The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts February 3, 1997 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, D.C. 20551 Table o f 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 M exico. 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 o f 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 I1973=100 RA110 SC MARCH 1973= 100 150 120 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 110 140 100 130 90 120 80 110 1 I » I I » I I 1 I » I I I I 70 100 300 320 280 300 260 280 240 260 220 240 200 220 100 95 U.K. POUND 85 90 75 80 65 70 55 60 » I 1 * I 1 I I » I I I I I I 45 50 195 205 DUTCH GUILDER 185 195 175 185 165 175 155 165 L .1 I I 1 1 I I I I I I I I 145 155 110 70 60 FRENCH FRANC 100 50 90 40 80 30 70 I I I I I I I 1 I I I I I I I 60 0 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- +O I CM C\| COCO Tt CO CM CD T'M- +O I T- CM CM O Tf CO LO ^ CM CO +O l CM r+O I t- CM "M* CM +O I 4 6 1995 1997 1995 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 7 5 U.S. FEDERAL FUNDS 6 4 5 3 4 2 3 1 2 1.1 1.1 1 1-J 1- 1-1 1 I 1 1 1 I I I I » I 1 I » » I I I I I 7 0 6 GERMANY 6 5 5 4 4 3 3 9 2 9 8 8 7 7 6 6 5 5 4 4 3 3 2 2 L-» I I I l-l 1995 I » I I 1 I » I 1997 2 1995 1997 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM co r\o GO -P* PERCENT PER ANNUM CHART6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES D IFFERENTIAL: PLUS(+), FAVORS B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 7 M FEDERAL FUNDS DASHED LINE OVERNIGHT EURO-DOLLAR DEPOSITS 5 — 4 — J__ I__ I__ I__ I__ I__ I__ I__ I__ !__ I__ I__ I__ I__ L IO + IO + DIFFERENTIAL J__ I__ I__ I__ I---- 1__ I__ I__ I__ I__ I__ I__ i 1995 i 1997 i l ! CHART8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + O I TCD LO ^ CO CM v— + O I 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM LO LO U) CO SWITZERLAND ^ 5 CO I I 1 I I I I I I I CM CO 1-11-1» 1995 1997 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 260 240 220 200 180 160 140 120 1995 1997 1-Jan-97 Chart 1. 8-Jan-97 15-Jan-97 22-Jan-97 29-Jan-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 3.1232 73.099 19.075 64.345 0.06545 0.86398 57.310 74.174 169.15 3.1052 73.192 18.944 63.953 0.06506 0.86375 56.986 73.723 168.77 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 70.327 162.36 123.07 72.86 85.96 181.01 37.57 226.22 164.52 238.63 68.42 122.36 72.95 85.37 179.91 37.35 226.16 163.60 237.18 68.26 120.26 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 65.67 111.43 66.08 75.16 179.51 31.16 225.85 152.31 57.69 220.18 59.50 90.09 110.52 67.37 74.54 177.96 30.92 226.16 150.99 57.34 218.08 59.65 91.29 110.37 67.99 74.50 177.53 30.76 224.20 150.78 56.38 218.00 58.90 92.78 2.36 2.15 2.38 -1.66 5.11 2.45 3.65 -0.93 2.39 2.23 2.42 -1.59 5.17 2.52 3.74 -0.83 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 -0.73 369.33 360.93 357.24 353.56 351.78 5.37 5.59 2.97 3.19 3.68 0.49 2.79 2.63 5.83 5.28 5.33 3.01 3.19 3.00 0.47 2.85 1.73 5.93 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 5.26 5.24 2.94 3.19 3.02 0.48 2.83 1.69 5.81 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. 2.36 2.12 2.30 -1.55 5.22 2.36 3.50 -0.86 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 112.61 64.64 75.87 181.39 31.11 225.62 153.84 57.21 221.77 59.44 89.25 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. 112.88 64.31 76.16 181.96 31.19 224.81 154.20 57.67 222.37 59.36 88.86 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 1-Jan-97 Chart 5. 5.48 3.15 3.30 3.06 0.53 3.03 1.84 6.34 3.49 5.42 3.20 3.29 3.04 0.53 3.00 1.81 6.42 3.50 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 5.59 5.80 5.44 5.45 5.48 5.67 5.33 5.29 5.37 5.44 5.50 5.74 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 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 15-Jan-97 22-Jan-97 29-Jan-97 3 -Month Interest Rates U .S . 9 0-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 foreion interest rate (G-10 Countries) Chart 6. 8-Jan-97 Selected Euro-dollar & U.S. Money Market Rates 5.59 5.37 0.22 5.33 5.28 0.05 5.24 5.19 0.05 5.20 5.19 0.01 5.24 5.26 -0.02 5.45 5.48 -0.03 5.44 5.42 0.02 5.44 5.44 -0.00 5.44 5.42 0.02 5.44 5.42 0.02 5.45 5.47 -0.02 5.44 5.48 -0.04 5.44 5.49 -0.05 5.44 5.46 -0.02 5.44 5.46 -0.03 U.S. commercial paper Canadian finance paper, covered Differential 5.63 5.54 0.10 5.46 5.58 -0.12 5.47 5.61 -0.14 5.45 5.58 -0.13 5.45 5.55 -0.10 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.45 5.38 0.07 5.44 5.44 -0.00 5.44 5.48 -0.04 5.44 5.41 0.02 5.44 5.40 0.04 Euro-dollar deposit Swiss interbank, covered Differential 5.45 5.35 0.09 5.44 5.48 -0.04 5.44 5.45 -0.01 5.44 5.48 -0.04 5.44 5.42 0.01 6.59 5.89 5.95 2.61 3.89 5.82 7.70 6.55 6.70 5.73 5.85 2.49 3.81 5.69 7.59 6.57 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 Overnight Euro-dollar deposits U.S. federal funds Differential 3-month Euro-dollar deposit U.S. 90 -day C D fs, secondary market Differential Chart 8. Interest Arbitrage, 3-Month Funds Euro-dollar deposit Interbank sterling (London), covered Differential Chart 9. Long Term Government Bellwether Bond Yields 10-year maturity, where available Canada France Germany Japan Switzerland Netherlands United Kingdom United States Chart 10. 6.31 5.75 5.79 2.58 3.63 5.69 7.50 6.35 Stock Indices (Wednesday figures) 197.61 197.51 202.12 Canada 201.90 185.86 France 183.91 190.29 194.20 Germany 148.48 150.45 155.06 157.13 Japan 108.38 111.23 104.85 104.25 239.52 Netherlands 237.08 243.97 251.50 Switzerland 332.09 329.20 337.71 351.32 217.07 United Kingdom 218.29 215.78 220.53 United States 290.56 288.39 297.76 303.46 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, Times Ordinary, NYSE Composite Digitized Financial for FRASER 202.32 196.06 155.92 103.32 248.14 354.84 219.03 298.53 to SBF250
@FedFRASER