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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts December 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 SC SCALE MARCH 1973==100 11973=100 130 120 110 100 90 160 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 150 140 130 120 80 110 70 100 60 330 310 290 270 250 ■ i » i » » « I i i i l 90 SWISS FRANC 380 350 320 290 260 230 230 210 200 190 105 95 85 75 65 I I I I I I I I I 1 I I U.K. POUND 170 110 100 90 80 70 55 60 45 50 35 I I I I I » I 1 » I I I I I I 40 195 185 175 165 210 200 155 170 145 160 135 150 125 140 120 110 100 70 90 30 80 190 180 60 50 40 20 70 60 10 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 1 GERMAN MARK + OI -tCM COCO 1 I I I I I I I I I I I I I I CD CM O CM +O I 1 1995 1997 I 1995 L -l I I I 1 I I 1997 I I I I I I 6 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY u.s. c U.S. DOLLARS PER FINE OU RS PER FINE OUNCE 420 420 12.5 Kg BARS AFTERNOON FIXING PRICE 400 400 380 380 360 360 340 340 320 320 300 300 280 J____ I____ I____I____I____ I____I____I 1993 l l 1995 I I I I I I____ I____I____ I____I____ I____I____ L 1997 280 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 5 7 U.S. FEDERAL FUNDS 6 4 5 3 4 2 3 1 2 i i i l i i.i-l-t.l.± J 7 6 0 6 5 5 4 4 3 3 2 9 2 8 8 7 7 6 6 5 5 4 4 9 3 2 3 FRANCE I « I I I « I I ■ « ■ I 1995 1997 2 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM 3 ----JAPANESE CD RATE 0I l l l I l l I I I I I I I I I PERCENT PER ANNUM CHART6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 8 8 OVERNIGHT 6 6 4 4 I 1 1.1.1.1 I 1 I I I 1 I I I 2 8 2 8 7-DAY 6 6 / I 4 4 2 8 I I I I I I I I I I 1-1I I » 2 8 1-MONTH 6 6 4 4 2 » I I I » I » I I I » > I I I 1995 1997 2 1995 1997 CHART 7 SELECTED EURODOLLAR 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 I I 1995 I I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I ! 1997 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 1CENT PER ANNUM 7 INTERBANK STERLING 6 M V COVERED LONDON 5 EURO-DOLLAR DEPOSITS DASHED LINE 4 3 2 1 i i i I i i i I i i i I i i i DIFFERENTIAL DIFFERENTIAL I I I I I I I I I I 1.1 .1.1.1 I + 0 1 7 I I I 1... 1 I I I 1 I .1... 1 J 1 INTERBANK DM COVERED FRANKFURT 6 5 EURO-DOLLAR DEPOSITS DASHED LINE 4 3 2 1 1 1 I I ■ * » I » 1 I I I I I ’ d if f e r e n t ia l + 0 1 I 1 I 1995 1 1 I I I I I 1997 I I I I I 1995 1997 CHART9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM 9 8 7 6 9 8 7 6 CJl CJl PERCENT PER ANNUM 4 3 2 1 8 7 6 5 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 400 160 i i i 1 ..i I i ................ i i 500 SWITZERLAND 200 i i l i i «» 1995 i i ■ 1997 I i i i 26-Nov-97 3-Dec-97 Chart 1. 10-Dec-97 17-Dec-97 24-Dec-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 2.7791 70.408 17.119 57.326 0.05847 0.78780 50.857 70.850 168.51 2.7353 70.314 16.868 56.439 0.05764 0.77765 50.086 69.929 168.42 2.7060 70.278 16.753 56.075 0.05728 0.77044 49.765 69.204 165.57 2.7315 70.297 16.833 56.380 0.05752 0.76981 50.005 69.705 164.44 2.7294 69.797 16.837 56.359 0.05744 0.77154 49.963 69.701 166.58 109.51 70.17 77.14 161.26 33.56 206.27 146.00 227.93 68.16 107.78 70.08 76.01 158.77 33.09 203.61 143.79 224.97 68.12 106.63 70.04 75.49 157.74 32.88 201.73 142.87 222.64 66.97 107.64 70.06 75.85 158.60 33.02 201.56 143.55 224.25 66.51 107.55 69.57 75.87 158.54 32.97 202.02 143.43 224.24 67.38 106.16 67.56 72.45 170.87 29.61 217.49 145.22 55.16 225.98 63.68 99.00 106.97 67.42 72.66 171.54 29.68 216.76 145.63 55.38 227.17 63.05 98.73 106.81 66.85 72.63 171.33 29.61 217.14 145.39 55.28 226.99 63.91 98.64 1.67 2.22 2.11 -0.14 5.80 2.17 4.10 -1.73 1.68 2.22 2.10 -0.11 5.54 2.19 4.13 -1.70 1.31 2.19 2.11 -0.21 5.48 2.21 4.25 -1.73 1.02 2.18 2.13 -0.04 5.44 2.27 4.33 -1.69 301.86 295.05 286.76 284.95 290.46 5.52 5.50 3.59 3.31 3.34 0.53 3.19 1.30 7.10 5.62 5.64 3.83 3.31 3.56 0.45 3.17 1.01 6.98 5.41 5.44 3.74 3.31 3.40 0.42 3.24 0.93 7.09 5.71 5.59 4.22 3.31 3.38 0.31 3.17 0.60 7.10 5.52 5.49 4.28 3.31 3.29 0.40 2.67 0.86 7.18 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. 1.88 2.23 2.11 -0.38 5.81 2.15 3.88 -1.74 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 106.66 67.14 72.50 170.91 29.61 218.23 145.24 55.10 226.95 64.44 98.21 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. 107.39 66.56 72.93 172.17 29.77 219.09 146.15 55.69 227.80 63.81 97.04 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands witzerland nited Kingdom 2 6 - N o v - 97 Chart 5. 1 7 -D e c -9 7 2 4 -D e c -9 7 5.77 3.98 3.56 3.69 0.55 3.67 1.94 7.56 3.92 5.80 4.25 3.57 3.71 0.64 3.64 1.78 7.63 3.94 5.82 4.29 3.56 3.70 0.79 3.66 1.68 7.63 3.97 5.80 4.56 3.56 3.69 0.81 3.63 1.53 7.62 3.98 5.82 4.99 3.56 3.65 0.81 3.54 1.50 7.56 3.99 5.50 5.56 5.56 5.75 5.75 5.88 5.64 5.57 5.80 5.80 5.80 5.91 5.44 5.53 5.86 5.81 5.85 5.95 5.59 . 5.57 5.83 5.76 5.76 5.88 5.49 5.91 5.84 5.81 5.79 5.86 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3 -month 6-month 1-year Chart 7. 1 0 -D e c -9 7 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. 3 -D e c -9 7 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.50 5.52 -0.02 5.64 5.62 0.02 5.44 5.41 0.03 5.59 5.71 -0.12 5.49 5.52 -0.03 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.75 5.77 -0.02 5.80 5.80 -0.00 5.81 5.82 -0.01 5.76 5.80 -0.03 5.81 5.82 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.75 5.79 -0.04 5.80 5.87 -0.07 5.81 5.90 -0.09 5.76 5.86 -0.10 5.81 5.83 -0.03 U.S. commercial paper Canadian finance paper, covered Differential 5.67 5.88 -0.22 5.69 5.94 -0.25 5.72 5.99 -0.27 5.70 5.88 -0.18 5.73 6.02 -0.30 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.75 5.82 -0.07 5.80 5.83 -0.03 5.81 5.82 -0.01 5.76 5.81 -0.05 5.81 5.81 0.00 Euro-dollar deposit Swiss interbank, covered Differential 5.75 5.83 -0.08 5.80 5.89 -0.09 5.81 5.82 -0.01 5.76 5.79 -0.03 5.81 5.85 -0.04 5.58 5.46 5.45 1.78 3.37 5.43 6.52 5.85 5.69 5.40 5.39 1.68 3.34 5.37 6.45 5.91 5.72 5.30 5.30 1.70 3.17 5.27 6.29 5.78 5.69 5.24 5.25 1.71 3.04 5.21 6.26 5.73 220.79 220.49 204.03 92.85 336.68 466.69 254.93 372.41 217.75 218.06 201.95 85.79 323.83 463.69 250.22 361.92 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. 5.49 5.50 5.50 1.78 3.41 5.47 6.53 5.85 Stock Indices (Wednesday figures) Canada 225.09 216.79 222.65 France 224.01 214.46 221.43 Germany 194.22 200.60 204.98 Japan 91.39 94.61 93.85 Netherlands 332.01 323.94 333.69 Switzerland 458.40 466.90 463.71 United Kingdom 245.44 248.78 253.50 United States 365.59 375.03 373.23 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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