Moodys Corporate Bond Yields
End of Month |
AAA |
AA |
BAA |
|||
Dec-97 |
6.76 |
% | 6.98 |
% | 7.32 |
% |
Jan-98 |
6.62 |
6.82 |
7.21 |
|||
Feb-98 |
6.71 |
6.93 |
7.29 |
|||
Mar-98 |
6.71 |
6.92 |
7.34 |
|||
Apr-98 |
6.72 |
6.93 |
7.34 |
|||
May-98 |
6.62 |
6.86 |
7.21 |
|||
Jun-98 |
6.51 |
6.74 |
7.11 |
|||
Jul-98 |
6.60 |
6.83 |
7.21 |
|||
Aug-98 |
6.46 |
6.74 |
7.11 |
|||
Sep-98 |
6.24 |
6.52 |
7.01 |
|||
Oct-98 |
6.47 |
6.78 |
7.29 |
|||
Nov-98 |
6.17 |
6.60 |
7.19 |
|||
Dec-98 |
6.24 |
6.66 |
7.26 |
|||
Jan-99 |
6.16 |
6.60 |
7.21 |
|||
Feb-99 |
6.59 |
6.95 |
7.53 |
|||
Mar-99 |
6.70 |
7.02 |
7.56 |
|||
Apr-99 |
6.78 |
7.08 |
7.58 |
|||
May-99 |
7.02 |
7.32 |
7.82 |
|||
Jun-99 |
7.21 |
7.49 |
7.99 |
FAS 87 pension plan obligations are to be calculated based on the prevailing market interest rates on investment grade fixed income securities as of the effective date of the calculation.
Moodys bond indices are a useful benchmark for selecting a supportable discount rate for year-end disclosures and measurement of net periodic pension cost for the following year.
Adjustments may be needed to reflect the cash flow pattern of benefit payments. For example, the average duration of the benefit obligation may be compared with the interest rate/duration curve.
FAS 106 imposes similar requirements in measuring the cost of postretirement benefit obligations and costs for retiree medical and life plans.
Interest Rates by Duration at 12/29/95 and 5/31/96
The Salomon pension discount curve shows the relationship between interest rates and duration for hypothetical zero coupon investments. This curve can be used to construct a plan specific discount rate based on the timing of future benefit payments.
