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

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

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

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

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

--------------------------------------------------------------------------------------------------------
Moody's has not posted any data for 12/31/08. (Perhaps because the trading day was short?)
---------------------------------------------------------------------------------------------------------

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

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.

A colleague called today and was told that there would be a 12/31 posting, and that the Corporate Aa rate was 5.54%.

Let's face it, they're all just messin with us. One big conspiracy.

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

Agreed, but many people are looking at both.

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.

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

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

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

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

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

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

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

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

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

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

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

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.

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

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

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

Data as of 30-APR-10
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 5.13 5.13
Aa 5.44 5.33 5.39
A 5.60 5.56 5.58
Baa 5.98 6.15 6.07
Avg 5.67 5.54 5.61

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.68
Medium-Term (5-10 yrs) 2.33
Long-Term (10+ yrs) 4.03

Data as of 28-MAY-10 (Friday before Memorial Day)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 5.01 5.01
Aa 5.32 5.23 5.28
A 5.57 5.51 5.54
Baa 6.16 6.24 6.20
Avg 5.68 5.50 5.59

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.54
Medium-Term (5-10 yrs) 2.02
Long-Term (10+ yrs) 3.72

Data as of 30-JUN-10
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.66 4.66
Aa 4.95 4.86 4.91
A 5.21 5.17 5.19
Baa 6.00 6.10 6.05
Avg 5.39 5.20 5.30

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.40
Medium-Term (5-10 yrs) 1.69
Long-Term (10+ yrs) 3.37

Data as of 30-JUL-10 (Friday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.70 4.70
Aa 4.87 4.86 4.87
A 5.17 5.14 5.16
Baa 5.80 5.90 5.85
Avg 5.28 5.15 5.22

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.33
Medium-Term (5-10 yrs) 1.51
Long-Term (10+ yrs) 3.31

Data as of 31-AUG-10 (Tuesday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.26 4.26
Aa 4.53 4.48 4.51
A 4.78 4.78 4.78
Baa 5.36 5.60 5.48
Avg 4.89 4.78 4.84

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.28
Medium-Term (5-10 yrs) 1.23
Long-Term (10+ yrs) 2.83

Data as of 30-SEP-10 (Thursday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.54 4.54
Aa 4.71 4.62 4.67
A 4.93 4.93 4.93
Baa 5.45 5.70 5.58
Avg 5.03 4.95 4.99

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.24
Medium-Term (5-10 yrs) 1.16
Long-Term (10+ yrs) 2.92

Data as of 29-OCT-10 (Friday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.75 4.75
Aa 4.97 4.89 4.93
A 5.21 5.17 5.19
Baa 5.70 5.86 5.78
Avg 5.29 5.17 5.23

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.19
Medium-Term (5-10 yrs) 1.06
Long-Term (10+ yrs) 3.08

Data as of 30-NOV-10 (Tuesday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.79 4.79
Aa 5.03 4.93 4.98
A 5.28 5.21 5.25
Baa 5.75 5.93 5.84
Avg 5.35 5.21 5.29

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.23
Medium-Term (5-10 yrs) 1.24
Long-Term (10+ yrs) 3.22

Data as of 31-DEC-10 (Friday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.88 4.88
Aa 5.23 5.07 5.15
A 5.45 5.35 5.40
Baa 5.93 6.02 5.98
Avg 5.54 5.33 5.44

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.32
Medium-Term (5-10 yrs) 1.64
Long-Term (10+ yrs) 3.65

Data as of 31-JAN-11 (Monday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 5.12 5.12
Aa 5.34 5.28 5.31
A 5.61 5.52 5.57
Baa 6.05 6.15 6.10
Avg 5.67 5.52 5.60

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.27
Medium-Term (5-10 yrs) 1.56
Long-Term (10+ yrs) 3.75

Data as of 28-FEB-11 (Monday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 5.09 5.09
Aa 5.27 5.17 5.22
A 5.51 5.45 5.48
Baa 5.92 6.06 5.99
Avg 5.57 5.44 5.51

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.25
Medium-Term (5-10 yrs) 1.68
Long-Term (10+ yrs) 3.73

Data as of 31-MAR-11 (Thursday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 5.15 5.15
Aa 5.35 5.25 5.30
A 5.57 5.50 5.54
Baa 5.99 6.11 6.05
Avg 5.64 5.50 5.57

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.27
Medium-Term (5-10 yrs) 1.75
Long-Term (10+ yrs) 3.77

Data as of 29-APR-11 (Friday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 5.09 5.09
Aa 5.20 5.15 5.18
A 5.46 5.38 5.42
Baa 5.86 5.93 5.90
Avg 5.51 5.39 5.45

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.23
Medium-Term (5-10 yrs) 1.48
Long-Term (10+ yrs) 3.63

Data as of 31-MAY-11 (Tuesday)

Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.94 4.94
Aa 5.00 5.01 5.01
A 5.23 5.21 5.22
Baa 5.64 5.75 5.70
Avg 5.29 5.23 5.26

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.18
Medium-Term (5-10 yrs) 1.21
Long-Term (10+ yrs) 3.35

Data as of 30-JUN-11 (Thursday)
Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate
Aaa NA 5.14 5.14
Aa 5.19 5.16 5.18
A 5.41 5.40 5.41
Baa 5.82 5.97 5.90
Avg 5.47 5.42 5.45

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.17
Medium-Term (5-10 yrs) 1.26
Long-Term (10+ yrs) 3.50

Data as of 29-JUL-11 (Friday)
Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate
Aaa NA 4.67 4.67
Aa 4.90 4.81 4.86
A 5.09 5.08 5.09
Baa 5.54 5.64 5.59
Avg 5.18 5.05 5.12

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.21
Medium-Term (5-10 yrs) 1.11
Long-Term (10+ yrs) 3.28

Data as of 31-AUG-11 (Wednesday)
Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate
Aaa NA 4.41 4.41
Aa 4.48 4.54 4.51
A 4.74 4.86 4.80
Baa 5.33 5.62 5.48
Avg 4.85 4.86 4.86

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.43
Medium-Term (5-10 yrs) 1.25
Long-Term (10+ yrs) 3.05

Data as of 30-SEP-11 (Friday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 3.96 3.96
Aa 4.13 4.01 4.07
A 4.38 4.47 4.43
Baa 5.07 5.36 5.22
Avg 4.53 4.45 4.49

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.58
Medium-Term (5-10 yrs) 1.36
Long-Term (10+ yrs) 2.55

Data as of 31-OCT-11 (Monday)
Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate
Aaa NA 3.88 3.88
Aa 4.01 4.03 4.02
A 4.42 4.43 4.43
Baa 5.08 5.29 5.19
Avg 4.50 4.41 4.46

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.68
Medium-Term (5-10 yrs) 1.61
Long-Term (10+ yrs) 2.81

Data as of 30-NOV-11 (Wednesday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 4.07 4.07
Aa 4.04 4.29 4.17
A 4.38 4.64 4.51
Baa 5.07 5.57 5.32
Avg 4.50 4.64 4.57

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.60
Medium-Term (5-10 yrs) 1.49
Long-Term (10+ yrs) 2.65

Hi David, Do you by any chance have the yield averages for 11/23/11 and 12/8/11? Thank you!

Sorry, I do not have those. Each day, Moody's posts the prior day's yield rates, but does not save the history. If you want history, you have to pay for it.

FYI, Data as of 20-DEC-11
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 3.87 3.87
Aa 3.95 4.00 3.98
A 4.28 4.38 4.33
Baa 5.03 5.38 5.21
Avg 4.42 4.41 4.42

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.54
Medium-Term (5-10 yrs) 1.34
Long-Term (10+ yrs) 2.50

Data as of 30-DEC-11 (Friday)
Moody's Daily Long-term Corporate Bond Yield Averages
Utilities Industrial Corporate
Aaa NA 3.77 3.77
Aa 3.91 3.90 3.91
A 4.24 4.34 4.29
Baa 4.99 5.33 5.16
Avg 4.38 4.34 4.36

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.60
Medium-Term (5-10 yrs) 1.39
Long-Term (10+ yrs) 2.49


-----------------------------------------------------------------------------------------------------------------------------------------------------------
By the way, corresponding Bond Yield Averages for December 28 were (about) 2 basis points higher than 12/30/11. Corresponding rates for 12/23/11 were (about) 18-20 basis points higher than 12/30/11.

Some users/reviewers of these items have questioned whether these rates are appropriate for FAS87 purposes. I agree that Moody's rate may not be the best choice. However, I continue to post them as a reference, and not as a recommended discount rate.

If you desire to discuss what is an appropriate rate, you may contact me directly.

Data as of 31-JAN-12 (Tuesday)
Moody's Daily Long-term Corporate Bond Yield Averages

Utilities Industrial Corporate
Aaa NA 3.72 3.72
Aa 3.91 3.88 3.90
A 4.22 4.31 4.27
Baa 4.91 5.23 5.07
Avg 4.35 4.29 4.32

Moody's Daily Treasury Yield Averages
Short-Term (3-5 yrs) 0.43
Medium-Term (5-10 yrs) 1.25
Long-Term (10+ yrs) 2.49