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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts November, 10, 1997 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS FEDERAL RESERVE SYSTEM SECTION Washington, D.C. 20551 Table of Contents TABLES SUBSCRIPTION RATES: 1. LATEST FIGURES PLOTTED 2. DAILY CERTIFIED SPOT EXCHANGE 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. CHARTS 1. SPOT EXCHANGE RATES INDICES 2. 3-MONTH FORWARD EXCHANGE 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 9. LONG-TERM GOVERNMENT 10. INDUSTRIAL STOCK INDICES CHART 1 SPOT EXCHANGE INDICES DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE) AVERAGES FOR WEEK ENDING WEDNESDAY SCALE I 1973=100 130 120 110 100 90 RATIO SC MARCH 1973= 160 150 140 130 120 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 80 110 70 100 60 i i i l i i i l i i i I i i i 90 330 310 290 270 250 380 350 320 290 260 230 230 210 200 190 170 105 95 85 75 65 110 100 90 80 70 U.K. POUND 55 60 45 50 35 ■ i i I i i i l i i i l i i i 40 195 185 175 165 155 210 200 190 180 145 160 135 150 125 140 120 110 100 170 80 70 60 50 40 30 FRENCH FRANC 90 80 20 70 60 -I I I l I I I I I I I I I I I 1995 1997 10 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 Tt CO COCO CM CO f+ O I TCM CM O Tj- CO LO ^ CM CO + O I CM t- + O I iCM ^ CM + 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 1993 1995 1997 CHART 4 CALL MONEY RATES WEEKLY SERIES 3ERCENT PER ANNUM PERCENT PER ANNUM 7 5 U.S. FEDERAL FUNDS 6 4 5 3 4 2 3 1 2 I I I I I I I l I I I l I I I 0 6 7 GERMANY 6 5 5 4 4 3 3 2 I I I I I I I I 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 PERCENT PER ANNUM PERCENT PER ANNUM CM 00 CM CD h- If) CD CO ID CM rO lO C M O > C O r ^ . C D L O ^ t C O C M C O CO CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 6 6 4 4 2 8 2 8 6 6 4 4 2 8 2 8 6 6 4 4 2 2 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: 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 DIFFERENTIAL 1995 1997 i... i - i— i u ■ ' » * ' ' i V i, J___ I___ I------1___ I___ I___ I___ I___ I___ I___ I___ I___ I___ I 1995 1997 I + OI + OI v v ‘" l ! 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 + O I 1 - h- i— K CD CD I f) in Tt ^ CO CO CM T- CM 1 - DIFFERENTIAL DIFFERENTIAL + O I + O I I I t I I 1 I 1 9 95 I I I I I I I I 1997 I I I I I I I 1 I I I I I I I 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM co O) oo h* co io in CM CO I I I I I I I I I I I I I I I I1 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 360 320 280 240 200 — 200 — 160 120 1995 1997 8-O ct-97 Chart 1. 15-O ct-97 22-O ct-97 29-O ct-97 5-NOV-97 2.7521 72.849 16.902 56.811 0.05794 0.82135 50.432 68.988 161.60 2.7686 72.421 17.026 57.135 0.05823 0.82583 50.729 68.578 162.21 2.7335 72.062 16.828 56.417 0.05779 0.82944 50.066 67.825 162.61 2.7637 71.531 17.012 56.983 0.05822 0.82580 50.585 69.304 165.38 2.8081 71.141 17.294 57.933 0.05908 0.82444 51.375 71.093 167.62 108.45 72.61 76.17 159.81 33.26 215.06 144.78 221.94 65.36 109.10 72.18 76.72 160.73 33.42 216.23 145.63 220.62 65.61 107.71 71.82 75.83 158.71 33.17 217.17 143.73 218.20 65.77 108.90 71.29 76.66 160.30 33.42 216.22 145.22 222.96 66.89 110.65 70.91 77.93 162.97 33.91 215.86 147.49 228.72 67.80 106.04 68.58 71.92 169.84 29.54 233.30 144.43 55.73 218.83 61.67 97.61 106.59 67.60 72.30 170.65 29.58 230.59 145.09 55.98 222.35 62.40 96.87 107.39 66.56 72.92 172.22 29.76 227.89 146.12 55.86 226.19 62.72 95.78 2.02 2.18 2.17 -0.90 5.42 2.16 3.98 -1.55 2.00 2.16 2.12 -0.74 5.44 2.18 3.90 -1.50 1.93 2.16 2.12 -0.84 5.42 2.20 3.81 -1.53 1.80 2.15 2.08 -0.90 5.43 2.17 3.90 -1.57 332.42 328.95 324.26 316.77 314.16 5.47 5.49 3.48 3.13 3.05 0.48 3.04 1.39 7.03 5.52 5.46 3.44 3.31 3.33 0.47 3.24 1.65 6.98 5.57 5.49 3.49 3.31 3.34 0.47 2.92 1.63 7.14 5.51 5.49 3.56 3.31 3.36 0.49 3.20 1.72 7.13 5.62 5.61 3.61 3.31 3.61 0.49 3.39 1.63 7.29 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 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.K. pound U.S. dollar Chart 2. 2.06 2.37 2.37 -0.92 5.33 2.31 4.22 -1.56 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 106.84 68.53 72.41 171.28 29.60 230.71 145.60 55.99 220.06 61.12 96.92 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. 106.50 69.19 72.06 170.72 29.53 230.06 145.14 56.37 222.08 61.06 97.28 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 8-Oct-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. 5.61 3.76 3.31 3.35 0.52 3.35 1.45 7.25 3.72 5.63 3.79 3.48 3.52 0.51 3.53 1.75 7.22 3.81 5.68 3.85 3.56 3.58 0.52 3.57 1.83 7.24 3.87 5.67 3.88 3.54 3.60 0.51 3.54 1.91 7.25 3.87 5.67 3.98 3.53 3.62 0.51 3.56 1.83 7.26 3.88 5.49 5.51 5.54 5.61 5.66 5.81 5.46 5.50 5.51 5.64 5.73 5.89 5.49 5.50 5.51 5.66 5.76 5.94 5.49 5.55 5.51 5.64 5.73 5.86 5.61 5.53 5.53 5.63 5.66 5.80 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3 -month 6-month 1-year Chart 7. 15-Oct-97 22-Oct-97 29-Oct-97 5-NOV-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.49 5.47 0.02 5.46 5.52 -0.05 5.49 5.57 -0.08 5.49 5.51 -0.02 5.61 5.62 -0.01 5.61 5.61 -0.00 5.64 5.63 0.01 5.66 5.68 -0.02 5.64 5.67 -0.03 5.63 5.67 -0.05 Euro-dollar deposit Interbank sterling (London), covered Differential 5.61 5.66 -0.05 5.64 5.64 -0.00 5.66 5.71 -0.06 5.64 5.69 -0.05 5.63 5.67 -0.04 U.S. commercial paper Canadian finance paper, covered Differential 5.50 5.84 -0.34 5.53 5.83 -0.30 5.57 5.87 -0.30 5.59 5.83 -0.24 5.58 5.80 -0.22 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.61 5.73 -0.13 5.64 5.71 -0.07 5.66 5.72 -0.06 5.64 5.73 -0.09 5.63 5.72 -0.10 Euro-dollar deposit Swiss interbank, covered Differential 5.61 5.68 -0.08 5.64 5.75 -0.11 5.66 5.74 -0.09 5.64 5.74 -0.10 5.63 5.74 -0.12 5..66 5..59 5..57 1..83 3..42 5..57 6,.46 6..10 5 .72 5 .72 5 .67 1 .81 3 .48 5 .67 6 .56 6 .13 5,.56 5,.66 5,.65 1,.73 3 .49 5..64 6,.55 5,.97 5..54 5..63 5..61 1..67 3, .46 5,.59 6..57 5..90 228,.11 214,.59 188,.84 98,.81 326,,38 442 .70 248 .83 355 .02 232..49 214 , .99 192,.81 96,.38 325,.18 448 .88 246,.62 364 .46 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. 5 .51 5 .43 5 .44 1 .82 3 .32 5 .42 6 .30 6 .00 Stock Indices (Wednesday figures) 238 .73 237..57 Canada 238 .60 225 .15 France 228..38 230 .75 208 .82 Germany 209..35 214 .79 103 .35 Japan 101,.73 104 .20 340 .80 Netherlands .83 343 , 351 .64 472 .02 Switzerland 470,.84 472 .59 264 .45 United Kingdom 265,.09 262 .84 374 .04 United States 372 .63 374 .60 Indices (in order , rebased to 1986=100) are Toronto Composite, SBF250, FAZ Aktien, Tokyo SE (Topix), CBS All-General, Swiss Bank Index, Financial Times Ordinary, NYSE Composite
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