Notes on U.S. interest rates

Federal Funds Rate

Source: Bank of Canada via the U.S. Federal Reserve

The daily effective federal funds rate is a weighted average of rates on trades through N.Y. brokers.

Government 5-Year Bond Yields

Source: Bank of Canada via the U.S. Federal Reserve

Yields on actively traded issues adjusted to constant maturities.

30 & 90 Day Commercial Paper

Source: Bank of Canada via the U.S. Federal Reserve

• Adjusted to a 365-day yield basis from a 360-day discount basis.
• Interest rates interpolated from data on certain commercial paper trades settled by The Depository Trust Company. The trades represent sales of commercial paper by dealers or direct issuers to investors (that is, the offer side). See the Board’s Commercial Paper webpages for more information.

Prime Rate Charged by Banks

Source: Bank of Canada via the U.S. Federal Reserve

One of several base rates used by banks to price short-term business loans. See Federal Reserve H.15 for more information.

Federal Reserve Bank of New York – Discount Rate (Terminated)

Source: Bank of Canada via the U.S. Federal Reserve

• On March 14, 1980, the Federal Reserve imposed a 3% surcharge on the frequent use of the discount window by large banks and the surcharge was eliminated on May 7, 1980.
• In addition, on November 17, 1980, a surcharge of 2% was imposed on the frequent use of the discount window by large borrowers.
• On December 5, 1980, the surcharge was raised to 3%.
• On May 5, 1981, the surcharge was raised to 4% and was lowered to 3% on September 21, 1981.
• On November 2, 1981 the surcharge was lowered to 2% and on November 17, 1981 the surcharge was eliminated.

3-Month Treasury Bills at Monday Tender (Terminated)   

Source: Bank of Canada via the U.S. Federal Reserve

• Adjusted to a 365‐day yield basis from a 360‐day discount basis.
• Auction date for daily data; weekly and monthly averages computed on an issue‐date basis.

Corporate Bonds (Moody's AAA) (Terminated)   

Source: Bank of Canada via the U.S. Federal Reserve

• Moody’s AAA rates through December 6, 2001 are averages of AAA utility and AAA industrial bond rates.
• As of December 7, 2001, these rates are averages of AAA industrial bonds only.

90-Day Certificates of Deposit (Terminated)   

Source: Bank of Canada via the U.S. Federal Reserve

• Adjusted to a 365‐day yield basis from a 360‐day discount basis.
• An average of dealer offering rates on nationally traded certificates of deposit.

Euro-U.S. dollar Deposits in London, 3 Month (Bid) (Terminated)   

Source: Bank of Canada via the U.S. Federal Reserve

• Adjusted to a 365‐day yield basis from a 360‐day discount basis.
• Bid rates for Eurodollar deposits collected around 9:30 a.m. Eastern time.

90-Day Premium (+) or Discount (-) U.S. Dollar in Canada (Terminated)   

Source: Bank of Canada, Data and Statistics Office

The rates shown are the annual interest rate equivalent of the spread between the spot and forward exchange rates for U.S. dollars in Canada computed on the basis of mid-market closing quotations for the last Wednesday of the month.

Covered Differential – Canada-U.S. 3-Month Treasury Bills (Terminated)   

Source: Bank of Canada, Data and Statistics Office

• In favour of Canada (+); the covered differential represents the spread between Canadian and U.S. treasury bill yields after allowance has been made for the forward premium or discount on the U.S. dollar in Canada.
• The differential is calculated from mid‐market closing quotations for the last Wednesday of the month.

Covered Differential – Canada-U.S. 3-Month Short-term Paper (Terminated)   

Source: Bank of Canada, Data and Statistics Office

• In favour of Canada (+); the covered differential represents the spread between Canadian and U.S. short-term paper yields after allowance has been made for the forward premium or discount on the U.S. dollar in Canada.
• The differential is calculated from mid-market closing quotations for the last Wednesday of the month.
• Before February 1979, the rates are finance company paper. Thereafter, the rates are for Canadian prime corporate paper and U.S. commercial paper.