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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts February 18, 1997 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS SECTION 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=400 SCALE I 1973=100 150 120 110 _ FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 I -I 70 I I. I J — l-J—L I I l I . I__L 100 300 320 280 300 260 280 240 260 220 240 200 220 100 95 U.K. POUND 85 90 75 80 65 70 55 60 I I I I I I I I I I I I I I I 45 50 195 205 185 195 175 185 165 175 155 165 145 155 110 70 60 100 50 90 40 80 30 70 60 20 0 1995 1997 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + O I 1- + o I CM CM COCO T t -c o CM CO r + O I t- CM CM O T j- c o in ^ CM CO T- + O I CM CM + O I r ^ O CM T f CM + O I 4 1995 1997 1995 1997 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 — _ l___I___I___I___I__ I___I___I___I___I__ I___I__ I___I__ I___I__ I__ I__ I 32o 1993 1995 1997 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM O CO Csi Is- in CO CM O) PERCENT PER ANNUM CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES cn O) |\0 PERCENT PER ANNUM GO 0 )1 0 O lO O) ^ -*• Ul O) ro ^ CO GO 4^ CJI O) -si 00 f\0 PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 8 I I I I 1 I 1 I I I I I 1 I I 2 8 7-DAY 6 6 4 4 2 I I 1— 1 I I I 1 I I I 1 I I I 8 2 8 1-MONTH 6 6 4 4 2 1- I I I I I 1995 1 1 I I I I I I 1997 I 2 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), 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 +O I Io + DIFFERENTIAL 1995 1997 J__ I___I__ I___I__ I___I__ I___I__ I___I___I___I__ I I 1995 1997 I ! CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM +o i co in Tt co c\j i +o i 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM CD O CO CO If) IT) PERCENT PER ANNUM JAPAN 4 3 ■ i i I i i i I i i i I i i i 2 8 7 6 5 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 420 f-— 180 — 140 I i i i I i i i I i i i I i i i 1995 1997 1995 1997 15-Jan-97 22-Jan-97 29-Jan-97 5-Feb-97 Chart 1. 12-Feb-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 3.0518 74.154 18.647 62.935 0.06468 0.85820 56.039 72.671 167.68 2.9969 74.720 18.319 61.837 0.06357 0.85039 55.013 71.257 166.33 2.9551 74.394 18.077 60.928 0.06245 0.83311 54.244 70.327 162.36 2.9513 74.374 18.023 60.945 0.06175 0.81989 54.213 70.298 161.70 2.9125 73.960 17.710 60.064 0.06121 0.81040 53.511 69.773 163.62 120.26 73.91 84.03 177.04 37.13 224.71 160.88 233.79 67.82 118.09 74.47 82.55 173.95 36.49 222.66 157.93 229.24 67.27 116.44 74.15 81.46 171.40 35.84 218.13 155.72 226.25 65.67 116.30 74.13 81.22 171.44 35.45 214.67 155.63 226.16 65.40 114.77 73.71 79.80 168.96 35.13 212.19 153.62 224.47 66.18 110.37 67.99 74.50 177.53 30.76 224.20 150.78 56.38 218.00 58.90 92.78 110.62 68.22 74.54 178.32 30.50 221.07 151.24 56.35 218.68 58.86 93.18 109.95 68.36 73.71 176.81 30.45 220.04 150.34 56.10 218.67 60.12 94.07 2.41 2.20 2.39 -1.49 5.14 2.50 3.71 -0.73 2.36 2.18 2.34 -1.62 5.13 2.53 3.73 -0.73 2.34 2.15 2.33 -1.75 5.13 2.51 3.81 -0.75 2.34 2.17 2.30 -1.73 5.08 2.49 3.75 -0.73 357.24 353.56 351.78 345.63 340.01 5.19 5.24 2.98 3.19 2.99 0.44 2.20 1.29 5.20 5.19 5.20 2.98 3.19 2.99 0.49 2.60 1.54 5.91 5.18 5.24 2.94 3.19 3.02 0.48 2.83 1.69 5.81 5.30 5.33 2.96 3.14 3.17 0.49 2.84 1.58 6.19 5.13 5.19 2.97 3.13 3.03 0.49 2.89 1.69 5.99 Indices, March 1973 base rates = 100 Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U oK. 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. 2.39 2.23 2.42 -1.59 5.17 2.52 3.74 -0.83 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4„ 110.52 67.37 74.54 177.96 30.92 226.16 150.99 57.34 218.08 59.65 91.29 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. 111.43 66.08 75.16 179.51 31.16 225.85 152.31 57.69 220.18 59.50 90.09 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 15-Jan-97 22-Jan-97 29-Jan-97 5-Feb-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 3.19 3.20 3.04 0.53 2.94 1.70 6.33 3.46 5.42 3.14 3.20 3.01 0.53 2.91 1.75 6.21 3.42 5.42 3.17 3.24 3.04 0.53 2.93 1.68 6.21 3.45 5.41 3.18 3.24 3.05 0.53 2.92 1.63 6.21 3.46 5.37 3.16 3.21 3.05 0.54 2.94 1,63 6:i7 3.45 5.24 5.25 5.31 5.44 5.55 5.82 5.20 5.25 5.31 5.44 5.56 5.81 5.24 5.29 5.31 5.44 5.56 5.82 5.33 5.30 5.32 5.42 5.52 5.76 5.19 5.26 5.27 5.38 5.46 5.70 Euro-Dollar Deposit Rates Overnight 7-day 1 -month 3 -month 6 -month 1-year Chart 7. 12-Feb-97 Selected Euro-dollar & U.S. Money Market Rates 5.24 5.19 0.05 5.20 5.19 0.01 5.24 5.18 0.06 5.33 5.30 0.03 5.19 5.13 0.06 5.44 5.44 -0.00 5.44 5.42 0.02 5.44 5.42 0.02 5.42 5.41 0.00 5.38 5.37 0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.44 5.49 -0.05 5.44 5.46 -0.02 5.44 5.46 -0.03 5.42 5.45 -0.03 5.38 5.43 -0.05 U.S. commercial paper Canadian finance paper, covered Differential 5.47 5.61 -0.14 5.45 5.58 -0.13 5.45 5.55 -0.10 5.44 5.53 -0.09 5.40 5.52 -0.11 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.44 5.48 -0.04 5.44 5.41 0.02 5.44 5.40 0.04 5.42 5.40 0.02 5.38 5.36 0.02 Euro-dollar deposit Swiss interbank, covered Differential 5.44 5.45 -0.01 5.44 5.48 -0.04 5.44 5.42 0.01 5.42 5.45 -0.03 5.38 5.39 -0.01 6.59 5.58 5.74 2.45 3.74 5.56 7.39 6.55 6.68 5.62 5.79 2.43 3.71 5.62 7.45 6.64 6.53 5.58 5.74 2.43 3.67 5.57 7.36 6.51 6.37 5.53 5.63 2.44 3.52 5.54 7.19 6.43 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. 6.70 5.73 5.85 2.49 3.81 5.69 7.59 6.57 Stock Indices (Wednesday figures) Canada 202.12 201.90 202.32 203.69 France 190.29 194.20 196.06 200.88 Germany 155.06 157.13 155.92 160.37 Japan 104.85 104.25 103.32 102.49 Netherlands 243.97 251.50 248.14 255.68 Switzerland 337.71 351.32 354.84 365.75 United Kingdom 215.78 220.53 219.03 220.79 United States 297.76 303.46 298.53 300.48 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 for FRASER Times Ordinary, NYSE Composite 205.46 205.30 165.94 103.48 261.75 376.54 219.39 308.67 to SBF250
@FedFRASER