Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : August 8, 1994

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Selected Interest &
Exchange Rates
Weekly Series of Charts

August 8,1994

DIVISION O F
INTERNATIONAL FINANCE

Prepared by the

BOARD O F G O V E R N O R S
FEDERAL RESERVE SYSTEM

FINANCIAL MARKETS
SECTION




Washington, DlC. 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

RATIO SCALE
MARCH 1973=100
145
135
125

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

115
105
95

BELGIAN FRANC

85

i

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I

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•

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'

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'

'

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i

75
280
260
240
220
200

i

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I

i

i

180

JAPANESE YEN

SWISS FRANC

160

i

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•

'

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I

•

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'

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l

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'

i

140
100
90
80
70

U.K. POUND

60

CANADIAN DOLLAR

i

i

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I

I

» I

I

I

I

'

I

'

I

50
250
230
210
190
— I 170

DUTCH GUILDER

i

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i

GERMAN MARK

i

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l

'

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l

1

i

i

I

i

150

i

i

l

i

i

i

130
65
55
45

35
—

ITALIAN LIRA

FRENCH FRANC

•

'

i




I

i

•
1992

'

I

i

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I

i

i
1994

'

i

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» I

i

i
1992

i

l

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I

i

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1994

i

25

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
2

PERCENT PER ANNUM
2
U.K. POUND

1
CANADIAN DOLLAR

1

1

I

1

1 >1

1

1

1

1

1

1

1

1

JAPANESE YEN

z1
SWISS FRANC

1

1

1

1

1

1

1

1

1

1

1

1

1

1

DUTCH GUILDER

2
4
6
1
+

0

FRENCH FRANC

1

1

1

1

1

1

1

1

1

1

1

1

1

1

ITALIAN LIRA

8
2
2

2
4

6

6

10

8
14

10
12

i

i

i




I

i

i
1992

i

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i

'

'

l

i

'
1994

i

'

'

I

•

'
1992

'

'

•

I

I

I

I

I
1994

I

I ,8

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
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

1991




J

L _1
1992

L

J

L
1993

1994

320

CHART4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
8




PERCENT PER ANNUM
10
SWITZERLAND
U.S. FEDERAL FUNDS

JAPAN

GERMANY
NETHERLANDS

FRANCE

CANADA

UNITED KINGDOM

1992

1994

1992

1994

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANI

ENT PER ANNUM

13

12
WEIGHTED AVERAGE
FOREIGN RATE

10

11
CANADIAN FINANCE PAPER

8

9

6

7
U.S. CD S
5

4

2
16

l

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I

I

'

I

» I I I

I

I

I

U K. INTERBANK STERLING

13

9

7

10

NETHERLANDS INTERBANK RATE

7

4
9

3
11

I

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» I

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'

5

» i

I

» i

JAPANESE CD RATE

7

3
13

11

9

5
FRENCH INTERBANK RATE

7

3

I

I

l

I

I

l

l

I

l

l

l

I

l

l

l

I I I I I I I I 1 1 I I I T I

10

5
12

8

10

1

6

8

SWISS INTERBANK
GERMAN INTERBANK RATE

6

4
1

2

'

'




I

1

» i
1992

I

'

'

'

I

'

'
1994

'

i

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I

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i i
1992

I

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I

'

i i
1994

4

CHART 6

EURO-DOLLAR DEPOSIT RATES L O N D O N
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANN

ENT PER ANNUM

10

10

3-MONTH

OVERNIGHT

8

8

6

6

4

4

2
10

•» » ' ' ' • » ' ' ' l ' ' '
•

I

I

I

I

« 1 1 I

I I

I

I I

1

6-MONTH

7-DAY

2
10

8

8

6

6

4

4

2
10

i

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'

1

'

1

1

I » I

1

I '

'

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I

1

1

'

2
10

1-YEAR

1-MONTH

8

8

6

6

4

4

2

I

I

I




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2

CHART7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S.
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
10

PERCENT PER ANNUM
10

3-MONTH
EURO-DOLLAR DEPOSITS

OVERNIGHT
EURO-DOLLAR DEPOSITS

FEDERAL FUN
DASHED LINE

J—i

1

i

L-i

90-DAY CD'S
DASHED LINE

i

i

I

i i

i

I

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i

i—I—I—I

I

l

DIFFERENTIAL

—

J

i—J




I

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i
1992

i

L

I

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»

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I

DIFFERENTIAL

•fr,.

YIYYVJ

j\h

I

J

I

I

L _ L
1994

J—I—J—I

I

I
1992

I

I

I

1994

CHARTS

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

PERCENT PER ANNUM

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

U.S. COMMERCIAL PAPER
DASHED LINE

EURO-DOLLAR DEPOSITS
1
DASHED LINE

2
1
DIFFERENTIAL

DIFFERENTIAL

1

1
8

6

INTERBANK DM
COVERED FRANKFURT

— %

S

W

,

S

S

,NTERBANK

(SF) COVERED

4

EURO-DOLLAR DEPOSITS1
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

2
1
DIFFERENTIAL

DIFFERENTIAL

+
0

1




1992

1994

1992

1994

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
9 ,
UNITED STATES

PERCENT PER ANNUM
1 11

UNITED KINGDOM

8

i

4
11

i

i

1

l

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1

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1

•

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CANADA

'

I

» I

• » I i i

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1

1

•

'




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•
10

i i i i i

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JAPAN

» '

I

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•

I

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•

'

NETHERLANDS

'

I

FRANCE

SWITZERLAND

3
10

I

» I
1992

'

'

•

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'

'

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1992

I

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1994

GERMANY

» I

I

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•

I

•

•
1994

»

I

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I

2
10

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100
220
UNITED STATES
200

210

— UNITED KINGDOM

190

180
170
160
150
140
130
120

i

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•

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»

I

«»

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l

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110
160

ARAN

SWITZERLAND

140

120

100

•

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I

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'

'

i

» i

i

•

i

i

I

i

i

i

I

i

i

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l

i

i

80

180

CANADA

GERMANY

165

140

150
135

120

120
100
105

80
210
195

i

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•

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*

i

i

• NETHERLANDS

FRANCE

90
160
145

180
165

130

150
115
135
100

120
105

•

» •




I

•

•
1992

'

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» •

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•
1994

•

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1992

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1994

'

85

6-Jul-94
Chart 1.

13-Jul-94 20-Jul-94 27-Jul-94 3-Aug-94

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 .0631
72 .219
18 .425
63. 191
0.06355
1.01492
56. 329
75. 220
154 .48

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

120 .70
71 .98
83 .03
177 .76
36 .48
265 .74
161 .71
241 .99
62 .48

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

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

120.78
72.27
83.21
177.58
36.31
265.95
161.52
239 . 51
61.94

121.00
71.90
83.37
177.88
36.20
262.17
161.70
240.59
62.18

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

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

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.

-1 .57
-0 .79
-0 .13
-3 .62
2 .87
-0 .12
0 .56
-0 .31

-1 .43
-0 .82
0 .01
-3 .43
2 .86
-0 .04
0 .65
-0 .28

-1 .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
-3 .66
2.59
-0.16
0.45
-0.82

386 .45

384 .57

385 .54

386.41

382.68

4 .38
4 .26
5 .63
5 .33
5 .14
2 .00
,
4 .90
,
3 .97
,
4 .98
,

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 .29
4.20
5.30
5.28
5.18
2.05
4 .82
4.06
4.88

Gold Price in London, Afternoon 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

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.

111 .37
63 .94
73 .82
179 .48
30 .43
271 .24
152 .46
51 .01
227 .14
54 .10
89 .62

Call Money Rates

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




6 -Jul-!94
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.

4 .78
6 .62
5 .50
4 .91
2 .11
4 .93
4 .19
5 .11
4 .91

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 .26
4 .39
4 .49
4 .80
5 .18
5 .74

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

Euro-Dollar Deposit Rates

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

13 -Jul -94 20-Jul -94 27-Jul -94 3 -Aug-94

Selected Euro-dollar & U.S. Money Market Rates

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

4 .26
4 .38
-0 .12

4 .18
4 .30
-0 .12

4 .13
4 .30
-0 .17

4 .14
4 .28
-0 .14

4 .20
4 .29
-0 .09

4 .80
4 .78
0 .02

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 .80
4 .80
0 .00

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 .77
5 .02
-0 .25

4 .80
,
4 .98
.
-0 .18

4 .71
4 .83
-0 .12

4 .72
4 .91
-0 .19

4 .72
4 .86
-0 .15

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

4 .80
4 .78
0 .02

4 .78
,
4 .88
,
-0,.10

4 .66
,
4 .71
,
-0 .05

4 .70
4 .65
0 .05

4 .71
4 .66
0 .05

Euro-dollar deposit
Swiss interbank, covered
Differential

4 .80
4 .75
0 .05

4 .78
.
4 .82
.
-0..05

4 .66
4 .66
-0,.00

4 .70
4 .64
0 .06

4 .71
4 .69
0 .02

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

3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential
Chart 8.

Interest Arbitrage, 3-Month Funds

Euro-dollar deposit
Interbank sterling (London), covered
Differential
U.S. commercial paper
Canadian finance paper, covered
Differential

Chart 9.

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

9 .24
7 .57
,
,
7 .00
4 .28
,
,
5 .20
,
7 .08
8,. 61
7 .33
,

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

(Wednesday figures)

Canada
134 ,
.74
137..98
139 .
.35
137..76
France
149 .
154 ..83
.82
159 ..83
161..08
Germany
116 .
,71
117 ..15
120.,37
121..42
Japan
126..33
125.,11
125 .,94
122 .
.18
Netherlands
141.,46
141,.95
145 .,85
147 .
.21
Switzerland
203 ..79
216,.64
208 .,68
208,.47
United Kingdom
178 ,
182 .
.97
.88
185 .,55
185..89
United States
182 ..20
181..24
183 ..56
183 .
.67
Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General spliced
at 22dec94, FAZ Aktien, Tokyo SE (Topix), CBS All-General, Swiss Bank Index,
Financial Times Ordinary, NYSE Composite



140 .17
165 .
,18
123 .
.60
125 .02
152 .20
215 .85
191..12
187 ,
.15
to SBF250

.-voiS&:..

FEDERAL RESERVE statistical release
H.10(512)

August 8, 1994

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

AUGUST 5, 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:
MONETARY
UNIT

Aug. 1

^AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA/P.R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
"IRELAND
ITALY
JAPAN
MALAYSIA
MEXICO
NETHERLANDS
*NEW ZEALAND
NORWAY
PORTUGAL
SINGAPORE
SOUTH AFRICA
SOUTH KOREA
SPAIN
SRI LANKA
SWEDEN
SWITZERLAND
TAIWAN
THAILAND
•UNITED KINGDOM

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

0.7375
11.100
32.490
1.3885
8.6369
6.2126
1.2118
5.2083
5.3935
1.5775
238.58
7.7255
31.373
1.5250
1589.00
99.35
2.5943
3.4005
1.7705
0.6025
6.8898
160.54
1.5075
3.6550
805.80
129.800
49.000
7.7736
1.3315
26.540
24.970
1.5368

MEMO:
^UNITED STATES

DOLLAR

COUNTRY

89.69

(CURRENCY UNITS PER DOLLAR)
Aug. 2
Aug. 3
Aug. 4
0.7345
11.113
32.520
1.3896
8.6341
6.2135
1.2114
5.2205
5.4000
1.5793
238.78
7.7253
31.373
1.5165
1583.75
100.37
2.5890
3.3860
1.7737
0.6025
6.8990
160.87
1.5075
3.6500
806.00
130.160
49.200
7.7380
1.3340
26.600
25.030
1.5378
89.83

0.7325
11.125
32.560
1.3883
8.6314
6.2150
1.2107
5.2145
5.4060
1.5810
240.38
7.7255
31.375
1.5170
1574.00
100.42
2.5755
3.3800
1.7754
0.6003
6.9065
161.23
1.5070
3.6380
805.80
130.240
49.200
7.7100
1.3350
26.570
25.040
1.5395
89.80

0.7355
11.128
32.570
1.3869
8.6288
6.2225
1.2079
5.2200
5.4120
1.5815
239.03
7.7258
31.375
1.5195
1580.50
100.20
2.5680
3.3800
1.7763
0.6025
6.9150
161.12
1.5075
3.6220
805.90
130.140
49.100
7.7380
1.3355
26.570
25.030
1.5387
89.85

Aug. 5
0.7415
11.133
32.550
1.3882
8.6255
6.2210
1.2100
5.2145
5.4140
1.5803
238.77
7.7262
31.375
1.5270
1577.00
100.37
2.5730
3.3810
1.7754
0.6040
6.9110
160.53
1.5061
3.6225
805.80
129.930
49.350
7.7400
1.3345
26.510
25.040
1.5425
89.81

•VALUE 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.