3/20/01

111

APPENDIX 1

Charts used by Mr. Kos.

3-Month Deposit Rates

Page 1

June 1, 2000 - March 16, 2001

Current Deposit Rate and Rates Implied by Traded Forward Rate Agreements

Percent

LIBOR Fixing

United States
Euro-area
Japan

9-Mo. Forward

3-Mo. Forward

Percent

7.6

7.6

FOMC
11/15

7.2

United
States

FOMC 12/19

7.2

6.8

6.8

6.4

6.4

6.0

6.0

5.6

Euro-area

5.6

FOMC 1/3
-50bp

5.2

5.2

4.8

4.8

4.4

4.4

FOMC 1/31
-50bp

4.0
6/1

7/1

8/1

9/1

10/1

11/1

0.8

12/1

4.0
1/1

2/1

2/9 BOJ cuts Discount
rate 15bp to 0.35%

BOJ raises Call rate
25bp to 0.25%

3/1

Japan

0.8

0.6

0.6

0.4

0.4

0.2

0.2

2/28 BOJ lowers Call rate 10bp to
0.15%, Discount Rate -10bp to 0.25%

0.0

0.0
6/1

7/1

8/1

Source: Reuters, Bloomberg

9/1

10/1

11/1

12/1

1/1

2/1

3/1

Page 2

2-Year Government Yields minus Central Bank Policy Rates
June 1, 2000 - March 16, 2001

Basis Points

150

150

FOMC 1/3
-50 bp

Germany

100

Basis Points

100

FOMC 1/31
-50 bp

50

50
Japan

U.K.

0
-50

0
-50

Canada

U.S.

-100

-100

-150

-150

-200

-200
6/1

Basis Points

7/1

8/1

9/1

10/1

11/1

12/1

1/1

2/1

3/1

2-Year Swap Rates minus Central Bank Policy Rates
June 1, 2000 - March 16, 2001

160

Basis Points

160

FOMC 1/3
-50 bp

120

Euro-Area

120

FOMC 1/31
-50 bp

80

80

40

Japan
U.S.

0

0
U.K
.

Canada

-40

40

-40

-80

-80

-120

-120
6/1

7/1

8/1

9/1

10/1

11/1

12/1

Policy Rates:
US: Federal Funds Rate (O/N), Euro area: Main refinancing rate (2-week), Japan: Overnight
Call Rate, U.K.: Base Rate (O/N repo), Canada: Overnight Target (midpoint of bank rate
and discount rate)

1/1

2/1

3/1

Source: Bloomberg

December 1, 2000 to March 16, 2001
Japanese Yen

Yen per Dollar
(Inverted Scale)
110

Page 3
Yen per Dollar
(Inverted Scale)
110

2/9 BOJ cuts
Discount rate
15 bp to 0.35%

113

113

116

116

119

119

122

122

2/28 BOJ lowers Call rate 10 bp to 0.15%
and Discount rate 10 bp to 0.25%

125

125
12/1

12/15

12/29

1/12

1/26

2/9

2/23

3/9

10-Year JGB Yields

Percent

Percent

1.75

1.75

1.60

1.60

10-Year JGB Yield
1.45

1.45

2/9 Discount
rate cut 15 bp

1.30

1.15

1.30

1.15

2/28 Call rate and
Discount rate cut 10 bp

1.00

1.00
12/1

12/15

12/29

1/12

Index:12/01/00=100

2/9

2/23

Japanese Equities

105
Topix Bank Sub-Index

100

1/26

3/9

Index:12/01/00=100
105

2/9 Discount
rate cut 15 bp

100
Topix Index

95

95

90

90

85

85
Nikkei Index

80

80

2/28 Call rate and
Discount rate cut 10 bp

75

75
12/1

12/15

12/29

1/12

1/26

2/9

2/23

3/9

January 1, 2001 to March 16, 2001
Euro-Dollar Spot Rate

Dollars per Euro

Page 4
Dollars per Euro

0.96

0.96

0.94

0.94

0.92

0.92

0.90

0.90

0.88

0.88
1/1

1/15

1/29

2/26

3/12

Dollar-Euro Interest Rate Differentials

Basis Points

Basis Points

Dollar Rates minus Euro Rates

160

120

2/12

160

120

2-Year Swap Spread

10-Year Swap Spread

80

80

40

40

3-month LIBOR Spread
0

0
1/1

1/15

1/29

Index:1/01/01=100

2/12

2/26

US Dollar Exchange Rates

115

South African Rand

110

3/12

Index:1/01/01=100
115

Australian Dollar

110

Swiss Franc

Japanese Yen

Canadian Dollar

105

105

100

100

Mexican Peso
Euro

95

95
1/1

1/15

1/29

2/12

2/26

3/12

Page 5

U.S. Treasury Coupon Yields
December 1, 2000 - March 16, 2001

Percent

5.80

FOMC 1/3
-50 bp

Percent

5.80

FOMC 1/31
-50 bp

30-Year Yield

5.40

5.40
10-Year Yield

5.00

5.00

2-Year Yield

4.60

4.20

4.60

4.20

12/1

1/1

2/1

3/1

Emerging Market - U.S. Treasury Rate Differentials
Basis Points

1050

December 1, 2000 - March 16, 2001
FOMC 1/3
-50 bp

1000

Basis Points

1050

FOMC 1/31
-50 bp

1000
Turkey

950
900

950
900

850

Argentina

850

800

800

750

750

700
650

Spread between EMBI+ indexes of foreign
sovereign rates and theoretical U.S. zero coupon rates

12/1
Sources: Bloomberg; J.P. Morgan

1/1

Total EMBI+ Spread

700
650

2/1

3/1

Commercial Paper (A2/P2 - A1/P1)
Spreads and Yields
September through March,
1996 - 2001
30-day Spreads

(bps)
120
1996-1997
1997-1998
100

Year
End

(bps)

(bps)

120

120

90-day Spreads

120
1996-1997

Year
End

1997-1998

1998-1999

100

1999-2000

100

(bps)

1998-1999

100

1999-2000

2000-2001

2000-2001

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

0

0
9/1 9/15 9/29 10/1310/2711/1011/24 12/8 12/22 1/5 1/19 2/2 2/16 3/1 3/15

30-Day Yields

(%)
8.0
7.5

A2/P2
A1/P1

7.0

Year
End
1/3/01
-50 bps
(6.00%)

2000 - 01
1/31/01
-50 bps
(5.50%)

0
9/1 9/15 9/2910/1310/2711/1011/2412/812/22 1/5 1/19 2/2 2/16 3/1 3/15

(%)
8.0

(%)
8.0

7.5

7.5

90-Day Yields
A2/P2
A1/P1

(%)
8.0
2000- 01

Year
End
1/3/01
-50 bps
(6.00%)

1/31/01
-50 bps
(5.50%)

7.5

7.0

7.0

6.5

6.5

6.0

6.0

6.0

6.0

5.5

5.5

5.5

5.5

5.0

5.0

5.0

5.0

4.5

4.5

6.5

9/1 9/15 9/29 10/1310/2711/1011/24 12/8 12/22 1/5 1/19 2/2 2/16 3/1 3/15
Source: Bloomberg compiled index

6.5

4.5
9/1 9/15 9/29 10/1310/2711/1011/24 12/8 12/22 1/5 1/19 2/2 2/16 3/1 3/15

Page 6

4.5

7.0

Page 7

Total Individual and Corporate Tax Receipts
Levels and Percent Growth Over Prior Year
For March, April and May

$ Billions

800

700

New York
6.9%

Treasury
6.6%

Board
4.7%

2001

2001

2001

12.7%

600

8.2%
10.3%

500

400

300
1998

1999

2000

Projections

Actuals

Projected Treasury Balances

$ Billions

March 15, 2001 to May 31, 2001

100

General Balance

80
TT&L Capacity = $65 Billion

60

40

20

Fed Balance

0
3/15

3/22

3/29

4/5

4/12

4/19

4/26

5/3

5/10

5/17

5/24

5/31