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Continued Treasury Zero Coupon Spot Rates*

Treasury Spot Rates, Office of Thrift Supervision (OTS) Method
End of Quarter, Percent
Maturity 2012 2013
Years Months I II III IV I II
0.5 6 0.15 0.16 0.14 0.11 0.11 0.10
1 12 0.19 0.21 0.17 0.16 0.14 0.15
2 24 0.33 0.33 0.23 0.25 0.25 0.36
3 36 0.51 0.41 0.31 0.36 0.36 0.66
4 48 0.78 0.56 0.47 0.54 0.56 1.04
5 60 1.05 0.72 0.62 0.72 0.78 1.43
6 72 1.35 0.92 0.84 0.96 1.02 1.72
7 84 1.64 1.12 1.05 1.20 1.26 2.01
8 96 1.86 1.32 1.27 1.41 1.48 2.21
9 108 2.08 1.52 1.48 1.62 1.71 2.41
10 120 2.31 1.71 1.70 1.83 1.93 2.61
11 132 2.39 1.79 1.78 1.91 2.02 2.68
12 144 2.47 1.87 1.86 2.00 2.11 2.76
13 156 2.56 1.94 1.95 2.08 2.20 2.83
14 168 2.64 2.02 2.03 2.16 2.29 2.91
15 180 2.73 2.10 2.11 2.24 2.38 2.98
16 192 2.82 2.18 2.20 2.33 2.48 3.07
17 204 2.91 2.26 2.29 2.42 2.58 3.16
18 216 3.01 2.35 2.38 2.51 2.69 3.24
19 228 3.10 2.43 2.47 2.60 2.79 3.33
20 240 3.19 2.51 2.56 2.69 2.89 3.41
21 252 3.24 2.56 2.61 2.74 2.94 3.45
22 264 3.28 2.60 2.66 2.79 2.99 3.49
23 276 3.32 2.65 2.71 2.85 3.04 3.53
24 288 3.37 2.70 2.76 2.90 3.08 3.56
25 300 3.41 2.74 2.81 2.95 3.13 3.60
26 312 3.45 2.79 2.86 3.00 3.18 3.64
27 324 3.50 2.84 2.91 3.05 3.23 3.67
28 336 3.54 2.88 2.96 3.10 3.28 3.71
29 348 3.59 2.93 3.01 3.15 3.33 3.75
30 360 3.63 2.98 3.06 3.20 3.38 3.79

*Four quarters covering calendar year 2012 and the first and second quarters of calendar year 2013 prepared by Economic Policy (EP) using the Office of the Comptroller of the Currency (OCC) legacy model. Legacy model quarterly rates can be viewed within the “Selected Asset and Liability Price Report” under “Spot (Zero Coupon) Rates” on the following website: http://www.occ.gov/publications/publications-by-type/other-publications-reports/ots/ots-asset-liability-price-tables.html.

If you have any questions about these rates, please contact James Girola, Office of Economic Policy, at 202-622-1694.