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APPENDIX Charts used by Mr. Fisher in his presentation 3-Month Deposit Rates Page 1 May 1, 1998 - September 28, 1998 Current euro-deposit rate and rates implied by traded forward rate agreements LIBOR Fixing 3-mo. forward 9-mo. forward United States Germany Japan Percent Percent 6.0 5.8 5.6 Greenspan Testimony Sept. 3 Russia Devaluation FOMC and Moratorium; Sept. United States 3 6.0 5.8 5.6 5.4 5.4 5.2 5.2 5.0 5.0 Berkeley 4.8 Speech 4.8 Sept 4 Germany BOJ Rate Cut Japan 1.0 1.0 Sept. 0.8 0.6 0.6 0.4 0.2 0.0 0.0 5/1/98 5/22/98 Charts: Nkechi Okoro 6/12/98 7/3/98 7/24/98 8/14/98 9/4/98 9/25/98 Page 2 Selected Fixed Income Yields May 1, 1998- September 28, 1998 Percent Percent rcent 24 24 Russia Devaluation and Moratorium 21 FOMC Aug. 18 21 18 18 Emerging 15 Markets 12 Aug Rate Testimony Cut 18 15 12 Markets 11.0 11.0 10.5 10.0 9.5 9.0 8 .5 8 .5 5/1/98 7 5/22/98 0 6/12/98 7/3/98 8/14/98 7/24/98 FannieMae Coupon Passthrough 9/4/98 9/25/98 Greenspan Testimony Sept. 23 FOMC Aug.18 (10 year) 6.5 6.5 Rate Cut Sept. 9 6.0 6.0 US 10yr Swap Merrill Lynch High Grade Agency Master* 5.5 5.5 10yr Treasury 5/1/98 5/22/98 Charts: Nkechi Okoro 6/12/98 7/3/98 7/24/98 8/14/98 9/4/98 9/25/98 Page 3 10 Year Swap Spreads* Basis Points Basis Points May 1, 1998 - September 28, 1998 125.0 125.0 100.0 100.0 75.0 75.0 50.0 50.0 25.0 25.0 *10 10 minus Rate Swap Year Treasury 0.0 1-May 0.0 29-May 26-Jun 24-Jul 21-Aug 18-Sep Basis Points Swap Spreads May 1, 1998 - September 28, 1998 Basis Points 75.0 75.0 60.0 60.0 45.0 45.0 30.0 30.0 15.0 15.0 0.0 1-May 29-May 26-Jun 24-Jul 21-Aug 18-Se 0.0 Kevin Cummins FRBNY Markets Page 4 G-3 Equity & Bond Performance Re-Indexed G-3 Equity Indices and Total Return Bond Indices * Performance (Rebased to May 1, 1998) *U.S. Germany, and Japan Traded Bond Indices, in local currency terms, Source: J.P. Morgan. Last data point for bond data and US equities is Sept. 25. 1998. Index 5/1/98=100 120 Indexed G-3 Option Implied Volatility on Equity and Bond Futures * (Rebased to May 1, 1998) *Bonds: Implied Volatility of At-the-Money options on futures of 10 Yr bonds.Source: Merrill Lynch & Bloomberg, L.P. Equities: Implied Volatility of At-the Money options onfutures of S&P, DAX, and Nikkei. Index 5/1/98=100 Russia Devaluation FOMC and Moratorium Aug 18 States Aug. 1 7 BOJ Rate Cut US JP Morgan Traded Index* Sept. 9 Index Source: Bloomberg, L.P. Last data point for all Equity Implied Volatility and for Japan Bond Implied volatility is Sept. 25 1998. Index 5/1/98=100 220 5/1/98=100 220 Russia Devaluation United and Moratorium 200 200 180 180 Aug 1 160 160 140 140 120 120 S&P 00 1100 100 100 _ 80 80 80 5/1/98 5/22/98 6/12/98 7/3/98 7/24/98 8/14/98 9/4/98 Index 5/4/98=100 120 9/25/98 80 Index 5/4/98=100 120 60 5/1/98 Sept. 6/1/98 80 Rate US 10 Yr 6/29/98 7/28/98 Index 5/4/98=100 220 80 9 8/25/98 BOJ 60 9/23/98 Index 5/4/98=100 220 Rate 200 200 Sept 9 160 160 140 140 120 120 DAX 100 100 80 80 German 10Yr 60 5/4/1998 6/3/1998 Index 5/1/98=100 120 Index 5/1/98=100 120 60 7/2/1998 7/30/1998 Index 5/1/98=100 220 220 Option call data not available for June 200 200 and July 1998 8/27/1998 BO Rate 9/24/98 60 Index 5/1/98=100 220 220 200 Sept 9 180 180 160 160 140 140 Nikkei 120 120 100 100 80 80 10 Yr JGB* 80 5/1/98 5/22/98 6/12/98 1997 Charts: Nkechi Okoro 7/3/98 7/24/98 8/14/98 9/4/98 80 9/25/98 60 5/1/98 6/2/98 6/30/98 7/29/98 8/26/98 9/24/98 60 DAILY FEDERAL FUNDS Percent TRADING RANGE, EFFECTIVE AVERAGE & ONE STANDARD DEVIATION August 13, 1998 to September 25, 1998 Percent 9 8 7 5a 63 13 14 17 18 19 20 21 24 25 26 August Chart: Angela Goldstein 27 28 31 1 2 3 September 4 7 8 9 10 11 14 15 16 17 18 21 22 23 24 25
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