102

5/15/01

APPENDIX

Charts used by Mr. Kos.

3-Month Deposit Rates

Page 1

January 1, 2001 - May 11, 2001

Current Deposit Rate and Rates Implied by Traded Forward Rate Agreements

Percent

6.00

LIBOR Fixing

United States
Euro-area
Japan

Percent

United States

5.75

9-Mo. Forward

3-Mo. Forward

6.00

Intermeeting
-50 bps
4/18

FOMC
-50 bps
3/20

FOMC
-50 bps
1/31

5.75

5.50

5.50

5.25

5.25

5.00

5.00

4.75

4.75

4.50

4.50
Intermeeting
-50 bps
1/3

4.25
4.00
5.50
5.25

4.25
4.00

Euro-area

IFO
3/21

ECB
No Action
4/11

ECB
-25 bps
5/10

5.50
5.25

5.00

5.00

4.75

4.75

4.50

4.50

4.25

4.25

4.00

4.00

3.75

3.75

3.50

3.50

1.00

Japan

BoJ
-15 bps
ODR
2/9

0.75

BoJ
-10 bps
ODR
2/28

1.00

BoJ Changes
Operational Target
3/19

0.75

0.50

0.50

0.25

0.25

0.00

0.00
1/1

1/15

1/29

2/12

2/26

3/12

3/26

4/9

4/23

5/7

Page 2

U.S. Treasury Coupon Yields
December 1, 2000 - May 11, 2001

Percent

7.00

Intermeeting
1/3
-50 bp

6.50

FOMC
1/31
-50 bp

FOMC
3/20
-50 bp

Percent

7.00

Intermeeting
4/18
-50 bp

6.50

Target Fed Funds Rate

6.00

6.00

30-Year Bond Yield

5.50

5.50

5.00

5.00
10-Year Note Yield

4.50

4.50

2-Year Note Yield

4.00

4.00

3.50

3.50

12/1/2000

1/1/2001

2/1/2001

3/1/2001

4/1/2001

5/1/2001

10-year minus 2-year Yield Curve Spreads
December 1, 2000 - May 11, 2001

Basis Points

160
140

FOMC 1/3
Intermeeting
1/3-50 bp
-50 bp

FOMCFOMC 1/31
-50 bp
1/31
-50 bp

FOMC
3/20
-50 bp

Basis Points
Intermeeting
4/18
-50 bp
30-Year Yield

120
US Treasury

100
10-Year Yield

US Swap

80
60

Euro Swap

40

2-Year Yield

20

UK Swap

0

80
60
40
20
0

Canadian Government Bond

-20

Sources: Bloomberg

140
120

100

12/1/2000

160

-20
1/1/2001

2/1/2001

3/1/2001

4/1/2001

5/1/2001

Page 3

30-year minus 2-year Treasury Yield Curve Spread
January 6, 1989 - May 11, 2001
(Shaded Area Represents FOMC Easing Period)

Basis Points

Basis Points

400

400

350

350

300

300

250

250

200

200

150

150

100

100

50

50

0

0

1/01

1/00

1/99

1/98

1/97

1/96

1/95

1/94

1/93

1/92

-100
1/91

-100
1/90

-50
1/89

-50

10-year and 30-year Treasury Yields
January 6, 1989 - May 11, 2001
(Shaded Area Represents FOMC Easing Period)

Percent

Percent

10.00

10.00

9.00

9.00
30-Year Bond Yield

8.00

8.00

7.00

7.00

6.00

6.00

5.00

5.00

10-Year Note Yield

Sources: Bloomberg

1/01

1/00

1/99

1/98

1/97

1/96

1/95

1/94

1/93

1/92

1/91

1/90

4.00
1/89

4.00

Page 4
Domestic Credit Spreads to Comparable Treasuries
July 1, 2000 - May 11, 2001

Basis points

Basis Points

850

300
Merril Lynch High Yield (LHS)

800
750

250
200

A2 Industrial Corporates (RHS)

700

150
10-Year US Interest Rate Swaps (RHS)

650

100

600

50
10-Year Fannie Mae Benchmark (RHS)

550
7/00

0
8/00

9/00

10/00

11/00

12/00

1/01

2/01

3/01

4/01

Commercial Paper (A1/P1 vs. A2/P2)
July 1, 2000 - May 11, 2001

Basis Points

130

5/01

Basis Points

130

Year End
30-Day

110

110

90

90

70

70

50

50
90-Day

30

30

10
7/00

10
8/00

9/00

10/00

11/00

12/00

1/01

2/01

3/01

4/01

5/01

Page 5

Total Individual and Federal Tax Deposits
April - May Levels and Percent Growth over Prior Year

$ Billions
550

8.4%
14.0%
450

7.1%
10.3%
350

250

150
Actual
1998

Actual
1999

Actual Treasury Balances

$ Billions

NY Estimate
2001
Reflecting actual data
through 5/11/01

April 2 to May 11 2001

100
90

Actual
2000

TT&L Capacity (Including Special Direct Investment)

80
70
60

General Balance (Fed plus TT&L)

50
40
30
20
Fed Balance

10
0
4/2

4/5

4/8

4/11

4/14

4/17

4/20

4/23

4/26

4/29

5/2

5/5

5/8

5/11

Page 6

Total Outright Purchases

$ billions

80
70

FOMC 1/3
Net Portfolio
Expansion
-50 bp

$ billions

80

FOMC 1/31
Purchases
to Offset Redemptions
-50 bp

30-Year Yield

60

70
60

50

10-Year Yield

50

40

40

30

30
2-Year Yield

20

20

10

10

0

0
1996

1997

1998

1999

2000

2001*
(Forecast)

Number of Outright Market Operations
80

80

70

70

60

60

50

50

40

40

30

30

20

20

10

10

0

0
1996

1997

1998

1999

2000

2001*
(Forecast)

* The projected purchases, redemptions and net expansion in the SOMA in 2001 assume:
(1) 5 percent currency expansion (saar) over the second half of the year; (2) no change in outstanding long-term
RPs from their current $12 billion level, except for a temporary increase to meet any seasonal increase in currency
ahead of the year-end; and (3) no changes in the maturity distribution of new Treasury security issuance and in the
Desk’s purchases. Actual purchases in 2001 through May 14 have totaled $28 billion, and redemptions have
totaled $12 billion.