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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts July 21, 1997 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM FINANCIAL MARKETS SECTION 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 SCALE 11973=100 DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE) AVERAGES FOR WEEK ENDING WEDNESDAY HA no sc MARCH 1973= 150 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 I t I I I I I I I I I I I I I 100 300 375 280 325 260 275 240 225 220 200 175 95 100 85 90 75 80 65 70 55 60 45 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 + OI -r- + OI CM CM COCO Tfr CO JAPANESE YEN CM CO i“ +O I CM CM O com I I I I I I I I I I » I I I I ^ CM CO +OI CM r+ O I TCM ^ CM +O 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 410 410 395 395 380 380 365 365 350 350 335 335 320 320 305 J___ I___ I___ I___ I___ I___ L 1993 J___ I___ L 1995 _J___ L 1997 305 CHART 4 CALL MONEY RATES WEEKLY SERIES ERCENT PER ANNUM PERCENT PER ANNUM 5 7 U.S. FEDERAL FUNDS 6 4 5 3 4 2 3 1 2 l I I l I l l I I I I l I I I 7 0 6 6 5 5 4 4 3 3 9 2 9 8 8 7 7 6 6 5 5 4 4 3 3 2 2 2 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM ooro CM CO go CM O) -C* CO cn ^ o> m in -*■ ro JAPANESE CD RATE cn o PERCENT PER ANNUM I 1 I I I I I I I I I I I I I CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 8 — 6 — 4 CM CO CM GO i i i I i i i I i i i I i i i CO CO Tt ^ CM 00 CM CO 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 vg*1"■»* ,nn -V*~" I■■ »■ J__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I 1995 1997 1995 IO + IO + DIFFERENTIAL 1997 I 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 DIFFERENTIAL + o + oi I co co in m co co cm r- C\Jt- DIFFERENTIAL +oi +OI ! r - h*. i-h* I I I I I I I I I I I I I I I I I I I I I I > I I I 1 I I I 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM 9 UNITED KINGDOM " I I I I I I 1 i I I coo) I FRANCE oo Isco in in in co I I I I I I I I I I I I I I I in co co oo cm oo cm CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 400 340 300 260 220 — | 180 140 100 1995 1997 18-Jun-97 25-Jun-97 2-Jul-97 Chart 1. 9-Jul-97 16-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 2.7979 72.254 17.117 57.738 0.05888 0.87920 51.340 69.253 163.62 2.8108 71.901 17.194 58.007 0.05932 0.87134 51.544 69.636 166.21 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 68.031 168.53 110.25 72.01 77.14 162.42 33.80 230.20 147.39 222.80 66.18 110.76 71.66 77.48 163.18 34.05 228.15 147.97 224.03 67.23 109.64 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 68.17 106.27 67.81 71.65 170.24 29.65 242.99 144.86 54.20 217.95 62.16 95.69 105.67 68.09 71.08 168.89 29.46 246.85 143.88 54.19 217.25 63.10 95.66 104.63 69.04 70.32 167.30 29.29 245.89 142.66 54.29 218.16 63.72 96.86 2.60 2.42 2.68 -1.03 5.36 2.60 4.48 -1.03 2.30 2.43 2.69 -1.02 5.33 2.61 4.38 -1.09 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 -1.26 341.77 338.64 334.78 322.62 320.05 5.62 5.54 2.97 3.13 2.93 0.47 2.89 0.84 6.18 5.42 5.42 2.92 3.13 2.95 0.51 2.86 1.24 6.18 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 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. 2.59 2.42 2.67 -1.08 5.36 2.59 4.52 -0.89 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 106.97 66.99 72.07 171.53 29.74 241.19 145.91 54.16 220.37 61.82 95.21 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. 106.77 67.55 71.94 171.16 29.60 244.41 145.73 53.83 219.76 60.95 95.56 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 18-Jun-97 25-Jun-97 2-Jul-97 Chart 5. 5.66 3.24 3.29 3.04 0.59 3.11 1.22 6.58 3.50 5.65 3.25 3.29 3.03 0.61 3.13 1.26 6.68 3.51 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 5.54 5.50 5.56 5.65 5.76 5.99 5.42 5.55 5.56 5.63 5.75 5.96 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 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 16-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 5.54 5.62 -0.08 5.42 5.42 -0.00 5.63 5.82 -0.19 5.50 5.48 0.02 5.46 5.44 0.02 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.65 5.66 -0.01 5.63 5.65 -0.02 5.63 5.67 -0.04 5.63 5.62 0.02 5.63 5.60 0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.65 5.67 -0.03 5.63 5.64 -0.00 5.63 5.68 -0.05 5.63 5.65 -0.02 5.63 5.62 0.00 U.S. commercial paper Canadian finance paper, covered Differential 5.64 5.86 -0.21 5.63 5.87 -0.23 5.63 5.84 -0.21 5.59 5.80 -0.21 5.57 5.78 -0.21 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.65 5.74 -0.09 5.63 5.73 -0.10 5.63 5.73 -0.10 5.63 5.69 -0.06 5.63 5.64 -0.02 Euro-dollar deposit Swiss interbank, covered Differential 5.65 5.75 -0.10 5.63 5.75 -0.12 5.63 5.76 -0.12 5.63 5.71 -0.08 5.63 5.72 -0.09 6.13 5.63 5.73 2.44 3.22 5.60 7.14 6.41 6.26 5.57 5.68 2.42 3.21 5.55 7.05 6.47 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 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. 6.18 5.61 5.73 2.43 3.21 5.59 7.07 6.43 Stock Indices (Wednesday figures) 217.11 218.24 216.55 Canada 219.10 220.26 222.91 212.32 226.67 France 192.92 195.48 190.25 Germany 204.60 117.84 115.79 115.82 Japan 113.01 326.86 320.90 Netherlands 312.61 343.83 464.27 463.64 Switzerland 442.72 484.73 237.14 232.53 United Kingdom 233.84 235.09 346.77 340.29 United States 340.67 347.74 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 224.77 229.19 210.09 116.82 355.00 482.30 242.69 356.72 to SBF250
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