Telephone Conference Meeting of the Federal Open Market Committee
December 6, 2007 Presentation Materials -- Text Version
Pages 47 to 51 of the Transcript
Appendix 1: Materials used by Mr. Dudley
Class II FOMC - Restricted (FR)
Page 1
Top panel
(1)
Title: Spreads between U.S. Term Funding Rates and OIS Rates Widen
Series: Spread between one-month Libor and OIS rates, spread between three-month Libor
and OIS rates
Horizon: July 1, 2007 - December 4, 2007
Description: Term funding spreads to OIS increased significantly over the intermeeting period.
Source: Bloomberg
Middle panel
(2)
Title: Euro Term Funding Pressures Increase
Series: Spread between one-month Euribor and EONIA swap rates, spread between three-month
Euribor and EONIA swap rates
Horizon: July 1, 2007 - December 4, 2007
Description: Euro term funding spreads also widened, particularly at the one-month tenor.
Source: Bloomberg
Bottom panel
(3)
Title: Sterling Term Funding Pressures Increase
Series: Spread between one-month Sterling Libor and SONIA swap rates, spread between
three-month Sterling Libor and SONIA swap rates
Horizon: July 1, 2007 - December 4, 2007
Description: As in the U.S. and the euro area, Libor-OIS spreads increased significantly
in the U.K.
Source: Bloomberg
Page 2
Top panel
(4)
Title: Growth in Year-End Premium: Libor Futures
Series: Year-end premium implied by Eurodollar futures rates
Horizon: October 1, 2007 - December 4, 2007
Description: The year-end funding premium has increased since October, concurrent with
other funding pressures.
Source: Bloomberg
Middle panel
(5)
Title: Implied Incremental Cost of Year-End Financing
Series: Implied incremental cost of year-end financing at the end of September, October,
and November
Horizon: 1993-2007
Description: The implied increase in year-end funding costs has risen since the end of
September, particularly as compared to prior year moves.
Source: Federal Reserve Bank of New York
Bottom panel
(6)
Title: One-Month LIBOR to OIS Spread
Series: Realized and market-implied future one-month LIBOR-OIS spread
Horizon: July 1, 2007 - March 11, 2008
Description: The one-month spread of LIBOR to OIS has increased significantly, but is
expected to decrease somewhat at the beginning of 2008.
Source: Bloomberg
Page 3
Top panel
(7)
Title: One-Month Funding Spreads to OIS Also Increase
Series: Spreads of one-month CDs, AA financial CP, and fed funds to OIS
Horizon: July 1, 2007 - December 3, 2007
Description: Other funding spreads have also increased since early November,
particularly the CDs-OIS spread.
Source: Reuters, Federal Reserve Board
Middle panel
(8)
Title: ABCP Rate Rises and Spread to OIS Widens
Series: 30-day average of one-month ABCP rate, 30-day average spread of
one-month ABCP to OIS
Horizon: July 1, 2007 - December 3, 2007
Description: Funding costs for issuers of asset-backed commercial paper
have also increased, both on an outright basis and as compared to OIS rates.
Source: Reuters, Federal Reserve Board
Page 4
Top panel
(9)
Title: Balance Sheet Pressures at Large Commercial Banks
Series: Annualized percent change in commercial and industrial loans, and other
securities, at large domestic commercial banks
Horizon: January 1, 2005 - November 21, 2007
Description: Domestic banks have continued to increase their holdings of commercial
and industrial loans and other securities.
Source: Federal Reserve Board
Middle panel
(10)
Title: Banks Cut Government Securities
Series: Annualized percent change in domestic bank holdings of government securities
Horizon: January 1, 2005 - November 21, 2007
Description: Domestic banks have decreased their holdings of government securities over the course of 2007.
Source: Federal Reserve Board
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