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Presentation Materials (449 KB PDF) APPENDIX Charts 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, 3M forward, and 9M forward rates Horizon: September 3, 2001 through December 7, 2001 Description: U.S. and Euro-area forward rates declined modestly until they began to pick back up in early November 2001. Bottom panel Title: Continuation of Top Panel Series: Japan Libor fixing, 3M forward, and 9M forward rates Horizon: September 3, 2001 through December 7, 2001 Description: Japan forward rates rose steadily over the period shown. Page 2 Top left panel Title: Treasury Coupon Yields Series: Target federal funds rate and yield on benchmark 2-year U.S. Treasury security, 5-year, 10year, and 30-year U.S. Treasury securities Horizon: September 3, 2001 through December 7, 2001 Description: The 2-year Treasury was declining in sync with the target federal funds rate until early November 2001 when the target federal funds rate remained steady and the 2-year sharply increased. Top right panel Title: Treasury Coupon Yields Series: Yields on benchmark 10- year and 30-year U.S. Treasury securities Horizon: September 3, 2001 through December 7, 2001 Description: The 10-year and 30-year Treasury yields were declining over the over period shown until early November 2001 when they both sharply increased. Bottom panel Title: 2-Year Treasury Volatility1 vs. Fed Funds Target Rate Series: Target federal funds rate (RHS) and 2-year Treasury volatility (LHS) Horizon: February 1988 through December 2001 Description: Movements in the 2-year Treasury, in general, were in sync with the target federal funds rate over the period until mid 2001 when the target federal funds rate was decreasing and the 2-year Treasury yield was increasing. 1. 60-day moving average of daily basis point changes (absolute values) of the on-the-run 2 year note yield. Return to text Page 3 Top panel Title: Outstanding Agency-Guaranteed Mortgage-Backed Securities and Outstanding Publicly Held Marketable Treasury Debt Series: Outstanding publicly held marketable Treasury debt and outstanding agency-guaranteed mortgage-backed securities* Horizon: May 1997 through October 2001 Description: Outstanding publicly held marketable Treasury debt has steadily declined since May 1997 while outstanding agency-guaranteed mortgage-backed securities has steadily increased, bringing the two measures to similar levels in October 2001. * Includes only pass-through certificates. Return to text Source: Lehman Brothers and Bureau of the Public Debt Bottom panel Title: 10-Year Treasury Yield and Duration of the MBS Market Series: 10-year Treasury note yield (LHS) and option-adjusted duration* (RHS) Horizon: September 4, 2001 through December 7, 2001 Description: The 10-year Treasury note yield and option-adjusted duration have reacted closely together over the period shown and both increased dramatically since early November 2001. * The price/yield sensitivity of the entire MBS forward trading (TBA) market derived from Goldman Sachs' option-adjusted spread pricing models. Return to text Source: Goldman Sachs and Bloomberg Page 4 Top panel Title: 10-Year Industrial Corporate Debt Spreads to AAA Series: BBB -- AAA spread and A -- AAA spread Horizon: September 4, 2001 through December 7, 2001 Description: Over the period shown, the A -- AAA spread remained relatively level while the BBB -- AAA spread widened significantly. Bottom left panel Title: Commercial Paper Spreads Series: 30-day A2/P2 -- A1/P1 spreads Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002 Description: 30-day commercial paper spreads have widened, reaching levels above those seen in 1997-1998. Bottom right panel Title: Commercial Paper Spreads Series: 90-day A2/P2 -- A1/P1 spreads Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002 Description: 90-day commercial paper spreads have widened, reaching levels above those seen in 1997-1998. Page 5 Top panel Title: Yen per Dollar Series: Yen currency performance in yen/dollar Horizon: September 3, 2001 through December 7, 2001 Description: The yen continually depreciated against the dollar over the course of the period shown. Middle panel Title: 10-Year Japanese Government Bond Yield Series: 10-year Japanese government bond yield Horizon: September 3, 2001 through December 7, 2001 Description: The 10-year Japanese government bond yield declined over the third quarter of 2001 until it picked back up in early November 2001 and has since returned similar levels seen in early September 2001. Bottom panel Title: Topix and Topix Bank Sub-Index Series: Topix index (LHS) and Topix bank sub-index (RHS) Horizon: September 3, 2001 through December 7, 2001 Description: Both indices declined continually over the period shown with significant declines in late 2001 coming after downgrades by S&P and Moody's (both labeled with tripwires). Return to top Home | Monetary policy | FOMC | FOMC transcripts Accessibility | Contact Us Last update: October 24, 2008
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