SPOT YIELD CURVES, CORPORATE AA BONDS 

END OF 2001 – 2003 

Supplement to 

CREATING A CORPORATE BOND SPOT YIELD CURVE FOR 

PENSION DISCOUNTING 

OFFICE OF ECONOMIC POLICY WHITE PAPER 

FEBRUARY 7, 2005 
2

SPOT YIELD CURVE, CORPORATE AA BONDS

12/31/01, Percent

Average of 90 Business Days

Maturity, Spot Maturity, Spot Maturity, Spot Maturity, Spot

Years Rate Years Rate Years Rate Years Rate

0.5 2.63 20.5 7.06 40.5 7.21 60.5 7.27

1.0 3.06 21.0 7.07 41.0 7.21 61.0 7.27

1.5 3.47 21.5 7.07 41.5 7.22 61.5 7.27

2.0 3.84 22.0 7.08 42.0 7.22 62.0 7.27

2.5 4.17 22.5 7.09 42.5 7.22 62.5 7.27

3.0 4.46 23.0 7.09 43.0 7.22 63.0 7.27

3.5 4.72 23.5 7.10 43.5 7.22 63.5 7.27

4.0 4.95 24.0 7.10 44.0 7.22 64.0 7.27

4.5 5.16 24.5 7.11 44.5 7.23 64.5 7.27

5.0 5.35 25.0 7.11 45.0 7.23 65.0 7.27

5.5 5.52 25.5 7.12 45.5 7.23 65.5 7.28

6.0 5.68 26.0 7.12 46.0 7.23 66.0 7.28

6.5 5.82 26.5 7.12 46.5 7.23 66.5 7.28

7.0 5.95 27.0 7.13 47.0 7.23 67.0 7.28

7.5 6.07 27.5 7.13 47.5 7.24 67.5 7.28

8.0 6.18 28.0 7.14 48.0 7.24 68.0 7.28

8.5 6.27 28.5 7.14 48.5 7.24 68.5 7.28

9.0 6.36 29.0 7.14 49.0 7.24 69.0 7.28

9.5 6.44 29.5 7.15 49.5 7.24 69.5 7.28

10.0 6.52 30.0 7.15 50.0 7.24 70.0 7.28

10.5 6.58 30.5 7.16 50.5 7.24 70.5 7.28

11.0 6.64 31.0 7.16 51.0 7.25 71.0 7.28

11.5 6.69 31.5 7.16 51.5 7.25 71.5 7.28

12.0 6.74 32.0 7.17 52.0 7.25 72.0 7.28

12.5 6.78 32.5 7.17 52.5 7.25 72.5 7.29

13.0 6.82 33.0 7.17 53.0 7.25 73.0 7.29

13.5 6.85 33.5 7.18 53.5 7.25 73.5 7.29

14.0 6.88 34.0 7.18 54.0 7.25 74.0 7.29

14.5 6.91 34.5 7.18 54.5 7.25 74.5 7.29

15.0 6.93 35.0 7.18 55.0 7.26 75.0 7.29

15.5 6.95 35.5 7.19 55.5 7.26 75.5 7.29

16.0 6.97 36.0 7.19 56.0 7.26 76.0 7.29

16.5 6.98 36.5 7.19 56.5 7.26 76.5 7.29

17.0 7.00 37.0 7.20 57.0 7.26 77.0 7.29

17.5 7.01 37.5 7.20 57.5 7.26 77.5 7.29

18.0 7.02 38.0 7.20 58.0 7.26 78.0 7.29

18.5 7.03 38.5 7.20 58.5 7.26 78.5 7.29

19.0 7.04 39.0 7.20 59.0 7.26 79.0 7.29

19.5 7.05 39.5 7.21 59.5 7.26 79.5 7.29

20.0 7.05 40.0 7.21 60.0 7.27 80.0 7.29
3

SPOT YIELD CURVE, CORPORATE AA BONDS

12/31/02, Percent

Average of 90 Business Days

Maturity, Spot Maturity, Spot Maturity, Spot Maturity, Spot

Years Rate Years Rate Years Rate Years Rate

0.5 1.73 20.5 6.79 40.5 7.14 60.5 7.26

1.0 2.11 21.0 6.81 41.0 7.14 61.0 7.26

1.5 2.46 21.5 6.82 41.5 7.15 61.5 7.26

2.0 2.78 22.0 6.83 42.0 7.15 62.0 7.27

2.5 3.07 22.5 6.85 42.5 7.15 62.5 7.27

3.0 3.34 23.0 6.86 43.0 7.16 63.0 7.27

3.5 3.58 23.5 6.87 43.5 7.16 63.5 7.27

4.0 3.80 24.0 6.89 44.0 7.17 64.0 7.27

4.5 4.02 24.5 6.90 44.5 7.17 64.5 7.28

5.0 4.23 25.0 6.91 45.0 7.17 65.0 7.28

5.5 4.43 25.5 6.92 45.5 7.18 65.5 7.28

6.0 4.61 26.0 6.93 46.0 7.18 66.0 7.28

6.5 4.80 26.5 6.94 46.5 7.18 66.5 7.28

7.0 4.97 27.0 6.95 47.0 7.19 67.0 7.28

7.5 5.13 27.5 6.96 47.5 7.19 67.5 7.29

8.0 5.28 28.0 6.97 48.0 7.20 68.0 7.29

8.5 5.43 28.5 6.98 48.5 7.20 68.5 7.29

9.0 5.56 29.0 6.99 49.0 7.20 69.0 7.29

9.5 5.68 29.5 7.00 49.5 7.20 69.5 7.29

10.0 5.80 30.0 7.01 50.0 7.21 70.0 7.29

10.5 5.90 30.5 7.01 50.5 7.21 70.5 7.30

11.0 6.00 31.0 7.02 51.0 7.21 71.0 7.30

11.5 6.09 31.5 7.03 51.5 7.22 71.5 7.30

12.0 6.17 32.0 7.04 52.0 7.22 72.0 7.30

12.5 6.24 32.5 7.05 52.5 7.22 72.5 7.30

13.0 6.30 33.0 7.05 53.0 7.22 73.0 7.30

13.5 6.36 33.5 7.06 53.5 7.23 73.5 7.30

14.0 6.42 34.0 7.07 54.0 7.23 74.0 7.31

14.5 6.46 34.5 7.07 54.5 7.23 74.5 7.31

15.0 6.51 35.0 7.08 55.0 7.24 75.0 7.31

15.5 6.54 35.5 7.08 55.5 7.24 75.5 7.31

16.0 6.58 36.0 7.09 56.0 7.24 76.0 7.31

16.5 6.61 36.5 7.10 56.5 7.24 76.5 7.31

17.0 6.64 37.0 7.10 57.0 7.24 77.0 7.31

17.5 6.67 37.5 7.11 57.5 7.25 77.5 7.31

18.0 6.69 38.0 7.11 58.0 7.25 78.0 7.32

18.5 6.71 38.5 7.12 58.5 7.25 78.5 7.32

19.0 6.74 39.0 7.12 59.0 7.25 79.0 7.32

19.5 6.75 39.5 7.13 59.5 7.26 79.5 7.32

20.0 6.77 40.0 7.13 60.0 7.26 80.0 7.32
4

SPOT YIELD CURVE, CORPORATE AA BONDS

12/31/03, Percent

Average of 90 Business Days

Maturity, Spot Maturity, Spot Maturity, Spot Maturity, Spot

Years Rate Years Rate Years Rate Years Rate

0.5 1.25 20.5 6.36 40.5 6.96 60.5 7.17

1.0 1.55 21.0 6.39 41.0 6.97 61.0 7.17

1.5 1.85 21.5 6.41 41.5 6.98 61.5 7.17

2.0 2.17 22.0 6.44 42.0 6.99 62.0 7.18

2.5 2.49 22.5 6.47 42.5 6.99 62.5 7.18

3.0 2.81 23.0 6.49 43.0 7.00 63.0 7.18

3.5 3.11 23.5 6.52 43.5 7.01 63.5 7.19

4.0 3.40 24.0 6.54 44.0 7.01 64.0 7.19

4.5 3.66 24.5 6.56 44.5 7.02 64.5 7.19

5.0 3.89 25.0 6.58 45.0 7.03 65.0 7.20

5.5 4.10 25.5 6.60 45.5 7.03 65.5 7.20

6.0 4.29 26.0 6.62 46.0 7.04 66.0 7.20

6.5 4.46 26.5 6.64 46.5 7.04 66.5 7.20

7.0 4.61 27.0 6.66 47.0 7.05 67.0 7.21

7.5 4.74 27.5 6.67 47.5 7.06 67.5 7.21

8.0 4.86 28.0 6.69 48.0 7.06 68.0 7.21

8.5 4.98 28.5 6.71 48.5 7.07 68.5 7.22

9.0 5.08 29.0 6.72 49.0 7.07 69.0 7.22

9.5 5.18 29.5 6.74 49.5 7.08 69.5 7.22

10.0 5.26 30.0 6.75 50.0 7.08 70.0 7.22

10.5 5.35 30.5 6.76 50.5 7.09 70.5 7.23

11.0 5.43 31.0 6.78 51.0 7.09 71.0 7.23

11.5 5.50 31.5 6.79 51.5 7.10 71.5 7.23

12.0 5.57 32.0 6.80 52.0 7.10 72.0 7.23

12.5 5.64 32.5 6.81 52.5 7.11 72.5 7.24

13.0 5.70 33.0 6.83 53.0 7.11 73.0 7.24

13.5 5.76 33.5 6.84 53.5 7.11 73.5 7.24

14.0 5.82 34.0 6.85 54.0 7.12 74.0 7.24

14.5 5.87 34.5 6.86 54.5 7.12 74.5 7.25

15.0 5.92 35.0 6.87 55.0 7.13 75.0 7.25

15.5 5.97 35.5 6.88 55.5 7.13 75.5 7.25

16.0 6.02 36.0 6.89 56.0 7.13 76.0 7.25

16.5 6.06 36.5 6.90 56.5 7.14 76.5 7.25

17.0 6.11 37.0 6.91 57.0 7.14 77.0 7.26

17.5 6.15 37.5 6.92 57.5 7.15 77.5 7.26

18.0 6.19 38.0 6.92 58.0 7.15 78.0 7.26

18.5 6.22 38.5 6.93 58.5 7.15 78.5 7.26

19.0 6.26 39.0 6.94 59.0 7.16 79.0 7.26

19.5 6.29 39.5 6.95 59.5 7.16 79.5 7.27

20.0 6.32 40.0 6.96 60.0 7.16 80.0 7.27