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FAS87 ASC715 discount rates and Moody's Rates


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Data as of 29-AUG-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.60 5.60

Aa 6.03 5.92 5.98

A 6.32 6.52 6.42

Baa 6.94 7.29 7.12

Avg 6.43 6.33 6.38

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 2.62

Medium-Term (5-10 yrs) 3.41

Long-Term (10+ yrs) 4.32

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Data as of 30-SEP-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 6.01 6.01

Aa 6.51 6.21 6.36

A 6.98 7.02 7.00

Baa 7.69 8.01 7.85

Avg 7.06 6.81 6.94

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 2.30

Medium-Term (5-10 yrs) 3.39

Long-Term (10+ yrs) 4.32

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Data as of 31-OCT-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 6.54 6.54

Aa 7.22 6.93 7.08

A 8.01 8.13 8.07

Baa 9.28 9.80 9.54

Avg 8.17 7.85 8.01

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.70

Medium-Term (5-10 yrs) 3.60

Long-Term (10+ yrs) 4.71

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Data as of 28-NOV-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.60 5.60

Aa 6.35 6.22 6.29

A 7.18 7.43 7.31

Baa 8.72 9.34 9.03

Avg 7.42 7.15 7.29

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.97

Medium-Term (5-10 yrs) 2.55

Long-Term (10+ yrs) 3.66

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Data as of 30-DEC-08

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 4.64 4.64

Aa 5.54 5.32 5.43

A 6.13 6.32 6.23

Baa 7.66 8.28 7.97

Avg 6.44 6.14 6.29

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.72

Medium-Term (5-10 yrs) 1.85

Long-Term (10+ yrs) 2.78

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Moody's has not posted any data for 12/31/08. (Perhaps because the trading day was short?)

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Just in case, here are the rates for December 29, 2008:

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 4.74 4.74

Aa 5.59 5.37 5.48

A 6.19 6.44 6.32

Baa 7.74 8.36 8.05

Avg 6.51 6.23 6.37

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.75

Medium-Term (5-10 yrs) 1.84

Long-Term (10+ yrs) 2.81

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They issued 12/30 and 1/2 but not 12/31. Anybody know why, and if there will not be a 12/31 post definitively? The rates have moved quite a bit during that period. When will we know there won't be a 12/31 rate?

On Jan. 2, I called Moody's and asked these questions. The response was "there will not be a 12/31 posting". As for "why", the response provided no detail; my own opinion is that Moody's decided to ignore 12/31 because the trading volume was low, or the trading day was short, or both.

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At my firm, we stopped benchmarking several years ago and now use a yield curve approach based on the plan's expected payouts and spot rates for corporate bonds. The relevant tables are published monthly by the SOA:

http://www.soa.org/files/xls/pen-discount-curve.xls

Be careful here. This link shows two items issued by Citi:

• The Citigroup Pension Discount Liability Index is a weighted average developed by Citigroup, using its own “Citigroup Pension Discount Curve”. The single value shown at 12/31/08 is 5.87%.

• Citigroup develops this single value based on cash flow matching of a “typical” pension plan. Unfortunately, we do not have the details about what they consider to be a “typical” plan (or ir we do, I can't find it).

Before using this single value, it is prudent to consider the cash flow matching and demographics of the plan.

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Data as of 30-JAN-09 (Friday)

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.32 5.32

Aa 6.26 5.96 6.11

A 6.52 6.70 6.61

Baa 7.97 8.53 8.25

Avg 6.92 6.63 6.78

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.10

Medium-Term (5-10 yrs) 2.50

Long-Term (10+ yrs) 3.72

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Data as of 27-FEB-09 (Friday)

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.43 5.43

Aa 6.12 6.04 6.08

A 6.38 6.80 6.59

Baa 7.85 8.63 8.24

Avg 6.78 6.73 6.76

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.18

Medium-Term (5-10 yrs) 2.60

Long-Term (10+ yrs) 3.83

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Data as of 31-MAR-09

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.39 5.39

Aa 6.14 6.04 6.09

A 6.41 6.87 6.64

Baa 8.04 8.85 8.45

Avg 6.86 6.79 6.83

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.91

Medium-Term (5-10 yrs) 2.08

Long-Term (10+ yrs) 3.37

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Data as of 30-APR-09

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.45 5.45

Aa 6.34 6.28 6.31

A 6.55 6.96 6.76

Baa 7.91 8.56 8.24

Avg 6.93 6.81 6.87

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.10

Medium-Term (5-10 yrs) 2.41

Long-Term (10+ yrs) 3.85

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Data as of 30-JUN-09

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.37 5.37

Aa 5.75 5.81 5.78

A 5.96 6.25 6.11

Baa 6.96 7.37 7.17

Avg 6.22 6.20 6.21

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.22

Medium-Term (5-10 yrs) 2.78

Long-Term (10+ yrs) 4.10

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Data as of 31-JUL-09

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.18 5.18

Aa 5.28 5.47 5.38

A 5.68 5.85 5.77

Baa 6.45 6.80 6.63

Avg 5.80 5.82 5.82

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.19

Medium-Term (5-10 yrs) 2.72

Long-Term (10+ yrs) 4.07

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Data as of 31-AUG-09

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.12 5.12

Aa 5.16 5.37 5.27

A 5.54 5.61 5.58

Baa 6.17 6.59 6.38

Avg 5.62 5.67 5.65

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.02

Medium-Term (5-10 yrs) 2.56

Long-Term (10+ yrs) 3.94

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Data as of 30-SEP-09

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.04 5.04

Aa 5.05 5.12 5.09

A 5.41 5.46 5.44

Baa 6.00 6.34 6.17

Avg 5.49 5.49 5.49

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.93

Medium-Term (5-10 yrs) 2.46

Long-Term (10+ yrs) 3.81

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Data as of 30-OCT-09 (Friday)

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.16 5.16

Aa 5.24 5.22 5.23

A 5.55 5.59 5.57

Baa 6.12 6.42 6.27

Avg 5.64 5.60 5.62

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.86

Medium-Term (5-10 yrs) 2.44

Long-Term (10+ yrs) 3.90

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Data as of 30-NOV-09 (Monday)

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.01 5.01

Aa 5.25 5.14 5.20

A 5.54 5.51 5.53

Baa 6.04 6.35 6.20

Avg 5.61 5.50 5.56

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.56

Medium-Term (5-10 yrs) 2.09

Long-Term (10+ yrs) 3.72

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Data as of 31-DEC-09

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.33 5.33

Aa 5.54 5.44 5.49

A 5.86 5.82 5.84

Baa 6.31 6.47 6.39

Avg 5.90 5.76 5.84

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 1.00

Medium-Term (5-10 yrs) 2.67

Long-Term (10+ yrs) 4.28

FYI, I also monitored these rates for every business day since December 15. No spikes, very little fluctuation.

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Data as of 29-JAN-10 (Friday)

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.24 5.24

Aa 5.55 5.45 5.50

A 5.73 5.69 5.71

Baa 6.09 6.30 6.20

Avg 5.79 5.67 5.73

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.64

Medium-Term (5-10 yrs) 2.35

Long-Term (10+ yrs) 4.05

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Data as of 26-FEB-10 (Friday)

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.21 5.21

Aa 5.58 5.43 5.51

A 5.77 5.69 5.73

Baa 6.17 6.29 6.23

Avg 5.84 5.65 5.75

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.59

Medium-Term (5-10 yrs) 2.27

Long-Term (10+ yrs) 4.04

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Data as of 31-MAR-10

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.32 5.32

Aa 5.68 5.55 5.62

A 5.89 5.80 5.85

Baa 6.25 6.37 6.31

Avg 5.94 5.76 5.85

Moody's Daily Treasury Yield Averages

Short-Term (3-5 yrs) 0.74

Medium-Term (5-10 yrs) 2.48

Long-Term (10+ yrs) 4.22

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