Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : August 15, 1994

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

August 15,1994

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
H.10 RELEASE
CHARTS
1. SPOT EXCHANGE RATE 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
U.S. MONEY MARKET RATES
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 order of 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
110
100

RATIO SCALE
MARCH 1973=100

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

145
135
125
115
105

90
80

95

BELGIAN FRANC

70

85
'

60

'

I

'

i

'

I

'

'

'

I

'

•

•

1

'

1

1

I

1

'

I

1

1

1

I

'

I

»

75
280
260

290
270
250

240

230

220

210

200

190

180

JAPANESE YEN

SWISS FRANC

160
'

•

I

'

•

•

l

•

•

•

l

i

i

i

•

1

'

1

1

1

1

'

•

'

»

l

i

i

i

140
100
90
80
70

U.K. POUND
CANADIAN DOLLAR
•

45
200

i

i

I

'

•

'

l

'

•

i

l

'

i

i

I

I

>

I

»

I

I

I

1

1

60
•

I

I

I

I

50

160

250
230
210

140

190

180

DUTCH GUILDER

120 —

'

100

•

I

i

i

170

GERMAN MARK
»

I

»

i

•

i

•

•

•

'

'

»

I

'

'

•

I

•

150
'

'

I

'

'

105
95

130
65
55

85

45

75
65 —
55

'

•




•

I

1

' 1
1992

35

ITALIAN LIRA

FRENCH FRANC
i

•

•

i

I

i

i
1994

i

'

I

I

I

•

I •
1992

I

I

'

•

I

I I
1994

25

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

2

2

U.K. POUND

GERMAN MARK

/

—

1

1

1

I

1

1

1

I

1

I

1

1

1

1

•

1

1

1

1

1

I

•

i

'

i

I

i

i

i

r./V

LA^A/1 Z
1

•

JAPANESE YEN

CANADIAN DOLLAR

1

'

1

1

1

1

/1v,

1 i

l

i

i

jt

i

i

i

i

i

i

i

i

v

-

1

1

1

1

1

i1

i

i

DUTCH GUILDER

SWISS FRANC

—

2

4
—

V*/
1

1

1

1

1

1

—

1 1

1

1

1

1 i

i

i

6
8
2

+

0

ITALIAN LIRA

FRENCH FRANC

2

2
6

4
6

10

8

14

10
12

•

i

i

I




i

• i
1992

i

i

i

i

I

i

i i
1994

I

I

I

I

I I
1992

I

I

I

I

I

I

I I
1994

18

CHART 3

PRICE OF GOLD IN LONDON
A V E R A G E S FOR W E E K ENDING W E D N E S D A Y

U.S. DOLLARS PER FINE OUNCE
420

U.S. DOLLARS PER FINE OUNCE
420

12.5 Kg BARS
AFTERNOON FIXING PRICE

400

400

380

380

360

360

340

340

320

J




I
1991

L

320
1992

1993

1994

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER AN

DENT PER ANNUM

10

8

SWITZERLAND
8
U.S. FEDERAL FUNDS

6

6

4
4

JAPAN
2

2
10

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

i

i

i

I

i

i

i

l

i

i

i

l

i

i

i

0
10

9

9

8

8
GERMANY

7

7

NETHERLANDS

6

6

5

5

4
16

i

i

i

l

i

i

i

14

l

i

i

i

I

i

i

i

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

4
14

12

FRANCE

12

10

CANADA

10

8

8

6

6

4
UNITED KINGDOM

4

2

•

•

'

l




•

'
•
1992

l

•

'

i

2

I

i

i
i
1994

i

i

I

i

i i
1992

I

i

i

i

l

i

i i
1994

0

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANh

3

ER( ENT PER ANNUM
12
WEIGHTED AVERAGE
FOREIGN RATE

10

CANADIAN FINANCE PAPER

8
6
U.S. CD'S

4

2
16

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

I

I

1

1

I

I

I

I

'

I

I

I

I

I

I

I

I

I

i

i

i

I

iV * i

U.K. INTERBANK STERLING

13

10

NETHERLANDS INTERBANK RATE

7

4

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

'

'

I

I

I

I

I

I

I

9

JAPANESE CD RATE

7

5
FRENCH INTERBANK RATE
3

1
10

i

i

i

I

i

i

'

I

i

i

i

I

i

'

i

i

i

I

i

i

i

I

8
6 —

SWISS INTERBANK
GERMAN INTERBANK RATE

4

2

'

'




'

I

I

I I
1992

I

•

I

•

I

'

' '
1994

1992

1994

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

10

10




3-MONTH

OVERNIGHT

7-DAY

6-MONTH

1-YEAR

1-MONTH

1992

1994

1992

1994

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

10

10

3-MONTH

OVERNIGHT

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

90-DAY CD'S

FEDERAL FUN

DASHED LINE

DASHED LINE

J

i

L_l

i

i

i

I—I—i

i

i

I

i

I

I




I

I

I

I

I

J

I

l — I — L

I

I

I

I—1
1994

DIFFERENTIAL

DIFFERENTIAL

jbfa

i

"Hhy—
I

I

I
1992

I

I

L—I—I—I—I—I—L
1994

I

I
1992

I

I

I

L

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

8

8

v

INTERBANK STERLING

6

•

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON

—

4 —

U.S. COMMERCIAL PAPER

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

'

I

I

I

I

I

I

I

I

I

I

I

xL

1

•

I

I

I

•

I

•

I

•

'

•

I

•

I

'

'

I

<

I

'

I

I

I

I

I

SWISS INTERBANK (SF) COVERED

INTERBANK DM

6 —

I

DIFFERENTIAL

DIFFERENTIAL

1

1

COVERED FRANKFURT

__

4 —

EURO-DOLLAR I

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

'

I

I

l

I

I

'

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

' • ' I ' l l

I

'

DIFFERENTIAL

DIFFERENTIAL
iI/Iaanu.. .

i

i




I

I

l

l
1992

l

I

l

l

i

I

I

I l
1994

i

i

I

i

i i
1992

I '

I

i

i i
1994

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANN I

PE iCENT PER ANNUM
9
UNITED STATES

11

UNITED KINGDOM

8

9
7
6

7

5
4

'

i

i

I

i

i

'

I

i

i

i

I

i

'

i

i

i

i

I

'

i

i

I

i

i

i

I

i

i

i

11

5
10

FRANCE

CANADA
10

8

9
8

6

7
6
8

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

•

i

i

l

i

i

i

I

i

i

i

I

i

i

4
7

JAPAN

SWITZERLAND
7

6

6

5

5

4

4

3

3

i

i

i

I

i

i

i

I

i

i

i

i

i

i

i

i

i

I

i

i

i

I

i

i

i

I

i

'

i

2
10

10

GERMANY

NETHERLANDS
9

9

8

8

7

7

6

6

5




i
1992

1994

i

i

l

i

i
1992

i

I

'

i

'

I

i

i
1994

i

5

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

220
— UNITED KINGDOM

UNITED STATES

ARAN

SWITZERLAND

'

'

'

l

i

i

i

l

'

i

i

I

i

i

i
CANADA

GERMANY

165

140
150
135

120

—I 120
100
105

80
210
195

•

i

i

l

i

i

i

l

'

'

'

l

i

'

i

I

I

I

I

I

I

'

I

I

I

I

I

I

90

i— NETHERLANDS

FRANCE

160

180

145

165

130

150
115
135
100

120
105

<

i

i




I

i

i
1992

'

I

i

'

i

I

•

i
1994

i

•

l

'

'
1992

'

I

i

i

i

l

i

i i
1994

85

13-Jul-94 20-Jul-94 27-Jul-94 3-Aug-94
Chart 1.
m

10-Aug-94

Spot Exchange Rates and Indices

Noon buying rates

(U.S. cents, weekly averages)

Belgian franc
Ganadian dollar
French franc
German mark
Italian lira
Japanese yen
^Netherlands guilder
Swiss franc
U.K. pound

3 .1323
72 .100
18.836
64.670
0.06504
1.02246
57.657
76.663
155.82

3.1194
72.459
18.743
64.275
0.06449
1.01471
57.291
76.134
155.63

3.0651
72.510
18.466
63.127
0.06326
1.01573
56.264
74.450
153.15

3.0707
72.143
18.500
63.231
0.06306
1.00129
56.327
74.784
153.75

3.0714
72.411
18.480
63.281
0.06324
0.99150
56.325
75.046
154.02

.43
123 .
71..86
.88
84 .
181,.92
.33
37 ,
.71
267 ,
165 .52
246 .64
63 .02

.92
122 .
.22
72 .
.46
84 ,
180,.81
37 .02
265 .68
164 .47
244 .93
62 .95

120..78
.27
72 .
.21
83 ,
177..58
36 .31
265 .95
161 .52
239 .51
61 .94

121..00
71..90
83..37
177..88
36 .20
.17
262 ,
161,.70
240 .59
62 .18

121..03
.17
72 .
83..27
178..01
36..30
.61
259 .
161,.70
241 .43
62 .30

111. 57
64 .29
74 .09
179 .49
30. 32
271. 80
152 .44
51. 06
224 .99
53 .65
89. 73

111. 88
63. 99
74 .31
180. 02
30. 24
267. 73
152 .76
51. 34
226. 23
53. 93
89. 83

111. 95
64. 27
74 .24
180. 26
30. 34
264 .89
152 .81
51. 34
227. 12
54 .05
89 .87

-l..29
-0..87
-0 .10
.
-3 .49
2 .66
-0 .11
0 .55
-0 .43

-1..19
-0..73
-0..20
-3 .56
.
2 .70
.
-0..14
0 .46
-0 .48

-1. 01
-0.,72
-0..22
.66
-3 .
.59
2.
-0..16
0..45
-0,.82

-0..83
-0..69
-0..18
-3 .71
.
2 .60
.
-0..18
0..50
-0 .72

384 .57

385 .54

386 .41

382 .68

378 .07

4 .30
4 .18
5 .59
5 .33
4 .89
2 .01
4 .86
3 .85
4 .66

4 .30
4 .13
5 .64
5 .31
4 .79
2 .04
4 .54
3 .88
5 .08

4 .28
4 .14
5 .23
5 .26
4 .84
2 .03
4 .70
3 .95
4 .90

4 .28
4 .20
5 .30
5 .28
5 .18
2 .05
4 .82
4 .06
4 .88

4 .26
4 .23
5 .16
5 .25
4 .88
2 .06
4 .84
3 .88
4 .65

Indices, March 1973 base rates = 100
Belgian franc
Canadian dollar
^ r e n c h franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound
I

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.

3-Month Forward Exchange Rate

ICanadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound
* Chart 3.

112 .44
63 .54
74 .48
181. 18
30. 61
268. 41
153 .74
50. 96
227 .83
54 .00
88. 58

Premium or Discount
-l..43
-0..82
0 .01
.
-3 .43
.
2 .86
,
-0 .04
0 .65
-0 .28

Gold Price in London, Afternoon Fixing
Fixing

U.S. dollars per fine ounce
Chart 4.

112 .48
62 .94
74 .57
181. 68
30 .77
269 .58
154 .16
51. 20
228. 57
53 .85
88. 17

Call Money Rates

U.S. federal funds
jDvernight Euro-dollar deposits
Canada
France
Germany
jJapan
Netherlands
Switzerland
United Kingdom




#

13-Jul-94 20-Jul-94 27-Jul-94 3-Aug-94
Chart 5.

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.

4 .79
6 .43
5 .64
,
4 .87
,
2 . 12
4 . 86
4 .16
.
5.
,13
4 .94

4 .66
6 .14
5 .52
4 .81
,
2 .13
,
4 .79
,
4 .11
.
5.
.12
4 .86

4 .69
6 . 12
5 .43
4 .85
,
2 .19
,
4 .80
.
4 .18
,
5 .16
.
4.
,86

4 .68
5 .88
5 .39
4 .88
2 .21
,
4 .83
.
4 .23
,
5 .48
.
4 .90
.

4 .75
5 . 68
5 .37
4 . 89
2 .28
,
4 . 88
4 . 19
5.
,51
4 .92

4 .18
4 .26
4 .46
4 .78
5 .20
5 .74

4 .13
4 .24
4 .40
4 .66
5 .10
5 .58

4 . 14
4 .19
4 .38
4 .70
5 .13
5 .65

4 .20
4 .19
4 .38
4 .71
5 .11
5 .61

4 .23
4 .23
4 .41
4 . 71
5 . 11
5 .64

Euro-Dollar Deposit Rates

Overnight
7-day
1-month
3-month
6-month
1-year
Chart 7.

10-Aug-94

3-Month Interest Rates

Selected Euro-dollar & XJ.i

Money Market Rates

Overnight Euro-dollar deposits
U.S. federal funds
Differential

4 .18
4 .30
-0 . 12

4 .13
4 .30
-0 .17

4 . 14
4 .28
-0 . 14

4 .20
4 .28
-0,.08

4 .23
4 .26
-0,.03

3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential

4 .78
4 .79
-0 .02
,

4 .66
4 .66
,
0 .00
,

4 .70
4 .69
0 . 01

4 .71
,
4 .68
,
.
0 .03

4 . 71
4 . 75
-0 .04
.

Euro-dollar deposit
Interbank sterling (London), covered
Differential

4 .78
.
4 .85
.
-0 .
.07

4 .66
.
4 .69
.
-0.,03

4 .70
.
4 .67
.
0..03

4 .71
.
4.
.65
0.,06

4 . 71
4 .78
-0. 07

U.S. commercial paper
Canadian finance paper, covered
Differential

4 .80
4 .98
-0 .18

4 .71
4 .83
-0. 12

4 .72
4 .91
-0. 19

4 .72
4 .86
-0 .15

4 .77
4 .84
-0. 07

Euro-dollar deposit
Interbank DM (Frankfurt), covered
Differential

4 .78
4 .88
-0. 10

4 .66
4 .71
-0. 05

4 .70
4 .65
0. 05

4 .71
4 .66
0. 05

4 .71
4 .71
0. 00

Euro-dollar deposit
Swiss interbank, covered
Differential

4 .78
4 .82
-0 .05

4 .66
4 .66
-0. 00

4 .70
4 .64
0. 06

4 .71
4 .69
0. 02

4 .71
4 .70
0. 02

9 .21
7 .50
6 .89
4 .31
,
5 .18
,
6 .99
,
8 .45
.
7 .41
.

8 .99
7,.32
6..75
4 .31
.
5..03
6..82
8..19
7.
,22

9 .22
7 .26
6,.79
4 .32
,
5 .01
.
6..86
8..29
7 .29
.

9 .21
7 .26
6 .84
4 .40
5 .05
6 .89
,
8..46
7 .15
.

9 .03
7 .39
6 .91
4 .57
,
5.
, 09
6..96
8 .42
.
7 .26

137.98
154.83
117.15
125.11
141.46
203.79
182.97

139.35
159.83
120.37
125.94
145.85
208.68
185.55

137.76
161.08
121.42
122.18
147.21
208.47
185.89

140.17
165.18
123 .60
125.02
152 .20
215.85
191.12
187.15

Chart 8.

Chart 9.

Interest Arbitrage, 3-Monti Funds

Long Term Government Bellwether Bond Yields
10-year maturity, where available

Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United States
Chart 10.

Stock Indices

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States




(Wednesday figures)
140.13
162.82
122 .18
125.64
150.84
217.27
192 .27
186.89
to SBF250

••oigo

FEDERAL RESERVE statistical release
August 15, 1994

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

AUGUST 12, 1994

The Board of Governors of the Federal Reserve System is advised that the Federal Reserve Bank of New York has certified
for customs purposes the following noon buying rates in New York City for cable transfers payable in foreign currencies:

COUNTRY
*AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
xlRELAND
ITALY
JAPAN
MALAYSIA
MEXICO
NETHERLANDS
*NEW ZEALAND
NORWAY
PORTUGAL
SINGAPORE
SOUTH AFRICA
SOUTH KOREA
SPAIN
SRI LANKA
SWEDEN
SWITZERLAND
TAIWAN
THAILAND
*UNITED KINGDOM
MEMO:
**UNITED STATES

MONETARY
UNIT
DOLLAR
SCHILLING
FRANC
DOLLAR
YUAN
KRONE
ECU
MARKKA
FRANC
D. MARK
DRACHMA
DOLLAR
RUPEE
POUND
LIRA
YEN
RINGGIT
PESO
GUILDER
DOLLAR
KRONE
ESCUDO
DOLLAR
RAND
WON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND
DOLLAR

Aug. 8

(CURRENCY UNITS PER DOLLAR)
Aug. 11
Aug. 10
Aug. 9

Aug. 12

0.7403
11.121
32.560
1.3800
8.6223
6.2180
1.2098
5.2010
5.4120
1.5803
238.69
7.7259
31.370
1.5270
1577.25
101.33
2.5815
3.3870
1.7754
0.6043
6.9065
160.61
1.5058
3.6130
805.90
129.990
49.250
7.7370
1.3315
26.481
25.060
1.5422

0.7410
11.132
32.600
1.3747
8.6203
6.2310
1.2082
5.2150
5.4170
1.5820
239.11
7.7260
31.373
1.5225
1584.00
101.20
2.5783
3.3870
1.7777
0.6002
6.9175
160.86
1.5058
3.6125
806.90
130.040
49.300
7.7860
1.3341
26.456
25.080
1.5385

0.7430
11.098
32.510
1.3753
8.6182
6.2225
1.2108
5.2075
5.4020
1.5772
238.32
7.7260
31.373
1.5210
1588.00
101.20
2.5813
3.4000
1.7723
0.5987
6.9055
160.42
1.5069
3.6130
808.00
130.070
49.280
7.7895
1.3270
26.465
25.060
1.5393

0.7455
11.101
32.530
1.3780
8.6162
6.2370
1.2096
5.2210
5.4080
1.5775
238.66
7.7270
31.370
1.5195
1595.00
100.85
2.5610
3.4050
1.7721
0.6000
6.9225
160.40
1.5065
3.6120
807.80
130.600
49.300
7.8745
1.3280
26.464
25.060
1.5395

0.7415
10.968
32.150
1.3819
8.6138
6.1805
1.2196
5.1815
5.3520
1.5585
236.34
7.7290
31.373
1.5190
1602.25
100.27
2.5565
3.4020
1.7508
0.5992
6.8580
160.11
1.5064
3.5900
807.50
130.500
49.230
7.8185
1.3095
26.452
25.020
1.5450

89.87

89.96

89.84

89.91

89.28

XVALUE IS U.S. DOLLARS
**INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER 6-10
COUNTRIES. MARCH 1973 = 100. WEIGHTS ARE 1972-76 GLOBAL TRADE OF EACH OF THE 10 COUNTRIES.
SERIES REVISED AS OF AUGUST 1978. FOR DESCRIPTION AND BACK DATA, SEE "INDEX OF THE
WEIGHTED-AVERAGE EXCHANGE VALUE OF THE U.S. DOLLAR: REVISION" ON PAGE 700 OF THE AUGUST
1978 FEDERAL RESERVE BULLETIN.
THIS RELEASE IS AVAILABLE ONLINE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL (202) 482-1986.
FOR INFORMATION ABOUT YOUR SUBSCRIPTION TO THIS RELEASE OR ABOUT RECEIVING IT IN DOCUMENT
FORM, PLEASE CALL PUBLICATIONS SERVICES AT THE FEDERAL RESERVE BOARD AT (202) 452-3244.