FRB: H.15 Release--Selected Interest Rates--October 9, 2012
Page 3 of 3
9. Rate posted by a majority of top 25 (by assets in domestic olfices) insured U.S.-ehartered 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,{ederalreserve aov/boarddocsoro
^crecn00 i2 ^^1031 defa d^ h^m, 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 t",faderalreserve oov1releasea/t+15/da p 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.treasurv.oov/resource-cent.r/data-chan
t Cnter « ratesl.
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.treasuv aoWresource-^enter/data-chart
centerlntereat-rate•^.
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®) 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 Intereapital plc and
published on Reuters Page tSDAFIX4M. ISDAFIX
is a registered service mark of ISDA. Source: Reuters
Limited.
15. Moodys Aaa rates through December 8, 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 SurveyO data provided
by Freddie Mac.
Note: Weekly and monthly figures on this
retease, as well as annual figures available on the Board'a historical H. 15 web site (
otherwise noted.
see below), are averages of business
days unless
Current and historical H. 15 data are available on the Federal Reserve Board's web site
(1v+ww.federalreserve ooW1. For information about Individual
Publications Services at the Federal Reserve Board (phone 202-452-3244,
copies or subscriptions, contact
fax 202-728-5886).
of the Treasury Nominal and Inflation-Indexed Constant Maturity Series
Yields on Treasury nominal securities Description
at -constant maturity'
are interpolated by the U.S. Treasury
which relates the yield on a security to its time to maturiy,
is based on the closing market bid yieldsfrom
on the daily yield curve for non-inflation-indexed Treasury securities. This curve,
yields are calculated from composites of quotations obtained
by the Federal Reserve Bank of New York.actively traded Treasury securities in the over-the -counter market. These market
maturities, currently 1, 3, and 6 months and 1, 2, 3, 5, 7, 10,
The constant maturity yield values are read from the yield curve at fixed
20, and 30 years. This method provides a yield for a 10-year maturity, for example, even if no outstandin
exactly 10 years remaining to maturity. Similarly, yields on inflation-indexed securities at 'constant maturity' are interpolated from the dai
9 seaurtty has
Tre
securities in the over-the-counter market. The inflation-indexed constant maturity yields are read from this yield curve at fixed maturities, currentlycurve
inflation Protected
N
7 10. nd
asury yews.
Last update: October 9 2012
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FRB: H. 15 Release--Selected Interest Rates--October 9, 2012
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^4ID4' ES2D.4mic Research 8 D0 > Statistical Releases and Historical Data
Selected Interest Rates (Weekly) - H. 15
Current Release
Release Dates
Current Release
Daily Update
0 s6d_Qm9hPdnI
Historical Data
About
Announcements
L48- KB PQ
Release Date: October 9, 2012
The weekly release is posted on Monday. Daiy updates Of the weeldy release are posted
Tuesday through Friday on this site. If Monday Is a holiday,
on Tuesday after the holiday and the daily update will not be posted
the weekly release will be posted
on that Tuesday.
October 9, 2012
H. 15 Selected Interest Rates
Yields in percent per annum
r--- - - -
--- 2012
Instruments
Oct
1
2012
2012
2012
Oct
Oct
2012
Oct
2
Oct
3
4
5
Week Ending
Oct
Sep
2012
Sep
28
^ Federal funds (effective)
0.15
0.16 1 0.16
1-month
0.11
0.12 T 0.13
0.13
0.14
2-month
0.15
0.12
0.15
0.15
0.18
0.19
0.18
0.18
0.20
-
0.21
0.19
0.15
0.15
0.13
0.15
0.14
0.13
0 . 12
0 . 12
0.15
0.14
0.14
0.20
0.20
Commercial Paper 3 4j re
Nonfinancial
3-month
Financial
1-month
0.09
0.10
0.11
0.13
0.13
0.11
0.09
0.11
2-month-
0.10
0.11
n.a.
0.13
0.13
0.12
0.19
0.16
0.25
0.14
0.15
0.14
0.16
0.17
0.17
0.17
1-month
0.18
0.18
0.18
0.18
0.18
0.18
0.19
0.18
3-month
0.22
0.22
0.22
0.22
0.22
0.22
0.24
0.24
0.36
0.36 ^
0.35
0.35
0.35
0.35
0.34
0.37 y I
0.29
0.29
0.29
0.29
0 . 29
0 . 29
0.29
0.30
0.40
0.40
0.40
0 . 40
0 . 40
0 . 40
0.41
?
-
I,-
3-month
T
CDs (secondary market) 3 2
6-month
Eurodollar deposits ( London) .3 $
1-month
3 -month
6-month
Bank prime loan 2,3 s
Discount window primary credit;1Q
40 I
0.57
0.57
0.57
0.57
0.57
0.57
0.57
0.59
3.25
3.25
3.25
3.25
3.25
3.25
3.25
3.25 I
0.75
0.75
0.75
0.75
0.75
0.75
0.75
0.75J (
0.10
U.S. government securities
Treasury bills ( secondary market) 1.4
4-week
0.05
0.09
0.09
0.05
0.07
0.09
0.14
0.09
0.09
0.10
t -0.10
0.11
0.09
3-month
0.10
0.10
0.11
0.14
0.14
0.14
0.15
0.14
0.14
0.14 {
0.16
0.16
0.15
0.17
0.17
0.16
0.17
0.17
^ 10
0.09
0.05 .
0.08 '
6-month
-
1-year
Treasury constant maturities
-
Nominal ,U
'
1-month
0.05
0.09
0.09 ^ 0•^
h^.,. //..,,,,.,. F ao..,t.o.,o..,^ ..,.../...t ... .., n. ^ c inni il nnd
301
1 A//1 A/n A t/1
FRB: H. 15 Release--Selected Interest Rates--October 9, 2012
1 2012
Oct
instr uments
3-month
I
-
-
2012
Oct ' Oct
2012
Oct
O
4
5
Week Eriding
2012
Oct
sop
5
28
Se p
0.09
0.09
0.09
0.10
0.11
0.10
0.10
0.11
0.14
0.14
0.14
0.14
0.15
0.14
0.14
0.14
t 0.17
0.16
0.16
0.18
0.18
_
0.17
_
0.17
_
0.18
_
0.23
0.23
_ .0.31
0.31
0.23
0.26
0 . 26
0.32
0.27
0.24
-+ _ 0.34
0.32
0.34
0.34
0.61
0.61
0.63
0.67
0.63
0.65
0.67
6-month
1-year
F- - --- -- 2-year
f-- -3-year
2012 1 2012
Page 2 of 3
0.25
+ 0.31
5-year
0.62
7-year
1.04
1.03
1.02
1.07
1.12
1.06
1.06
1.12
10-year
1.64
1.64 + 1.64
1.70
1.68
1 . 72
2.45
2.49
2.84
2.88
20-year
30-year
-
--
2.41
2.41
2.42
2.48
1 75
1.67
_ +
2.55
2.45
2.81
2.81 T 2.82
2.89
2.96 L 2.86
Inflation Indexed 12
5-year
-1.49
-1.51
-1.57
-1.62
-1.61
-1.56
-1.48
-1.47
+ -1.22
-1.22
-1.28
-1.33
-1.29 1 -1.27
-1.20
-1.17
-0.78
_
+ -0.02
-0.83
_
-0.07
-0.83
-0.86
'-0.82
-0.82
-0.76
-0.71
-0,08
-0.09
-0.05
-0.06
-0.00
0.02
0.42
0.37
0.35
0.34
0.38
0.37
0.43
0.44
Inflation-indexed long-term average 11 -0.05
-0.11
-0.11
-0.13
-0.08
-0.10
-0.04
0.01
0.34
0.37
0.36
7-year
F
-- -10-year
_
F- 20-year
30-year
^
Interest rate swaps ,lg
i^
0.35
0.35
0.38
0.35 + 0.34
- +
0.38
0.37
0.38
0.39
0.38
0.40
0.39
0.44
0.44
0.44
0.45
0.57
0.56
0.57
0.45
0 . 58
0.47
0.58
0.47
-^
0.61
0 . 60
0.47
-^
0 . 61
0,76
1.18
0.74
0.75
0.80
0.77
0.79
0 . 81
1.20
1.17
1.18
1.25
1.19
1.20
1.25
10-year
1.71
1.70
1.69
1.71
1.79
1.72
1.71
1.77
30-year
2.62
2.60
2.61
2.63
2.74
2.64
2.61
2.64
Aaa y4
3.41
3.39
Sea
4.70
4.68
1-year
2-year
0.34
_
3-year
4-year
5-year
7-yeer
I
0.77
-+-
-
Corporate bonds
Moody's seasoned
4-
3.41 ^ 3.47
3.52
3.44 I
3.40
3.49
4.67
4.73
4.69 + 4.72
4.84
4.69
State 8: local bonds 1¢
3.61
3.61
3.67
3.73 I
Conventional mortgagas .LZ
3.36
-T 3.36
3.40
3.50 y
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•, 80-, and 90.day dates reported on the Board's Commercial Paper Web page
(www.federalre_^. ^e.aov/releaae-^can,
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 deposiL
8. Source: Bloomberg and CTRB ICAP Fixed Income & Money Market Products.
302
1.++...//.......47- .7..-..1..
x ": H. I.) xelease--Selected Interest Rates--October 9, 2012
Page 3 of 3
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 chargedlor 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.federalresen/e.aov/boarddoos/oressnW
n0;,2M00210312/deiault hbn. 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.federaireserve.aov/relea-^-M1 S data htrn.
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,
2008, 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 historioal adjustment factor can be found at ^v r.treasurv.aov/resource.c nter/data
^+
^ s•t centerfinterest -4..J.
Source: U.S. Treasury.
12. Yields on Treasury inflation protected securities (
TIPS) adjusted to eonstant maturities. Source: U.S. Treasury. Additional
information on both nominal and inflation-indexed yields maybe found at www treasurv aov/resourc^^n
/d adiart
centerAnterest-rates/.
13. Based on the unweighted average bid yields for all TIPS with remaining terms to maturity of more than 10 years
14. Intema6onal Swaps and Derivatives Association pgDA®) 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 pie and
published on Reuters Page ISDAFIX61. ISDAFIX Is a registered service mark of ISDA. Source: Reuters Limited.
15. Moody's Asa rates through December G. 2001, are averages of Asa utility and Asa industrial bond rates. As of December 7,
2001, these rates are averages of Asia 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® data provided
by Freddie Mac.
Note: Wbekly 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.tederalre erve aov/1. For information about Individual copies or subscriptions, contact
Publications Services at the Federal Reserve Board (phone 202-452-3244, fax 202-728-5886).
_ securities
Description of the Treasury Nominal and Inflation-Indexed Constant Maturity Series
inal
Yields an Tre
'con
^^rpoWW by the U.S. Treasury from the daily yield
which re lates ^
theyiekl on a security to its time^to^^
maturity, is based on the dosing market bid yields on actively tradedcurve for non-pNlatbn-indexed Treasury securities. This curve,
Treasury securities In the over-the-counter market. These market
yields are calculated from eom Pos kes of quotations obtained by the Federal
Reserve Bank of New York. The constant maturity yield
maturities, currently 1. 3, and 6 months and
values are read from the yield curve at fixed
1, 2, 3, S. 7, 10, 20, and 30 years. This method provides a yield for a 10-year maturity, for example,
exactly 10 years remaining to maturity. Similarly,
even if no outstanding security has
yields on inflation-indexed securities at 'constant maturity are interpolated
securities in the over-the-counter market. The inflation-indexed constant
from
the
daily yield curve for Treasury inflation protected
maturity yields are read from this yield curve at fixed maturities,
currently 5, 7, 10, and 20 years.
Last update: October i 2012
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0: IYs widely believed stocks return about 10% a year on average. Does that
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include the erosion of inflation?
W ' ^ i C CM
^
A: It's practically legendary in investing. The stock market
has delivered a 10% average annual return.
Ask Matt
By Matt Krantz
Actually, the stock market's long-term return has been
closer to 9.6%, based on data from 1928 from IFA.com,
which includes dividends.
COLUMN: Investors question wisdom of 10% rate of
return rule
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That 10%, or 9.6%, return is the return investors have
received from the market over the very long term in
exchange for the heartache and pain of putting their
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money at risk. It's also the natural return of the market,
which reflects the growing value of companies' assets,
earnings and dividends.
Don't fall for the mistake many investors make when it
comes to thinking about that 10% return. You can't put
your money in the stock market at the beginning of
January and expect to have 10% more waiting for you at
the end of December. It doesn't work that way. That's a
compound average annual return over the long term. In
fact, the stock market very rarely generates a 10% on-the
-nose return in a year. The 10% return is an average, not
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securities have gotten an average annual return of just
1.8%, after adjusting for inflation.
Above all, despite the market's ups and downs, the 10%
return is still holding in there. During past corrections and
bear markets, investors have questioned if returns would
be that great going forward.
The 10%
^ return is not guaranteed by any means. In fact,
stocks are so volatile it's likely you could be down 10% or
much more in the short-term before you could enjoy longterm 10% returns. Even so, the 10% number is one that
helps investors plan and forecast their portfolios for the
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But don't be too disappointed. Even though inflation has
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13, 2012
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Release Date: September 13, 2012
n Communication
For Immediate release
Information received since the Federal Open Market Committee met in August suggests that economic activity has
continued to expand at a moderate pace in recent months. Growth in employment has been slow, and the unemployment
rate remains elevated. Household spending has continued to advance, but growth in business fixed investment appears to
have slowed. The housing sector has shown some further signs of improvement, albeit from a depressed level. Inflation
has been subdued, although the prices of some key commodities have increased recently. Longer-term inflation
expectations have remained stable.
Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The
Committee is concerned that, without fWrther policy accommodation, economic growth might not be strong enough to
generate sustained improvement in labor market conditions. Furthermore, strains in global financial markets continue to
pose significant downside risks to the economic outlook. The Committee also anticipates that inflation over the medium
term likely would run at or below its 2 percent objective.
To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its
dual mandate, the Committee agreed today to increase policy accommodation by purchasing additional agency mortgagebacked securities at a pace of $40 billion per month. The Committee also will continue through the end of the year its
program to extend the average maturity of its holdings of securities as announced in June, and it is maintaining its existing
policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency
mortgage-backed securities. These actions, which together will increase the Committee's holdings of longer-term securities
by about $85 billion each month through the end of the year, should put downward pressure on longer-term interest rates,
support mortgage markets, and help to make broader financial conditions more accommodative.
The Committee will closely monitor incoming information on economic and financial developments in coming months. If the
outlook for the labor market does not improve substantially, the Committee will continue its purchases of agency mortgagebacked securities, undertake additional asset purchases, and employ its other policy tools as appropriate until such
improvement is achieved in a context of price stability. In determining the size, pace, and composition of its asset
purchases, the Committee will, as always, take appropriate account of the likely efficacy and costs of such purchases.
To support continued progress toward maximum employment and price stability, the Committee expects that a highly
accommodative stance of monetary policy will remain appropriate for a considerable time after the economic recovery
strengthens. In particular, the Committee also decided today to keep the target range for the federal funds rate at 0 to 1/4
percent and currently anticipates that exceptionally low levels for the federal funds rate are likely to be warranted at least
through mid-2015.
Voting for the FOMC monetary policy action were: Ben S. Bemanke, Chairman; William C. Dudley, Vice Chairman;
Elizabeth A Duke; Dennis P. Lockhart; Sandra Pianalto; Jerome H. Powell; Sarah Bloom Raskin; Jeremy C. Stein; Daniel
K. Tarullo; John C. Wiliams; and Janet L. Yellen. Voting against the action was Jeffrey M. Lacker, who opposed additional
asset purchases and preferred to omit the description of the time period over which exceptionally low levels for the federal
funds rate are likely to be warranted.
Statement Reaardina Transactions in Agency Mortaaae-Backed
Securities a
Tream,^, ce,,,nf,o. &q
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Last update: September 13. 2012
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Page 2 of 2
Ini1'7i)ni ')
SEPTEMBER 28, 201 2
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PAGE 13!
Selected Yields
Recent
(9/19/12)
3 Months
Ago
(6/20/12)
Year
Ago
(9/21/11)
Recent
3 Months
Ago
(9/19/12)
(6/20/12)
(9/21/11.
0.76
1.92
1.62
1.45
1.91
1.84
1.14
1.93
1.85
2.25
2.29
2.50
Year
Ago
Market Rates
3.25
0.27
0.38
0 . 75
0.00-0.25
3.25
0 . 31
0.47
0 . 75
0.00-0.25
3.25
0 . 42
0.36
0.13
0.17
0.86
021
0.32
1.11
0.17
0.21
1.26
Mortgage-Backed Securities
GNMA 5.5°/61
FHLMC 5.5% (Gold)
FNMA 5.5%.
FNMA ARM
Corporate Bonds
Financial (10-year) A
Industrial (25/30-year) A
Utility (25/30-year) A
Utility (25/30-year) Baa/BBB
0.10
013
0.18
0.67
1 . 74
-0,77
2.93
3.19
0 . 08
0.15
0.17
0.75
1 . 66
-0 . 51
2.74
2.94
0 . 01
0.02
0.10
0.84
1 86
0 . 00
2.99
3 25
Canada
Germany
Japan
United Kingdom
Preferred Stocks
Utility A
Financial BBB
Financial Adjustable A
Discount Rate
0.75
Federal Funds
0.00-0.25
Prime Rate
30-day CP (A1/P1)
3-month LIBOR
Bank CDs
6-month
1 -year
5-year
U.S. Treasury Securities
3-month
6-month
1-year
1 0-year
e
10-year (inflation-protected)
30-year
30-year Zero
Treasury Securit y Yield Curve
3.16
3.38
3.59
3.84
3.95
4.33
4.01
3.92
4.32
4.31
4.23
4.86
1.89
1.62
0.82
1.84
1 79
1.62
0.83
1.77
2.12
1.77
0.99
2.41
5.22
5.94
5.47
5.56
6.50
5.47
5.23
6.38
5.47
3.79
4.42
3.95
4.75
4.07
5.11
0.20
0.82
0.83
1.85
2.08
3.24
3.39
4.85
0.22
0.89
0.86
1.89
2.05
3.07
3.55
4.86
0.21
0.99
1.00
1.99
2.21
3.56
3.89
5.63
4.30
4.46
4 79
4.50
4.32
4.35
4.66
4.72
4.58
4.41
4.62
4.97
5.60
4.97
4.69
Foreign Bonds ( 10-Year)
TAX-rxEhtt )
Bond Buyer Indexes
20-Bond Index (GOs)
25-Bond Index (Revs)
General Obligation Bonds (GOs)
1-year Aaa
1-year A
5-year Aaa
5-year A
10-year Aaa
10-year A
25/30-year Aaa
25/30-year A
.00
Y.ar- A
.00%
Mos.
Ycars
10
30
Revenue Bonds (Revs) (25/30Year)
Education AA
Electric AA
Housing AA
Hospital AA
Toll Road Aaa
Source: Bloomberg Finance L.P.
Federal Reserve Data
sAN(:, RESEFVfi
(Two-Week Period,• in Millions, Not Seasonally
Adjusted)
Excess Reserves
Borrowed Reserves
Net Free/Borrowed Reserves
9/5/12
Recent Levels
8/22/12
Change
1450817
2516
1480850
3527
-30033
t o11
1448301
1477323
-29022
Average Levels Over the Last.,,
12 Wks.
26 Wks.
52 Wks.
1471978
1480418
1504262
4162
5512
7690
1467816
1474906
1496573
MONfY SUPPII'
(One- Week Period; in Billions, Seasonally Adjusted)
Recent Levels
M1 (Currency+demand deposits)
M2 (M1+savings+small time de p osit s )
9/3/12
8/27/12
2355.3
Change
2321.5
33.9
10089.1
10072.3
16.8
Source • United Slates Federal Reserve Bank
Ann'I Growth Rates Over the Last...
3 Mos.
6 Mos.
12 Mos.
19.6%
12.5%
11.3%
8.3%
6.0%
6.5%
IS NOT RESPONSIBLE FOR ANY ERRORS OR OMISSIONS HEREIN lhis^^w rr^ sources oeee^eo to be reliable rand is pro^ed Migp^"a^^es of any kind. THE PUBUSHER
resold, stored or transmitted in any printed, electronic or other form, obused^for^^y^s^^ketinm ^^^i internal use ^pBnotdmayberoproduead,
marketing any printed or electronic pubDcation• service or product.
309
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