Date post: | 21-Apr-2017 |
Category: |
Documents |
Upload: | fraser-federal-reserve-archive |
View: | 214 times |
Download: | 0 times |
Appendix 1: Materials used by Mr. Kos
November 6, 2002 112 of 122
Page 1
PercentPercent
U.S. Current Deposit Rates and RatesImplied by Traded Forward Rate Agreements
June 03, 2002 - November 04, 2002
Source: Bloomberg1.00
1.50
2.00
2.50
3.00
3.50
6/3 6/17 7/1 7/15 7/29 8/12 8/26 9/9 9/23 10/7 10/21 11/41.00
1.50
2.00
2.50
3.00
3.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
6/3 6/17 7/1 7/15 7/29 8/12 8/26 9/9 9/23 10/7 10/21 11/40.5
1.0
1.5
2.0
2.5
3.0
3.5
Duration of Lehman Brothers Mortgage Index and the 10-Year Treasury YieldJune 03, 2002 - November 04, 2002 YearsPercent
Source: Lehman Brothers, Bloomberg
10-Year Treasury Yield (LHS)
S&P 500 Price and 10-Year Note Yield Changes100-Day Rolling Correlation
-1.0
-0.5
0.0
0.5
1.0
Jan-88 Jan-90 Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02-1.0
-0.5
0.0
0.5
1.0
FOMCAug. 13
FOMCSept. 24
FOMCSept. 24
FOMCAug. 13Duration of Lehman Brothers
Mortgage Index (RHS)
Source: Bloomberg
LIBOR Fixing 3M Forward 6M Forward 9M Forward
WashingtonPost articleOct. 26
November 6, 2002 113 of 122
Page 2
U.S. Investment Grade Option-Adjusted SpreadJanuary 02, 2002 - November 04, 2002
Basis Points
140160180200220240260280
Jan-02 Apr-02 Jul-02 Oct-02140160180200220240260280
Source: Lehman Brothers
550
650
750
850
950
1050
Jan-02 Apr-02 Jul-02 Oct-02550
650
750
850
950
1050Source: Merrill Lynch
U.S. High Yield Spread to 10-Year TreasuryJanuary 02, 2002 - November 04, 2002
Basis Points Basis Points Basis Points
Corporate Credit Spreads to U.S. Treasuries
0%
10%
20%
30%
40%
50%
60%
0-100 100-200 200-300 300-400 400+0%
10%
20%
30%
40%
50%
60%10/25/200010/25/200110/25/2002
Basis Points Basis Points Basis Points Basis Points Basis Points
PercentPercentSource: Merrill LynchInvestment Grade Index
Percent of Investment Grade Debt Outstanding Categorized byOption-Adjusted Spread to Comparable Treasuries
0
100
200
300
400
500
600
700
Jan-02 Feb-02 Mar-02 Apr-02 May-02 Jun-02 Jul-02 Aug-02 Sep-02 Oct-02 Nov-020
100
200
300
400
500
600
700Ford (1st largest issuer)GM (3rd largest)Household Finance (6th largest)AT&T (9th largest)
Select Large Corporate Bond Issuers: 10-Year Spreads to Treasuries January 02, 2002 - November 04, 2002 Basis PointsBasis Points
Source: Lehman Brothers
November 6, 2002 114 of 122
Page 3
0
50
100
150
200
250
300
Jan-01 May-01 Sep-01 Jan-02 May-02 Sep-020
50
100
150
200
250
300
Index of Euro Corporate Spreads to Comparable German Government DebtJanuary 02, 2001 - November 04, 2002 Basis
PointsBasisPoints
Source: JP Morgan
AA
BBB
A
AAA
0
10
20
30
40
50
Jan-01 May-01 Sep-01 Jan-02 May-02 Sep-020
10
20
30
40
50
Monthly Euro-Denominated Investment Grade Corporate IssuanceJanuary 2001 - October 2002 USD Billions
EquivalentUSD BillionsEquivalent
Source: Morgan Stanley
Euro-Area Current Deposit Rates and RatesImplied by Traded Forward Rate Agreements
June 03, 2002 - November 04, 2002
2.50
3.00
3.50
4.00
4.50
6/3 6/17 7/1 7/15 7/29 8/12 8/26 9/9 9/23 10/7 10/21 11/42.50
3.00
3.50
4.00
4.50
Source: Bloomberg
Percent PercentLIBOR Fixing 3M Forward 6M Forward 9M Forward
November 6, 2002 115 of 122
0.9
1.0
1.1
1.2
1.3
1.4
1.5
6/3 6/17 7/1 7/15 7/29 8/12 8/26 9/9 9/23 10/7 10/21 11/40.9
1.0
1.1
1.2
1.3
1.4
1.5
Japanese Government 10-Year Benchmark YieldJune 03, 2002 - November 05, 2002
Page 4
PercentPercent
40
50
60
70
80
90
100
110
6/3 6/17 7/1 7/15 7/29 8/12 8/26 9/9 9/23 10/7 10/21 11/440
50
60
70
80
90
100
110
Topix Bank Index UFJMTFG SumitomoMizuho
Japanese Bank StocksJune 03, 2002 - November 05, 2002 Index
6/3/02=100Index6/3/02=100
Source: Bloomberg
Source: Bloomberg
BOJ stockpurchase planSept. 18
BOJ stockpurchase planSept. 18
Cabinet reshuffleSept. 30
Cabinet reshuffleSept. 30
BOJ & FSAannouncements
Oct. 30
BOJ & FSAannouncements
Oct. 30
November 6, 2002 116 of 122
575
600
625
650
675
2/6/2002 4/9/2002 6/10/2002 8/11/2002 10/12/2002 12/13/2002575
600
625
650
675
Permanent SOMA
Long-Term RPs
Short-Term Operations
Total Domestic Portfolio: Permanent SOMA Holdings, Long-Term RPs,and Short Term Operations (RPs less Matched Sale-Purchase Agreements)
Maintenance Period Averages, Billions of DollarsFebruary 2002 to February 2003
Level of Entire Portfolio (reflects levelof all autonomous factors plus requiredand excess Fed balances)
Actual
Forecast
Page 5
2/5/2003
November 6, 2002 117 of 122
Appendix 2: Materials used by Mr. Reinhart
November 6, 2002 118 of 122
November 6, 2002 119 of 122
November 6, 2002 120 of 122
November 6, 2002 121 of 122
November 6, 2002 122 of 122