Full text of H.15 Selected Interest Rates : November 5, 2012

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FEDERAL RESERVE statistical release
H.15 (519) SELECTED INTEREST RATES
Yields in percent per annum
Instruments
Federal funds (effective)1 2 3
Commercial Paper3 4 5 6
Nonfinancial
1-month
2-month
3-month
Financial
1-month
2-month
3-month
CDs (secondary market)3 7
1-month
3-month
6-month
Eurodollar deposits (London)3 8
1-month
3-month
6-month
Bank prime loan2 3 9
Discount window primary credit2 10
U.S. government securities
Treasury bills (secondary market)3 4
4-week
3-month
6-month
1-year
Treasury constant maturities
Nominal11
1-month
3-month
6-month
1-year
2-year
3-year
5-year
7-year
10-year
20-year
30-year
Inflation indexed12
5-year
7-year
10-year
20-year
30-year
Inflation-indexed long-term average13
Interest rate swaps14
1-year
2-year
3-year
4-year
5-year
7-year
10-year
30-year
Corporate bonds
Moody’s seasoned
Aaa15
Baa
State & local bonds16
Conventional mortgages17

For use at 2:30 p.m. Eastern Time
November 5, 2012
2012
Oct 29

2012
Oct 30∗

2012
Oct 31

2012
Nov 1

2012
Nov 2

0.17

0.17**

0.18

0.17

0.16

0.17

0.16

0.16

0.18
0.19
0.21

0.17

0.15
0.16
0.21

0.15
0.16
0.15

0.15
0.15
0.16

0.16
0.17
0.18

0.14
0.15
0.19

0.14
0.15
0.19

0.15
0.17
0.20

0.15
0.17
0.20

0.14
0.17
0.19

0.13
0.15
0.20

0.15
0.20
0.24

0.14
0.17
0.21

0.14
0.17
0.20

0.12
0.16
0.19

0.21
0.26
0.37

0.18
0.22
0.32

0.19
0.24
0.34

0.20
0.25
0.35

0.19
0.23
0.33

0.19
0.23
0.35

0.27
0.30
0.57
3.25
0.75

0.27
0.30
0.57
3.25
0.75

0.27
0.30
0.57
3.25
0.75

0.27
0.30
0.57
3.25
0.75

0.27
0.30
0.57
3.25
0.75

0.28
0.35
0.57
3.25
0.75

0.13
0.14
0.16
0.17

0.09
0.11
0.16
0.17

0.06
0.09
0.15
0.17

0.08
0.09
0.15
0.18

0.09
0.11
0.16
0.17

0.12
0.11
0.15
0.18

0.11
0.10
0.15
0.17

0.13
0.14
0.16
0.18
0.30
0.40
0.74
1.16
1.74
2.48
2.87

0.09
0.11
0.16
0.18
0.30
0.38
0.72
1.14
1.72
2.46
2.85

0.06
0.09
0.15
0.18
0.30
0.38
0.73
1.16
1.75
2.50
2.89

0.08
0.09
0.15
0.19
0.28
0.38
0.73
1.16
1.75
2.51
2.91

0.09
0.11
0.16
0.18
0.30
0.39
0.73
1.16
1.74
2.49
2.88

0.12
0.11
0.15
0.19
0.30
0.41
0.78
1.23
1.81
2.56
2.94

0.11
0.10
0.15
0.18
0.28
0.37
0.71
1.15
1.75
2.51
2.90

-1.35
-1.11
-0.73
-0.03
0.39
-0.08

-1.40
-1.15
-0.78
-0.07
0.35
-0.11

-1.40
-1.14
-0.77
-0.06
0.36
-0.09

-1.39
-1.13
-0.73
-0.02
0.40
-0.06

-1.39
-1.13
-0.75
-0.05
0.38
-0.09

-1.35
-1.08
-0.68
0.02
0.43
-0.02

-1.47
-1.18
-0.75
-0.01
0.41
-0.05

0.33
0.39
0.49
0.65
0.84
1.26
1.75
2.62

0.33
0.39
0.49
0.64
0.83
1.25
1.74
2.62

0.33
0.38
0.47
0.63
0.83
1.26
1.77
2.64

0.33
0.38
0.48
0.64
0.84
1.27
1.78
2.66

0.33
0.39
0.48
0.64
0.83
1.26
1.76
2.63

0.33
0.40
0.51
0.68
0.88
1.32
1.82
2.69

0.33
0.39
0.48
0.63
0.83
1.26
1.77
2.67

3.44r
4.49r

3.40r
4.45r

3.45r
4.50r
n.a.
3.39

3.47r
4.52r

3.44
4.49
n.a.
3.39

3.50
4.54
3.68
3.41

3.47
4.58
3.65
3.38

0.20
0.26
0.37
0.27
0.30
0.57
3.25
0.75

0.27
0.30
0.57
3.25
0.75

Week Ending
Nov 2
Oct 26

2012
Oct

See overleaf for footnotes.
* Markets closed.
r Revised.
** As part of the market disruptions and closures associated with Hurricane Sandy, the major brokers were closed on
Tuesday, October 30, 2012. As a result, the daily effective rate for Tuesday, October 30, is the same as Monday,
October 29.
n.a. Not available.

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. An average of dealer bid rates on nationally traded certificates of deposit.
8. Source: Bloomberg and CTRB ICAP Fixed Income & Money Market Products.
9. 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.
10. 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.
11. 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.treasury.gov/resource-center/data-chart-center/interest-rates/. Source: U.S. Treasury.
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.treasury.gov/resource-center/data-chart-center/interest-rates/.
13. Based on the unweighted average bid yields for all TIPS 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: Primary Mortgage Market Survey R data provided by
Freddie Mac.
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.
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).

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.