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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts August 11, 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 SCALE 11973=100 RATIO SC MARCH 1973= 150 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 i i i l i t i l i i i l 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 l I I I 175 95 85 100 U.K. POUND 90 75 80 65 70 55 60 45 I I I I I I I I I I I l I I » 50 195 205 185 195 175 185 165 175 155 165 145 155 110 70 60 100 50 90 40 80 30 70 60 I I I I I I I I I I I I I I I 1995 1997 20 1997 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + OS ▼ ” + O I CM CM COCO T f CO CM CO ^ T - + O I T- CM CM O r t CO lO Tf CM CO + O I CM i+ O I r CM I I I I I »» CM + O I I I I I I I I » CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OU u.s. c 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 o co 04 in C O l O ^ co C O cj v o) CM 05 CHARTS 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM C (0 M oo ro PERCENT PER ANNUM 01 C O co o> in C 05 M h- ro 00 C D -*• in C C M D o io C O CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM CM CO CM 00 CD CO CM CO CM 00 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL. PLUS(+), FAVORS BORROWING IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM DIFFERENTIAL 1995 1997 | n » ~l'"1 n' vr ,r 1995 111 ii ^ 1997 + OI + OI ...... 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 INTERBANK STERLING COVERED LONDON EURO-DOLLAR DEPOSITS DASHED LINE 1 I I 1 I 1 « I I « I I I I I DIFFERENTIAL I I I 1 I » » I 1 » I I I I » I I » I I I » I I I I I I I I "N -*• l IO + DIFFERENTIAL Ol 0> SWISS INTERBANK (SF) COVERED G) EURO-DOLLAR DEPOSITS DASHED LINE — 3 - t ro i i i I i » i I i i i I i i i |o + " d if f e r e n t ia l I I I I I I I I »» 1995 1997 1995 I I » I » I! 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 5 4 4 3 3 8 2 8 7 7 6 6 2 5 5 1995 1997 1995 1997 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 100 ■ i i I i i i I i i i I i i i 360 320 280 240 200 160 120 9-Jul-97 Chart 1. 16-Jul-97 23-Jul-97 30-Jul-97 6-Aug-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 2.7680 72.730 16.918 57.049 0.05857 0.88628 50.685 68.425 168.70 2.7154 72.951 16.592 56.048 0.05770 0.87457 49.792 68.031 168.53 2.6869 72.618 16.451 55.515 0.05706 0.86339 49.308 67.600 167.66 2.6319 72.207 16.130 54.353 0.05582 0.85126 48.263 65.997 163.88 2.5940 72.321 15.889 53.617 0.05482 0.84361 47.594 65.514 162.63 109.07 72.49 76.24 160.48 33.62 232.06 145.51 220.13 68.23 107.00 72.71 74.77 157.67 33.12 228.99 142.94 218.87 68.17 105.88 72.38 74.13 156.17 32.75 226.06 141.55 217.48 67.81 103.71 71.97 72.69 152.90 32.04 222.89 138.55 212.32 66.28 102.22 72.08 71.60 150.83 31.47 220.88 136.63 210.77 65.78 104.22 69.20 70.18 166.74 29.16 244.21 142.20 54.72 218.25 63.83 97.70 103.57 69.89 69.80 165.49 28.94 244.39 141.20 54.51 216.20 63.27 99.56 102.97 70.68 69.32 164.55 28.65 244.36 140.44 54.27 216.55 63.36 100.69 2.25 2.36 2.57 -1.19 5.27 2.49 4.35 -1.26 2.11 2.37 2.56 -1.20 5.26 2.47 4.24 -1.30 2.05 2.34 2.51 -1.21 5.25 2.39 4.12 -1.36 2.07 2.30 2.37 -1.18 5.26 2.32 4.23 -1.46 322.62 320.05 324.59 325.45 322.89 5.48 5.50 3.12 3.13 3.03 0.47 2.94 1.59 5.84 5.44 5.46 3.12 3.13 3.00 0.51 3.22 1.35 6.49 5.43 5.43 3.14 3.13 2.97 0.51 3.11 1.53 6.63 5.57 5.49 3.14 3.13 2.95 0.48 3.00 1.43 6.74 5.62 5.55 3.16 3.13 3.16 0.49 3.18 1.16 6.64 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. 2.31 2.40 2.64 -1.11 5.35 2.56 4.30 -1.28 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 104.63 69.04 70.32 167.30 29.29 245.89 142.66 54.29 218.16 63.72 96.86 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. 105.67 68.09 71.08 168.89 29.46 246.85 143.88 54.19 217.25 63.10 95.66 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 9-Jul-97 Chart 5. 3-Month Interest Rates 5.60 3.51 3.28 3.05 0.66 3.12 1.35 6.91 3.60 5.59 3.61 3.27 3.06 0.66 3.20 1.45 6.94 3.62 5.58 3.67 3.27 3.09 0.66 3.24 1.50 6.95 3.66 5.59 3.67 3.32 3.14 0.63 3.26 1.43 7.04 3.67 5.46 5.50 5.56 5.63 5.71 5.89 5.43 5.48 5.54 5.62 5.69 5.89 5.49 5.53 5.50 5.56 5.69 5.84 5.55 5.50 5.50 5.56 5.68 5.85 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 5.62 3.47 3.27 3.03 0.67 3.13 1.40 6.95 3.58 5.50 5.52 5.56 5.63 5.73 5.95 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. 16-Jul-97 23-Jul-97 30-Jul-97 6-Aug-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.50 5.48 0.02 5.46 5.44 0.02 5.43 5.43 -0.00 5.49 5.57 -0.08 5.55 5.62 -0.07 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.63 5.62 0.02 5.63 5.60 0.02 5.62 5.59 0.03 5.56 5.58 -0.01 5.56 5.59 -0.03 Euro-dollar deposit Interbank sterling (London), covered Differential 5.63 5.65 -0.02 5.63 5.62 0.00 5.62 5.61 0.00 5.56 5.57 -0.00 5.56 5.55 0.01 U.S. commercial paper Canadian finance paper, covered Differential 5.59 5.80 -0.21 5.57 5.78 -0.21 5.55 5.73 -0.18 5.56 5.74 -0.18 5.57 5.76 -0.19 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.63 5.69 -0.06 5.63 5.64 -0.02 5.62 5.64 -0.03 5.56 5.61 -0.05 5.56 5.53 0.03 Euro-dollar deposit Swiss interbank, covered Differential 5.63 5.71 -0.08 5.63 5.72 -0.09 5.62 5.71 -0.09 5.56 5.63 -0.07 5.56 5.67 -0.11 6.00 5.46 5.59 2.34 3.15 5.52 7.08 6.24 5.94 5.41 5.55 2.32 3.22 5.49 7.01 6.20 5.91 5.42 5.54 2.23 3.25 5.47 6.95 6.13 5.88 5.53 5.60 2.17 3.27 5.55 6.99 6.18 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. 6.07 5.47 5.58 2.34 3.14 5.49 7.03 6.28 Stock Indices (Wednesday figures) Canada 224.77 225.45 228.29 219.10 France 234.64 226.67 229.19 229.63 Germany 219.84 210.09 219.61 204.60 Japan 116.22 116.82 113.01 115.66 357.71 Netherlands 355.00 343.83 361.07 486.02 Switzerland 482.30 477.97 484.73 United Kingdom 241.32 235.09 242.69 239.58 United States 362.84 347.74 356.72 356.91 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 231.06 232.78 215.58 114.00 367.15 475.01 245.14 365.36 to SBF250
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