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Presentation Materials (PDF) Pages 49 to 60 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 Decline Series: Spread between one-month Libor rate and one-month interest rate swap rates and spread between three-month Libor rate and three-month interest rate swap rate Horizon: J uly 1, 2007 - J anuary 8, 2008 Description: The spread between one-month Libor rate and one-month in
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  Presentation Materials (PDF)Pages 49 to 60 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 Decline Series : Spread between one-month Libor rate and one-month interest rate swap rates and spread  between three-month Libor rate and three-month interest rate swap rate Horizon : July 1, 2007 - January 8, 2008 Description : The spread between one-month Libor rate and one-month interest rate swap rates and the spread between three-month Libor rate and three-month interest rate swap rate have narrowed since the December FOMC meeting. Source: Bloomberg Middle panel(2)Title : Euro Term Funding Pressures Decrease Series : Spread between one-month Euribor rates and one-month EONIA swap rates and spread  between three-month Euribor rates and three-month EONIA swap rates Horizon : July 1, 2007 - January 8, 2008 Description : The spread between one-month Euribor rate and one-month EONIA swap rates and thespread between three-month Euribor rate and three-month EONIA swap rate have narrowed. Source: Bloomberg Bottom panel(3)Title : Sterling Term Funding Pressures Decrease Series : Spread between one-month sterling LIBOR rates and one-month SONIA swap rates and spread between three-month sterling LIBOR rates and three-month SONIA swap rates Horizon : July 1, 2007 - January 8, 2008 Description : The spread between one-month sterling LIBOR rate and one-month SONIA swap rates  and the spread between three-month sterling LIBOR rate and three-month SONIA swap rate havenarrowed. Source: Bloomberg Page 2 Top panel(4)Title : Swap Spreads Decline Modestly in Recent weeks Series : 2-, 5-, and 10-year swap spreads to Treasuries Horizon : January 1, 2007 - January 8, 2008 Description : Swap spreads have narrowed modestly in recent weeks. Source: Markit Middle panel(5)Title : Secured CP Rate Spreads Narrow Series : One-month secured commercial paper rate, spread between secured and one-month overnightindex swaps rates, and spread between secured commercial paper discount rates and one-monthLIBOR rates Horizon : January 1, 2007 - January 8, 2008 Description : Since the December FOMC meeting, one-month secured commercial paper rate, spread  between secured and one-month overnight index swaps rates, and spread between secured commercial paper discount rates and one-month LIBOR rates have all declined. Source: Federal Reserve Board  Bottom panel(6)Title : Financial Guarantors' Equity Prices Series : Equity prices for Ambac and MBIA Horizon : January 1, 2007 - January 8, 2008 Description : Ambac and MBIA's equity prices have declined significantly since August 2007. Source: Markit Page 3 Top panel(7)Title : Financial Guarantors' CDS Spreads Series : Credit default swap spreads for Ambac and MBIA Horizon : January 1, 2007 - January 8, 2008 Description : Credit default swap spreads have widened for Ambac and MBIA since August 2007. Source: Markit  Middle panel(8)Title : Spread between Jumbo and Conforming Mortgage Rates Widens Once Again Series : Jumbo mortgage rates and conforming mortgage rates Horizon : January 1, 2007 - January 8, 2008 Description : The spread between jumbo and conforming rates has widened since the December FOMC meeting. Source: Bloomberg Bottom panel(9)Title : Corporate Credit Option-Adjusted Spreads and Yields Series : Investment grade and high-yield debt spreads Horizon : January 1, 2007 - January 8, 2008 Description : Investment grade and high-yield debt option-adjusted spreads widen while yields onhigh-yield debt rise and yields on investment grade debt remain stable over the intermeeting period. Source: Bloomberg Page 4 Top panel(10)Title : Global Credit Default Swap Spreads Series : ITRAXX Crossover Series 7, high-yield CDX, and investment grade CDX spreads Horizon : March 1, 2007 - January 8, 2008 Description : ITRAXX Crossover Series 7, high-yield CDX, and investment grade CDX spreadshave widened since the December FOMC meeting. Source: Bloomberg Middle panel(11)Title : Global Equities Weaken Series : S&P 500 index, Nikkei index, MSCI World Ex U.S. index, and Euro Stoxx 50 index Horizon : August 1, 2007 - January 8, 2008 Description : Global equity indices have declined sharply since the December FOMC meeting. Source: Bloomberg Bottom panel(12)Title : Dollar Sells Off After Year-End Rally Series : Yen-USD and Euro-USD Horizon : January 1, 2007 - January 8, 2008 Description : Since mid-June, the U.S. dollar has softened against the Euro and Japanese Yen. Source: Bloomberg and Federal Reserve Board   Page 5 Top panel(13)Title : Fed Funds Futures Rate Expectations Fall Series : Fed funds futures curve as of 10/30/2007, 12/10/2007, and 1/8/2008 Horizon : October 30, 2007 - January 8, 2008 Description : The fed funds futures curve has shifted lower since the December FOMC meeting. Source: Bloomberg Middle panel(14)Title : Eurodollar Futures Curve Shifts Lower  Series : Eurodollar futures curve as of 10/30/2007, 12/10/2007, and 1/8/2008 Horizon : October 30, 2007 - January 8, 2008 Description : The Eurodollar futures curve has steepened and shifted lower since the December FOMC meeting. Source: Bloomberg Bottom panel(15)Title : Probabilities for Policy Rate Outcomes for January FOMC meeting Series : Probabilities for a 3.75, 4.00, or 4.25 percent target rate at the January FOMC meeting Horizon : December 1, 2007 - January 8, 2008 Description : There was a significant increase in probability for a 3.75 percent target rate at theJanuary 31 FOMC meeting in recent days. Source: Cleveland Fed  Page 6 Top panel(16)Title : Probability Distribution on Eurodollar Futures Contract Series : Probability distribution on Eurodollar futures contract as of 12/10/2007 and 1/8/2008 Horizon : December 10, 2007 - January 8, 2008 Description : Since the December FOMC meeting, the probability of a policy rate cut has increased. Source: CME Options Middle panel(17)Title : TIPS Implied Average Rate of Inflation: 5-10 Year Horizon Series : Federal Reserve Board's 5-10 Year horizon TIPS inflation compensation and Barclays' 5-10Year horizon TIPS inflation compensation
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