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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts September 29, 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 RATIO SCALE MARCH 1973=100 RATIO SCALE MARCH 1973=100 105 95 85 75 65 U.K. POUND 55 45 i l i i i I i i i 80 70 60 50 40 30 20 10 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + O I rCM COCO CD Tt + O I T- CM CM CO 10 CM CO i- + O I CM + O I -r- CM ^ I I I CM + O I I I I I I I I I .. I I__L.1 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE Ot U.S. i OLLARS PER FINE OUNCE 425 425 12.5 Kg BARS AFTERNOON FIXING PRICE 410 410 395 395 380 380 M 365 365 350 350 335 335 320 J__ I__ I__ I__ I__ I__ L 1993 A 1995 1997 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM o co in tjcm o> co ro co CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM CM CO CM CO CD CO 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 v^1■* lo + IO + DIFFERENTIAL ■rin <v r~l J__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I ! 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 + OI io + DIFFERENTIAL CM r- -* ro CO co a IO oi <0 o> r- |>* « I I I I I I I I I I 1 I I I DIFFERENTIAL lo + +O I 1 I I » I I I l I I I I I I I I 1995 1997 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 360 320 280 240 200 160 200 120 1995 1997 27-Aug-97 3-Sep-97 Chart 1. 10-Sep-97 17-Sep-97 24-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 2.6653 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 2.7172 71.962 16.695 56.076 0.05746 0.82227 49.807 68.191 160.98 105.03 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 64.73 107.07 71.72 75.23 157.75 32.98 215.30 142.99 219.38 65.11 105.09 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 97.76 105.88 68.82 71.65 169.54 29.50 232.22 144.33 56.20 221.08 61.29 98.18 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 2.06 2.34 2.41 -0.71 5.21 2.32 4.34 -1.57 324.31 323.96 321.39 321.75 321.47 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 5.48 5.48 3.21 3.13 3.03 0.51 2.83 1.34 6.90 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. 2.13 2.33 2.40 -1.11 5.27 2.27 4.31 -1.54 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 104.93 69.64 70.89 167.98 29.23 236.91 143.06 54.82 218.78 61.56 99.25 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. 104.65 69.20 70.58 167.42 29.17 241.98 142.78 54.32 217.89 61.65 99.20 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 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 3.66 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 5.59 3.65 3.30 3.23 0.56 3.35 1.39 7.19 3.67 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 5.48 5.59 5.61 5.61 5.74 5.91 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 10-Sep-97 17-Sep-97 24-Sep-97 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.54 5.58 -0.05 5.60 5.73 -0.13 5.48 5.51 -0.04 5.50 5.61 -0.11 5.48 5.48 -0.01 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.56 5.59 -0.03 5.59 5.60 -0.01 5.58 5.60 -0.02 5.59 5.60 -0.01 5.61 5.59 0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.56 5.60 -0.03 5.59 5.65 -0.07 5.58 5.66 -0.08 5.59 5.62 -0.03 5.61 5.59 0.03 U.S. commercial paper Canadian finance paper, covered Differential 5.55 5.81 -0.26 5.52 5.81 -0.29 5.51 5.76 -0.25 5.51 5.75 -0.24 5.50 5.73 -0.23 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.56 5.65 -0.09 5.59 5.66 -0.07 5.58 5.70 -0.12 5.59 5.67 -0.08 5.61 5.66 -0.05 Euro-dollar deposit Swiss interbank, covered Differential 5.56 5.70 -0.13 5.59 5.71 -0.12 5.58 5.59 -0.01 5.59 5.67 -0.09 5.61 5.75 -0.14 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 5.80 5.48 5.54 2.00 3.36 5.50 6.64 6.08 229.88 225.20 199.14 103.89 334.45 457.57 250.93 362.57 233.67 230.58 204.50 107.69 336.68 471.04 254.33 363.35 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. 6.05 5.60 5.70 2.10 3.33 5.63 7.09 6.37 Stock Indices (Wednesday figures) 222.41 223.41 Canada 225.59 221.87 224.69 France 221.71 Germany 199.14 205.27 203.16 Japan 109.10 109.63 108.97 Netherlands 334.78 343.51 328.16 Switzerland 457.81 452.80 447.43 United Kingdom 244.12 245.68 243.85 United States 349.96 355.59 353.33 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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