(Per cent)

Term to
Maturity
(in years)

2002

2003

Jun.

Jul.

Aug.

Sep.

Oct.

Nov.

Dec.

Jan.

Feb.

Mar.

Apr.

May

1

2

3

4

5

6

7

8

9

10

11

12

13

1

6.2956

6.2149

5.9593

5.8572

5.7670

5.5128

5.6200

5.7205

5.8786

5.6192

4.9818

5.1133

2

6.5471

6.3449

6.0937

5.9803

5.8310

5.5888

5.6220

5.8308

5.9814

5.7348

5.1100

5.2457

3

6.6358

6.3680

6.1983

6.1035

5.9174

5.6849

5.6585

5.8751

6.0965

5.9434

5.3307

5.2937

4

6.8168

6.5182

6.2614

6.2266

6.0654

5.8286

5.6949

5.9809

5.9422

5.9290

5.4211

5.3348

5

7.0366

6.6733

6.4472

6.3709

6.2123

5.9744

5.7350

6.0868

5.9722

5.9129

5.5364

5.3575

6

7.3288

6.8284

6.6154

6.5656

6.4014

6.1150

5.8130

6.2307

6.2173

6.1641

5.7430

5.4537

7

7.2178

6.9775

6.7752

6.7810

6.5923

6.1586

5.8772

6.2958

6.1497

6.1868

5.8950

5.5930

8

7.3344

7.1355

6.9401

6.9525

6.7489

6.2701

5.9699

6.3312

6.2807

6.2470

5.9623

5.7130

9

7.6228

7.3200

7.1165

7.1423

6.9241

6.4672

6.0806

6.3341

6.2835

6.1924

5.9884

5.7682

10

7.5701

7.3733

7.1560

7.1976

6.9791

6.4573

6.0818

6.3390

6.2321

6.1936

5.9053

5.8479

11

7.6259

7.4316

7.2499

7.2645

7.0335

6.5705

6.1888

6.3879

6.3388

6.2713

5.9838

5.8711

12

7.8526

7.6007

7.3662

7.4753

7.0894

6.6403

6.3086

6.4341

6.4622

6.3622

6.0793

5.9148

13

7.9772

7.6046

7.4352

7.3963

7.1518

6.7054

6.1890

6.4697

6.5401

6.4444

6.1483

5.9562

14

7.8970

7.6173

7.4123

7.4134

7.2324

6.7424

6.2549

6.4812

6.5580

6.5133

6.1879

5.9884

15

7.7558

7.6746

7.5151

7.4627

7.2990

6.8702

6.3037

6.5284

6.6529

6.5970

6.2320

6.0129

16

7.8611

7.7261

7.6018

7.6586

7.3605

6.9453

6.3574

6.5723

6.6870

6.6987

6.2861

5.0454

17

7.9663

7.7776

7.6245

7.6877

7.3911

6.9731

6.4428

6.5810

6.6726

6.8167

6.3401

6.0779

18

8.0715

7.8291

7.7515

7.7168

7.4217

7.0253

6.4544

6.5512

6.6191

6.7796

6.3942

6.1104

19

8.1710

7.8758

7.6871

7.7458

7.4383

7.0270

6.4302

6.6441

6.7031

6.6852

6.3446

6.1390

20

8.2017

7.8990

7.6857

7.7744

7.4533

7.0278

6.4519

6.7012

6.7689

6.6996

6.3462

6.0917

21

8.2204

7.9222

7.7238

7.8029

7.4891

7.0710

6.4836

6.7198

6.8172

6.7179

6.3503

6.1045

22

8.2390

7.9454

7.7618

7.8315

7.5249

7.1141

6.5153

6.7383

6.8654

6.7361

6.3544

6.1172

23

8.2577

7.9686

7.7999

7.8601

7.5607

7.1573

6.5470

6.7569

6.9137

6.7544

6.3585

6.1300

24

8.2764

7.9918

7.8379

7.8878

7.5928

7.1910

6.5699

6.7729

6.9349

6.7695

6.3626

6.1428

25

—

—

7.8515

7.8970

7.6025

7.1903

6.5727

6.7849

6.9247

6.7822

6.3667

6.1555

26

—

—

7.8643

7.9062

7.6122

7.1896

6.5755

6.7970

6.9145

6.7949

6.3709

6.1683

27

—

—

7.8771

7.9154

7.6219

7.1889

6.5783

6.8090

6.9043

6.8076

6.3750

6.1811

28

—

—

7.8899

7.9246

7.6315

7.1883

6.5811

6.8210

6.8941

6.8202

6.3791

6.1938

29

—

—

7.9027

7.9338

7.6412

7.1876

6.5839

6.8331

6.8839

6.8329

6.3832

6.2066

30

—

—

7.9155

7.9430

7.6509

7.1869

6.5867

6.8451

6.8737

6.8456

6.3873

    6.2193

See ‘Notes on Tables’.