March 25, 2003 10 of 29

Appendix 1: Materials used by Messrs. Kos and Reinhart

March 25, 2003 Exhibit 1 11 of 29 Treasury Securities Market

Two- and Ten-year Treasury Yields Percent Percent 4.2 1.9 Five-minute intervals 8:00 Deadline 4.1 1.8

4.0 1.7 Two-year 3.9 (right scale) Ten-year 1.6 3.8 (left scale)

3.7 1.5

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24 Note. Treasury yield shown is that of the on-the-run issue.

Treasury Yield Curve Ten-year TIPS Yield Percent Percent 6 2.2 Daily

March 24, 2003 4:00 pm 5 2.1

4 March 19, 2003 4:00 pm 2.0 + 3

1.9 2

1 1.8 1/4 2 5 10 30 Jan. Feb. Mar. Maturity in Years 2003 + denotes today's observation (taken at approximately 4:45 pm).

Selected Treasury Yields

Today Wednesday 3/24/03* 3/19/03 Change (1) (2) (1)-(2) Nominal -basis points- 1. Two-year 1.66 1.72 -6 2. Five-year 2.94 2.97 -3 3. Ten-year 3.97 3.98 -1

Indexed -basis points- 4. Ten-year 2.12 2.10 2

* Quotes taken at approximately 4:00 pm. March 25, 2003 Exhibit 2 12 of 29 Equity Market

Major Stock Indexes 3/13/03 9:30 am = 100 112 Five-minute intervals S&P 500 110

108

106 Wilshire 5000 104

102

100

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24

S&P 100 Implied Volatility (VIX) Percent 39 Five-minute intervals 38

37

36

35

34

33

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24

Selected Equity Market Quotes

Today Wednesday 3/24/03* 3/19/03 Change (1) (2) (1)-(2) Major Indexes -percent- 1. Wilshire 5000 8180.39 8258.42 -0.9 2. S&P 500 864.36 874.02 -1.1 3. Nasdaq 1370.23 1397.08 -1.9

Option-Implied Volatility -percentage points- 4. S&P 100 (VIX) 34.96 35.74 -0.78

* Quotes taken at approximately 4:00 pm. March 25, 2003 Exhibit 3 13 of 29 Monetary Policy Expectations

Interest Rate Futures Percent 1.22 2.6 Five-minute intervals 1.21 Mar. 2004 Eurodollar Futures (right scale) 2.4 1.20

1.19 2.2 1.18 2.0 1.17 Apr. 2003 Fed Funds 1.16 Futures (left scale) 1.8 1.15 03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24

Expected Federal Funds Rates* Percent Short-term Eurodollar Implied Volatility* Percent 4.0 60 Daily 3.5

3.0 50

March 19, 2003 3:30 pm 2.5 + 40 2.0

March 24, 2003 3:30 pm 1.5 30 1.0

Mar. July Nov. Mar. July Nov. Mar. July 20 2003 2004 2005 Feb. Mar. *Estimates from federal funds and eurodollar futures 2003 *Contract with approximately 3 months to expiration.

Probability of 1.00% target as opposed to 1.25% target* Percent 120 Five-minute intervals 110

100

90

80

70

60

50

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24

*Based on May 2003 federal funds futures contract. + denotes today's observation (taken at approximately 4:00 pm). March 25, 2003 Exhibit 4 14 of 29 Selected Credit Market Indicators

Ten-year Swap Spread Basis Points 47 Five-minute intervals 46

45

44

43

42

41

03/13 03/14 03/17 03/18 03/19 03/20 03/21 03/24

Stock Prices and Credit Default Swap Premia for Selected Financial Intermediaries

Stock Prices CDS Premia Today Wednesday Today Wednesday 3/24/03* 3/19/03 Change 3/24/03* 3/19/03 Change (1) (2) (1)-(2) (3) (4) (3)-(4)

-percent- -basis points- 1. Bank of America 68.82 69.50 -1.0 31.0 31.0 0.0 2. Citigroup 35.72 35.46 0.7 32.0 34.0 -2.0 3. Goldman Sachs 70.01 70.27 -0.4 55.0 56.8 -1.8 4. Lehman Brothers 58.20 59.69 -2.5 50.0 54.2 -4.2 5. Merrill Lynch 36.30 36.74 -1.2 57.0 56.8 0.2

* Quotes taken at approximately 4:00 pm.

Swaption Implied Volatility (Ten-year Swap Rate) Percent 32 Daily

31

30 Three-months ahead 29

28 + One-year ahead 27 + 26 Feb. Mar. 2003

+ denotes today's observation (taken at approximately 4:00 pm). March 25, 2003 Exhibit 5 15 of 29 Other Indicators of Market Stress

Foreign Exchange Rates

Today Wednesday 3/24/03* 3/19/03 Change (1) (2) (1)-(2)

-percent- Dollar/Euro 1.0631 1.0559 0.7 Yen/Dollar 120.8350 120.4700 0.3 Dollar/Pound 1.5734 1.5643 0.6 Swiss Franc/Dollar 1.3859 1.3943 -0.6

* Quotes taken at approximately 4:00 pm.

West Texas Intermediate Crude Oil Spot Price West Texas Intermediate Crude Oil Futures Prices US $ US $ 40 40 Daily Daily 38 Apr. 2003 38

36 36 34 34 32 32 Jun. 2003 30 + 30 + + 28 Dec. 2003 28 + 26

Feb. Mar. Feb. Mar. 2003 2003

Gold Spot Price US $ 390 Daily 380

370

360

350

340

+ 330

Feb. Mar. 2003

+ denotes today's observation (taken at approximately 4:00 pm). March 25, 2003 16 of 29

Appendix 2: Material used by Ms. Johnson

March 25, 2003 17 of 29

STRICTLY CONFIDENTIAL (FR) CLASS II-FOMC

Recent Developments in International Financial Markets

March 24, 2003 March 25, 2003 18 of 29

Chart 1 03-24-03

Selected Exchange Rates (Foreign currency per dollar) Index, March 12, 2003 = 100 108 Daily

FOMC Mar 12 FOMC 106

Canadian dollar 104 Swiss franc

102 Euro

100 Yen

Sterling 98 Change since 3/12 Can. dollar 0.5% Swiss franc 4.0% Euro 3.6% 96 Yen 3.0% Sterling 2.4%

94 Jan Feb Mar

Indexes of Trade-Weighted Value of the Dollar Index, March 12, 2003 = 100 108 Daily

FOMC Mar 12 FOMC 106

104 Major currencies

102

Broad 100 Other important trading partners 98

Change since 3/12 Major curr. 2.3% 96 Broad 1.1% OITP -0.3%

94 Jan Feb Mar March 25, 2003 19 of 29

Chart 2 03-24-03 Selected Yield Curves

3-Month Eurocurrency Futures Rates 1-Year Forward Rates Derived From Swaps Yen Yen Percent Percent 4 4

March 24, 2003 March 24, 2003 March 17, 2003 3 March 17, 2003 3 March 12, 2003 March 12, 2003

2 2

1 1

0 0 JSDMJSDM 2004 2006 2008 2010 2012 2003 2004 2005

Euro Euro Percent Percent 6 6 March 24, 2003 March 17, 2003 5 5 March 12, 2003

4 4

3 3

2 2 JSDMJSDM 2004 2006 2008 2010 2012 2003 2004 2005

Sterling Sterling Percent Percent 6 6

5 5

4 4

3 3

2 2 JSDMJSDM 2004 2006 2008 2010 2012 2003 2004 2005

Dollar Dollar Percent Percent 7 7

6 6 5 5 4 4 3 3 2 2 1 1 JSDMJSDM 2004 2006 2008 2010 2012 2003 2004 2005 March 25, 2003 20 of 29

Chart 3 03-24-03 Indexes (Ratio scale, Index, March 12, 2003 = 100, daily data)

Euro Area United Kingdom 135 135 FOMC Mar 12 FOMC FOMC Mar 12 FOMC 130 130

125 125 DJ Euro Bank 120 120

FTSE-Bank DJ Euro 115 115

110 110

DJ Euro Tech 105 105 FTSE-350 FTSE-techMark

100 100

Change since 3/12 Change since 3/12 DJ Euro 12.6% 95 FTSE-350 12.9% 95 DJ Euro Tech 16.1% FTSE-Tech 7.7% DJ Euro Bank 13.3% FTSE-Bank 14.0%

90 90 Jan Feb Mar Jan Feb Mar

Japan memo: United States 135 135 FOMC Mar 12 FOMC FOMC Mar 12 FOMC 130 130

125 125

TOPIX-Bank 120 120

115 S&P 500 115

110 110 S&P Banks TOPIX 105 105 TOPIX-EM

100 NASDAQ 100

Change since 3/12 Change since 3/12 TOPIX 6.3% 95 S&P 500 7.3% 95 TOPIX-EM 8.8% NASDAQ 7.0% TOPIX-Bank 7.3% S&P Bank 11.6%

90 90 Jan Feb Mar Jan Feb Mar March 25, 2003 21 of 29

Chart 4 03-24-03 Crude Oil Futures Prices

$/barrel 40 Daily FOMC March 12 FOMC 38

36

34

32 WTI May Brent May 30

28

26 Change since 3/12 WTI May -$7.63 24 Brent May -$6.91

22 Jan Feb Mar

Implied Distributions from Oil Futures Options March 21, 2003

May 2003 WTI

Dec 2003 WTI

F F

5 101520253035404550 $/barrel March 25, 2003 22 of 29

Appendix 3: Materials used by Mr. Stockton March 25, 2003 23 of 29

March 25, 2003

NONFINANCIAL DEVELOPMENTS

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