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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts March 31. 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 DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE) AVERAGES FOR WEEK ENDING WEDNESDAY RATIO SC MARCH 1973= SCALE 11973=100 150 120 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 110 140 100 130 90 120 80 110 i 70 i i I i i i I i i i I i i i 100 300 375 280 325 260 275 240 225 220 SWISS FRANC I I I I I I I I I I I I I I I 200 175 100 95 U.K. POUND 85 90 75 80 65 70 55 60 i i i l i i i l i i i l i i i 45 50 195 205 185 195 175 185 165 175 155 165 145 155 110 70 60 FRENCH FRANC 100 50 90 40 80 30 70 i i i l i i i l i i i I i i i 60 0 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 + O I 1- C M CM C O COCO C M CO T- + Tt O I T- CM C M O c o in Tf CM C O + O I C M 1- + O I -I- 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 ----- 425 425 ----- 12.5 Kg BARS AFTERNOON FIXING PRICE 410 — 395 — 380 — 365 — I 1993 I I _ _ _ ___I _ I _ ___I _ I _ ___I _ I _ I _ _ ___I ___I _ I _ I _ I 320 _ _ _ I_ I_ I_ I 1995 1997 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM h* O C O cm co in tj- co c\j O) PERCENT PER ANNUM CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM C\J CO o io o PERCENT PER ANNUM CO cn Tt- o> in 05 ^ C M O FRENCH INTERBANK RATE C O io h - C O l O i i I i i i I i i i I i i i C V I C O o io -*> ^ C O i CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM C 00 M C 00 M C O C O t* C 00 M C C M O CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM IO + IO + DIFFERENTIAL ___ I___ I___ I___ I___ I 1995 1997 1 1995 L J___ 1 ___ 1 ___ 1 ___ 1 ___ 1 _ l _ ii___ i___ 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 DIFFERENTIAL +o i + OI r- I I I I I I I I I I I I -_L.L . I <o C O in lO ^ co C O c m -r- C t— M +o i +OI 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM co cd FRANCE o o co in in in co c o c o m o I » I I I I I I I I I I I I I CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 300 FRANCE 260 220 | — 180 140 100 ■ i i l i i i l i i i l i i i 1995 1997 26-Feb-97 5-Mar-97 Chart 1. 12-Mar-97 19-Mar-97 26-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 2.8849 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 2.8689 72.567 17.553 59.201 0.05917 0.81081 52.627 68.556 161.32 113.68 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 64.45 113.05 72.33 79.10 166.54 33.96 212.30 151.08 220.55 65.25 108.85 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 95.64 109.57 67.83 73.95 176.25 29.74 223.09 149.56 54.79 217.37 59.97 95.50 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 2.49 2.41 2.47 -1.69 5.33 2.54 3.83 -0.59 351.48 358.93 351.40 350.50 350.13 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 5.26 5.23 2.97 3.13 3.04 0.49 3.04 1.76 5.88 5.40 5.33 2.96 3.13 3.07 0.54 3.06 2.25 5.91 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. 2.32 2.15 2.19 -1.77 5.06 2.38 3.72 -0.74 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 108.91 68.36 73.40 175.00 29.66 227.40 148.62 55.25 214.29 60.21 95.47 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. 109.47 68.19 73.80 176.05 30.00 223.46 149.54 56.15 214.91 60.12 94.71 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 26-Feb-97 5-Mar-97 Chart 5. 3-Month Interest Rates 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 5.62 3.32 3.27 3.19 0.58 3.15 1.85 6.26 3.59 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 5.33 5.60 5.49 5.57 5.74 6.06 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 5.35 3.15 3.23 3.12 0.54 2.96 1.63 6.13 3.48 5.21 5.26 5.25 5.31 5.44 5.66 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. 12-Mar-97 19-Mar-97 26-Mar-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.21 5.16 0.05 5.29 5.36 -0.07 5.20 5.19 0.01 5.23 5.26 -0.03 5.33 5.40 -0.07 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.31 5.35 0.03 5.42 5.42 0.00 5.44 5.44 -0.01 5.46 5.50 -0.04 5.57 5.62 -0.05 Euro-dollar deposit Interbank sterling (London), covered Differential 5.31 5.38 -0.07 5.42 5.45 -0.03 5.44 5.45 -0.01 5.46 5.50 -0.04 5.57 5.66 -0.09 U.S. commercial paper Canadian finance paper, covered Differential 5.37 5.49 -0.12 5.45 5.59 -0.14 5.46 5.65 -0.19 5.50 5.69 -0.19 5.65 5.83 -0.18 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.31 5.32 -0.01 5.42 5.48 -0.06 5.44 5.47 -0.03 5.46 5.53 -0.07 5.57 5.67 -0.10 Euro-dollar deposit Swiss interbank, covered Differential 5.31 5.36 -0.04 5.42 5.49 -0.07 5.44 5.49 -0.05 5.46 5.53 -0.07 5.57 5.69 -0.12 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 6.61 5.80 5.90 2.37 3.59 5.78 7.57 6.75 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. 6.27 5.41 5.55 2.46 3.36 5.44 7.14 6.42 Stock Indices (Wednesday figures) Canada 206.66 206.72 208.52 202.91 France 206.04 210.32 209.43 205.60 Germany 172.67 167.07 170.47 176.15 Japan 103.74 107.09 103.34 104.46 Netherlands 273.95 275.25 276.66 269.12 Switzerland 380.85 382.38 388.66 379.56 United Kingdom 222.18 224.41 226.75 222.56 United States 309.25 310.33 304.04 311.36 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 204.04 208.86 176.28 105.54 269.83 385.24 220.81 305.35 to SBF250
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