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Maturity,Category,Grade,Title,Description,FRED Series ID
overnight,asset_backed,aa,Overnight AA Asset-Backed Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPAAAD01NB
7d,asset_backed,aa,7-Day AA Asset-Backed Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPAAAD07NB
15d,asset_backed,aa,15-Day AA Asset-Backed Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPAAAD15NB
30d,asset_backed,aa,30-Day AA Asset-Backed Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPAAAD30NB
60d,asset_backed,aa,60-Day AA Asset-Backed Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPAAAD60NB
90d,asset_backed,aa,90-Day AA Asset-Backed Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPAAAD90NB
overnight,financial,aa,Overnight AA Financial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPFAAD01NB
7d,financial,aa,7-Day AA Financial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPFAAD07NB
15d,financial,aa,15-Day AA Financial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPFAAD15NB
30d,financial,aa,30-Day AA Financial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPFAAD30NB
60d,financial,aa,60-Day AA Financial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPFAAD60NB
90d,financial,aa,90-Day AA Financial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPFAAD90NB
overnight,non_financial,aa,Overnight AA Nonfinancial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPNAAD01NB
7d,non_financial,aa,7-Day AA Nonfinancial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calculation, the trades represent sales of CP by dealers or direct issuers to investors (that is, the offer side) and are weighted according to the face value of the CP so that larger trades have a greater effect on the resulting index. With the relation between interest rates and maturities established, the reported interest rates represent the estimated interest rates for the specified maturities.
Interest rates calculated through the process described above are a statistical aggregation of numerous data reflecting many trades for different issuers, maturities, and so forth. Accordingly, the reported interest rates purport to reflect activity in certain segments of the market, but they may not equal interest rates for any specific trade. As with other statistical processes, this one is designed to minimize the difference between the interest rates at which actual trades occur and the estimated interest rates.
CP trades included in the calculation are chosen according to the specifications listed in the table below. Data to assess CP trades relative to these criteria are updated daily from numerous publicly available sources. Standard Industrial Classification (SIC) code classifications are taken from the Securities and Exchange Commission (SEC) Directory of Companies Required to File Annual Reports with the SEC. When an issuer's primary SIC code is not reported in the SEC directory, the primary SIC code reported in the issuer's financial reports is used; otherwise, SIC codes are determined upon consultation with the Office of Management and Budget's Standard Industrial Classification Manual or its Supplement.
For a discussion of econometric techniques for fitting the term structure of interest rates, including bibliographic information, see, for example, William S. Cleveland, 1979, ""Robust Locally Weighted Regression and Smoothing Scatterplots,"" Journal of the American Statistical Association, 74, 829-36, or William S. Cleveland, Susan J. Devlin, and Eric Grosse, 1988, ""Regression by Local Fitting,"" Journal of Econometrics, 37, 87-114.
Source: https://www.federalreserve.gov/releases/cp/about.htm
",RIFSPPNAAD07NB
15d,non_financial,aa,15-Day AA Nonfinancial Commercial Paper Interest Rate,"To calculate CP interest rate indexes, the Federal Reserve Board uses DTCC's data for certain trades to estimate a relation between interest rates on the traded securities and their maturities. In this calcula
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