PPT Slide
Source: Bloomberg, Federal Reserve
Note: CMT is 1 Year Constant Maturity Treasury. For purposes of estimating spread, assumed a margin of 225 bps.
Although the Fed did not change their stance on the discount rate, they did change their methodology in calculating the rate as of January 9, 2003. For purposes of this presentation we assumed a constant discount rate from January 9, 2003 through May 9, 2003 using the previous calculation methodology.