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Presentation Materials (PDF) 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: J uly 1, 2007 - December 4, 2007 Description: Term funding spreads to OIS increased significantly over the intermeeting period. Source: Bloomberg Middle panel (2) Tit
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  Presentation Materials (PDF)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 OISrates 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-monthEuribor 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 betweenthree-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 todecrease 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 theCDs-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, bothon 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 largedomestic commercial banks Horizon : January 1, 2005 - November 21, 2007 Description : Domestic banks have continued to increase their holdings of commercial and industrialloans 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 courseof 2007. Source: Federal Reserve Board  Return to top Home | Monetary policy | FOMC | FOMC transcripts Accessibility | Contact Us Last update: January 18, 2013
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