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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts May 27. 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 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 i l i i i I i i i I i i i 100 300 375 280 325 260 275 240 225 220 200 SWISS FRANC I I I I I I I I I I I I I I I 175 95 85 100 U.K. POUND 90 75 80 65 70 55 60 45 i i l i i i l i t i l 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 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 T- CM CM CO COCO CM CD 1 + O I 1 CM CM O ^ t c o in ^ CM CO + O I CM T- CM + O I ▼ “ ^ tO CM CM + O I CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U S - D0LLARS PER FINE OUNCE 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 .1 J_1...1- I I I__I— __1_ 1 1_L .1 0 7 6 GERMANY 6 5 5 4 4 3 3 2 I I I I I I I 1 I I I I I I I 2 9 9 8 8 7 7 6 6 5 5 4 4 3 3 2 2 1995 1997 1995 1997 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES CD cn ^ Is LO co CJ CO \ a> rv > PERCENT PER ANNUM oo ^ CO coro PERCENT PER ANNUM o in o r\3 co T- -P * cn q> CM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM C\J 00 CO C J 00 V PERCENT PER ANNUM CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES D IFFER EN TIA L: PLUS(+), FAVORS B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM +O I 1 S/ ^ V ,,r * »V ' ^ 1 1- - A ^ ~S/ A l + o DIFFERENTIAL DIFFERENTIAL U' ___ 1 ___ 1 ___ 1 ___ 1 ___ 1 ___ 1 ___ 1 ___ 1 ___ 1 __ L _ l ___ 1 ___ 1 ___ L___1 ___ 1 _ 1995 1997 1995 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 + O I -rCO lO ^ CO CM 1 + O I 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 8 7 6 5 i i i I i i i l i i i l i i i 10 9 8 7 L C O O c c n n 6 4 3 2 8 7 6 5 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 340 300 260 220 180 140 100 23-Apr-97 30-Apr-97 7-May-97 Chart 1. 14-May-97 21-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 2.8322 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 2.8466 72.861 17.451 58.769 0.05976 0.86662 52.266 70.310 163.95 111.60 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 65.77 112.17 72.62 78.64 165.32 34.30 226.91 150.05 226.20 66.31 108.47 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 95.34 107.79 67.55 72.83 173.09 29.81 238.27 147.23 54.49 221.32 60.53 94.56 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 2.57 2.46 2.68 -0.89 5.45 2.67 4.21 -0.61 341.47 340.55 340.61 347.16 342.13 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 5.51 5.54 2.96 3.13 3.00 0.47 2.83 1.59 6.11 : 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 . . pound K U.S. dollar Chart 2. 2.38 2.36 2.60 -1.09 5.38 2.63 3.93 -0.55 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 108.62 67.76 73.26 174.46 29.72 220.00 148.19 54.48 218.83 61.31 97.11 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. 108.94 67.36 73.48 175.15 29.82 219.80 148.75 55.03 219.29 61.25 96.39 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 23-Apr-97 30-Apr-97 7-May-97 Chart 5. 3-Month Interest Rates 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 5.71 3.38 3.28 3.08 0.57 3.16 1.67 6.39 3.51 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 5.54 5.59 5.57 5.70 5.87 6.13 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 5.71 3.47 3.33 3.15 0.55 3.15 1.78 6.31 3.54 5.43 5.50 5.56 5.69 5.88 6.23 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. 14-May-97 21-May-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.43 5.48 -0.05 5.49 5.61 -0.12 5.48 5.55 -0.07 5.45 5.49 -0.04 5.54 5.51 0.03 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.69 5.71 -0.02 5.72 5.73 -0.01 5.69 5.71 -0.02 5.68 5.71 -0.02 5.70 5.71 -0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.69 5.75 -0.07 5.72 5.77 -0.04 5.69 5.72 -0.03 5.68 5.75 -0.07 5.70 5.77 -0.07 U.S. commercial paper Canadian finance paper, covered Differential 5.70 5.87 -0.17 5.72 5.89 -0.17 5.70 5.95 -0.25 5.69 5.90 -0.21. 5.72 5.97 -0.25 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.69 5.77 -0.08 5.72 5.80 -0.08 5.69 5.79 -0.10 5.68 5.80 -0.12 5.70 5.78 -0.09 Euro-dollar deposit Swiss interbank, covered Differential 5.69 5.72 -0.04 5.72 5.83 -0.11 5.69 5.79 -0.10 5.68 5.82 -0.14 5.70 5.90 -0.20 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 6.51 5.60 5.75 2.56 3.35 5.67 7.03 6.70 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. 6.72 5.77 5.84 2.21 3.55 5.74 7.53 6.86 Stock Indices (Wednesday figures) Canada 195.75 199.17 204.00 208.22 France 201.27 208.12 207.81 215.66 Germany 175.18 181.42 176.58 183.16 Japan 107.43 113.46 108.98 113.60 Netherlands 285.71 278.29 280.02 292.55 Switzerland 398.56 416.08 407.04 426.89 United Kingdom 228.71 223.61 224.87 234.09 United States 297.52 306.51 312.39 320.22 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 210.18 215.98 183.72 111.61 295.04 428.47 231.80 320.67 to SBF250
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