.54
6.44
4.61
5.74

4.00
2.00

5.58

2004
Jan

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-indexed issues adjusted to constant maturities. Source: U.S. Treasury.
11. 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.
12. Based on the unweighted average of the bid yields for all non-inflation-indexed Treasury fixed-coupon
securities with remaining terms to maturity of 25 years and over.
13. A factor for adjusting the daily long-term average in order to estimate a 30-year nominal rate can be found at
www.treas.gov/offices/domestic-finance/debt-management/interest-rate/ltcompositeindex.html.
14. Based on the unweighted average of the bid yields for all TIPS with remaining terms to maturity of more than
10 years.
15. International Swaps and Derivatives Association (ISDA) 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. by Garban
Intercapital plc and published on Reuters Page ISDAFIX1. 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: FHLMC.
Note: Weekly and monthly figures are averages of business days unless otherwise noted.
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.

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, and 10 years.