10/2/01

89

APPENDIX

Charts used by Mr. Kos.

Page 1

3-Month Deposit Rates

August 1, 2001 - September 28, 2001
Current Deposit Rate and Rates Implied by Traded Forward Rate Agreements

Percent
4.75

United States
Euro-area
Japan

LIBOR Fixing

9-Mo. Forward

3-Mo. Forward

Percent
4.75

United States

Fed, ECB, BOJ ease;
stock markets re-open

U.S. Employment Data

4.25

4.25

3.75

3.75

3.25

3.25

2.75

2.75

2.25
4.75

Source: Bloomberg FOMC: 8/21

9/7 9/11

Euro-area

9/17

2.25

Fed, ECB, BOJ ease;
stock markets re-open

4.25

4.75
4.25

3.75

3.75

3.25

3.25

2.75

2.75

2.25
0.25

Source: Bloomberg

9/11

FOMC: 8/21

9/17

Japan

2.25

Fed, ECB, BOJ ease;
stock markets re-open

0.20

0.25
0.20

0.15

0.15

0.10

0.10

0.05

0.05

0.00

Source: Bloomberg FOMC: 8/21
8/1

8/15

9/17

9/11
8/29

9/12

0.00
9/26

Page 2

U.S. Treasury Coupon Yields

August 1, 2001 - September 28, 2001

Percent

6.0

Percent

6.0

30-Year Bond

5.5

5.5

5.0

5.0
10-Year Note

4.5

2-Year Note

4.0

4.5

U.S. Employment
Data Sep. 7

4.0

3.5

3.5
Fed Funds Target Rate

3.0
Source: Bloomberg

2.5

9/7

FOMC: 8/21

8/1

8/15

3.0
9/11

8/29

2.5
9/12

9/26

G-3 Government Yield Curves
August 1, 2001 - September 28, 2001

Basis Points

200

Basis Points

200

Source: Bloomberg

2-10 Year U.S. Treasury Spread

170

170

2-10 Year JGB Spread

140

140

110

110

2-10 Year German Bund Spread

80

80

FOMC: 8/21

50

8/1

8/15

9/11

8/29

9/12

50

9/26

Emerging Market and U.S. High-Yield Spreads
August 1, 2001 - September 28, 2001

Basis Points

1100

Basis Points

1100

Source: Bloomberg

1000

1000

JPM EMBI+ Spread

900

800

900

800

Merrill Lynch High-Yield Spread

700

700

9/11

FOMC: 8/21

600

8/1

8/15

8/29

9/12

600

9/26

Page 3

U.S. Equity Indices

Index
7/2 = 100

Index
7/2 = 100

July 2, 2001 - September 28, 2001

110

110
DJIA

100

100

90

90
Nasdaq

80
70
60

80

S&P 500

Source: Bloomberg

7/2

7/16

FOMC: 8/21

7/30

8/13

8/27

9/10

Major Global Equity Indices

Index
7/2 = 100

70

U.S. Markets Closed
Morning of 9/11 - 9/14

60
9/24

Index
7/2 = 100

July 2, 2001 - September 28, 2001

110

110
TSE 300

FTSE

100

CAC

90
80
DAX

70
60

100

Source: Bloomberg

7/2

7/16

80

Topix
DJ Euro
Stoxx

FOMC: 8/21

7/30

8/13

70
9/11

8/27

9/10

Major Emerging Market Equity Indices

Index
7/2 = 100

90

9/24
Index
7/2 = 100

July 2, 2001 - September 28, 2001

105

60

105

Singapore

95

95

85

85

75

Hang
Merval
Seng

65
55

Source: Bloomberg

7/2

7/16

FOMC: 8/21

7/30

8/13

75

Mexican
Bolsa
Brazil
Bovespa

65
9/11

8/27

9/10

55
9/24

Page 4

Major Currencies per U.S. Dollar

Index

8/1 = 100

Index

8/1 = 100

August 1, 2001 - September 28, 2001

115

Canadian
Dollar

109

115

British Pound

109

Brazilian Real

Australian Dollar

103

97

97

91

85

103

Source: Bloomberg

8/1

Euro

9/11

8/15

8/29

9/12

Yen per

USD

125

August 1, 2001 - September 28, 2001
Japanese Intervention on
September 17, 19, 21, 24, 26, 27, 28

123

85

9/26

Japanese Yen per U.S. Dollar

Yen per

USD

125

91

Swiss Franc

Japanese Yen

123

121

121

119

119

117

117

Source: Bloomberg

115

8/1

9/11

8/15

8/29

9/12

U.S. Dollars per Euro

USD per
Euro

9/17

115

9/26

USD per

Euro

August 1, 2001 - September 28, 2001

0.95

0.95

0.93

0.93

0.91

0.91

0.89

0.89

0.87

0.87

0.85

Source: Bloomberg

8/1

9/11

8/15

8/29

0.85
9/12

9/26

Page 5

Implied Volatility
July 2, 2001 - September 28, 2001
Percent
16

1-Month Euro-dollar and Dollar-yen Option Volatility

Percent
16
14.7 %
Sep. 17

14.55 %, Sep. 17

14

14

1-Month
Euro

12

12
1-Month
Yen

10
8

10
Source: Bloomberg

7/2

9/11

7/16

7/30

8/13

8/27

9/10

Implied Volatility on Options on the

December Eurodollar Futures Contract

Percent
50
42

8

9/24
Percent

50
42

39.07 %
Sep. 19

34
26

34
26

December Eurodollar Contract Volatility

18

18
10

Source: Bloomberg
7/2

7/16

9/11
7/30

8/13

8/27

9/10

CBOE OEX Volatility Index (VIX)

Percent
50

49.04 %
Sep. 20

42

10

9/24

Percent
50

42
34

34
VIX Index

26

26
18

18
10

Source: Bloomberg

7/2

7/16

Memo:
1998 Highs
1. 1-Month Dollar-Deutschmark
2. 1-Month Dollar-Yen

9/11

7/30

16.5%, Oct. 9
27.8%, Oct. 8

8/13

8/27

9/10

3. December Eurodollar Contract
4. VIX Index:

10
9/24

22.03%, Oct. 9
48.56%, Oct. 8

Page 7

R e s e r v e I m p a c t o f K e y A u to n o m o u s F a c t o r s , A u g . 2 1 to S e p .2 8
(b illio n s o f d o lla rs )
7 0
F X

S w a p s

6 0
5 0
4 0

F lo a t

3 0
2 0
1 0
0
-1 0
-2 0

F o r e ig n R P

P o o l

-3 0
-4 0
8 /2 1

9 /1 1

9 /1 7

A c c e p t e d A n d R e j e c te d P r o p o s it io n s o n D e s k S h o r t -T e r m

9 /2 4

1 0 /1

R P s (u p to 3 d a y s)

(b illio n s o f d o lla rs )

9 0
8 0

A c c e p te d P r o p o s itio n s

7 0
6 0
5 0
4 0
3 0
R e je c t e d P r o p o s it io n s

2 0
1 0
0

8 /2 1

9 /1 1

O u ts ta n d in g T e r m

9 /1 7

9 /2 4

1 0 /1

a n d O v e r n ig h t R P s

(b illio n s o f d o lla rs )
1 0 0

O v e rn ig h t

9 0

R P s

8 0

7 0

6 0

5 0

4 0

T e rm

3 0

R P s

2 0

1 0

0

8 /2 1

N o te : te rm

R P s in c lu d e p re v i o u s ly o u ts ta n d in g a n d n e w ly s e t tlin g te r m

9 /1 1
R P s

9 /1 7

9 /2 4

1 0 /1

14

8 /2 1 /2 0 0 1
8 /2 2 /2 0 0 1
8 /2 3 /2 0 0 1
8 /2 4 /2 0 0 1
8 /2 7 /2 0 0 1
8 /2 8 /2 0 0 1
8 /2 9 /2 0 0 1
9 /4 /2 0 0 1
9 /5 /2 0 0 1
9 /6 /2 0 0 1
9 /1 0 /2 0 0 1
9 /1 1 /2 0 0 1
9 /1 2 /2 0 0 1
9 /1 3 /2 0 0 1
9 /1 4 /2 0 0 1
9 /1 7 /2 0 0 1
9 /1 8 /2 0 0 1
9 /1 9 /2 0 0 1
9 /2 0 /2 0 0 1
9 /2 1 /2 0 0 1
9 /2 4 /2 0 0 1
9 /2 5 /2 0 0 1
9 /2 6 /2 0 0 1
9 /2 7 /2 0 0 1
9 /2 8 / 2 0 0 1

Daily Security Lending Volume

$ Billion

(August 21 to September 28)

Page 8

$ Billion

14

12

12

10

10

8

8

6

6

4

4

2

2

0

0

Number of Issues

(August 21 to September 28)

70

70

60

60

50

50

40

40

30

30

20

20

10

10

0

0