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Presentation Materials (PDF) Pages 160 to 206 of the Transcript Appendix 1: Materials used by Mr. Dudley Class II FOMC - Restricted FR Page 1 Top panel (1) Title: Assets in Prime Money Market Funds Decline Sharply Series: Assets in Prime, Treasury, Treasury and Repo, and Treasury and Agency Money Market Funds Horizon: J anuary 1, 2008 - October 23, 2008 Description: Assets in prime money market funds decline sharply. Source: iMoneyNet Middle panel (2) Title: Treasury Bill Yields Decline After L
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  Presentation Materials (PDF)Pages 160 to 206 of the Transcript Appendix 1: Materials used by Mr. Dudley Class II FOMC - Restricted FR  Page 1 Top panel(1)Title : Assets in Prime Money Market Funds Decline Sharply Series : Assets in Prime, Treasury, Treasury and Repo, and Treasury and Agency Money MarketFunds Horizon : January 1, 2008 - October 23, 2008 Description : Assets in prime money market funds decline sharply. Source: iMoneyNet Middle panel(2)Title : Treasury Bill Yields Decline After Lehman Brothers Holding Company Declares Bankruptcy Series : One-, Three-, and Six-Month Treasury Bill Yields Horizon : January 1, 2008 - October 24, 2008 Description : Treasury bill yields decline after Lehman Brothers Holding Company declares bankruptcy. Source: Bloomberg Bottom panel(3)Title : Fails in the Treasury Market Rise as Treasury GC Repo Rates Decline Series : Fails Volume in the Treasury Market, Overnight GC Repo Rates Horizon : January 1, 2008 - October 24, 2008 Description : Fails in the Treasury market increase as Treasury GC repo rates decline. Source: Fixed Income Clearing Corporation, Federal Reserve Bank of New York  Page 2  Top panel(4)Title : Three-Month AA-Rated Commercial Paper Rates Begin to Decline from Elevated Levels Series : Three-Month AA-Rated Financial, Non-Financial, and Asset Backed Commercial Paper Rates Horizon : January 1, 2008 - October 24, 2008 Description : Three-month AA-rated financial and asset backed commercial paper rates begin todecline from elevated levels following the announcement of the Federal Reserve's Commercial Paper Funding Facility. Source: Federal Reserve Board  Middle panel(5)Title : Estimated Average Maturity of Outstanding AA-Rated Commercial Paper Declines Series : Two-Week Moving Average of the Estimated Daily Weighted Average Maturity of AA-Rated Financial, Non-Financial, and Asset Backed Commercial Paper Outstanding Horizon : January 1, 2008 - October 24, 2008 Description : Estimated weighted average maturity of outstanding AA-rated financial and asset backed commercial paper declines. Source: Federal Reserve Board  Page 3 Top panel(6)Title : One-Month Libor-OIS Spreads at Exceptionally Wide Levels Series : Spreads between One-Month Libor Rates and One-Month Overnight Index Swap Rates for U.S., U.K., and Euro Area Horizon : July 1, 2007 - October 24, 2008 Description : The spreads between the one-month Libor rate and the one-month overnight indexswap rate in the U.S., U.K., and Euro area are at exceptionally wide levels. Source: Bloomberg Middle panel(7)Title : Three-Month Libor-OIS Spreads at Exceptionally Wide Levels Series : Spreads between Three-Month Libor Rate and Three-Month Overnight Index Swap Rates for U.S., U.K., and Euro Area Horizon : July 1, 2007 - October 24, 2008 Description : The spreads between the three-month Libor rate and the three-month overnight indexswap rate in the U.S., U.K., and Euro area are at exceptionally wide levels. Source: Bloomberg Page 4  Top panel(8) Term Auction Facility Auction Results December 20, 2007 - October 23, 2008 AuctionSettlementTermAmountMinimumBid RateStop-outRatePropositionsBid/CoverBidders 12/20/200728 Days$20 b4.17%4.65%$61.6 b3.089312/27/200735 Days$20 b4.15%4.67%$57.7 b2.88731/17/200828 Days$30 b3.88%3.95%$55.5 b1.85561/31/200828 Days$30 b3.10%3.12%$37.5 b1.25522/14/200828 Days$30 b2.86%3.01%$58.4 b1.95662/28/200828 Days$30 b2.81%3.08%$68.0 b2.27723/13/200828 Days$50 b2.39%2.80%$92.6 b1.85823/27/200828 Days$50 b2.19%2.62%$88.9 b1.78884/10/200828 Days$50 b2.11%2.82%$91.6 b1.83794/24/200828 Days$50 b2.05%2.87%$88.9 b1.77895/8/200828 Days$75 b2.00%2.22%$96.8 b1.29715/22/200828 Days$75 b1.99%2.10%$84.4 b1.13756/5/200828 Days$75 b2.00%2.26%$95.9 b1.28736/19/200828 Days$75 b2.05%2.36%$89.4 b1.19767/3/200828 Days$75 b2.01%2.34%$90.9 b1.21777/17/200828 Days$75 b2.01%2.30%$93.3 b1.24827/31/200828 Days$75 b2.01%2.35%$90.6 b1.21708/14/200884 Days$25 b2.04%2.75%$54.8 b2.19648/14/200828 Days$50 b2.01%2.45%$75.5 b1.51658/28/200828 Days$75 b2.01%2.38%$84.2 b1.12669/11/200884 Days$25 b2.02%2.67%$31.6 b1.27389/11/200828 Days$25 b2.01%2.53%$46.2 b1.85539/25/200828 Days$75 b1.94%3.75%$133.6 b1.788510/9/200885 Days$150 b1.39%1.39%$138.1 b0.927110/23/200828 Days$150 b1.11%1.11%$113.3 b0.7674 Source: Federal Reserve Board  Page 5 Top panel(9) Outstanding FX Swap Lines As of October 22, 2008 $ Billion  $ Billion ECB280BOE80BOJ50SNB24RBA20Denmark National Banken10Riksbank10 Norges Bank3 Source: Federal Reserve Bank of New York  Bottom panel(10)Title : Total Outstanding FX Swap Draw-Downs Series : Total Outstanding FX Swap Draw-Downs for the Swiss National Bank, Riksbank, ReserveBank of Australia, European Central Bank, Norges Bank, Danmark National Banken, Bank of Japan,and Bank of England  Horizon : December 1, 2007 - October 22, 2008 Description : Total outstanding FX swap draw-downs increase. Source: Federal Reserve Bank of New York  Page 6 Top panel(11)Title : Investment Bank CDS Spreads Series : Credit Default Swap Spreads for Morgan Stanley and Goldman Sachs Horizon : August 1, 2007 - October 24, 2008 Description : Credit default swap spreads for Morgan Stanley and Goldman Sachs narrow sharply. Source: Markit Middle panel(12)Title : Commercial Bank CDS Spreads Series : Credit Default Swap Spreads for Bank of America, Citigroup, JPMorgan Chase, and WellsFargo Horizon : August 1, 2007 - October 24, 2008 Description : Credit default swap spreads for Bank of America, Citigroup, JPMorgan Chase, and Wells Fargo narrow sharply. Source: Markit Bottom panel(13)
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