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Discontinuance of Treasury Long-Term Average Nominal Rate

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.

Inclusion of Yields on Treasury Inflation-Protected Securities

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.

Changes to Treasury Long-Term Rate Series

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.

Original and Revised Treasury Rates for the Week Ending September 14, 2001

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.

Changes in the reporting of Treasury securities

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.

Note to Users of the H.15 Statistical Release; The addition of swap rates.

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.