11/6/01

100

APPENDIX

Charts used by Mr. Kos.

Page 1

Current Deposit Rates and Rates
Implied by Traded Forward Rate Agreements
August 1, 2001 to November 2, 2001
United States
Euro-area
Percent

LIBOR Fixing

3M Forward

9M Forward

Percent

United States and Euro-area

5.0

5.0
FOMC
Aug.21
-25 bp

ECB
Aug. 30
-25 bp

FOMC and ECB
Sep. 17
-50 bp

Sep. 11

FOMC
Oct. 2
-50 bp

4.5

4.5

4.0

4.0

3.5

3.5

3.0

3.0

2.5

2.5

Source: Bloomberg

2.0

8/1

8/15

2.0
8/29

9/12

9/26

10/10

10/24

Japanese Yield Curve
Percent
2.50

February 28, 2001, August 14, 2001 and November 5, 2001

Percent
2.50

Source: Bloomberg

2.00

2.00

2/28/2001

1.50

1.50

11/05/01
1.00

1.00

8/14/2001

0.50

0.50

0.00
3 mos

0.00
1 yr

2 yr

3 yr

7 yr

10 yr

20 yr

30 yr

Page 2

5-Year Japanese Government Bond Yield and Swap Rate

Percent
1.50

January 3, 2000 - November 2, 2001

1.25

Percent
1.50
1.25

5-Year Swap Rate

1.00

1.00

5-Year JGB Yield

0.75

0.75

0.50

0.50

0.25

0.25
Source: Bloomberg

0.00

Jan-00

Apr-00

0.00
Jul-00

Oct-00

Jan-01

Apr-01

Jul-01

Oct-01

10-Year Japanese Government Bond Yield and Swap Rate
Percent
2.50

January 3, 2000 - November 2, 2001

2.25

Percent
2.50
2.25

10-Year Swap Rate

2.00

2.00

1.75

1.75

1.50
1.25
1.00

1.50

10-Year JGB Yield

1.25

Source: Bloomberg

Jan-00

Apr-00

Index

1.00
Jul-00

Oct-00

Jan-01

Apr-01

Jul-01

Oct-01

Index

Topix Composite and Topix Bank Sub-Index
January 3, 2000 - November 2, 2001

01/03/00 = 100
110

01/03/00 = 100
110

Topix Bank Sub-Index

100

100

90

Topix Composite Index

90

80

80

70

70

60

60

50

Source: Bloomberg

Jan-00

Apr-00

50
Jul-00

Oct-00

Jan-01

Apr-01

Jul-01

Oct-01

Page 3

Foreign Currency Per Dollar

Index
08/01 = 100

Index

08/01 = 100

August 1, 2001 to November 2, 2001

105

105

Sep. 11

dollar appreciation

Japanese Yen

100

100

Euro

95

95

dollar depreciation

Swiss Franc

Source: Bloomberg

90

8/1

8/15

8/29

9/12

9/26

90

10/10

10/24

1-Month Option Implied Volatility for G-3 Currency Pairs
Percent

August 1, 2001 to November 2, 2001

16

Percent
16

Sep. 11

euro-yen

euro-dollar

14

14

12

12

10

10

8

8

dollar-yen
Source: JP Morgan Chase

6

8/1

8/15

6

8/29

9/12

9/26

10/10

10/24

1-Month Risk Reversals for G-3 Currency Pairs
Percent

August 1, 2001 to November 2, 2001

3

euro-dollar

3

euro-yen

Sep. 11

(+) = USD puts favored
(--) = USD calls favored

2

Percent

(+) = Euro calls favored
(--) = Euro puts favored

2

1

1

0

0

-1

-1

dollar-yen

-2

(+) = USD calls favored
(--) = USD puts favored

Source: JP Morgan Chase

-3
8/1

8/15

8/29

9/12

9/26

10/10

10/24

-2
-3

Page 4

Major Global Equity Indices

Index
9/10 = 100

Index

9/10 = 100

August 1, 2001 to November 2, 2001
Re-indexed from September 10, 2001

130

130

Nasdaq
120

DAX

120

Topix
110

110

S&P 500

100

100

FTSE

TSE 300

90

Source: Bloomberg

80
8/1

8/15

CAC

Sep. 10
closing levels

8/29

80
9/12

9/26

10/10

10/24

Major Emerging Market Equity Indices

Index
9/10 = 100

90

Index
9/10 = 100

August 1, 2001 to November 2, 2001
Re-indexed from September 10, 2001

120

Sep. 17
central bank rate cuts

110

120

Hang Seng

Bovespa

Mexican
Bolsa

100

110
100

90

90

80
Source: Bloomberg

70
8/1

8/15

8/29

80

Singapore

Sep. 10
closing levels

Merval
70

9/12

9/26

10/10

10/24

S&P 100 Volatility Index (VIX)
Percent

August 1, 2001 to November 2, 2001

Percent

50

50

40

40

30

30

Source: Bloomberg

20
8/1

8/15

20
8/29

9/12

9/26

10/10

10/24

Page 5

Emerging Market and U.S. High Yield Spreads

Basis Points
1200

August 1, 2001 to November 2, 2001
JP Morgan EMBI+
Sovereign Spread

Basis Points
1200

Sep. 11

1050

1050

900

900

750

750

Merrill Lynch
High-Yield Spread

Source: Bloomberg, JP Morgan Chase

600

8/1

8/15

8/29

9/12

9/26

10/10

600

10/24

10-Year U.S. Investment Grade Credit Spreads
Basis Points

August 1, 2001 to November 2, 2001

170

A2 Industrial Corporates

150

Basis Points
170

Sep. 11

150

130

130

110

110

Swap

90

Fannie Mae 6 %, 5/15/11

70

90

70

Source: Bloomberg

50

8/1

8/15

50

8/29

9/12

9/26

10/10

10/24

Implied Volatility for Options on Eurodollar Futures Contracts
August 1 2001 to November 2, 2001

Percent
40

Percent

40

Sep. 11

35

35

Dec. 2001 Eurodollar
Futures

30

30

25

25

20

20

15

Source: Bloomberg

8/1

8/15

15

8/29

9/12

9/26

10/10

10/24

Page 6

U.S. Treasury Coupon Yields

Percent

August 1, 2001 to November 2, 2001

6.00

FOMC Oct. 2
-50 bp

Sep. 11

FOMC Aug.21
-25 bp

Percent

5.00

30-year

5.00

10-year
FOMC Sep. 17
-50 bp

4.00

5-year

4.00

2-year

3.00

2.00

6.00

Refunding
Announcement
Oct. 31

Fed Funds Target

Source: Bloomberg

8/1

3.00

2.00

8/15

8/29

9/12

9/26

10/10

10/24

U.S. Benchmark Yield Curves
September 10, 2001 versus November 02, 2001

Percent

7.5
7.0
6.5
6.0
5.5
5.0
4.5
4.0
3.5
3.0
2.5
2.0

Percent
9/10/01
A2 Industrial Corporates

Fannie Mae
Swap

Treasuries

Source: Bloomberg

2

5

10

30

7.5
7.0
6.5
6.0
5.5
5.0
4.5
4.0
3.5
3.0
2.5
2.0

Percent

7.5
7.0
6.5
6.0
5.5
5.0
4.5
4.0
3.5
3.0
2.5
2.0

Percent

11/02/01

A2 Industrial Corporates

Fannie Mae
Swap

Treasuries

Source: Bloomberg

2

5

10

30

7.5
7.0
6.5
6.0
5.5
5.0
4.5
4.0
3.5
3.0
2.5
2.0

Page 7

Commercial Paper Spreads
August through February,

1997 - 1998, 2000 - 2001, 2001 - 2002

Basis points
Basis Points
30-Day A2/P2 - A1/P1 Spreads

140

140

2001 - 2002

Basis points
Basis Points
90-Day A2/P2 - A1/P1 Spreads

120

140

140

Year-End

2001 - 2002

120

Year-End

120

120

2000 - 2001

2000 - 2001

100

100

100

100

1997 - 1998

1997 - 1998

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

0

0

Source: Bloomberg

Source: Bloomberg

0

8/2 8/23 9/13 10/4 10/25 11/15 12/6 12/27 1/17 2/7 2/28

8/2 8/23 9/13 10/4 10/25 11/15 12/6 12/27 1/17 2/7 2/28

90-Day A1/P1 - 3 Month Treasury Bill Spreads

90-Day A2/P2 - 3 Month Treasury Bill Spreads

220

220

190

2001 - 2002

220
Year-End

2001 - 2002

220
Year-End

190

190

160

160

130

130

130

130

100

100

100

100

70

70

70

70

40

40

40

40

10

10

10

10

-20

-20

160

2000 - 2001
1997 - 1998

-20
-50

Source: Bloomberg

8/2 8/23 9/13 10/4 10/25 11/15 12/6 12/27 1/17 2/7 2/28

-50

-50

2000 - 2001
1997 - 1998

190
160

-20
Source: Bloomberg

8/2 8/23 9/13 10/4 10/25 11/15 12/6 12/27 1/17 2/7 2/28

-50

Page 8

General Collateral Repo Rate, On-the-Run Treasury Specials Rate
and Primary Dealer Fails to Deliver
January 1, 2001 to November 2, 2001 1
Percent
7

$ Billions

5 Year On-the-Run Treasury

Source: Govpx, FR2004

Sep. 11

6

70
60

5

50

GC Rate (LHS)

4

40

3

30

2

20

5 Year Specials Rate (LHS)
1

10

5 Year Fails
(RHS)

0
Jan-01

Mar-01

Percent
7

May-01

Jul-01

Sep-01

$ Billions

10 Year On-the-Run Treasury

Source: Govpx, FR2004

0
Nov-01

Sep. 11

6

70
60

10 Year Specials Rate (LHS)
5

50

GC Rate (LHS)
4

40

3

30

2

20

10 Year Fails
(RHS)

1
0
Jan-01

Mar-01

10

May-01

Jul-01

Sep-01

Between Sept. 12 and Sept. 17, there was no specials market trading activity. Under an informal market agreement, all
Treasuries traded at the general collateral rate to facilitate settlement and the squaring of positions.

1

0
Nov-01