fomc 20040921 material
TRANSCRIPT
Appendix 1: Materials used by Mr. Kos
September 21, 2004 90 of 100
1.00
1.50
2.00
2.50
3.00
3.50
6/14 6/29 7/14 7/29 8/13 8/28 9/121.00
1.50
2.00
2.50
3.00
3.50
160
170
180
190
200
6/14 6/29 7/14 7/29 8/13 8/28 9/12160
170
180
190
200
Page 1Current U.S. 3-Month Deposit Rates and
Rates Implied by Traded Forward Rate AgreementsJune 14, 2004 – September 17, 2004
LIBOR Fixing 3M Forward 6M Forward 9M Forward PercentPercent
Yield Spread between 2-and 10-Year Treasury NotesJune 14, 2004 – September 17, 2004Basis Points Basis Points
8/6 July NFP +32K
7/2 June NFP +112K
7/20 Chairman’sTestimony
6/30 FOMC +25 bps
9/3 August NFP +144K
8/6 July NFP +32K
7/2 June NFP +112K
7/20 Chairman’sTestimony
6/30 FOMC +25 bps
9/3 August NFP +144K
8/10 FOMC +25 bps
8/10 FOMC +25 bps
2.2
2.5
2.8
3.1
6/14 6/29 7/14 7/29 8/13 8/28 9/122.2
2.5
2.8
3.1
4.0
4.3
4.6
4.9
6/14 6/29 7/14 7/29 8/13 8/28 9/124.0
4.3
4.6
4.9
2-Year Treasury YieldJune 14, 2004 through September 17, 2004
10-Year Treasury YieldJune 14, 2004 through September 17, 2004
PercentPercent PercentPercent
Aug 10FOMC Meeting
Aug 10FOMC Meeting
June 30FOMC Meeting
June 30FOMC Meeting
September 21, 2004 91 of 100
Page 2
-50
0
50
100
150
1 2 3 4 5 6 7 8 9 10 11-50
0
50
100
150
2-Year Treasury Yields During Fed Tightening CyclesBasis PointsBasis Points
Weeks From Start of Tightening
1997
1994
1999
2004
-100
-50
0
50
100
150
1 2 3 4 5 6 7 8 9 10 11-100
-50
0
50
100
150
10-Year Treasury Yields During Fed Tightening CyclesBasis PointsBasis Points
Weeks From Start of Tightening
1997
1994
1999
2004
-10-505
10152025
1 2 3 4 5 6 7 8 9 10 11-10-50510152025
10-Year Swap Spread During Fed Tightening Cycles Basis PointsBasis Points
Weeks From Start of Tightening
1997
1994
1999
2004
September 21, 2004 92 of 100
Page 3
225
235
245
255
265
6/14 6/29 7/14 7/29 8/13 8/28 9/12225
235
245
255
265
10-Year TIPS Breakeven RateJune 14, 2004 – September 17, 2004
Basis Points Basis Points
30
35
40
45
50
6/14 6/29 7/14 7/29 8/13 8/28 9/1230
35
40
45
50
Oil Futures PricesJune 14, 2004 – September 17, 2004
Source: Barclays
10-Year TIPS Breakeven
350
400
450
500
550
6/14 6/29 7/14 7/29 8/13 8/28 9/12350
400
450
500
550
High Yield and EMBI+ SpreadsJune 14, 2004 – September 17, 2004
Basis Points Basis Points
Source: Merrill Lynch, JP Morgan
Merrill Lynch High YieldBond Index OAS
EMBI+
90
93
96
99
102
6/14 6/29 7/14 7/29 8/13 8/28 9/1290
93
96
99
102
Corporate Debt SpreadsJune 14, 2004 – September 17, 2004
Source: Lehman Brothers
Basis PointsBasis Points
Investment GradeCorporate Index OAS
$/Barrel $/Barrel
Front WTIContract
Twelfth WTIContract
92
96
100
104
108
112
116
6/14 6/29 7/14 7/29 8/13 8/28 9/1292
96
100
104
108
112
116
Select Equity IndicesJune 14, 2004 – September 17, 2004
Index:100 =6/14/04
Index:100 = 6/14/04
KOSPI
S&P 500
NikkeiDAX
FTSE
September 21, 2004 93 of 100
Page 4
3
6
9
12
15
May-99 Nov-99 May-00 Nov-00 May-01 Nov-01 May-02 Nov-02 May-03 Nov-03 May-043
6
9
12
15Basis Points Basis Points
10
20
30
40
50
Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-0410
20
30
40
50
Implied Volatility on S&P500 IndexJanuary 4, 1999 – September 17, 2004
VIX Index of ImpliedVolatility on S&P500
Percent Percent
Implied Volatility of Major Currency PairsJanuary 4, 1999 - September 17, 2004
5
10
15
20
25
Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-045
10
15
20
25Percent Percent
1-Month Implied Volatilityin Dollar-Yen
1-Month Implied Volatilityin Euro-Dollar
Implied Swaption VolatilityMay 3, 1999 - September 17, 2004
1-Month Volatility on10-Year Swaption
1-Month Volatility on2-Year Swaption
September 21, 2004 94 of 100
Daily Fed Funds Rates: High, Low and Effective Rates and Target RateJuly 22, 2004 – September 1, 2004
1/2
5/8
3/4
7/8
1
1 1/8
1 1/4
1 3/8
1 1/2
1 5/8
1 3/4
1 7/8
2
7/22 7/26 7/28 7/30 8/3 8/5 8/9 8/11 8/13 8/17 8/19 8/23 8/25 8/27 8/31
Effective RateTarget RateIntervention Rate
Page 5
Percent
Alternate Shading Represents
MaintenancePeriods
8/10 FOMC +25 bps
August 16Mid-quarter
Refunding
Daily Lows
8/13: 1/32%
8/16: 1/16%
8/17: 0.03%
Daily High 2.5%
-1000
0
1000
2000
3000
4000
5000
8/5 8/6 8/7 8/8 8/9 8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18-1000
0
1000
2000
3000
4000
5000
Average Excess Balances to DateAugust 5, 2004 – August 18, 2004$ Million $ Million
Median Levels for 2004
Maintenance PeriodEnded 8/18/2004
August 16Mid-quarter Refunding
8/10 FOMC +25 bps
September 21, 2004 95 of 100
Appendix 2: Materials used by Mr. Reinhart
September 21, 2004 96 of 100
September 21, 2004 97 of 100
September 21, 2004 98 of 100
September 21, 2004 99 of 100
September 21, 2004 100 of 100