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Presentation Materials (PDF) Pages 192 to 266 of the Transcript Appendix 1: Materials used by Mr. Dudley Class II FOMC - Restricted FR Page 1 Top panel (1) Title: U.S. Equity Indices Stabilize Series: S&P 500 index, Nasdaq index, and S&P 500 financials index Horizon: August 1, 2007 - April 25, 2008 Description: U.S. equity indices stabilize. Financials continue to underperform against U.S. equity indices. Source: Bloomberg Middle panel (2) Title: Corporate Credit Spreads Decline Series: Investm
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  Presentation Materials (PDF)Pages 192 to 266 of the Transcript Appendix 1: Materials used by Mr. Dudley Class II FOMC - Restricted FR  Page 1 Top panel(1)Title : U.S. Equity Indices Stabilize Series : S&P 500 index, Nasdaq index, and S&P 500 financials index Horizon : August 1, 2007 - April 25, 2008 Description : U.S. equity indices stabilize. Financials continue to underperform against U.S. equityindices. Source: Bloomberg Middle panel(2)Title : Corporate Credit Spreads Decline Series : Investment grade and high-yield corporate debt spreads and yields Horizon : January 1, 2007 - April 25, 2008 Description : Investment grade and high-yield debt option-adjusted spreads narrow from levels seenin March. Yields on high-yield debt decline, while yields on investment grade debt remain stable. Source: Bloomberg Bottom panel(3)Title : Global Credit Default Swap Spreads Narrow Series : iTraxx Crossover and investment grade CDX Horizon : March 1, 2007 - April 25, 2008 Description : ITRAXX Crossover and investment grade CDX spreads have narrowed. Source: JP Morgan Page 2  Top panel(4)Title : Implied Volatility Decreases Series : VIX index, MOVE index, 1-month Euro-Dollar volatility index, and 1-month Dollar-Yenvolatility index Horizon : January 1, 2007 - April 25, 2008 Description : During the intermeeting period, implied volatility across asset classes has decreased. Source: Bloomberg Middle panel(5)Title : Prices for AAA-Rated Tranches on ABX Indices Rise Series : Prices on the 2006-01, 2006-02, 2007-01, and 2007-02 vintages of the AAA-rated tranche of the ABX Horizon : January 1, 2007 - April 25, 2008 Description : Prices for the AAA-rated tranche of the 06-01, 06-02, 07-01, and 07-02 ABX vintageshave risen during the intermeeting period. Source: JP Morgan Bottom panel(6)Title : Ten and Thirty Year AAA-Rated Municipals Recover  Series : Ratio of the 10-Year AAA-rated municipal yields to the 10-Year Treasury yield, and ratio of the 30-Year AAA-rated municipal yield to the 30-Year Treasury yield Horizon : January 1, 2007 - April 25, 2008 Description : The ratio of 10- and 30-year AAA-rated municipal debt yields to Treasury yieldsdeclined. Source: Bloomberg Page 3 Top panel(7)Title : Investment Bank Equity Prices Stabilize Series : Equity prices for Morgan Stanley, Goldman Sachs, Lehman Brothers, and Merrill Lynch Horizon : January 1, 2008 - April 25, 2008 Description : Equity prices for Morgan Stanley, Goldman Sachs, Lehman Brothers, and MerrillLynch have stabilized. Source: Markit and Bloomberg Middle panel(8)Title : Investment Bank CDS Spreads Narrow Series : Credit default swap spreads for Morgan Stanley, Goldman Sachs, Lehman Brothers, andMerrill Lynch  Horizon : January 1, 2008 - April 25, 2008 Description : Credit default swap spreads for Morgan Stanley, Goldman Sachs, Lehman Brothers,and Merrill Lynch have narrowed. Source: Markit and Bloomberg Page 4 Top panel(9) Collateral Haircuts Stabilize at Higher Levels February 1, 2008 - April 9, 2008 MaturityOvernight1-Month3-MonthCOLLATERAL  Date AverageHighLowAverageHighLowAverageHighLowTreasury 9-Apr  0.5% 1.5%0.0% 0.6% 1.5%0.0% 0.7% 2.0%0.0%10-Mar0.3%1.5%0.0%0.4%1.5%0.0%0.4%1.5%0.0%3-Mar0.2%1.5%0.0%0.3%1.5%0.0%0.4%1.5%0.0%1-Feb0.2%1.5%0.0%0.2%1.5%0.0%0.3%1.5%0.0% Agency Debt 9-Apr  1.3% 3.5%0.0% 2.1% 7.5%0.0%1.6%5.0%0.0%10-Mar0.7%2.0%0.0%1.9%7.5%0.0%1.7%5.5%0.0%3-Mar0.6%2.0%0.0%1.1%3.0%0.0%1.4%4.5%0.0%1-Feb0.5%2.0%0.0%1.1%3.0%0.0%1.2%4.5%0.0% Agency MBS 9-Apr5%7%3% 6% 8%3%6%9%3%10-Mar5%7%3%5%8%3%6%10%3%3-Mar3%3%3%3%3%3%4%5%3%1-Feb3%5%2%3%6%3%4%5%3% Non-agency MBSPrime 9-Apr  21% 28%15% 27% 35%15% 25% 35%15%10-Mar18%28%10%19%28%12%19%28%15%3-Mar16%18%15%16%18%15%18%18%18%1-Feb13%20%5%11%20%4%14%20%7% Alt-A 9-Apr  38% 43%30% 36% 43%30% 33% 43%23%10-Mar28%43%18%28%43%18%30%43%18%3-Mar14%18%10%16%20%10% 1-Feb19%43%10%16%43%10%28%43%13% Corporate DebtHigh Grade 9-Apr  17% 25%10% 18% 25%11% 19% 25%12%10-Mar12%25%5%15%25%5%18%25%15%3-Mar11%25%3%13%25%3%18%25%15%  MaturityOvernight1-Month3-MonthCOLLATERAL  Date AverageHighLowAverageHighLowAverageHighLow 1-Feb10%25%3%10%25%3%13%25%3% High Yield 9-Apr  36% 70%19% 39% 70%25% 39% 70%25%10-Mar28%70%10%27%70%15%36%70%25%3-Mar26%70%9%27%70%10%35%70%20%1-Feb25%70%6%24%70%10%28%70%10%Source: Survey of 14 Hedge Funds and 1 REIT Page 5 Top panel(10)Title : Bank Term Funding Pressures Revive: One-Month LIBOR - OIS Spread Series : Spreads between one-month Libor rates and one-month overnight index swap rates for U.S.,U.K., and Euro-Area Horizon : August 14, 2007 - April 28, 2008 Description : The spreads between one-month Libor rates and one-month overnight index swap ratesfor U.S., U.K., and Euro-Area continue to rise. Source: Bloomberg Middle panel(11)Title : Three-Month LIBOR - OIS Spread Series : Spreads between three-month Libor rate and three-month overnight index swap rates for U.S., U.K., and Euro-Area Horizon : August 14, 2007 - April 28, 2008 Description : The spreads between three-month Libor rate and three-month overnight index swaprates for U.S., U.K., and Euro-Area continue to rise. Source: Bloomberg Bottom panel(12)Title : Range of One-Month LIBOR Rates from 16 Contributing Banks Series : Highest and lowest one-month Libor rate reported among the 16 contributing banks andone-month Libor fixing Horizon : April 4, 2008 - April 28, 2008 Description : The range of one-month Libor rates reported among the 16 contributing banks and theone-month Libor fixing increase following a Wall Street Journal article on Libor manipulation. Source: Bloomberg
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