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Selected Interest &
Exchange Rates
Weekly Series o f Charts
April 1, 1996
DIVISION OF
INTERNATIONAL FINANCE
Prepared by the
FINANCIAL MARKETS
SECTION
BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, D.C. 20551
Table of Contents
TABLES
1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
CHARTS
1. SPOT EXCHANGE RATES INDICES
2. 3-MONTH FORWARD EXCHANGE RATES
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 FUNDS
9. LONG-TERM GOVERNMENT BOND YIELDS
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
55
1994
1996
15
1994
1996
CHART 2
3-MONTH FORWARD EXCHANGE RATES
PREMIUM {+) OR (-)
.
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
PERCENT PER ANNUM
+o I
CM
CD
T-
fo ;
rCM
CO
D
fOI
n>
CM
10 +
Nf
CM
4-O I
lo+roo)
CM
CHART3
PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
u.s.c
PER FINE OUNCE
U S- DOLLARS PER F,NE
425
425
410
410
395
395
380
380
365
365
350
350
335
335
320
i i i I__I__I__I__I__I__!__I__I__I__i t l a i i__I__I__I__l
1992
1994
1996
320
CHART 4
CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
PERCENT PER ANNUM
6
5
4
3
1
0
9
8
7
6
4
3
2
9
8
7
6
5
4
3
CHARTS
3-MONTH INTEREST RATES
WEEKLY SERIES
9
10
8
7
6
5
4
U S. CD’S
2
8
1.1 l J - 1 - l I ,1
7
U.K. INTERBANK STERLING
I- I 1. 1.1 I
1
3
9
7
6
5
5
3
4
4
■ » * I » ■ » I » i
« I i
i
*
1
13
11
3
JAPANESE CD RATE
9
2
7
1
5
0
7
i i i I i i i l i » i l « » i
3
9
7
5
5
3
3
1
1
CHART 6
EURO-DOLLAR DEPOSIT RATES, LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
8
8
OVERNIGHT
6
6
4
4
2
8
I I.L ... L-l-
l
1
1 I.. I - 1-1.. J_L
I
2
g
7-DAY
6
6
4
4
2
i j
i
1 i
i
i
I
i
i
i
I
i
i
l
2
8
8
6
6
4
4
2
1994
1996
1994
2
1996
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
IO +
Io +
DIFFERENTIAL
J__ I__ L _ J__ L
1994
J_J__ I__ I__ L
1996
J__ I__ I__ I__ I__ I__ I__ I__ L_I__ I__ I__ I__I__ I__ I
1994
1996
,
CHART 8
INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
PERCENT PER ANNUM
£*
ID
cn
CO
cn
-'4 -*■
|o +
+O I
co
CO
ro
CM T-
DIFFERENTIAL
lo +
+OI
JL
I « I I I I 1 » I I I I I »
1994
1996
1994
1996
CHART 9
LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
CO CO
cn cn
o>
oo
<o
o>
PERCENT PER ANNUM
CHART 10
STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100
110
RATIO SCALE
1986=100
» I I I I I I I I I I l I I I
200
180
160
140
120
100
2 8 -F e b -9 6
Chart 1.
6 -M a r-9 6
1 3 -M a r -9 6
2 0 -M a r-9 6
2 7 -M a r-9 6
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
3.3703
72.705
20.040
68.866
0.06429
0.95630
61.480
84.604
153.96
3.2975
72.895
19.773
67.781
0.06432
0.94996
60.539
83.234
152.91
3.2860
73.094
19.731
67.566
0.06403
0.94811
60.348
83.361
152.43
3.2992
73.418
19.804
67.807
0.06400
0.94328
60.569
83.993
152.97
3.2895
73.386
19.749
67.603
0.06380
0.93855
60.412
83.694
152.69
132.81
72.46
90.31
193.73
36.90
250.39
176.50
272.18
62.27
129.94
72.65
89.10
190.67
36.92
248.73
173.80
267.77
61.85
129.49
72.85
88.91
190.07
36.75
248.25
173.25
268.18
61.65
130.01
73.17
89.24
190.75
36.74
246.98
173.88
270.22
61.87
129.62
73.14
88.99
190.17
36.62
245.74
173.43
269.25
61.76
116.66
62.97
77.38
188.44
29.83
244.05
159.59
57.08
245.75
51.79
86.68
116.89
63.12
77.51
188.76
29.74
242.08
159.85
57.77
247.13
51.87
86.44
116.75
63.21
77.43
188.48
29 „70
241.20
159.71
58.56
246.67
51.86
86.64
0.04
0.98
1.96
-4.34
4.85
2.14
3.63
-0.79
0.06
1.12
2.04
-4.32
5.02
2.22
3.71
-0.73
0.17
1.17
2.07
-4.38
5.06
2.24
3.66
-0.63
0.30
1.16
2.06
-4.35
4.87
2.26
3.64
-0.63
398.79
395.96
395.84
395.04
398.33
5.31
5.16
5.12
4.10
3.09
0.46
3.11
1.44
6.08
5.57
5.23
5.18
4.04
3.23
0.45
3.06
1.63
6.53
5.24
5.20
5.14
4.00
3.31
0.45
3.08
1.93
5.83
5.36
5.30
5.12
3.98
3.24
0.41
3.06
1.99
5.64
5.21
5.28
4.90
3.94
3.21
0.48
3.09
1.55
5.75
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, Mar. 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.
-0.02
0.87
1.91
-4.56
4.76
2.13
3.69
-0.86
Gold Price in London, Afternoon Fixing
U.S. dollars per fine ounce
Chart 4.
116.88
62.66
77.41
188.77
29.92
244.11
159.83
57.00
244.93
51.87
86.49
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.
118.58
61.95
77.88
190.54
29.64
243.72
161.09
57.30
247.02
51.80
85.60
Call Money Rates
U.S. federal funds
Overnight Euro-dollar deposits
Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
2 8 -F e b -9 6
Chart 5.
2 0 -M a r -9 6
2 7 -M a r-9 6
5.14
5.28
4.28
3.31
0.66
3.06
1.59
6.10
4.24
5.17
5.24
4.17
3.26
0.66
3.06
1.58
6.06
4.18
5.28
5.30
4.14
3.25
0.60
3.09
1.66
6.04
4.18
5.33
5.31
4.13
3.25
0.59
3.11
1.69
6.01
4.18
5.33
5.11
4.13
3.25
0.59
3.10
1.75
6.00
4.14
5.16
5.19
5.19
5.13
5.08
5.06
5.23
5.22
5.19
5.16
5.14
5.15
5.20
5.23
5.23
5.26
5.26
5.39
5.30
5.26
5.29
5.31
5.36
5.60
5.28
5.38
5.32
5.32
5.35
5.54
Euro-Dollar Deposit Rates
Overnight
7-day
1-month
3 -month
6-month
1-year
Chart 7.
1 3 -M a r-9 6
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.
6 -M a r-9 6
Selected Euro-doilar & U.S. Money Market Races
Overnight Euro-dollar deposits
U.S. federal funds
Differential
5.16
5.31
0.15
5.23
5.57
-0.34
5.20
5.24
-0.04
5.30
5.36
-0.06
5.28
5.21
0.07
3 -month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential
5.13
5.14
0.01
5.16
5.17
-0.01
5.26
5.28
-0.02
5.31
5.33
-0.01
5.32
5.33
-0.01
Euro-dollar deposit
Interbank sterling (London), covered
Differential
5.13
5.23
0.09
5.16
5.26
-0.09
5.26
5.30
-0.04
5.31
5.37
-0.06
5.32
5.36
-0.04
U.S. commercial paper
Canadian finance paper, covered
Differential
5.15
5.26
0.12
5.18
5.28
-0.10
5.29
5.36
-0.07
5.35
5.48
-0.13
5.36
5.42
-0.06
Euro-dollar deposit
Interbank DM (Frankfurt), covered
Differential
5.13
5.24
0,11
5.16
5.24
-0.08
5.26
5.30
-0.04
5.31
5.33
-0.02
5.32
5.33
-0.01
Euro-dollar deposit
Swiss interbank, covered
Differential
5.13
5.29
0.16
5.16
5.22
-0.05
5.26
5.39
-0.13
5.31
5.36
-0.05
5.32
5.40
-0.08
7.44
6.58
6.33
3.21
4.03
6.32
7.85
6.01
7.72
6.68
6.48
3.20
4.08
6.48
8.05
6.30
7.76
6.73
6.55
3.16
4.13
6.57
8.11
6.40
7.62
6.67
6.44
3.19
4.07
6.46
8.10
6.29
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.
7.49
6.68
6.36
3.32
4.12
6.35
7.89
6.01
Stock Indices (Wednesday figures)
Canada
164.91
164.86
165.73
165.33
159.27
France
160.98
157.12
158.27
Germany
131.32
131.23
128.73
132.16
Japan
116.99
117.35
115.25
118.70
Netherlands
185.27
187.01
185.65
190.15
Switzerland
281.66
284.84
298.53
304.05
United Kingdom
221.59
212.32
216.85
213.85
United States
253.34
251.31
255.97
256.91
Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General spliced
at 22dec93, FAZ Aktien, Tokyo SE (Topix) , CBS All-General, Swiss Bank Index,
Financial Times Ordinary, NYSE Composite
166.13
162.50
132.51
122.47
190.15
308.54
212.49
255.89
to SBF250
@FedFRASER