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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts December 9, 1996 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS BOARD OF GOVERNORS 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=100 120 100 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 80 60 i i i l » i i l i i i l i i i 300 260 220 180 RATIO SCALE MARCH 1973=100 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + OI i— + O I CM CM CO ^ Tf lO 00 CO CD CM Tt + O I CM + OI CM CD 1996 -----, CM ^ 1994 DUTCH GUILDER CM +O I CM + 0 2 I CM 4 I I 1 I I I I I I 1 I I I I » CM + O I 6 0 2 4 6 8 10 1994 1996 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY u.s. c U.S. DOLLARS PER FINE OU .LARS PER FINE OUNCE 425 425 12.5 Kg BARS 410 410 395 395 380 380 365 ft I . 365 h 350 350 335 335 320 J___I__ I___I__ I___I__ 1___I__ I___I___I__ I___I___I___l 1992 1994 I l l__ I__ I___I__ I__ L 1996 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM CD O PERCENT PER ANNUM UNITED KINGDOM 1 1 I I I « I I I I I 1 I I I 1994 1996 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERC ENT PER ANN UM PERCENT PER ANNUM 10 8 6 4 2 8 7 6 5 4 4 3 2 CO O) ■"siO 1 CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 3-MONTH oo ro 7-DAY I I I I I I I I I 1 I I I I I CM 00 I I I I I I I I I I I I I I I 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 Io + Io + DIFFERENTIAL J__ I__ I__ I__ I__ I__ I__ I 1994 1996 1994 I I I__ I__ I__ I__ I__ I ! 1996 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM + O I lo + PERCENT PER ANNUM CM i— -*■ ro CO co LO cn CD cr> -m r - h- DIFFERENTIAL + O I lo+ DIFFERENTIAL 7 1I I I I I I I I I I I I l I I » 1994 1996 I I i i I I I I I I I 1994 1996 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 240 220 200 180 160 140 120 100 6 -N o v -96 Chart 1. 1 3 -N o v -9 6 2 0 -N O V -9 6 2 7 -N O V -9 6 4 -D e c -9 6 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 3.1985 74.536 19.452 65.890 0.06638 0.88958 58.750 77.963 167.52 3.1302 74.033 19.049 64.536 0.06566 0.87977 57.510 75.980 166.91 127.17 74.37 88.64 187.17 37.96 235.18 170.25 253.28 67.57 .. 126.04 74.29 87.65 185.36 38.10 232.92 168.66 250.82 67.75 123.35 73.79 85.84 181.54 37.69 230.35 165.10 244.44 67.51 114.33 64.31 77.03 184.77 30.85 229.44 156.46 58.72 231.45 57.23 86.56 113.84 64.57 76.48 183.68 31.13 228.19 155.69 58.76 230.28 57.71 87.09 112.70 64.94 75.73 181.78 31.17 228.45 154.16 58.50 227.06 58.25 88.44 2.46 2.10 2.33 -2.04 5.20 2.51 3.67 -0.85 2.51 2.10 2.32 -1.83 5.18 2.50 3.57 -0.87 2.56 2.00 2.26 -1.63 5.13 2.42 3.51 -0.87 2.51 2.05 2.23 -1.61 5.12 2.43 3.36 -0.85 378.54 380.55 379.73 375.18 370.60 5.32 5.36 3.21 3.25 3.14 0.48 2.63 1.61 5.99 5.21 5.25 3.03 3.25 2.95 0.47 2.66 1.53 5.74 5.41 5.36 2.97 3.25 2.98 0.45 2.76 1.59 5.59 5.30 5.24 2.98 3.25 2.96 0.47 2.80 1.55 5.*61 5.40 5.55 3.05 3.25 3.21 0.48 2.75 1.70 5.69 3.2023 74.887 19.522 65.969 0.06578 0.87810 58.847 78.617 163.99 3.2149 75.003 19.651 66.455 0.06597 0.89670 59.201 78.975 164.91 126.19 74.64 87.97 185.58 37.76 229.91 168.94 252.92 66.33 126.68 74.75 88.55 186.94 37.87 234.79 169.95 254.07 66.70 3.2273 74.616 19.671 66.535 0.06614 0.89822 59.305 78.728 167.06 = 100 Indices, March 1973 base rates s Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U.K. pound Weighted average exchange value indices, March 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. 2.38 2.08 2.33 -1.27 5.19 2.51 3.58 -0.80 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 114.08 64.79 77.09 184.88 30.82 229.45 156.45 58.82 232.62 56.53 86.75 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. 114.28 65.07 77.00 184.50 30.91 225.54 156.39 59.28 232.87 56.53 87.37 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 6 -Nov- 9 6 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. 5.39 3.17 3.33 3.08 0.51 2.91 1.84 6.18 3.53 5 c38 3.10 3.34 3.08 0.51 2.89 1.80 6.27 3.53 5.38 3.06 3.33 3.08 0.51 2.90 1.61 6.31 3.49 5.38 2.99 3.38 3.09 0.51 2,94 1,89 6.29 3.49 5.40 2.98 3.36 3.14 0.50 2.96 1.96 6.31 3.49 5.36 5.25 5.25 5.38 5.44 5.57 5.25 5.25 5.24 5.38 5.43 5.57 5.36 5.25 5.25 5.38 5.42 5.55 5.24 5.26 5.25 5.38 5.38 5.56 5.55 5.30 5.41 5.38 5.38 5.55 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3 -month 6-month 1-year Chart 7. 13 -Nov -96 2 0 -Nov -9 6 27-Nov--96 4 -Dec-96 Selected Euro-dollar & U.S. Money Market Rates 5.36 5.32 0.04 5.25 5.21 0.04 5.36 5.41 -0.05 5.24 5.30 -0.06 5.55 5.40 0.15 5.38 5.39 -0.01 5.38 5.38 0.00 5.38 5.38 -0.01 5.38 5.38 -0.00 5.38 5.40 -0.02 5.38 5.37 0.00 5.38 5.41 -0.03 5.38 5.42 -0.05 5.38 5.41 -0.03 5.38 5.45 -0.07 U.S. commercial paper Canadian finance paper, covered Differential 5.41 5.57 -0.16 5.40 5.57 -0.17 5.41 5.59 -0.17 5.41 5.58 -0.17 5.43 5.51 -0.08 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.38 5.42 -0.05 5.38 5.43 -0.06 5.38 5.42 -0.04 5.38 5.36 0.01 5.38 5.39 -0.01 Euro-dollar deposit Swiss interbank, covered Differential 5.38 5.43 -0.05 5.38 5.49 -0.12 5.38 5.20 0.18 5.38 5.41 -0.04 5.38 5.34 0.04 6.17 5.87 5.89 2.72 3.70 5.81 7.64 6.24 6.15 5.83 5.83 2.64 3.71 5.75 7.55 6.17 6.10 5.80 5.82 2.62 3.76 5.75 7.47 6.14 6.05 5.63 5.67 2.43 3.74 5.62 7.38 6.08 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. Interest Arbitrage, 3-Month Funds Euro-dollar deposit Interbank sterling (London), 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. 6.29 5.95 5.98 2.53 3.75 5.85 7.64 6.34 Stock Indices (Wednesday figures) 193.25 198.82 199.49 Canada 191.61 176.41 175.35 179.12 France 174.61 144.32 144.72 144.77 Germany 142.60 118.55 119.84 Japan 118.93 118.96 220.66 216.21 223.69 226.46 Netherlands 318.85 321.43 319.52 318.62 Switzerland 214.56 216.06 218.82 216.20 United Kingdom 284.43 288.76 292.20 281.96 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 196.97 182.07 148.42 116.17 229.76 325.29 217.16 289.08 to SBF250
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