Meeting of the Federal Open Market Committee
December 10, 2002 Presentation Materials -- Text Version
Presentation Materials (586 KB PDF)
Pages 78 to 87 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, and three-month, six-month, and nine-month forward rate agreements
Horizon: June 3, 2002 to December 6, 2002
Description: Since June, Libor and short-term forward rate agreement rates in the U.S and Euro-area decline.
Bottom panel
Title: 2-Year Treasury Note and Fed Funds Target Rate
Series: 2-Year Treasury note and Fed Funds target rate
Horizon: September 2, 2002 to December 6, 2002
Description: The 2-Year Treasury yield has changed little after the Fed Funds target rate cut.
Page 2
Top panel
Lehman Brothers Indices Spread to Treasuries
Top-left panel
Title: Mortgage-Backed Securities
Series: U.S. Mortgage-Backed securities option-adjusted spread
Horizon: September 2, 2002 to December 6, 2002
Description: The U.S. Mortgage-Backed securities option-adjusted spread has narrowed in the past month.
Top-right panel
Title: U.S. Investment Grade Corporates
Series: U.S. Investment Grade option-adjusted spread
Horizon: September 2, 2002 to December 6, 2002
Description: The U.S. Investment Grade option-adjusted spread has narrowed in the past month.
Middle-left panel
Title: U.S. High-Yield Index
Series: U.S. High-Yield Option-Adjusted Spread
Horizon: September 2, 2002 to December 6, 2002
Description: The U.S. High-Yield option-adjusted spread has narrowed in the past month.
Source: Merrill Lynch
Middle-right panel
Title: EMBI+ Sovereign Debt Spread
Series: EMBI+ sovereign debt spread
Horizon: September 2, 2002 to December 6, 2002
Description: The EMBI+ sovereign debt spread has narrowed in the past month.
Source: JP Morgan
Bottom panel
Title: Percent of Bonds Trading at Distressed Levels Categorized by Option-Adjusted Spread to Comparable Treasuries
Series: Percent of Investment Grade debt outstanding categorized by option-adjusted spread to comparable Treasuries on 10/15/2002, 11/15/2002, and 12/6/2002
Horizon: October 15, 2002 - December 6, 2002
Description: There have been a decreasing percentage of high-yield corporate bonds at distressed levels in recent weeks.
Source: Merrill Lynch
Page 3
Top panel
Title: S&P 100 Volatility Index (VIX)
Series: S&P 100 volatility index (VIX)
Horizon: September 2, 2002 to December 6, 2002
Description: Implied equity volatility has been declining seen mid-October.
Middle panel
Title: Euro-Area Deposit Rates Futures Implied Volatility
Series: Euro-Area Deposit rates futures implied volatility
Horizon: September 2, 2002 to December 6, 2002
Description: Euro-Area Deposit rates futures implied volatility
Bottom panel
Title: Exchange Rate Option-Implied Volatility
Series: 1-month and 12-month Dollar-Yen and Euro-Dollar Implied Volatility
Horizon: September 2, 2002 to December 6, 2002
Description: 1-month Dollar-Yen and Euro-Dollar implied volatility has declined and by more than 12-month implied volatility for the two currency pairs
Page 4
Commercial Paper Spreads
Top-left panel
Title: 30-Day A2/P2 - A1/P1 Spreads
Series: Spread between 30-day A2/P2 and A1/P1 commercial paper rates between 2000-2001, 2001-2002, and 2002-2003
Horizon: September through February
Description: The spread between 30-day A2/P2 and A1/P1 commercial paper rates widened ahead of year-end.
Top-right panel
Title: 90-Day A2/P2 - A1/P1 Spreads
Series: Spread between 90-day A2/P2 and A1/P1 commercial paper rates between 2000-2001, 2001-2002, and 2002-2003
Horizon: September through February
Description: The spread between 90-day A2/P2 and A1/P1 commercial paper rates widened ahead of year-end.
Bottom-left panel
Title: 90-Day A1/P1 - 3-Month Treasury Bill Spreads
Series: Spread between 90-day A1/P1 commercial paper rate and 3-Month Treasury bill yield between 2000-2001, 2001-2002, and 2002-2003
Horizon: September through February
Description: Spread between 90-day A1/P1 commercial paper rate and 3-Month Treasury bill yield widened ahead of year-end in 2000.
Bottom-right panel
Title: 90-Day A2/P2 - 3-Month Treasury Bill Spreads
Series: Spread between 90-day A2/P2 commercial paper rate and 3-Month Treasury bill yield between 2000-2001, 2001-2002, and 2002-2003
Horizon: September through February
Description: Spread between 90-day A2/P2 commercial paper rate and 3-Month Treasury bill yield widened ahead of year-end.
Source: Bloomberg
Page 5
Top panel
Title: European Equity Indices
Series: French CAC, UK FTSE, Spanish IBEX, and German DAX indices
Horizon: September 2, 2002 to December 6, 2002
Description: The French CAC, UK FTSE, Spanish IBEX, and German DAX indices have increased from mid-October levels.
Middle panel
Title: European Corporate Bond Spreads to 10-Year German Bund
Series: Index of A and BBB-rated Euro corporate spreads to 10-Year German Bunds
Horizon: September 2, 2002 to December 6, 2002
Description: Since September BBB-rated European corporate bond spreads to 10-Year German Bunds have narrowed slightly while A-rated European corporate bond spreads to 10-Year German Bunds are little changed.
Source: JP Morgan
Bottom panel
Title: Monthly Euro-Denominated Investment Grade Corporate Issuance
Series: Monthly Euro-denominated investment grade corporate issuance
Horizon: January 2001 - November 2002
Description: Monthly Euro-denominated investment grade corporate issuance has recovered from October but is still below levels seen in 2001.
Source: Morgan Stanley
Page 6
Top panel
Title: Dollar-Yen Exchange Rate
Series: Dollar-Yen exchange rate
Horizon: September 2, 2002 to December 6, 2002
Description: The Japanese Yen has weakened since September.
Middle panel
Title: Japanese Yield Curve
Series: Japanese sovereign debt yield curve
Horizon: January 2, 2002 - December 9, 2002
Description: The Japanese yield curve has shifted lower since January 2002.
Bottom panel
Title: Nikkei Index
Series: Nikkei index
Horizon: September 2, 2002 to December 6, 2002
Description: The Nikkei has declined since September but is up from levels seen in mid-October and mid-November.
Appendix 2: Materials used by Mr. Madigan
Material for Monetary Policy Briefing
December 10, 2002
Exhibit 1
Top panel
Market Reaction to the November 6 Monetary Policy Announcement
| (1) Wednesday 2:00 PM |
(2) Wednesday 2:30 PM |
(3) Wednesday 4:00 PM |
(4) Early Change (2)-(1) |
(5) Change through 4:00 PM (3)-(1) |
|
|---|---|---|---|---|---|
| Expected fed funds rates1 |
Percent | Basis points | |||
| 1. December | 1.36 | 1.23 | 1.22 | -13 | -14 |
| 2. January | 1.30 | 1.20 | 1.21 | -10 | -10 |
| 3. February | 1.25 | 1.192 | 1.18 | -6 | -8 |
| Treasuries | Percent | Basis points | |||
| 4. Two-year | 1.80 | 1.75 | 1.84 | -5 | 4 |
| 5. Five-year | 2.98 | 2.93 | 2.99 | -5 | 1 |
| 6. Ten-year | 4.03 | 4.00 | 4.03 | -3 | 1 |
| Equities | Index | Percent | |||
| 7. Wilshire | 8619 | 8647 | 8706 | ¼ | 1 |
1. Monthly average. Estimated based on federal funds and Eurodollar futures quotes with an allowance for term premiums. Return to table
2. Quote from 2:35 p.m. (Quote for 2:30 p.m. not available.) Return to table
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