This third installment completes the usual quarterly statistical work. It covers "Interest Rates & Related" in the ten tables that appear below.
Please note that the following tables, plus the ones contained in the first two installments, are now also posted in their respective locations accessed via the "Data & Charts" link.
---------------------------------
SELECTED 2Q-2004 FINANCIAL DATA
---------------------------------
TABLE OF CONTENTS
-----------------
CATEGORY TABLE
-------- -----
INTEREST RATES & RELATED
------------------------
* Federal Reserve Meetings
and Policy Actions Taken 1
* Federal Funds Futures 2
* Treasury Yield Curve 3
* Yields of Sovereign Foreign
and US Government Debt 4
* Open-Market Debt Yields
(Merrill Lynch Matrix) 5
* US Treasury Total Debt 6
* Composition of Treasury Debt 7
* US Treasury Securities
Outstanding 8
* Monetary Aggregate and
Base Growth 9
* Federal Reserve Holdings
of US Government Debt 10
-------------------------------------------
Table 1.
----------------------------------------------
2004-2001 SCHEDULED MEETINGS OF THE FEDERAL
OPEN MARKET COMMITTEE AND POLICY ACTIONS TAKEN
----------------------------------------------
2004
Thru 6/30 Meeting: 1.25% 2.25%
Opening '04 Levels: 1.00% 2.00%
----------------------------------------------
Action Taken On
Meeting --------------------------------
Date Fed Funds Rate Discount Rate
----------------------------------------------
06/29-30 REGULAR MEETING, Action Taken:
+25BP to 1.25% +25BP to 2.25%;
05/04 REGULAR MEETING, No Action Taken
April NO SCHEDULED MEETING ------------>
03/16 REGULAR MEETING, No Action Taken
February NO SCHEDULED MEETING ------------>
01/27-28 REGULAR MEETING, No Action Taken
----------------------------------------------
Table 2.
---------------------------------------
FEDERAL FUNDS FUTURES
---------------------------------------
06/30/04* 03/31/04*
Contract Close Contract Close
---------------------------------------
--- --- Apr. '04 1.00%
--- --- May '04 1.01%
--- --- June '04 1.01%
July '04 1.26% July '04 1.03%
Aug. '04 1.47% Aug. '04 1.07%
Sep. '04 1.65% Sep. '04 1.11%
Oct. '04 1.83% Oct. '04 1.16%
Nov. '04 2.02% Nov. '04 1.23%
Dec. '04 2.19% Dec. '04 1.32%
Jan. '05 2.28% Jan. '05 1.38%
Feb. '05 2.50% --- ---
---------------------------------------
*Official target rate: As of 6/30
= 1.25%; as of 3/31 = 1.00%.
---------------------------------------
Table 3.
-----------------------------------------------
TREASURY YIELD CURVE AS OF 06/30/04
-----------------------------------------------
90-Day 2-Yr. 5-Yr. 10-Yr. 30-Yr.
Date Bill* Note Note Note Bond
-----------------------------------------------
06/30/04 1.32% 2.69% 3.79% 4.60% 5.30%
03/31/04 0.93% 1.57% 2.77% 3.83% 4.77%
12/31/03 0.92% 1.82% 3.25% 4.25% 5.07%
06/30/03 0.84% 1.30% 2.41% 3.51% 4.56%
-----------------------------------------------
BASIS-POINT CHANGE TO 06/30/04 FROM:
-----------------------------------------------
03/31/04 +39 +112 +102 +77 +53
12/31/03 +40 +87 +54 +35 +23
06/30/03 +48 +139 +138 +109 +74
-----------------------------------------------
YIELD-SPREAD DIFFERENTIALS
-----------------------------------------------
90D-> 02Y-> 05Y-> 10Y-> 90D->
02Y 05Y 10Y 30Y 30Y
------------------------------------
06/31/04 +137 +110 +81 +70 +398
03/31/04 +64 +120 +106 +94 +384
12/31/03 +90 +143 +100 +82 +415
06/30/03 +46 +111 +110 +105 +372
-----------------------------------------------
*Coupon-equivalent yield.
-----------------------------------------------
Table 4.
--------------------------------------------------
APPROXIMATE INTEREST RATES OF SELECTED
COUNTRIES' SOVEREIGN DEBT OBLIGATIONS
-- AS OF 06/30/04, 03/31/04 AND 12/31/03
--------------------------------------------------
Maturity
----------------------------
Country Date 1-Year 2-Year 5-year 10-year
--------------------------------------------------
Australia 06/30 5.29% 5.35% 5.69% 5.93%
03/31 5.17% 5.14% 5.36% 5.49%
12/31 5.29% 5.28% 5.54% 5.59%
--------------------------------------------------
United Kingdom 06/30 4.82% 4.96% 5.06% 5.10%
03/31 4.23% 4.42% 4.64% 4.75%
12/31 3.83% 4.30% 4.60% 4.80%
--------------------------------------------------
Germany 06/30 2.31% 2.71% 3.58% 4.32%
03/31 1.90% 2.13% 3.09% 3.93%
12/31 2.21% 2.60% 3.50% 4.29%
--------------------------------------------------
UNITED STATES 06/30 2.03% 2.69% 3.79% 4.60%
03/31 1.05% 1.57% 2.77% 3.83%
12/31 1.12% 1.82% 3.25% 4.25%
--------------------------------------------------
Japan 06/30 0.08% 0.20% 0.84% 1.80%
03/31 0.02% 0.13% 0.63% 1.45%
12/31 0.02% 0.12% 0.61% 1.37%
--------------------------------------------------
Table 5.
-------------------------------------------------
2Q-2004 CHANGE IN OPEN-MARKET DEBT YIELDS
-- MERRILL LYNCH MATRIX (% PER ANNUM)
-------------------------------------------------
06/30 03/31 12/31 52-Week*
2004 2004 2003 ----------
Sector/Maturity Yield Yield Yield High Low
-------------------------------------------------
TREASURY
1-10 Yrs. 3.23 2.16 2.46 3.45 1.83
10+ Yrs. 5.18 4.52 4.91 5.43 4.27
-------------------------------------------------
AGENCY
1-10 Yrs. 3.65 2.39 2.80 3.86 2.03
10+ Yrs. 5.64 4.81 5.35 5.93 4.66
-------------------------------------------------
CORP. HIGH GRADE
1-10 Yrs. 4.05 2.95 3.35 4.26 2.79
10+ Yrs. 6.03 5.39 5.75 6.26 5.23
-------------------------------------------------
CORP. MEDIUM GRADE
1-10 Yrs. 4.64 3.62 3.99 4.86 3.48
10+ Yrs. 6.51 5.78 6.12 6.86 5.60
-------------------------------------------------
CORPORATE
HIGH YIELD 7.98 7.30 7.49 9.58 6.88
-------------------------------------------------
YANKEE 4.63 3.63 3.97 4.81 3.51
-------------------------------------------------
CURRENT-COUPON
MORTGAGES
GNMA (5.60) 5.52 4.64 5.15 5.82 4.21
FNMA (5.98) 5.56 4.84 5.18 6.11 4.47
FHLMC (5.98) 5.58 4.85 5.26 6.16 4.51
-------------------------------------------------
TAX-EXEMPT
7-12 Yr. GO (AA) 3.96 3.36 3.44 4.34 3.01
12-22 Yr. GO (AA) 4.62 4.13 4.27 4.97 3.77
22+-Yr. Rev. ( A) 5.24 4.58 4.71 5.37 4.26
-------------------------------------------------
BASIS-POINT CHANGE TO 06/30/04 FROM:
-------------------------------------------------
52-Week*
03/31 12/31 ----------
2004 2003 High Low
-------------------------------------------------
TREASURY
1-10 Yrs. +107 +77 -22 +140
10+ Yrs. +66 +27 -25 +91
-------------------------------------------------
AGENCY
1-10 Yrs. +126 +85 -21 +162
10+ Yrs. +83 +29 -29 +98
-------------------------------------------------
CORP. HIGH GRADE
1-10 Yrs. +110 +70 -21 +126
10+ Yrs. +64 +28 -23 +80
-------------------------------------------------
CORP. MEDIUM GRADE
1-10 Yrs. +102 +65 -22 +116
10+ Yrs. +73 +39 -35 +91
-------------------------------------------------
CORPORATE
HIGH YIELD +68 +49 -160 +110
-------------------------------------------------
YANKEE +100 +66 -18 +112
-------------------------------------------------
CURRENT-COUPON
MORTGAGES
GNMA (5.60) +88 +37 -30 +131
FNMA (5.98) +72 +38 -55 +109
FHLMC (5.98) +73 +32 -58 +107
-------------------------------------------------
TAX-EXEMPT
7-12 Yr. GO (AA) +60 +52 -38 +95
12-22 Yr. GO (AA) +49 +35 -35 +85
22+ Yr. Rev. ( A) +39 +53 -13 +98
-------------------------------------------------
*Trailing 52 weeks as of 6/30/04.
-------------------------------------------------
Table 6.
-------------------------------------------
THE U.S. TREASURY'S TOTAL DEBT
(Billions of Dollars)
-------------------------------------------
Change From
--------------
Year-Earlier Prior Year
Date Amount Amount Qtr. Earlier
-------------------------------------------
2004
06/30* 7274.335 6685.121 143.267 589.214
03/31 7131.068 6460.776 133.104 670.292
2003
12/31 6997.964 6405.708 214.733 592.256
09/30 6783.231 6228.236 113.110 554.995
06/30 6685.121 6126.469 224.345 558.652
03/31 6460.776 6006.032 55.068 454.744
2002
12/31 6405.708 5943.439 177.472 462.269
09/30 6228.236 5807.463 101.767 420.773
06/30 6126.469 5726.815 120.437 399.654
03/31 6006.032 5773.740 62.593 232.292
2001
12/31 5943.439 5662.216 135.976 281.223
-------------------------------------------
*Record as of this date.
-------------------------------------------
AS OF THE END OF THE 10
FISCAL YEARS ENDED 09/30/03
--------------------------------------------
Fiscal Year Change For
Ended Amount Fiscal Year
--------------------------------------------
09/30/03 6783.231 554.995
09/30/02 6228.236 420.773
09/30/01 5807.463 133.285
09/30/00 5674.178 17.907
09/30/99 5656.271 130.078
09/30/98 5526.193 113.047
09/30/97 5413.146 188.335
09/30/96 5224.811 250.828
09/30/95 4973.983 281.233
09/30/94 4692.750 281.261
----------------------------------------------
Table 7.
----------------------------------------------
DISTRIBUTION OF TOTAL U.S. TREASURY DEBT
(Billions of Dollars)
----------------------------------------------
Debt Held Intragovern-
Date By Public mental Holdings Total
----------------------------------------------
06/30/04 4218.910 3055.425 7274.335
03/31/04 4176.874 2954.194 7131.068
12/31/03 4044.244 2953.720 6997.964
09/30/03 3924.090 2859.141 6783.231
06/30/03 3816.831 2868.290 6685.121
03/31/03 3711.312 2749.464 6460.776
12/13/02 3647.940 2757.768 6405.708
----------------------------------------------
Change
---------
2Q-2004 42.036 101.231 143.267
YTD 174.666 101.705 276.371
Year/Year 402.079 187.135 589.214
----------------------------------------------
Table 8.
----------------------------------------------
U.S. TREASURY SECURITIES OUTSTANDING
(Billions of Dollars)
----------------------------------------------
As of
--------------------
06/30/04 03/31/04*
-------- ---------
Marketable Securities
---------------------
Bills 946.789 984.971
Notes 2052.264 1983.466
Bonds 556.064 564.403
Treasury Inflation-
Protected Securities 200.391 188.376
-------- --------
Subtotal 3755.508 3721.214
-------- --------
Nonmarketable Securities 3518.827 3409.854
------------------------ -------- --------
Total 7274.335 7131.068
======== ========
------------------------
Of Marketable Securities
------------------------
As of
-------------------
06/30/04 03/31/04
-------- --------
Bills 25.2% 26.5%
Notes 54.7% 53.3%
Bonds 14.8% 15.2%
Treasury Inflation-
Protected Securities 5.3% 5.0%
------ ------
Total 100.0% 100.0%
====== ======
----------------------------------------------
*Column does not add due to rounding.
----------------------------------------------
Table 9.
-------------------------------------------------
YEAR/YEAR GROWTH IN MONETARY MEASURES
M1, MZM, M2, M3, AND IN THE ST. LOUIS
FEDERAL RESERVE BANK'S MONETARY BASE*
-------------------------------------------------
Change From Same Month One Year Earlier
------------------------------------------
<------------- 2004 -------------> <2003>
June@ May Apr. Mar. Feb. Jan. <June>
-------------------------------------------------
M1 4.8% 4.9% 6.0% 6.8% 5.7% 5.4% 7.0%
MZM 4.6% 5.2% 4.7% 4.3% 3.6% 3.6% 8.1%
M2 4.4% 4.9% 4.7% 4.7% 4.3% 4.2% 8.1%
M3 5.5% 5.5% 4.9% 4.5% 4.0% 3.8% 7.3%
-------------------------------------------------
Base 4.8% 4.2% 4.2% 4.3% 4.7% 5.1% 6.1%
-------------------------------------------------
*Seasonally adjusted; subject to revision.
@6/2004 based on latest data available.
-------------------------------------------------
Table. 10
----------------------------------------------
FEDERAL RESERVE HOLDINGS OF
U.S. GOVERNMENT SECURITIES
(Billions of Dollars)
----------------------------------------------
Fed. Reserve US Government Year/
Statement Securities Year Year
Week Ended Held Outright* Earlier Change
----------------------------------------------
2004
06/30 687.099 652.162 5.5%
03/31 674.037 641.311 5.1%
01/01 666.402 629.415 5.9%
2003
10/01 656.119 605.410 8.4%
07/02 652.162 590.864 10.4%
04/02 641.311 575.770 11.4%
01/01 629.415 553.854 13.6%
2002
10/02 605.410 534.545 13.3%
07/03 590.864 534.046 10.6%
04/02 575.770 523.327 10.0%
01/02 553.854 512.158 8.1%
----------------------------------------------
*Average of daily figures.
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