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March 25, 2003

Appendix 1: Materials used by Messrs. Kos and Reinhart

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March 25, 2003

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Exhibit 1
Treasury Securities Market

Two- and Ten-year Treasury Yields
Percent

Percent

4.2

1.9

8:00 Deadline

Five-minute intervals
4.1

1.8

4.0
1.7

Two-year
(right scale)

3.9

Ten-year
(left scale)

3.8

1.6

3.7

1.5
03/13

03/14

03/17

03/18

03/19

03/20

03/21

03/24

Note. Treasury yield shown is that of the on-the-run issue.

Treasury Yield Curve

Ten-year TIPS Yield

Percent

Percent

6

2.2
Daily

5

March 24, 2003 4:00 pm

2.1

4
March 19, 2003 4:00 pm

+

3

2.0

1.9
2
1.8

1
1/4

2

5

10
Maturity in Years

30

Jan.

Feb.
2003

+ denotes today’s observation (taken at approximately 4:45 pm).

Selected Treasury Yields
Today
3/24/03*
(1)

Wednesday
3/19/03
(2)

Nominal

Change
(1)-(2)
-basis points-

1. Two-year

1.66

1.72

-6

2. Five-year

2.94

2.97

-3

3. Ten-year

3.97

3.98

-1

Indexed
4. Ten-year

* Quotes taken at approximately 4:00 pm.

-basis points2.12

2.10

2

Mar.

March 25, 2003

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Exhibit 2
Equity Market

Major Stock Indexes
3/13/03 9:30 am = 100
112
S&P 500

Five-minute intervals

110
108
106
Nasdaq

Wilshire 5000

104
102
100
03/13

03/14

03/17

03/18

03/19

03/20

03/21

03/24

S&P 100 Implied Volatility (VIX)
Percent
39
Five-minute intervals
38
37
36
35
34
33
03/13

03/14

03/17

03/18

03/19

03/20

03/21

Selected Equity Market Quotes
Today
3/24/03*
(1)

Wednesday
3/19/03
(2)

Major Indexes

Change
(1)-(2)
-percent-

1. Wilshire 5000

8180.39

8258.42

-0.9

2. S&P 500

864.36

874.02

-1.1

3. Nasdaq

1370.23

1397.08

-1.9

Option-Implied Volatility
4. S&P 100 (VIX)

* Quotes taken at approximately 4:00 pm.

-percentage points34.96

35.74

-0.78

03/24

March 25, 2003

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Exhibit 3
Monetary Policy Expectations

Interest Rate Futures
Percent
1.22

2.6
Five-minute intervals

1.21

Mar. 2004 Eurodollar
Futures (right scale)

1.20

2.4

1.19

2.2

1.18
2.0

1.17
Apr. 2003 Fed Funds
Futures (left scale)

1.16

1.8

1.15
03/13

03/14

03/17

03/18

Expected Federal Funds Rates*

03/19

03/20

03/21

03/24

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
March 24, 2003 3:30 pm

1.5
30
1.0

Mar.

July
2003

Nov.

Mar.

July
2004

Nov.

20

Mar.
July
2005

Feb.

*Estimates from federal funds and eurodollar futures

Mar.
2003

*Contract with approximately 3 months to expiration.

Probability of 1.00% target as opposed to 1.25% target*

Percent
120

Five-minute intervals
110
100
90
80
70
60
50
03/13

03/14

03/17

03/18

*Based on May 2003 federal funds futures contract.

+ denotes today’s observation (taken at approximately 4:00 pm).

03/19

03/20

03/21

03/24

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Exhibit 4
Selected Credit Market Indicators

Ten-year Swap Spread
Basis Points
47
Five-minute intervals
46
45
44
43
42
41
03/13

03/14

03/17

03/18

03/19

03/20

03/21

03/24

Stock Prices and Credit Default Swap Premia for Selected Financial Intermediaries
Stock Prices
Today Wednesday
3/24/03*
3/19/03
Change
(1)
(2)
(1)-(2)

CDS Premia
Today Wednesday
3/24/03*
3/19/03
Change
(3)
(4)
(3)-(4)

-percent-

-basis points-

1. Bank of America

68.82

69.50

-1.0

31.0

31.0

0.0

2. Citigroup

35.72

35.46

0.7

32.0

34.0

-2.0

3. Goldman Sachs

70.01

70.27

-0.4

55.0

56.8

-1.8

4. Lehman Brothers

58.20

59.69

-2.5

50.0

54.2

-4.2

5. Merrill Lynch

36.30

36.74

-1.2

57.0

56.8

0.2

* Quotes taken at approximately 4:00 pm.

Swaption Implied Volatility (Ten-year Swap Rate)

Percent
32

Daily

31
30
Three-months ahead
29

+

One-year ahead

28
27

+
Feb.

Mar.
2003

+ denotes today’s observation (taken at approximately 4:00 pm).

26

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Exhibit 5
Other Indicators of Market Stress

Foreign Exchange Rates

Today
3/24/03*
(1)

Wednesday
3/19/03
(2)

Change
(1)-(2)
-percent-

Dollar/Euro

1.0631

1.0559

0.7

Yen/Dollar

120.8350

120.4700

0.3

Dollar/Pound

1.5734

1.5643

0.6

Swiss Franc/Dollar

1.3859

1.3943

-0.6

* Quotes taken at approximately 4:00 pm.

West Texas Intermediate Crude Oil Spot Price

West Texas Intermediate Crude Oil Futures Prices
US $

US $
40

40
Daily

Daily
38

Apr. 2003

38

36

36

34
34
32
Jun. 2003

32

30

+

Dec. 2003

28

Feb.

+
+ 28

30

Mar.

+ 26
Feb.

2003

Mar.
2003

Gold Spot Price

US $
390

Daily
380
370
360
350
340

+
Feb.

Mar.
2003

+ denotes today’s observation (taken at approximately 4:00 pm).

330

March 25, 2003

Appendix 2: Material used by Ms. Johnson

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March 25, 2003

STRICTLY CONFIDENTIAL (FR) CLASS II-FOMC

Recent Developments in
International Financial Markets

March 24, 2003

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March 25, 2003

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Chart 1

03-24-03

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
0.5%
Can. dollar
4.0%
Swiss franc
3.6%
Euro
3.0%
Yen
2.4%
Sterling

96

Jan

Feb

Mar

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.
2.3%
Broad
1.1%
OITP
-0.3%

96

94
Jan

Feb

Mar

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Chart 2

03-24-03

Selected Yield Curves
3-Month Eurocurrency Futures Rates

1-Year Forward Rates Derived From Swaps

Yen

Yen
Percent
March 24, 2003
March 17, 2003
March 12, 2003

Percent

4
March 24, 2003
March 17, 2003
March 12, 2003

3

S

D

M

2003

J
2004

S

D

3

2

2

1

1

0
J

4

2004

M
2005

Euro

2006

2008

2010

2012

0

Euro
Percent
March 24, 2003
March 17, 2003
March 12, 2003

Percent
6

6

5

5

4

4

3

3

2
J

S

D

M

2003

J
2004

S

D

M
2005

Sterling

S

D

M

2003

J
2004

S

D

M
2005

2010

2012

2

Percent

6

5

5

4

4

3

3

2

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

2008

6

Dollar

J

2006

Sterling
Percent

J

2004

2004

2006

2008

2010

2012

1

March 25, 2003

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Chart 3

03-24-03

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
12.6%
DJ Euro Tech 16.1%
DJ Euro Bank 13.3%
Jan

95

Feb

90

Mar

Japan

100
Change since 3/12
FTSE-350
12.9%
FTSE-Tech
7.7%
FTSE-Bank
14.0%
Jan

95

Feb

90

Mar

memo: United States
135
FOMC

Mar 12

135

FOMC

TOPIX-Bank

FOMC

Mar 12

FOMC

130

130

125

125

120

120
S&P 500

115

115

110

110
S&P Banks

TOPIX

105

105

TOPIX-EM
100
Change since 3/12
TOPIX
6.3%
TOPIX-EM
8.8%
TOPIX-Bank
7.3%
Jan

95

Feb

Mar

90

100

NASDAQ
Change since 3/12
S&P 500
7.3%
NASDAQ
7.0%
S&P Bank
11.6%
Jan

95

Feb

Mar

90

March 25, 2003

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Chart 4

03-24-03

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 -$7.63
Brent May -$6.91

24

Jan

Feb

22

Mar

Implied Distributions from Oil Futures Options
March 21, 2003

May 2003 WTI

Dec 2003 WTI
F

5

10

15

20

25

F

30

35

40

45

50
$/barrel

March 25, 2003

Appendix 3: Materials used by Mr. Stockton

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March 25, 2003

NONFINANCIAL
DEVELOPMENTS

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