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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts January 21, 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 SC MARCH 1973==100 150 SCALE I 1973=100 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 1 -L 1 J _ L ,J - L.1 - I.J 1.... 1 100 30 0 320 280 300 260 280 240 260 220 200 SWISS FRANC I I I 1 I I I 1 I I I I 220 100 95 85 240 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 50 195 205 185 195 175 185 165 175 155 165 145 155 110 70 100 60 90 80 70 60 50 40 30 20 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 1 U.K. POUND + O I 1- /V A <M 00 00 ■ i i i i i i i i i i i i i » CD TjOJ CM + O I CM O ^ I I I I 1 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 OU u.s.c )LLARS PER FINE OUNCE 425 425 12.5 Kg BARS AFTERNOON FIXING PRICE 410 410 395 395 380 380 365 365 350 fi 350 335 335 320 j__i— 1993 I— i— i— i__ I___ i__ » 1995 i I__ i__ i__ i__ l 320 1997 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM ERCENT PER ANNUM 5 7 U.S. FEDERAL FUNDS 6 4 5 3 4 2 3 1 2 I 1 I l I I I l 1-1I 1 1 1 0 6 7 GERMANY 6 5 5 4 4 3 3 2 I I I I I I I I I I I I I I I 2 9 9 8 8 UNITED KINGDOM 7 — 7 6 6 5 5 4 4 FRANCE 3 2 3 I I I 1 I I I I I I I I I I I 1995 1997 2 1995 1997 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM o in PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 6 6 4 4 2 8 2 8 6 6 4 4 2 8 2 8 1-MONTH 6 6 4 4 2 l l » l I I I I I I I l I I I 1995 1997 2 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM Io + Io + DIFFERENTIAL ~v __ I__ I 1995 1997 I I I _L. ■ 1995 1 1__ 1 1 1 1 _1__J__ 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 4^ LO cn CD cn T- h*. *vi —^ lo + + o I co CO -i-r o CM Io + +O I 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM to co LO lO 5 ^ 4 CO 3 C\J CO CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 18-Dec-96 25-Dec-96 1-Jan-97 Chart 1. 8-Jan-97 15-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 3.1444 73.286 19.114 64.547 0.06545 0.87791 57.517 75.554 166.40 3.1198 73.133 19.040 64.291 0.06540 0.87577 57.258 74.748 166.76 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 72.671 167.68 123.90 73.04 86.13 181.58 37.57 229.87 165.12 243.07 67.30 122.94 72.89 85.80 180.86 37.54 229.31 164.38 240.47 67.45 123.07 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 67.82 112.88 64.31 76.16 181.96 31.19 224.81 154.20 57.67 222.37 59.36 88.86 112.61 64.64 75.87 181.39 31.11 225.62 153.84 57.21 221.77 59.44 89.25 111.43 66.08 75.16 179.51 31.16 225.85 152.31 57.69 220.18 59.50 90.09 2.42 2.16 2.24 -1.49 5.22 2.45 3.35 -0.85 2.36 2.12 2.30 -1.55 5.22 2.36 3.50 -0.86 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 -0.83 368.55 368.91 369.33 360.93 357.24 5.38 5.24 3.01 3.24 2.99 0.45 2.83 1.33 5.71 5.18 5.22 2.96 3.19 2.92 0.49 2.97 1.40 5.91 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 5.23 5.24 2.98 3.19 2.99 0.44 2.20 1.29 5.20 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. 2.34 2.12 2.28 -1.53 5.26 2.47 3.44 -0.79 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 112.76 64.35 76.01 181.79 31.17 228.26 154.07 57.80 224.15 58.44 88.87 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. 113.40 64.33 76.13 182.12 31.11 228.26 154.41 57.92 226.07 58.14 88.59 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 18-Dec-96 25-Dec-96 l-Jan-97 Chart 5. 5.42 3.21 3.34 3.14 0.51 2.99 1.96 6.29 3.51 5.48 3.16 3.30 3.15 0.51 3.00 2.00 6.36 3.50 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 5.24 5.26 5.48 5.44 5.48 5.64 5.22 5.45 5.55 5.49 5.50 5.69 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 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3 -month 6-month 1-year Chart 7. 15-Jan-97 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. 8-Jan-97 Selected Euro-dollar & U.S. Money Market Rates 5.24 5.38 -0.14 5.22 5.18 0.04 5.59 5.37 0.22 5.33 5.28 0.05 5.24 5.23 0.01 5.44 5.42 0.01 5.49 5.48 0.01 5.45 5.48 -0.03 5.44 5.42 0.02 5.44 5.44 -0.00 Euro-dollar deposit Interbank sterling (London), covered Differential 5.44 5.48 -0.05 5.49 5.50 -0.01 5.45 5.47 -0.02 5.44 5.48 -0.04 5.44 5.49 -0.05 U.S. commercial paper Canadian finance paper, covered Differential 5.48 5.58 -0.10 5.58 5.60 -0.02 5.63 5.54 0.10 5.46 5.58 -0.12 5.47 5.61 -0.14 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.44 5.44 0.00 5.49 5.41 0.08 5.45 5.38 0.07 5.44 5.44 -0.00 5.44 5.48 -0.04 Euro-dollar deposit Swiss interbank, covered Differential 5.44 5.42 0.01 5.49 5.37 0.12 5.45 5.35 0.09 5.44 5.48 -0.04 5.44 5.45 -0.01 6.46 5.79 5.83 2 .44 3.64 5.73 7.59 6.35 6.31 5.75 5.79 2.58 3.63 5.69 7.50 6.35 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 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. 6.57 5.82 5.89 2.48 3.70 5.81 7.63 6.40 Stock Indices (Wednesday figures) 190.87 195.54 197.51 197.61 Canada 176.74 181.88 183.91 185.86 France 150.45 146.60 147.48 148.48 Germany 108.38 111.11 111.23 113.31 Japan 239.52 232.37 237.08 227.00 Netherlands 323.08 329.20 332.09 322.95 Switzerland 217.07 216.97 218.29 214.33 United Kingdom 288.39 290.56 283.15 290.38 United States 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 202.12 190.29 155.06 104.85 243.97 337.71 215.78 297.76 to SBF250
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