FRB: DDP: Interest Rates (H.15)
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FRB: DDP: Interest Rates (H.15) |
This feed provides information about selected interest rate data from the Federal Reserve Board's H.15 release available through the Data Download Program (DDP).
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10/01/2007 09:30 PM
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Corrections for rounding errors on interest rate swaps
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Due to a software problem, several rates on interest rate swaps were incorrectly rounded when originally published on the H.15 Selected Interest Rates statistical release. See the announcement for details.
Mas Info
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12/18/2006 03:00 PM
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RSS feeds now available from the Federal Reserve Board
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The Federal Reserve Board's Data Download Program (DDP) now provides RSS feeds for users. Subscribers are notified about any updates or changes to the available data.The announcements will also be available on the DDP website. To subscribe to a feed, please visit the main RSS feeds page.
Mas Info
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07/28/2004 05:40 PM
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Addition of 20-Year Treasury Constant Maturity Inflation-Indexed
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In accordance with its announcement of May 5, 2004, the Treasury commenced publishing a 20-year
constant maturity inflation-indexed interest rate effective July 27, 2004. It appears on the daily H.15 effective
with the issue of July 28, 2004, and on the weekly H.15 effective with the issue of August 2, 2004.
Mas Info
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06/02/2004 05:53 PM
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Discontinuance of Treasury Long-Term Average Nominal Rate
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In accordance with its announcement of May 5, 2004, the Treasury has
ceased publication of its long-term average nominal yield, effective
June 1, 2004. The Treasury commenced publishing this rate on February
19, 2002, coinciding with the discontinuance of its 30-year constant
maturity rate. At that time, the Treasury began to publish an
"extrapolation factor," to allow users to calculate a proxy for the
30-year constant maturity rate. An extrapolation factor will continue
to be published, but, as of June 1, it will be based on an
extrapolation from the 20-year yield curve point. The extrapolation
factor is available at the Treasury website, www.treas.gov/offices/domestic-finance/debt-management/interest-rate/index.html, as reported in footnote 11 of the release.
Mas Info
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01/05/2004 04:54 PM
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Inclusion of Yields on Treasury Inflation-Protected Securities
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As of the release of January 5, 2004, the H.15 includes four daily
yields, constructed by the Treasury Department, on Treasury
inflation-protected securities (TIPS): yields at constant maturities of
5, 7, and 10 years and an average of yields on all TIPS having
remaining maturities of more than 10 years. Historical data for these
series are available back to January 2, 2003. Further information may
be found at www.treas.gov/offices/domestic-finance/debt-management/interest-rate/index.html.
Mas Info
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02/25/2002 04:55 PM
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Changes to Treasury Long-Term Rate Series
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As of the release dated February 25, 2002, the H.15 no longer
reports a 30-year constant maturity yield for Treasury securities and
begins reporting a yield for Treasury securities with 25 years or more
remaining to maturity.
The changes reflect the Treasury's announcement on January 30, 2002,
that, effective February 18, it would cease supplying an estimate of
the 30-year constant maturity yield and that it would commence
supplying a long-term yield based on a basket of long-dated securities.
As indicated in footnote 12 of the release, the new long-term rate
is based on an unweighted average of the bid yields for all Treasury
fixed-coupon securities with remaining terms to maturity of at least 25
years. A factor to adjust the daily long-term average to estimate a
30-year rate is available at the Treasury web site reported in footnote
13 of the release.
Mas Info
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10/26/2001 05:45 PM
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Original and Revised Treasury Rates for the Week Ending September 14, 2001
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The H.15 site has links to the original September 17, 2001, release as well as
to the revised releases for that date and for September 24.
Data for most of the interest rates reported in the H.15 release of
September 17, 2001, were missing for September 11-13 because of
inactive markets or delays in data processing arising from the
disasters of September 11.
On September 25 the Treasury released the data that had been
missing for September 13 regarding the constant maturity interest
rates on Treasury securities and the secondary rates on bills. On
October 1, 2001, the Federal Reserve issued a revised version of the
H.15 release of September 17 to show the September 13 values of those
series and the correspondingly updated values of the averages for the
week ending September 14; also on October 1, 2001, the Federal Reserve
issued a revised version of the September 24 release to show the new
values of the averages for the week ending September 14.
Mas Info
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09/04/2001 05:59 PM
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Changes in the reporting of Treasury securities
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On July 31, 2001, the Department of the Treasury began the weekly
issuance of 4-week bills. On August 27, 2001, the Treasury stopped
reporting secondary market yields for 1-year Treasury bills, the final
issuance of which was on February 27, 2001.
Effective with the issue of September 4, 2001, the H.15 statistical
release reflects these changes by reporting the secondary market rate
for 4-week bills and by no longer reporting the secondary market rate
for 1-year bills.
In addition, the H.15 now reports a 1-month constant maturity rate,
which the Treasury began calculating when it introduced the 4-week bill.
Mas Info
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07/10/2000 05:59 PM
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Note to Users of the H.15 Statistical Release; The addition of swap rates.
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Effective July 10, 2000, several changes are being made to the H.15 release:
Rates for fixed-rate payers in interest rate swaps, as collected under
the auspices of the International Swaps and Derivatives Association,
Inc., are being added. These swap rates are for maturities of 1, 2, 3,
4, 5, 7, 10, and 30 years.
No longer appearing on the release are auction highs for 3-month,
6-month, and 1-year Treasury bills. These figures continue to be
available from the Treasury's website:
http://www.publicdebt.treas.gov/of/ofrespr.htm. Also
being dropped is the Treasury composite (an unweighted average of yields
on all outstanding bonds neither due nor callable in less than 10
years).
Finally, the H.15 no longer contains rates for 3-month and 6-month
bankers acceptances. The quotes continue to be available on Telerate,
which was the source for these rates as reported on the H.15.
Mas Info
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05/12/1997 06:01 PM
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Change in the source of data for commercial paper
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AnnouncementAlso available in PDF format (PDF 22 KB)
Mas Info
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