Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 4, 1995

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Selected Interest &
Exchange Rates
Weekly Series of Charts

December 4, 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

60

110

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 I I I

300

JAPANESE YEN

90
390
330

SWISS FRANC

260

270

220

210

I

180
100

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 I

150
105

CANADIAN DOLLAR
80

85

U.K. POUND

60

40
195

65

» I 1 I I I I 1 I 1 '

1 I » I

I I I I I I '

I

195

155

135
115

45
215

GERMAN MARK

DUTCH GUILDER

175

I I I I I I I

175

1

1

L

I

I I I I I I I I I I I

ITALIAN LIRA

FRENCH FRANC

95

1 I I 1 I » 1 I I I I I I I I

155
75
55

35
75

55

I I I I I I I I I I I I I I I




1993

1995

1 I I I I I » I '
1993

'

'

1 '

'
1995

15

CHART 2

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

PERCENT PER ANNUM
4

2
U.K. POUND

GERMAN MARK

i

i

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I

i

i

1
!

i

1

1

1

1 I

i

i
JAPANESE YEN

CANADIAN DOLLAR

1/
1

1

1

1

1

1 I

1

i

i

i

I

I

I

I
DUTCH GUILDER

SWISS FRANC

• v .

i

i

i

i

I I I I

I

I I

i

i

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i
1993

i

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« i

i

2

—

4

i

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I i

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I '

•

i

l

'

i

ITALIAN LIRA

FRENCH FRANC




I

—

1995

1992

1994

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 —

340

320

J — i — I — i
1991




i
1992

i

I

i

i
1993

i

I

i

i
1994

i

l

i

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1995

'

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
[CENT PER ANNUM

PERCENT PER ANI

7

10

6

5

8

SWITZERLAND
U.S. FEDERAL FUNDS

6

4

4

JAPAN

3

2

2

0

10

10

8

8
NETHERLANDS

6

6
GERMANY

4

4

2
16

2
9

14

FRANCE

8

12
7

CANADA

10

6
8
5

6
4

UNITED KINGDOM

2




4

I

1 I 1 I I I 1 I 1 1 I I i

I

3

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
CANADIAN FINANCE PAPER

8

WEIGHTED AVERAGE
L FOREIGN RATE

6

4

3

2
12
NETHERLANDS INTERBANK RATE
10
U.K. INTERBANK STERLING
8

6

3

4

6

4

FRENCH INTERBANK RATE

JAPANESE CD RATE

2

0

5

11
GERMAN INTERBANK RATE

9
7

SWISS INTERBANK

5
3
1




3
1993

1995

1993

1995

CHART 6

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

PERCENT PER AN!

8

OVERNIGHT

3-MONTH

6

4

2
8

I

I

I

I

I

I

I

I

I

I

I

I

I

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I

I

7-DAY

I

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I

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I

'

I

» I

I

I

I

I

'

6-MONTH

6

4

2
8

'

I

I

I

'

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I

I

'

» •

I

'

I

'

1-YEAR

1-MONTH
6

4

2

1

'

1




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I

I
1993

1

1

1

» I

I

I

I
1995

I

I

'

I

I

I
1993

I

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

3-MONTH
OVERNIGHT

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

ML i

90-DAY CD'S
DASHED LINE

FEDERAL FUNDS
DASHED LINE

I

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l _ L

DIFFERENTIAL

DIFFERENTIAL

rf?
J

I




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1993

I

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L
1995

,nry/ W . , ^ A . ^ . ^ i

J

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1993

I

vv*"'"'

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L
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

7
CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

U.S. COMMERCIAL PAPER
DASHED

EURO-DOLLAR DEPOSITS
DASHED LINE

i

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< l

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•

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'

DIFFERENTIAL

DIFFERENTIAL
,,trwr~\

*7^
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•J—I—1 1
7

INTERBANK DM
COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS
x

^URO-DOLLAR DEPOSITS

DASHED LINE

I

'

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DASHED

I I

I I I I I I I I

i

-

•

•




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1993

•

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DIFFERENTIAL

DIFFERENTIAL

•

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A

w

I I I I I
1995

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I I I I I I
1993

I I I

I I I I I 11
1995

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
RCENT PER ANNUM

PERCENT PER ANNl

9

UNITED STATES

UNITED KINGDOM

8

7

6

5
10

FRANCE

CANADA
9

8

7

6
8

I I I I

I

I

I I I I I I I I I

SWITZERLAND

JAPAN

7

6
5
4
3
9

I

I I I I i

i

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:

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NETHERLANDS

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I I I '

'

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I I I I

I I I I

GERMANY

8

7

6

5

•

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I •

•
1993

'

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I I
1995

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I I I I I I I I I I
1993

1995

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

250

220
UNITED KINGDOM

GERMANY

JAPAN

FRANCE

CANADA

SWITZERLAND

NETHERLANDS




1993

1995

1993

1995

1-Nov-95
Chart 1.

8-Nov-95

15-NOV-95 22-NOV-95 29-NOV-95

Spot Exchange Rates and Indices

Noon buying rates

(U.S. cents, weekly averages)

Indices, March 1973 base rates

3.3940
73.836
20.340
69.796
0.06274
0.98445
62.308
86.482
154.96

3.4582
73.604
20.439
71.153
0.06266
0.98068
63.475
88.061
157.78

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

136 .27
73 .36
92 .10
200 .16
35 .97
256 .77
182 .22
283 .30
63 .82

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

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

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

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

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

-0. 16
-0.40
1. 79
-4 .72
5..75
1..99
.81
3.
-0..79

-0.14
-0.18
1.88
-4.78
5.70
2.02
3.88
-0.81

-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
,10
2.
3..75
-0,.69

in
<<
CM
GO

Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

383 .28

386.77

385 .70

385 .65

5 .76
5.69
6.19
6.55
4.02
0.46
3.69
2.13
6.60

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

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

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.

Gold Price in London, Afternoc

U.S. dollars per fine ounce
Chart 4.

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

119 .76
61 .68
78 .17
194 .29
28 .33
246 .14
163 .80
57 .08
253 .11
52 .26
83 .84

-0 .76
-0.79
1.81
-4 .75
5.76
1.99
3.93
-0.79
ixing

Call Money Rates

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




v-95
Chart 5.

5 .78
6 .76
6 .68
4 .00
0 .56
3 .86
1 .99
6 .69
5 .15

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
,64
3.
1..96
6..53
4.
.78

5 .69
5 .71
5 .72
5 .81
5 .78
5 .73

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

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

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

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

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

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.

8 -Nov-95

Selected Euro-dollar & U.S. Mone% Market Rates
5 .69
5 .76
-0.07

5 .69
5 .71

-0.02

5 .69
5 .74
-0.05

5..73
.81
5.
-0.08

5,.78
5 .91
-0.13

5.81
5.78
0.03

5.75
5.75
0.01

5.75
5.74
0.01

75
73
02

75
74
01

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

5..81
5.
.89
-0..08

5..75
.87
5.
-0..12

5.75
5.79
-0.04

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

5. 75
5. 83
-0. 08

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

.82
5,
5..99
-0,.17

5..75
5..92
-0..17

5.74
5.89
-0.14

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

5..72
5..89
-0..17

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

5,.81
5..83
-0..01

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

5.75
5.80
-0.05

5 .75
5 .79
-0 .04

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

Euro-dollar deposit
Swiss interbank, covered
Differential

5..81
5,.94
-0..13

5 .75
,
,
5 .88
-0 .12

5.75
5.89
-0.14

5,.75
5 .82
-0 .07

5,.75
5 .73
0 .02

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

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

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

7..34
6..90
6..19
2.
.82
3..63
6 .26
7 .61
,
5 .88

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.
,75
7.
,36
6..47
.94
2.
.95
3.
6..51
8..00
6..03

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

Stock Indices

(Wednesday figures)
0

.51
151,.97
155 .25
152 ,
148 ,
.39
Canada
145 ,
145 .51
144 .20
.02
140 ,
.32
France
117 ,
117 .52
.62
118 .08
.21
117 ,
Germany
106 .74
107 .97
109 .27
106 .31
Japan
163 .21
161 .58
165 .65
163 .37
Netherlands
251 . 12
251 .97
257 .63
251 .23
Switzerland
202 .57
200 .68
206 .12
200 .06
United Kingdom
231 .97
232 .65
235 .03
228 .64
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 .65
144 .70
120 .75
110 .73
170 .09
262 .78
207 .56
238 .18
to SBF250

FEDERAL RESERVE statistical release
H.10(512)

December 4, 1995

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

DECEMBER 1, 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

MONETARY
UNIT

^AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
KIRELAND
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

MEMO:
"(UNITED STATES

DOLLAR

Nov. 27

(CURRENCY UNITS PER DOLLAR)
Nov. 30
Nov. 29
Nov. 28

Dec. 1

0.7405
10.113
29.550
1.3523
8.3322
5.5610
1.2892
4.2650
4.9250
1.4370
235.30
7.7355
34.930
1.5990
1596.59
101.80
2.5430
7.6800
1.6096
0.6509
6.3290
149.83
1.4125
3.6595
769.00 ^
122.250
53.400
6.5520
1.1590
27.310
25.160
1.5505

0.7500
10.074
29.440
1.3565
8.3316
5.5405
1.2944
4.2580
4.9110
1.4315
236.17
7.7357
34.930
1.5970
1582.27
101.12
2.5427
7.6500
1.6036
0.6555
6.3120
149.32
1.4125
3.6590
768.90
121.840
53.250
6.5105
1.1545
27.320
25.160
1.5480

0.7485
10.107
29.510
1.3585
8.3316
5.5585
1.2860
4.2715
4.9340
1.4357
236.70
7.7351
34.910
1.5890
1597.00
101.46
2.5430
7.4850
1.6085
0.6553
6.3240
150.18
1.4125
3.6650
769.30
122.400
53.230
6.5060
1.1629
27.320
25.150
1.5383

0.7424
10.185
29.770
1.3587
8.3316
5.6070
1.2745
4.3025
4.9930
1.4468
238.40
7.7350
34.910
1.5835
1599.60
101.80
2.5370
7.5500
1.6201
0.6527
6.3725
151.80
1.4110
3.6675
770.70
123.490
53.210
6.5600
1.1755
27.320
25.170
1.5302

0.7372
10.186
29.710
1.3660
8.3327
5.6045
1.2760
4.2960
4.9880
1.4440
237.60
7.7365
34.930
1.5900
1604.75
101.20
2.5310
7.5800
1.6170
0.6485
6.3610
151.30
1.4145
3.6660
770.00
123.300
54.000
6.5375
1.1740
27.360
25.160
1.5360

84.71

84.43

84.77

85.31

85.18

*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.