The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
Presentation Materials (357 KB PDF) Pages 88 to 92 of Transcript Appendix 1: Materials used by Mr. Kos Page 1 Top panel Title: Current Deposit Rates and Rates Implied by Traded Forward Rate Agreements Series: U.S. and Euro-area LIBOR fixing; U.S. and Euro-area 3-month forward rate agreement; U.S. and Euro-area 9-month forward rate agreement Horizon: April 1, 2002 - August 9, 2002 Description: U.S. and Euro-area rates decline over the period. Source: Bloomberg Bottom panel Title: Current Deposit Rates and Rates Implied by Traded Forward Rate Agreements Series: Japanese LIBOR Fixing; Japanese 3-month forward rate agreement; Japanese 9-month forward rate agreement Horizon: April 1, 2002 - August 9, 2002 Description: Japanese LIBOR and 3-month forward rate agreements steady, 9-month forward agreement rate declines modestly. Source: Bloomberg Page 2 Top panel Title: Weekly Investment-Grade Corporate Bond Issuance Series: Investment-grade corporate bond issuance as reported by International Financing Review. Horizon: 2001 and 2002 year-to-date Description: Recent bond issuance lower than 2001 levels. Source: International Financing Review Middle panel Title: Investment-Grade Spreads over Treasuries Series: The Lehman Index option-adjusted spread Horizon: April 1, 2002 - August 9, 2002 Description: The investment-grade spread over Treasuries widened significantly from June to August, 2002. The Lehman Index Option-Adjusted Spread did not exceed 150 basis points until 1999 and did not exceed 200 basis points until 2002. Source: Lehman Brothers Bottom-left panel Title: Corporate Debt: Spreads over Treasuries Series: Ford Motor Credit Co. 7.25% 10/25/11 spread to 10-year U.S. Treasury; GMAC 7.2% 1/15/11 spread over 10-year U.S. Treasury Horizon: July 23, 2002 - August 9, 2002 Description: Spread on Ford Motor Credit and GMAC securities shown widened over the period. Source: Lehman Brothers Bottom-right panel Title: Corporate Debt: Corporate Debt Bid/Ask Spreads Series: Ford Motor Credit Co. 7.25% 10/25/11 bid/ask spread; GMAC 7.2% 1/15/11 bid/ask spread Horizon: July 23, 2002 - August 9, 2002 Description: The bid/ask spread of the Ford Motor Credit and GMAC securities shown widened over the period. Source: Lehman Brothers Page 3 Top panel Title: Implied Volatility on the S&P 100 (VIX Index) Series: The VIX Index Horizon: April 1, 2002 - August 9, 2002 Description: Implied volatility on the S&P 100 increased over the period. Source: Bloomberg Middle panel Title: Short- and Intermediate Swaption Volatility Index Series: Lehman Brothers short- and intermediate swaption volatility index Horizon: April 1, 2002 - August 9, 2002 Description: Short- and intermediate swaption volatility increased of the period. Source: Lehman Brothers Bottom panel Title: G-3 Currency 1-Month Option-Implied Volatility Series: Dollar-yen, euro-dollar, and euro-yen 1-month option-implied volatility Horizon: April 1, 2002 - August 9, 2002 Description: Volatility implied by 1-month options on dollar-yen, euro-dollar, and euro-yen currency pairs decline following a rise in June and early July. Source: UBS Warburg Page 4 Top panel Title: U.S. Dollar v. Currencies Series: U.S. dollar appreciation or depreciation against the Japanese yen, Canadian dollar, Australian dollar, euro-dollar, and Swiss franc. Horizon: April 1, 2002 - August 9, 2002 Description: The U.S. dollar appreciated against the Australian dollar and Canadian dollar, but depreciated against the Swiss franc, euro-dollar, and Japanese yen. Source: Bloomberg Middle panel Title: Global Equities Series: The Nikkei index, S&P 500 index, DAX index, CAC index, and TSX index. Horizon: April 1, 2002 - August 9, 2002 Description: Major global equity indices declined over the period. Source: Bloomberg Bottom panel Title: Global Government Yield Curves (10-year minus 2-year) Series: U.S., Canadian, U.K., German, and Japanese yield curve spreads. Horizon: April 1, 2002 - August 9, 2002 Description: U.S., Canadian, and U.K. yield curves steepened, while the German and Japanese yield curves were little changed. Source: Bloomberg Return to top Home | Monetary policy | FOMC | FOMC transcripts Accessibility | Contact Us Last update: October 24, 2008
@FedFRASER