FM for Actuaries

Interest Rates and Financial Securities 299
Table 9.1: Selected interest rates of the U.S. and London markets
Securities Annualized yield (%)
U.S. market
Federal funds (effective) 0.38
Discount Window primary credit 1.00
U.S. government securities
Treasury bills
3-month 0.27
1-year 0.50
Treasury constant maturities
1-year 0.53
5-year 1.10
10-year 1.57
20-year 1.96
30-year 2.39
Swap rates
1-year 0.78
5-year 1.10
10-year 1.47
State and local bonds 3.18
Commercial paper (3-month) 0.49
Bank prime loan 3.50
Corporate bonds (Moody’s seasoned)
Aaa 3.43
Baa 4.47
Conventional mortgages 3.54
London market
U.S. dollar LIBOR overnight 0.3855
Euro LIBOR overnight –0.3950
British pound LIBOR overnight 0.4813
Notes: The U.S. data are from the Federal Reserve Bank (www.federalreserve.gov).
The LIBOR data are from the Intercontinental Exchange (ICE) (www.theice.com).
All data are at mid June 2016.