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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts April 14, 1997 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, D.C. 20551 Table of Contents TABLES 1. LATEST FIGURES PLOTTED 2. DAILY CERTIFIED SPOT EXCHANGE RATES CHARTS 1. SPOT EXCHANGE RATES INDICES 2. 3-MONTH FORWARD EXCHANGE RATES 3. GOLD PRICE - LONDON 4. CALL MONEY RATES 5. 3-MONTH INTEREST RATES 6. EURO-DOLLAR DEPOSIT RATES 7. SELECTED EURO-DOLLAR AND 8. INTEREST ARBITRAGE: 3-MONTH FUNDS 9. LONG-TERM GOVERNMENT BOND YIELDS 10. INDUSTRIAL STOCK INDICES SUBSCRIPTION RATES: Weekly $30.00 per year or $.70 each in the United States, its possessions, Canada, and Mexico. Elsewhere, $35.00 per year or $.80 each. Address requests to Publications Services Division of Support Services and make payment remittance payable to the Board of Governors o f the Federal Reserve System in a form collectible at Par in U .S. currency. CHART 1 SPOT EXCHANGE INDICES DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE) AVERAGES FOR WEEK ENDING WEDNESDAY SCALE I 1973=100 RATIO SC MARCH 1973= 150 120 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 110 140 100 130 90 120 80 110 i i i l i i i l i i i l i i i 70 100 300 375 280 325 260 275 240 225 220 SWISS FRANC l I I I I I I I I I I I I I I 200 175 95 100 U.K. POUND 85 90 75 80 65 70 55 60 I I I I I I I I I I I l I I I 45 50 195 205 185 195 175 185 165 175 155 165 145 155 110 70 60 FRENCH FRANC 100 50 90 40 80 30 70 I I I I I I I I < I I I I I I 60 0 20 1995 1997 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + OI + OI 1- CI V C M ^ C O COCO C M C O t- ^ + OI T- C M C M O Tj- c o in Tf C M C O +O I C M T- +O I 2 T- CJ V 4 0 C M 2 + OI 4 6 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUI U.S. [ DLLARS PER FINE OUNCE 425 425 12.5 Kg BARS AFTERNOON FIXING PRICE 410 410 395 395 380 380 365 365 350 350 335 335 320 320 1993 1995 1997 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 7 6 5 4 3 7 6 5 4 3 CM O O CD 2 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM CM CO CM CO CO LO CO CJ V ■ » — OIO PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM CM CO CM CO CD CM CO 1995 1997 1995 1997 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FA VO R S BOR R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM +o I I + o PERCENT PER ANNUM 1995 1997 1995 1997 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM + o i i— r»co in tj- co c j t~ \ +o l PERCENT PER ANNUM 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES I I.. i l l...1 ,|.. 1 , | 1 , | | I I I cnoi oo ooro a 4* 00 GO cn 0)01 o> ^ oo 5 coo PERCENT PER ANNUM PERCENT PER ANNUM CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 370 UNITED STATES 330 | — 170 280 240 i i i I i i i I i i i I i i i GERMANY 200 160 — 120 80 300 I i I I t I l I I I l l I I I FRANCE 260 220 180 140 100 I I I I I I I I 1-I ■ I 1 1 1 I 1995 1997 12-Mar-97 19-Mar-97 26-Mar-97 2-Apr-97 Chart 1. 9-Apr-97 Spot Exchange Rates and Indices Noon buying rates (U.S. cents, weekly averages) Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U . . pound K 2.8410 73.095 17.366 58.572 0.05895 0.82091 52.032 67.770 160.24 2.8690 73.003 17.536 59.179 0.05913 0.81122 52.570 68.733 159.35 2.8689 72.567 17.553 59.201 0.05917 0.81081 52.627 68.556 161.32 2.8980 72.294 17.756 59.811 0.05992 0.81006 53.164 69.296 164.12 2.8480 71.976 17.461 58.769 0.05955 0.79816 52.241 68.518 163.05 111.95 72.85 78.26 164.77 33.84 214.94 149.37 218.03 64.81 113.05 72.76 79.02 166.47 33.94 212.40 150.92 221.12 64.45 113.05 72.33 79.10 166.54 33.96 212.30 151.08 220.55 65.25 114.19 72.05 80.01 168.25 34.40 212.10 152.62 222.93 66.38 112.22 71.74 78.68 165.32 34.18 208.98 149.97 220.43 65.95 109.57 67.83 73.95 176.25 29.74 223.09 149.56 54.79 217.37 59.97 95.50 109.96 67.06 74.33 176.98 29.93 221.18 150.10 54.93 218.26 60.66 94.68 109.14 67.49 73.80 175.45 30.06 220.07 148.95 54.78 218.04 60.92 95.93 2.44 2.26 2.35 -1.88 5.26 2.42 3.74 -0.63 2.49 2.41 2.47 -1.69 5.33 2.54 3.83 -0.59 2.39 2.52 2.57 -1.57 5.42 2.62 3.97 -0.53 2.27 2.49 2.56 -1.32 5.39 2.58 3.90 -0.58 351.40 350.50 350.13 349.73 348.41 5.19 5.20 3.04 3.13 3.06 0.48 2.98 1.91 5.83 5.26 5.23 2.97 3.13 3.04 0.49 3.04 1.76 5.88 5.40 5.33 2.96 3.13 3.07 0.54 3.06 2.25 5.91 5.86 5.73 3.01 3.13 3.13 0.61 2.94 1.92 5.98 5.37 5.48 3.00 3.13 3.05 0.48 3.05 1.71 5.89 Indices, March 1973 base rates : 100 = Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U .K . pound Weighted average exchange value indices , March 1973=100 Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swedish krona Swiss franc U .K . pound U.S. dollar Chart 2. 2.44 2.23 2.30 -1.79 5.24 2.37 3.71 -0.64 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 109.72 68.36 73.96 176.42 29.76 223.52 149.58 54.29 218.22 59.24 95.64 3-Month Forward Exchange Rates, Premium or Discount Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U.K. pound Chart 3. 108.85 68.61 73.35 174.73 29.73 227.08 148.30 54.97 215.57 59.76 95.92 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 12-Mar-97 19-Mar-97 26-Mar-97 2-Apr-97 Chart 5. 3-Month Interest Rates U.S. 90-day CD's, secondary market Canadian finance paper French interbank rate German interbank rate Japanese CD rate Netherlands interbank rate Swiss interbank rate U.K. interbank sterling Weighted average foreign interest rate (G-10 Countries) Chart 6. 5.44 3.20 3.25 3.15 0.54 3.12 1.76 6.11 3.53 5.50 3.24 3.27 3.17 0.54 3.15 1.78 6.14 3.56 5.62 3.32 3.27 3.19 0.58 3.15 1.85 6.26 3.59 5.68 3.44 3.25 3.17 0.56 3.12 1.77 6.30 3.58 5.70 3.51 3.25 3.15 0.55 3.15 1.78 6.36 3.57 5.20 5.25 5.31 5.44 5.57 5.88 5.23 5.28 5.33 5.46 5.63 5.95 5.33 5.60 5.49 5.57 5.74 6.06 5.73 5.53 5.56 5.66 5.81 6.13 5.48 5.56 5.56 5.69 5.88 6.23 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 9-Apr-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.20 5.19 0.01 5.23 5.26 -0.03 5.33 5.40 -0.07 5.73 5.86 -0.13 5.48 5.37 0.11 5.44 5.44 -0.01 5.46 5.50 -0.04 5.57 5.62 -0.05 5.66 5.68 -0.03 5.69 5.70 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.44 5.45 -0.01 5.46 5.50 -0.04 5.57 5.66 -0.09 5.66 5.77 -0.11 5.69 5.77 -0.08 U.S. commercial paper Canadian finance paper, covered Differential 5.46 5.65 -0.19 5.50 5.69 -0.19 5.65 5.83 -0.18 5.73 5.84 -0.11 5.70 5.80 -0.10 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.44 5.47 -0.03 5.46 5.53 -0.07 5.57 5.67 -0.10 5.66 5.76 -0.11 5.69 5.72 -0.04 Euro-dollar deposit Swiss interbank, covered Differential 5.44 5.49 -0.05 5.46 5.53 -0.07 5.57 5.69 -0.12 5.66 5.76 -0.10 5.69 5.69 -0.01 6.56 5.69 5.79 2.29 3.45 5.68 7.41 6.72 6.61 5.80 5.90 2.37 3.59 5.78 7.57 6.75 6.75 5.84 5.93 2.32 3.60 5.81 7.64 6.90 6.83 5.87 5.97 2.18 3.66 5.86 7.64 6.89 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential Chart 8. Chart 9. Interest Arbitrage, 3-Month Funds Long Term Government Bellwether Bond Yields 10-year maturity, where available Canada France Germany Japan Switzerland Netherlands United Kingdom United States Chart 10. 6.45 5.55 5.66 2.38 3.34 5.57 7.27 6.58 Stock Indices (Wednesday figures) 194.92 Canada 208.52 202.91 204.04 201.27 205.60 France 209.43 208.86 171.50 170.47 Germany 176.15 176.28 104.02 Japan 103.34 104.46 105.54 261.75 Netherlands 276.66 269.12 269.83 Switzerland 388.66 379.56 385.24 376.63 United Kingdom 226.75 222.56 220.81 218.25 304.04 290.65 305.35 United States 311.36 Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General spliced at 22dec93, FAZ Aktien, Tokyo SE (Topix) , CBS All-General, Swiss Bank Index, DigitizedFinancial Times Ordinary, NYSE Composite for FRASER 193.24 206.79 173.78 101.58 270.86 388.04 220.96 294.27 to SBF250
@FedFRASER