Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 26, 1995

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

December 26, 1995

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
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

80

110

i

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I i

i

i

I » i

'

i

» '

l

» '

» l

» » '

l

'

• '

JAPANESE YEN

SWISS FRANC

CANADIAN DOLLAR

80

85

U.K. POUND

60

65

'

40
195

i

l

» i

i

l

i

'

i

l

i

i

i

I

1

I 1

I

I

I

I I

I

I I I

195

155

135
115

45
215

GERMAN MARK

DUTCH GUILDER

175

I

175

i

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i

I 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

ITALIAN LIRA

FRENCH FRANC

95

i

155
75
55

35
75

55

I I I




I

1

1993

» I

1

1

» I

1

1

»

1995

I I » I I I I I I I I I I I I
1993

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

/

—

1

1

1

I

1

1

1

I

—

1 I

I

1 i

i

I

0—
CANADIAN DOLLAR

1

1

1

1

1

1

JAPANESE YEN

1

1

i

/

l1

l

\

1 I

l

I

' I '

I

3—
SWISS FRANC

DUTCH GUILDER

—

4

— 6
I T I

1

I I

1

1

M

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I




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'

1

1

1

"Vt

FRENCH FRANC

I

l

I
1993

I

I

I

I

I I

I

I
1995

I

'

'

'

l

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'

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i

ITALIAN LIRA

t I I I I » « I I I '
1992

1994

I • ' I

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 —

—

J

320
1991




I

l _ l
1992

I

L
1993

I

J
1994

1—1

I

I
1995

L

340

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
7

PERCENT PER ANNUM
10

SWITZERLAND
U.S. FEDERAL FUNDS

JAPAN

NETHERLANDS

GERMANY

FRANCE

CANADA

UNITED KINGDOM

1993




1995

1993

1995

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
CANADIAN FINANCE PAPER

WEIGHTED AVERAGE
L FOREIGN RATE

U.S. CD'S

3

2
12
NETHERLANDS INTERBANK RATE
10
U.K. INTERBANK STERLING

8

6

4 —L

3

6 P—

4

FRENCH INTERBANK RATE

JAPANESE CD RATE

2

0
11
GERMAN INTERBANK RATE

9
7

SWISS INTERBANK

5
3
1




1993

1995

1993

1995

3

CHART 6

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

PERCENT PER ANNUM

8 I —




8
OVERNIGHT

3-MONTH

7-DAY

6-MONTH

1-MONTH

1-YEAR

1993

1995

1993

1995

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

7

7

3-MONTH

OVERNIGHT

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

90-DAY CD'S
DASHED LINE

FEDERAL FUNDS
DASHED LINE

DIFFERENTIAL

v

\ - U r A

1

v

1




;
H A

1

DIFFERENTIAL

r rV

l

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i
1993

l

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K /

V i V ' ^

i

u

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i
1995

tjy f\

J

J

1

1

1

I

.,S

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1993

I

I

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I

»

•
1995

CHART 8

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

PERCENT PER ANNUM

7

6

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING

—

COVERED LONDON

U.S. COMMERCIAL PAPER
DASHED

EURO-DOLLAR DEPOSITS
DASHED LINE

i

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'

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1 I I I I « 1 I I I

I I I

DIFFERENTIAL

DIFFERENTIAL

N
'

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1

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1

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I I I I

INTERBANK DM
COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS
^

^URO-DOLLAR DEPOSITS

DASHED LINE

DASHED

I

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DIFFERENTIAL

DIFFERENTIAL

\/^vsywsw/

1 I I

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1993

I

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I I I
1995

• '

« I » • • I • • '
1993

I » • • I1
1995

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
^CENT PER ANNUM

PERCENT PER ANNl

9

11

UNITED STATES

UNITED KINGDOM
10

8

9
7

8
6
7
5
10

6
10

FRANCE

CANADA

9

9

8
8
7
7

6
6
8

5

SWITZERLAND

6

JAPAN

7
5

6
4
5
4

3

3
9

2
9

NETHERLANDS

GERMANY

8

8

7

7

6

6

5

i

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1993

I i

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1995

i

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• • I '

• • I '
1993

'

• I • •
1995

5

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

250

220
UNITED KINGDOM

230 |—
210 —

I

I
GERMANY

I

I

I

I

I

I

I

I

JAPAN

FRANCE

CANADA

I
SWITZERLAND




I I

1993

I

I

I

I

I

I

I I

I I

NETHERLANDS

1995

1993

1995

22-Nov-95 29-Nov-95 6-Dec-95
Chart 1.

13-Dec-95 20-Dec-95

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

3.4515
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

3.3622
72.625
20.040
69.161
0.06267
0.98708
61.769
85.385
153.38

3.3839
72.751
20.224
69.606
0.06266
0.98233
62.153
86.587
153.95

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

.74
133 .
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
.16
62 ,

132 .49
72 .38
90 .30
194 .56
35 .97
258 .45
177 ,
.33
274 ,
.69
62 .04

133 ,
.34
72 ,
.51
91,.13
195,.81
35,.96
257 .21
.43
178 ,
278,.56
62 ,
.27

118 .
.13
.14
62 .
77 .
.51
191..22
28..59
251..32
161..63
58..35
248..38
51..43
85..11

118 .00
61 .72
77 .67
190 .99
28 .77
251 .87
161 .50
57 .17
248 .77
51 .45
85 .35

118 ,
.36
61,.60
78..16
191..65
28..65
249..53
161,.97
57,.79
251,.47
51,.46
84,.97

-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

-0 .21
0 .00
1 .79
-4 .61
5 .47
2 .02
3 .62
-0 .68

-0 .14
0 .33
1 .80
-4 .70
5 .44
2 .10
3 .83
-0 .72

385.70

385.65

386.97

388.52

386.96

5.81
5.73
5.89
5.40
3.87
0.44
3.69
2.03
6.85

.91
.78
.89
.15
.94
0.46
3.65
2.43
6.93

75
75
93
28
10
45
64
2.43
6.74

73
74
95
13
98
0.43
3.68
2.13
6.61

ND
5.65
5.94
4.94
3.76
0.41
3.35
1.43
6.56

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

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

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

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

Call Money Rates

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




ov- 95 29 -Nov- 95 6-Dec-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. 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 .67
5. 99
5. 73
3.
,88
0..52
,65
3.
2.
,04
6.,44
4.
,84

5. 65
5. 99
5.,19
.78
3.
0..50
3..52
1..83
6..39
.71
4.

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

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

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

5.,74
5..75
.81
5.
5..69
5..53
.43
5.

5..65
5..68
5..77
5,.67
5..53
.47
5.

Euro-Dollar Deposit Rates

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

13-Dec- 95 20-Dec- 95

Selected Euro-dollar & U.S. Mone} • Market Rates
5. 73
5. 81
-0. 08

5 .78
5 .91
-0. 13

5 .75
5 .75
0 .00

.74
5.
5.,73
0.
.01

5..65
ND
ND

,75
5.
,73
5.
0..02

5 .75
5. 74
0. 01

5 .72
5 .68
0 .04

5.
.69
5..67
0..02

5 .67
,
5..65
0..02

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

.75
5.
.77
5.
.02
-0 .

5 .75
5 .83
-0. 08

5 .72
5 .79
-0 .07

.69
5.
.75
5.
-0..06

.67
5.
5 .67
,
-0..00

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

5..72
5..90
.18
-0 .

5 .72
5 .89
-0. 17

5 .69
5 .83
-0 .14

5.
.65
.77
5.
-0..13

5 .64
,
5,.85
-0..21

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

.75
5.
.79
5.
-0,.04

5 .75
5 .77
-0.,02

5 .72
5 .67
0 .05

5..69
5.
.69
0..00

5,.67
5..60
0,.06

Euro-dollar deposit
Swiss interbank, covered
Differential

.75
5.
5..82
-0..07

5.,75
5.,73
0.,02

5 .72
5 .67
0 .05

5,.69
.67
5.
0..02

5,.67
5 .67
,
-0..00

7 .34
,
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

7 .30
,
6 .82
,
6 .09
2 .78
,
3 .76
6 .13
7 .40
5 .72

7 .33
.
6 .73
.
6 .07
,
2 .81
,
3 .76
,
6 .09
7 .44
5 .78

Overnight Euro-dollar deposits
U.S. federal funds
Differential
3-month Euro-dollar deposit
U.S. 90-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
7.
.52
6 .97
.
6..32
2 .92
,
3 .65
,
6 .36
7 .72
,
5 .93
,

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

Stock Indices

(Wednesday figures)

158 ,
156 ,
.57
.13
155..25
155,.65
Canada
142 ,
.04
.70
142 ,
.68
France
145..51
144 ,
121,.32
122 ,
.11
118..08
120..75
Germany
.27
114 ,
.21
115 .53
110..73
Japan
109 ,
172 ,
.10
172 ,
.37
165..65
170 .
.09
Netherlands
264 .34
264 ,
.81
257..63
262 ,
.78
Switzerland
205..52
207 ,
205,.47
.56
United Kingdom
206 .12
243 .20
243..45
235 .03
238 .18
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



155 .96
ND
121 .25
116,.83
172 .
.42
264 .
.03
204 .
.28
237..90
to SBF250

FEDERAL RESERVE statistical release
H.10(512)

December 26, 1995

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

DECEMBER 22, 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 cable 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. 18
0.7405
10.078
29.450
1.3761
8.3380
5.5510
1.2800
4.3175
4.9300
1.4310
237.05
7.7350
34.990
1.5940
1596.50
101.70
2.5442
7.7550
1.6035
0.6525
6.3325
150.45
1.4139
3.6640
771.80
122.100
53.400
6.6050
1.1485
27.350
25.150
1.5390

84.81

(CURRENCY UNITS PER DOLLAR)
Dec. 19
Dec. 20
Dec. 21
0.7408
10.110
29.600
1.3770
8.3376
5.5730
1.2770
4.3330
4.9430
1.4385
238.50
7.7345
34.980
1.5935
1596.25
101.85
2.5425
7.6900
1.6093
0.6525
6.3535
150.72
1.4145
3.6680
771.50
122.100
53.790
6.6240
1.1535
27.340
25.160
1.5420

85.01

0.7410
10.149
29.640
1.3675
8.3374
5.5910
1.2740
4.3675
4.9550
1.4419
238.90
7.7350
34.980
1.5865
1593.40
102.00
2.5440
7.5500
1.6155
0.6523
6.3700
151.20
1.4150
3.6640
771.70
122.460
53.700
6.6490
1.1567
27.340
25.180
1.5373

85.11

0.7415
10.130
29.580
1.3620
8.3373
5.5820
1.2755
4.3570
4.9370
1.4399
238.20
7.7332
35.030
1.5915
1589.50
101.81
2.5366
7.5900
1.6122
0.6523
6.3610
150.60
1.4143
3.6630
772.50
121.970
53.450
6.6580
1.1575
27.340
25.180
1.5388

84.95

Dec. 22
0.7395
10.130
29.560
1.3637
8.3374
5.5780
1.2745
4.3600
4.9340
1.4386
238.10
7.7345
34.990
1.5920
1591.00
102.60
2.5385
7.5800
1.6105
0.6508
6.3540
150.50
1.4165
3.6640
772.70
122.200
53.500
6.6580
1.1592
27.290
25.180
1.5425

85.00

*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.