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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts April 28, 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 of 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 RATIO SC MARCH 1973= SCALE I 1973=100 150 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 i i i l i i i l i i i l i i— i 100 300 375 280 325 260 275 240 225 220 200 SWISS FRANC I I I I I I I I I I I- I 1 -I— L 175 100 95 85 U.K. POUND 90 75 80 65 70 55 60 45 I I I 1 I I I I I I I I I I I 50 195 205 185 195 175 185 165 175 155 165 145 155 110 100 70 FRENCH FRANC 60 50 90 40 80 30 70 60 I I I 1 I I I I I I I I I I I 20 1995 1997 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + OI T- + OI CM CM COCO CO CM CO T+ Tf OI y - CM CM O Tt CO lO SWISS FRANC CM 00 +OI CM t— +OI rCM ’M’ i i i CM +OI I i i i I i i i l i i i CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U S- DOLLARS PER FINE OUNCE CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 5 U.S. FEDERAL FUNDS 4 SWITZERLAND 3 2 1 JAPAN J__I__L 1 1 .1. 1 I I I I I I I 0 6 NETHERLANDS GERMANY 5 4 3 3 — I I I I I I I I 2 9 CANADA 8 7 UNITED KINGDOM 6 5 4 FRANCE 3 I I I I I I I I I 1...L J I 1.1 2 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM 3r- JAPANESE CD RATE 0I I I I I I I I I I I I I I I I PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM CM 00 CM 00 00 N> CO 2 2 1995 1995 1997 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM DIFFERENTIAL +o I +OI i 1995 1997 i i I i i _j__ I__ i__ I__ I__ I__ I__ L 1995 1997 I CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM IO + Io + -*• N> -*• ro CO co ^ Ol cn O) o> -vl *ni -»■ IO + lo + PERCENT PER ANNUM 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 8 9 7 8 6 7 5 6 9 10 9 8 8 7 7 6 6 5 5 5 6 SWITZERLAND 5 4 4 3 3 l l I l I l l I I I I I I l I 2 8 8 NETHERLANDS 7 7 6 6 5 ■ i i l i i i I i i i I i i i 1995 1997 5 1995 1997 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 — JAPAN 180 160 140 120 100 80 I I I I I I I 1 I I I 1 I I I 300 FRANCE 260 CANADA 220 180 220 140 180 — 140 100 60 260 — * » i I i i i I i i i I i i i i i i I i i i I i i i I i i i 100 60 320 280 24 0 200 160 120 26-Mar-97 2-Apr-97 Chart 1. 9-Apr-97 16-Apr-97 23-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 .K . pound 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 2.8081 71.580 17.230 57.955 0.05885 0.79228 51.550 68.068 162.33 2.8322 71.573 17.326 58.462 0.05889 0.79426 51.974 68.636 163.23 113.05 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 65.95 110.65 71.34 77.64 163.03 33.78 207.44 147.99 218.98 65.66 111.60 71.34 78.07 164.46 33.80 207.96 149.21 220.81 66.02 109.14 67.49 73.80 175.45 30.06 220.07 148.95 54.78 218.04 60.92 95.93 108.43 67.66 73.36 174.18 29.93 220.19 148.09 55.18 218.33 61.15 96.89 108.94 67.36 73.48 175.15 29.82 219.80 148.75 55.03 219.29 61.25 96.39 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 2.30 2.53 2.59 -1.17 5.39 2.66 3.96 -0.55 2.38 2.36 2.60 -1.09 5.38 2.63 3.93 -0.55 350.13 349.73 348.41 345.04 341.47 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 5.48 5.46 3.00 3.13 3.04 0.47 2.63 1.29 5.70 5.44 5.43 3.00 3.13 3.00 0.49 2.83 1.18 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. 2.49 2.41 2.47 -1.69 5.33 2.54 3.83 -0.59 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 109.96 67.06 74.33 176.98 29.93 221.18 150.10 54.93 218.26 60.66 94.68 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. 109.57 67.83 73.95 176.25 29.74 223.09 149.56 54.79 217.37 59.97 95.50 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 26-Mar-97 2-Apr-97 Chart 5. 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 5.72 3.53 3.21 3.14 0.55 3.16 1.78 6.33 3.55 5.71 3.47 3.33 3.15 0.55 3.15 1.78 6.31 3.54 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 5.46 5.53 5.56 5.70 5.89 6.31 5.43 5.50 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. 16-Apr-97 23-Apr-97 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. 9-Apr-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.33 5.40 -0.07 5.73 5.86 -0.13 5.48 5.37 0.11 5.46 5.48 -0.02 5.43 5.44 -0.01 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.57 5.62 -0.05 5.66 5.68 -0.03 5.69 5.70 -0.01 5.70 5.72 -0.03 5.69 5.71 -0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.57 5.66 -0.09 5.66 5.77 -0.11 5.69 5.77 -0.08 5.70 5.77 -0.07 5.69 5.75 -0.07 U.S. commercial paper Canadian finance paper, covered Differential 5.65 5.83 -0.18 5.73 5.84 -0.11 5.70 5.80 -0.10 5.71 5.85 -0.15 5.70 5.87 -0.17 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.57 5.67 -0.10 5.66 5.76 -0.11 5.69 5.72 -0.04 5.70 5.75 -0.06 5.69 5.77 -0.08 Euro-dollar deposit Swiss interbank, covered Differential 5.57 5.69 -0.12 5.66 5.76 -0.10 5.69 5.69 -0.01 5.70 5.75 -0.06 5.69 5.72 -0.04 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 6.88 5.77 5.89 2.21 3.63 5.80 7.60 6.93 6.72 5.77 5.84 2.21 3.55 5.74 7.53 6.86 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. 6.61 5.80 5.90 2.37 3.59 5.78 7.57 6.75 Stock Indices (Wednesday figures) 193.24 193.24 Canada 204.04 194.92 201.27 207.55 France 208.86 206.79 173.75 Germany 171.50 173.78 176.28 102.57 104.02 Japan 101.58 105.54 268.20 261.75 270.86 Netherlands 269.83 386.44 388.04 Switzerland 385.24 376.63 United Kingdom 218.25 220.96 220.09 220.81 294.27 295.34 United States 305.35 290.65 Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General spliced 22dec93, FAZ Aktien, Tokyo SE (Topix), CBS All-General, Swiss Bank Index, Digitized at for FRASER Financial Times Ordinary, NYSE Composite 195.75 201.27 175.18 107.43 278.29 398.56 223.61 297.52 to SBF250
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