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(516/517) Selected Interest & Exchange Rates Weekly Series o f Charts September 15, 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 1. LATEST FIGURES PLOTTED EXCHANGE RATES CHARTS 1. SPOT EXCHANGE RATES 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 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=100 130 120 110 100 90 FOREIGN CURRENCY PRICE OF U.S. DOLLAR RATIO SC MARCH 1973= =100 160 150 140 130 120 80 110 70 100 60 330 310 290 270 250 i i i l i i i l i i i l i i i SWISS FRANC 90 380 350 320 290 260 230 230 210 200 190 105 95 85 75 65 1 1 I I l I l I I I 1 I I I I U.K. POUND 170 110 100 90 80 70 55 60 45 50 35 L -L 1 . . 1 .1. .1.1 _L J. 1 J — L L. J-.1 40 195 185 175 165 155 210 145 160 135 150 125 140 200 190 180 170 120 110 FRENCH FRANC 100 90 80 70 60 50 40 30 80 20 70 60 1 1 I 1 1 1 I 1 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 T- CM CM ^ COCO CO + O I CM CO T - + O I 1CM CM O Tf com ^ CM CO + O I CM r+ O I rCM ^ CM + O I CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY u.s. PER FINE OUNCE U.S. DOLLARS PER FINE 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 5 4 3 2 1 O co ro co cn o CD CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM -• « N) FRENCH INTERBANK RATE cno i 1995 1997 i i I i i i I i i i I i i i o > r o c o ^ c n o > ^ i o o c D f \ 5 co a co o n o > cn oro ooro PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 8 6 4 CM 00 CM CO CO CO Tfr CM CO CM CO 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 +o i Io + DIFFERENTIAL ~W ■' - I 1995 1997 I 1 I 1 1 1995 I I I I 1 1 1 1 1997 1 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM DIFFERENTIAL + oi i i i 1 i i i l i i i I i i i 'r c o i n c o cj t \ - +oi PERCENT PER ANNUM 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM co o) oo Isco in in in co SWITZERLAND 5 4 4 3 3 2 i i i l i i i I i i i l i i i 8 2 8 7 7 6 6 5 5 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 120 1995 1997 1995 1997 13-Aug-97 20-Aug-97 27-Aug-97 3-Sep-97 Chart 1. 10-Sep-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 2.6091 71.845 15.996 53.909 0.05518 0.85986 47.847 65.808 158.45 2.6353 71.853 16.151 54.424 0.05577 0.84762 48.438 65.960 160.00 2.6653 71.748 16.337 55.039 0.05640 0.84609 48.907 66.688 160.52 2.6713 72.137 16.397 55.173 0.05649 0.82997 48.979 66.928 160.26 2.6787 72.245 16.451 55.333 0.05676 0.83180 49.123 67.336 158.75 102.81 71.61 72.08 151.65 31.68 225.14 137.36 211.71 64.09 103.84 71.61 72.78 153.10 32.01 221.93 139.06 212.20 64.72 105.03 71.51 73.62 154.83 32.38 221.53 140.40 214.54 64.93 105.26 71.90 73.89 155.21 32.42 217.31 140.61 215.32 64.82 105.55 72.01 74.13 155.66 32.58 217.79 141.02 216.63 64.21 104.65 69.20 70.58 167.42 29.17 241.98 142.78 54.32 217.89 61.65 99.20 104.93 69.64 70.89 167.98 29.23 236.91 143.06 54.82 218.78 61.56 99.25 105.09 69.64 71.05 168.29 29.33 237.12 143.30 55.23 219.84 60.83 99.07 2.15 2.33 2.45 -1.16 5.31 2.27 4.28 -1.50 2.13 2.33 2.40 -1.11 5.27 2.27 4.31 -1.54 2.12 2.33 2.40 -1.09 5.22 2.26 4.36 -1.52 2.10 2.35 2.43 -1.11 5.22 2.31 4.26 -1.50 324.95 324.18 324.31 323.96 321.39 5.49 5.49 3.16 3.13 3.06 0.47 3.21 1.10 6.84 5.60 5.51 3.15 3.13 3.04 0.47 3.26 0.96 7.07 5.58 5.54 3.15 3.13 3.06 0.50 3.05 0.91 7.04 5.73 4.76 3.24 3.13 3.26 0.51 3.16 1.03 6.96 5.51 5.48 3.26 3.13 3.05 0.48 3.14 1.21 6.88 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 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. 2.05 2.34 2.41 -1.19 5.33 2.33 4.34 -1.46 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 104.03 69.74 70.13 166.32 29.00 244.02 142.19 53.98 216.72 61.82 99.93 3-Month Forward Exchange Rates, Premium or Discount Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U . . pound K Chart 3. 103.36 70.03 69.68 165.21 28.79 249.05 140.92 54.48 217.07 61.42 100.42 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 13-Aug-97 20-Aug-97 27-Aug-97 3-Sep-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 3.70 3.31 3.17 0.59 3.33 1.43 7.10 3.69 5.59 3.63 3.31 3.19 0.57 3.35 1.38 7.13 3.69 5.59 3.66 3.31 3.23 0.56 3.39 1.38 7.17 3.70 5.60 3.67 3.29 3.23 0.55 3.34 1.34 7.20 3.70 5.60 3.64 3.27 3.24 0.55 3.37 1.31 7.19 3.70 5.49 5.53 5.50 5.60 5.73 -5.98 5.51 5.51 5.50 5.59 5.71 5.90 5.54 5.56 5.50 5.56 5.69 5.93 4.76 5.57 5.55 5.59 5.74 5.94 5.48 5.50 5.56 5.58 5.75 5.94 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 10-Sep-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.49 5.49 -0.00 5.51 5.60 -0.08 5.54 5.58 -0.05 4.76 5.73 -0.97 5.48 5.51 -0.04 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.60 5.61 -0.01 5.59 5.59 -0.00 5.56 5.59 -0.03 5.59 5.60 -0.01 5.58 5.60 -0.02 5.60 5.61 -0.01 5.59 5.60 -0.01 5.56 5.60 -0.03 5.59 5.65 -0.07 5.58 5.66 -0.08 ND 5.78 ND ND 5.81 ND ND 5.81 ND 5.49 5.81 -0.32 5.49 5.76 -0.27 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.60 5.60 -0.00 5.59 5.67 -0.08 5.56 5.65 -0.09 5.59 5.66 -0.07 5.58 5.70 -0.12 Euro-dollar deposit Swiss interbank, covered Differential 5.60 5.78 -0.18 5.59 5.67 -0.08 5.56 5.70 -0.13 5.59 5.71 -0.12 5.58 5.59 -0.01 5.97 5.56 5.64 2.13 3.31 5.58 7.02 6.24 6.05 5.60 5.70 2.10 3.33 5.63 7.09 6.37 5.95 5.59 5.67 2.04 3.35 5.63 7.03 6.32 6.01 5.58 5.67 2.09 3.39 5.62 6.97 6.35 223.41 224.69 205.27 109.63 343.51 457.81 245.68 355.59 225.59 221.71 203.16 108.97 328.16 447.43 243.85 353.33 Chart 8. Interest Arbitrage, 3-Month Funds Euro-dollar deposit Interbank sterling (London), covered Differential U.S. commercial paper Canadian finance paper, covered Differential Chart 9. Long Term Government Bellwether Bond Yields 10-year maturity, where available Canada France Germany Japan Switzerland Netherlands United Kingdom United States Chart 10. 6.01 5.62 5.69 2.17 3.29 5.64 7.05 6.35 Stock Indices (Wednesday figures) 222.41 Canada 225.84 226.31 221.87 France 228.89 225.40 199.14 Germany 212.71 216.36 Japan 112.83 109.10 111.75 Netherlands 354.03 334.78 345.19 Switzerland 470.38 452.80 468.16 244.12 United Kingdom 245.72 247.12 United States 357.05 349.96 351.70 l i i u x v c o Indices (in order, irebased to X - / U U — j - u u / d l c Toronto c u u i p u o x u c / u \ J-iA u i. u c o - / u u 1986=100) are 1 U L U 1 1 L U Composite, SBF250, FAZ Aktien, Tokyo SE (Topix) , CBS All-General, Swiss Bank Index, Financial Times Ordinary, NYSE Composite
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