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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts June 23. 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 SCALE I 1973=100 RATIO SC MARCH 1973= 150 120 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 110 140 100 130 90 120 80 110 i i i l i i i l i i i l i i i 70 100 300 375 280 325 260 275 240 225 220 SWISS FRANC I I I I I I I I I l I I I 200 175 95 100 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 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 0 1995 20 1997 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM +O I +O I 1 - C M C M T C t O COCO C M C O T-+OI ▼ “ C M C M C l O O T f C M C M +O I C M r +OI r C O ^ O C M C M +O I CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U S- DOLLARS PER FINE OUNCE CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM O CD -i r s o PERCENT PER ANNUM CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM o o CM CO Is- in co T j- in CO cm C M co O C O I ^ cm C O i n ^ t- C O C M C D o in CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 8 I I I 1 I 1 I I I I I I I I I 2 8 7-DAY 6 6 4 4 2 ■ i i l t i i l i i i l i i i 2 8 8 1-MONTH 6 6 4 4 2 i i i l i i i i i i i I i i i 1995 1997 2 1995 1997 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFER EN TIA L: PLUS(+), FAVO RS B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM IO + I + o DIFFERENTIAL J _ I_ I_ I_ I_ I_ I_ I _ _ _ _ _ _ _ 1995 I I I I I I 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 I 104- + o 4 0 1 104- C M '* - -■ ro » CO CO in Ol CO O) *l N T- h- 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM CO 05 00 hCO If) IT) Tt CO CM 00 PERCENT PER ANNUM CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 21-May-97 28-May-97 4-Jun-97 Chart 1. ll-Jun-97 18-Jun-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 2.8466 72.861 17.451 58.769 0.05976 0.86662 52.266 70.310 163.95 2.8576 72.551 17.489 58.995 0.05977 0.86257 52.456 70.771 163.08 2.8142 72.570 17.217 58.077 0.05898 0.85860 51.633 70.011 163.44 2.8212 72.216 17.234 58.222 0.05900 0.88275 51.753 69.325 163.46 2.7979 72.254 17.117 57.738 0.05888 0.87920 51.340 69.253 163.62 112.17 72.62 78.64 165.32 34.30 226.91 150.05 226.20 66.31 112.60 72.31 78.81 165.96 34.31 225.85 150.59 227.68 65.96 110.89 72.33 77.58 163.37 33.85 224.81 148.23 225.24 66.11 111.17 71.98 77.66 163.78 33.86 231.13 148.57 223.03 66.12 110.25 72.01 77.14 162.42 33.80 230.20 147.39 222.80 66.18 107.39 67.84 72.38 172.28 29.64 237.90 146.56 53.93 222.15 60.85 95.51 107.32 67.26 72.21 172.16 29.55 244.56 146.44 53.63 219.21 60.65 95.14 106.77 67.55 71.94 171.16 29.60 244.41 145.73 53.83 219.76 60.95 95.56 2.56 2.32 2.63 -0.93 5.33 2.57 4.43 -0.76 2.58 2.29 2.65 -1.08 5.38 2.57 4.70 -0.82 2.57 2.39 2.70 -1.14 5.43 2.63 4.49 -0.88 2.59 2.42 2.67 -1.08 5.36 2.59 4.52 -0.89 342.13 342.94 343.74 343.32 341.77 5.52 5.54 2.96 3.13 3.00 0.47 2.83 1.59 6.11 5.43 5.48 2.94 3.13 2.96 0.50 3.05 1.13 6.11 5.54 5.61 2.95 3.13 2.76 0.51 3.14 0.68 5.91 5.48 5.43 2.92 3.13 2.97 0.49 3.10 1.06 5.86 5.62 5.54 2.97 3.13 2.93 0.47 2.89 0.84 6.18 : 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 . . pound K U.S. dollar Chart 2. 2.57 2.46 2.68 -0.89 5.45 2.67 4.21 -0.61 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 108.21 67.23 73.00 173.86 29.81 236.99 147.79 54.41 222.78 60.16 94.54 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. 107.79 67.55 72.83 173.09 29.81 238.27 147.23 54.49 221.32 60.53 94.56 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 21-May-97 28-May-97 4-Jun-97 Chart 5. 3-Month Interest Rates 5.69 3.30 3.45 3.09 0.58 3.15 1.29 6.39 3.51 5.68 3.30 3.43 3.08 0.60 3.17 1.10 6.53 3.54 5.68 3.29 3.32 3.07 0.60 3.18 1.31 6.59 3.53 5.66 3.24 3.29 3.04 0.59 3.11 1.22 6.58 3.50 5.48 5.51 5.56 5.69 5.84 6.13 5.61 5.56 5.56 5.69 5.82 6.10 5.43 5.50 5.56 5.69 5.81 6.06 5.54 5.50 5.56 5.65 5.76 5.99 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 5.71 3.38 3.28 3.08 0.57 3.16 1.67 6.39 3.51 5.54 5.59 5.57 5.70 5.87 6.13 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. ll-Jun-97 18-Jun-97 Selected Euro-dollar & U.S. Money Market Rates 5.54 5.52 0.02 5.48 5.43 0.05 5.61 5.54 0.07 5.43 5.48 -0.05 5.54 5.62 -0.08 5.70 5.71 -0.02 5.69 5.69 0.00 5.69 5.68 0.01 5.69 5.68 0.00 5.65 5.66 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.70 5.77 -0.07 5.69 5.62 0.06 5.69 5.70 -0.01 5.69 5.69 -0.00 5.65 5.67 -0.03 U.S. commercial paper Canadian finance paper, covered Differential 5.72 5.97 -0.25 5.67 5.89 -0.22 5.67 5.90 -0.23 5.68 5.88 -0.21 5.64 5.86 -0.21 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.70 5.78 -0.09 5.69 5.74 -0.05 5.69 5.75 -0.06 5.69 5.78 -0.10 5.65 5.74 -0.09 Euro-dollar deposit Swiss interbank, covered Differential 5.70 5.90 -0.20 5.69 5.73 -0.05 5.69 5.81 -0.12 5.69 5.82 -0.13 5.65 5.75 -0.10 6.53 5.79 5.92 2.65 3.32 5.80 7.23 6.77 6.53 5.82 5.91 2.59 3.25 5.78 7.19 6.67 6.41 5.73 5.79 2.52 3.31 5.67 7.11 6.56 6.18 5.61 5.73 2.43 2.81 5.59 7.07 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. 6.51 5.60 5.75 2.56 3.35 5.67 7.03 6.70 Stock Indices (Wednesday figures) 211.91 214.23 215.26 Canada 210.18 209.29 France 202.29 205.46 215.98 188.21 186.03 Germany 183.72 187.69 113.67 114.81 114.09 111.61 Japan Netherlands 298.02 304.26 301.33 295.04 432.21 Switzerland 428.47 420.64 428.02 United Kingdom 234.81 232.79 228.58 231.80 333.38 United States 320.67 323.21 323.59 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 216.55 212.32 190.25 115.82 312.61 442.72 233.84 340.67 to SBF250
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