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11/6/01 100 APPENDIX Charts used by Mr. Kos. Page 1 Current Deposit Rates and Rates Implied by Traded Forward Rate Agreements August 1, 2001 to November 2, 2001 United States Euro-area Percent LIBOR Fixing 3M Forward 9M Forward Percent United States and Euro-area 5.0 5.0 FOMC Aug.21 -25 bp ECB Aug. 30 -25 bp FOMC and ECB Sep. 17 -50 bp Sep. 11 FOMC Oct. 2 -50 bp 4.5 4.5 4.0 4.0 3.5 3.5 3.0 3.0 2.5 2.5 Source: Bloomberg 2.0 8/1 8/15 2.0 8/29 9/12 9/26 10/10 10/24 Japanese Yield Curve Percent 2.50 February 28, 2001, August 14, 2001 and November 5, 2001 Percent 2.50 Source: Bloomberg 2.00 2.00 2/28/2001 1.50 1.50 11/05/01 1.00 1.00 8/14/2001 0.50 0.50 0.00 3 mos 0.00 1 yr 2 yr 3 yr 7 yr 10 yr 20 yr 30 yr Page 2 5-Year Japanese Government Bond Yield and Swap Rate Percent 1.50 January 3, 2000 - November 2, 2001 1.25 Percent 1.50 1.25 5-Year Swap Rate 1.00 1.00 5-Year JGB Yield 0.75 0.75 0.50 0.50 0.25 0.25 Source: Bloomberg 0.00 Jan-00 Apr-00 0.00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 10-Year Japanese Government Bond Yield and Swap Rate Percent 2.50 January 3, 2000 - November 2, 2001 2.25 Percent 2.50 2.25 10-Year Swap Rate 2.00 2.00 1.75 1.75 1.50 1.25 1.00 1.50 10-Year JGB Yield 1.25 Source: Bloomberg Jan-00 Apr-00 Index 1.00 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Index Topix Composite and Topix Bank Sub-Index January 3, 2000 - November 2, 2001 01/03/00 = 100 110 01/03/00 = 100 110 Topix Bank Sub-Index 100 100 90 Topix Composite Index 90 80 80 70 70 60 60 50 Source: Bloomberg Jan-00 Apr-00 50 Jul-00 Oct-00 Jan-01 Apr-01 Jul-01 Oct-01 Page 3 Foreign Currency Per Dollar Index 08/01 = 100 Index 08/01 = 100 August 1, 2001 to November 2, 2001 105 105 Sep. 11 dollar appreciation Japanese Yen 100 100 Euro 95 95 dollar depreciation Swiss Franc Source: Bloomberg 90 8/1 8/15 8/29 9/12 9/26 90 10/10 10/24 1-Month Option Implied Volatility for G-3 Currency Pairs Percent August 1, 2001 to November 2, 2001 16 Percent 16 Sep. 11 euro-yen euro-dollar 14 14 12 12 10 10 8 8 dollar-yen Source: JP Morgan Chase 6 8/1 8/15 6 8/29 9/12 9/26 10/10 10/24 1-Month Risk Reversals for G-3 Currency Pairs Percent August 1, 2001 to November 2, 2001 3 euro-dollar 3 euro-yen Sep. 11 (+) = USD puts favored (--) = USD calls favored 2 Percent (+) = Euro calls favored (--) = Euro puts favored 2 1 1 0 0 -1 -1 dollar-yen -2 (+) = USD calls favored (--) = USD puts favored Source: JP Morgan Chase -3 8/1 8/15 8/29 9/12 9/26 10/10 10/24 -2 -3 Page 4 Major Global Equity Indices Index 9/10 = 100 Index 9/10 = 100 August 1, 2001 to November 2, 2001 Re-indexed from September 10, 2001 130 130 Nasdaq 120 DAX 120 Topix 110 110 S&P 500 100 100 FTSE TSE 300 90 Source: Bloomberg 80 8/1 8/15 CAC Sep. 10 closing levels 8/29 80 9/12 9/26 10/10 10/24 Major Emerging Market Equity Indices Index 9/10 = 100 90 Index 9/10 = 100 August 1, 2001 to November 2, 2001 Re-indexed from September 10, 2001 120 Sep. 17 central bank rate cuts 110 120 Hang Seng Bovespa Mexican Bolsa 100 110 100 90 90 80 Source: Bloomberg 70 8/1 8/15 8/29 80 Singapore Sep. 10 closing levels Merval 70 9/12 9/26 10/10 10/24 S&P 100 Volatility Index (VIX) Percent August 1, 2001 to November 2, 2001 Percent 50 50 40 40 30 30 Source: Bloomberg 20 8/1 8/15 20 8/29 9/12 9/26 10/10 10/24 Page 5 Emerging Market and U.S. High Yield Spreads Basis Points 1200 August 1, 2001 to November 2, 2001 JP Morgan EMBI+ Sovereign Spread Basis Points 1200 Sep. 11 1050 1050 900 900 750 750 Merrill Lynch High-Yield Spread Source: Bloomberg, JP Morgan Chase 600 8/1 8/15 8/29 9/12 9/26 10/10 600 10/24 10-Year U.S. Investment Grade Credit Spreads Basis Points August 1, 2001 to November 2, 2001 170 A2 Industrial Corporates 150 Basis Points 170 Sep. 11 150 130 130 110 110 Swap 90 Fannie Mae 6 %, 5/15/11 70 90 70 Source: Bloomberg 50 8/1 8/15 50 8/29 9/12 9/26 10/10 10/24 Implied Volatility for Options on Eurodollar Futures Contracts August 1 2001 to November 2, 2001 Percent 40 Percent 40 Sep. 11 35 35 Dec. 2001 Eurodollar Futures 30 30 25 25 20 20 15 Source: Bloomberg 8/1 8/15 15 8/29 9/12 9/26 10/10 10/24 Page 6 U.S. Treasury Coupon Yields Percent August 1, 2001 to November 2, 2001 6.00 FOMC Oct. 2 -50 bp Sep. 11 FOMC Aug.21 -25 bp Percent 5.00 30-year 5.00 10-year FOMC Sep. 17 -50 bp 4.00 5-year 4.00 2-year 3.00 2.00 6.00 Refunding Announcement Oct. 31 Fed Funds Target Source: Bloomberg 8/1 3.00 2.00 8/15 8/29 9/12 9/26 10/10 10/24 U.S. Benchmark Yield Curves September 10, 2001 versus November 02, 2001 Percent 7.5 7.0 6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 Percent 9/10/01 A2 Industrial Corporates Fannie Mae Swap Treasuries Source: Bloomberg 2 5 10 30 7.5 7.0 6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 Percent 7.5 7.0 6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 Percent 11/02/01 A2 Industrial Corporates Fannie Mae Swap Treasuries Source: Bloomberg 2 5 10 30 7.5 7.0 6.5 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 2.0 Page 7 Commercial Paper Spreads August through February, 1997 - 1998, 2000 - 2001, 2001 - 2002 Basis points Basis Points 30-Day A2/P2 - A1/P1 Spreads 140 140 2001 - 2002 Basis points Basis Points 90-Day A2/P2 - A1/P1 Spreads 120 140 140 Year-End 2001 - 2002 120 Year-End 120 120 2000 - 2001 2000 - 2001 100 100 100 100 1997 - 1998 1997 - 1998 80 80 80 80 60 60 60 60 40 40 40 40 20 20 20 20 0 0 0 Source: Bloomberg Source: Bloomberg 0 8/2 8/23 9/13 10/4 10/25 11/15 12/6 12/27 1/17 2/7 2/28 8/2 8/23 9/13 10/4 10/25 11/15 12/6 12/27 1/17 2/7 2/28 90-Day A1/P1 - 3 Month Treasury Bill Spreads 90-Day A2/P2 - 3 Month Treasury Bill Spreads 220 220 190 2001 - 2002 220 Year-End 2001 - 2002 220 Year-End 190 190 160 160 130 130 130 130 100 100 100 100 70 70 70 70 40 40 40 40 10 10 10 10 -20 -20 160 2000 - 2001 1997 - 1998 -20 -50 Source: Bloomberg 8/2 8/23 9/13 10/4 10/25 11/15 12/6 12/27 1/17 2/7 2/28 -50 -50 2000 - 2001 1997 - 1998 190 160 -20 Source: Bloomberg 8/2 8/23 9/13 10/4 10/25 11/15 12/6 12/27 1/17 2/7 2/28 -50 Page 8 General Collateral Repo Rate, On-the-Run Treasury Specials Rate and Primary Dealer Fails to Deliver January 1, 2001 to November 2, 2001 1 Percent 7 $ Billions 5 Year On-the-Run Treasury Source: Govpx, FR2004 Sep. 11 6 70 60 5 50 GC Rate (LHS) 4 40 3 30 2 20 5 Year Specials Rate (LHS) 1 10 5 Year Fails (RHS) 0 Jan-01 Mar-01 Percent 7 May-01 Jul-01 Sep-01 $ Billions 10 Year On-the-Run Treasury Source: Govpx, FR2004 0 Nov-01 Sep. 11 6 70 60 10 Year Specials Rate (LHS) 5 50 GC Rate (LHS) 4 40 3 30 2 20 10 Year Fails (RHS) 1 0 Jan-01 Mar-01 10 May-01 Jul-01 Sep-01 Between Sept. 12 and Sept. 17, there was no specials market trading activity. Under an informal market agreement, all Treasuries traded at the general collateral rate to facilitate settlement and the squaring of positions. 1 0 Nov-01
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