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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts August 19, 1996 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS SECTION 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 RAT10 SCALE MARCH 1973=100 320 280 240 200 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM lo + PERCENT PER ANNUM ro + O I + O I a) CO oo cr> CM Io + ^ ro ro M" CM 10 + CD + O I ro ^ CM .p* CO CM ro + O I Io + ^ cn CM ro T- CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. [ U.S. DOLLARS PER FINE OU .LARS PER FINE OUNCE 425 425 12.5 Kg BARS 410 410 395 395 380 380 365 365 350 350 335 335 320 J___I___L J— i— i— i_ _ I_ _ _ i_ _ i_ _ i_ _ I 1992 i_ _ i_ _ i_ _ I_ _ i 1994 i_ _ i I_ _ i i 1996 i 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM o I » I I I I I I I 1 I I I I I PERCENT PER ANNUM CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 8 OVERNIGHT 3-MONTH 6 4 2 8 7-DAY 6-MONTH 6 4 J__L 1 2 8 1-YEAR 1-MONTH 6 4 1 1J -1- 1 i i i I i i i l i * i 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 Io + IO + DIFFERENTIAL ■w * '*"-Aii / W w *nn */• J__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I___I__ I__ I__ I ! 1994 1996 1994 1996 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY lo + PERCENT PER ANNUM cn cn co 10 + -*-r\o GO IO + -FV Ol <T> "-J -*■ l ° + PERCENT PER ANNUM CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM tn cji PERCENT PER ANNUM CO 00 CHART 10 STOCK INDICES WEEKLY SERIES 1986= DO 290 270 UNITED STATES 250 230 210 190 190 170 1_l_L_1...L...1 J 170 200 180 GERMANY 150 190 170 160 150 140 130 120 110 100 90 80 240 I I I 70 220 220 200 200 180 180 160 160 140 140 120 120 380 220 340 200 300 180 260 160 220 140 180 120 140 100 100 1 7 - J u l -9 6 Chart 1. 2 4 - J u l -9 6 3 1 -J u l-9 6 7 -A u g -9 6 1 4 -A u g -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 3.2222 72.953 19.592 66.347 0.06536 0.91065 59.094 80.626 155.19 3.2612 73.032 19.847 67.221 0.06600 0.92588 59.896 82.437 154.99 3.2809 72.801 19.930 67.611 0.06561 0.92467 60.209 82.953 155.60 3.2759 72.787 19.856 67.540 0.06587 0.93406 60.178 83.027 154.45 3.2766 72.829 19.751 67.544 0.06589 0.92677 60.186 83.008 154.95 126.97 72.71 88.29 186.64 37.52 238.44 169.65 259.39 62.77 128.51 72.79 89.44 189.10 37.88 242.43 171.95 265.21 62.69 129.28 72.56 89.81 190.20 37.66 242.11 172.85 266.87 62.94 129.09 72.55 89.47 190.00 37.81 244.57 172.76 267.11 62.47 129.11 72.59 89.00 190.01 37.82 242.66 172.78 267.05 62.67 116.15 62.52 78.03 188.01 30.54 236.63 158.76 58.89 243.87 52.83 86.40 115.98 62.51 77.71 187.79 30.67 239.33 158.68 58.76 244.11 52.40 86.40 116.16 62.64 77.36 188.09 30.72 237.58 158.92 58.37 244.37 52.66 86.54 0.96 1.93 2.34 -2.87 5.07 2.63 3.05 -0.13 1.01 1.87 2.32 -3.09 5.18 2.53 3.13 -0.12 1.10 1.71 2.24 -3.10 5.09 2.49 3.20 -0.23 1.21 1.43 2.16 -3.40 5.07 2.44 3.23 -0.34 383.34 384.59 384.92 387.77 387.31 5.23 5.18 4.72 3.56 3.26 0.46 2.95 2.04 5.73 5.25 5.15 4.62 3.51 3.23 0.47 2.61 2.21 5.68 5.53 5.21 4.57 3.50 3.06 0.46 2.69 2.28 5.84 5.38 5.20 4.53 3.50 3.25 0.47 2.76 2.06 5.63 5.12 5.14 4.33 3.50 3.23 0.40 2.88 2.15 5.48 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 Ge.uiu. mark Italian lira Japanese yen Netherlands guilder Swedish krona Swiss franc U .K . pound U.S. dollar Chart 2. 0.85 1.84 2.30 -3.20 5.17 2.53 3.02 -0.06 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 115.64 62.86 77.82 187.12 30.79 237.46 158.18 58.92 242.77 52.71 86.60 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. 115.20 63.36 77.43 186.08 30.75 235.29 157.32 58.66 239.34 53.28 87.53 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 17 -Jul-96 24 -Jul-96 31 -Jul-96 7 -Aug-96 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. 5.55 4.83 3.75 3.30 0.66 3.09 2.59 5.68 3.96 5.52 4.70 3.65 3.27 0.72 2.95 2.49 5.69 3,89 5.54 4.64 3.68 3.27 0.71 3.01 2.44 5.71 3.90 5.43 4.51 3.72 3.27 0.70 2.97 2.28 5.72 3.88 5.40 4.36 3.95 3.26 0.64 2.96 2.23 5.75 3.90 5.18 5.26 5.33 5.51 5.75 6.08 5.15 5.24 5.24 5.43 5.71 5.98 5.21 5.25 5.29 5.53 5.74 6.05 5.20 5.27 5.31 5.46 5.61 5.87 5.14 5.24 5.27 5.41 5.54 5.73 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month l-year Chart 7. 14 -Aug-96 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.18 5.23 -0.05 5.15 5.25 -0.10 5.21 5.53 -0.32 5.20 5.38 -0.18 5.14 5.12 0.02 3 -month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.51 5.55 -0.04 5.43 5.52 -0.08 5.53 5.54 -0.02 5.46 5.43 0.02 5.41 5.40 0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.51 5.62 -0.11 5.43 5.56 -0.13 5.53 5.59 -0.06 5.46 5.48 -0.03 5.41 5.41 -0.00 U.S. commercial paper Canadian finance paper, covered Differential 5.55 5.69 -0.13 5.51 5.67 -0.15 5.53 5.66 -0.13 5.46 5.63 -0.16 5.41 5.58 -0.17 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.51 5.62 -0,11 5.43 5.63 -0.20 5.53 5.60 -0.08 5.46 5.53 -0.08 5.41 5.44 -0.04 Euro-dollar deposit Swiss interbank, covered Differential 5.51 5.63 -0.12 5.43 5.56 -0.12 5.53 5.58 -0.06 5.46 5.50 -0.04 5.41 5.47 -0.06 7.66 6.42 6.40 3.31 4.18 6.35 7.91 6.80 7.68 6.41 6.39 3.27 4.20 6.34 7.90 6.87 7.35 6.38 6.31 3.25 4.13 6.25 7.81 6.56 7.28 6.39 6.28 3.17 4.10 6.24 7.79 6.53 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. 7.74 6.56 6.53 3.30 4.22 6.48 7.93 6.86 Stock Indices (Wednesday figures) Canada 164.62 162.63 164.26 167.68 France 157.86 160.51 160.78 160.82 Germany 129.89 130.56 132.23 133.49 Japan 119.60 122.92 119.81 118.60 197.07 190.73 195.07 202.49 Netherlands 290.27 291.97 305.71 Switzerland 305.80 208.92 210.93 216.29 United Kingdom 207.82 247.06 251.93 United States 250.02 260.55 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 167.76 160.05 133.96 120.21 200.70 305.24 217.23 259.92 to SBF250
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