Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 27, 1994

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

December 27,1994
Prepared by the
FINANCIAL MARKETS
SECTION




DIVISION O F
INTERNATIONAL FINANCE
BOARD O F G O V E R N O R S
F E D E R A L RESERVE SYSTEM

Washington, DLC. 20551

Table of Contents

TABLES

1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
H.10 RELEASE
CHARTS

1.
2.
3.
4.

SPOT EXCHANGE RATE INDICES
3-MONTH FORWARD EXCHANGE RATES
GOLD PRICE—LONDON
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

RATIO SCALE
MARCH 1973=100

120
110
100

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

90
80

BELGIAN FRANC

70
60

i

i

i

l

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

l

i

i

i

l

'

i

i

i

i

I

i

i

i

'

i

I

i

•

i

290
270
250
230
210
190

JAPANESE YEN

SWISS FRANC

•

I

'

i

i

I

i

i

i

I

'

i

i

i

i

l

U.K. POUND

55
45
200

» i

i

i

i

I

i

i

i

i

CANADIAN DOLLAR

i

i

I

i

i

i

i

i

i

i

i

i

I

i

i

i

I

i

180

160
140
DUTCH GUILDER

120 —

100

i

i

i

I

i

i

GERMAN MARK

i

I

i

i

i

I

i

i

i

J__L

l

» i

i

i

i

105
95
85
75

55

ITALIAN LIRA

FRENCH FRANC

65

i

i

i




l

i

i
1992

i

I

i

i

i

I

i

i
1994

i
1992

1994

CHART 2

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

PERCENT PER ANNUM

2

2

i

U.K. POUND

GERMAN MARK

i

i

i

l

i

i

i

l

'

i

i

l

'

i

I

i

I

1 I

I

I

I

I

I

I

SWISS FRANC

DUTCH GUILDER

FRENCH FRANC

ITALIAN L^RA




I

I

I

I
1992

I

I

I

I

/

V-v^

I

1 I

JAPANESE YEN

CANADIAN DOLLAR

I

I

I

I

I

I

I

I

I

I
1994

I

I

1

I

I

l

I
1992

1994

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

J

320

1991




1

1

1

1
1992

i

I

i

i
1993

i

l

»

I . I
1994

320

CHART4

CALL MONEY RATES
WEEKLY SERIES
DENT PER ANNUM

PERCENT PER AN

8

10

SWITZERLAND
8

U.S. FEDERAL FUNDS

6

6

4
4

JAPAN
2

2
10

i

«

1

I

•

1

1

l

1

1

1

l

1

1

1

1

1

1

I

1

1

•

i

1

1

i

I

'

i

i

0
10

9

9

8

8
GERMANY

7

NETHERLANDS

7

6

6

5

5

4

4
14

16
14

12

FRANCE

12
CANADA

10

10

8

8

6

6

4

4

2




UNITED KINGDOM

2

0

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
:ENT PER ANNUM

PERCENT PER AN

12

13
WEIGHTED AVERAGE
FOREIGN RATE

10

11
CANADIAN FINANCE PAPER

8

9

6

7
U.S. CD'S

4

2
16

5

i

i

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I

'

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i

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'

'

i

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I

i

i

'

I

'

•

i

I

'

i

»

11

U.K. INTERBANK STERLING

13

9

10

7

NETHERLANDS INTERBANK RATE

7

i

4
9

i

I

i

i

i

I

« i

i

I

i

i

i

» '

i

I

'

i

'

I

i

5

i

i

I

'

i

'

JAPANESE CD RATE

7

3
13

11

5

9
FRENCH INTERBANK RATE

3

1
10

3

7

'

» '

i

'

« •

I

'

•

i

I

i

i

i

5
12

8

10

6

8

SWISS INTERBANK
GERMAN INTERBANK RATE

4

2

6

'

'




i

I

i

i
1992

i

I

'

'

'

I

i

i
1994

'

'

I

» I

I

'
1992

I

I

'

» 1 I

» •
1994

'

4

CHART 6

EURO-DOLLAR DEPOSIT RATES L O N D O N
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
10

PERCENT PER ANNUM
10

OVERNIGHT

i

i




i

i

i

3-MONTH

7-DAY

6-MONTH

1-MONTH

1-YEAR

i
1992

i

i

i

« i

i

i

i
1994

i
1992

1994

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+), FAVORS B O R R O W I N G IN U.S.
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

10

6

10

—

3-MONTH

OVERNIGHT

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

J

L_J

I

DASHED LINE

I

I

L_J

I

I

I

I

I

L

J

i

i

L

J

I

I

I

I

I

I

I

I

I

I

L

2 P—

DIFFERENTIAL

DIFFERENTIAL

"Ar

J

l

l




I

I

l
1992

I

I

l

I

i

I

i

i
1994

J

L

J—I—I
1992

I

I

I

l__L
1994

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

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING

COVERED LONDON

« r ' \
EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

DASHED LINE

I

I

DIFFERENTIAL

I

I

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I

I

I

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I

1

I

I

» I

I

f
I

I




1

I

I

I

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I

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I

I

I

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I

I

I1

1

1

1

1

1

I

I

DASHED LINE

1 1 I

I

I

I

I

I

I

I

I

I

I

I

DIFFERENTIAL

'

I

EURO-DOLLAR DEPOSITS

DASHED LINE

'

I

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS'

» I

I

J

INTERBANK DM

I

I

DIFFERENTIAL

COVERED FRANKFURT

—

1

I

1

1

1992

1

I

I

I

I

DIFFERENTIAL

I

1

» I

I

I

I
1994

I

I

I

I

I

I
1992

I

I

I

I

I

I

I

1994

11

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
SCENT PER ANNUM

PERCENT PER ANN I

9
UNITED STATES

UNITED KINGDOM

8
7
6
5
4
11

•

1

1

1

1

1

'

1

1

•

1

1

1

•

1

I

'

1 I

1 I

I

I

'

'

'

1 '

'

'

FRANCE

CANADA
10
9
8
7
6
8
SWITZERLAND

JAPAN

7
6
5
4
3
10
NETHERLANDS

GERMANY

9
8
7

6
5




i
1992

1994

i

I

'

'
1992

'

l

•

'

» I

•

'
1994

'

CHART 10

STOCK INDICES
WEEKLY SERIES
1986:

SCALE

RATIOS
198i

100

220
200

UNITED STATES

— UNITED KINGDOM

180
160
140
120

i

i

i

> i

i

'

I

i

'

'

i

250
225

SWITZERLAND

ARAN

200

175
150
125
100
160

i

i

i

I

i

i

i

l

» i

» I

i

'

GERMANY

i

'

I

I

I

I

I

I

I

'

I

I

I

I

I

l

i

i

i

I

i

i

i

I

'

i

I I
1992

I

I

'

'

CANADA

140
120

100

80
210

195

i i

i

I

i

i

i

I

•

i

i

i

i

i

„FRANCE

i

i

i

NETHERLANDS

180
165
150
135
120

105

•

i

i




I

i

i i
1992

i

i

•

i

'

•

•
1994

I

I

I

I

I

1994

I

23-Nov-9 4 30-Nov-94 7-Dec-94
Chart 1.

14-Dec-94 21-Dec-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

3.1272
72.999
18.738
64.371
0.06257
1.01736
57.419
76.078
157.06

3.1046
72.628
18.619
63.905
0.06186
1.01215
57.044
75.465
156.43

3.0881
72 .741
18. 509
63. 541
0.06170
0.99884
56. 733
75. 224
156 .19

3.0874
72 .161
18.464
63 .526
0.06117
0.99743
56. 715
74. 967
156 .18

3.0923
71.848
18.446
63.616
0.06088
0.99753
56.820
75.255
156.15

123.23
72.76
84.44
181.08
35.91
266.38
164.84
244.75
63.53

122.34
72.39
83.90
179.77
35.51
265.01
163.76
242.78
63.27

121 .69
72 .50
83 .41
178 .74
35 .41
261 .53
162 .87
242 .01
63 .17

121 .66
71 .92
83 .21
178 .70
35 .11
261 .16
162 .82
241 .18
63 .17

121.85
71.61
83.12
178.96
34.95
261.19
163.12
242.11
63.16

112 .19
64 .35
74 .10
180 .42
29 .44
266 .09
153 .44
52 .82
226 .89
54 .69
89 .48

112 .38
63 .93
74 .05
180 .77
29 .23
266 .22
153 .69
52 .78
226 .52
54 .80
89 .69

112.59
63.64
73.99
181.11
29.09
266.29
154.03
52.87
227.45
54.80
89.71

0.18
0.48
0.81
-2.57
3.72
0.78
2.12
-0.05

0 .20
0 .71
0 .98
-2 .29
3 .96
0 .95
2 .14
0 .00

-0 .42
0 .45
0 .84
-2 .69
4 .01
0 .82
2 .06
-0 .07

-0.39
0.28
0.67
-2.13
4.01
0.80
1.59
-0.15

384.66

383.65

377 .86

378 .24

380.54

5.53
5.44
5.11
5.25
4.84
2.20
4.93
3.25
4.33

5.85
5.50
5.22
5.24
5.18
2.20
4.94
3.40
4.35

5 .47
5 .43
5 .32
5 .25
5 .01
2 .22
5 .08
3 .63
4 .95

5 .48
5 .41
5 .46
5 .25
4 .99
2 .23
5 .13
3 .45
6 .23

5.45
5.41
5.47
5.25
4.86
2.23
5.21
3.11
5.68

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

Weighted average exchange value indicesi, 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.

0.16
0.39
0.80
-2.61
3.71
0.74
2.07
-0.01

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

112.36
63.98
74.27
180.82
29.40
268.89
153.70
52.60
226.73
54.55
89.04

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.

112.54
63.94
74.32
181.16
29.58
268.72
153.84
53.53
227.28
54.45
88.40

Call Money Rates

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




ov- 94 30 -Nov-94 7-Dec-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.

5 .87
5. 84
5.48
5. 10
2. 33
5. 13
3 .81
5 .91
5 .06

5 .95
5 .88
5 .46
5 .11
2 .34
5 .15
3 .81
5 .95
5. 07

6. 26
6. 14
5. 52
5 .19
2 .34
5 .28
3 .94
6. 18
5.,16

6 .31
6. 78
5 .74
5 .34
2 .34
5 .41
4 .08
6. 31
5 .35

6.26
6.96
5.92
5.42
2 .33
5.47
4 .13
6.30
5.43

5.,44
,44
5.
,50
5.
5.,88
6..19
6..84

5 .50
5. 48
,66
5.
5.,91
6..29
6..93

.43
5.
5..54
6 .03
.
6..25
6..65
7 .35
.

5 .41
5 .44
6.,03
6 ,29
.
6..79
.50
7.

5.41
5.,48
5.99
6.,24
6.,76
7 .45
.

Euro-Dollar Deposit Rates

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

14-Dec- 94 21-Dec- 94

Selected Euro-dollar & U.S. Mone}• Market Rates
5..44
5,.53
-0,.09

5..50
5.
.85
-0..35

5 .43
5 .47
-0 .04

5..41
5..48
-0..07

5 .41
5,.45
-0,.04

5 .88
,
5 .87
0 .00
.

5 .91
.
5 .95
,
-0..03

6 .25
6 .26
-0 .01

6..29
6..31
-0 .02
.

6 .24
6 .26
-0 .02

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

5 .88
5 .90
-0 .03

5 .91
5 .90
0 .01

6 .25
6 .18
0 .08

6 .29
6 .24
0 .05

6 .24
6 .15
0 .09

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

5 .88
6 .01
-0 .12

5 .96
6 .06
-0 .10

6 .22
6 .35
-0 .13

6,.29
6..36
-0..06

6 .27
6 .57
-0 .30

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

5 .88
5 .91
-0 .03

5 .91
5 .93
-0 .02

6 .25
6 .18
0 .07

6 .29
6 .18
0 .10

6 .24
6 .09
0 .15

Euro-dollar deposit
Swiss interbank, covered
Differential

5 .88
5 .91
-0 .03

5 .91
5 .95
-0 .04

6 .25
6 .10
0 .15

6 .29
6 .16
0 .13

6 .24
5 .73
0 .51

9 .11
7 .95
7 .33
4 .59
5 .29
7 .43
8 .45
7 .89

9 .04
.
7.
.86
7.
.32
4.
.56
.25
5.
7.
.45
8..54
7 .82
.

9 .13
.
7.
.98
7.
.45
4.
.52
5..33
7.
.60
8..56
7 .81
.

9 .09
.
8..08
7 .49
.
4.
.53
.32
5.
7.
.65
.51
8 .
7 .80
,

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

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

9 .16
8 .15
7 .47
4 .64
5 .40
7 .56
8 .55
7 .98

Stock Indices (Wednesday figures )

135,.96
135 .92
136 .41
134 .92
Canada
.40
152 ,
149 ,
153 .23
.62
148 .05
France
115 ,
114 .
115 .18
.21
.56
115 .02
Germany
114 .97
115 .34
113 .28
113 .64
Japan
147 .97
148 .67
147 .86
145 .53
Netherlands
214 .00
213 .07
213 .67
211 .35
Switzerland
183 .51
179 .97
177 . 87
180 .29
United Kingdom
182 .61
181 .47
182 .56
180 .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



139 .15
149 .35
116 .83
115 .09
150 .30
217 .92
182 .76
184 .47
to SBF250

VoOfCOWfo,-..

FEDERAL RESERVE statistical release
' '":rSiVv
H.10(512)

December 27, 1994

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

DECEMBER 23, 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
^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:
f*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. 19

(CURRENCY UNITS PER DOLLAR)
Dec. 20
Dec. 21
Dec. 22

Dec. 23

0.7765
11.076
32.390
1.3941
8.6801
6.1790
1.2115
4.8965
5.4255
1.5735
243.25
7.7377
31.405
1.5380
1648.75
100.15
2.5665
3.4662
1.7612
0.6400
6.8675
161.68
1.4667
3.5560
790.60
132.260
49.550
7.5505
1.3308
24.450
25.130
1.5622

0.7753
11.067
32.340
1.3946
8.4954
6.1740
1.2122
4.8855
5.4200
1.5725
243.17
7.7390
31.410
1.5415
1649.00
100.32
2.5585
3.9500
1.7606
0.6384
6.8680
161.47
1.4642
3.5540
796.20
132.420
49.550
7.5215
1.3299
26.430
25.110
1.5600

0.7750
11.054
32.290
1.3945
8.4920
6.1660
1.2123
4.8530
5.4250
1.5707
242.90
7.7375
31.403
1.5360
1641.75
100.23
2.5615
3.9970
1.7581
0.6382
6.8580
161.44
1.4640
3.5560
795.20
133.000
49.550
7.4920
1.3260
26.400
25.120
1.5595

0.7755
11.110
32.460
1.3985
8.4877
6.1920
1.2060
4.8305
5.4510
1.5780
244.31
7.7375
31.405
1.5230
1642.00
100.45
2.5635
4.8500
1.7673
0.6405
6.8880
162.37
1.4639
3.5625
794.60
133.360
49.630
7.4950
1.3329
26.420
25.120
1.5462

0.7770
11.119
32.480
1.3991
8.4826
6.1930
1.2039
4.7900
5.4540
1.5800
244.62
7.7385
31.393
1.5230
1642.00
100.22
2.5633
4.7000
1.7689
0.6425
6.8980
162.47
1.4637
3.5650
794.30
133.410
49.620
7.5045
1.3343
26.420
25.140
1.5445

89.80

89.79

89.69

90.06

90.10

*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.