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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts January 5, 1998 DIVISION OF INTERNATIONAL FINANCE Prepared by ihe 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 120 110 DOLLAR PRICES OF FOREIGN CURRENCIES AND W EIGHTED AVERAGE VALUES (THIN LINE) AVERAGES FOR W EEK ENDING W EDNESDAY RATIO SC SCALE MARCH 1973==100 I 1973=100 160 150 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 100 130 90 120 80 110 70 100 130 60 330 310 i i i l i i i l i i i l 90 SWISS FRANC 380 350 290 320 270 290 250 260 230 230 210 200 190 105 95 85 75 I I I I I I I I I I 1 i I I I 170 110 100 U.K. POUND 90 80 65 70 55 60 45 50 35 I I I I I I I I I I I I I I I 40 195 210 185 200 175 190 165 180 155 170 145 160 135 150 125 140 120 110 _ 70 60 50 FRENCH FRANC 100 40 90 30 80 20 70 60 i i i l i i i I i * i l * i i 1995 1997 10 CHART 2 3-M ONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING W EDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 1 GERMAN MARK + O I TC\J 2 — CO 00 i i i l i ■ i I i i i l i i i JAPANESE YEN CD C\J O ^ i i i -I i i i I i i i I i i i C\J +o | 2 4 0 2 4 6 1995 1997 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR W EEK ENDING W EDNESDAY u.s. U.S. DOLLARS PER FINE OL OLLARS 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 1993 i I i i__ i__ I__ i__ i__ i__ I__ i__ i__ i___L 1995 j __ i__ I__ i__ L 1997 280 CHART 4 CALL MONEY RATES W EEKLY SERIES PERCENT PER ANNUM >ERCENT PER ANNUM 5 7 U.S. FEDERAL FUNDS 6 4 5 3 4 2 3 1 2 0 6 i i i l i i i l i i i I i i i 7 GERMANY 6 5 5 4 4 3 3 2 I I I I I I I I I I I I I I I 2 9 9 CANADA 8 8 7 7 6 6 5 5 4 4 3 2 3 FRANCE I- I I I I I I I I I I I 1995 1997 1 i i i I » i i l i i i l » i i 1995 1997 2 CHART 5 3-M ONTH INTEREST RATES W EEKLY SERIES PERCENT PER ANNUM N}- CO JAPANESE CD RATE 2 — i i i I i i i I i i i I i i i PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING W EDNESDAY & PERCENT PER ANNUM ERCENT PER ANNUM 8 OVERNIGHT 6 6 4 4 2 1 I I I I I i 1 I I I I I I I 2 8 8 7-DAY 6 6 4 4 2 I I I I I 1 I I I I I 1 I I 1 2 8 8 1-MONTH 6 6 4 4 ? .JL-L. l I l l I I I l I I l l l 1995 1997 2 1995 1997 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES D IF F E R E N T IA L : P L U S (+ ), F A V O R S B O R R O W IN G IN U .S . AVERAGES FOR WEEK ENDING W EDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM DIFFERENTIAL ,r~i +o I +o I ■V ...i^ puiV J__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I 1995 1997 1995 1997 I I i I1 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 + O I + O I T h - '-. 1— CD CD LO LO ^ CO CO CM c\l T - t — DIFFERENTIAL + O I + O | I I I I I I I I I I I I I I I I! 1995 1997 CHART 9 LONG-TERM GOVERNMENT BOND YIELD S m cd cn 01 WEEKLY SERIES CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 400 RATIO SCALE 1986=100 100 400 360 320 280 240 200 — | 160 120 3 -Dec-97 Chart 1. 10-Dec-97 17-Dec-97 24-Dec-97 31-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 2.7353 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 2.7105 69.678 16.712 55.918 0.05692 0.76798 49.625 68.988 165.89 107.78 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 67.38 106.81 69.45 75.31 157.30 32.67 201.08 142.46 221.94 67.10 106.97 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 98.64 106.61 67.11 72.45 170.78 29.48 217.28 145.14 54.89 225.80 63.98 99.30 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 -0.12 5.44 2.27 4.33 -1.69 1.03 2.13 2.14 -0.09 5.47 2.29 4.29 -1.69 295.05 286.76 284.95 290.46 291.63 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 5.43 5.49 4.28 3.31 3.29 0.40 2.67 0.86 7.18 5.67 5.73 4.28 3.31 3.68 0.43 3.18 1.40 7.15 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. 1.67 2.22 2.11 -0.14 5.80 2.17 4.10 -1.73 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 106.16 67.56 72.45 170.87 29.61 217.49 145.22 55.16 225.98 63.68 99.00 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. 106.66 67.14 72.50 170.91 29.61 218.23 145.24 55.10 226.95 64.44 98.21 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 3-Dec-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. 5.80 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 5.76 4.92 3.59 3.54 0.83 3.52 1.40 7.58 3.95 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 5.73 5.73 5.68 5.75 5.75 5.86 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 10-Dec-97 17-Dec-97 24-Dec-97 31-Dec-97 Selected Euro-dollar & U.S. Money Market Rates 5.64 5.62 0.02 5.44 5.41 0.03 5.59 5.71 -0.12 5.49 5.43 0.05 5.73 5.67 0.06 5.80 5.80 -0.00 5.81 5.82 -0.01 5.76 5.80 -0.03 5.81 5.82 -0.01 5.75 5.76 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.80 5.87 -0.07 5.81 5.90 -0.09 5.76 5.86 -0.10 5.81 5.83 -0.03 5.75 5.87 -0.11 U.S. commercial paper Canadian finance paper, covered Differential 5.69 5.94 -0.25 5.72 5.99 -0.27 5.70 5.88 -0.18 5.73 6.02 -0.30 5.65 5.96 -0.31 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.80 5.83 -0.03 5.81 5.82 -0.01 5.76 5.81 -0.05 5.81 5.81 0.00 5.75 5.69 0.06 Euro-dollar deposit Swiss interbank, covered Differential 5.80 5.89 -0.09 5.81 5.82 -0.01 5.76 5.79 -0.03 5.81 5.85 -0.04 5.75 5.70 0.05 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 5.74 5.66 5.30 5.31 1.71 3.07 5.24 6.25 5.77 217.93 218.06 201.95 85.79 323.83 463.69 250.22 361.92 221.61 228.63 206.63 88.85 335.48 483.08 255.20 375.79 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. 5.58 5.46 5 .45 1.78 3.37 5.43 6.52 5.85 Stock Indices (Wednesday figures) Canada 222.65 225.09 220.79 France 221.43 224.01 220.49 Germany 200.60 204.98 204.03 Japan 94.61 93.85 92.85 Netherlands 332.01 333.69 336.68 Switzerland 466.90 463.71 466.69 United Kingdom 248.78 254.93 253.50 United States 375.03 372.41 373.23 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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