fomc 20030401 material

Appendix 1: Materials used by Mr. Reinhart

April 1, 2003 16 of 34

Exhibit 1Treasury Securities Market

3.7

3.8

3.9

4.0

4.1

4.2

1.5

1.6

1.7

1.8

1.9Percent Percent

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01

8:00 Deadline Last Monday4:00 pm

Two- and Ten-year Treasury Yields

Note. Treasury yield shown is that of the on-the-run issue.

Five-minute intervals

Two-year(right scale)

Ten-year(left scale)

1/4 2 5 10 301

2

3

4

5

6Percent

Treasury Yield Curve

March 19, 2003 4:00 pm

April 1, 2003 12:00 pm

Maturity in YearsJan. Feb. Mar.

2003

1.6

1.8

2.0

2.2

2.4

2.6Percent

Ten-year TIPS Yield

+

Daily

+ denotes today’s observation (taken at approximately 12:00 pm).

Selected Treasury Yields

Nominal

Indexed

4. Ten-year

1. Two-year

2. Five-year

3. Ten-year

1.48

2.71

3.82

1.70

2.97

3.98

-22

-26

-16

1.94 2.10 -16

Today4/1/03*

(1)

Wednesday3/19/03

(2)Change(1)-(2)

-basis points-

-basis points-

* Quotes taken at approximately 12:00 pm.

April 1, 2003 17 of 34

Exhibit 2Equity Market

100

102

104

106

108

110

112 3/13/03 9:30 am = 100

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01

Last Monday4:00 pm

Major Stock Indexes


NasdaqWilshire 5000

S&P 500

32

34

36

38

40 Percent

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01

Last Monday4:00 pm

S&P 100 Implied Volatility (VIX)


Selected Equity Market Quotes

Major Indexes

Option-Implied Volatility

4. S&P 100 (VIX)

1. Wilshire 5000

2. S&P 500

3. Nasdaq

8082.23

851.94

1343.92

8258.42

874.02

1397.08

-2.1

-2.5

-3.8

32.45 35.74 -3.29

Today4/1/03*

(1)

Wednesday3/19/03

(2)Change(1)-(2)

-percent-

-percentage points-


April 1, 2003 18 of 34

Exhibit 3Monetary Policy Expectations

1.04

1.06

1.08

1.10

1.12

1.14

1.16

1.18

1.20

1.8

2.0

2.2

2.4

2.6 Percent

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01

Last Monday4:00 pm

Interest Rate Futures


May 2003 Fed FundsFutures (left scale)

Mar. 2004 EurodollarFutures (right scale)

Mar. July Nov. Mar. July Nov. Mar. July2003 2004 2005

1.0

1.5

2.0

2.5

3.0

3.5

4.0Percent

April 1, 2003 12:00 pm

March 19, 2003 3:30 pm

Expected Federal Funds Rates*

*Estimates from federal funds and eurodollar futuresJan. Feb. Mar.

2003

20

30

40

50

60PercentShort-term Eurodollar Implied Volatility*

Daily

*Contract with approximately 3 months to expiration.

50

60

70

80

90

100

110

120 Percent

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01

Last Monday4:00 pm

Probability of 1.00% target as opposed to 1.25% target*

*Represents the probability that the target funds rate will be 1.00% following the May 6 FOMC meeting. Calculation based on May 2003 federal funds futures contract.


April 1, 2003 19 of 34

Exhibit 4Selected Credit Market Indicators

+ denotes today’s observation (taken at approximately 12:00 pm).

41

42

43

44

45

46

47 Basis Points

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 03/25 03/26 03/27 03/28 03/31 04/01

Last Monday4:00 pm

Ten-year Swap Spread


Stock Prices and Credit Default Swap Premia for Selected Financial Intermediaries

1. Bank of America

2. Citigroup

3. Goldman Sachs

4. Lehman Brothers

5. Merrill Lynch

67.54

35.05

69.07

58.75

35.95

69.50

35.46

70.27

59.69

36.74

-2.8

-1.2

-1.7

-1.6

-2.2

28.0

28.0

48.0

43.0

53.0

31.0

34.0

56.8

54.2

56.8

-3.0

-6.0

-8.8

-11.2

-3.8

Stock Prices CDS PremiaToday4/1/03*

(1)

Wednesday3/19/03

(2)Change(1)-(2)

Today4/1/03*

(3)

Wednesday3/19/03

(4)Change(3)-(4)

-percent- -basis points-


Jan. Feb. Mar.

2003

26

27

28

29

30

31

32PercentSwaption Implied Volatility (Ten-year Swap Rate)

Three-months ahead

One-year ahead

+

+

Daily

April 1, 2003 20 of 34

Exhibit 5Actual and Implied Volatilities

Last observation: March 31, 2003

May Oct. Apr. Oct. Apr. Oct. Apr. Oct. Apr. Oct.1998 1999 2000 2001 2002 2003

20

40

60

80

100

120Percent

Implied VolatilityActual Volatility

Nasdaq Volatilities

Feb. May Aug. Nov. Feb.2002 2003

30

40

50

60

70Percent


10

20

30

40

50

60

70Percent


S&P 100 Volatilities


20

30

40

50

60

70Percent


10

15

20

25

30

35

40Percent


Ten-Year Swap Volatilities


20

25

30

35

40Percent


10

20

30

40

50

60

70Percent


Two-Year Swap Volatilities


30

40

50

60

70Percent

April 1, 2003 21 of 34

Exhibit 6Term Structure of Forward Swap Rate Volatilities*

(Annual Yield Volatilities, Percent)

*Implied by swaptions

1/4 1/2 1 2 3 4 5 6 7 8 9 10

10

20

30

40

50

60

70

80Percent

March 31, 2003March 17, 2003

Years Ahead

One-year Swap Rate

1/4 1/2 1 2 3 4 5 6 7 8 9 10

10

20

30

40

50

60

70

80Percent

March 31, 2003March 17, 2003

Years Ahead

Two-year Swap Rate

1/4 1/2 1 2 3 4 5 6 7 8 9 10

10

20

30

40

50

60

70

80Percent

March 31, 2003March 17, 2003

Years Ahead

Five-year Swap Rate

1/4 1/2 1 2 3 4 5 6 7 8 9 10

10

20

30

40

50

60

70

80Percent

March 31, 2003March 17, 2003

Years Ahead

Ten-year Swap Rate

April 1, 2003 22 of 34

Appendix 2: Material used by Ms. Johnson

April 1, 2003 23 of 34

STRICTLY CONFIDENTIAL (FR) CLASS II-FOMC

Recent Developments in International Financial Markets

April 1, 2003

Note: Data for April 1 are as of 10 a.m. EST.

April 1, 2003 24 of 34

Chart 1 04-01-03

94

96

98

100

102

104

106

108

Jan Feb Mar

Daily

FOMC Mar 12 FOMC

Indexes of Trade-Weighted Value of the Dollar

Major currencies

Other importanttrading partners

Broad

Change since 3/12Major curr.BroadOITP

0.7% 0.1% -0.7%

Index, March 12, 2003 = 100

94

96

98

100

102

104

106

108

Jan Feb Mar

Daily

FOMC Mar 12 FOMC

Selected Exchange Rates(Foreign currency per dollar)

Yen

Euro

Sterling

Canadian dollar

Swiss franc

Change since 3/12Can. dollarSwiss francEuroYenSterling

-0.2% 1.7% 1.1% 0.9% 2.5%

Index, March 12, 2003 = 100

April 1, 2003 25 of 34

Chart 2 04-01-03

Selected Yield Curves

0

1

2

3

4

3-Month Eurocurrency Futures Rates

J S D M J S D M2003 2004 2005

April 1, 2003March 24, 2003March 17, 2003 (FOMC)

YenPercent

2

3

4

5

6

J S D M J S D M2003 2004 2005

EuroPercent

2

3

4

5

6

J S D M J S D M2003 2004 2005

SterlingPercent

1

2

3

4

5

6

7

J S D M J S D M2003 2004 2005

DollarPercent

2004 2006 2008 2010 20120

1

2

3

4

1-Year Forward Rates Derived From Swaps

April 1, 2003March 24, 2003March 17, 2003 (FOMC)

YenPercent

2004 2006 2008 2010 20122

3

4

5

6

EuroPercent

2004 2006 2008 2010 20122

3

4

5

6

SterlingPercent

2004 2006 2008 2010 20121

2

3

4

5

6

7

DollarPercent

April 1, 2003 26 of 34

Chart 3 04-01-03

Stock Market Indexes

90

95

100

105

110

115

120

125

130

135

Jan Feb Mar

(Ratio scale, Index, March 12, 2003 = 100, daily data)

FOMC Mar 12 FOMC

DJ Euro

DJ Euro Tech

DJ Euro Bank

Change since 3/12 DJ EuroDJ Euro TechDJ Euro Bank

9.1% 8.6% 9.9%

Euro Area

90

95

100

105

110

115

120

125

130

135

Jan Feb Mar

FOMC Mar 12 FOMC

FTSE-350 FTSE-techMark

FTSE-Bank

Change since 3/12FTSE-350FTSE-TechFTSE-Bank

10.8% 7.1%

10.5%

United Kingdom

90

95

100

105

110

115

120

125

130

135

Jan Feb Mar

FOMC Mar 12 FOMC

TOPIX

TOPIX-EM

TOPIX-Bank

Change since 3/12TOPIXTOPIX-EMTOPIX-Bank

0.8% 0.7% -3.6%

Japan

90

95

100

105

110

115

120

125

130

135

Jan Feb Mar

FOMC Mar 12 FOMC

S&P 500

NASDAQ

S&P Banks

Change since 3/12S&P 500NASDAQS&P Bank

5.6% 5.0% 9.3%

United States

April 1, 2003 27 of 34

Chart 4 04-01-03

Crude Oil Futures Prices

22

24

26

28

30

32

34

36

38

40

Jan Feb Mar

Daily

WTI May

Brent May

WTI May -$5.95Brent May -$6.36

Change since 3/12

March 12 FOMC FOMC

$/barrel

Implied Distributions from Oil Futures OptionsMarch 31, 2003

May 2003 WTI

Dec 2003 WTI

5 10 15 20 25 30 35 40 45 50

F F

$/barrel

Futures Volatility 2/3 Bounds Skew1 Skew2Implied

May 2003 Contract 31.0 62.60 [27.49,34.23] +0.24 +0.01Dec 2003 Contract 26.4 31.88 [19.55,31.65] -0.72 -0.18

April 1, 2003 28 of 34

Appendix 3: Materials used by Mr. Stockton

April 1, 2003 29 of 34

April 1, 2003

NONFINANCIALDEVELOPMENTS

April 1, 2003 30 of 34

April 1, 2003 31 of 34

April 1, 2003 32 of 34

April 1, 2003 33 of 34

April 1, 2003 34 of 34

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