|Unit||% p.a., NSA|
|Adjustments||Not Seasonally Adjusted|
|Source||U.S. Board of Governors of the Federal Reserve System (FRB)|
|Release||H.15 Selected Interest Rates [D, W, M]|
|Stock Market Index||23 Sep 2020||26,763||27,288||Index 26May1896=40.94, NSA||Daily|
|Average Long-term Government Bond||22 Sep 2020||0.68||0.68||% p.a., NSA||Business Daily|
|Lending Rate||22 Sep 2020||0.09||0.09||% p.a., NSA||Business Daily|
|Treasury Bills (over 31 days)||22 Sep 2020||0.1||0.1||% p.a., NSA||Business Daily|
|Money Market Rate||Aug 2020||0.09||0.11||% p.a., NSA||Monthly|
|Monetary Policy Rate||Apr 2017||0.88||0.88||% - End of period||Monthly|
For the U.S., the Federal Reserve Board's "Selected Interest Rates (H.15)" statistical release contains daily interest rates for selected monetary policy, U.S. Treasury (secondary market), private money market, and capital market instruments.
Weekly, monthly, and annual figures are averages of business days unless otherwise noted.
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.
Generally quoted from the source:
1. The daily effective federal funds rate (IRFEDD.IUSA) is a weighted average of rates on brokered trades.
2. Weekly figures are averages of seven 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. Commercial paper, finance paper placed directly, and banker's acceptances are stated on a discount basis.
5. Interest rates on commercial paper are 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.
6. Rates on CDs on the secondary market are an average of dealer bid rates on nationally traded certificates of deposit.
7. Bid rates for Eurodollar deposits are collected around 9:30 a.m. Eastern time.
8. The bank prime loan rate is the 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 discount window primary credit rate is 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 this 2002 FRB press release. 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 the H.15 page.
10. Treasury constant maturities - nominal. 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 the U.S. Treasury web site and more methodology is here.
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 the U.S. Treasury web site.
12. U.S. government securities, long-term average. Based on the unweighted average bid yields for all TIPS with remaining terms to maturity of more than 10 years.
13. 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 Intercapital plc and published on Reuters Page ISDAFIX®1. ISDAFIX is a registered service mark of ISDA. Source: Reuters Limited.
14. For corporate bonds, Moody's Aaa rates. Through December 6, 2001, averages of utility and industrial bond rates. As of December 7, 2001, industrial bonds only.
15. Bond Buyer Index, general obligation, 20 years to maturity, mixed quality; Thursday quotations.
16. Contract interest rates on commitments for fixed-rate first mortgages. Source: FHLMC.
The daily H.15 is published at 4:30 p.m. ET daily, with a one-business day lag. Federal holidays on Monday will (a) delay the report and (b) cause a gap in most series. (Three rates are reported even on holidays: the federal funds effective rate, bank prime loan rate, and discount window primary credit rate.)
The weekly H.15 is published each Monday at 4:30, except when delayed by a Monday holiday. The reference date is the previous Friday.
The monthly H.15 is published on the first Monday of each month (hence, the lag varies between one and seven days), except when delayed by a holiday. Note that the human-readable report is posted at 2:30 p.m., but the FRB's bulk data system (DDP) is not updated until 4:30.
Several of the associated Moody's Analytics supplements (see below) are derived in part from other releases, such as the ICE LIBOR, and are subject to their respective lags and holidays.
The "TED Spread" is a popular indicator of credit risk. It is the price difference between three-month futures contracts for U.S. Treasuries and three-month contracts for Eurodollars having identical expiration months, or similar instruments. The series is computed daily by Moody's Analytics. An increase in the TED Spread indicates increasing risk of default, and investors will likely switch to safer investments; and vice-versa. Moody's Analytics updates the TED spread with the release of the H.15 Daily Interest rates.
The TED spread is the difference between the three-month USD Libor Rate and three-month T-bill rate, expressed in basis points. That is, ((IR%LIBOR3MUD.IUSA - IRTB3MD.IUSA) * 100)
The "three-month Nonfinancial Commercial Paper" rate (IRCPN3MM.IUSA) as reported by the Federal Reserve starts at January 1997. We have extended the series back to April 1971 by using the discontinued "three-month prime commercial paper - Average dealer offering rate, discount basis" series (IRCP3MM.IUSA).
The 20-year Treasury bond was not issued between 1987 and 1993. The corresponding constant maturity series (IRGT20YD.IUSA) has a gap from 31 December 1986 to 1 October 1993. As of 2020 we produce a patched series (IRGTX20YD.IUSA) that fills the gap, per FRB's guidance, as the average of the 10- and 30-year rate on each day.
The 30-year Treasury bond was not issued between 2002 and 2006, and the corresponding CMT series (IRGT30YD.IUSA) was discontinued on 18 February 2002, then reintroduced on 9 February 2006. We produce a patched series (IRGTX30YD.IUSA) that fills the gap, using an adjustment factor published by the U.S. Treasury for this purpose.
Moody's Analytics calculates a spectrum of swap spreads based on the daily ICE Swap Rate release and the H.15 release (IRSWP?YSPD.IUSA). The supplements will exhibit lags or gaps dependent on the two inputs.
In general, no.
There have been several incidents of isolated revisions during 2020:
Because the daily series have gaps (i.e., ND values) due to holidays and possibly other reasons, when converting to a lower frequency, use the "ignore missing values" option in Data Buffet baskets and charts. Otherwise all intervals that contain a daily gap will themselves show as ND.
The FRB's reporting requires sufficient activity in the market. Gaps are not unusual in: rates on 2- and 3-month financial and nonfinancial commercial paper (IRCP(N,F)(2,3)MD.IUSA) and on 1-, 3- and 6-month CDs (IRCD(1,3,6)D.IUSA).
During the COVID-19 pandemic, activity froze in the market for 2- and 3-month financial CP from March to May. The lack of daily activity means corresponding weekly and monthly series (which are averages) cannot be calculated.
The 12-month Treasury bill on the secondary market (IRTB12MD.IUSA) was not reported from September 2001 to May 2008, but then resumed.
The 30-year Treasury constant maturity series (IRGT30YD.IUSA) was discontinued on February 18, 2002, and reintroduced on February 9, 2006. Moody's Analytics provides an estimated series (IRGTX30YD.IUSA) that fills the gap.
At the source: