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Data Note: U.S. - Interest rate swaps
Thursday, 16 Mar 2017 11:55 ET
By Phillip Thorne
Summary
March 16, 2017 -- In October 2016, our traditional source for interest rate swaps (the FRB H.15 statistical release) terminated its coverage on short notice. Our negotiations with alternate data providers are ongoing, and we expect to announce replacement time series by the end of 2017Q1; watch this space for updates.
Detail

The mnemonics of the discontinued H.15 series are as follows. We will announce the selection, definition and mnemonics of the replacements when they are available on Data Buffet.

DailyWeeklyMonthlyTenor
IRSWP1YD.IUSA IRSWP1YW.IUSA IRSWP1YM.IUSA 1-year
IRSWP2YD.IUSA IRSWP2YW.IUSA IRSWP2YM.IUSA 2-year
IRSWP3YD.IUSA IRSWP3YW.IUSA IRSWP3YM.IUSA 3-year
IRSWP4YD.IUSA IRSWP4YW.IUSA IRSWP4YM.IUSA 4-year
IRSWP5YD.IUSA IRSWP5YW.IUSA IRSWP5YM.IUSA 5-year
IRSWP7YD.IUSA IRSWP7YW.IUSA IRSWP7YM.IUSA 7-year
IRSWP10YD.IUSA IRSWP10YW.IUSA IRSWP10YM.IUSA 10-year
IRSWP30YD.IUSA IRSWP30YW.IUSA IRSWP30YM.IUSA 30-year

Further reading

Other
Related ReleaseH.15 Selected Interest Rates [D, W, M]
SourceU.S. Board of Governors of the Federal Reserve System (FRB)
FrequencyBusiness Daily
GeographyUnited States
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