Ross, Westerfield, Jaffe, and Jordan's Spreadsheet Master

Corporate Finance, 13th edition

by Brad Jordan and Joe Smolira
Version 13.0

Chapter 8
In these spreadsheets, you will learn how to use the following Excel fu

PRICE
YIELD
DURATION
MDURATION
COUPDAYSNC
ACCRINT
Scroll bars
HLOOKUP

The following conventions are used in these spreadsheets:

1) Given data in blue

2) Calculations in red

NOTE: Some functions used in these spreadsheets may require that

the "Analysis ToolPak" or "Solver Add-In" be installed in Excel.
To install these, click on the File tab
then "Excel Options," "Add-Ins" and select
"Go." Check "Analysis ToolPak" and
"Solver Add-In," then click "OK."
 the following Excel functions:

eadsheets:

equire that
 Chapter 8 - Section 1
Bonds and Bond Valuation

As with any financial instrument, the price of a bond is just the present value of the future cash flows. What is the p
the following characteristics?

Coupon rate 8.00%

Years to maturity 10
Yield to maturity 7.50%
Par value $ 1,000

Since the bond has semiannual payments, the coupon payments will be:

Coupon payments $ 40.00

Now we can find the present value of the coupon payments, the present value of par, and the bond price, which are

Present value of coupon payments $ 555.85

Present value of par 478.89
Bond price $ 1,034.74

Of course, we could have entered the coupon payments and par value in the same PV function, making sure that bo

Bond price $ 1,034.74

Although you can value a bond with the PV function, Excel has numerous functions that calculate bonds prices and m

What is the price of a bond with the following characteristics?

Settlement date 1/1/2020

Maturity date 1/1/2030
Annual coupon rate 7.50%
Yield to maturity 8.40%
Face value (% of par) 100
Face value ($) $ 1,000
Coupons per year 2

Bond price (% of par) 93.991

RWJ Excel Tip

To calculate a bond price, we can use the PRICE function as follows:

The PRICE function uses several arguments we need to explain. Notice, we had to enter 2 dates, a settlement date a
pay for the bond. The maturity date is the date the bond matures. In many bond problems, you may not have these
this case, any 2 dates will work as long as they are the correct number of years apart. In this case, we used January 1
bond since these dates are particularly easy to work with. Rate is the coupon rate of the bond and Yld is the yield to
(face, or par) value of the bond at maturity as a percentage of par. When you read further about bond quotes, bond
this convention. Frequency is the number of coupon payments per year. Notice that the value for the bond price ret
return the dollar price, we divide the price calculated by Excel by 100 to convert to a decimal, and then multiply by t
function to return a dollar price for the bond.

Dollar price of bond $ 939.91

Settlement Date

Excel uses the settlement date in its bond pricing functions. The settlement date is not the date the bond is purchas
actually made. If you purchase a Treasury bond, you will not actually pay for the bond until the next business day, w
from the date of purchase, the same time frame that is used for stock purchases.

Finding the YTM

You can use the YIELD function in Excel to calculate the yield to maturity of a bond. Suppose we have a bond with th
bond?

Settlement date 1/1/2020

Maturity date 1/1/2035
 Annual coupon rate 6.80%
Bond price (% of par) 107.850
Face value (% of par) 100
Coupons per year 2

Yield to Maturity (YTM) 6.00%

RWJ Excel Tip

To calculate a bond's YTM, we can use the YIELD function as follows:

The YIELD function uses most of the same arguments as the price function. Notice, we had to enter 2 dates, a settlem
the date you pay for the bond. The maturity date is the date the bond matures. In many bond problems, you may no
maturity. Any 2 dates will work as long as they are the correct number of years apart. In this case, we used January 1
bond since these dates are particularly easy to work with. Rate is the coupon rate of the bond and Pr is the price of
redemption (face, or par) value of the bond at maturity as a percentage of par. When you read further about bond q
and Excel uses this convention. Frequency is the number of coupon payments per year.

A Note on Bond Pricing

When you use the PRICE and YIELD function, you will notice another input, Basis. The method we used for bond pric
called the "stopped clock" bond pricing method because it is technically correct only twice per year. The two days th
coupon payment is exactly six months in the future. On other days, the price paid for the bond includes the accrued
argument and how to use it in Section 8.3.

Interest Rate Risk

In our discussion of interest rate risk, we mentioned several factors that affect how much a bond's price will change
bond's interest rate risk sensitivity are:
1) The maturity of the bond. All else the same, longer term bonds have greater interest rate risk.
2) The coupon rate. All else the same, a bond with a lower coupon rate will have greater interest rate risk.
3) The current yield to maturity. All else the same, a lower yield to maturity will result in greater interest rate risk
So how will we tell how sensitive a bond's price is to changes in interest rates when these three factors are combine
that accounts for all of these factors. The most common measure of interest rate risk is Macaulay duration. The calc
here, but in short, it measures the elasticity of bond price changes to changes in the interest rate. Suppose we have

Settlement date 1/1/2020

Maturity date 1/1/2039
Annual coupon rate 6.80%
Yield to maturity 7.30%
Face value (% of par) 100
Coupons per year 2

What is the Macaulay duration of this bond? Using the Excel function DURATION, we find:

Macaulay duration 10.72

RWJ Excel Tip

To calculate a bond's Macaulay duration, we can use the DURATION function as follows:

The DURATION function uses the same arguments as the price function. Settlement is the date you pay for the bond
coupon rate of the bond and Yld is the bond's yield to maturity. Frequency is the number of coupon payments per y
So how do we use the Macaulay duration? To calculate the change in a bond's price for a change in interest rates, w

Change in price = Current price(-Macaulay duration)(Change in interest rates/(1 + YTM/2)

This equation assumes semiannual coupon payments. If the bond makes annual coupon payments, we do not divid
bond? Suppose we expect the following change in the bond's YTM:

Change in YTM 0.50%

How will the bond's price change? Using the PRICE function, we can find the current bond price and new bond price

Current bond price $ 949.05

New bond price $ 901.75

If we use the equation for the change in the bond price using Macaulay duration, we find the new bond price will be

Change in bond price $ (49.07)

New bond price $ 899.97

As you can see, the Macaulay duration does not exactly predict the change in the bond's price, but it is a close appro
predicting the bond price change for small changes in interest rates; for larger interest rate changes, Macaulay dura
change in a bond's price for a new YTM, what is the advantage of Macaulay duration? One of the biggest advantage
weighted average of the bonds in the portfolio. So, you can tell how a bond portfolio will change in value for a given
calculating weighted averages and portfolios, we will have more to say about both topics in Chapter 11. There is ano
we will skip the calculation of modified duration and use Excel to calculate the modified duration. Doing so, we find

Modified duration 10.34

To calculate the change in the bond's price using modified duration, we use the following equation:

Change in price = Current price(−Modified duration)(Change in interest rates)

So, with modified duration, the predicted new bond price is:

Change in bond price $ (49.07)

New bond price $ 899.97

Notice that the estimated new bond price for both Macaulay duration and modified duration are the same. This will
as:

Modified duration = Macaulay duration/(1 + YTM/2)

When we calculate the change in the bond price using modified duration, we do not divide by (1 + YTM/2). Practitio
for a quick estimate of a bond price change using "back of the envelope" calculations.

RWJ Excel Tip

To calculate a bond's modified duration, we can use the MDURATION function as follows:

The MDURATION function uses exactly the same arguments as the DURATION function, but calculates the modified,

Just to clear up a point that can confuse students: Duration is not the same as maturity, but is the price elasticity of
to maturity since, all else the same, a longer term bond will have a higher duration. To give you an example of how d
perpetuity has no maturity, but the duration of a perpetuity is:

Duration of a perpetuity = (1 + R)/R

So, if we have the following interest rate:

Interest rate 8.00%

The duration of any perpetuity is:

Duration of perpetuity 13.50

The only time the duration of a bond and the maturity are the same is the case of a zero coupon bond, where the du
difference between maturity and duration, suppose we have the following coupon rate and yield to maturity bond:

Annual coupon rate 6.80%

 Yield to maturity 7.30%
Settlement date 1/1/2020
Coupons per year 2

What is the duration of the bond for different maturities? Below, we calculated the duration for each maturity and t

Maturity date 1/1/2021 1/1/2027 1/1/2033

Maturity (years) 1 7 13
Macaulay duration 0.984 5.663 8.732

Macaulay Duration
16
14

Macaulay Duration (Years) 12

10
8
6
4
2
0
0 5 10 15 20 25 30
Maturity (Years)

As you can see from this graph, duration is close to the maturity for short maturity bonds, but duration increases at

RWJ Excel Tip

Notice that we have the horizontal axis at intervals of five years, beginning at zero and ending at 40 even though the
We chose this range by selecting the horizontal axis and going to "Format Axis" then "Axis Options." However, you c
chart, but rather must use an XY scatter plot.
f the future cash flows. What is the price of a bond with semiannual coupon payments and

of par, and the bond price, which are:

ame PV function, making sure that both were negative. This would give us:

tions that calculate bonds prices and much more. The bond price function in Excel is PRICE.
 to enter 2 dates, a settlement date and a maturity date. The settlement date is the date you
nd problems, you may not have these dates, but rather the number of years until maturity. In
apart. In this case, we used January 1, 2020 and January 1, 2030 as the dates for a 10-year
ate of the bond and Yld is the yield to maturity of the bond. Redemption is the redemption
ead further about bond quotes, bonds are often quoted as a percentage of par and Excel uses
e that the value for the bond price returned by Excel is the price as a percentage of par. To
rt to a decimal, and then multiply by the dollar face value. Below, we have modified the

te is not the date the bond is purchased, but rather the date the payment for the bond is
e bond until the next business day, while the settlement date for corporate bonds is 2 days
es.

ond. Suppose we have a bond with the following characteristics. What is the YTM of the
tice, we had to enter 2 dates, a settlement date and a maturity date. The settlement date is
. In many bond problems, you may not have these dates, but rather the number of years until
apart. In this case, we used January 1, 2020 and January 1, 2035 as the dates for a 15-year
ate of the bond and Pr is the price of the bond as a percentage of par. Redemption is the
When you read further about bond quotes, bonds are often quoted as a percentage of par,
per year.

is. The method we used for bond pricing in the textbook and with the calculator is sometimes
t only twice per year. The two days this pricing method is correct are the days when the next
aid for the bond includes the accrued interest. We will have more to say about the Basis
 how much a bond's price will change for a change in interest rates. The factors that affect the

ter interest rate risk.

have greater interest rate risk.
will result in greater interest rate risk.
when these three factors are combined? Fortunately, there is a measure of interest rate risk
ate risk is Macaulay duration. The calculation of Macaulay duration is beyond our discussion
n the interest rate. Suppose we have the following bond:

ON, we find:

s follows:

ment is the date you pay for the bond. Maturity is the date the bond matures. Coupon is the
he number of coupon payments per year.
price for a change in interest rates, we use the following:

ates/(1 + YTM/2)

al coupon payments, we do not divide the YTM by 2. So what does this mean for the current

urrent bond price and new bond price, which are:

on, we find the new bond price will be:

he bond's price, but it is a close approximation. Macaulay duration is more effective at

interest rate changes, Macaulay duration is less accurate. Since you can exactly calculate the
ration? One of the biggest advantages is the Macaulay duration of a portfolio of bonds is the
rtfolio will change in value for a given interest rate change. If you are unfamiliar with
oth topics in Chapter 11. There is another type of duration, namely modified duration. Again,
modified duration. Doing so, we find the modified duration is:

e following equation:

dified duration are the same. This will always happen since the modified duration is calculated
do not divide by (1 + YTM/2). Practitioners often prefer to use modified duration since it allows
ations.

as follows:

function, but calculates the modified, rather than Macaulay, duration.

maturity, but is the price elasticity of the bond to changes in interest rates. Duration is related
tion. To give you an example of how duration and maturity differ, consider a perpetuity. A

of a zero coupon bond, where the duration is equal to the maturity. To show the
pon rate and yield to maturity bond:
d the duration for each maturity and then graphed the results.

1/1/2038 1/1/2040 1/1/2045 1/1/2050 1/1/2055 1/1/2060

18 20 25 30 35 40
10.445 10.973 11.993 12.694 13.175 13.503

acaulay Duration

15 20 25 30 35 40
Maturity (Years)

urity bonds, but duration increases at a decreasing rate as maturity increases.

ero and ending at 40 even though the data for the horizontal axis is different from this scale.
" then "Axis Options." However, you cannot change the scale of a horizontal axis on a line
 Chapter 8 - Section 3
Bond Markets

How many days are there between July 17th and September 1st? When you are dealing with bond prices, the answe
method for calculating the accrued interest on a bond, but in actuality, there are 6 methods for counting the numbe
next coupon payment. Excel does not include the calculation for one of the methods, so we are left with 5 different
next coupon payment. The 5 day count methods used by Excel and the corresponding inputs are:

Basis Day Count Basis

0 or omitted US (NASD) 30/360
1 Actual/Actual
2 Actual/360
3 Actual/365
4 European 30/360

In the United States, accrued interest for Treasury bonds is calculated using the Actual/Actual method, while corpor
use the US (NASD) 30/360 method, so we will concentrate on these 2 methods. The Actual/Actual day count metho
number of days, while the US (NASD) 30/360 day count method is somewhat more complicated. If you are not inter
next section.

US (NASD) 30/360 Day Count

We need to introduce the notation we will use first, namely the dates for the settlement and next coupon, which ar

Settlement: D1/M1/Y1
Next coupon: D2/M2/Y2

To count the number of days for the US (NASD) 30/360 method, the following conventions apply:

If D1 = 31, change to 30.

If D2 = 31 and D1 = 30 or 31, change D2 to 30, otherwise leave D2 at 31.

The number of days is then calculated as:

360(Y2 - Y1) + 30(M2 - M1) + (D2 - D1)

Suppose we have the following bond:

Settlement date 7/1/2021

Coupon date 3/1/2027
Coupons per year 2
What are the number of days until the next coupon payment using an Actual/Actual day count? What about a US (N

Since bonds pay interest every 6 months, the coupon dates will be September 1 (the maturity date) and March 1. Th

Actual/Actual day count

July 17 to July 31 14 days

August 31 days
September 1 day
Total days 46 days

Since the US (NASD) 30/360 day count method assumes 30 days in a month, the number of days under this conventi

July 17 to July 31 13 days

August 30 days
September 1 day
Total days 44 days

Of course, Excel has a function to count the days:

Actual/Actual day count 62

US (NASD) 30/360 day count 60

RWJ Excel Tip

To have Excel automatically calculate the number of days before the next coupon payment, we can use the COUPDA
bond are:

To find the number of days until the next coupon payment for a corporate bond, we used "0" as the Basis.
Clean and Dirty Pricing

Suppose we have the following corporate bond:

Issue date 3/15/2020

First coupon date 9/15/2020
Maturity date 3/15/2050
Settlement date 6/1/2024
Last coupon date 3/15/2024
Next coupon date 9/15/2024
Coupon rate 8.00%
Yield to maturity 7.30%
Par value (% of par) 100
Par value ($ value) $ 1,000
Coupons per year 2

Using the Excel bond price function, we can find the price of the bond as:

Bond price $ 1,080.62

Using the PRICE function in Excel returns the clean price. To find the invoice, or dirty, price, we need to calculate the
the accrued interest. Using ACCRINT, we find the accrued interest is:

Accrued interest (incorrect) $ 336.89

Obviously this number is too high. When you allow computer programmers to program financial functions, you ofte
ACCRINT requires the par value in dollars, not a percent of par, which is different from the price function. Second, th
interest since the bond was issued, a relatively unimportant number. To get the ACCRINT function to work properly,
can use the date the last coupon payment was made, and the First_interest date is the date of the next coupon paym
interest is:

Accrued interest (correct) $ 16.89

The dirty price is the clean price, plus accrued interest, or:

Dirty price $ 1,097.51

RWJ Excel Tip

To have Excel automatically calculate the accrued interest, we can use the ACCRINT function. The inputs we used fo
Notice, because of the way the programmers created the function, we had to "adjust" the dates we entered to get t
Issue date is the date of the last coupon payment, First_interest is the date of the next interest payment, and settlem
this function does have an optional Calc_method that will allow you to calculate the accrued interest since the bond
correctly calculate the accrued interest since the last coupon date.
e dealing with bond prices, the answer depends on who issued the bond! We discussed a
re 6 methods for counting the number of days between the time a bond is purchased and the
thods, so we are left with 5 different methods for counting the number of days before the
onding inputs are:

e Actual/Actual method, while corporate bonds, Federal agency bonds, and municipal bonds
. The Actual/Actual day count method is relatively simple since you only need to count the
more complicated. If you are not interested in the calculations behind these methods, skip the

ettlement and next coupon, which are:

conventions apply:
Actual day count? What about a US (NASD) 30/360 day count?

1 (the maturity date) and March 1. The number of days before the next coupon payment are:

e number of days under this convention would be:

pon payment, we can use the COUPDAYSNC function. The inputs we used for the Treasury

d, we used "0" as the Basis.

r dirty, price, we need to calculate the accrued interest. Excel has a function that calculates

program financial functions, you often get errors, which is what we get in this case. First,
nt from the price function. Second, the accrued interest in this function is the total accrued
e ACCRINT function to work properly, we will have to adjust the inputs. For the Issue date, we
te is the date of the next coupon payment. Using these adjustments, we find the accrued

RINT function. The inputs we used for the corporate bond are:
"adjust" the dates we entered to get the accrued interest since the last coupon payment. The
the next interest payment, and settlement date is the settlement date of the bond. Although
e the accrued interest since the bond issuance or the last coupon date, the option does not
 Chapter 8 - Section 5
Determinants of Bond Yields

Figure 8.9 in the textbook shows a current Treasury yield curve. Of course, we would like to see how the Treasury yi
a dynamic graph. On the next worksheet you will find the yield to maturity for different Treasury issues back to May
Reserve FRED® database. Notice that there is a lot of missing data in this table. The reason is because of different fu
U.S. Treasury didn't begin issuing 30-year Treasury bonds until February 1977, but then discontinued issuing these b
funding needs and market demand for long-term Treasury bonds, it re-introduced the 30-year bond in February 200
bond yield curve. If you click on the up or down arrow in the scroll bar located in rows 7 and 8, the graph will autom
course, if you would like to move more quickly, you can grab the scroll bar in the middle and drag it. The date above
the graph. Constructing such a dynamic yield curve is relatively intensive. If you look below, you will see how we did
the arrows and scroll forward or backward through time, the date changes, but the graph does not until you release
graph to change immediately as well. While this is possible, this task is even more intensive. We will show you how
chapter.

Month/Year:

Counter: 797 Dynamic U.S. Yield C

18%

16%

14%

12%
Yield to Maturity

10%

8%

6%

4%

2%

0%
0 5 10 15

Maturity (Years)
 2%

0%
0 5 10 15

Maturity (Years)

Maturity (years): 0.0833 0.25 0.50 1

Yield to Maturity: 2.07% 1.99% 1.93% 1.77%

RWJ Excel Tip

To begin, we need to set up the scroll bar. We went to the Developer tab, then clicked "Insert," then selected the sc
"+" symbol which will allows you to adjust the scroll bar size. Once you create the scroll bar, put the mouse over the
Control" from the menu. This brings up a box that looks like this:

Format control allows us to set the parameters of how the scroll bar will operate. We have the yield to maturity of t
correct month, we are going to use HLOOKUP to go to the table and grab the correct month by counting down from
want the scroll bar to start at. We need to set this value between the minimum and maximum value we will set late
output from the first row of the table. The maximum is 819, the last row of the table. If we set this number below 81
below the 400th month. If we set the maximum value for greater than 819, every entry will be zero. The incrementa
change by. In this case, we want the counter to increase by one, but in a later chapter we will use decimals for the in
case cell C13. The linked cell shows the output for the spinner. Notice, when you click the scroll bar, this cell change
graph. Notice that the number is purple. The reason for this is that it is an output from the scroll bar, but the output
changing anything else. For instance, if you type 45 in this cell, it will go to December 1956, the 45th row of the data
Typically, if you overwrite an output cell, the new value you entered will be static.
In cell G10, we have the month displayed. To do this, we used HLOOKUP, which is similar to the VLOOKUP we used i
rates. HLOOKUP looks up the number from the row in a column of data. The HLOOKUP function is located under the
like this:

The Lookup_value is the column header under which we want the function to lookup the correct cell row. In this cas
quotation marks since it is a text variable. Table_array is the data array we want the function to search, which is the
including the header row. Finally, Row_index_num is the row from which we want the resulting value returned. For
scroll bar. As the scroll bar increases the counter, the counter number increases, which results in a more recent mon

Next, we need to create a data table on this sheet that will return just the yields of the different Treasuries for the m
row of our table located in rows 37 and 38 shows the maturity in years for all Treasury maturities over this period. A
HLOOKUP to return the YTM for each maturity like we did for the month. Unfortunately, it is not this simple. Since 1
month, 6-month, 1-, 2-, 3-, 5-, 7-, 10-, 20-, and 30-year maturities. During this period, many of these maturities have
available data for that maturity when the Treasury was not issuing a particular maturity. If we use the HLOOKUP fun
there is not a YTM available for a particular maturity. This 0.00% YTM will be reflected in the graph. Because of this,

If you look at cell M38, which returns the YTM for a 30-year Treasury, you will see the following HLOOKUP functions

=IF(HLOOKUP(M37,'Yield Curve Data'!$A$2:$L$819,$C$13)>0.00001,HLOOKUP(M37,'Yield Curve Data'!$A$2:$

The IF statement is using HLOOKUP to find a value in the first row of the data table on the Yield Curve data sheet tha
this value is greater than 0.00001 (0.001%), the argument is true. In the true argument, we have the IF statement re
and row. If the IF argument is false, in other words the data is missing, the value returned will be #NA. This indicates
superfluous, we need this extra step so the graph will display properly since 0.00% is not returned for missing data.
Finally, we inserted an XY scatter plot. Using the XY scatter plot rather than a line graph means that the horizontal a
the gap between each numeric value on the graph is 5 (years).
ould like to see how the Treasury yield curve has changed over time. To do this, we can create
fferent Treasury issues back to May 1953 which we gathered from the St. Louis Federal
he reason is because of different funding requirements for the U.S. Treasury. For example, the
t then discontinued issuing these bonds in February 2002. Because of additional long-term
d the 30-year bond in February 2006. Below, you will see a dynamic graph of the Treasury
rows 7 and 8, the graph will automatically move forward or backward one month at a time. Of
middle and drag it. The date above the graph shows you the month and year represented in
ook below, you will see how we did this. One thing you will notice is that as you hold one of
he graph does not until you release the mouse key. What we would really like to see is for the
e intensive. We will show you how to do this when we discuss option valuation in a later

Aug-19

Dynamic U.S. Yield Curve

10 15 20 25 30

Maturity (Years)
 10 15 20 25 30

Maturity (Years)

2 3 5 7 10 20
1.57% 1.51% 1.49% 1.55% 1.63% 1.91%

icked "Insert," then selected the scroll bar we liked under "Form Controls." This will bring up a
e scroll bar, put the mouse over the scroll bar, right-click the mouse, and select "Format

We have the yield to maturity of the different bonds in a table. To have Excel grab the
rect month by counting down from the first row in the table. The current value is the value we
nd maximum value we will set later. We set the minimum value to 2 since we will never want
able. If we set this number below 819, say 400, it will not allow us to graph the yield curve
y entry will be zero. The incremental change is the increment that we want the counter to
apter we will use decimals for the incremental change. Finally, we have a linked cell, in this
click the scroll bar, this cell changes, which ultimately is the cell that changes the output and
from the scroll bar, but the output is unique in that you can manually change it without
mber 1956, the 45th row of the data, but it will not affect the future use of the scroll bar.
.
s similar to the VLOOKUP we used in Chapter 2 to compute the average and marginal tax
OKUP function is located under the Lookup & Reference functions. The syntax we used looks

okup the correct cell row. In this case, we want the date column. Notice we enclosed "Date" in
he function to search, which is the data in the next sheet. We included all of the data,
nt the resulting value returned. For this, we used the counter value that is returned by the
which results in a more recent month.

of the different Treasuries for the month the counter is displaying in the month cell. The first
asury maturities over this period. At first glance, it would seem that we could use a simple
unately, it is not this simple. Since 1955, the Treasury has issued bonds with 1-month, 3-
iod, many of these maturities have been discontinued for some periods, which results in no
aturity. If we use the HLOOKUP function, it will return a value of 0.00% for any month that
ected in the graph. Because of this, we need to use more than a basic HLOOKUP function.

e the following HLOOKUP functions nested inside an IF function:

UP(M37,'Yield Curve Data'!$A$2:$L$819,$C$13),NA())

le on the Yield Curve data sheet that matches cell M37, which is 30, for a 30-year maturity. If
ument, we have the IF statement return the yield to maturity from the appropriate column
returned will be #NA. This indicates that the data is missing. While this may seem a bit
% is not returned for missing data.
graph means that the horizontal axis will be based on constant values. In this case, the size of
 30
2.12%
 Maturity (years)
DATE 1/12 1/4 1/2 1 2 3 5 7
May-53 2.48% 2.72% 2.87%
Jun-53 2.45% 2.74% 2.94%
Jul-53 2.38% 2.62% 2.75%
Aug-53 2.28% 2.58% 2.80%
Sep-53 2.20% 2.56% 2.71%
Oct-53 1.79% 2.23% 2.43%
Nov-53 1.67% 2.20% 2.42%
Dec-53 1.66% 2.07% 2.32%
Jan-54 1.41% 1.89% 2.17%
Feb-54 1.14% 1.63% 2.04%
Mar-54 1.13% 1.59% 1.93%
Apr-54 0.96% 1.54% 1.87%
May-54 0.85% 1.56% 1.92%
Jun-54 0.82% 1.53% 1.92%
Jul-54 0.84% 1.47% 1.85%
Aug-54 0.88% 1.49% 1.90%
Sep-54 1.03% 1.60% 1.96%
Oct-54 1.17% 1.72% 2.02%
Nov-54 1.14% 1.75% 2.09%
Dec-54 1.21% 1.81% 2.16%
Jan-55 1.39% 1.99% 2.32%
Feb-55 1.57% 2.12% 2.38%
Mar-55 1.59% 2.26% 2.48%
Apr-55 1.75% 2.37% 2.55%
May-55 1.90% 2.37% 2.56%
Jun-55 1.91% 2.39% 2.59%
Jul-55 2.02% 2.51% 2.72%
Aug-55 2.37% 2.72% 2.86%
Sep-55 2.36% 2.69% 2.85%
Oct-55 2.39% 2.62% 2.76%
Nov-55 2.48% 2.73% 2.81%
Dec-55 2.73% 2.88% 2.93%
Jan-56 2.58% 2.78% 2.84%
Feb-56 2.49% 2.67% 2.74%
Mar-56 2.61% 2.89% 2.93%
Apr-56 2.92% 3.19% 3.20%
May-56 2.94% 3.08% 3.08%
Jun-56 2.74% 2.95% 2.97%
Jul-56 2.76% 3.06% 3.12%
Aug-56 3.10% 3.39% 3.41%
Sep-56 3.35% 3.50% 3.47%
Oct-56 3.28% 3.40% 3.40%
Nov-56 3.44% 3.57% 3.56%
Dec-56 3.68% 3.76% 3.70%
Jan-57 3.37% 3.46% 3.47%
Feb-57 3.38% 3.42% 3.39%
Mar-57 3.42% 3.47% 3.46%
Apr-57 3.49% 3.53% 3.53%
May-57 3.48% 3.61% 3.64%
Jun-57 3.65% 3.80% 3.83%
Jul-57 3.81% 3.96% 4.00%
Aug-57 4.01% 4.02% 4.00%
Sep-57 4.07% 4.06% 4.03%
Oct-57 4.01% 4.09% 4.08%
Nov-57 3.57% 3.70% 3.72%
Dec-57 3.18% 3.11% 3.08%
Jan-58 2.65% 2.78% 2.88%
Feb-58 1.99% 2.58% 2.78%
Mar-58 1.84% 2.40% 2.64%
Apr-58 1.45% 2.15% 2.46%
May-58 1.37% 2.07% 2.41%
Jun-58 1.23% 2.08% 2.46%
Jul-58 1.61% 2.42% 2.77%
Aug-58 2.50% 3.06% 3.29%
Sep-58 3.05% 3.52% 3.69%
Oct-58 3.19% 3.67% 3.78%
Nov-58 3.10% 3.60% 3.70%
Dec-58 3.29% 3.72% 3.82%
Jan-59 3.36% 3.91% 4.01%
Feb-59 3.54% 3.92% 3.96%
Mar-59 3.61% 3.97% 3.99%
Apr-59 3.72% 4.03% 4.12%
May-59 3.96% 4.25% 4.35%
Jun-59 4.07% 4.52% 4.50%
Jul-59 4.39% 4.60% 4.58%
Aug-59 4.42% 4.60% 4.57%
Sep-59 5.00% 4.97% 4.90%
Oct-59 4.80% 4.78% 4.72%
Nov-59 4.81% 4.85% 4.75%
Dec-59 5.14% 5.12% 5.01%
Jan-60 5.03% 4.99% 4.92%
Feb-60 4.66% 4.73% 4.69%
Mar-60 4.02% 4.29% 4.31%
Apr-60 4.04% 4.27% 4.29%
May-60 4.21% 4.46% 4.49%
Jun-60 3.36% 4.01% 4.12%
Jul-60 3.20% 3.63% 3.79%
Aug-60 2.95% 3.41% 3.62%
Sep-60 3.07% 3.43% 3.61%
Oct-60 3.04% 3.53% 3.76%
Nov-60 3.08% 3.60% 3.81%
Dec-60 2.86% 3.42% 3.67%
Jan-61 2.81% 3.39% 3.67%
Feb-61 2.93% 3.46% 3.66%
Mar-61 2.88% 3.35% 3.60%
Apr-61 2.88% 3.33% 3.57%
May-61 2.87% 3.23% 3.47%
Jun-61 3.06% 3.63% 3.81%
Jul-61 2.92% 3.59% 3.84%
Aug-61 3.06% 3.76% 3.96%
Sep-61 3.06% 3.73% 3.90%
Oct-61 3.05% 3.62% 3.80%
Nov-61 3.07% 3.61% 3.82%
Dec-61 3.18% 3.72% 3.91%
Jan-62 3.28% 3.76% 3.94%
Feb-62 3.28% 3.69% 3.89%
Mar-62 3.06% 3.45% 3.68%
Apr-62 2.99% 3.38% 3.60%
May-62 3.03% 3.40% 3.66%
Jun-62 3.03% 3.39% 3.64%
Jul-62 3.29% 3.62% 3.80%
Aug-62 3.20% 3.46% 3.71%
Sep-62 3.06% 3.41% 3.70%
Oct-62 2.98% 3.33% 3.64%
Nov-62 3.00% 3.40% 3.60%
Dec-62 3.01% 3.37% 3.56%
Jan-63 3.04% 3.40% 3.58%
Feb-63 3.01% 3.39% 3.66%
Mar-63 3.03% 3.41% 3.68%
Apr-63 3.11% 3.50% 3.74%
May-63 3.12% 3.54% 3.72%
Jun-63 3.20% 3.61% 3.81%
Jul-63 3.48% 3.76% 3.89%
Aug-63 3.53% 3.77% 3.89%
Sep-63 3.57% 3.82% 3.96%
Oct-63 3.64% 3.87% 3.97%
Nov-63 3.74% 3.95% 4.01%
Dec-63 3.81% 4.01% 4.04%
Jan-64 3.79% 4.04% 4.07%
Feb-64 3.78% 4.00% 4.03%
Mar-64 3.91% 4.12% 4.14%
Apr-64 3.91% 4.15% 4.15%
May-64 3.84% 4.04% 4.05%
Jun-64 3.83% 4.01% 4.02%
Jul-64 3.72% 3.93% 4.03%
Aug-64 3.74% 3.93% 4.05%
Sep-64 3.84% 4.01% 4.08%
Oct-64 3.86% 4.02% 4.07%
Nov-64 3.91% 4.04% 4.04%
Dec-64 4.02% 4.08% 4.09%
Jan-65 3.94% 4.03% 4.10%
Feb-65 4.03% 4.08% 4.15%
Mar-65 4.06% 4.13% 4.15%
Apr-65 4.04% 4.12% 4.15%
May-65 4.03% 4.11% 4.15%
Jun-65 3.99% 4.08% 4.15%
Jul-65 3.98% 4.09% 4.15%
Aug-65 4.07% 4.16% 4.20%
Sep-65 4.20% 4.24% 4.25%
Oct-65 4.30% 4.33% 4.34%
Nov-65 4.37% 4.45% 4.46%
Dec-65 4.72% 4.79% 4.72%
Jan-66 4.88% 4.90% 4.86%
Feb-66 4.94% 5.02% 4.98%
Mar-66 4.97% 4.97% 4.92%
Apr-66 4.90% 4.89% 4.83%
May-66 4.93% 5.00% 4.89%
Jun-66 4.97% 5.05% 4.97%
Jul-66 5.17% 5.26% 5.17%
Aug-66 5.54% 5.68% 5.50%
Sep-66 5.82% 5.79% 5.50%
Oct-66 5.58% 5.48% 5.27%
Nov-66 5.54% 5.53% 5.36%
Dec-66 5.20% 5.19% 5.00%
Jan-67 4.75% 4.75% 4.70%
Feb-67 4.71% 4.73% 4.74%
Mar-67 4.35% 4.47% 4.54%
Apr-67 4.11% 4.38% 4.51%
May-67 4.15% 4.61% 4.75%
Jun-67 4.48% 4.89% 5.01%
 Jul-67 5.01% 5.06% 5.23%
Aug-67 5.13% 5.23% 5.31%
Sep-67 5.24% 5.41% 5.40%
Oct-67 5.37% 5.52% 5.57%
Nov-67 5.61% 5.71% 5.78%
Dec-67 5.71% 5.71% 5.75%
Jan-68 5.43% 5.53% 5.54%
Feb-68 5.41% 5.61% 5.59%
Mar-68 5.58% 5.80% 5.76%
Apr-68 5.71% 5.75% 5.69%
May-68 6.14% 6.11% 6.04%
Jun-68 5.98% 5.82% 5.85%
Jul-68 5.65% 5.54% 5.60%
Aug-68 5.43% 5.42% 5.50%
Sep-68 5.45% 5.39% 5.48%
Oct-68 5.57% 5.52% 5.55%
Nov-68 5.75% 5.57% 5.66%
Dec-68 6.19% 6.16% 6.12%
Jan-69 6.34% 6.22% 6.25%
Feb-69 6.41% 6.32% 6.34%
Mar-69 6.34% 6.38% 6.41%
Apr-69 6.26% 6.25% 6.30%
May-69 6.42% 6.51% 6.54%
Jun-69 7.04% 6.83% 6.75%
Jul-69 7.60% 7.31% 7.01% 0.00%
Aug-69 7.54% 7.29% 7.03% 6.79%
Sep-69 7.82% 7.77% 7.57% 7.36%
Oct-69 7.64% 7.57% 7.51% 7.24%
Nov-69 7.89% 7.65% 7.53% 7.17%
Dec-69 8.17% 8.10% 7.96% 7.51%
Jan-70 8.10% 8.24% 8.17% 7.73%
Feb-70 7.59% 7.79% 7.82% 7.51%
Mar-70 6.97% 7.15% 7.21% 7.13%
Apr-70 7.06% 7.39% 7.50% 7.45%
May-70 7.75% 7.94% 7.97% 7.93%
Jun-70 7.55% 7.84% 7.85% 7.84%
Jul-70 7.10% 7.56% 7.59% 7.61%
Aug-70 6.98% 7.46% 7.57% 7.59%
Sep-70 6.73% 7.11% 7.29% 7.40%
Oct-70 6.43% 6.96% 7.12% 7.32%
Nov-70 5.51% 6.25% 6.47% 6.76%
Dec-70 5.00% 5.75% 5.95% 6.23%
Jan-71 4.57% 5.61% 5.89% 6.16%
Feb-71 3.89% 5.07% 5.56% 5.94%
Mar-71 3.69% 4.50% 5.00% 5.42%
Apr-71 4.30% 5.22% 5.65% 5.87%
May-71 5.04% 5.97% 6.28% 6.42%
Jun-71 5.64% 6.32% 6.53% 6.65%
Jul-71 6.04% 6.74% 6.85% 6.92%
Aug-71 5.80% 6.35% 6.55% 6.67%
Sep-71 5.41% 5.89% 6.14% 6.20%
Oct-71 4.91% 5.56% 5.93% 5.98%
Nov-71 4.67% 5.35% 5.78% 5.94%
Dec-71 4.60% 5.27% 5.69% 5.97%
Jan-72 4.28% 5.14% 5.59% 5.91%
Feb-72 4.27% 5.25% 5.69% 5.99%
Mar-72 4.67% 5.56% 5.87% 6.05%
Apr-72 4.96% 5.88% 6.17% 6.22%
May-72 4.64% 5.55% 5.85% 6.07%
Jun-72 4.93% 5.64% 5.91% 6.06%
Jul-72 4.96% 5.78% 5.97% 6.09%
Aug-72 4.98% 5.79% 6.02% 6.19%
Sep-72 5.52% 6.06% 6.25% 6.43%
Oct-72 5.52% 6.05% 6.18% 6.35%
Nov-72 5.27% 5.94% 6.12% 6.18%
Dec-72 5.52% 6.01% 6.16% 6.20%
Jan-73 5.89% 6.27% 6.34% 6.36%
Feb-73 6.19% 6.58% 6.60% 6.60%
Mar-73 6.85% 6.86% 6.80% 6.76%
Apr-73 6.85% 6.78% 6.67% 6.67%
May-73 6.89% 6.83% 6.80% 6.83%
Jun-73 7.31% 6.84% 6.69% 6.81%
Jul-73 8.39% 7.54% 7.33% 7.23%
Aug-73 8.82% 7.89% 7.63% 7.52%
Sep-73 8.31% 7.25% 7.05% 7.08%
Oct-73 7.40% 6.81% 6.77% 6.78%
Nov-73 7.57% 7.00% 6.92% 6.89%
Dec-73 7.27% 6.81% 6.80% 6.77%
Jan-74 7.42% 6.96% 6.95% 6.88%
Feb-74 6.88% 6.76% 6.82% 6.92%
Mar-74 7.76% 7.35% 7.31% 7.34%
Apr-74 8.62% 8.05% 7.92% 7.77%
May-74 8.78% 8.27% 8.18% 7.93%
Jun-74 8.67% 8.15% 8.10% 7.90%
Jul-74 8.80% 8.41% 8.38% 8.19%
Aug-74 9.36% 8.66% 8.63% 8.41%
Sep-74 8.87% 8.41% 8.37% 8.25%
Oct-74 8.05% 8.00% 7.97% 7.92%
Nov-74 7.66% 7.61% 7.68% 7.68%
Dec-74 7.31% 7.24% 7.31% 7.38%
Jan-75 6.83% 7.23% 7.41% 7.45%
Feb-75 5.98% 6.65% 7.11% 7.30%
Mar-75 6.11% 6.81% 7.30% 7.58%
Apr-75 6.90% 7.76% 7.99% 8.10%
May-75 6.39% 7.39% 7.72% 7.90%
Jun-75 6.29% 7.17% 7.51% 7.69%
Jul-75 7.11% 7.72% 7.92% 7.99%
Aug-75 7.70% 8.16% 8.33% 8.37%
Sep-75 7.75% 8.29% 8.37% 8.39%
Oct-75 6.95% 7.81% 7.97% 8.06%
Nov-75 6.49% 7.46% 7.80% 7.98%
Dec-75 6.60% 7.43% 7.76% 7.93%
Jan-76 5.81% 6.99% 7.46% 7.67%
Feb-76 5.91% 7.06% 7.45% 7.72%
Mar-76 6.21% 7.13% 7.49% 7.65%
Apr-76 5.92% 6.84% 7.25% 7.44%
May-76 6.40% 7.27% 7.59% 7.77%
Jun-76 6.52% 7.06% 7.31% 7.61% 7.75%
Jul-76 6.20% 6.85% 7.12% 7.49% 7.70%
Aug-76 6.00% 6.63% 6.86% 7.31% 7.58%
Sep-76 5.84% 6.42% 6.66% 7.13% 7.41%
Oct-76 5.50% 5.98% 6.24% 6.75% 7.16%
Nov-76 5.29% 5.81% 6.09% 6.52% 6.86%
Dec-76 4.89% 5.38% 5.68% 6.10% 6.37%
Jan-77 5.29% 5.90% 6.22% 6.58% 6.92%
Feb-77 5.47% 6.09% 6.44% 6.83% 7.16%
Mar-77 5.50% 6.09% 6.47% 6.93% 7.20%
Apr-77 5.44% 5.96% 6.31% 6.79% 7.11%
May-77 5.84% 6.25% 6.55% 6.94% 7.26%
Jun-77 5.80% 6.13% 6.39% 6.76% 7.05%
Jul-77 5.94% 6.27% 6.51% 6.84% 7.12%
Aug-77 6.37% 6.61% 6.79% 7.03% 7.24%
Sep-77 6.53% 6.71% 6.84% 7.04% 7.21%
Oct-77 6.97% 7.11% 7.19% 7.32% 7.44%
Nov-77 6.95% 7.14% 7.22% 7.34% 7.46%
Dec-77 6.96% 7.18% 7.30% 7.48% 7.59%
Jan-78 7.28% 7.49% 7.61% 7.77% 7.86%
Feb-78 7.34% 7.57% 7.67% 7.83% 7.94%
Mar-78 7.31% 7.58% 7.70% 7.86% 7.95%
Apr-78 7.45% 7.74% 7.85% 7.98% 8.06%
May-78 7.82% 8.01% 8.07% 8.18% 8.25%
Jun-78 8.09% 8.24% 8.30% 8.36% 8.40%
Jul-78 8.39% 8.49% 8.54% 8.54% 8.55%
Aug-78 8.31% 8.37% 8.33% 8.33% 8.38%
Sep-78 8.64% 8.57% 8.41% 8.43% 8.42%
Oct-78 9.14% 8.85% 8.62% 8.61% 8.64%
Nov-78 10.01% 9.42% 9.04% 8.84% 8.80%
Dec-78 10.30% 9.72% 9.33% 9.08% 9.03%
Jan-79 10.41% 9.86% 9.50% 9.20% 9.14%
Feb-79 10.24% 9.72% 9.29% 9.13% 9.11%
Mar-79 10.25% 9.79% 9.38% 9.20% 9.15%
Apr-79 10.12% 9.78% 9.43% 9.25% 9.21%
May-79 10.12% 9.78% 9.42% 9.24% 9.23%
Jun-79 9.57% 9.22% 8.95% 8.85% 8.86%
Jul-79 9.64% 9.14% 8.94% 8.90% 8.92%
Aug-79 9.98% 9.46% 9.14% 9.06% 9.05%
Sep-79 10.84% 10.06% 9.69% 9.41% 9.38%
Oct-79 12.44% 11.49% 10.95% 10.63% 10.47%
Nov-79 12.39% 11.81% 11.18% 10.93% 10.80%
Dec-79 11.98% 11.39% 10.71% 10.42% 10.42%
Jan-80 12.06% 11.50% 10.88% 10.74% 10.77%
Feb-80 13.92% 13.42% 12.84% 12.60% 12.53%
Mar-80 15.82% 14.88% 14.05% 13.47% 13.00%
Apr-80 13.30% 12.50% 12.02% 11.84% 11.49%
May-80 9.39% 9.45% 9.44% 9.95% 10.09%
Jun-80 8.16% 8.73% 8.91% 9.21% 9.45%
Jul-80 8.65% 9.03% 9.27% 9.53% 9.84%
Aug-80 10.24% 10.53% 10.63% 10.84% 10.95%
Sep-80 11.52% 11.57% 11.57% 11.62% 11.57%
Oct-80 12.49% 12.09% 12.01% 11.86% 11.79%
Nov-80 14.15% 13.51% 13.31% 12.83% 12.71%
Dec-80 14.88% 14.08% 13.65% 13.25% 13.00%
Jan-81 14.08% 13.26% 13.01% 12.77% 12.66%
Feb-81 14.57% 13.92% 13.65% 13.41% 13.28%
Mar-81 13.71% 13.57% 13.51% 13.41% 13.24%
Apr-81 14.32% 14.15% 14.09% 13.99% 13.85%
May-81 16.20% 15.46% 15.08% 14.63% 14.30%
Jun-81 14.86% 14.51% 14.29% 13.95% 13.67%
Jul-81 15.72% 15.35% 15.15% 14.79% 14.49%
Aug-81 16.72% 16.28% 16.00% 15.56% 15.22%
Sep-81 16.52% 16.46% 16.22% 15.93% 15.65%
Oct-81 15.38% 15.54% 15.50% 15.41% 15.33%
Nov-81 12.41% 12.88% 13.11% 13.38% 13.42%
Dec-81 12.85% 13.29% 13.66% 13.60% 13.62%
Jan-82 12.92% 13.90% 14.32% 14.57% 14.64% 14.65% 14.67%
Feb-82 14.28% 14.81% 14.73% 14.82% 14.73% 14.54% 14.46%
Mar-82 13.31% 13.83% 13.95% 14.19% 14.13% 13.98% 13.93%
Apr-82 13.34% 13.87% 13.98% 14.20% 14.18% 14.00% 13.94%
May-82 12.71% 13.13% 13.34% 13.78% 13.77% 13.75% 13.74%
Jun-82 13.08% 13.76% 14.07% 14.47% 14.48% 14.43% 14.47%
Jul-82 11.86% 12.80% 13.24% 13.80% 14.00% 14.07% 14.07%
Aug-82 9.00% 10.51% 11.43% 12.32% 12.62% 13.00% 13.14%
Sep-82 8.19% 9.83% 10.85% 11.78% 12.03% 12.25% 12.36%
Oct-82 7.97% 8.63% 9.32% 10.19% 10.62% 10.80% 10.88%
Nov-82 8.35% 8.80% 9.16% 9.80% 9.98% 10.38% 10.53%
Dec-82 8.20% 8.59% 8.91% 9.66% 9.88% 10.22% 10.49%
Jan-83 8.12% 8.33% 8.62% 9.33% 9.64% 10.03% 10.36%
Feb-83 8.39% 8.65% 8.92% 9.64% 9.91% 10.26% 10.56%
Mar-83 8.66% 8.86% 9.04% 9.66% 9.84% 10.08% 10.31%
Apr-83 8.51% 8.78% 8.98% 9.57% 9.76% 10.02% 10.29%
May-83 8.50% 8.70% 8.90% 9.49% 9.66% 10.03% 10.30%
Jun-83 9.14% 9.44% 9.66% 10.18% 10.32% 10.63% 10.83%
Jul-83 9.45% 9.85% 10.20% 10.69% 10.90% 11.21% 11.35%
Aug-83 9.74% 10.16% 10.53% 11.07% 11.30% 11.63% 11.77%
Sep-83 9.36% 9.73% 10.16% 10.79% 11.07% 11.43% 11.61%
Oct-83 8.99% 9.39% 9.81% 10.57% 10.87% 11.28% 11.47%
Nov-83 9.11% 9.48% 9.94% 10.66% 10.96% 11.41% 11.61%
Dec-83 9.36% 9.76% 10.11% 10.84% 11.13% 11.54% 11.78%
Jan-84 9.26% 9.56% 9.90% 10.64% 10.93% 11.37% 11.58%
Feb-84 9.46% 9.77% 10.04% 10.79% 11.05% 11.54% 11.75%
Mar-84 9.89% 10.27% 10.59% 11.31% 11.59% 12.02% 12.25%
Apr-84 10.07% 10.47% 10.90% 11.69% 11.98% 12.37% 12.56%
May-84 10.22% 11.02% 11.66% 12.47% 12.75% 13.17% 13.34%
Jun-84 10.26% 11.24% 12.08% 12.91% 13.18% 13.48% 13.56%
Jul-84 10.53% 11.27% 12.03% 12.88% 13.08% 13.27% 13.35%
Aug-84 10.90% 11.37% 11.82% 12.43% 12.50% 12.68% 12.75%
Sep-84 10.80% 11.19% 11.58% 12.20% 12.34% 12.53% 12.60%
Oct-84 10.12% 10.52% 10.90% 11.60% 11.85% 12.06% 12.16%
Nov-84 8.92% 9.34% 9.82% 10.65% 10.90% 11.33% 11.49%
Dec-84 8.34% 8.76% 9.33% 10.18% 10.56% 11.07% 11.45%
Jan-85 8.02% 8.45% 9.02% 9.93% 10.43% 10.93% 11.27%
Feb-85 8.56% 8.87% 9.29% 10.17% 10.55% 11.13% 11.44%
Mar-85 8.83% 9.45% 9.86% 10.71% 11.05% 11.52% 11.82%
Apr-85 8.22% 8.71% 9.14% 10.09% 10.49% 11.01% 11.34%
May-85 7.73% 8.07% 8.46% 9.39% 9.75% 10.34% 10.72%
Jun-85 7.18% 7.46% 7.80% 8.69% 9.05% 9.60% 10.08%
Jul-85 7.32% 7.57% 7.86% 8.77% 9.18% 9.70% 10.16%
Aug-85 7.37% 7.71% 8.05% 8.94% 9.31% 9.81% 10.20%
Sep-85 7.33% 7.64% 8.07% 8.98% 9.37% 9.81% 10.24%
Oct-85 7.40% 7.71% 8.01% 8.86% 9.25% 9.69% 10.11%
Nov-85 7.48% 7.68% 7.88% 8.58% 8.88% 9.28% 9.62%
Dec-85 7.33% 7.50% 7.67% 8.15% 8.40% 8.73% 9.11%
Jan-86 7.30% 7.53% 7.73% 8.14% 8.41% 8.68% 9.03%
Feb-86 7.29% 7.47% 7.61% 7.97% 8.10% 8.34% 8.58%
Mar-86 6.76% 6.89% 7.03% 7.21% 7.30% 7.46% 7.67%
Apr-86 6.24% 6.36% 6.44% 6.70% 6.86% 7.05% 7.16%
May-86 6.33% 6.47% 6.65% 7.07% 7.27% 7.52% 7.65%
Jun-86 6.40% 6.56% 6.73% 7.18% 7.41% 7.64% 7.75%
Jul-86 6.00% 6.12% 6.27% 6.67% 6.86% 7.06% 7.22%
Aug-86 5.69% 5.79% 5.93% 6.33% 6.49% 6.80% 7.01%
Sep-86 5.35% 5.57% 5.77% 6.35% 6.62% 6.92% 7.28%
Oct-86 5.32% 5.48% 5.72% 6.28% 6.56% 6.83% 7.24%
Nov-86 5.50% 5.64% 5.80% 6.28% 6.46% 6.76% 7.08%
Dec-86 5.68% 5.78% 5.87% 6.27% 6.43% 6.67% 6.97%
Jan-87 5.58% 5.67% 5.78% 6.23% 6.41% 6.64% 6.92%
Feb-87 5.75% 5.83% 5.96% 6.40% 6.56% 6.79% 7.06%
Mar-87 5.77% 5.86% 6.03% 6.42% 6.58% 6.79% 7.06%
Apr-87 5.82% 6.19% 6.50% 7.02% 7.32% 7.57% 7.83%
May-87 5.85% 6.35% 7.00% 7.76% 8.02% 8.26% 8.47%
Jun-87 5.85% 6.28% 6.80% 7.57% 7.82% 8.02% 8.27%
Jul-87 5.88% 6.05% 6.68% 7.44% 7.74% 8.01% 8.27%
Aug-87 6.23% 6.46% 7.03% 7.75% 8.03% 8.32% 8.59%
Sep-87 6.62% 6.99% 7.67% 8.34% 8.67% 8.94% 9.26%
Oct-87 6.35% 7.04% 7.59% 8.40% 8.75% 9.08% 9.37%
Nov-87 5.89% 6.50% 6.96% 7.69% 7.99% 8.35% 8.69%
Dec-87 5.96% 6.68% 7.17% 7.86% 8.13% 8.45% 8.82%
Jan-88 6.00% 6.56% 6.99% 7.63% 7.87% 8.18% 8.48%
Feb-88 5.84% 6.21% 6.64% 7.18% 7.38% 7.71% 8.02%
Mar-88 5.87% 6.18% 6.71% 7.27% 7.50% 7.83% 8.19%
Apr-88 6.08% 6.50% 7.01% 7.59% 7.83% 8.19% 8.52%
May-88 6.45% 6.89% 7.40% 8.00% 8.24% 8.58% 8.89%
Jun-88 6.66% 7.04% 7.49% 8.03% 8.22% 8.49% 8.78%
Jul-88 6.95% 7.35% 7.75% 8.28% 8.44% 8.66% 8.91%
Aug-88 7.30% 7.79% 8.17% 8.63% 8.77% 8.94% 9.13%
Sep-88 7.48% 7.82% 8.09% 8.46% 8.57% 8.69% 8.87%
Oct-88 7.60% 7.90% 8.11% 8.35% 8.43% 8.51% 8.69%
Nov-88 8.03% 8.30% 8.48% 8.67% 8.72% 8.79% 8.89%
Dec-88 8.35% 8.70% 8.99% 9.09% 9.11% 9.09% 9.13%
 Jan-89 8.56% 8.85% 9.05% 9.18% 9.20% 9.15% 9.14%
Feb-89 8.84% 9.05% 9.25% 9.37% 9.32% 9.27% 9.23%
Mar-89 9.14% 9.39% 9.57% 9.68% 9.61% 9.51% 9.43%
Apr-89 8.96% 9.17% 9.36% 9.45% 9.40% 9.30% 9.24%
May-89 8.74% 8.91% 8.98% 9.02% 8.98% 8.91% 8.88%
Jun-89 8.43% 8.38% 8.44% 8.41% 8.37% 8.29% 8.31%
Jul-89 8.15% 8.01% 7.89% 7.82% 7.83% 7.83% 7.94%
Aug-89 8.17% 8.17% 8.18% 8.14% 8.13% 8.09% 8.11%
Sep-89 8.01% 8.16% 8.22% 8.28% 8.26% 8.17% 8.23%
Oct-89 7.90% 8.03% 7.99% 7.98% 8.02% 7.97% 8.03%
Nov-89 7.94% 7.89% 7.77% 7.80% 7.80% 7.81% 7.86%
Dec-89 7.88% 7.81% 7.72% 7.78% 7.77% 7.75% 7.85%
Jan-90 7.90% 7.96% 7.92% 8.09% 8.13% 8.12% 8.20%
Feb-90 8.00% 8.12% 8.11% 8.37% 8.39% 8.42% 8.48%
Mar-90 8.17% 8.28% 8.35% 8.63% 8.63% 8.60% 8.65%
Apr-90 8.04% 8.27% 8.40% 8.72% 8.78% 8.77% 8.81%
May-90 8.01% 8.19% 8.32% 8.64% 8.69% 8.74% 8.78%
Jun-90 7.99% 8.05% 8.10% 8.35% 8.40% 8.43% 8.52%
Jul-90 7.87% 7.92% 7.94% 8.16% 8.26% 8.33% 8.46%
Aug-90 7.69% 7.77% 7.78% 8.06% 8.22% 8.44% 8.64%
Sep-90 7.60% 7.70% 7.76% 8.08% 8.27% 8.51% 8.79%
Oct-90 7.40% 7.53% 7.55% 7.88% 8.07% 8.33% 8.59%
Nov-90 7.29% 7.39% 7.31% 7.60% 7.74% 8.02% 8.28%
Dec-90 6.95% 7.03% 7.05% 7.31% 7.47% 7.73% 8.00%
Jan-91 6.41% 6.58% 6.64% 7.13% 7.38% 7.70% 7.97%
Feb-91 6.12% 6.19% 6.27% 6.87% 7.08% 7.47% 7.73%
Mar-91 6.09% 6.20% 6.40% 7.10% 7.35% 7.77% 8.00%
Apr-91 5.83% 5.98% 6.24% 6.95% 7.23% 7.70% 7.92%
May-91 5.63% 5.87% 6.13% 6.78% 7.12% 7.70% 7.94%
Jun-91 5.75% 6.02% 6.36% 6.96% 7.39% 7.94% 8.17%
Jul-91 5.75% 5.97% 6.31% 6.92% 7.38% 7.91% 8.15%
Aug-91 5.50% 5.63% 5.78% 6.43% 6.80% 7.43% 7.74%
Sep-91 5.37% 5.48% 5.57% 6.18% 6.50% 7.14% 7.48%
Oct-91 5.14% 5.26% 5.33% 5.91% 6.23% 6.87% 7.25%
Nov-91 4.69% 4.80% 4.89% 5.56% 5.90% 6.62% 7.06%
Dec-91 4.18% 4.26% 4.38% 5.03% 5.39% 6.19% 6.69%
Jan-92 3.91% 4.01% 4.15% 4.96% 5.40% 6.24% 6.70%
Feb-92 3.95% 4.08% 4.29% 5.21% 5.72% 6.58% 6.96%
Mar-92 4.14% 4.33% 4.63% 5.69% 6.18% 6.95% 7.26%
Apr-92 3.84% 4.00% 4.30% 5.34% 5.93% 6.78% 7.15%
May-92 3.72% 3.88% 4.19% 5.23% 5.81% 6.69% 7.06%
Jun-92 3.75% 3.90% 4.17% 5.05% 5.60% 6.48% 6.90%
Jul-92 3.28% 3.38% 3.60% 4.36% 4.91% 5.84% 6.36%
Aug-92 3.20% 3.31% 3.47% 4.19% 4.72% 5.60% 6.12%
Sep-92 2.97% 3.04% 3.18% 3.89% 4.42% 5.38% 5.96%
Oct-92 2.93% 3.13% 3.30% 4.08% 4.64% 5.60% 6.15%
Nov-92 3.21% 3.44% 3.68% 4.58% 5.14% 6.04% 6.49%
Dec-92 3.29% 3.47% 3.71% 4.67% 5.21% 6.08% 6.46%
Jan-93 3.07% 3.24% 3.50% 4.39% 4.93% 5.83% 6.26%
Feb-93 2.99% 3.16% 3.39% 4.10% 4.58% 5.43% 5.87%
Mar-93 3.01% 3.15% 3.33% 3.95% 4.40% 5.19% 5.66%
Apr-93 2.93% 3.06% 3.24% 3.84% 4.30% 5.13% 5.59%
May-93 3.03% 3.17% 3.36% 3.98% 4.40% 5.20% 5.66%
Jun-93 3.14% 3.29% 3.54% 4.16% 4.53% 5.22% 5.61%
Jul-93 3.11% 3.26% 3.47% 4.07% 4.43% 5.09% 5.48%
Aug-93 3.09% 3.24% 3.44% 4.00% 4.36% 5.03% 5.35%
Sep-93 3.01% 3.15% 3.36% 3.85% 4.17% 4.73% 5.08%
Oct-93 3.09% 3.22% 3.39% 3.87% 4.18% 4.71% 5.05%
Nov-93 3.18% 3.36% 3.58% 4.16% 4.50% 5.06% 5.45%
Dec-93 3.13% 3.34% 3.61% 4.21% 4.54% 5.15% 5.48%
Jan-94 3.04% 3.25% 3.54% 4.14% 4.48% 5.09% 5.43%
Feb-94 3.33% 3.53% 3.87% 4.47% 4.83% 5.40% 5.72%
Mar-94 3.59% 3.92% 4.32% 5.00% 5.40% 5.94% 6.28%
Apr-94 3.78% 4.25% 4.82% 5.55% 5.99% 6.52% 6.80%
May-94 4.27% 4.79% 5.31% 5.97% 6.34% 6.78% 7.01%
Jun-94 4.25% 4.72% 5.27% 5.93% 6.27% 6.70% 6.91%
Jul-94 4.46% 4.95% 5.48% 6.13% 6.48% 6.91% 7.12%
Aug-94 4.61% 5.08% 5.56% 6.18% 6.50% 6.88% 7.06%
Sep-94 4.75% 5.24% 5.76% 6.39% 6.69% 7.08% 7.28%
Oct-94 5.10% 5.62% 6.11% 6.73% 7.04% 7.40% 7.58%
Nov-94 5.45% 5.98% 6.54% 7.15% 7.44% 7.72% 7.83%
Dec-94 5.76% 6.50% 7.14% 7.59% 7.71% 7.78% 7.80%
Jan-95 5.90% 6.51% 7.05% 7.51% 7.66% 7.76% 7.79%
Feb-95 5.94% 6.31% 6.70% 7.11% 7.25% 7.37% 7.44%
Mar-95 5.91% 6.17% 6.43% 6.78% 6.89% 7.05% 7.14%
Apr-95 5.84% 6.05% 6.27% 6.57% 6.68% 6.86% 6.95%
May-95 5.85% 5.93% 6.00% 6.17% 6.27% 6.41% 6.50%
Jun-95 5.64% 5.66% 5.64% 5.72% 5.80% 5.93% 6.05%
Jul-95 5.59% 5.62% 5.59% 5.78% 5.89% 6.01% 6.20%
Aug-95 5.57% 5.65% 5.75% 5.98% 6.10% 6.24% 6.41%
Sep-95 5.43% 5.54% 5.62% 5.81% 5.89% 6.00% 6.13%
Oct-95 5.44% 5.56% 5.59% 5.70% 5.77% 5.86% 5.97%
Nov-95 5.52% 5.51% 5.43% 5.48% 5.57% 5.69% 5.83%
Dec-95 5.29% 5.35% 5.31% 5.32% 5.39% 5.51% 5.63%
Jan-96 5.15% 5.13% 5.09% 5.11% 5.20% 5.36% 5.54%
Feb-96 4.96% 4.97% 4.94% 5.03% 5.14% 5.38% 5.64%
Mar-96 5.10% 5.16% 5.34% 5.66% 5.79% 5.97% 6.19%
Apr-96 5.09% 5.27% 5.54% 5.96% 6.11% 6.30% 6.48%
May-96 5.15% 5.33% 5.64% 6.10% 6.27% 6.48% 6.66%
Jun-96 5.23% 5.46% 5.81% 6.30% 6.49% 6.69% 6.83%
Jul-96 5.30% 5.52% 5.85% 6.27% 6.45% 6.64% 6.76%
Aug-96 5.19% 5.34% 5.67% 6.03% 6.21% 6.39% 6.52%
Sep-96 5.24% 5.45% 5.83% 6.23% 6.41% 6.60% 6.73%
Oct-96 5.12% 5.32% 5.55% 5.91% 6.08% 6.27% 6.42%
Nov-96 5.17% 5.27% 5.42% 5.70% 5.82% 5.97% 6.10%
Dec-96 5.04% 5.24% 5.47% 5.78% 5.91% 6.07% 6.20%
Jan-97 5.17% 5.31% 5.61% 6.01% 6.16% 6.33% 6.47%
Feb-97 5.14% 5.27% 5.53% 5.90% 6.03% 6.20% 6.32%
Mar-97 5.28% 5.48% 5.80% 6.22% 6.38% 6.54% 6.65%
Apr-97 5.30% 5.60% 5.99% 6.45% 6.61% 6.76% 6.86%
May-97 5.20% 5.53% 5.87% 6.28% 6.42% 6.57% 6.66%
Jun-97 5.07% 5.34% 5.69% 6.09% 6.24% 6.38% 6.46%
Jul-97 5.19% 5.33% 5.54% 5.89% 6.00% 6.12% 6.20%
Aug-97 5.28% 5.40% 5.56% 5.94% 6.06% 6.16% 6.29%
Sep-97 5.08% 5.30% 5.52% 5.88% 5.98% 6.11% 6.20%
Oct-97 5.11% 5.30% 5.46% 5.77% 5.84% 5.93% 6.05%
Nov-97 5.28% 5.38% 5.46% 5.71% 5.76% 5.80% 5.90%
Dec-97 5.30% 5.45% 5.53% 5.72% 5.74% 5.77% 5.83%
Jan-98 5.18% 5.23% 5.24% 5.36% 5.38% 5.42% 5.53%
Feb-98 5.23% 5.27% 5.31% 5.42% 5.43% 5.49% 5.60%
Mar-98 5.16% 5.25% 5.39% 5.56% 5.57% 5.61% 5.71%
Apr-98 5.08% 5.26% 5.38% 5.56% 5.58% 5.61% 5.70%
May-98 5.14% 5.36% 5.44% 5.59% 5.61% 5.63% 5.72%
Jun-98 5.12% 5.32% 5.41% 5.52% 5.52% 5.52% 5.56%
Jul-98 5.09% 5.23% 5.36% 5.46% 5.47% 5.46% 5.52%
Aug-98 5.04% 5.15% 5.21% 5.27% 5.24% 5.27% 5.36%
Sep-98 4.74% 4.81% 4.71% 4.67% 4.62% 4.62% 4.76%
Oct-98 4.07% 4.20% 4.12% 4.09% 4.18% 4.18% 4.46%
Nov-98 4.53% 4.59% 4.53% 4.54% 4.57% 4.54% 4.78%
Dec-98 4.50% 4.57% 4.52% 4.51% 4.48% 4.45% 4.65%
Jan-99 4.45% 4.49% 4.51% 4.62% 4.61% 4.60% 4.80%
Feb-99 4.56% 4.61% 4.70% 4.88% 4.90% 4.91% 5.10%
Mar-99 4.57% 4.65% 4.78% 5.05% 5.11% 5.14% 5.36%
Apr-99 4.41% 4.54% 4.69% 4.98% 5.03% 5.08% 5.28%
May-99 4.63% 4.75% 4.85% 5.25% 5.33% 5.44% 5.64%
Jun-99 4.72% 5.03% 5.10% 5.62% 5.70% 5.81% 6.05%
Jul-99 4.69% 4.75% 5.03% 5.55% 5.62% 5.68% 5.94%
Aug-99 4.87% 5.09% 5.20% 5.68% 5.77% 5.84% 6.15%
Sep-99 4.82% 5.08% 5.25% 5.66% 5.75% 5.80% 6.12%
Oct-99 5.02% 5.20% 5.43% 5.86% 5.94% 6.03% 6.33%
Nov-99 5.23% 5.43% 5.55% 5.86% 5.92% 5.97% 6.17%
Dec-99 5.36% 5.68% 5.84% 6.10% 6.14% 6.19% 6.38%
Jan-00 5.50% 5.76% 6.12% 6.44% 6.49% 6.58% 6.70%
Feb-00 5.73% 6.00% 6.22% 6.61% 6.65% 6.68% 6.72%
Mar-00 5.86% 6.11% 6.22% 6.53% 6.53% 6.50% 6.51%
Apr-00 5.82% 6.07% 6.15% 6.40% 6.36% 6.26% 6.27%
May-00 5.99% 6.39% 6.33% 6.81% 6.77% 6.69% 6.69%
Jun-00 5.86% 6.24% 6.17% 6.48% 6.43% 6.30% 6.33%
Jul-00 6.14% 6.27% 6.08% 6.34% 6.28% 6.18% 6.22%
Aug-00 6.28% 6.35% 6.18% 6.23% 6.17% 6.06% 6.05%
Sep-00 6.18% 6.25% 6.13% 6.08% 6.02% 5.93% 5.98%
Oct-00 6.29% 6.32% 6.01% 5.91% 5.85% 5.78% 5.84%
Nov-00 6.36% 6.34% 6.09% 5.88% 5.79% 5.70% 5.78%
Dec-00 5.94% 5.92% 5.60% 5.35% 5.26% 5.17% 5.28%
Jan-01 5.29% 5.15% 4.81% 4.76% 4.77% 4.86% 5.13%
Feb-01 5.01% 4.89% 4.68% 4.66% 4.71% 4.89% 5.10%
Mar-01 4.54% 4.44% 4.30% 4.34% 4.43% 4.64% 4.88%
Apr-01 3.97% 3.99% 3.98% 4.23% 4.42% 4.76% 5.03%
May-01 3.70% 3.74% 3.78% 4.26% 4.51% 4.93% 5.24%
Jun-01 3.57% 3.56% 3.58% 4.08% 4.35% 4.81% 5.14%
Jul-01 3.67% 3.59% 3.56% 3.62% 4.04% 4.31% 4.76% 5.06%
Aug-01 3.53% 3.44% 3.39% 3.47% 3.76% 4.04% 4.57% 4.84%
Sep-01 2.68% 2.69% 2.71% 2.82% 3.12% 3.45% 4.12% 4.51%
Oct-01 2.27% 2.20% 2.17% 2.33% 2.73% 3.14% 3.91% 4.31%
Nov-01 1.99% 1.91% 1.92% 2.18% 2.78% 3.22% 3.97% 4.42%
Dec-01 1.72% 1.72% 1.82% 2.22% 3.11% 3.62% 4.39% 4.86%
Jan-02 1.68% 1.68% 1.77% 2.16% 3.03% 3.56% 4.34% 4.79%
Feb-02 1.74% 1.76% 1.86% 2.23% 3.02% 3.55% 4.30% 4.71%
Mar-02 1.79% 1.83% 2.06% 2.57% 3.56% 4.14% 4.74% 5.14%
Apr-02 1.72% 1.75% 1.98% 2.48% 3.42% 4.01% 4.65% 5.02%
May-02 1.74% 1.76% 1.91% 2.35% 3.26% 3.80% 4.49% 4.90%
Jun-02 1.72% 1.73% 1.83% 2.20% 2.99% 3.49% 4.19% 4.60%
Jul-02 1.72% 1.71% 1.74% 1.96% 2.56% 3.01% 3.81% 4.30%
Aug-02 1.68% 1.65% 1.64% 1.76% 2.13% 2.52% 3.29% 3.88%
Sep-02 1.67% 1.66% 1.64% 1.72% 2.00% 2.32% 2.94% 3.50%
Oct-02 1.62% 1.61% 1.59% 1.65% 1.91% 2.25% 2.95% 3.54%
Nov-02 1.26% 1.25% 1.30% 1.49% 1.92% 2.32% 3.05% 3.64%
Dec-02 1.20% 1.21% 1.27% 1.45% 1.84% 2.23% 3.03% 3.63%
Jan-03 1.17% 1.19% 1.22% 1.36% 1.74% 2.18% 3.05% 3.60%
Feb-03 1.20% 1.19% 1.20% 1.30% 1.63% 2.05% 2.90% 3.45%
Mar-03 1.18% 1.15% 1.16% 1.24% 1.57% 1.98% 2.78% 3.34%
Apr-03 1.16% 1.15% 1.17% 1.27% 1.62% 2.06% 2.93% 3.47%
May-03 1.08% 1.09% 1.11% 1.18% 1.42% 1.75% 2.52% 3.07%
Jun-03 0.97% 0.94% 0.94% 1.01% 1.23% 1.51% 2.27% 2.84%
Jul-03 0.90% 0.92% 0.97% 1.12% 1.47% 1.93% 2.87% 3.45%
Aug-03 0.95% 0.97% 1.05% 1.31% 1.86% 2.44% 3.37% 3.96%
Sep-03 0.91% 0.96% 1.03% 1.24% 1.71% 2.23% 3.18% 3.74%
Oct-03 0.91% 0.94% 1.02% 1.25% 1.75% 2.26% 3.19% 3.75%
Nov-03 0.94% 0.95% 1.04% 1.34% 1.93% 2.45% 3.29% 3.81%
Dec-03 0.89% 0.91% 1.01% 1.31% 1.91% 2.44% 3.27% 3.79%
Jan-04 0.85% 0.90% 0.99% 1.24% 1.76% 2.27% 3.12% 3.65%
Feb-04 0.92% 0.94% 1.01% 1.24% 1.74% 2.25% 3.07% 3.59%
Mar-04 0.96% 0.95% 1.01% 1.19% 1.58% 2.00% 2.79% 3.31%
Apr-04 0.91% 0.96% 1.11% 1.43% 2.07% 2.57% 3.39% 3.89%
May-04 0.91% 1.04% 1.33% 1.78% 2.53% 3.10% 3.85% 4.31%
Jun-04 1.05% 1.29% 1.64% 2.12% 2.76% 3.26% 3.93% 4.35%
Jul-04 1.19% 1.36% 1.70% 2.10% 2.64% 3.05% 3.69% 4.11%
Aug-04 1.37% 1.50% 1.76% 2.02% 2.51% 2.88% 3.47% 3.90%
Sep-04 1.55% 1.68% 1.91% 2.12% 2.53% 2.83% 3.36% 3.75%
Oct-04 1.63% 1.79% 2.05% 2.23% 2.58% 2.85% 3.35% 3.75%
Nov-04 1.92% 2.11% 2.32% 2.50% 2.85% 3.09% 3.53% 3.88%
Dec-04 1.96% 2.22% 2.50% 2.67% 3.01% 3.21% 3.60% 3.93%
Jan-05 2.05% 2.37% 2.68% 2.86% 3.22% 3.39% 3.71% 3.97%
Feb-05 2.36% 2.58% 2.85% 3.03% 3.38% 3.54% 3.77% 3.97%
Mar-05 2.65% 2.80% 3.09% 3.30% 3.73% 3.91% 4.17% 4.33%
Apr-05 2.64% 2.84% 3.14% 3.32% 3.65% 3.79% 4.00% 4.16%
May-05 2.65% 2.90% 3.17% 3.33% 3.64% 3.72% 3.85% 3.94%
Jun-05 2.83% 3.04% 3.22% 3.36% 3.64% 3.69% 3.77% 3.86%
Jul-05 3.10% 3.29% 3.53% 3.64% 3.87% 3.91% 3.98% 4.06%
Aug-05 3.34% 3.52% 3.78% 3.87% 4.04% 4.08% 4.12% 4.18%
Sep-05 3.23% 3.49% 3.79% 3.85% 3.95% 3.96% 4.01% 4.08%
Oct-05 3.51% 3.79% 4.13% 4.18% 4.27% 4.29% 4.33% 4.38%
Nov-05 3.91% 3.97% 4.30% 4.33% 4.42% 4.43% 4.45% 4.48%
Dec-05 3.69% 3.97% 4.33% 4.35% 4.40% 4.39% 4.39% 4.41%
Jan-06 4.12% 4.34% 4.47% 4.45% 4.40% 4.35% 4.35% 4.37%
Feb-06 4.38% 4.54% 4.69% 4.68% 4.67% 4.64% 4.57% 4.56%
Mar-06 4.55% 4.63% 4.79% 4.77% 4.73% 4.74% 4.72% 4.71%
Apr-06 4.61% 4.72% 4.90% 4.90% 4.89% 4.89% 4.90% 4.94%
May-06 4.70% 4.84% 5.01% 5.00% 4.97% 4.97% 5.00% 5.03%
Jun-06 4.71% 4.92% 5.17% 5.16% 5.12% 5.09% 5.07% 5.08%
Jul-06 4.90% 5.08% 5.27% 5.22% 5.12% 5.07% 5.04% 5.05%
Aug-06 5.16% 5.09% 5.17% 5.08% 4.90% 4.85% 4.82% 4.83%
Sep-06 4.77% 4.93% 5.08% 4.97% 4.77% 4.69% 4.67% 4.68%
Oct-06 4.97% 5.05% 5.12% 5.01% 4.80% 4.72% 4.69% 4.69%
Nov-06 5.21% 5.07% 5.15% 5.01% 4.74% 4.64% 4.58% 4.58%
Dec-06 4.87% 4.97% 5.07% 4.94% 4.67% 4.58% 4.53% 4.54%
Jan-07 4.94% 5.11% 5.15% 5.06% 4.88% 4.79% 4.75% 4.75%
Feb-07 5.18% 5.16% 5.16% 5.05% 4.85% 4.75% 4.71% 4.71%
Mar-07 5.21% 5.08% 5.10% 4.92% 4.57% 4.51% 4.48% 4.50%
Apr-07 4.99% 5.01% 5.07% 4.93% 4.67% 4.60% 4.59% 4.62%
May-07 4.82% 4.87% 4.98% 4.91% 4.77% 4.69% 4.67% 4.69%
Jun-07 4.52% 4.74% 4.95% 4.96% 4.98% 5.00% 5.03% 5.05%
Jul-07 4.82% 4.96% 5.04% 4.96% 4.82% 4.82% 4.88% 4.93%
Aug-07 4.20% 4.32% 4.55% 4.47% 4.31% 4.34% 4.43% 4.53%
Sep-07 3.78% 3.99% 4.20% 4.14% 4.01% 4.06% 4.20% 4.33%
Oct-07 3.81% 4.00% 4.16% 4.10% 3.97% 4.01% 4.20% 4.33%
Nov-07 3.68% 3.35% 3.58% 3.50% 3.34% 3.35% 3.67% 3.87%
Dec-07 2.86% 3.07% 3.34% 3.26% 3.12% 3.13% 3.49% 3.74%
Jan-08 2.74% 2.82% 2.84% 2.71% 2.48% 2.51% 2.98% 3.31%
Feb-08 2.27% 2.17% 2.10% 2.05% 1.97% 2.19% 2.78% 3.21%
Mar-08 1.35% 1.28% 1.51% 1.54% 1.62% 1.80% 2.48% 2.93%
Apr-08 1.07% 1.31% 1.58% 1.74% 2.05% 2.23% 2.84% 3.19%
May-08 1.76% 1.76% 1.86% 2.06% 2.45% 2.69% 3.15% 3.46%
Jun-08 1.72% 1.89% 2.19% 2.42% 2.77% 3.08% 3.49% 3.73%
Jul-08 1.60% 1.66% 1.98% 2.28% 2.57% 2.87% 3.30% 3.60%
Aug-08 1.68% 1.75% 1.97% 2.18% 2.42% 2.70% 3.14% 3.46%
Sep-08 0.89% 1.15% 1.64% 1.91% 2.08% 2.32% 2.88% 3.25%
Oct-08 0.29% 0.69% 1.23% 1.42% 1.61% 1.86% 2.73% 3.19%
Nov-08 0.09% 0.19% 0.74% 1.07% 1.21% 1.51% 2.29% 2.82%
Dec-08 0.03% 0.03% 0.26% 0.49% 0.82% 1.07% 1.52% 1.89%
Jan-09 0.05% 0.13% 0.30% 0.44% 0.81% 1.13% 1.60% 1.98%
Feb-09 0.22% 0.30% 0.46% 0.62% 0.98% 1.37% 1.87% 2.30%
Mar-09 0.10% 0.22% 0.43% 0.64% 0.93% 1.31% 1.82% 2.42%
Apr-09 0.10% 0.16% 0.35% 0.55% 0.93% 1.32% 1.86% 2.47%
May-09 0.14% 0.18% 0.30% 0.50% 0.93% 1.39% 2.13% 2.81%
Jun-09 0.10% 0.18% 0.31% 0.51% 1.18% 1.76% 2.71% 3.37%
Jul-09 0.15% 0.18% 0.28% 0.48% 1.02% 1.55% 2.46% 3.14%
Aug-09 0.12% 0.17% 0.27% 0.46% 1.12% 1.65% 2.57% 3.21%
Sep-09 0.06% 0.12% 0.21% 0.40% 0.96% 1.48% 2.37% 3.02%
Oct-09 0.04% 0.07% 0.16% 0.37% 0.95% 1.46% 2.33% 2.96%
Nov-09 0.05% 0.50% 0.15% 0.31% 0.80% 1.32% 2.23% 2.92%
Dec-09 0.03% 0.05% 0.17% 0.37% 0.87% 1.38% 2.34% 3.07%
Jan-10 0.02% 0.06% 0.15% 0.35% 0.93% 1.49% 2.48% 3.21%
Feb-10 0.06% 0.11% 0.18% 0.35% 0.86% 1.40% 2.36% 3.12%
Mar-10 0.12% 0.15% 0.23% 0.40% 0.96% 1.51% 2.43% 3.16%
Apr-10 0.15% 0.16% 0.24% 0.45% 1.06% 1.64% 2.58% 3.28%
May-10 0.15% 0.16% 0.22% 0.37% 0.83% 1.32% 2.18% 2.86%
Jun-10 0.08% 0.12% 0.19% 0.32% 0.72% 1.17% 2.00% 2.66%
 Jul-10 0.16% 0.16% 0.20% 0.29% 0.62% 0.98% 1.76% 2.43%
Aug-10 0.15% 0.16% 0.19% 0.26% 0.52% 0.78% 1.47% 2.10%
Sep-10 0.12% 0.15% 0.19% 0.26% 0.48% 0.74% 1.41% 2.05%
Oct-10 0.14% 0.13% 0.18% 0.23% 0.38% 0.57% 1.18% 1.85%
Nov-10 0.13% 0.14% 0.18% 0.25% 0.45% 0.67% 1.35% 2.02%
Dec-10 0.09% 0.14% 0.19% 0.29% 0.62% 0.99% 1.93% 2.66%
Jan-11 0.14% 0.15% 0.18% 0.27% 0.61% 1.03% 1.99% 2.72%
Feb-11 0.11% 0.13% 0.17% 0.29% 0.77% 1.28% 2.26% 2.96%
Mar-11 0.06% 0.10% 0.16% 0.26% 0.70% 1.17% 2.11% 2.80%
Apr-11 0.03% 0.06% 0.12% 0.25% 0.73% 1.21% 2.17% 2.84%
May-11 0.02% 0.04% 0.09% 0.19% 0.56% 0.94% 1.84% 2.51%
Jun-11 0.02% 0.04% 0.10% 0.18% 0.41% 0.71% 1.58% 2.29%
Jul-11 0.04% 0.04% 0.08% 0.19% 0.41% 0.68% 1.54% 2.28%
Aug-11 0.02% 0.02% 0.06% 0.11% 0.23% 0.38% 1.02% 1.63%
Sep-11 0.01% 0.01% 0.04% 0.10% 0.21% 0.35% 0.90% 1.42%
Oct-11 0.01% 0.02% 0.05% 0.11% 0.28% 0.47% 1.06% 1.62%
Nov-11 0.01% 0.01% 0.05% 0.11% 0.25% 0.39% 0.91% 1.45%
Dec-11 0.00% 0.01% 0.05% 0.12% 0.26% 0.39% 0.89% 1.43%
Jan-12 0.02% 0.03% 0.07% 0.12% 0.24% 0.36% 0.84% 1.38%
Feb-12 0.06% 0.09% 0.12% 0.16% 0.28% 0.38% 0.83% 1.37%
Mar-12 0.06% 0.08% 0.14% 0.19% 0.34% 0.51% 1.02% 1.56%
Apr-12 0.07% 0.08% 0.14% 0.18% 0.29% 0.43% 0.89% 1.43%
May-12 0.07% 0.09% 0.15% 0.19% 0.29% 0.39% 0.76% 1.21%
Jun-12 0.05% 0.09% 0.15% 0.19% 0.29% 0.39% 0.71% 1.08%
Jul-12 0.07% 0.10% 0.15% 0.19% 0.25% 0.33% 0.62% 0.98%
Aug-12 0.09% 0.10% 0.14% 0.18% 0.27% 0.37% 0.71% 1.14%
Sep-12 0.08% 0.11% 0.14% 0.18% 0.26% 0.34% 0.67% 1.12%
Oct-12 0.11% 0.10% 0.15% 0.18% 0.28% 0.37% 0.71% 1.15%
Nov-12 0.12% 0.09% 0.14% 0.18% 0.27% 0.36% 0.67% 1.08%
Dec-12 0.04% 0.07% 0.12% 0.16% 0.26% 0.35% 0.70% 1.13%
Jan-13 0.05% 0.07% 0.11% 0.15% 0.27% 0.39% 0.81% 1.30%
Feb-13 0.08% 0.10% 0.12% 0.16% 0.27% 0.40% 0.85% 1.35%
Mar-13 0.08% 0.09% 0.11% 0.15% 0.26% 0.39% 0.82% 1.32%
Apr-13 0.05% 0.06% 0.09% 0.12% 0.23% 0.34% 0.71% 1.15%
May-13 0.02% 0.04% 0.08% 0.14% 0.25% 0.40% 0.84% 1.31%
Jun-13 0.03% 0.05% 0.09% 0.14% 0.33% 0.58% 1.20% 1.71%
Jul-13 0.02% 0.04% 0.07% 0.12% 0.34% 0.64% 1.40% 1.99%
Aug-13 0.04% 0.04% 0.07% 0.13% 0.36% 0.70% 1.52% 2.15%
Sep-13 0.02% 0.02% 0.04% 0.12% 0.40% 0.78% 1.60% 2.22%
Oct-13 0.11% 0.05% 0.08% 0.12% 0.34% 0.63% 1.37% 1.99%
Nov-13 0.05% 0.07% 0.10% 0.12% 0.30% 0.58% 1.37% 2.07%
Dec-13 0.02% 0.07% 0.10% 0.13% 0.34% 0.69% 1.58% 2.29%
Jan-14 0.02% 0.04% 0.07% 0.12% 0.39% 0.78% 1.65% 2.29%
Feb-14 0.05% 0.05% 0.08% 0.12% 0.33% 0.69% 1.58% 2.15%
Mar-14 0.05% 0.05% 0.08% 0.13% 0.40% 0.82% 1.64% 2.23%
Apr-14 0.02% 0.03% 0.05% 0.11% 0.42% 0.88% 1.70% 2.27%
May-14 0.03% 0.03% 0.05% 0.10% 0.39% 0.83% 1.59% 2.12%
Jun-14 0.02% 0.04% 0.06% 0.10% 0.45% 0.90% 1.68% 2.19%
Jul-14 0.02% 0.03% 0.06% 0.11% 0.51% 0.97% 1.70% 2.17%
Aug-14 0.02% 0.03% 0.05% 0.11% 0.47% 0.93% 1.63% 2.08%
Sep-14 0.01% 0.05% 0.04% 0.11% 0.57% 1.05% 1.77% 2.22%
Oct-14 0.02% 0.02% 0.05% 0.10% 0.45% 0.88% 1.55% 1.98%
Nov-14 0.04% 0.02% 0.07% 0.13% 0.53% 0.96% 1.62% 2.30%
Dec-14 0.03% 0.03% 0.11% 0.21% 0.65% 1.06% 1.64% 1.98%
Jan-15 0.02% 0.03% 0.08% 0.20% 0.55% 0.90% 1.37% 1.67%
Feb-15 0.02% 0.02% 0.07% 0.22% 0.62% 0.99% 1.47% 1.79%
Mar-15 0.02% 0.03% 0.11% 0.25% 0.64% 1.02% 1.52% 1.84%
Apr-15 0.02% 0.02% 0.09% 0.23% 0.54% 0.87% 1.35% 1.69%
May-15 0.01% 0.02% 0.08% 0.24% 0.61% 0.98% 1.54% 1.93%
Jun-15 0.01% 0.02% 0.09% 0.28% 0.69% 1.07% 1.68% 2.10%
Jul-15 0.03% 0.03% 0.12% 0.30% 0.67% 1.03% 1.63% 2.04%
Aug-15 0.04% 0.07% 0.22% 0.38% 0.70% 1.03% 1.54% 1.91%
Sep-15 0.01% 0.02% 0.18% 0.37% 0.71% 1.01% 1.49% 1.88%
Oct-15 0.01% 0.02% 0.11% 0.26% 0.64% 0.93% 1.39% 1.76%
Nov-15 0.07% 0.13% 0.33% 0.48% 0.88% 1.20% 1.67% 2.02%
Dec-15 0.17% 0.23% 0.50% 0.65% 0.98% 1.28% 1.70% 2.04%
Jan-16 0.23% 0.26% 0.43% 0.54% 0.90% 1.14% 1.52% 1.85%
Feb-16 0.26% 0.31% 0.45% 0.53% 0.73% 0.90% 1.22% 1.53%
Mar-16 0.25% 0.30% 0.47% 0.66% 0.88% 1.04% 1.38% 1.68%
Apr-16 0.19% 0.23% 0.37% 0.56% 0.77% 0.92% 1.26% 1.57%
May-16 0.23% 0.28% 0.42% 0.59% 0.82% 0.97% 1.30% 1.60%
Jun-16 0.22% 0.27% 0.40% 0.55% 0.73% 0.86% 1.17% 1.44%
Jul-16 0.26% 0.30% 0.40% 0.51% 0.67% 0.79% 1.07% 1.33%
Aug-16 0.26% 0.30% 0.45% 0.57% 0.74% 0.85% 1.13% 1.40%
Sep-16 0.19% 0.29% 0.47% 0.59% 0.77% 0.90% 1.18% 1.46%
Oct-16 0.24% 0.33% 0.48% 0.66% 0.84% 0.99% 1.27% 1.56%
Nov-16 0.30% 0.45% 0.58% 0.74% 0.98% 1.22% 1.60% 1.93%
Dec-16 0.42% 0.51% 0.64% 0.87% 1.20% 1.49% 1.96% 2.29%
Jan-17 0.50% 0.52% 0.62% 0.83% 1.21% 1.48% 1.92% 2.23%
Feb-17 0.48% 0.53% 0.65% 0.82% 1.20% 1.47% 1.90% 2.22%
Mar-17 0.66% 0.75% 0.89% 1.01% 1.31% 1.59% 2.01% 2.30%
Apr-17 0.75% 0.81% 0.95% 1.04% 1.24% 1.44% 1.82% 2.10%
May-17 0.73% 0.90% 1.04% 1.12% 1.30% 1.48% 1.84% 2.11%
Jun-17 0.84% 1.00% 1.11% 1.20% 1.34% 1.49% 1.77% 2.01%
Jul-17 0.97% 1.09% 1.13% 1.22% 1.37% 1.54% 1.87% 2.13%
Aug-17 0.98% 1.03% 1.13% 1.23% 1.34% 1.48% 1.78% 2.03%
Sep-17 0.99% 1.05% 1.17% 1.28% 1.38% 1.51% 1.80% 2.03%
Oct-17 1.00% 1.09% 1.25% 1.40% 1.55% 1.68% 1.98% 2.20%
Nov-17 1.09% 1.25% 1.39% 1.56% 1.70% 1.81% 2.05% 2.23%
Dec-17 1.20% 1.34% 1.50% 1.70% 1.84% 1.96% 2.18% 2.32%
Jan-18 1.30% 1.43% 1.62% 1.80% 2.03% 2.15% 2.38% 2.51%
Feb-18 1.38% 1.59% 1.79% 1.96% 2.18% 2.36% 2.60% 2.78%
Mar-18 1.64% 1.73% 1.92% 2.06% 2.28% 2.42% 2.63% 2.77%
Apr-18 1.66% 1.79% 1.98% 2.15% 2.38% 2.52% 2.70% 2.82%
May-18 1.71% 1.90% 2.07% 2.27% 2.51% 2.66% 2.82% 2.93%
Jun-18 1.81% 1.94% 2.11% 2.33% 2.53% 2.65% 2.78% 2.87%
Jul-18 1.89% 1.99% 2.17% 2.39% 2.61% 2.70% 2.78% 2.85%
Aug-18 1.94% 2.07% 2.24% 2.45% 2.64% 2.71% 2.77% 2.84%
Sep-18 2.04% 2.17% 2.34% 2.56% 2.77% 2.84% 2.89% 2.96%
Oct-18 2.17% 2.29% 2.46% 2.65% 2.86% 2.94% 3.00% 3.09%
Nov-18 2.24% 2.37% 2.52% 2.70% 2.86% 2.91% 2.95% 3.04%
Dec-18 2.37% 2.41% 2.54% 2.66% 2.68% 2.67% 2.68% 2.75%
Jan-19 2.40% 2.42% 2.51% 2.58% 2.54% 2.52% 2.54% 2.61%
Feb-19 2.43% 2.44% 2.50% 2.55% 2.50% 2.48% 2.49% 2.57%
Mar-19 2.45% 2.45% 2.51% 2.49% 2.41% 2.37% 2.37% 2.47%
Apr-19 2.43% 2.43% 2.46% 2.42% 2.34% 2.31% 2.33% 2.43%
May-19 2.40% 2.40% 2.42% 2.34% 2.21% 2.16% 2.19% 2.29%
Jun-19 2.22% 2.22% 2.17% 2.00% 1.81% 1.78% 1.83% 1.95%
Jul-19 2.15% 2.15% 2.08% 1.96% 1.84% 1.80% 1.83% 1.93%
Aug-19 2.07% 1.99% 1.93% 1.77% 1.57% 1.51% 1.49% 1.55%
Sep-19 1.99% 1.93% 1.89% 1.80% 1.65% 1.59% 1.57% 1.64%
Oct-19 1.73% 1.68% 1.67% 1.61% 1.55% 1.53% 1.53% 1.62%
Nov-19 1.58% 1.57% 1.59% 1.57% 1.61% 1.61% 1.64% 1.74%
Dec-19 1.55% 1.57% 1.58% 1.55% 1.61% 1.63% 1.68% 1.79%
Jan-20 1.53% 1.55% 1.56% 1.53% 1.52% 1.52% 1.56% 1.67%
Feb-20 1.58% 1.54% 1.51% 1.41% 1.33% 1.31% 1.32% 1.42%
Mar-20 0.37% 0.30% 0.30% 0.33% 0.45% 0.50% 0.59% 0.78%
Apr-20 0.11% 0.14% 0.17% 0.18% 0.22% 0.28% 0.39% 0.55%
May-20 0.10% 0.13% 0.15% 0.16% 0.17% 0.22% 0.34% 0.53%
Jun-20 0.13% 0.16% 0.18% 0.18% 0.19% 0.22% 0.34% 0.55%
Jul-20 0.11% 0.13% 0.14% 0.15% 0.15% 0.17% 0.28% 0.46%
Aug-20 0.08% 0.10% 0.12% 0.13% 0.14% 0.16% 0.27% 0.46%
Sep-20 0.09% 0.11% 0.12% 0.13% 0.13% 0.16% 0.27% 0.46%
Oct-20 0.09% 0.10% 0.11% 0.13% 0.15% 0.19% 0.34% 0.55%
Nov-20 0.09% 0.09% 0.10% 0.12% 0.17% 0.22% 0.39% 0.63%
Dec-20 0.08% 0.09% 0.09% 0.10% 0.14% 0.19% 0.39% 0.66%
Jan-21 0.08% 0.08% 0.09% 0.10% 0.13% 0.20% 0.45% 0.77%
Feb-21 0.04% 0.04% 0.06% 0.07% 0.12% 0.21% 0.54% 0.91%
Mar-21 0.02% 0.03% 0.05% 0.08% 0.15% 0.32% 0.82% 1.27%
 Apr-21 0.02% 0.02% 0.04% 0.06% 0.16% 0.35% 0.86% 1.31%
May-21 0.01% 0.02% 0.04% 0.05% 0.16% 0.32% 0.82% 1.28%

All yields are from the St. Louis Federal Reserve Board FRED database at www.stlouisfed.org.
10 20 30
3.05% 3.18%
3.11% 3.21%
2.93% 3.12%
2.95% 3.10%
2.87% 3.07%
2.66% 2.95%
2.68% 2.95%
2.59% 2.89%
2.48% 2.80%
2.47% 2.72%
2.37% 2.61%
2.29% 2.60%
2.37% 2.66%
2.38% 2.64%
2.30% 2.57%
2.36% 2.58%
2.38% 2.60%
2.43% 2.61%
2.48% 2.65%
2.51% 2.67%
2.61% 2.75%
2.65% 2.83%
2.68% 2.84%
2.75% 2.85%
2.76% 2.87%
2.78% 2.86%
2.90% 2.94%
2.97% 3.01%
2.97% 3.00%
2.88% 2.93%
2.89% 2.93%
2.96% 2.98%
2.90% 2.94%
2.84% 2.91%
2.96% 2.99%
3.18% 3.14%
3.07% 3.06%
3.00% 3.00%
3.11% 3.08%
3.33% 3.22%
3.38% 3.28%
3.34% 3.26%
3.49% 3.37%
3.59% 3.45%
3.46% 3.41%
3.34% 3.30%
3.41% 3.32%
3.48% 3.40%
3.60% 3.49%
3.80% 3.65%
3.93% 3.72%
3.93% 3.75%
3.92% 3.73%
3.97% 3.76%
3.72% 3.61%
3.21% 3.38%
3.09% 3.27%
3.05% 3.31%
2.98% 3.29%
2.88% 3.17%
2.92% 3.17%
2.97% 3.23%
3.20% 3.39%
3.54% 3.65%
3.76% 3.80%
3.80% 3.81%
3.74% 3.76%
3.86% 3.86%
4.02% 3.95%
3.96% 3.96%
3.99% 3.99%
4.12% 4.06%
4.31% 4.13%
4.34% 4.14%
4.40% 4.16%
4.43% 4.15%
4.68% 4.29%
4.53% 4.19%
4.53% 4.20%
4.69% 4.33%
4.72% 4.42%
4.49% 4.28%
4.25% 4.14%
4.28% 4.23%
4.35% 4.20%
4.15% 4.04%
3.90% 3.91%
3.80% 3.84%
3.80% 3.86%
3.89% 3.92%
3.93% 3.96%
3.84% 3.91%
3.84% 3.90%
3.78% 3.84%
3.74% 3.81%
3.78% 3.81%
3.71% 3.74%
3.88% 3.89%
3.92% 3.93%
4.04% 4.04%
3.98% 4.04%
3.92% 4.01%
3.94% 4.00%
4.06% 4.07%
4.08% 4.10%
4.04% 4.12%
3.93% 4.04%
3.84% 3.93%
3.87% 3.92%
3.91% 3.96%
4.01% 4.05%
3.98% 4.01%
3.98% 4.00%
3.93% 3.94%
3.92% 3.93%
3.86% 3.92%
3.83% 3.93%
3.92% 3.97%
3.93% 3.98%
3.97% 4.03%
3.93% 4.02%
3.99% 4.02%
4.02% 4.06%
4.00% 4.03%
4.08% 4.09%
4.11% 4.12%
4.12% 4.16%
4.13% 4.19%
4.17% 4.19%
4.15% 4.17%
4.22% 4.22%
4.23% 4.24%
4.20% 4.20%
4.17% 4.17%
4.19% 4.16%
4.19% 4.18%
4.20% 4.20%
4.19% 4.20%
4.15% 4.17%
4.18% 4.18%
4.19% 4.19%
4.21% 4.21%
4.21% 4.20%
4.20% 4.20%
4.21% 4.21%
4.21% 4.21%
4.20% 4.21%
4.25% 4.25%
4.29% 4.30%
4.35% 4.32%
4.45% 4.40%
4.62% 4.50%
4.61% 4.52%
4.83% 4.71%
4.87% 4.72%
4.75% 4.65%
4.78% 4.69%
4.81% 4.73%
5.02% 4.84%
5.22% 4.95%
5.18% 4.94%
5.01% 4.83%
5.16% 4.87%
4.84% 4.76%
4.58% 4.51%
4.63% 4.61%
4.54% 4.56%
4.59% 4.64%
4.85% 4.90%
5.02% 4.99%
5.16% 5.01%
5.28% 5.12%
5.30% 5.16%
5.48% 5.36%
5.75% 5.66%
5.70% 5.59%
5.53% 5.39%
5.56% 5.38%
5.74% 5.59%
5.64% 5.46%
5.87% 5.55%
5.72% 5.40%
5.50% 5.29%
5.42% 5.23%
5.46% 5.28%
5.58% 5.44%
5.70% 5.56%
6.03% 5.88%
6.04% 5.99%
6.19% 6.11%
6.30% 6.22%
6.17% 6.03%
6.32% 6.11%
6.57% 6.28%
6.72% 6.27%
6.69% 6.22%
7.16% 6.55%
7.10% 6.49%
7.14% 6.74%
7.65% 6.91%
7.79% 6.92%
7.24% 6.67%
7.07% 6.72%
7.39% 6.85%
7.91% 7.24%
7.84% 7.34%
7.46% 6.92%
7.53% 7.07%
7.39% 6.88%
7.33% 6.88%
6.84% 6.58%
6.39% 6.28%
6.24% 6.18%
6.11% 6.14%
5.70% 5.94%
5.83% 6.00%
6.39% 6.32%
6.52% 6.38%
6.73% 6.38%
6.58% 6.27%
6.14% 6.05%
5.93% 5.92%
5.81% 5.86%
5.93% 6.00%
5.95% 6.01%
6.08% 6.06%
6.07% 6.06%
6.19% 6.16%
6.13% 6.07%
6.11% 6.01%
6.11% 6.01%
6.21% 5.94%
6.55% 6.05%
6.48% 6.00%
6.28% 5.79%
6.36% 5.96%
6.46% 6.78%
6.64% 6.88%
6.71% 6.91%
6.67% 6.86%
6.85% 6.99%
6.90% 7.06%
7.13% 7.29%
7.40% 7.61%
7.09% 7.25%
6.79% 7.18%
6.73% 7.30%
6.74% 7.29%
6.99% 7.47%
6.96% 7.46%
7.21% 7.73%
7.51% 8.01%
7.58% 8.14%
7.54% 8.10%
7.81% 8.26%
8.04% 8.60%
8.04% 8.59%
7.90% 8.37%
7.68% 7.98%
7.43% 7.91%
7.50% 7.88%
7.39% 7.71%
7.73% 7.99%
8.23% 8.36%
8.06% 8.22%
7.86% 8.04%
8.06% 8.17%
8.40% 8.50%
8.43% 8.57%
8.14% 8.35%
8.05% 8.28%
8.00% 8.23%
7.74% 8.01%
7.79% 8.03%
7.73% 7.97%
7.56% 7.86%
7.90% 8.13%
7.86% 8.03%
7.83% 8.00%
7.77% 7.91%
7.59% 7.78%
7.41% 7.70%
7.29% 7.64%
6.87% 7.30%
7.21% 7.48%
7.39% 7.64% 7.75%
7.46% 7.73% 7.80%
7.37% 7.67% 7.73%
7.46% 7.74% 7.80%
7.28% 7.64% 7.64%
7.33% 7.60% 7.64%
7.40% 7.64% 7.68%
7.34% 7.57% 7.64%
7.52% 7.71% 7.77%
7.58% 7.76% 7.85%
7.69% 7.87% 7.94%
7.96% 8.14% 8.18%
8.03% 8.22% 8.25%
8.04% 8.21% 8.23%
 8.15% 8.32% 8.34%
8.35% 8.44% 8.43%
8.46% 8.53% 8.50%
8.64% 8.69% 8.65%
8.41% 8.45% 8.47%
8.42% 8.47% 8.47%
8.64% 8.69% 8.67%
8.81% 8.75% 8.75%
9.01% 8.90% 8.88%
9.10% 8.98% 8.94%
9.10% 9.03% 9.00%
9.12% 9.08% 9.03%
9.18% 9.12% 9.08%
9.25% 9.21% 9.19%
8.91% 8.91% 8.92%
8.95% 8.92% 8.93%
9.03% 8.97% 8.98%
9.33% 9.21% 9.17%
10.30% 9.99% 9.85%
10.65% 10.37% 10.30%
10.39% 10.18% 10.12%
10.80% 10.65% 10.60%
12.41% 12.21% 12.13%
12.75% 12.49% 12.34%
11.47% 11.42% 11.40%
10.18% 10.44% 10.36%
9.78% 9.89% 9.81%
10.25% 10.32% 10.24%
11.10% 11.07% 11.00%
11.51% 11.47% 11.34%
11.75% 11.75% 11.59%
12.68% 12.44% 12.37%
12.84% 12.49% 12.40%
12.57% 12.29% 12.14%
13.19% 12.98% 12.80%
13.12% 12.94% 12.69%
13.68% 13.46% 13.20%
14.10% 13.82% 13.60%
13.47% 13.20% 12.96%
14.28% 13.92% 13.59%
14.94% 14.52% 14.17%
15.32% 15.07% 14.67%
15.15% 15.13% 14.68%
13.39% 13.56% 13.35%
13.72% 13.73% 13.45%
14.59% 14.57% 14.22%
14.43% 14.48% 14.22%
13.86% 13.75% 13.53%
13.87% 13.57% 13.37%
13.62% 13.46% 13.24%
14.30% 14.18% 13.92%
13.95% 13.76% 13.55%
13.06% 12.91% 12.77%
12.34% 12.16% 12.07%
10.91% 10.97% 11.17%
10.55% 10.57% 10.54%
10.54% 10.62% 10.54%
10.46% 10.78% 10.63%
10.72% 11.03% 10.88%
10.51% 10.80% 10.63%
10.40% 10.63% 10.48%
10.38% 10.67% 10.53%
10.85% 11.12% 10.93%
11.38% 11.59% 11.40%
11.85% 11.96% 11.82%
11.65% 11.82% 11.63%
11.54% 11.77% 11.58%
11.69% 11.92% 11.75%
11.83% 12.02% 11.88%
11.67% 11.82% 11.75%
11.84% 12.00% 11.95%
12.32% 12.45% 12.38%
12.63% 12.65% 12.65%
13.41% 13.43% 13.43%
13.56% 13.54% 13.44%
13.36% 13.36% 13.21%
12.72% 12.71% 12.54%
12.52% 12.42% 12.29%
12.16% 12.04% 11.98%
11.57% 11.66% 11.56%
11.50% 11.64% 11.52%
11.38% 11.58% 11.45%
11.51% 11.70% 11.47%
11.86% 12.06% 11.81%
11.43% 11.69% 11.47%
10.85% 11.19% 11.05%
10.16% 10.57% 10.45%
10.31% 10.68% 10.50%
10.33% 10.73% 10.56%
10.37% 10.80% 10.61%
10.24% 10.67% 10.50%
9.78% 10.24% 10.06%
9.26% 9.75% 9.54%
9.19% 9.59% 9.40%
8.70% 9.08% 8.93%
7.78% 8.09% 7.96%
7.30% 7.50% 7.39%
7.71% 7.81% 7.52%
7.80% 7.69% 7.57%
7.30% 7.29% 7.27%
7.17% 7.28% 7.33%
7.45% 7.56% 7.62%
7.43% 7.61% 7.70%
7.25% 7.42% 7.52%
7.11% 7.28% 7.37%
7.08% 7.39%
7.25% 7.54%
7.25% 7.55%
8.02% 8.25%
8.61% 8.78%
8.40% 8.57%
8.45% 8.64%
8.76% 8.97%
9.42% 9.59%
9.52% 9.61%
8.86% 8.95%
8.99% 9.12%
8.67% 8.83%
8.21% 8.43%
8.37% 8.63%
8.72% 8.95%
9.09% 9.23%
8.92% 9.00%
9.06% 9.14%
9.26% 9.32%
8.98% 9.06%
8.80% 8.89%
8.96% 9.02%
9.11% 9.01%
9.09% 8.93%
9.17% 9.01%
9.36% 9.17%
9.18% 9.03%
8.86% 8.83%
8.28% 8.27%
8.02% 8.08%
8.11% 8.12%
8.19% 8.15%
8.01% 8.00%
7.87% 7.90%
7.84% 7.90%
8.21% 8.26%
8.47% 8.50%
8.59% 8.56%
8.79% 8.76%
8.76% 8.73%
8.48% 8.46%
8.47% 8.50%
8.75% 8.86%
8.89% 9.03%
8.72% 8.86%
8.39% 8.54%
8.08% 8.24%
8.09% 8.27%
7.85% 8.03%
8.11% 8.29%
8.04% 8.21%
8.07% 8.27%
8.28% 8.47%
8.27% 8.45%
7.90% 8.14%
7.65% 7.95%
7.53% 7.93%
7.42% 7.92%
7.09% 7.70%
7.03% 7.58%
7.34% 7.85%
7.54% 7.97%
7.48% 7.96%
7.39% 7.89%
7.26% 7.84%
6.84% 7.60%
6.59% 7.39%
6.42% 7.34%
6.59% 7.53%
6.87% 7.61%
6.77% 7.44%
6.60% 7.34%
6.26% 7.09%
5.98% 6.82%
5.97% 6.85%
6.04% 6.92%
5.96% 6.81%
5.81% 6.63%
5.68% 6.32%
5.36% 6.00%
5.33% 6.07% 5.94%
5.72% 6.38% 6.21%
5.77% 6.40% 6.25%
5.75% 6.39% 6.29%
5.97% 6.57% 6.49%
6.48% 7.00% 6.91%
6.97% 7.40% 7.27%
7.18% 7.54% 7.41%
7.10% 7.51% 7.40%
7.30% 7.67% 7.58%
7.24% 7.62% 7.49%
7.46% 7.87% 7.71%
7.74% 8.08% 7.94%
7.96% 8.20% 8.08%
7.81% 7.99% 7.87%
7.78% 7.97% 7.85%
7.47% 7.73% 7.61%
7.20% 7.57% 7.45%
7.06% 7.45% 7.36%
6.63% 7.01% 6.95%
6.17% 6.59% 6.57%
6.28% 6.74% 6.72%
6.49% 6.92% 6.86%
6.20% 6.65% 6.55%
6.04% 6.45% 6.37%
5.93% 6.33% 6.26%
5.71% 6.12% 6.06%
5.65% 6.11% 6.05%
5.81% 6.30% 6.24%
6.27% 6.74% 6.60%
6.51% 6.98% 6.79%
6.74% 7.11% 6.93%
6.91% 7.22% 7.06%
6.87% 7.14% 7.03%
6.64% 6.97% 6.84%
6.83% 7.17% 7.03%
6.53% 6.90% 6.81%
6.20% 6.58% 6.48%
6.30% 6.65% 6.55%
6.58% 6.91% 6.83%
6.42% 6.77% 6.69%
6.69% 7.05% 6.93%
6.89% 7.20% 7.09%
6.71% 7.02% 6.94%
6.49% 6.84% 6.77%
6.22% 6.56% 6.51%
6.30% 6.65% 6.58%
6.21% 6.56% 6.50%
6.03% 6.38% 6.33%
5.88% 6.20% 6.11%
5.81% 6.07% 5.99%
5.54% 5.88% 5.81%
5.57% 5.96% 5.89%
5.65% 6.01% 5.95%
5.64% 6.00% 5.92%
5.65% 6.01% 5.93%
5.50% 5.80% 5.70%
5.46% 5.78% 5.68%
5.34% 5.66% 5.54%
4.81% 5.38% 5.20%
4.53% 5.30% 5.01%
4.83% 5.48% 5.25%
4.65% 5.36% 5.06%
4.72% 5.45% 5.16%
5.00% 5.66% 5.37%
5.23% 5.87% 5.58%
5.18% 5.82% 5.55%
5.54% 6.08% 5.81%
5.90% 6.36% 6.04%
5.79% 6.28% 5.98%
5.94% 6.43% 6.07%
5.92% 6.50% 6.07%
6.11% 6.66% 6.26%
6.03% 6.48% 6.15%
6.28% 6.69% 6.35%
6.66% 6.86% 6.63%
6.52% 6.54% 6.23%
6.26% 6.38% 6.05%
5.99% 6.18% 5.85%
6.44% 6.55% 6.15%
6.10% 6.28% 5.93%
6.05% 6.20% 5.85%
5.83% 6.02% 5.72%
5.80% 6.09% 5.83%
5.74% 6.04% 5.80%
5.72% 5.98% 5.78%
5.24% 5.64% 5.49%
5.16% 5.65% 5.54%
5.10% 5.62% 5.45%
4.89% 5.49% 5.34%
5.14% 5.78% 5.65%
5.39% 5.92% 5.78%
5.28% 5.82% 5.67%
5.24% 5.75% 5.61%
4.97% 5.58% 5.48%
4.73% 5.53% 5.48%
4.57% 5.34% 5.32%
4.65% 5.33% 5.12%
5.09% 5.76% 5.48%
5.04% 5.69% 5.45%
4.91% 5.61% 5.40%
5.28% 5.93%
5.21% 5.85%
5.16% 5.81%
4.93% 5.65%
4.65% 5.51%
4.26% 5.19%
3.87% 4.87%
3.94% 5.00%
4.05% 5.04%
4.03% 5.01%
4.05% 5.02%
3.90% 4.87%
3.81% 4.82%
3.96% 4.91%
3.57% 4.52%
3.33% 4.34%
3.98% 4.92%
4.45% 5.39%
4.27% 5.21%
4.29% 5.21%
4.30% 5.17%
4.27% 5.11%
4.15% 5.01%
4.08% 4.94%
3.83% 4.72%
4.35% 5.16%
4.72% 5.46%
4.73% 5.45%
4.50% 5.24%
4.28% 5.07%
4.13% 4.89%
4.10% 4.85%
4.19% 4.89%
4.23% 4.88%
4.22% 4.77%
4.17% 4.61%
4.50% 4.89%
4.34% 4.75%
4.14% 4.56%
4.00% 4.35%
4.18% 4.48%
4.26% 4.53%
4.20% 4.51%
4.46% 4.74%
4.54% 4.83%
4.47% 4.73%
4.42% 4.65%
4.57% 4.73% 4.54%
4.72% 4.91% 4.73%
4.99% 5.22% 5.06%
5.11% 5.35% 5.20%
5.11% 5.29% 5.15%
5.09% 5.25% 5.13%
4.88% 5.08% 5.00%
4.72% 4.93% 4.85%
4.73% 4.94% 4.85%
4.60% 4.78% 4.69%
4.56% 4.78% 4.68%
4.76% 4.95% 4.85%
4.72% 4.93% 4.82%
4.56% 4.81% 4.72%
4.69% 4.95% 4.87%
4.75% 4.98% 4.90%
5.10% 5.29% 5.20%
5.00% 5.19% 5.11%
4.67% 5.00% 4.93%
4.52% 4.84% 4.79%
4.53% 4.83% 4.77%
4.15% 4.56% 4.52%
4.10% 4.57% 4.53%
3.74% 4.35% 4.33%
3.74% 4.49% 4.52%
3.51% 4.36% 4.39%
3.68% 4.44% 4.44%
3.88% 4.60% 4.60%
4.10% 4.74% 4.69%
4.01% 4.62% 4.57%
3.89% 4.53% 4.50%
3.69% 4.32% 4.27%
3.81% 4.45% 4.17%
3.53% 4.27% 4.00%
2.42% 3.18% 2.87%
2.52% 3.46% 3.13%
2.87% 3.83% 3.59%
2.82% 3.78% 3.64%
2.93% 3.84% 3.76%
3.29% 4.22% 4.23%
3.72% 4.51% 4.52%
3.56% 4.38% 4.41%
3.59% 4.33% 4.37%
3.40% 4.14% 4.19%
3.39% 4.16% 4.19%
3.40% 4.24% 4.31%
3.59% 4.40% 4.49%
3.73% 4.50% 4.60%
3.69% 4.48% 4.62%
3.73% 4.49% 4.64%
3.85% 4.53% 4.69%
3.42% 4.11% 4.29%
3.20% 3.95% 4.13%
3.01% 3.80% 3.99%
2.70% 3.52% 3.80%
2.65% 3.47% 3.77%
2.54% 3.52% 3.87%
2.76% 3.82% 4.19%
3.29% 4.17% 4.42%
3.39% 4.28% 4.52%
3.58% 4.42% 4.65%
3.41% 4.27% 4.51%
3.46% 4.28% 4.50%
3.17% 4.01% 4.29%
3.00% 3.91% 4.23%
3.00% 3.95% 4.27%
2.30% 3.24% 3.65%
1.98% 2.83% 3.18%
2.15% 2.87% 3.13%
2.01% 2.72% 3.02%
1.98% 2.67% 2.98%
1.97% 2.70% 3.03%
1.97% 2.75% 3.11%
2.17% 2.94% 3.28%
2.05% 2.82% 3.18%
1.80% 2.53% 2.93%
1.62% 2.31% 2.70%
1.53% 2.22% 2.59%
1.68% 2.40% 2.77%
1.72% 2.49% 2.88%
1.75% 2.51% 2.90%
1.65% 2.39% 2.80%
1.72% 2.47% 2.88%
1.91% 2.68% 3.08%
1.98% 2.78% 3.17%
1.96% 2.78% 3.13%
1.76% 2.55% 2.93%
1.93% 2.73% 3.11%
2.30% 3.07% 3.40%
2.58% 3.31% 3.61%
2.74% 3.49% 3.76%
2.71% 3.53% 3.79%
2.62% 3.38% 3.68%
2.72% 3.50% 3.80%
2.90% 3.63% 3.89%
2.86% 3.52% 3.77%
2.71% 3.38% 3.66%
2.72% 3.35% 3.62%
2.71% 3.27% 3.52%
2.56% 3.12% 3.39%
2.60% 3.15% 3.42%
2.54% 3.07% 3.33%
2.42% 2.94% 3.20%
2.53% 3.01% 3.26%
2.30% 2.77% 3.04%
2.33% 2.76% 3.04%
2.21% 2.55% 2.83%
1.88% 2.20% 2.46%
1.98% 2.34% 2.57%
2.04% 2.41% 2.63%
1.94% 2.33% 2.59%
2.20% 2.69% 2.96%
2.36% 2.85% 3.11%
2.32% 2.77% 3.07%
2.17% 2.55% 2.86%
2.17% 2.62% 2.95%
2.07% 2.50% 2.89%
2.26% 2.69% 3.03%
2.24% 2.61% 2.97%
2.09% 2.49% 2.86%
1.78% 2.20% 2.62%
1.89% 2.28% 2.68%
1.81% 2.21% 2.62%
1.81% 2.22% 2.63%
1.64% 2.02% 2.45%
1.50% 1.82% 2.23%
1.56% 1.89% 2.26%
1.63% 2.02% 2.35%
1.76% 2.17% 2.50%
2.14% 2.54% 2.86%
2.49% 2.84% 3.11%
2.43% 2.75% 3.02%
2.42% 2.76% 3.03%
2.48% 2.83% 3.08%
2.30% 2.67% 2.94%
2.30% 2.70% 2.96%
2.19% 2.54% 2.80%
2.32% 2.65% 2.88%
2.21% 2.55% 2.80%
2.20% 2.53% 2.78%
2.36% 2.65% 2.88%
2.35% 2.60% 2.80%
2.40% 2.60% 2.77%
2.58% 2.73% 2.88%
2.86% 3.02% 3.13%
2.84% 2.97% 3.09%
2.87% 2.96% 3.07%
2.98% 3.05% 3.13%
2.91% 2.98% 3.05%
2.89% 2.94% 3.01%
2.89% 2.97% 3.04%
3.00% 3.08% 3.15%
3.15% 3.27% 3.34%
3.12% 3.27% 3.36%
2.83% 2.98% 3.10%
2.71% 2.89% 3.04%
2.68% 2.87% 3.02%
2.57% 2.80% 2.98%
2.53% 2.76% 2.94%
2.40% 2.63% 2.82%
2.07% 2.36% 2.57%
2.06% 2.36% 2.57%
1.63% 1.91% 2.12%
1.70% 1.97% 2.16%
1.71% 2.00% 2.19%
1.81% 2.13% 2.28%
1.86% 2.16% 2.30%
1.76% 2.07% 2.22%
1.50% 1.81% 1.97%
0.87% 1.26% 1.46%
0.66% 1.06% 1.27%
0.67% 1.12% 1.38%
0.73% 1.27% 1.49%
0.62% 1.09% 1.31%
0.65% 1.14% 1.36%
0.68% 1.21% 1.42%
0.79% 1.34% 1.57%
0.87% 1.40% 1.62%
0.93% 1.47% 1.67%
1.08% 1.63% 1.82%
1.26% 1.88% 2.04%
1.61% 2.24% 2.34%
1.64% 2.20% 2.30%
1.62% 2.22% 2.32%
 Chapter 8 - Master It!

Companies often buy bonds to meet a future liability or cash outlay. Such an investment is called a dedicated p
dedicated to the future liability. In such a case, the portfolio is subject to reinvestment risk. Reinvestment risk o
coupon payments it receives. If the YTM on similar bonds falls, these coupon payments will be reinvested at a l
that is lower than desired at maturity. Of course, if interest rates increase, the portfolio value at maturity will b

Suppose Ice Cubes, Inc., has the following liability due in five years. The company is going to buy bonds today in
current YTM are below.

Amount of liability $ 100,000,000

Current YTM 8%

a. At the current YTM, what is the face value of the bonds the company has to purchase today in order to meet it
relevant range will have the same coupon rate as the current YTM and these bonds make semiannual coupon p

b. Assume that the interest rates remain constant for the next five years. Thus, when the company reinvests the c
What is the value of the portfolio in five years?

c. Assume that immediately after the company purchases the bonds, interest rates either rise or fall by one perce
these circumstances?

One way to eliminate reinvestment risk is called immunization. Rather than buying bonds with the same matur
the same duration as the liability. If you think about the dedicated portfolio, if the interest rate falls, the future
However, as interest rates fall, the price of the bond increases. These effects offset each other in an immunized

Another advantage of using duration to immunize a portfolio is that the duration of a portfolio is the weighted
other words, to find the duration of a portfolio, you take the weight of each asset multiplied by its duration and

d. What is the duration of the liability for Ice Cubes, Inc.?

e. Suppose the two bonds shown below are the only bonds available to immunize the liability. What face amount
immunize the portfolio?

Bond A Bond B
Settlement 1/1/2020 1/1/2020
Maturity 1/1/2023 1/1/2028
Coupon rate 7.00% 8.00%
YTM 7.50% 9.00%
Coupons per year 2 2
 an investment is called a dedicated portfolio since the proceeds of the portfolio are
reinvestment risk. Reinvestment risk occurs because the company will be reinvesting the
pon payments will be reinvested at a lower interest rate, which will result in a portfolio value
e, the portfolio value at maturity will be higher than needed.

ompany is going to buy bonds today in order to meet the future obligation. The liability and

to purchase today in order to meet its future obligation? Assume that the bonds in the
ese bonds make semiannual coupon payments.

us, when the company reinvests the coupon payments, it will reinvest at the current YTM.

st rates either rise or fall by one percent. What is the value of the portfolio in five years under

an buying bonds with the same maturity as the liability, the company instead buys bonds with
lio, if the interest rate falls, the future value of the reinvested coupon payments decreases.
ects offset each other in an immunized portfolio.

uration of a portfolio is the weighted average of the duration of the assets in the portfolio. In
ch asset multiplied by its duration and then sum the results.

munize the liability. What face amount of each bond will the company need to purchase to
 Master It! Solution
a. Value of liability today

b, c. Coupon payment

Original YTM YTM decrease

Reinvestment YTM
Coupon rate

Value of Value of
reinvested reinvested
Six-month Coupon coupons at coupons at
Year period payment Year 5 Year 5
1 1
2
2 3
4
3 5
6
4 7
8
5 9
10

Future value of coupons:

Par value received:
Total portfolio value:

d.

e. Macaulay duration:
Bond A
Bond B

Bond weights:
Bond A
Bond B
YTM increase

Value of
reinvested
coupons at
Year 5