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August 10, 2004 Appendix 1: Materials used by Mr. Kos 91 of 103 August 10, 2004 92 of 103 Page 1 Current U.S. 3-Month Deposit Rates and Rates Implied by Traded Forward Rate Agreements May 6, 2004 - August 6, 2004 LIBOR Fixing 3M Forward 6M Forward Percent 3.50 5/7 April NFP +288K 6/15 Core May CPI +0.2% 6/4 May NFP +248K 9M Forward 7/2 June NFP +112K Percent 8/6 July NFP +32K 3.50 3.00 3.00 2.50 2.50 2.00 2.00 1.50 1.50 7/15 Core June CPI +0.1% 6/30 FOMC +25 bps 1.00 5/6 Percent 5/21 6/5 6/20 Yield on the 2-Year Treasury Note May 6, 2004 - August 6, 2004 7/5 7/20 Chairman’s Testimony 7/20 1.00 8/4 Yield on the 10-Year Treasury Note May 6, 2004 - August 6, 2004 Percent Percent Percent 3.0 3.0 5.0 2.8 2.8 4.8 4.8 2.6 2.6 4.6 4.6 2.4 4.4 4.4 2.2 4.2 4.2 2.4 6/30 FOMC +25 bps 7/20 Chairman’s Testimony 2.2 5/6 6/6 Basis Points 7/6 5/6 8/6 6/6 5.0 7/20 Chairman’s Testimony 6/30 FOMC +25 bps 7/6 8/6 Yield Spread between 2-and 10-Year Treasury Notes Basis Points May 6, 2004 - August 6, 2004 230 6/15 Core May CPI +0.2% 6/4 May NFP +248K 7/2 June NFP +112K 220 8/6 July 7/20 NFP +32K Chairman’s Testimony 230 220 210 210 200 200 190 190 180 5/7 April NFP +288K 170 5/6 6/30 FOMC +25 bps 5/21 6/5 6/20 180 7/15 Core June CPI +0.1% 7/5 170 7/20 8/4 August 10, 2004 93 of 103 Page 2 Mortgage Market Duration May 6, 2004 - August 6, 2004 Years 5.0 Years 6/30 FOMC +25 bps 4.7 4.4 Duration of 30-Year MBS Index 4.1 3.8 Source: Lehman Brothers 3.5 5/6 6/6 7/6 Basis Points 5.0 60 4.7 55 60 6/30 FOMC +25 bps 55 OAS of 30-Year MBS Index 50 4.1 45 45 3.8 40 40 3.5 35 5/6 102 35 6/6 7/6 8/6 High Yield and EMBI+ Spreads May 6, 2004 - August 6, 2004 Basis Points Basis Points 6/30 FOMC +25 bps 50 Source: Lehman Brothers Corporate Debt Spreads May 6, 2004 - August 6, 2004 105 Basis Points 4.4 8/6 Basis Points MBS Spreads May 6, 2004 - August 6, 2004 105 600 102 550 Basis Points 600 6/30 FOMC +25 bps 550 EMBI+ 99 96 Investment Grade Corporate Index OAS 93 Source: Lehman Brothers 90 5/6 6/6 7/6 99 500 96 450 93 400 90 350 500 Merrill Lynch High Yield Bond Index OAS 400 Source: Merrill Lynch, JP Morgan 5/6 8/6 6/6 350 7/6 Select Equity Indices Index: 100 = 5/6/04 450 8/6 Index: 100 =5/6/04 May 6, 2004 - August 6, 2004 106 106 NASDAQ 102 102 S&P 500 98 98 Dow Jones Industrials 94 94 6/30 FOMC +25 bps 90 5/6 5/21 6/5 6/20 90 7/5 7/20 8/4 August 10, 2004 94 of 103 Page 3 Current Euro-Area 3-Month Deposit Rates and Rates Implied by Traded Forward Rate Agreements May 6, 2004 - August 6, 2004 LIBOR Fixing 3M Forward 6M Forward Percent 9M Forward Percent 3.00 3.00 2.80 2.80 2.60 2.60 2.40 2.40 2.20 2.20 2.00 2.00 5/6 $/Euro 5/21 6/5 Euro-Dollar Exchange Rate May 6, 2004 - August 6, 2004 6/20 7/5 $/Euro Yen/$ 7/20 8/4 Dollar-Yen Exchange Rate May 6, 2004 - August 6, 2004 Yen/$ 1.25 1.25 115 115 1.23 1.23 113 113 1.21 1.21 111 111 1.19 1.19 109 109 1.17 107 1.17 5/6 6/6 7/6 10-Year Japanese Government Bond Yield May 6, 2004 - August 9, 2004 Percent 107 5/6 8/6 6/6 7/6 8/6 Japanese Equities Percent Index: Index: May 6, 2004 - August 9, 2004 100 = 5/6/04 100 =5/6/04 2.0 105 2.0 105 Topix 1.8 100 100 95 95 1.8 10-Year JGB 1.6 Topix Banks Sub-Index 1.6 90 1.4 1.4 5/6 6/6 7/6 8/6 90 85 85 5/6 6/6 7/6 8/6 August 10, 2004 95 of 103 Page 4 Implied Volatility on S&P500 Index January 4, 1999 - August 6, 2004 Percent Percent 50 50 40 40 VIX Index of Implied Volatility on S&P500 30 30 20 20 10 10 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Implied Volatility of Major Currency Pairs January 4, 1999 - August 6, 2004 Percent Percent 25 25 1-Month Implied Volatility in Dollar-Yen 20 20 1-Month Implied Volatility in Euro-Dollar 15 15 10 10 5 5 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Implied Swaption Volatility May 3, 1999 - August 6, 2004 Basis Points Basis Points 15 15 12 12 1-Month Volatility on 10-Year Swaption 9 9 6 6 1-Month Volatility on 2-Year Swaption 3 May-99 3 Nov-99 May-00 Nov-00 May-01 Nov-01 May-02 Nov-02 May-03 Nov-03 May-04 August 10, 2004 Appendix 2: Materials used by Mr. Gramlich 96 of 103 August 10, 2004 97 of 103 Figure 1 Output gap vs. real oil price 10 S Output gap (percent, nonfarm business, staff judgmental estimate) - - Composite refiner acquisition cost divided by GDP chain price index (2004q2 dollars per barrel) - 90 8 80 6 70 I 4 60 0 40 I -2 I ,- i S\ 30 I - 1 -6 10 1950 1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 August 10, 2004 Appendix 3: Materials used by Mr. Madigan 98 of 103 August 10, 2004 99 of 103 August 10, 2004 100 of 103 August 10, 2004 101 of 103 August 10, 2004 102 of 103 August 10, 2004 103 of 103
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