Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 11, 1995

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Selected Interest &
Exchange Rates
Weekly Series of Charts

December 11, 1995

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
150

RATIO SCALE
MARCH 1973=100

120

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

100

BELGIAN FRANC

130

110

80

60

•

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l

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'

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1 I

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300
JAPANESE YEN
SWISS FRANC

260

220

180
100

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CANADIAN DOLLAR
80

85

U.K. POUND

65

60

'

40

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'

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1 I

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195
GERMAN MARK

DUTCH GUILDER

175 —

155

135
115

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'

ITALIAN LIRA

FRENCH FRANC

95

55

35
75

55

'




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1993

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1995

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1993

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1995

'

15

CHART 2

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

PERCENT PER ANNUM
4

2
U.K. POUND

GERMAN MARK

—

—

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JAPANESE YEN

CANADIAN DOLLAR

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l

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—

—

DUTCH GUILDER

SWISS FRANC
4

2

—

+

0
2
4

6
2
+

0

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i1 1 1 1 1 1
ITALIAN LIRA

FRENCH FRANC

2
4

6
8
10
12

1

1

1




1

1

1
1993

1

1

1

i1

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1995

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'
1992

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1994

I

CHART 3

PRICE OF GOLD IN LONDON
A V E R A G E S FOR W E E K E N D I N G 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 B A R S
AFTERNOON FIXING PRICE

400

400

380

380

360

360

340

340

320

J

I
1991




I

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1992

J

1
1993

1

1

I

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1994

I

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I

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1995

I

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANN

DENT PER ANNUM

10

7

6

5

8

SWITZERLAND
U.S. FEDERAL FUNDS

6

4

4

JAPAN

3

2

2

0

8

8

10

10

NETHERLANDS
6

6
GERMANY
4

4

2

2
9

16

FRANCE

14

8

12

7

CANADA

10

6
8
5

6
UNITED KINGDOM

4

4

2




3
1993

1995

1993

1995

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
10




9
CANADIAN FINANCE PAPER

WEIGHTED AVERAGE
FOREIGN RATE

U.S. CD'S

NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING

FRENCH INTERBANK RATE

JAPANESE CD RATE

GERMAN INTERBANK RATE

SWISS INTERBANK

1993

1995

1993

1995

CHART 6

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

8

OVERNIGHT

3-MONTH

6

4

2
8

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7-DAY

6-MONTH

6

4

2
8

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1-YEAR

1-MONTH
6

4

2

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1993

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1995

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1993

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CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
D I F F E R E N T I A L : R L U S ( + ) , F A V O R S B O R R O W I N G IN U . S .
A V E R A G E S FOR W E E K E N D I N G W E D N E S D A Y
PERCENT PER ANNUM
7

PERCENT PER ANNUM
7

OVERNIGHT
EURO-DOLLAR DEPOSITS

3-MONTH
EURO-DOLLAR DEPOSITS

r

9 0 - D A Y CD'S
DASHED LINE

FEDERAL FUNDS
DASHED LINE
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DIFFERENTIAL

DIFFERENTIAL

vU

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\ T T i ,

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A/vw

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1993

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1995

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1993

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1995

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CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
7

PERCENT PER ANNUM
7

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

6 —

U.S. COMMERCIAL PAPER
DASHED

EURO-DOLLAR DEPOSITS
DASHED LINE

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DIFFERENTIAL

DIFFERENTIAL

vy,,Vw

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INTERBANK DM
COVERED FRANKFURT

5

SWISS INTERBANK (SF) COVERED

—

EURO-DOLLAR DEPOSITS

^URO-DOLLAR DEPOSITS

DASHED LINE

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DASHED LINE

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DIFFERENTIAL

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DIFFERENTIAL

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1995

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
11

PERCENT PER ANNUM

9
UNITED KINGDOM

CANADA

SWITZERLAND

NETHERLANDS




FRANCE

JAPAN

GERMANY

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE

RATIO SCALE

1986=100
250 i

1986=100
220

UNITED STATES
230

UNITED KINGDOM

1

200

210

180

190

160

170

140

150
170
150

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120
170

GERMANY

JAPAN

150

130

130

110

110

90

70
210

90

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FRANCE

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70
190

CANADA

190

170

170

150

150

130

130

110

110

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90
190

300
260

SWITZERLAND

NETHERLANDS
170

220

150

180

130

140

100

110

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8-Nov-95
Chart 1.

15-Nov-9 5 22-Nov-95 29-Nov-95 6-Dec-95

Spot Exchange Rates and Indices

Noon buying rates (U.S. cents, weekly averages)
Belgian franc
0Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
,U.K. pound

3 .4341
73 .:984
20. 432
70 .634
0.06279
0.96852
63 .045
87 .724
157 .97

3.4383
73 .912
20 .506
70 .730
0.06269
0.98678
63 .146
87 .742
156 .28

3.4515
73 .929
20. 585
71 .011
0.06285
0.98542
63 .400
87 .855
155 .40

3 .3940
73 .836
20 .340
69 .796
0.06274
0.98445
62 .308
86 .482
154 .96

3.3735
73.250
20.046
69.388
0.06245
0.98739
61.955
85.446
153.68

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

135 .32
73 .74
92 . 07
198 . 70
36 . 04
253 .59
180 .99
282 .22
63 .89

136 . 01
73 .68
92 .76
199 . 76
36 .08
258 . 01
182 .01
282 .64
62 . 85

133 . 74
73 .59
91 .66
196 .34
36 . 01
257 . 76
178 . 87
278 .22
62 .68

132.93
73 . 01
90.33
195 .19
35 . 85
258.53
177 . 86
274.89
62.16

119 .50
61 .96
78 .78
193 .80
28 .42
247 .43
163 .57
57 .69
252 .47
51 .39
83 .83

118 .27
62 .34
78 .34
191 .41
28 .58
249 .08
161 . 75
58 .36
250 . 18
51 .62
84 .57

118.13
62.14
77.51
191.22
28.59
251.32
161 . 63
58 . 35
248.38
51.43
85 .11

-0 . 14
0 .23
1 . 87
-4 .69
5 .68
2 .07
3 .86
-0 .82

-0 .02
0 .37
1 . 89
-4 .54
5 .56
2 . 10
3 . 75
-0 .69

-0.10
-0.45
1 . 81
-4 . 65
5.48
2.03
3.58
-0.68

386 . 77

385 . 70

385 . 65

5 . 74
5 .69
5 . 87
5 .75
3 .90
0 .43
3 . 74
2 .03
6 .49

5 . 81
5 . 73
5 .89
5 .40
3 . 87
0 .44
3 . 69
2 .03
6 .85

5 .91
5 . 78
5 .89
5 . 15
3 .94
0 .46
3 . 65
2 .43
6 .93

135 .49
73 .67
92 .41
198 .97
35 .98
258 .37
181 .28
282 .28
63 .21

:
Weighted average exchange value indices , Mar. 1973=100
Belgian franc
0Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swedish krona
Swiss franc
( U . K . pound
U.S. dollar
Chart 2.

-0 . 16
-0 .40
1 . 79
-4 .72
5 . 75
1 .99
3 . 81
-0 . 79

-0 .14
-0 .18
1 .88
-4 .78
5 .70
2 .02
3 .88
-0 .81

Gold Price in London, Afternoon Fixing

^ U . S . dollars per fine ounce
Chart 4.

119 .24
62 .06
78 .60
193 .28
28 .39
248 .30
163 .17
56 .54
252 .59
51 . 81
84 .02

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.

119 .27
62 .22
78 .41
193 .30
28 .49
243 .56
163 . 14
56 .85
252 .91
52 . 51
84 .17

383 .28

386.97

Call Money Rates

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

•




5 . 71
5 .69
5 .82
6 .04
3 .94
0 .44
3 .66
2 .58
6 .55

5 . 74
5.75
5.93
5.28
4 .10
0.45
3 . 64
2.43
6 . 74

v-95
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 .75
6 .09
6 .14
3 .96
0 .56
3 .83
2 .05
6 .68
4 .99

5 .74
6 .03
5 .98
3 .90
0 .54
3 .79
1 .99
6 .62
4 .94

5 .73
6 .04
5 .48
3 .90
0 .53
3 .69
1 .94
6 .61
4.
, 85

5 .74
5 .91
5 .29
3 .86
0 .53
3 .64
1 .96
6 .53
4 .78

5 .68
5 .93
6 .16
3 .85
0 .53
3 .63
2 .08
6 .48
4 .89

5 .69
5 .71
5 . 72
5 . 75
,66
5.
, 60
5.

5 .69
5 .71
5 . 70
, 75
5.
5 . 64
5.
, 56

, 73
5.
5 . 73
.69
5.
5 . 75
.60
5.
5 . 54

, 78
5.
, 75
5.
, 74
5.
, 75
5.
5 . 59
5 .53

5 .75
,75
5.
, 84
5.
, 72
5.
,55
5.
.45
5.

Euro-Dollar Deposit Rates

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

15 -Nov-95 22 -Nov- 95 29 -Nov- 95 6-Dec-95

Selected

Euro-dollar & U.S. Mone]• Market Rates
5.
.69
.71
5.
-0 . 02

5.
.69
5 . 74
-0 . 05

5 . 73
5 .81
.
-0 .08
.

5 . 78
5 .91
.
-0 . 13

.75
5.
5 . 74
0 . 01

5 . 75
5 . 75
0 . 01

5 . 75
5 . 74
0 .01
.

5 . 75
5 . 73
0.
, 02

5 . 75
5 . 74
0 . 01

5.
, 72
.
5 .68
0 . 04

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

5 . 75
5 . 87
-0 . 12

5 . 75
5 . 79
-0 . 04

5 . 75
5 . 77
-0 .02

5 . 75
5 . 83
-0 .08
,

5 . 72
5 . 79
-0 . 07

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

5 .75
5 .92
-0 .17

5 . 74
5 .89
-0 . 14

5 . 72
5 .90
-0 .18

5 . 72
5 .89
-0 . 17

5 .69
5 .83
-0 . 14

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

5 .75
5 .77
-0 .02

5 . 75
5 .80
-0 .05

5 . 75
5 .79
-0 . 04

5 .75
5 .77
-0 .02

5 .72
5 .67
0 .05

Euro-dollar deposit
Swiss interbank, covered
Differential

5 .75
5 .88
-0 .12

5 . 75
5 .89
-0 . 14

5 . 75
5 .82
-0 .07

5 . 75
5 . 73
0 .02

5 .72
5 .67
0 .05

,52
7.
,97
6.
6 .32
.
2.
,92
3 . 65
6 .36
.
7.
, 72
5 .93
.

,34
7.
6 .90
.
6 .24
.
2 .82
,
3 .63
,
6 .26
,
7 .61
,
5 .88

7.
.15
6 .93
.
6..11
2.
.82
3 .65
.
6..13
7 .49
.
5 .68
.

Overnight Euro-dollar
U.S. federal funds
Differential

deposits

3-month Euro-dollar deposit
U.S. 9 0 day CD's, secondary market
Differential

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.
.57
7.
,20
6 .40
.
,94
2.
.81
3.
6 .48
.
7 . 84
5 .95
,

7 .61
7.
,10
6 ,34
.
2.
.89
3.
.69
6 .40
.
.
7 .80
5 .98
.

>)
Stock Indices (Wednesday figures)

155 .65
155 .25
151 .97
.51
152 ,
Canada
144 .70
145 .51
145 .02
144 .20
France
118 .08
120 . 75
117 .62
117 .52
Germany
109 .27
110 .73
106 .74
107 .97
Japan
170 .09
165 . 65
163 .21
161 .58
Netherlands
257 .63
262 .78
251 .12
251 .97
Switzerland
207 .56
206 .12
202 .57
200 .68
United Kingdom
238 .18
235 .03
232 .65
231 .97
United States
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



158 .13
142 .68
121 .32
114 .21
172 .10
264 .34
205 .47
243 .20
to SBF250

.•obiGov;/.

FEDERAL RESERVE statistical release
December 11, 1995

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

DECEMBER 8, 1995

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 ca'cle transfers payable in foreign currencies.

COUNTRY
^AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EUR0 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
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

Dec. 4

(CURRENCY UNITS PER DOLLAR)
Dec. 7
Dec. 6
Dec. 5

Dec. 8

0.7396
10.125
29.590
1.3662
8.3331
5.5760
1.2785
4.2900
5.0000
1.4385
237.75
7.7355
34.920
1.5890
1603.40
101.05
2.5335
7.6200
1.6120
0.6480
6.3430
151.20
1.4150
3.6635
769.40
123.000
54.100
6.5850
1.1686
27.310
25.150
1.5360

0.7384
10.110
29.530
1.3672
8.3332
5.5620
1.2825
4.2870
4.9690
1.4370
237.00
7.7360
34.870
1.5950
1598.10
101.42
2.5410
7.6800
1.6086
0.6465
6.3305
150.90
1.4132
3.6655
769.80
122.720
53.850
6.5480
1.1680
27.290
25.140
1.5410

0.7395
10.160
29.720
1.3658
8.3333
5.5925
1.2777
4.3140
4.9700
1.4449
237.50
7.7355
34.840
1.5935
1595.80
101.37
2.5400
7.6750
1.6168
0.6468
6.3660
151.80
1.4140
3.6663
769.70
123.100
54.100
6.5700
1.1690
27.300
25.150
1.5422

0.7390
10.168
29.700
1.3685
8.3335
5.5435
1.2762
4.3140
4.9705
1.4435
237.55
7.7345
34.840
1.5870
1591.00
101.40
2.5383
7.7100
1.6173
0.6470
6.3560
151.60
1.4140
3.6658
769.80
122.950
54.000
6.6480
1.1685
27.300
25.160
1.5353

0.7377
10.185
29.740
1.3756
8.3338
5.5940
1.2738
4.3340
4.9820
1.4465
237.70
7.7346
34.930
1.5843
1591.75
100.95
2.5380
7.7800
1.6200
0.6460
6.3650
151.95
1.4152
3.6686
769.70
123.250
53.900
6.6590
1.1687
27.300
25.170
1.5329

85.08

84.94

85.09

85.15

85.25

•VALUE IS U.S. DOLLARS
»*INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S.
DOLLAR AGAINST CURRENCIES OF OTHER G-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.