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September 24, 2002 Appendix 1: Materials used by Mr. Kos 106 of 115 Page 1 U.S. Current Deposit Rates and Rates September 24, 2002 107 of 115 Implied by Traded Forward Rate Agreements June 3, 2002 - September 20, 2002 LIBOR Fixing 3M Forward 6M Forward 9M Forward Percent Percent 3.50 7/31 Q2 GDP 6/26 FOMC 9/6 Employment Report 8/13 FOMC 3.00 3.50 3.00 2.50 2.50 2.00 2.00 Source: Bloomberg 1.50 6/3 1.50 6/17 7/1 7/15 2- and 5-Year Treasury Yields Percent 7/29 6.00 4.00 5.50 3.50 3.50 5.00 3.00 3.00 4.50 8/13 FOMC 4.00 8/26 9/9 10- and 30-Year Treasury Yields Percent Percent 4.50 4.50 8/12 Percent 6.00 8/13 FOMC 30-Year 5.50 5-Year 5.00 4.50 10-Year 2.50 2.50 4.00 4.00 2.00 3.50 3.50 1.50 3.00 2-Year 2.00 Source: Bloomberg 1.50 6/3 6/17 7/1 7/15 7/29 8/12 8/26 9/9 Source: Bloomberg 6/3 6/17 7/1 3.00 7/15 7/29 8/12 8/26 9/9 Mortgage Bankers Association Refinancing Index and Short-Dated Swaption Implied Volatility Index January 1, 2001 - September 20, 2002 Percent 7000 35 33 31 29 27 25 23 21 19 17 15 6000 MBA Refinancing Index (LHS) 5000 3-Month OptionImplied Volatility on 10-Year Swap (RHS) 4000 3000 2000 1000 Source: Bloomberg 0 1/1/2001 4/1/2001 7/1/2001 10/1/2001 1/1/2002 4/1/2002 7/1/2002 Page 2 September 24, 2002 108 of 115 Daily U.S. Investment Grade Corporate Option-Adjusted Spreads Basis Points Basis Points January 1, 2002 - September 20, 2002 260 260 8/13 FOMC 240 240 220 220 200 200 180 180 160 160 Source: Lehman Brothers 140 1/1 2/1 Billions of Dollars 140 3/1 4/1 5/1 6/1 7/1 8/1 9/1 U.S. Investment Grade Fixed Rate Non-144a Weekly Issuance January 4, 2002 - September 20, 2002 30 Billions of Dollars Source: Lehman Brothers Issuance 25 30 25 20 20 4-Week Moving Average 15 15 10 10 5 5 0 0 1/4 Basis Points 300 200 2/1 3/1 3/29 4/26 5/24 6/21 7/19 8/16 9/13 Monthly U.S. Investment Grade Corporate Debt Excess Returns August 31, 1992 - August 30, 2002 Excess returns represent the difference in returns of corporate bonds (weighted by market value) relative to duration equivalent Treasuries. Basis Points 300 200 100 100 0 0 -100 -100 -200 -200 -300 Source: Lehman Brothers 8/92 8/93 8/94 -300 8/95 8/96 8/97 8/98 8/99 8/00 8/01 8/02 Page 3 September 24, 2002 Index 100=5/1/02 109 of 115 Japanese Equity Indices Index 100=5/1/02 May 1, 2002 - September 20, 2002 115 115 9/18 BOJ announcement 110 Topix Banks 105 110 9/10 Q2 GDP revision 100 95 105 100 95 Topix 90 90 Nikkei 85 80 85 80 Source: Bloomberg 75 75 5/1/2002 5/15/2002 5/29/2002 6/12/2002 6/26/2002 7/10/2002 7/24/2002 8/7/2002 8/21/2002 9/4/2002 9/18/2002 10-Year Japanese Government Bond Yield May 1, 2002 - September 20, 2002 Percent 1.45 9/10 Q2 GDP revision 1.40 1.35 Percent 1.45 1.40 1.35 1.30 1.30 1.25 1.25 1.20 1.20 1.15 1.15 1.10 1.10 1.05 1.00 Source: Bloomberg 5/1 5/22 6/12 9/18 BOJ announcement 7/3 7/24 8/14 1.05 1.00 9/4 Trillions of Trillions of Japanese Bank Deposits and Loans Yen Yen January 1993 to August 2002 550 550 530 530 510 510 Total Bank Loans 490 490 470 470 450 450 430 430 Total Bank Deposits 410 410 Source: BOJ 390 Jan-93 Jan-95 Jan-97 Jan-99 390 Jan-01 Japanese Government Yield Curves Percent 1.50 Percent 1.50 Source: Bloomberg 1.25 1.25 9/20/2001 1.00 1.00 0.75 0.75 3/1/2001 0.50 0.50 9/20/2002 0.25 0.25 0.00 0.00 3m 6m 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y Page 4 Euro-Area Current Deposit Rates and Rates September 24,Implied 2002 by Traded Forward Rate Agreements 110 of 115 June 3, 2002 - September 20, 2002 LIBOR Fixing 3M Forward 6M Forward 9M Forward Percent Percent 4.50 4.50 8/28 IFO 4.00 4.00 3.50 3.50 3.00 3.00 2.50 Source: Bloomberg 6/3 6/17 2.50 7/1 7/15 7/29 8/12 8/26 9/9 U.S. Versus European Equity Indices Index 100=6/3/02 Index 100=6/3/02 June 3, 2002 - September 20, 2002 110 110 100 100 S&P500 Insurance 90 S&P500 90 80 80 70 70 Dow Jones Euro Dow Jones Euro Stoxx Stoxx Insurance 60 50 Source: Bloomberg 6/3 6/17 7/1 7/15 7/29 8/12 8/26 60 50 9/9 10-Year German Government Bund Yield Percent June 3, 2002 - September 20, 2002 Percent 5.20 5.20 5.00 5.00 4.80 4.80 4.60 4.60 4.40 4.40 4.20 Source: Bloomberg 6/3 6/17 4.20 7/1 7/15 7/29 8/12 8/26 9/9 Page 5 September 24, 2002 Currency 111 of 115 Component of M1 (s.a.) 1-Month Annualized Growth Rate Percent Percent September 2000 - September 2002 20 *Estimated Value 20 Sep-02* Aug-02 Jul-02 Jun-02 M ay-02 Apr-02 M ar-02 Feb-02 Jan-02 Dec-01 Nov-01 Oct-01 Sep-01 Aug-01 Jul-01 Jun-01 M ay-01 Apr-01 0 M ar-01 0 Feb-01 5 Jan-01 5 Dec-00 10 Nov-00 10 Oct-00 15 Sep-00 15 September 24, 2002 Appendix 2: Materials used by Mr. Reinhart 112 of 115 September 24, 2002 113 of 115 September 24, 2002 114 of 115 September 24, 2002 115 of 115
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