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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts May 19, 1997 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS SECTION 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 RATIO SC MARCH 1973= \1973=100 150 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 I I I I I I I I I I » I I l » 100 300 375 280 325 260 275 240 225 220 SWISS FRANC j - l - l 200 I l -L_L- J.I. ■L I I. 175 95 85 100 U.K. POUND 90 75 80 65 70 55 60 45 I I I I l I l I I I l l I I l 50 195 205 185 195 175 185 165 175 155 165 145 155 110 70 60 100 50 90 40 80 30 70 60 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- CM CM M- CO COCO CM CO 1Tf + O I CM CM O ^ COLO CM CO + O I CM i— + O I iCM CM + O I CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR W EEK ENDING W EDNESDAY U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE ----- 425 425 i— 12.5 Kg BARS AFTERNOON FIXING PRICE 410 — 410 395 — 395 380 — 380 365 — 365 350 335 -I_ I _ ___I ___I _ I - 1 _ - ---1- 1 - 1_ I _ I - _ _ ___I 1993 1995 I I_ I _ ___I _ I _ I _ I 320 _ _ _ 1997 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 7 5 U.S. FEDERAL FUNDS 6 4 5 3 4 2 3 1 2 7 1 ...1-.L. 1 J ,1—1 1 1 I I . 1 1 1 1 . 0 6 6 5 5 4 4 3 3 2 9 2 9 8 8 7 UNITED KINGDOM — 7 6 6 5 5 4 4 FRANCE 3 2 3 1 1 I I I I » I I I I I I I I 1995 1997 2 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CM CO C C M O i i i I i i i I i i i I i i i in Tt C O CO tO C M C O i i i I i i i I i i i I i i i O > C O r ^ C D i n ^ t C O C M C O FRENCH INTERBANK RATE CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 8 L I...I ..L-.L -l 1 .1 ,L 1 .i J ..I I I 2 8 6-MONTH 7-DAY 6 6 4 4 2 8 I I I I I t I I I I I I I I I i i i l i i i l i i i l i i i 2 8 1-MONTH 6 6 4 4 2 1 I I I I I I I I I I I I I I 1995 1997 2 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES D IFFER EN TIA L: 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 IO + lo + DIFFERENTIAL 1995 1997 ___ I___ I___ I___ I___ I___ L_ I 1995 i I___ I___ I I I I _ l ___ 1997 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM io + -* ro ■ co cji o> -* > lo + PERCENT PER ANNUM 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM co co oo ro oo -P * o ic n o -vi oo coo PERCENT PER ANNUM CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 1995 1997 16-Apr-97 23-Apr-97 30-Apr-97 7-May-97 Chart 1. 14-May-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 2.8081 71.580 17.230 57.955 0.05885 0.79228 51.550 68.068 162.33 2.8322 71.573 17.326 58.462 0.05889 0.79426 51.974 68.636 163.23 2.8081 71.553 17.180 57.930 0.05836 0.79032 51.492 68.101 162.42 2.8068 72.340 17.168 57.914 0.05853 0.79199 51.497 68.064 162.56 2.8485 72.044 17.442 58.789 0.05936 0.83481 52.269 69.585 162.62 110.65 71.34 77.64 163.03 33.78 207.44 147.99 218.98 65.66 111.60 71.34 78.07 164.46 33.80 207.96 149.21 220.81 66.02 110.65 71.32 77.42 162.96 33.50 206.93 147.82 219.09 65.69 110.60 72.10 77.36 162.92 33.60 207.37 147.84 218.97 65.75 112.25 71.80 78.60 165.38 34.07 218.58 150.05 223.86 65.77 108.62 67.76 73.26 174.46 29.72 220.00 148.19 54.48 218.83 61.31 97.11 108.47 68.50 73.13 174.21 29.79 220.30 148.06 53.99 218.50 61.30 96.99 108.61 67.21 73.32 174.52 29.80 230.17 148.27 54.50 220.44 60.42 95.34 2.38 2.36 2.60 -1.09 5.38 2.63 3.93 -0.55 2.40 2.38 2.66 -1.15 5.44 2.67 4.10 -0.66 2.51 2.39 2.67 -1.08 5.45 2.66 4.09 -0.69 2.51 2.44 2.68 -1.05 5.43 2.68 4.12 -0.62 345.04 341.47 340.55 340.61 347.16 5.48 5.46 3.00 3.13 3.04 0.47 2.63 1.29 5.70 5.48 5.43 3.00 3.13 3.00 0.49 2.83 1.18 5.89 5.61 5.49 3.00 3.13 2.99 0.50 2.88 1.55 5.94 5.55 5.48 2.97 3.13 3.02 0.49 3.16 1.48 5.86 5.49 5.45 2.96 3.13 3.01 0.48 3.17 1.61 6.15 : 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 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. 2.30 2.53 2.59 -1.17 5.39 2.66 3.96 -0.55 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 108.94 67.36 73.48 175.15 29.82 219.80 148.75 55.03 219.29 61.25 96.39 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. 108.43 67.66 73.36 174.18 29.93 220.19 148.09 55.18 218.33 61.15 96.89 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 16-Apr-97 23-Apr-97 30-Apr-97 7-May-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. 5.72 3.53 3.21 3.14 0.55 3.16 1.78 6.33 3.55 5.71 3.47 3.33 3.15 0.55 3.15 1.78 6.31 3.54 5.73 3.46 3.36 3.13 0.56 3.14 1.71 6.43 3.56 5.71 3.42 3.35 3.09 0.57 3.14 1.69 6.42 3.54 5.71 3.37 3.32 3.10 0.57 3.13 1.69 6.39 3.52 5.46 5.53 5.56 5.70 5.89 6.31 5.43 5.50 5.56 5.69 5.88 6.23 5.49 5.50 5.56 5.72 5.92 6.29 5.48 5.50 5.55 5.69 5.88 6.16 5.45 5.50 5.56 5.68 5.87 6.13 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 14-May-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.46 5.48 -0.02 5.43 5.48 -0.05 5.49 5.61 -0.12 5.48 5.55 -0.07 5.45 5.49 -0.04 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.70 5.72 -0.03 5.69 5.71 -0.02 5.72 5.73 -0.01 5.69 5.71 -0.02 5.68 5.71 -0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.70 5.77 -0.07 5.69 5.75 -0.07 5.72 5.77 -0.04 5.69 5.72 -0.03 5.68 5.75 -0.07 U.S. commercial paper Canadian finance paper, covered Differential 5.71 5.85 -0.15 5.70 5.87 -0.17 5.72 5.89 -0.17 5.70 5.95 -0.25 5.69 5.90 -0.21 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.70 5.75 -0.06 5.69 5.77 -0.08 5.72 5.80 -0.08 5.69 5.79 -0.10 5.68 5.80 -0.12 Euro-dollar deposit Swiss interbank, covered Differential 5.70 5.75 -0.06 5.69 5.72 -0.04 5.72 5.83 -0.11 5.69 5.79 -0.10 5.68 5.82 -0.14 6.72 5.77 5.84 2.21 3.55 5.74 7.53 6.86 6.75 5.80 5.86 2.32 3.47 5.77 7.59 6.86 6.55 5.69 5.76 2.42 3.39 5.65 7.23 6.69 6.56 5.63 5.74 2.58 3.35 5.60 7.00 6.69 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. 6.88 5.77 5.89 2.21 3.63 5.80 7.60 6.93 Stock Indices (Wednesday figures) Canada 199.17 193.24 195.75 204.00 France 201.27 207.81 208.12 207.55 Germany 175.18 176.58 173.75 181.42 Japan 108.98 102.57 107.43 113.46 Netherlands 280.02 278.29 285.71 268.20 Switzerland 398.56 407.04 386.44 416.08 United Kingdom 224.87 223.61 228.71 220.09 United States 297.52 306.51 295.34 312.39 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 208.22 215.66 183.16 113.60 292.55 426.89 234.09 320.22 to SBF250
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