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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts April 7, 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 SCi MARCH 1973= SCALE \ 1973=100 150 120 110 BELGIAN FRANC FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 JL.L l - l l I I - I . - L .I I _ l ,1 1— L I I I i I I I I I I I I 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 I 175 100 95 85 U.K. POUND 90 75 80 65 70 55 60 45 I I I I I I I I I I I I I I I 50 195 205 185 195 175 185 165 175 155 165 145 155 70 60 110 100 FRENCH FRANC 50 90 40 80 30 70 60 I I I I 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 + O I + O I 1- CM CM CO COCO CM CO T- rt + O I T- CM CM O ^ CO i n CM CO + O I CM i- + O I y- CM CM + O I CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OU u.s. c 3LLARS 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 i i i___I___i___i___i 1993 I i J__ I__ I__ L 1995 J__ I__ L 1997 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CO h - 4 — 3 — C\J CD CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM cm oo co cji O) cm -m oo co co ro m o in O) i\) go ▼ CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM CM CO CM 00 PERCENT PER ANNUM CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES D IFFER EN TIA L: PLU S(+), FA VO R S B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM DIFFERENTIAL IO + +O I I 1995 1997 l 1___ 1___ 1___ l_ - 1 1995 1___ 1___ 1___ 1___ 1___ 1___ 1___ 1___ 1997 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 7 CANADIAN FINANCE CO. PAPER, COVERED — 6 — 5 — 4 U.S. COMMERCIAL PAPER DASHED LINE i i i I i i i I i i i I i i c u r- -»• ro co cd Tt 4^ in cn cd o> r - is. -si -*> lo + +oi IO + +oi 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 8 9 UNITED STATES UNITED KINGDOM 7 8 6 7 5 I I.J L .L.J..JL I J i „ L l - L—L l 10 1.. 1..L , L J_ L J L -1 —L- L-J 1 1.... 1-L 6 9 CANADA 9 8 8 7 7 6 6 I I I 1 I I I I I I I I I I I 6 5 5 5 4 4 3 3 8 2 8 7 7 6 6 5 5 5 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 5-Mar-97 Chart 1. 12-Mar-97 19-Mar-97 26-Mar-97 2-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 2.8530 73.108 17.441 58.863 0.05903 0.82496 52.327 67.627 161.93 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 69.296 164.12 112.42 72.87 78.60 165.59 33.88 216.00 150.22 217.56 65.49 111.95 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 66.38 109.72 68.36 73.96 176.42 29.76 223.52 149.58 54.29 218.22 59.24 95.64 109.57 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 2.44 2.23 2.30 -1.79 5.24 2.37 3.71 -0.64 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 -0.53 358.93 351.40 350.50 350.13 349.73 5.36 5.29 3.03 3.13 3.07 0.50 2.90 1.73 5.74 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 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. 2.40 2.23 2.31 -1.83 5.23 2.44 3.86 -0.67 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 108.85 68.61 73.35 174.73 29.73 227.08 148.30 54.97 215.57 59.76 95.92 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. 108.91 68.36 73.40 175.00 29.66 227.40 148.62 55.25 214.29 60.21 95.47 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 5-Mar-97 Chart 5. 3-Month Interest Rates U.S. 90-day C D ’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. 5.42 3.18 3.23 3.15 0.54 3.04 1.61 6.13 3.51 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 5.29 5.28 5.31 5.42 5.55 5.86 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 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 12-Mar-97 19-Mar-97 26-Mar-97 2-Apr-97 Selected Euro-dollar & U.S. Money Market Rates 5.29 5.36 -0.07 5.20 5.19 0.01 5.23 5.26 -0.03 5.33 5.40 -0.07 5.73 5.86 -0.13 5.42 5.42 0.00 5.44 5.44 -0.01 5.46 5.50 -0.04 5.57 5.62 -0.05 5.66 5.68 -0.03 Euro-dollar deposit Interbank sterling (London), covered Differential 5.42 5.45 -0.03 5.44 5.45 -0.01 5.46 5.50 -0.04 5.57 5.66 -0.09 5.66 5.77 -0.11 U.S. commercial paper Canadian finance paper, covered Differential 5.45 5.59 -0.14 5.46 5.65 -0.19 5.50 5.69 -0.19 5.65 5.83 -0.18 5.73 5.84 -0.11 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.42 5.48 -0.06 5.44 5.47 -0.03 5.46 5.53 -0.07 5.57 5.67 -0.10 5.66 5.76 -0.11 Euro-dollar deposit Swiss interbank, covered Differential 5.42 5.49 -0.07 5.44 5.49 -0.05 5.46 5.53 -0.07 5.57 5.69 -0.12 5.66 5.76 -0.10 6.45 5.55 5.66 2.38 3.34 5.57 7.27 6.58 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 Overnight Euro-dollar deposits U.S. federal funds Differential 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. 6.42 5.44 5.55 2.45 3.27 5.45 7.19 6.58 Stock Indices (Wednesday figures) 204.04 206.72 202.91 Canada 208.52 205.60 208.86 France 210.32 209.43 170.47 176.28 Germany 172.67 176.15 105.54 Japan 103.74 103.34 104.46 Netherlands 269.12 269.83 275.25 276.66 Switzerland 379.56 385.24 380.85 388.66 United Kingdom 224.41 222.56 220.81 226.75 United States 309.25 304.04 305.35 311.36 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, Financial Times Ordinary, NYSE Composite 194.92 201.27 171.50 104.02 261.75 376.63 218.25 290.65 to SBF250
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