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September 21, 2004 Appendix 1: Materials used by Mr. Kos 90 of 100 September 21, 2004 91 of 100 Page 1 Current U.S. 3-Month Deposit Rates and Rates Implied by Traded Forward Rate Agreements June 14, 2004 – September 17, 2004 LIBOR Fixing 3M Forward 6M Forward Percent 3.50 7/20 Chairman’s Testimony 6/30 FOMC +25 bps 8/10 FOMC +25 bps 8/6 July NFP +32K 9M Forward Percent 3.50 9/3 August NFP +144K 3.00 3.00 2.50 2.50 2.00 2.00 1.50 1.50 7/2 June NFP +112K 1.00 6/14 1.00 6/29 7/14 2-Year Treasury Yield June 14, 2004 through September 17, 2004 Percent 3.1 June 30 FOMC Meeting Aug 10 FOMC Meeting 7/29 8/13 8/28 9/12 10-Year Treasury Yield June 14, 2004 through September 17, 2004 Percent Percent 3.1 4.9 Percent 4.9 Aug 10 FOMC Meeting June 30 FOMC Meeting 2.8 2.8 4.6 4.6 2.5 2.5 4.3 4.3 2.2 6/14 2.2 4.0 6/14 4.0 6/29 Basis Points 7/14 7/29 8/13 8/28 9/12 6/29 7/14 7/29 8/13 8/28 9/12 Yield Spread between 2-and 10-Year Treasury Notes Basis Points June 14, 2004 – September 17, 2004 200 7/20 Chairman’s Testimony 8/6 July NFP +32K 8/10 FOMC +25 bps 9/3 August NFP +144K 200 190 190 180 180 170 170 6/30 FOMC +25 bps 160 6/14 6/29 7/2 June NFP +112K 160 7/14 7/29 8/13 8/28 9/12 September 21, 2004 92 of 100 Page 2 2-Year Treasury Yields During Fed Tightening Cycles Basis Points Basis Points 150 150 1994 100 100 1997 50 50 1999 0 0 2004 -50 -50 1 2 3 4 5 6 7 8 9 10 11 Weeks From Start of Tightening 10-Year Treasury Yields During Fed Tightening Cycles Basis Points Basis Points 150 150 1994 100 100 1997 50 50 1999 0 0 2004 -50 -50 -100 -100 1 2 3 4 5 6 7 8 9 10 11 Weeks From Start of Tightening 10-Year Swap Spread During Fed Tightening Cycles Basis Points Basis Points 25 25 1999 20 20 15 15 1994 10 10 1997 5 5 0 0 -5 -5 2004 -10 -10 1 2 3 4 5 6 7 Weeks From Start of Tightening 8 9 10 11 September 21, 2004 93 of 100 Page 3 10-Year TIPS Breakeven Rate June 14, 2004 – September 17, 2004 Basis Points Basis Points 265 265 $/Barrel Oil Futures Prices June 14, 2004 – September 17, 2004 50 255 255 45 245 245 40 50 Front WTI Contract Source: Barclays 225 6/14 6/29 7/14 7/29 8/13 8/28 235 35 225 30 9/12 Twelfth WTI Contract 6/29 Basis Points 550 99 99 500 96 96 450 93 400 90 350 Investment Grade Corporate Index OAS Source: Lehman Brothers 6/14 6/29 7/14 7/29 8/13 8/28 7/29 8/13 8/28 550 EMBI+ 500 450 Merrill Lynch High Yield Bond Index OAS 400 Source: Merrill Lynch, JP Morgan 6/14 9/12 Basis Points 6/29 7/14 7/29 350 8/13 8/28 Select Equity Indices Index: 100 = 6/14/04 9/12 Basis Points 102 90 7/14 High Yield and EMBI+ Spreads June 14, 2004 – September 17, 2004 102 93 35 30 6/14 Corporate Debt Spreads June 14, 2004 – September 17, 2004 Basis Points 45 40 10-Year TIPS Breakeven 235 $/Barrel 9/12 Index: 100 =6/14/04 June 14, 2004 – September 17, 2004 116 116 KOSPI 112 112 108 108 104 104 FTSE S&P 500 100 96 100 Nikkei DAX 92 6/14 6/29 7/14 7/29 96 92 8/13 8/28 9/12 September 21, 2004 94 of 100 Page 4 Implied Volatility on S&P500 Index January 4, 1999 – September 17, 2004 Percent Percent 50 50 40 40 VIX Index of Implied Volatility on S&P500 30 30 20 20 10 10 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Implied Volatility of Major Currency Pairs January 4, 1999 - September 17, 2004 Percent Percent 25 25 1-Month Implied Volatility in Dollar-Yen 20 20 1-Month Implied Volatility in Euro-Dollar 15 15 10 10 5 5 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04 Implied Swaption Volatility May 3, 1999 - September 17, 2004 Basis Points Basis Points 15 15 12 12 1-Month Volatility on 10-Year Swaption 9 9 6 6 1-Month Volatility on 2-Year Swaption 3 May-99 Nov-99 May-00 Nov-00 May-01 Nov-01 May-02 Nov-02 May-03 3 Nov-03 May-04 September 21, 2004 95 of 100 Page 5 Daily Fed Funds Rates: High, Low and Effective Rates and Target Rate July 22, 2004 – September 1, 2004 Percent 2 8/10 FOMC +25 bps Effective Rate Target Rate Intervention Rate 1 7/8 August 16 Mid-quarter Refunding Daily High 2.5% 1 3/4 1 5/8 1 1/2 1 3/8 1 1/4 1 1/8 1 Daily Lows 7/8 8/13: 1/32% 8/16: 1/16% 3/4 8/17: 0.03% Alternate Shading Represents Maintenance Periods 5/8 1/2 7/22 7/26 7/28 7/30 8/3 8/5 8/9 8/11 8/13 8/17 8/19 8/23 8/25 8/27 8/31 Average Excess Balances to Date August 5, 2004 – August 18, 2004 $ Million 5000 5000 August 16 Mid-quarter Refunding 8/10 FOMC +25 bps 4000 $ Million 4000 Maintenance Period Ended 8/18/2004 3000 3000 2000 2000 1000 1000 Median Levels for 2004 0 0 -1000 -1000 8/5 8/6 8/7 8/8 8/9 8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 September 21, 2004 Appendix 2: Materials used by Mr. Reinhart 96 of 100 September 21, 2004 97 of 100 September 21, 2004 98 of 100 September 21, 2004 99 of 100 September 21, 2004 100 of 100
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