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FRB - Commercial Paper Rates and Outstanding Summary
FRB - Commercial Paper Rates and Outstanding Summary
FRB - Commercial Paper Rates and Outstanding Summary
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Home > Economic Research & Data > Statistical Releases and Historical Data
Commercial Paper
Summary Rates Volume Statistics Outstanding Year-end Maturity Distribution About Announcements Technical Q&As
DDP
Rate Calculations
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.
same as AA nonfinancial
Programs with at least one "A" or "BBB"/"Baa" rating, including split-rated same as AA nonfinancial issuers; but none with any ratings outside the "A" - "BBB"/"Baa" range 6000 - 6999, excluding 6189* (asset-backed CP) and 6200 6299 (security brokers/dealers)
Not applicable
same as AA nonfinancial
6189*
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Both traditional programs (3(a)3) and private placements (4(2)) are included Both dealer-placed and directly placed programs are included Foreign programs; Municipal programs; secondary, repurchase agreement/financing, and interest-at-maturity trades Trades are weighted by their face values
November 5, 2008: Clarification of Criteria Considered for Commercial Paper Rates June 18, 2007: Change to Credit Rating Agencies Considered May 12, 1997: Change in the Source of Commercial Paper Data
Outstanding Calculations
To calculate CP outstanding levels, the Federal Reserve Board uses DTCC's weekly and monthly CP outstandings data. CP outstanding levels are aggregates of all individual CP outstandings. The individual CP outstandings included in the calculation of the various levels are chosen according to data from numerous publicly available sources. Seasonally adjusted outstanding levels are calculated using the Bell Labs seasonal adjustment method. For more information on the Bell Labs seasonal adjustment method see Cleveland, Devlin, and Terpenning, "The SABL Seasonal and Calendar Adjustment Procedures," Time Series Analysis: Theory and Practice 1.
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Revisions
Revisions to outstandings, based on updated issuer information, are made on a continuous basis without any notification. When revisions are sufficiently large, an announcement will be posted to the Announcements page of the CP release. Return to top
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