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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts August 4, 1997 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS SECTION Washington, D.C. 20551 FEDERAL RESERVE SYSTEM 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 I 1973=100 RATIO SC MARCH 1973= 120 110 150 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 i i i l i i i I i i i l i i i 100 300 375 280 325 260 275 240 225 220 200 SWISS FRANC I I I l I I l l I I I l I I I 100 95 85 175 U.K. POUND 90 75 80 65 70 55 60 45 I l -I.I.- 1. .I I I I I I I I I I 50 205 195 DUTCH GUILDER 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 I I I I 1 I I I I I I I 1995 1997 20 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 1 + O I TCM i i I i i i I i i i I i i i CO 00 i CANADIAN DOLLAR CO CM O I I I I I I I I I I I I I I I Tt SWISS FRANC CM + O I 1 I I I I I I 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 OUNCE U.S. DOLLARS PER FINE OUNCE ----- 425 425 ----- 12.5 Kg BARS AFTERNOON FIXING PRICE 410 — 395 — 380 — 365 — 320 J__ I__ I__ I___L _l___I___I___l 1993 320 1995 1997 CHART 4 CALL MONEY RATES W EEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 5 4 3 2 1 0 6 5 4 3 cm a CM O) CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM cn c\j oo cn ro PERCENT PER ANNUM co c\ j t- o in O i r o c o j ^ c n o - ^ i o o c o r o to go co CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM CM 00 CM 00 CO CO Tt CM 00 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 IO + Io + 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 PERCENT PER ANNUM -»• 10 + lo + DIFFERENTIAL lo + lo + -*■ ro -*■ ro co co cji cn O) 05 vi I I I I I I I I I I I I I I .I 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CO o> CM CO 1995 1997 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 360 320 280 240 200 — | 160 120 2-Jul-97 Chart 1. 9-Jul-97 16-Jul-97 23-Jul-97 30-Jul-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 2.7823 72.438 17.037 57.418 0.05890 0.87371 50.998 68.624 166.39 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 65.997 163.88 109.64 72.20 76.77 161.52 33.81 228.77 146.41 220.77 67.30 109.07 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 66.28 104.63 69.04 70.32 167.30 29.29 245.89 142.66 54.29 218.16 63.72 96.86 104.22 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 2.31 2.40 2.64 -1.11 5.35 2.56 4.30 -1.28 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 -1.36 334.78 322.62 320.05 324.59 325.45 5.82 5.63 3.18 3.13 3.14 0.51 2.88 1.91 6.41 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 5.58 5.49 3.14 3.13 2.95 0.48 3.00 1.43 6.74 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 indicesi, 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. 2.30 2.43 2.69 -1.02 5.33 2.61 4.38 -1.09 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 105.67 68.09 71.08 168.89 29.46 246.85 143.88 54.19 217.25 63.10 95.66 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. 106.27 67.81 71.65 170.24 29.65 242.99 144.86 54.20 217.95 62.16 95.69 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 2-Jul-97 Chart 5. 5.67 3.52 3.27 3.02 0.66 3.13 1.36 6.79 3.56 5.62 3.47 3.27 3.03 0.67 3.13 1.40 6.95 3.58 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 5.63 5.57 5.56 5.63 5.77 5.99 5.50 5.52 5.56 5.63 5.73 5.95 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 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 16-Jul-97 23-Jul-97 30-Jul-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-Jul-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.63 5.82 -0.19 5.50 5.48 0.02 5.46 5.44 0.02 5.43 5.43 -0.00 5.49 5.58 -0.09 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.63 5.67 -0.04 5.63 5.62 0.02 5.63 5.60 0.02 5.62 5.59 0.03 5.56 5.58 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.63 5.68 -0.05 5.63 5.65 -0.02 5.63 5.62 0.00 5.62 5.61 0.00 5.56 5.57 -0.00 U.S. commercial paper Canadian finance paper, covered Differential 5.63 5.84 -0.21 5.59 5.80 -0.21 5.57 5.78 -0.21 5.55 5.73 -0.18 5.56 5.74 -0.18 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.63 5.73 -0.10 5.63 5.69 -0.06 5.63 5.64 -0.02 5.62 5.64 -0.03 5.56 5.61 -0.05 Euro-dollar deposit Swiss interbank, covered Differential 5.63 5.76 -0.12 5.63 5.71 -0.08 5.63 5.72 -0.09 5.62 5.71 -0.09 5.56 5.63 -0.07 6.07 5.47 5.58 2.34 3.14 5.49 7.03 6.28 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 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. 6.26 5.57 5.68 2.42 3.21 5.55 7.05 6.47 Stock Indices (Wednesday figures) Canada 218.24 219.10 224.77 225.45 France 226.67 222.91 229.19 229.63 Germany 195.48 204.60 210.09 219.61 Japan 115.79 113.01 116.82 115.66 Netherlands 326.86 355.00 343.83 361.07 Switzerland 463.64 484.73 482.30 477.97 United Kingdom 237.14 242.69 235.09 239.58 United States 356.72 346.77 347.74 356.91 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 228.29 234.64 219.84 116.22 357.71 486.02 241.32 362.84 to SBF250
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