(Per cent)

Term to
Maturity (in years)

2011

Jan.

Feb.

Mar.

Apr.

May

Jun.

Jul.

Aug.

Sep.

Oct.

Nov.

Dec.

1

2

3

4

5

6

7

8

9

10

11

12

1

7.5435

7.4488

7.4927

6.3112

8.3124

8.1875

8.3619

8.2283

8.2081

8.7114

8.7397

8.3720

2

7.8908

7.6298

7.5488

6.9231

8.3554

8.2298

8.3799

8.2650

8.2437

8.7469

8.7059

8.3161

3

8.0996

7.8139

7.6787

7.5350

8.3985

8.2722

8.3979

8.2696

8.2793

8.7823

8.6722

8.2603

4

8.1104

7.9980

7.8747

8.1469

8.4415

8.3146

8.4148

8.2873

8.3129

8.8178

8.6781

8.3743

5

8.1212

8.0602

7.9287

8.2318

8.4771

8.3496

8.4342

8.3329

8.3622

8.8603

8.7123

8.4656

6

8.1320

8.0694

7.9465

8.2385

8.4780

8.3580

8.4678

8.3445

8.4109

8.8810

8.7341

8.4918

7

8.1679

8.0929

7.9574

8.1690

8.4780

8.3625

8.5251

8.4124

8.3962

8.8635

8.7439

8.5120

8

8.1670

8.1187

7.9681

8.1525

8.4513

8.3532

8.6566

8.5700

8.4073

8.8650

8.7485

8.5300

9

8.1496

8.1095

7.9787

8.1359

8.4246

8.3440

8.5576

8.4262

8.3942

8.8666

8.7531

8.5479

10

8.1505

8.0983

8.0223

8.1267

8.4123

8.3518

8.4792

8.3543

8.3975

8.8849

8.7594

8.5459

11

8.1577

8.1338

8.0692

8.2552

8.4895

8.4205

8.5397

8.4259

8.4295

8.9145

8.7929

8.5142

12

8.1756

8.1897

8.1168

8.3151

8.5213

8.4566

8.5672

8.4559

8.4716

8.9260

8.8298

8.6100

13

8.2127

8.2613

8.1649

8.3510

8.5439

8.4897

8.5891

8.4839

8.5138

8.9375

8.8677

8.7018

14

8.2498

8.3329

8.2130

8.3870

8.5665

8.5227

8.6109

8.5118

8.5559

8.9490

8.9279

8.7660

15

8.2869

8.4045

8.2610

8.4230

8.5890

8.5557

8.6328

8.5398

8.5980

8.9605

8.9882

8.8302

16

8.3240

8.4761

8.3091

8.4590

8.6116

8.5887

8.6547

8.5708

8.6389

8.9708

9.0386

8.8678

17

8.3612

8.5095

8.3266

8.4950

8.6182

8.5943

8.6625

8.6379

8.6252

8.9707

9.0478

8.8353

18

8.3983

8.5134

8.3285

–

8.6215

8.5972

8.6678

–

8.6114

8.9707

9.0570

8.8028

19

8.4354

8.5173

8.3305

–

8.6248

8.6002

8.6731

–

8.5976

8.9707

9.0663

8.7727

20

8.4725

8.5212

8.3324

–

8.6282

8.6031

8.6784

–

8.5838

8.9707

9.0755

8.7749

21

8.5096

8.5251

8.3343

–

8.6315

8.6060

8.6837

–

8.5726

8.9707

9.0847

8.7770

22

8.5164

8.5284

8.3363

–

8.6348

–

8.6890

–

8.5749

8.9706

9.0939

8.7791

23

8.5220

8.5318

8.3382

–

8.6382

–

8.6944

–

8.5771

8.9706

9.1031

8.7813

24

8.5276

8.5351

8.3402

–

8.6415

–

8.6997

–

8.5794

8.9706

9.1123

8.7834

25

8.5333

8.5384

8.3421

–

8.6448

–

8.7050

–

8.5816

8.9706

9.1216

8.7856

26

8.5389

8.5418

8.3456

–

8.6481

–

8.7103

–

8.5839

8.9706

9.1308

8.7877

27

8.5445

8.5451

8.3493

–

8.6515

–

8.7156

–

8.5861

8.9705

9.1400

8.7898

28

8.5501

8.5485

8.3531

–

8.6548

–

8.7209

–

8.5884

8.9705

9.1492

8.7920

29

8.5557

8.5518

8.3568

–

8.6581

–

8.7262

–

8.5907

8.9705

9.1584

8.8036

30

8.5613

8.5551

8.3606

–

8.6614

–

–

–

–

–

–

8.8249