Meeting of the Federal Open Market Committee
August 13, 2002 Presentation Materials -- Text Version
Presentation Materials (357 KB PDF)
Pages 88 to 92 of Transcript
Appendix 1: Materials used by Mr. Kos
Page 1
Top panel
Title: Current Deposit Rates and Rates Implied by Traded Forward Rate Agreements
Series: U.S. and Euro-area LIBOR fixing; U.S. and Euro-area 3-month forward rate agreement; U.S. and Euro-area 9-month forward rate agreement
Horizon: April 1, 2002 - August 9, 2002
Description: U.S. and Euro-area rates decline over the period.
Source: Bloomberg
Bottom panel
Title: Current Deposit Rates and Rates Implied by Traded Forward Rate Agreements
Series: Japanese LIBOR Fixing; Japanese 3-month forward rate agreement; Japanese 9-month forward rate agreement
Horizon: April 1, 2002 - August 9, 2002
Description: Japanese LIBOR and 3-month forward rate agreements steady, 9-month forward agreement rate declines modestly.
Source: Bloomberg
Page 2
Top panel
Title: Weekly Investment-Grade Corporate Bond Issuance
Series: Investment-grade corporate bond issuance as reported by International Financing Review.
Horizon: 2001 and 2002 year-to-date
Description: Recent bond issuance lower than 2001 levels.
Source: International Financing Review
Middle panel
Title: Investment-Grade Spreads over Treasuries
Series: The Lehman Index option-adjusted spread
Horizon: April 1, 2002 - August 9, 2002
Description: The investment-grade spread over Treasuries widened significantly from June to August, 2002.
The Lehman Index Option-Adjusted Spread did not exceed 150 basis points until 1999 and did not exceed 200 basis points until 2002.
Source: Lehman Brothers
Bottom-left panel
Title: Corporate Debt: Spreads over Treasuries
Series: Ford Motor Credit Co. 7.25% 10/25/11 spread to 10-year U.S. Treasury; GMAC 7.2% 1/15/11 spread over 10-year U.S. Treasury
Horizon: July 23, 2002 - August 9, 2002
Description: Spread on Ford Motor Credit and GMAC securities shown widened over the period.
Source: Lehman Brothers
Bottom-right panel
Title: Corporate Debt: Corporate Debt Bid/Ask Spreads
Series: Ford Motor Credit Co. 7.25% 10/25/11 bid/ask spread; GMAC 7.2% 1/15/11 bid/ask spread
Horizon: July 23, 2002 - August 9, 2002
Description: The bid/ask spread of the Ford Motor Credit and GMAC securities shown widened over the period.
Source: Lehman Brothers
Page 3
Top panel
Title: Implied Volatility on the S&P 100 (VIX Index)
Series: The VIX Index
Horizon: April 1, 2002 - August 9, 2002
Description: Implied volatility on the S&P 100 increased over the period.
Source: Bloomberg
Middle panel
Title: Short- and Intermediate Swaption Volatility Index
Series: Lehman Brothers short- and intermediate swaption volatility index
Horizon: April 1, 2002 - August 9, 2002
Description: Short- and intermediate swaption volatility increased of the period.
Source: Lehman Brothers
Bottom panel
Title: G-3 Currency 1-Month Option-Implied Volatility
Series: Dollar-yen, euro-dollar, and euro-yen 1-month option-implied volatility
Horizon: April 1, 2002 - August 9, 2002
Description: Volatility implied by 1-month options on dollar-yen, euro-dollar, and euro-yen currency pairs decline following a rise in June and early July.
Source: UBS Warburg
Page 4
Top panel
Title: U.S. Dollar v. Currencies
Series: U.S. dollar appreciation or depreciation against the Japanese yen, Canadian dollar, Australian dollar, euro-dollar, and Swiss franc.
Horizon: April 1, 2002 - August 9, 2002
Description: The U.S. dollar appreciated against the Australian dollar and Canadian dollar, but depreciated against the Swiss franc, euro-dollar, and Japanese yen.
Source: Bloomberg
Middle panel
Title: Global Equities
Series: The Nikkei index, S&P 500 index, DAX index, CAC index, and TSX index.
Horizon: April 1, 2002 - August 9, 2002
Description: Major global equity indices declined over the period.
Source: Bloomberg
Bottom panel
Title: Global Government Yield Curves (10-year minus 2-year)
Series: U.S., Canadian, U.K., German, and Japanese yield curve spreads.
Horizon: April 1, 2002 - August 9, 2002
Description: U.S., Canadian, and U.K. yield curves steepened, while the German and Japanese yield curves were little changed.
Source: Bloomberg
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