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August 13, 2002

Appendix 1: Materials used by Mr. Kos

88 of 92

Current Deposit Rates and Rates
August 13, 2002
Implied by Traded Forward Rate Agreements

Page 1
89 of 92

April 01, 2002 - August 9, 2002
LIBOR Fixing 3M Forward 9M Forward
U.S.
Euro-Area
Japan
Percent

Percent

United States and Euro-area

5.0

5/07
FOMC

7/25
June
Durable
Goods

6/26
FOMC

4.5

7/31
Q2 GDP

5.0

4.5

4.0

4.0

3.5

3.5

3.0

3.0

2.5

2.5

2.0

2.0
Source: Bloomberg

1.5

1.5
4/1

4/15

4/29

5/13

Percent

5/27

6/10

6/24

7/8

7/22

8/5

Japan

0.20

Percent
0.20

0.15

0.15

0.10

0.10

0.05

0.05

0.00

Source: Bloomberg

4/1

4/15

0.00
4/29

5/13

5/27

6/10

6/24

7/8

7/22

8/5

Page 2
August 13, 2002

Weekly Investment-Grade Corporate Bond Issuance

USD Billions
30

90 of 92

2001 and 2002 Year-to-Date

USD Billions
30

Source: International Financing Review

2002 Issuance

25

25
2001 Issuance

20

20

15

15

10

10

5

5

0

0
1/5

1/19

2/2

2/16

3/2

3/16

3/30

4/13

4/27

5/11

5/25

6/8

6/22

7/6

7/20

8/3

Investment-Grade Spreads over Treasuries
April 01, 2002 - August 9, 2002

Basis Points
275

Basis Points
275

The Lehman Index Option-Adjusted
Spread did not exceed 150 basis points
until 1999 and did not exceed 200 basis
points until 2002.

250

250

225

225

200

200
Source: Lehman Bros.

175

4/1

175

4/15

4/29

5/13

5/27

6/10

6/24

7/8

7/22

8/5

Corporate Debt
Corporate Debt Bid/Ask Spreads
Spreads over Treasuries
July 23, 2002 - August 9, 2002
July 23, 2002 - August 9, 2002
Basis Points
Basis Points
Basis Points Basis Points
30
500
500 30
Source: Lehman Bros.

450
400
350

Ford Motor Credit Co.
7.25% 10/25/11

GMAC 7.2% 1/15/11

300
250
7/23 7/25 7/27 7/29 7/31 8/2 8/4 8/6 8/8

450
400
350
300
250

25
20

Ford Motor Credit Co.
7.25% 10/25/11

15
10
5
0

25
20
15

GMAC 7.2% 1/15/11
Source: Lehman Bros.

7/23 7/25 7/27 7/29 7/31 8/2 8/4 8/6 8/8

10
5
0

Page 3
August 13, 2002

Implied Volatility on the S&P 100 (VIX Index)

Percent
60
50
40

91 of 92

April 01, 2002 - August 9, 2002

Percent
60

Highest level in 1998:
Oct.8th, 48.56

50

Highest level in Sept 2001:
Sept.20th, 49.04

40

30

30

20

20
Source: Bloomberg

10
4/1

10

4/15

4/29

5/13

5/27

6/10

6/24

7/8

7/22

8/5

Short- and Intermediate Swaption Volatility Index
Percent
45

40
Short Swaption Volatility Index

Highest level in Sept - Dec 2001period:
Short-dated, Dec.19th, 36.5
Intermediate-dated, Nov.1st, 25.32

35
30
25

45

Highest level in 1998:
Short-dated, Nov.12th, 20.53
Intermediate-dated, Oct.9th, 28.95

40

Percent

April 01, 2002 - August 9, 2002

35
30
25

Intermediate Swaption Volatility Index

Source: Lehman Brothers

20
4/1

4/15

4/29

5/13

5/27

6/10

6/24

7/8

7/22

20

8/5

G-3 Currency 1-Month Option-Implied Volatility
Percent
13

Highest level in Oct 1998:
Oct.9th, 16.50
Oct.8th, 34.89
Oct.8th, 34.62

12
11

Percent

April 01, 2002 - August 9, 2002

13

Highest level in Sept 2001:
Sept.17th, 15.50
Sept.17th, 15.25
Sept.17th, 13.60

12
11
Euro-dollar

10

10

Dollar-Yen

9

9
Euro-Yen

8

Source: UBS Warburg

7

8
7

4/1

4/15

4/29

5/13

5/27

6/10

6/24

7/8

7/22

8/5

Page 4
August 13, 2002

92 of 92

U.S. Dollar v. Currencies

Index
100=4/1/02

Index
100=4/1/02

April 01, 2002 - August 9, 2002

105

105

USD Appreciation

Australian Dollar

100

100

Canadian Dollar

95

95
Japanese Yen

Swiss Franc

90

90
Euro
USD Depreciation

85
4/1

4/15

4/29

Source: Bloomberg

5/13

5/27

6/10

6/24

7/8

7/22

Global Equities

Index
100=4/1/02

Index
100=4/1/02

April 01, 2002 - August 9, 2002

110

85

8/5

110

Nikkei

TSX

100

100

90

90
S&P 500

80

80
DAX

70
60

70

CAC
Source: Bloomberg

4/1

4/15

60
4/29

5/13

5/27

6/10

6/24

7/8

7/22

8/5

Global Government Yield Curves (10-year minus 2-year)
Basis Points

April 01, 2002 - August 9, 2002

Basis Points

250

250
U.S.

200

200
Canadian

150

150

Japanese

100

100
German

50

50
U.K.

0

Source: Bloomberg

4/1

4/15

0
4/29

5/13

5/27

6/10

6/24

7/8

7/22

8/5