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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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 4 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 1 month later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 4 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 1 month later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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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.

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 2 weeks later...
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.

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 3 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 1 month later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 5 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 5 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 5 weeks later...

Data as of 29-MAY-09 (Friday)

Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate

Aaa NA 5.36 5.36

Aa 6.22 6.18 6.20

A 6.32 6.71 6.52

Baa 7.56 7.95 7.76

Avg 6.70 6.55 6.63

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 1 month later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 1 month later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 4 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 1 month later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 1 month later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 5 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 1 month later...

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.

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 4 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 4 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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  • 5 weeks later...

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

I'm a retirement actuary. Nothing about my comments is intended or should be construed as investment, tax, legal or accounting advice. Occasionally, but not all the time, it might be reasonable to interpret my comments as actuarial or consulting advice.

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