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April 8, 2003 Appendix 1: Materials used by Mr. Reinhart 14 of 31 April 8, 2003 15 of 31 Exhibit 1 Treasury Securities Market Two- and Ten-year Treasury Yields Percent Percent 4.2 Five-minute intervals 8:00 Deadline 1.9 Last Monday 4:00 pm 4.1 1.8 Ten-year (left scale) 4.0 1.7 Two-year (right scale) 3.9 1.6 3.8 3.7 1.5 03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01 04/02 04/03 04/04 04/07 04/08 Note. Treasury yield shown is that of the on-the-run issue. Treasury Yield Curve Ten-year TIPS Yield Percent Percent 6 2.6 Daily 5 March 19, 2003 4:00 pm 2.4 2.2 4 + April 8, 2003 11:00 am 3 2.0 2 1.8 1.6 1 1/4 2 5 10 Maturity in Years 30 Jan. Feb. 2003 Mar. + denotes today’s observation (taken at approximately 11:00 am). Selected Treasury Yields Today 4/8/03* (1) Wednesday 3/19/03 (2) Nominal Change (1)-(2) -basis points- 1. Two-year 1.58 1.70 -12 2. Five-year 2.90 2.97 -7 3. Ten-year 3.98 3.98 0 Indexed 4. Ten-year * Quotes taken at approximately 11:00 am. -basis points2.12 2.10 2 April 8, 2003 16 of 31 Exhibit 2 Equity Market Major Stock Indexes 3/13/03 9:30 am = 100 Five-minute intervals 114 Last Monday 4:00 pm S&P 500 112 110 Wilshire 5000 108 106 104 Nasdaq 102 100 03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01 04/02 04/03 04/04 04/07 04/08 S&P 100 Implied Volatility (VIX) Percent 40 Last Monday 4:00 pm Five-minute intervals 38 36 34 32 03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01 04/02 04/03 04/04 04/07 04/08 Selected Equity Market Quotes Today 4/8/03* (1) Wednesday 3/19/03 (2) Major Indexes Change (1)-(2) -percent- 1. Wilshire 5000 8338.08 8258.42 1.0 2. S&P 500 881.67 874.02 0.9 3. Nasdaq 1389.12 1397.08 -0.6 Option-Implied Volatility 4. S&P 100 (VIX) * Quotes taken at approximately 11:00 am. -percentage points30.42 35.74 -5.32 April 8, 2003 17 of 31 Exhibit 3 Monetary Policy Expectations Interest Rate Futures Percent 1.20 1.18 Mar. 2004 Eurodollar Futures (right scale) 1.16 2.6 Last Monday 4:00 pm Five-minute intervals 2.4 1.14 2.2 1.12 1.10 2.0 1.08 May 2003 Fed Funds Futures (left scale) 1.06 1.04 1.8 03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01 04/02 04/03 04/04 04/07 04/08 Expected Federal Funds Rates* Short-term Eurodollar Implied Volatility* Percent Percent 60 4.0 Daily 3.5 50 3.0 March 19, 2003 3:30 pm 2.5 40 2.0 April 8, 2003 11:00 am 1.5 30 1.0 Apr. Aug. 2003 Dec. Apr. Aug. 2004 Dec. Apr. Aug. 2005 *Estimates from federal funds and eurodollar futures 20 Jan. Feb. 2003 Mar. *Contract with approximately 3 months to expiration. Probability of 1.00% target as opposed to 1.25% target* Five-minute intervals Percent Last Monday 4:00 pm 120 110 100 90 80 70 60 50 03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01 04/02 04/03 04/04 04/07 04/08 *Represents the probability that the target funds rate will be 1.00% following the May 6 FOMC meeting. Calculation based on May 2003 federal funds futures contract. April 8, 2003 18 of 31 Exhibit 4 Selected Credit Market Indicators Ten-year Swap Spread Basis Points 48 Last Monday 4:00 pm Five-minute intervals 46 44 42 40 03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01 04/02 04/03 04/04 04/07 04/08 Stock Prices and Credit Default Swap Premia for Selected Financial Intermediaries Today 4/8/03* (1) Stock Prices Wednesday 3/19/03 Change (2) (1)-(2) CDS Premia Today Wednesday 4/8/03* 3/19/03 Change (3) (4) (3)-(4) -percent- -basis points- 1. Bank of America 69.75 69.50 0.4 25.0 31.0 -6.0 2. Citigroup 37.35 35.46 5.3 22.0 34.0 -12.0 3. Goldman Sachs 72.35 70.27 3.0 42.0 56.8 -14.8 4. Lehman Brothers 61.17 59.69 2.5 42.0 54.2 -12.2 5. Merrill Lynch 38.41 36.74 4.5 47.0 56.8 -9.8 * Quotes taken at approximately 11:00 am. Swaption Implied Volatility (Ten-year Swap Rate) Percent 32 Daily 30 Three-months ahead One-year ahead Jan. Feb. Mar. 2003 + denotes today’s observation (taken at approximately 11:00 am). + 28 + 26 April 8, 2003 19 of 31 Exhibit 5 Other Indicators of Market Stress Foreign Exchange Rates Today 4/8/03* (1) Wednesday 3/19/03 (2) Change (1)-(2) -percent- Dollar/Euro 1.07 1.06 1.0 Yen/Dollar 120.05 120.52 -0.4 Dollar/Pound 1.55 1.56 -0.9 Swiss Franc/Dollar 1.39 1.39 -0.2 * Quotes taken at approximately 11:00 am. West Texas Intermediate Crude Oil Spot Price West Texas Intermediate Crude Oil Futures Prices US $ US $ 38 40 Daily Daily May 2003 38 36 36 34 34 32 Jun. 2003 32 30 30 + 28 Dec. 2003 + + 28 26 + Jan. Feb. 2003 Mar. Jan. Feb. 2003 Gold Spot Price Mar. US $ 390 Daily 380 370 360 350 340 330 + Jan. Feb. Mar. 2003 + denotes today’s observation (taken at approximately 11:00 am). April 8, 2003 Growth of M2 20 of 31 Exhibit 6 Selected Components of M2 Percent $Billions 15 s.a.a.r. 4000 3500 12 Liquid Deposits 3000 9 2500 2000 6 1500 p Small Time Retail MMMFs 3 1000 Money Stock Currency 500 0 2001 Jan Q1 Q2 J A S O N D J F M 2002 2003 Apr Jul 2001 Oct Jan Apr Jul 2002 Oct Jan 2003 p Preliminary. Growth of Bank Credit Percent 19 s.a.a.r. Growth of Components of Nonfinancial Business Debt $Billions 50 Monthly rate 16 Commercial paper* C&I loans* Bonds Total 40 30 13 20 p 10 10 e 7 0 4 -10 -20 1 -2 2001 e Estimate. Q1 Q2 J A S O N D J F M 2002 2003 -30 Q1 2001 * Seasonally adjusted. p Preliminary. Q2 J A S O N D J F M 2002 2003 MARA:HM April 8, 2003 Appendix 2: Material used by Ms. Johnson 21 of 31 April 8, 2003 STRICTLY CONFIDENTIAL (FR) CLASS II-FOMC Recent Developments in International Financial Markets April 8, 2003 Note: Today’s data are as of 9:30 am EST. 22 of 31 April 8, 2003 23 of 31 Chart 1 04-08-03 Selected Exchange Rates (Foreign currency per dollar) Index, March 12, 2003 = 100 108 Daily FOMC Mar 12 FOMC 106 Canadian dollar 104 Swiss franc 102 Euro 100 Yen Sterling 98 Change since 3/12 0.1% Can. dollar 4.5% Swiss franc 3.2% Euro 2.4% Yen 3.9% Sterling 96 Jan Feb Mar Apr 94 Indexes of Trade-Weighted Value of the Dollar Index, March 12, 2003 = 100 108 Daily FOMC Mar 12 FOMC 106 104 Major currencies 102 Broad 100 Other important trading partners 98 Change since 3/12 Major curr. 2.1% Broad 0.7% OITP -1.0% Jan 96 Feb Mar Apr 94 April 8, 2003 24 of 31 Chart 2 04-08-03 Selected Yield Curves 3-Month Eurocurrency Futures Rates 1-Year Forward Rates Derived From Swaps Yen Yen Percent April 8, 2003 April 1, 2003 March 17, 2003 Percent 4 April 8, 2003 April 1, 2003 March 17, 2003 3 S D M 2003 J 2004 S D 3 2 2 1 1 0 J 2004 M 2005 Euro 2006 2008 2010 D M 2003 Percent 6 5 5 4 4 3 3 J 2004 S D M 2005 Sterling S D M 2003 2006 2008 2010 2012 J 2004 S D M 2005 Percent 6 2 6 5 5 4 4 3 3 2 Dollar 2004 2006 2008 2010 2012 2 Dollar Percent D M J 2004 S D M 2005 Percent 7 7 6 6 5 5 4 4 3 3 2 2 1 S 2003 2004 Sterling Percent J 0 6 2 S J 2012 Euro Percent J 4 2004 2006 2008 2010 2012 1 April 8, 2003 25 of 31 Chart 3 04-08-03 Stock Market Indexes (Ratio scale, Index, March 12, 2003 = 100, daily data) Euro Area United Kingdom 135 FOMC Mar 12 135 FOMC FOMC Mar 12 FOMC 130 130 125 125 120 120 DJ Euro Bank FTSE-Bank DJ Euro 115 115 110 110 105 DJ Euro Tech 105 FTSE-350 FTSE-techMark 100 Change since 3/12 DJ Euro 19.9% DJ Euro Tech 21.1% DJ Euro Bank 20.9% Jan 95 Feb 90 Mar Apr Japan 100 Change since 3/12 FTSE-350 17.1% FTSE-Tech 12.9% FTSE-Bank 20.0% Jan 95 Feb Mar 90 Apr United States 135 FOMC Mar 12 FOMC 135 FOMC TOPIX-Bank Mar 12 FOMC 130 130 125 125 120 120 115 S&P 500 115 110 110 S&P Banks TOPIX 105 105 TOPIX-EM 100 Change since 3/12 TOPIX 2.6% TOPIX-EM 2.7% TOPIX-Bank -5.3% Jan Feb 95 Mar 90 Apr 100 NASDAQ Change since 3/12 S&P 500 9.2% NASDAQ 8.6% S&P Bank 16.3% Jan Feb *Last observation, Monday, Apr. 7 95 Mar 90 Apr April 8, 2003 26 of 31 Chart 4 04-08-03 Crude Oil Futures Prices $/barrel Daily FOMC 40 March 12 FOMC 38 36 34 32 WTI May Brent May 30 28 26 Change since 3/12 WTI May -$8.21 Brent May -$8.58 24 Jan Feb 22 Mar Implied Distributions from Oil Futures Options April 7, 2003 May 2003 WTI Dec 2003 WTI F 5 10 May 2003 Contract Dec 2003 Contract 15 20 Futures 28.0 25.0 25 Implied Volatility 57.24 29.87 F 30 35 2/3 Bounds [25.92,29.93] [19.37,29.72] 40 Skew1 +0.09 -0.51 45 Skew2 -0.03 -0.15 50 $/barrel April 8, 2003 Appendix 3: Materials used by Mr. Stockton 27 of 31 April 8, 2003 28 of 31 April 8, 2003 NONFINANCIAL DEVELOPMENTS April 8, 2003 29 of 31 April 8, 2003 30 of 31 April 8, 2003 31 of 31
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