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March 19, 2002 Appendix 1: Materials used by Mr. Kos Page 107 of 117 Page 1 Current Deposit Rates and Rates Page 108 of 117 March 19, 2002 Implied by Traded Forward Rate Agreements January 2, 2002 to March 15, 2002 United States Euro-area Japan Percent LIBOR Fixing 3M Forward 9M Forward Percent United States and Euro-area 4.5 4.5 Chairman Greenspan’s speech to the House 2/27 FOMC No change 1/30 4.0 4.0 3.5 3.5 3.0 3.0 Chairman Greenspan’s speech to the Senate 3/7 2.5 2.5 2.0 2.0 Source: Bloomberg 1.5 1.5 1/2 1/11 1/20 1/29 Percent 2/7 2/16 2/25 3/6 Percent Japan 0.20 3/15 0.20 BOJ expands collateral 1/16 0.15 0.15 0.10 0.10 0.05 0.00 Short selling rule change 2/27 Source: Bloomberg 1/2 1/11 1/20 1/29 2/7 2/16 2/25 0.05 BOJ Policy Board Meeting 2/28 3/6 0.00 3/15 Page 2 March 19, 2002 Fed Funds and Treasury Coupon YieldsPage 109 of 117 January 2, 2002 to March 15, 2002 Percent 6 Percent 6 30-year 5 5 10-year FOMC No change 1/30 4 2-year 4 Chairman Greenspan’s speech to the Senate 3/7 3 2 Source: Bloomberg 1 1/2 3 2 Fed funds target rate 1 1/11 1/20 1/29 2/7 2/16 2/25 3/6 3/15 10-Year Industrial Corporate Debt Spreads to AAA January 2, 2002 - March 15, 2002 Basis Points Basis Points 150 150 BBB - AAA Spread 120 120 90 60 A - AAA Spread 30 90 Chairman Greenspan’s speech to the Senate 3/7 60 30 FOMC No change 1/30 0 1/2 1/11 1/20 1/29 0 2/7 2/16 2/25 3/6 3/15 Emerging Market and U.S. High Yield Spreads Basis Points January 2, 2002 to March 15, 2002 Basis Points 750 750 Merrill Lynch HighYield Spread 730 Chairman Greenspan’s speech to the Senate 3/7 710 JP Morgan EMBI+ Sovereign Spread 690 730 710 690 670 670 650 650 630 610 Source: Bloomberg, JP Morgan Chase FOMC No change 1/30 630 610 590 590 1/2 1/11 1/20 1/29 2/7 2/16 2/25 3/6 3/15 Page 3 March 19, 2002 Page 110 of 117 S&P 100 Volatility Index (VIX) Percent January 2, 2002 to March 15, 2002 Percent 30 30 28 28 26 26 24 24 22 22 Source: Bloomberg 20 1/2 1/11 20 1/20 1/29 2/7 2/16 2/25 3/6 3/15 Eurodollar Deposit Futures Implied Volatility (rolling 2nd contract) Percent January 2, 2002 to March 15, 2002 Percent 45 45 40 40 35 35 30 30 Source: Bloomberg 25 1/2 1/11 25 1/20 1/29 2/7 2/16 2/25 3/6 3/15 1-Month and 1-Year Euro-Dollar Exchange Rate Option Implied Volatility January 2, 2002 to March 15, 2002 Percent Percent 12 12 11 11 1-Year 10 10 9 9 1-Month 8 8 Source: Bloomberg 7 7 1/2 1/11 1/20 1/29 2/7 2/16 2/25 3/6 3/15 Page 4 March 19, 2002 Page 111 of 117 Nikkei Stock Index January 2, 2002 to March 15, 2002 Index: 1/2/02=100 112 Index: 1/2/02=100 112 Feb. 27: Short Selling Rule Change 106 106 Feb. 28: BOJ Policy Board Meeting. Reserve target unchanged 100 100 94 94 88 88 Source: Bloomberg 82 82 1/2 1/11 1/20 1/29 2/7 2/16 2/25 3/6 3/15 10-Year JGB Yields Percent January 2, 2002 to March 15, 2002 Percent 1.65 1.65 Feb. 27: Short Selling Rule Change 1.55 1.55 1.45 Source: Bloomberg 1.35 1/2 1/11 1.45 Feb. 28: BOJ Policy Board Meeting. Reserve target unchanged. 1/20 1/29 2/7 2/16 1.35 2/25 3/6 3/15 Dollar Yen Exchange Rate Yen per Dollar January 2, 2002 to March 15, 2002 Yen per Dollar 135.0 135.0 132.5 132.5 Feb. 27: Short Selling Rule Change 130.0 130.0 Feb. 28: BOJ Policy Board Meeting. Reserve target unchanged. 127.5 127.5 Source: Bloomberg 125.0 1/2 1/11 125.0 1/20 1/29 2/7 2/16 2/25 3/6 3/15 Page 5 Currency (M1 component) Monthly Growth Rates, saar Percent March 19, 2002 Page 112 of 117 March 2001 to May 2002 20 20 18 18 16 16 14 14 Dashed blue lines indicate a forecast 12 12 10 10 8 8 6 6 Average annual growth rate from 1994-2000 4 Mar Apr May Jun Jul Aug Sep Oct Nov 4 Dec Jan 2001 Feb Mar Apr May 2002 Domestic Financial Assets Held by the Federal Reserve Billions of dollars, maintenance period averages March 2001 to May 2002 630 630 610 610 SOMA + All RPs 590 590 SOMA 570 570 550 550 Dashed lines indicate a forecast 2001 2002 15-May 17-Apr 20-Mar 20-Feb 23-Jan 26-Dec 28-Nov 31-Oct 3-Oct 5-Sep 8-Aug 11-Jul 13-Jun 16-May 18-Apr 530 21-Mar 530 March 19, 2002 Appendix 2: Materials used by Mr. Reinhart Page 113 of 117 March 19, 2002 Page 114 of 117 March 19, 2002 Page 115 of 117 March 19, 2002 Page 116 of 117 March 19, 2002 Page 117 of 117
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