APPENDIX

Charts used by Mr. Fisher in his presentation
3-Month Deposit Rates
July 1, 1998 - November 13, 1998
Current euro-deposit rate and rates implied by traded forward rate agreements
LIBOR Fixing 3-mo. forward 9-mo. forward
United States .................
Germany
Japan
0.0
7/1/98 7/22/98 8/12/98 9/2/98 9/23/98 10/14/98
US scale (160 bp) is two times the scale of Germany and Japan (80 bp)
5.8
5.6
5.4
5.2
5.0
4.8
4.6
4.4
3.4
3.8
0.6
0.4
0.2
0.0
11/4/98
Chart: Wendy Wong
Percent
Page 1
Percent
Page 2
Japan Premium Rises
Percent ($LIBOR) Percent
1.0 1.0
0.8 0.8
Spread of 3-month Bank of Tokyo-Mitsubishi*
$LIBOR to $LIBOR fixing
0.6
0.4 0.6
0.2 0.2
Source: Bloomberg
0.0 0.0
Sep 97 Nov 97 Jan 98 Mar 98 May 98 Jul 98 Sep 98 Nov 98
*Assumes Bank of Tokyo-Mitsubishi, as the top rated Japanese bank, sets the
benchmark for Japanese banks.
Percent Local and Foreign Bank Yen Rates Diverge Percent
3-month yen TIBOR
1.0 (average borrowing rate for 1.0
1.0 1.0
Japanese banks)
0.8 0.8
0.6 0.6
0.4 0.4
0.2 0.2
Non-Japanese banks' 3-month yen funding rate
0.0 implied by swap rate and $LIBOR 0.0
-0.2 0.2
-0.4 0.4
Sources: Reuters, Bloomberg, FRBNY
-0.6 0.6
Sep 97 Nov 97 Jan 98 Mar 98 May 98 Jul 98 Sep 98 Nov98
Charts: Hamsa M. Murthy
Page 3
Indicative Yield Spreads
Short Term Debt Credit Spreads
August 1, 1998 Through November 13, 1998
Basis Points
80
Basis Points
80
17-Aug-98 31-Aug-98 15-Sep-98 29-Sep-98 14-0ct-98 28-Oct-98 12-Nov-98
Source: Bloomberg Indices
Charts: Wendy Wong
Angela Goldstein
Spreads Given in Basis Points 29-Sep-98 14-Oct-98 13-Nov-98 1998 High 1998 Low
Investment Grade Corporates 118 123 116 128(10/19) 59(4/7)
Bloomberg 10 YearA2 Index
Less 10 Year US Treasury
High Yield 555 613 544 632 (10/19) 280(4/28)
Merrill Lynch 10 Year BB-CCC Index
Less 10 Year US Treasury
Interest Rate Swaps 81 94 74 103 (10/15) 45 (2/10)
10 Year Interest Rate Swap
Less 10 Year US Treasury
Agencies 57 69 56 76 (10/12) 31 (511)
Fannie Mae Benchmark 10 Year
Less 10 Year US Treasury
Off-the-Run Treasuries 10 18 9 21 (10/29) -4 (527)
Twice Off-the-Run 2 Year
Less 2 Year US Treasury
0
3-Aug-98
Distribution of Daily Observations of One Standard Deviation of Fed Funds Trading Range and of
Deviation of Fed Funds Effective Rates from Target
August 1, 1997 to July 31, 1998
3.5
3
2.5
2
1.5
0.5
0
-0.8
0.6
-
0.8
Red = high payment flow days
Blue = other days
0
effective - target, percentage points
0.4
-0.6 -0.4 -0.2
I
Distribution of Daily Observations of One Standard Deviation of Fed Funds Trading Range and of
Deviation of Fed Funds Effective Rates from Target
August 1, 1997 to July 31, 1998
18 observations fall outside
the constrained range
0.54
0.48
0.42
0.36
0.3
.
50% of observations
fall within this box
25% of observations
fall within this box
-0.54 -0.48 -0.42 -036 -0.3 -0.24 -0.18 -0.12 -0.06 0 0.06 0.12 0.18 0.24 0.3 0.36 0.42 0.48 0.54
effective - target, percentage points
0.24
0.18
0.12
0.06
0
Distribution of Daily Observations of One Standard Deviation of Fed Funds Trading Range and of
Deviation of Fed Funds Effective Rates from Target
August 1, 1998 to November 13, 1998
6 observations fall outside
the constrained range; all
since September 29
0.54
0.48 -
0.42 -
0.36 -
03 -
0.24 -
August 1 - Sept
September 29 -
ember 28
.1
-0.54 -0.48 -0.42 -0.36 -03 -0.24 -0.18 -0.12 -0.06 0 0.06 0.12 0.18 0.24 0.3 0.36 0.42 0.48 0.54
effective - target, percentage points
0.18
0.12
0.06
0
Previous Aug. 1 Sep. 29 -
Norms Sep. 28 Nov. 13
25% 30% 19%
50% 58% 25%
November 13
DAILY FEDERAL FUNDS
TRADING RANGE, EFFECTIVE AVERAGE & ONE STANDARD DEVIATION
September 24, 1998 to November 13, 1998
Per. Avg. Rate:
Per Avg. Excess:
Effective
8
5.40%
5.00%
5.08%
5.08%
$1.9bn.
5.40%
$2.0bn.
3 --
y
+/- one standard
deviation around
I I
D
A
2425282930 1 2 5 6 7 8 9 12 1314 15 16 192021 22 23 26 27 28 29 30 2 3 4 5 6 9 10111213
September October
Millions $
10,000
5,000
0
-5,000
10,000
November
Daily Excess Reserve Levels and Funds Rate Behavior
Percent
Page 7
Percent
Percent
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
-0.1
-0.2
-0.3
--0.4
0.5
-0.6
0.7
-0.8
2425282930 1 2 5 6 7 8 9 1213141516192021 22232627282930 2 3 4 5 6 9 10111213
September October November
Charts: Wendy Wong
Angela Goldstein
8
5.00%
$1.3bn.
H
0
L
A

Sign up to vote on this title
UsefulNot useful