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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts March 24, 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= 150 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 < i i l i i i l i i i l i i i 100 300 320 280 300 260 280 240 260 220 240 200 220 95 85 100 U.K. POUND 90 75 80 65 70 55 60 45 I 1 I I I I I I I I I 1 I I I - 50 195 205 185 195 175 185 165 175 155 165 145 155 110 100 70 60 FRENCH FRANC 50 90 40 80 30 70 60 I I I I I I I I I I I I I I I 20 1995 1997 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + O I + OI T- CM CM T t CO COCO CM CO 1^ +OI T- CM CM O c o in Tt CM CO 1— + O I CM CM +OI 1- tT CM O CM +OI CHART 3 PRIGS OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE 425 410 395 380 365 350 335 320 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 l l I l I l I I l l I I l 0 6 7 GERMANY 6 5 5 4 4 3 3 « i i I i i i I i i i I » i i 9 2 9 8 8 2 UNITED KINGDOM 7 7 — 6 6 5 5 4 4 FRANCE 3 3 2 I I I I 1 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 PERCENT PER ANNUM CM CO cvjoo LO Tf in CO Tt co C M O C O r ^ C D l O ' M - C O C M C O cm co *o lo CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM CM 00 CM 00 CO CM 00 2 1995 1997 1995 1997 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 DIFFERENTIAL +o i +OI ___ I___ I___ I___ I___ I I 1995 i. - L - i___ i___ i___ I___ i___ i; __ I___ _ 1997 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM + O I T- h* CO ID CO CM t- DIFFERENTIAL + O | PERCENT PER ANNUM I I I I I I I I I I I 1 I I I I1 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 8 9 7 8 6 7 5 6 9 10 CANADA 9 8 8 7 7 6 6 5 .L 1 _L..J— I__ I__ I__ l.... J L - 1 __ 1.... 1 I I 6 5 5 SWITZERLAND 5 4 4 3 3 8 i i i l i i i l i i i l i i i 2 8 7 7 6 6 5 5 CHART 10 WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 320 280 240 200 — | 160 120 19-Feb-97 26-Feb-97 5-Mar-97 Chart 1. 12-Mar-97 19-Mar-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 2.8692 73.803 17.533 59.189 0.05979 0.80543 52.743 68.079 161.49 2.8849 73.404 17.635 59.532 0.06004 0.81730 52.963 68.243 162.73 2.8530 73.108 17.441 58.863 0.05903 0.82496 52.327 67.627 161.93 2.8410 73.095 17.366 58.572 0.05895 0.82091 52.032 67.770 160.24 2.8690 73.003 17.536 59.179 0.05913 0.81122 52.570 68.733 159.35 113.06 73.56 79.01 166.50 34.32 210.89 151.42 219.02 65.32 113.68 73.16 79.47 167.47 34.46 214.00 152.05 219.55 65.82 112.42 72.87 78.60 165.59 33.88 216.00 150.22 217.56 65.49 111.95 72.85 78.26 164.77 33.84 214.94 149.37 218.03 64.81 113.05 72.76 79.02 166.47 33.94 212.40 150.92 221.12 64.45 108.91 68.36 73.40 175.00 29.66 227.40 148.62 55.25 214.29 60.21 95.47 108.85 68.61 73.35 174.73 29.73 227.08 148.30 54.97 215.57 59.76 95.92 109.72 68.36 73.96 176.42 29.76 223.52 149.58 54.29 218.22 59.24 95.64 2.32 2.15 2.19 -1.77 5.06 2.38 3.72 -0.74 2.40 2.23 2.31 -1.83 5.23 2.44 3.86 -0.67 2.44 2.23 2.30 -1.79 5.24 2.37 3.71 -0.64 2.44 2.26 2.35 -1.88 5.26 2.42 3.74 -0.63 344.08 351.48 358.93 351.40 350.50 5.22 5.20 2.93 3.13 3.04 0.49 2.85 1.63 5.79 5.16 5.21 3.02 3.13 3.03 0.50 2.98 1.69 5.78 5.36 5.29 3.03 3.13 3.07 0.50 2.90 1.73 5.74 5.19 5.20 3.04 3.13 3.06 0.48 2.98 1.91 5.83 5.25 5.23 2.97 3.13 3.04 0.49 3.04 1.76 5.88 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. 2.28 2.13 2.22 -1.82 4.99 2.43 3.69 -0.75 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 109.47 68.19 73.80 176.05 30.00 223.46 149.54 56.15 214.91 60.12 94.71 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. 109.34 68.92 73.68 175.76 30.01 220.91 149.57 56.37 215.35 59.90 95.24 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 19-Feb-97 26-Feb-97 5-Mar-97 Chart 5. 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. 5.35 3.12 3.20 3.07 0.54 2.92 1.59 6.16 3.45 5.35 3.15 3.23 3.12 0.54 2.96 1.63 6.13 3.48 5.42 3.18 3.23 3.15 0.54 3.04 1.61 6.13 3.51 5.44 3.20 3.25 3.15 0.54 3.12 1.76 6.11 3.53 5.50 3.24 3.27 3.17 0.54 3.15 1.78 6.14 3.56 5.20 5.25 5.26 5.34 5.44 5.64 5.21 5.26 5.25 5.31 5.44 5.66 5.29 5.28 5.31 5.42 5.55 5.86 5.20 5.25 5.31 5.44 5.57 5.88 5.23 5.28 5.33 5.46 5.63 5.95 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 12-Mar-97 19-Mar-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.20 5.22 -0.02 5.21 5.16 0.05 5.29 5.36 -0.07 5.20 5.19 0.01 5.23 5.25 -0.02 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.34 5.35 -0.00 5.31 5.35 -0.03 5.42 5.42 0.00 5.44 5.44 -0.01 5.46 5.50 -0.04 Euro-dollar deposit Interbank sterling (London), covered Differential 5.34 5.39 -0.05 5.31 5.38 -0.07 5.42 5.45 -0.03 5.44 5.45 -0.01 5.46 5.50 -0.04 U.S. commercial paper Canadian finance paper, covered Differential 5.38 5.42 -0.04 5.37 5.49 -0.12 5.45 5.59 -0.14 5.46 5.65 -0.19 5.50 5.69 -0.19 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.34 5.32 0.03 5.31 5.32 -0.01 5.42 5.48 -0.06 5.44 5.47 -0.03 5.46 5.53 -0.07 Euro-dollar deposit Swiss interbank, covered Differential 5.34 5.29 0.05 5.31 5.36 -0.04 5.42 5.49 -0.07 5.44 5.49 -0.05 5.46 5.53 -0.07 6.27 5.41 5.55 2.46 3.36 5.44 7.14 6.42 6.42 5.44 5.55 2.45 3.27 5.45 7.19 6.58 6.45 5.55 5.66 2.38 3.34 5.57 7.27 6.58 6.56 5.69 5.79 2.29 3.45 5.68 7.41 6.72 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 5.40 5.50 2.43 3.37 5.38 7.09 6.30 Stock Indices (Wednesday figures) Canada 208.24 206.72 208.52 206.66 France 204.98 206.04 210.32 209.43 Germany 172.67 167.27 167.07 176.15 Japan 104.37 103.74 107.09 103.34 Netherlands 271.02 273.95 275.25 276.66 Switzerland 382.57 380.85 382.38 388.66 United Kingdom 222.82 224.41 222.18 226.75 United States 312.85 309.25 310.33 311.36 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 202.91 205.60 170.47 104.46 269.12 379.56 222.56 304.04 to SBF250
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