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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts September 22, 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 RATIO SCALE MARCH 1973=100 RATIO SCALE MARCH 1973=100 130 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 100 90 80 70 60 I I I I I I I I I I I I I I I CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 1 + o I 1- + OI CM CM COCO Tt CO CM CD r + O I 'rCM CM O ^ CO UD rt CM CO + O I CM -»- + O I iCM ^t i i i 1 i i i I i i i I i i i CM +OI CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OU U.S. [ DLLARS PER FINE OUNCE 425 425 12.5 Kg BARS AFTERNOON FIXING PRICE 410 410 395 395 380 380 365 365 350 350 335 335 320 J__ I__ L J__ I__ I__ I__ L 1993 320 1995 1997 CHART 4 CALL MONEY RATES WEEKLY SERIES o> o PERCENT PER ANNUM co ro c o ro co co a A cn cn o> ^ ir o PERCENT PER ANNUM CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM I I 1-1 _L. I- I .1 I I I I .1 I I 1 I I I I I I I I I I I I I I I I 0 )l\3 cn o GO A -*> cn CD ro 00 co & CD IY> cn CO a *ni CJi CD f\D oon> PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 8 ---OVERNIGHT I I I I I I I I I I I I I I CM 00 2L I CD TjCM 00 CM 00 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 DIFFERENTIAL +O I + OI J__ I__ l__ I__ I__ I__ I__ I__ I 1995 1997 1995 I I__ l I I 1997 I I ! 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 r- T- CD CD LO LO 'st Tt CO CO CM r - CM 1 - + O I + O I 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 9 CO 0 ) 10 PERCENT PER ANNUM 00 PERCENT PER ANNUM Vl 8 o> 7 5 c\ j oo CJl CJl 6 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 360 320 280 240 200 160 120 2 0-Aug-97 27-Aug-97 3-Sep-97 Chart 1. 10-Sep-97 17-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 2.6353 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 2.7356 71.861 16.808 56.476 0.05786 0.82921 50.148 68.553 160.04 103.84 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 64.21 107.80 71.62 75.74 158.87 33.21 217.11 143.96 220.54 64.73 104.93 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 99.07 106.26 68.46 71.92 170.30 29.61 233.54 144.87 55.73 221.52 60.67 97.76 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 2.09 2.32 2.42 -0.99 5.20 2.31 4.31 -1.51 324.18 324.31 323.96 321.39 321.75 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 5.60 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 5.61 5.50 3.22 3.13 3.05 0.46 3.13 0.95 6.86 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. 2.15 2.33 2.45 -1.16 5.31 2.27 4.28 -1.50 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 104.65 69.20 70.58 167.42 29.17 241.98 142.78 54.32 217.89 61.65 99.20 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. 104.03 69.74 70.13 166.32 29.00 244.02 142.19 53.98 216.72 61.82 99.93 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 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. 5.59 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 5.60 3.64 3.29 3.23 0.56 3.33 1.35 7.16 3.68 5.51 5.51 5.50 5.59 5.71 5.90 5.54 5.56 5.50 5.56 5.69 5.93 5.60 5.57 5.55 5.59 5.74 5.94 5.48 5.50 5.56 5.58 5.75 5.94 5.50 5.49 5.56 5.59 5.73 5.93 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 10-Sep-97 17-Sep-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.51 5.60 -0.08 5.54 5.58 -0.05 5.60 5.73 -0.13 5.48 5.51 -0.04 5.50 5.61 -0.11 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.59 5.59 -0.00 5.56 5.59 -0.03 5.59 5.60 -0.01 5.58 5.60 -0.02 5.59 5.60 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.59 5.60 -0.01 5.56 5.60 -0.03 5.59 5.65 -0.07 5.58 5.66 -0.08 5.59 5.62 -0.03 U.S. commercial paper Canadian finance paper, covered Differential 5.56 5.81 -0.25 5.55 5.81 -0.26 5.52 5.81 -0.29 5.51 5.76 -0.25 5.51 5.75 -0.24 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.59 5.67 -0.08 5.56 5.65 -0.09 5.59 5.66 -0.07 5.58 5.70 -0.12 5.59 5.67 -0.08 Euro-dollar deposit Swiss interbank, covered Differential 5.59 5.67 -0.08 5.56 5.70 -0.13 5.59 5.71 -0.12 5.58 5.59 -0.01 5.59 5.67 -0.09 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 5.95 5.54 5.63 2.04 3.40 5.58 6.84 6.23 225.59 221.71 203.16 108.97 328.16 447.43 243.85 353.33 229.88 225.20 199.14 103.89 334.45 457.57 250.93 362.57 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. 5.97 5.56 5.64 2.13 3.31 5.58 7.02 6.24 Stock Indices (Wednesday figures) Canada 222.41 225.84 223.41 France 221.87 228.89 224.69 Germany 199.14 212.71 205.27 Japan 109.10 112.83 109.63 Netherlands 334.78 343.51 354.03 Switzerland 452.80 457.81 470.38 United Kingdom 244.12 245.72 245.68 United States 349.96 355.59 357.05 Indices (in rebased 1986=100) XliVaXwCO \ -LI1 order, Ui- U.Ci- / -LCiyO, OCU. to L » 1-700 — 1UU / a ! c 1 U 0X1 LO OOlll^O b XLC / u Composite, SBF250, are Toronto FAZ Aktien, Tokyo SE (Topix), CBS All-General, Swiss Bank Index, Financial Times Ordinary, NYSE Composite \J JL
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