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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts April 15, 1996 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 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=100 120 100 80 60 100 U.K. POUND 80 60 i i i l i i i l i i i l i i i 135 i i i l i i i l i i i l i i i RATIO SCALE MARCH 1973=100 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM AVERAGES FOR WEEK fe^DIN^WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + O I + O I CM CM ^ i.i I i i i t— CD CO CD i i i I i i i IJ CD + O | TCM CM CO + O I CD CM ^ ^ CM C M + O I + O ! CM CM CM CD CM + O I + O I CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY u.s. c PER FINE OUNCE u s - DOLLARS PER FINE 425 425 12.5 Kg BARS 410 410 395 395 380 380 365 365 350 350 335 335 320 j___I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I 1992 1994 I I I__ I__ I__ I__ I__ L 1996 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM CO o PERCENT PER ANNUM 8 7 6 5 4 3 2 9 8 7 6 5 4 3 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES ERCENT PER ANNUM 10 PERCENT PER ANNUK 9 8 7 6 5 4 U.S. CD’S 2 i i i I i i i I i i i I i i i 8 3 9 7 7 6 5 5 3 4 4 1 3 13 11 9 2 7 1 0 7 5 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 1 i 1.,.J „ J L - L L i —L-.-L L..1..1.■ 1 ..1 8 2 8 7-DAY 6 6 4 2 I I I 1 I I I I 1 I I 1 I I I 8 2 8 1-MONTH 6 6 4 4 2 2 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 +o I lo + DIFFERENTIAL \ yf ~ __ i__ i__ j__ L —1_ 1 1994 1996 1994 1 1 _J__ 1__ 1 1 1 1 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 DIFFERENTIAL +o I + o I T- r - r- I I I 1 I 1 \ I » I I I I I 1 CD cd ID to CO co CVJ T - cvj t— + o I +oI CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 8 10 UNITED KINGDOM UNITED STATES 9 7 8 6 7 i i J_L i i i 5 Li i i 10 6 9 CANADA 9 8 8 7 7 6 6 i i i l i i i l » i » 1 i « i 5 5 6 SWITZERLAND 5 4 4 3 3 8 I I I I I I I I I I I 1 I I I 2 8 7 7 6 6 5 5 1994 1996 1994 1996 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 1 3 -M a r-9 6 Chart l . 2 0 -M a r-9 6 2 7 -M a r -9 6 3 -A p r-9 6 1 0 -A p r-9 6 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 3.2903 73.587 19.819 67.604 0.06383 0.93409 60.442 83.856 152.51 3.2745 73.647 19.756 67.246 0.06387 0.92780 60.224 83.251 152.50 129.49 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 61.76 129.66 73.34 89.31 190.18 36.64 244.58 173.52 269.78 61.68 129.03 73.40 89.03 189.17 36.66 242.93 172.89 267.83 61.68 116.75 63.21 77.43 188.48 29.70 241.20 159.71 58.56 246.67 51.86 86.64 116.78 63.40 77.74 188.49 29.72 239.92 159.79 58.40 247.17 51.80 86.64 116.51 63.64 77.69 187.88 29.82 238.81 159.62 58.38 245.99 51.94 86.93 0.17 1.17 2.07 -4.38 5.06 2.24 3.66 -0.63 0.31 1.18 2.07 -4.35 4.88 2.26 3.64 -0.63 0.36 1.30 2.12 -4.39 4.98 2.38 3.71 -0.56 0.32 1.40 2.16 -4.18 5.06 2.48 3.69 -0.54 395.84 395.04 398.33 395.65 395.03 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 5.22 5.28 4.90 3.94 3.21 0.48 3.09 1.55 5.75 5.30 5.29 4.94 3.91 3.41 0.51 2.85 1.76 5.99 5.07 5.28 4.95 3.88 3.25 0.48 2.91 1.56 5.88 Spot Exchange Rates and Indices Noon buying rates (O.S. cents, weekly averages) Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U .K . pound 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. 0.06 1.12 2.04 -4.32 5.02 2.22 3.71 -0.73 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 116.89 63.12 77.51 188.76 29.74 242.08 159.85 57.77 247.13 51.87 86.44 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. 116.66 62.97 77.38 188.44 29.83 244.05 159.59 57.08 245.75 51.79 86.68 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 1 3 -M a r-9 6 Chart 5. 3 -A p r-9 6 1 0 -A p r-9 6 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 5.35 5.12 4.08 3.25 0.58 3.00 1.68 6.00 4.13 5.39 5.17 4.01 3.25 0.59 2.91 1.63 5.98 4.10 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 5.29 5.34 5.33 5.34 5.38 5.56 5.28 5.33 5.33 5.37 5.41 5.59 Euro-Dollar Deposit Rates Overnight 7-day 1 -month 3-month 6 -month 1-year Chart 7. 2 7 -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. 2 0 -M a r-9 6 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.20 5.24 -0.04 5.30 5.36 -0.06 5.28 5.22 0.06 5.29 5.30 -0.01 5.28 5.07 0.21 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.26 5.28 -0.02 5.31 5.33 -0.01 5.32 5.33 -0.01 5.34 5.35 -0.01 5.37 5.39 -0.02 Euro-dollar deposit Interbank sterling (London) , covered Differential 5.26 5.30 -0.04 5.31 5.37 -0.06 5.32 5.36 -0.04 5.34 5.43 -0.09 5.37 5.43 -0.07 U.S. commercial paper Canadian finance paper, covered Differential 5.29 5.36 -0.07 5.35 5.48 -0.13 5.36 5.43 -0.07 5.37 5.49 -0.12 5.40 5.49 -0.10 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.26 5.30 -0.04 5.31 5.33 -0.02 5.32 5.34 -0.02 5.34 5.39 -0.05 5.37 5.43 -0.06 Euro-dollar deposit Swiss interbank, covered Differential 5.26 5.39 -0.13 5.31 5.36 -0.05 5.32 5.40 -0.09 5.34 5.40 -0.06 5.37 5.33 0.04 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 7.62 6.57 6.41 3.10 4.02 6.41 8.13 6.32 7.74 6.60 6.40 3.16 4.02 6.38 8.07 6.54 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. 7.72 6.68 6.48 3.20 4.08 6.48 8.05 6.30 Stock Indices (Wednesday figures) Canada 164.91 165.33 167.34 166.20 France 157.12 158.27 162.50 165.16 Germany 128.73 132.16 132.95 133.56 Japan 115.25 118.70 122.47 124.43 Netherlands 185.65 190.15 191.73 193.73 Switzerland 298.53 304.05 310.06 305.75 212.32 United Kingdom 213.85 212.96 215.99 255.97 United States 251.31 255.89 258.63 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 166.87 167.12 132.78 126.26 194.98 303.58 216.85 250.63 to SBF250
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