Meeting of the Federal Open Market Committee
October 2, 2001 Presentation Materials -- Text Version
Presentation Materials (404 KB PDF)
APPENDIX
Charts used by Mr. Kos.
Page 1
Top panel
Title: 3-Month Deposit Rates and Rates Implied by Traded Forward Rate Agreements
Series: U.S. dollar Libor fixing, 3M forward, and 9M forward rates
Horizon: August 1, 2001 through September 28, 2001
Description: U.S. forward rates declined sharply after 9/11/2001 (labeled with a tripwire).
Middle panel
Title: Continuation of Top Panel
Series: Euro Libor fixing, 3M forward, and 9M forward rates
Horizon: August 1, 2001 through September 28, 2001
Description: Euro forward rates declined after 9/11/2001 (labeled with a tripwire).
Bottom panel
Title: Continuation of Top Panel
Series: Japan Libor fixing, 3M forward, and 9M forward rates
Horizon: August 1, 2001 through September 28, 2001
Description: Japan forward rates slightly rose after 9/11/2001 (labeled with a tripwire) until the end of the period shown.
Sources: Bloomberg
Page 2
Top panel
Title: U.S. Treasury Coupon Yields
Series: Target federal funds rate, yields on benchmark 2-year, 10- year, and 30-year U.S. Treasury securities
Horizon: August 1, 2001 through September 28, 2001
Description: The 2-Year Treasury note yield tracked closely with the target fed funds rate. The 10 year note and 30-year bond yields declined slightly between 8/1/2001 and 9/28/2001.
Middle panel
Title: G-3 Government Yield Curves
Series: 2-10-year U.S. Treasury spread, 2-10-year JGB spread, and 2-10-year German Bund spread
Horizon: August 1, 2001 through September 28, 2001
Description: The 2-10 Year U.S. Treasury spread and 2-10-year German Bund spread widened after 9/11/2001 while the 2-10-year JGB spread remained relatively unchanged.
Bottom panel
Title: Emerging Market and U.S. High Yield Spreads
Series: JPM EMBI+ spread and Merrill Lynch High-Yield spread
Horizon: August 1, 2001 through September 28, 2001
Description: The JPM EMBI+ spread and the Merrill Lynch High-Yield spread widened after 9/11/2001.
Sources: Bloomberg
Page 3
Top panel
Title: U.S. Equity Indices
Series: Dow Jones Industrial Average, NASDAQ composite index, and S&P 500 index
Horizon: July 2, 2001 to September 28, 2001
Description: The Dow Jones Industrial Average, NASDAQ composite, and S&P 500 indices declined after 9/11/2001.
Middle panel
Title: Major Global Equity Indices
Series: CAC 40 index, DAX index, and FTSE 100 index, DJ Euro Stoxx index, Topix index, and TSE 300 index
Horizon: July 2, 2001 to September 28, 2001
Description: The major global equity indices declined following 9/11/2001.
Bottom panel
Title: Major Emerging Market Equity Indices
Series: Merval index, Hang Seng index, Mexican Bolsa index, Brazil Bovespa index, and Singapore index
Horizon: July 2, 2001 to September 28, 2001
Description: The major emerging market equity indices declined following 9/11/2001.
Sources: Bloomberg
Page 4
Top panel
Title: Major Currencies per U.S. Dollar
Series: Canadian dollar, Brazilian real, Japanese yen, British pound, Australian dollar, Swiss franc, and euro currency performance, indexed to 100 on 8/1/2001
Horizon: August 1, 2001 through September 28, 2001
Description: Currencies were mixed against the U.S. dollar over the period. The British Pound and Australian dollar depreciated slightly after 9/11/2001(labeled with a tripwire), while the Japanese yen, Swiss franc, and Euro appreciated during the same time period.
Middle panel
Title: Japanese Yen per U.S. Dollar
Series: Yen currency performance in yen/dollar
Horizon: August 1, 2001 through September 28, 2001
Description: The Japanese yen strengthened against the U.S. dollar between August 1st and September 28th with a greater appreciation in the days following 9/11/2001(labeled with a tripwire).
Bottom panel
Title: U.S. Dollars per Euro
Series: Euro currency performance in dollars/euro
Horizon: August 1, 2001 through September 28, 2001
Description: The euro strengthened modestly against the U.S dollar over the period shown.
Sources: Bloomberg
Page 5
Top panel
Title: Implied Volatility: 1-Month Euro-Dollar and Dollar-Yen Option Volatility
Series: 1-month euro-dollar and 1-month dollar-yen option volatility
Horizon: July 2, 2001 to September 28, 2001
Description: One-month Euro-dollar and Dollar-Yen option volatility increased on and following 9/11/2001 (labeled with a tripwire).
Middle panel
Title: Implied Volatility on Options on the December Eurodollar Futures Contract
Series: December Eurodollar Contract Volatility
Horizon: July 2, 2001 to September 28, 2001
Description: December Euro-dollar contract volatility increased sharply following 9/11/2001 (labeled with a tripwire).
Bottom panel
Title: CBOE OEX Volatility Index (VIX)
Series: VIX index
Horizon: July 2, 2001 to September 28, 2001
Description: CBOE OEX Volatility index moved significantly higher following 9/11/2001 (labeled with a tripwire).
Sources: Bloomberg
Memo:
1998 Highs
- 1-Month Dollar-Deutschmark: 16.5%, Oct. 9
- 1-Month Dollar-Yen: 27.8%, Oct. 8
- December Eurodollar Contract: 22.03%, Oct. 9
- VIX Index: 48.56%, Oct. 8
Page 6
Top panel
Title: Total Fed Balances: Non-borrowed and Borrowed
Series: Total Fed balances: non-borrowed and borrowed (in billions of dollars). Separately shown are balances at all banks and at BONY from 9/11/2001 to 9/17/2001.
Horizon: August 21, 2001 to September 28, 2001
Description: Balances held by banks increased dramatically and were elevated over the three days following 9/11/2001.
Bottom panel
Title: Daily Federal Funds Rates: High, Low, and Effective Rates
Series: Daily federal funds rates: high, low, and effective rates
Horizon: August 21, 2001 to September 28, 2001
Description: Volatility in the fed funds market was high in the days following 9/11/2001.
Page 7
Top panel
Title: Reserve Impact of Key Autonomous Factors
Series: Foreign RP pool, float, and FX swaps
Horizon: August 21, 2001 to September 28, 2001
Description: The level of float, the foreign repo pool, and FX swaps were elevated in the days following 9/11/2001.
Middle panel
Title: Accepted and Rejected Propositions on Desk Short-Term RPs (up to 3 days)
Series: Accepted propositions and rejected propositions
Horizon: August 21, 2001 to September 28, 2001
Description: The Markets Desk accepted a higher percentage of propositions in the temporary open market auctions in the days following 9/11/2001.
Bottom panel
Title: Outstanding Term and Overnight RPs
Series: Term RPs and overnight RPs
Horizon: August 21, 2001 to September 28, 2001
Description: The level of outstanding repurchase agreements increased significantly in the days following 9/11/2001.
Note: term RPs include previously outstanding and newly settling term RPs
Page 8
Top panel
Title: Daily Security Lending Volume
Series: Daily security lending volume (in billions of dollars)
Horizon: August 21, 2001 to September 28, 2001
Description: Securities lending volume increased sharply on 9/11/2001 and remained higher than typical over most of the remaining month of September 2001.
Bottom panel
Title: Number of Issues
Series: Number of issues
Horizon: August 21, 2001 to September 28, 2001
Description: Securities lending volume increased sharply on 9/11/2001 with nearly 70 different securities lent. This number of securities declined after 9/11/2001 but remained elevated.
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