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102 5/15/01 APPENDIX Charts used by Mr. Kos. 3-Month Deposit Rates Page 1 January 1, 2001 - May 11, 2001 Current Deposit Rate and Rates Implied by Traded Forward Rate Agreements Percent 6.00 LIBOR Fixing United States Euro-area Japan Percent United States 5.75 9-Mo. Forward 3-Mo. Forward 6.00 Intermeeting -50 bps 4/18 FOMC -50 bps 3/20 FOMC -50 bps 1/31 5.75 5.50 5.50 5.25 5.25 5.00 5.00 4.75 4.75 4.50 4.50 Intermeeting -50 bps 1/3 4.25 4.00 5.50 5.25 4.25 4.00 Euro-area IFO 3/21 ECB No Action 4/11 ECB -25 bps 5/10 5.50 5.25 5.00 5.00 4.75 4.75 4.50 4.50 4.25 4.25 4.00 4.00 3.75 3.75 3.50 3.50 1.00 Japan BoJ -15 bps ODR 2/9 0.75 BoJ -10 bps ODR 2/28 1.00 BoJ Changes Operational Target 3/19 0.75 0.50 0.50 0.25 0.25 0.00 0.00 1/1 1/15 1/29 2/12 2/26 3/12 3/26 4/9 4/23 5/7 Page 2 U.S. Treasury Coupon Yields December 1, 2000 - May 11, 2001 Percent 7.00 Intermeeting 1/3 -50 bp 6.50 FOMC 1/31 -50 bp FOMC 3/20 -50 bp Percent 7.00 Intermeeting 4/18 -50 bp 6.50 Target Fed Funds Rate 6.00 6.00 30-Year Bond Yield 5.50 5.50 5.00 5.00 10-Year Note Yield 4.50 4.50 2-Year Note Yield 4.00 4.00 3.50 3.50 12/1/2000 1/1/2001 2/1/2001 3/1/2001 4/1/2001 5/1/2001 10-year minus 2-year Yield Curve Spreads December 1, 2000 - May 11, 2001 Basis Points 160 140 FOMC 1/3 Intermeeting 1/3-50 bp -50 bp FOMCFOMC 1/31 -50 bp 1/31 -50 bp FOMC 3/20 -50 bp Basis Points Intermeeting 4/18 -50 bp 30-Year Yield 120 US Treasury 100 10-Year Yield US Swap 80 60 Euro Swap 40 2-Year Yield 20 UK Swap 0 80 60 40 20 0 Canadian Government Bond -20 Sources: Bloomberg 140 120 100 12/1/2000 160 -20 1/1/2001 2/1/2001 3/1/2001 4/1/2001 5/1/2001 Page 3 30-year minus 2-year Treasury Yield Curve Spread January 6, 1989 - May 11, 2001 (Shaded Area Represents FOMC Easing Period) Basis Points Basis Points 400 400 350 350 300 300 250 250 200 200 150 150 100 100 50 50 0 0 1/01 1/00 1/99 1/98 1/97 1/96 1/95 1/94 1/93 1/92 -100 1/91 -100 1/90 -50 1/89 -50 10-year and 30-year Treasury Yields January 6, 1989 - May 11, 2001 (Shaded Area Represents FOMC Easing Period) Percent Percent 10.00 10.00 9.00 9.00 30-Year Bond Yield 8.00 8.00 7.00 7.00 6.00 6.00 5.00 5.00 10-Year Note Yield Sources: Bloomberg 1/01 1/00 1/99 1/98 1/97 1/96 1/95 1/94 1/93 1/92 1/91 1/90 4.00 1/89 4.00 Page 4 Domestic Credit Spreads to Comparable Treasuries July 1, 2000 - May 11, 2001 Basis points Basis Points 850 300 Merril Lynch High Yield (LHS) 800 750 250 200 A2 Industrial Corporates (RHS) 700 150 10-Year US Interest Rate Swaps (RHS) 650 100 600 50 10-Year Fannie Mae Benchmark (RHS) 550 7/00 0 8/00 9/00 10/00 11/00 12/00 1/01 2/01 3/01 4/01 Commercial Paper (A1/P1 vs. A2/P2) July 1, 2000 - May 11, 2001 Basis Points 130 5/01 Basis Points 130 Year End 30-Day 110 110 90 90 70 70 50 50 90-Day 30 30 10 7/00 10 8/00 9/00 10/00 11/00 12/00 1/01 2/01 3/01 4/01 5/01 Page 5 Total Individual and Federal Tax Deposits April - May Levels and Percent Growth over Prior Year $ Billions 550 8.4% 14.0% 450 7.1% 10.3% 350 250 150 Actual 1998 Actual 1999 Actual Treasury Balances $ Billions NY Estimate 2001 Reflecting actual data through 5/11/01 April 2 to May 11 2001 100 90 Actual 2000 TT&L Capacity (Including Special Direct Investment) 80 70 60 General Balance (Fed plus TT&L) 50 40 30 20 Fed Balance 10 0 4/2 4/5 4/8 4/11 4/14 4/17 4/20 4/23 4/26 4/29 5/2 5/5 5/8 5/11 Page 6 Total Outright Purchases $ billions 80 70 FOMC 1/3 Net Portfolio Expansion -50 bp $ billions 80 FOMC 1/31 Purchases to Offset Redemptions -50 bp 30-Year Yield 60 70 60 50 10-Year Yield 50 40 40 30 30 2-Year Yield 20 20 10 10 0 0 1996 1997 1998 1999 2000 2001* (Forecast) Number of Outright Market Operations 80 80 70 70 60 60 50 50 40 40 30 30 20 20 10 10 0 0 1996 1997 1998 1999 2000 2001* (Forecast) * The projected purchases, redemptions and net expansion in the SOMA in 2001 assume: (1) 5 percent currency expansion (saar) over the second half of the year; (2) no change in outstanding long-term RPs from their current $12 billion level, except for a temporary increase to meet any seasonal increase in currency ahead of the year-end; and (3) no changes in the maturity distribution of new Treasury security issuance and in the Desk’s purchases. Actual purchases in 2001 through May 14 have totaled $28 billion, and redemptions have totaled $12 billion.
@FedFRASER