Board of Governors of the Federal Reserve System

Selected Interest Rates (Daily) - H.15

Daily Update

Release Date: September 29, 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, 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.

A list of sources for the discontinued data is available at:

The Board will continue to publish the following interest rates in the H.15 release: federal funds (effective), commercial paper, bank prime loan, discount window primary credit, and U.S. Treasury securities.

Additionally, the Board will no longer publish the H.15 in PDF format or publish weekly and monthly averages directly on the H.15. Weekly and monthly averages will continue to be available, along with other historical data, through the Board's Data Download Program.

The weekly release is posted on Monday. Daily updates of the weekly release are posted Tuesday through Friday on this site. If Monday is a holiday, the weekly release will be posted on Tuesday after the holiday and the daily update will not be posted on that Tuesday.

September 29, 2016
Selected Interest Rates

Yields in percent per annum
Instruments 2016
Federal funds (effective) 1 2 3  0.40   0.40   0.40 
Commercial Paper 3 4 5 6         
1-month  0.38   0.42   0.41 
2-month  0.40   0.48   0.47 
3-month  0.56   0.54   0.53 
1-month  0.47   n.a.   n.a. 
2-month  0.55   0.56   0.61 
3-month  0.63   0.64   0.82 
Eurodollar deposits (London) 3 7         
1-month  0.50   0.50   0.50 
3-month  0.93   0.93   0.93 
6-month  1.30   1.30   1.30 
Bank prime loan 2 3 8  3.50   3.50   3.50 
Discount window primary credit 2 9  1.00   1.00   1.00 
U.S. government securities         
Treasury bills (secondary market) 3 4         
4-week  0.10   0.16   0.14 
3-month  0.25   0.26   0.27 
6-month  0.42   0.42   0.44 
1-year  0.56   0.56   0.58 
Treasury constant maturities         
Nominal 10         
1-month  0.12   0.16   0.14 
3-month  0.25   0.26   0.27 
6-month  0.42   0.42   0.44 
1-year  0.58   0.58   0.60 
2-year  0.76   0.75   0.75 
3-year  0.87   0.86   0.87 
5-year  1.13   1.12   1.13 
7-year  1.41   1.39   1.41 
10-year  1.59   1.56   1.57 
20-year  2.00   1.96   1.96 
30-year  2.32   2.28   2.29 
Inflation indexed 11         
5-year  -0.27   -0.26   -0.31 
7-year  -0.14   -0.14   -0.17 
10-year  0.05   0.04   0.01 
20-year  0.43   0.42   0.38 
30-year  0.60   0.58   0.57 
Inflation-indexed long-term average 12  0.46   0.44   0.42 
Interest rate swaps 13         
1-year  0.94   0.94   0.93 
2-year  1.00   1.00   0.99 
3-year  1.06   1.05   1.04 
4-year  1.11   1.10   1.09 
5-year  1.16   1.15   1.14 
7-year  1.28   1.26   1.26 
10-year  1.44   1.41   1.41 
30-year  1.78   1.74   1.73 
Corporate bonds         
Moody's seasoned         
Aaa 14  3.43   3.39   3.39 
Baa  4.29   4.25   4.26 
State & local bonds 15         
Conventional mortgages 16         
    n.a. Not available.


1. As of March 1, 2016, the daily effective federal funds rate (EFFR) is a volume-weighted median of transaction-level data collected from depository institutions in the Report of Selected Money Market Rates (FR 2420). Prior to March 1, 2016, the EFFR was a volume-weighted mean 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 (

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. Source: Bloomberg and CTRB ICAP Fixed Income & Money Market Products.

8. 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 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 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

10. 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 Source: U.S. Treasury.

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

12. Based on the unweighted average bid yields for all TIPS with remaining terms to maturity of more than 10 years.

13. ICE Swap Rate mid-market par swap rates (previously known as ISDAFIX). Rates are for a Fixed Rate Payer in return for receiving three month LIBOR, and are based on tradable quotes sourced at 11:00 a.m. from regulated electronic trading venues. Source: ICE Benchmark Administration.

14. As of December 7, 2001, Moody's Aaa rates are averages of Aaa industrial bond rates. Prior to December 7, 2001, these rates are averages of Aaa utility and Aaa industrial bonds. Data obtained from Bloomberg Finance L.P.

15. Bond Buyer Index, general obligation, 20 years to maturity, mixed quality; Thursday quotations. Data obtained from Bloomberg Finance L.P.

16. Contract interest rates on commitments for 30-year fixed-rate first mortgages. Source: Primary Mortgage Market Survey® 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 ( 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, 20, and 30 years.
Last update: September 29, 2016