Jump to content
Guest DBtech

FAS87 ASC715 discount rates and Moody's Rates

Recommended Posts

August 31, 2006

MOODY'S DAILY LONG-TERM CORPORATE BOND YIELD AVERAGES

Utilities Industrial Corporate

Aaa NA* 5.54 5.54

Aa 5.84 5.70 5.77

A 6.07 6.06 6.07

Baa 6.31 6.63 6.47

Avg 6.07 5.98 6.03

MOODY'S DAILY TREASURY YIELD AVERAGES

Short-Term (3-5 yrs): 4.66

Medium-Term (5-10 yrs): 4.72

Long-Term (10+ yrs): 4.92

MOODY'S DAILY PUBLIC UTILITY COMMON STOCK YIELD AVERAGES

Price: 314.1

Yield: 3.51

New Dividend: 11.03

Share this post


Link to post
Share on other sites

September 29, 2006

MOODY'S DAILY LONG-TERM CORPORATE BOND YIELD AVERAGES

Utilities Industrial Corporate

Aaa NA* 5.42 5.42

Aa 5.72 5.59 5.66

A 5.90 5.83 5.87

Baa 6.17 6.54 6.36

Avg 5.93 5.85 5.89

MOODY'S DAILY TREASURY YIELD AVERAGES

Short-Term (3-5 yrs): 4.56

Medium-Term (5-10 yrs): 4.61

Long-Term (10+ yrs): 4.80

MOODY'S DAILY PUBLIC UTILITY COMMON STOCK YIELD AVERAGES

Price: 307.2

Yield: 3.60

New Dividend: 11.06

Share this post


Link to post
Share on other sites

October 31, 2006

MOODY'S DAILY LONG-TERM CORPORATE BOND YIELD AVERAGES

Utilities Industrial Corporate

Aaa NA* 5.39 5.39

Aa 5.64 5.55 5.60

A 5.84 5.76 5.80

Baa 6.09 6.40 6.25

Avg 5.86 5.78 5.82

MOODY'S DAILY TREASURY YIELD AVERAGES

Short-Term (3-5 yrs): 4.54

Medium-Term (5-10 yrs): 4.58

Long-Term (10+ yrs): 4.77

MOODY'S DAILY PUBLIC UTILITY COMMON STOCK YIELD AVERAGES

Price: 321.2

Yield: 3.45

New Dividend: 11.10

Share this post


Link to post
Share on other sites

November 30, 2006

MOODY'S DAILY LONG-TERM CORPORATE BOND YIELD AVERAGES

Utilities Industrial Corporate

Aaa NA* 5.20 5.20

Aa 5.50 5.41 5.46

A 5.68 5.62 5.65

Baa 5.93 6.26 6.10

Avg 5.70 5.62 5.66

MOODY'S DAILY TREASURY YIELD AVERAGES

Short-Term (3-5 yrs): 4.42

Medium-Term (5-10 yrs): 4.44

Long-Term (10+ yrs): 4.63

MOODY'S DAILY PUBLIC UTILITY COMMON STOCK YIELD AVERAGES

Price: 324.2

Yield: 3.43

New Dividend: 11.13

Share this post


Link to post
Share on other sites

December 29, 2006 (Friday)

MOODY'S DAILY LONG-TERM CORPORATE BOND YIELD AVERAGES

Utilities Industrial Corporate

Aaa NA* 5.46 5.46

Aa 5.75 5.68 5.72

A 5.95 5.89 5.92

Baa 6.18 6.51 6.35

Avg 5.96 5.89 5.93

MOODY'S DAILY TREASURY YIELD AVERAGES

Short-Term (3-5 yrs): 4.67

Medium-Term (5-10 yrs): 4.69

Long-Term (10+ yrs): 4.87

MOODY'S DAILY PUBLIC UTILITY COMMON STOCK YIELD AVERAGES

Price: 326.2

Yield: 3.47

New Dividend: 11.31

Share this post


Link to post
Share on other sites

January 31, 2007

MOODY'S DAILY LONG-TERM CORPORATE BOND YIELD AVERAGES

Utilities Industrial Corporate

Aaa NA* 5.48 5.48

Aa 5.83 5.81 5.82

A 6.01 5.97 5.99

Baa 6.22 6.57 6.40

Avg 6.02 5.96 5.99

MOODY'S DAILY TREASURY YIELD AVERAGES

Short-Term (3-5 yrs): 4.80

Medium-Term (5-10 yrs): 4.81

Long-Term (10+ yrs): 4.98

MOODY'S DAILY PUBLIC UTILITY COMMON STOCK YIELD AVERAGES

Price: 308.0

Yield: 3.52

New Dividend: 10.85

Share this post


Link to post
Share on other sites

February 28, 2007

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.25 5.25

Aa 5.61 5.58 5.60

A 5.78 5.73 5.76

Baa 6.01 6.31 6.16

Avg 5.80 5.72 5.69

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 4.47

Medium-Term (5-10 yrs) 4.53

Long-Term (10+ yrs) 4.73

Moody's Daily Public Utility Common Stock Yield Averages

Price 323.76

Yield 3.37

New Dividend 10.90

Share this post


Link to post
Share on other sites

Here are some excellent references, courtesy of Rich Groszkiewicz at the COPA PPA seminar

last Friday. For future events see collegeofpensionactuaries.org.

Daily Treasury Yield Curve Rates

http://www.treas.gov/offices/domestic-fina...ate/yield.shtml

Daily Treasury Real Yield Curve Rates

http://www.treas.gov/offices/domestic-fina...eal_yield.shtml

http://www.treas.gov/offices/domestic-fina...ieldmethod.html

We are still waiting for Treasury to determine the corporate yield curve for PPA.

Share this post


Link to post
Share on other sites

March 30, 2007

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.43 5.43

Aa 5.80 5.83 5.82

A 5.97 6.00 5.99

Baa 6.25 6.54 6.40

Avg 6.01 5.95 5.98

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 4.50

Medium-Term (5-10 yrs) 4.60

Long-Term (10+ yrs) 4.87

Share this post


Link to post
Share on other sites

May 31, 2007

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.57 5.57

Aa 5.97 5.96 5.97

A 6.10 6.15 6.13

Baa 6.35 6.65 6.50

Avg 6.14 6.08 6.11

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 4.81

Medium-Term (5-10 yrs) 4.87

Long-Term (10+ yrs) 5.07

Share this post


Link to post
Share on other sites

June 29, 2007

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.73 5.73

Aa 6.12 6.08 6.10

A 6.24 6.30 6.27

Baa 6.46 6.78 6.62

Avg 6.27 6.22 6.25

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 4.86

Medium-Term (5-10 yrs) 4.98

Long-Term (10+ yrs) 5.19

Share this post


Link to post
Share on other sites

July 31, 2007

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.62 5.62

Aa 6.03 5.98 6.01

A 6.18 6.34 6.26

Baa 6.46 6.80 6.63

Avg 6.22 6.19 6.21

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 4.53

Medium-Term (5-10 yrs) 4.71

Long-Term (10+ yrs) 4.97

Share this post


Link to post
Share on other sites
Guest ehalgary

The SOA has the corporate rate on its site available (the link listed earlier is no longer in use).

Moody's Rates

It provides...

Moody's® Long-Term Corporate Bond Yield

Month End Close

AA Bond Rating

Based on Bonds with maturities 20 years and above

Yield as of the last business day of the month

Share this post


Link to post
Share on other sites

Also, note that link has only one rate: the Aa rate on Corporate bonds. If you need the rate on Utility or Industrial bonds, you must use a different source of information.

Share this post


Link to post
Share on other sites

Data as of 28-SEP-07

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.76 5.76

Aa 6.12 5.94 6.03

A 6.22 6.26 6.24

Baa 6.45 6.73 6.59

Avg 6.26 6.17 6.22

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 4.08

Medium-Term (5-10 yrs) 4.44

Long-Term (10+ yrs) 4.84

Share this post


Link to post
Share on other sites

Data as of 31-OCT-07

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.62 5.62

Aa 6.01 5.82 5.92

A 6.07 6.07 6.07

Baa 6.36 6.57 6.47

Avg 6.15 6.02 6.09

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 4.00

Medium-Term (5-10 yrs) 4.34

Long-Term (10+ yrs) 4.74

Share this post


Link to post
Share on other sites

Data as of 30-NOV-07

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.34 5.34

Aa 5.85 5.66 5.76

A 6.00 5.98 5.99

Baa 6.34 6.54 6.44

Avg 6.06 5.88 5.97

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 3.22

Medium-Term (5-10 yrs) 3.79

Long-Term (10+ yrs) 4.36

Share this post


Link to post
Share on other sites

Data as of 31-DEC-07

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.41 5.41

Aa 5.93 5.67 5.80

A 6.07 6.14 6.11

Baa 6.43 6.68 6.56

Avg 6.14 5.97 6.06

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 3.23

Medium-Term (5-10 yrs) 3.81

Long-Term (10+ yrs) 4.43

Share this post


Link to post
Share on other sites

Daily Bond Yields and Key Indicators

Data as of 31-JAN-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.38 5.38

Aa 5.90 5.75 5.83

A 6.07 6.16 6.12

Baa 6.40 6.85 6.63

Avg 6.12 6.03 6.08

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 2.48

Medium-Term (5-10 yrs) 3.32

Long-Term (10+ yrs) 4.20

Share this post


Link to post
Share on other sites

Daily Bond Yields and Key Indicators

Data as of 29-FEB-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.42 5.42

Aa 5.93 5.79 5.86

A 6.09 6.20 6.15

Baa 6.51 6.99 6.75

Avg 6.18 6.10 6.14

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 2.07

Medium-Term (5-10 yrs) 3.11

Long-Term (10+ yrs) 4.18

Share this post


Link to post
Share on other sites

Data as of 31-MAR-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.48 5.48

Aa 5.94 5.76 5.85

A 6.20 6.23 6.22

Baa 6.74 7.06 6.90

Avg 6.29 6.13 6.21

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.99

Medium-Term (5-10 yrs) 2.97

Long-Term (10+ yrs) 4.13

Share this post


Link to post
Share on other sites

Data as of 30-APR-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.51 5.51

Aa 5.92 5.84 5.88

A 6.22 6.27 6.25

Baa 6.74 7.00 6.87

Avg 6.29 6.16 6.23

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 2.60

Medium-Term (5-10 yrs) 3.41

Long-Term (10+ yrs) 4.36

Share this post


Link to post
Share on other sites

Data as of 30-MAY-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.67 5.67

Aa 6.18 6.07 6.13

A 6.36 6.46 6.41

Baa 6.93 7.18 7.06

Avg 6.49 6.35 6.42

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 3.04

Medium-Term (5-10 yrs) 3.76

Long-Term (10+ yrs) 4.59

Share this post


Link to post
Share on other sites

Data as of 30-JUN-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.60 5.60

Aa 6.10 5.89 6.00

A 6.32 6.41 6.37

Baa 6.87 7.21 7.04

Avg 6.43 6.28 6.36

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 2.96

Medium-Term (5-10 yrs) 3.67

Long-Term (10+ yrs) 4.47

Share this post


Link to post
Share on other sites

Data as of 31-JUL-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.73 5.73

Aa 6.16 6.02 6.09

A 6.44 6.61 6.53

Baa 7.03 7.38 7.21

Avg 6.54 6.44 6.49

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 2.86

Medium-Term (5-10 yrs) 3.61

Long-Term (10+ yrs) 4.51

Share this post


Link to post
Share on other sites

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now

×
×
  • Create New...