The Board of Governors of the Federal Reserve System announced, in part (citation):
September 26, 2016 Discontinuance of several rates on October 11, 2016 ... Beginning October 11, 2016, the Federal Reserve Board will cease publication of the following interest rates on its Selected Interest Rates (H.15) statistical release: Eurodollar deposits, interest rate swaps [emphasis ours], corporate bonds, state and local bonds, and conventional mortgages. These interest rates are not produced by the Board and are available from their original sources before they are published by the Board on the H.15. The Board has judged that, given the alternative sources available to the public, the costs of collecting and publishing these data outweigh the benefits.
It appears that the daily series have been terminated to end at Friday, October 28 (the last full week of the month), not Monday, October 31 (the last day of the month). The corresponding weekly series have the same end date. The monthly series were terminated as of the regular dissemination schedule, i.e., Monday, November 7, and end at September, not October.
In response, we have marked the series as "discontinued" in their description metadata and the catalog. Figures are percent per annum (% p.a.) not seasonally adjusted (NSA). The series run from:
- Daily: July 3, 2000 to October 28, 2016
- Weekly: December 7, 1998 to October 28, 2016
- Monthly: as early as December 1998 (*) to September 2016
The series reside in the historical catalog (United States » Financial » Interest rates » H.15 Interest Rates) and include, for example:
- IRSWP1YD.IUSA = Interest rate swaps - 1 year, (% p.a., NSA) - daily
- IRSWP4YW.IUSA = 4 years - weekly
- IRSWP30YM.IUSA = 30 years - monthly
As a substitute, Data Buffet carries the "ICE Swap Rate" daily dataset from ICE Benchmark Administration (see related article).
Because catalog locations are subject to change, the upper-right search box on DataBuffet.com provides a "find in catalog" mode that accepts a mnemonic.
Please be aware that
- The copies of the monthly series that may be retrieved from the FRB's "DDP" system (using the "discontinued" option) start at July 2000.
Updates
- Nov. 1 - Initial version (daily and weekly series terminated).
- Nov. 7 - Monthly series terminated.
- Mar. 30 - ICE Swap Rate dataset added.
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