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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts Novermber, 3, 1997 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS FEDERAL RESERVE SYSTEM SECTION W ashington, 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 RATIO SC MARCH 1973= SCALE I 1973=100 160 150 130 120 110 100 140 130 90 120 80 110 70 100 60 90 290 380 350 320 270 290 250 260 230 230 210 200 330 310 190 105 95 85 75 SWISS FRANC i.j .... l J - J - J ....i...I... i....j ..i I i i i 170 110 100 U.K. POUND 90 80 65 70 55 60 45 50 l 1 I I l I I I l I I I 35 195 40 185 210 200 175 190 165 180 155 170 145 160 135 150 125 140 120 110 _ FRENCH FRANC 100 98 60 50 40 90 30 80 20 70 60 I » I I I I I I I I I I I I I 1995 1997 10 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR M AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + OI + O I 'r - CM CM CO COCO CM CO T- Tl* + O I -r- CM CM O coin Tj- CM 00 +OI CM T+ O I T- CM 0 CM + O I CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. I )LLARS PER FINE OUNCE U.S. DOLLARS PER FINE OL 425 425 410 410 395 395 380 380 365 365 350 350 335 335 320 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM co ro co oi o> o CM f"- 1995 1997 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM cvjoo 6 h* co oo co coro in cji o> cm o in o> ro co ^ ▼- 1995 1997 CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 8 I I I I I I I I I I I I I I I 2 8 7-DAY 6 6 4 4 2 8 I I I I » I I I I I I I I I I 2 8 6 6 4 4 2 2 1995 1997 1995 1997 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 ‘vv" ___ I__ ■ 1995 1997 i i 1___ 1___ 1___ 1___ 1___ 1___ 1___ 1___ 1___ 1___ 1___ 1995 1997 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING W EDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM DIFFERENTIAL +OI 'r- I I I I I I I I I I I I I I-1SW ISS INTERBANK (SF) COVERED CD 10 Tt CO CVI r- » I I 1 I I I I I I I I I I I " d if f e r e n t ia l +OI I I I I I I I I I I I I I I I 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 9 8 UNITED STATES 7 8 6 7 5 I .I ..L L I.- I ..I .i ,..L1—l.... 6 9 10 CANADA 9 8 8 7 7 6 6 » I I I I I I I I I I I I I I 6 5 5 5 4 4 3 3 2 5 2 8 I I » I I I I I I I I I I I I 1 8 7 7 6 6 5 I I I l I I I I I I I I I » 1 1995 1997 5 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 400 » I I l I » I I » I 300 FRANCE 260 220 180 140 100 j— i i l i i i l i i .i J . . i i.. j . 360 32 0 28 0 24 0 200 160 120 l-Oct-97 Chart 1. 8-Oct-97 15-Oct-97 22-Oct-97 29-Oct-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 2.7428 72.313 16.857 56.617 0.05790 0.82689 50.282 68.705 161.57 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 69.304 165.38 108.08 72.07 75.96 159.27 33.23 216.51 144.35 221.03 65.35 108.45 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 66.89 106.84 68.53 72.41 171.28 29.60 230.71 145.60 55.99 220.06 61.12 96.92 106.04 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 2.06 2.37 2.37 -0.92 5.33 2.31 4.22 -1.56 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 4.01 -1.53 329.52 332.42 328.95 324.26 316.77 5.63 5.69 3.23 3.13 3.04 0.54 3.05 1.29 7.01 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 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. 2.07 2.37 2.38 -0.74 5.40 2.37 4.36 -1.53 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 106.50 69.19 72.06 170.72 29.53 230.06 145.14 56.37 222.08 61.06 97.28 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. 106.27 68.74 71.95 170.29 29.55 232.15 144.89 56.21 221.45 61.14 97.44 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom l-O c t-9 7 Chart 5. 22-O ct-97 29-O ct-97 5.63 3.71 3.31 3.29 0.54 3.35 1.40 7.21 3.68 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 5.69 5.54 5.56 5.60 5.69 5.88 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 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. X 5-O ct-97 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. 8-O ct-97 Selected Euro-dollar & U.S. Money Market Rates 5.69 5.63 0.05 5.49 5.47 0.02 5.46 5.52 -0.05 5.49 5.57 -0.08 5.49 5.51 -0.02 5.60 5.63 -0.03 5.61 5.61 -0.00 5.64 5.63 0.01 5.66 5.68 -0.02 5.64 5.67 -0.03 Euro-dollar deposit Interbank sterling (London), covered Differential 5.60 5.65 -0.05 5.61 5.66 -0.05 5.64 5.64 -0.00 5.66 5.71 -0.06 5.64 5.69 -0.05 U.S. commercial paper Canadian finance paper, covered Differential 5.51 5.80 -0.29 5.50 5.84 -0.34 5.53 5.83 -0.30 5.57 5.87 -0.30 5.59 5.83 -0.24 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.60 5.69 -0.09 5.61 5.73 -0.13 5.64 5.71 -0.07 5.66 5.72 -0.06 5.64 5.73 -0.09 Euro-dollar deposit Swiss interbank, covered Differential 5.60 5.77 -0.17 5.61 5.68 -0.08 5.64 5.75 -0.11 5.66 5.74 -0.09 5.64 5.94 -0.30 5.51 5.43 5.44 1.82 3.32 5.42 6.30 6.00 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 5.97 238.73 225.15 208.82 103.35 340.80 472.02 264.45 374.04 228.11 214.59 188.84 98.81 326.38 442.70 248.83 355.02 Overnight Euro-dollar deposits U.S. federal funds Differential 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. 5.74 5.48 5.52 1.93 3.38 5.49 6.46 6.09 Stock Indices (Wednesday figures) Canada 238.60 237.57 234.76 France 230.75 232.74 228.38 Germany 214.79 208.01 209.35 Japan 104.20 101.73 104.99 351.64 Netherlands 343.83 350.56 472.59 Switzerland 470.84 469.14 262.84 United Kingdom 265.09 263.40 374.60 United States 372.63 368.36 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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