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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts June 1,1998 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS FEDERAL RESERVE SYSTEM SECTION Washington, D.C. 20551 Table of Contents TABLES SUBSCRIPTION RATES: 1. LATEST FIGURES PLOTTED 2. DAILY CERTIFIED SPOT EXCHANGE 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. CHARTS 1. SPOT EXCHANGE RATES INDICES 2. 3-MONTH FORWARD EXCHANGE 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 9. LONG-TERM GOVERNMENT 10. INDUSTRIAL STOCK INDICES Exhibit 1 Spot Exchange Indices Ratio scale March 1973=100 Dollar prices of foreign currencies and weighted average values (dashed line) (Average for week ending Wednesday) Ratio scale March 1973=100 150 130 110 90 350 320 290 260 230 200 170 105 85 65 45 210 190 170 150 75 55 35 15 Exhibit 2 3-Month Forward Exchange Rates Premium (+) or (-) (Averages for week ending Wednesday) Percent per annum 2 0 -2 -4 -6 Exhibit 3 Price of Gold in London (Averages for week ending Wednesday) u.s. U.S. dollars per fine ou jollarsper fine ounce 420 12.5 Kg Bars Afternoon fixing price 420 400 400 380 380 360 360 340 340 320 320 300 300 280 280 Exhibit 4 Call Money Rates (Weekly series) Percent per annum Percent per annum 5 4 - 2 - 5 - 4 Exhibit 5 3-Month Interest Rates (Weekly series) Percent per annum Percent per annum - 3 Exhibit 6 Euro-Dollar Deposit Rates, London (Averages for week ending Wednesday) Percent per annum Percent per annum 8 Overnight 4 - J________ L 1995 1996 1997 1998 - 6 - 4 Exhibit 7 Selected Euro-Dollar and U.S. Money Market Rates Differential: Plus(+), Favors Borrowing (n U.S. (Averages for week ending Wednesday) Percent Per Annum Percent Per Annum Differential 1 i 1995 1996 1 1997 1998 Exhibit 8 Interest Arbitrage: 3-Month Funds Differential: plus(+), indicates favor dollar assets (Average for week ending Wednesday) Percent per annum Percent per annum Swiss interbank (SF) covered Euro-dollar deposits (dashed line) 1 Differential Differential 0 ________ I ___ 1995 1996 1 ________ 1 ________ 1997 1998 ________ i ________ i ________ i ______ 1995 1996 1997 1998 -1 Exhibit 9 Long-Term Government Bond Yields (Weekly series) Percent per annum Percent per annum 9 8 7 6 5 9 8 7 6 5 4 5 4 3 2 1 8 7 6 5 4 Exhibit 10 Stock Indices (Weekly series) Ratio scale End-1994=100 1995 1996 1997 1998 Ratio scale End-1994=100 1995 1996 1997 1998 300 260 300 260 220 220 180 180 140 140 100 100 60 60 29-Apr-98 6-May-98 Chart X, 13-May-98 20-May-98 27-May-98 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 . . pound K 2.7001 69.584 16.629 55.746 0.05640 0.76058 49.546 67.062 166.90 2.7261 69.664 16.773 56.241 0.05699 0.75435 49.928 67.249 166.55 2.7323 69.568 16.819 56.393 0.05719 0.74965 50.048 67.594 163.64 2.7204 68.980 16.734 56.123 0.05690 0.73869 49.796 67.402 162.77 2.7443 68.862 16.878 56.592 0.05739 0.73241 50.212 68.124 163.28 106.40 69.35 74.93 156.82 32.37 199.14 142.23 215.75 67.51 107.42 69.43 75.58 158.21 32.71 197.51 143.33 216.35 67.37 107.66 69.34 75.79 158.64 32.83 196.28 143.68 217.46 66.19 107.20 68.75 75.41 157.88 32.66 193.41 142.95 216.84 65.83 108.14 68.63 76.06 159.20 32.94 191.77 144.15 219.16 66.04 107.53 67.01 72.98 172.56 29.64 211.53 146.50 56.66 221.16 63.04 99.32 107.66 66.79 73.01 172.70 29.66 209.36 146.57 56.08 221.76 63.05 100.02 108.27 66.42 73.43 173.71 29.82 206.56 147.34 55.99 223.41 63.03 99.58 0.73 2.07 2.04 0.71 5.31 2.07 4.28 -1.73 0.69 2.10 2.06 0.67 5.36 2.08 4.22 -1.75 0.67 2.14 2.09 0.60 5.37 2.13 4.15 -1.76 0.70 2.15 2.12 0.57 5.37 2.15 4.10 -1.76 310.45 305.86 299.17 299.33 298.18 5.39 5.43 4.75 3.38 3.29 0.45 3.25 1.12 7.21 5.31 5.41 4.82 3.38 3.36 0.45 3.37 1.25 7.44 5.49 5.41 4.73 3.38 3.34 0.40 3.30 1.30 6.93 5.55 5.53 4.80 3.38 3.34 0.44 3.21 1.40 7.50 5.51 5.43 4.75 3.38 3.32 0.42 3.07 1.20 6.88 : Indices, March 1973 base rates = 100 Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U . . pound K 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. 0.70 2.09 2.04 0.64 5.31 2.15 4.33 -1.71 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 107.18 67.04 72.68 171.82 29.50 212.81 145.99 56.36 219.79 64.22 99.21 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. 106.48 67.21 72.26 170.71 29.28 215.60 145.32 56.06 219.94 64.61 99.64 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 29-Apr-98 6-May-98 Chart 5. 3-Month Interest Rates 5.59 5.06 3.52 3.58 0.63 3.56 1.40 7.35 3.82 5.58 5.12 3.53 3.57 0.56 3.57 1.50 7.35 3.82 5.60 5.13 3.49 3.56 0.55 3.54 1.52 7.39 3.82 5.60 5.06 3.49 3.53 0.55 3.48 1.60 7.41 3.81 5.41 5.50 5.52 5.57 5.66 5.81 5.41 5.50 5.51 5.56 5.64 5.78 5.53 5.50 5.52 5.58 5.64 5.76 5.43 5.50 5.53 5.57 5.65 5.77 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 5.60 5.08 3.50 3.59 0.64 3.51 1.39 7.38 3.83 5.43 5.50 5.53 5.57 5.66 5.82 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. 13-May-98 20-May-98 27-May-98 Selected Euro-dollar & U.S. Money Market Rates 5.43 5.39 0.03 5.41 5.31 0.11 5.41 5.49 -0.08 5.53 5.55 -0.03 5.43 5.51 -0.08 5.57 5.60 -0.03 5.57 5.59 -0.02 5.56 5.58 -0.02 5.58 5.60 -0.02 5.57 5.60 -0.03 Euro-dollar deposit Interbank sterling (London), covered Differential 5.57 5.64 -0.07 5.57 5.59 -0.02 5.56 5.56 -0.00 5.58 5.59 -0.02 5.57 5.62 -0.05 U.S. commercial paper Canadian finance paper, covered Differential 5.49 5.79 -0.30 5.50 5.80 -0.30 5.49 5.82 -0.32 5.51 5.81 -0.30 5.50 5.76 -0.26 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.57 5.65 -0.08 5.57 5.63 -0.07 5.56 5.65 -0.09 5.58 5.67 -0.09 5.57 5.67 -0.10 Euro-dollar deposit Swiss interbank, covered Differential 5.57 5.74 -0.17 5.57 5.69 -0.13 5.56 5.74 -0.18 5.58 5.69 -0.11 5.57 5.71 -0.14 5.40 5.04 4.98 1.47 3.06 5.03 5.80 5.68 5.43 5.05 5.00 1.39 3.06 5.05 5.87 5.70 5.41 5.04 4.99 1.35 3.02 5.04 5.94 5.65 5.36 4.97 4.91 1.31 2.99 4.96 5.82 5.61 180.59 182.24 Canada 182.92 182.63 194.27 204.57 207.42 France 208.82 214.08 Germany 210.93 220.53 224.70 77.01 Japan 77.03 77.39 78.61 275.72 267.70 Netherlands 282.09 278.81 264.94 277.01 274.70 Switzerland 276.98 164.46 158.95 United Kingdom 165.17 163.82 226.47 228.97 United States 230.59 230.81 Indices (in order, rebased to end-1994=100) are Toronto Composite, SBF250, FAZ Aktien, Tokyo SE (Topix), CBS All-General, Swiss Performance Index, Financial Times Ordinary, NYSE Composite 179.01 208.20 222.93 78.40 283.09 278.35 163.26 224.73 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. 5.44 5.05 4.98 1.55 3.09 5.03 5.87 5.75 Stock Indices (Wednesday figures)
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