The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts February 20, 1996 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS SECTION 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 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 2 + O I + O I CM CM Tt t— CD CO CD CD -fO l T- CM CM + 0 1 CO CM ^ M’ CD SWISS FRANC C M + O l ^ CM CM + O I CM i i CM i i i I i i i 1 i i i I + O I + O I CD CM i CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OU .LARS PER FINE OUNCE 425 12.5 Kg BARS 410 395 380 365 350 335 1 -I---1---1___I__ I___I__ I___I___I___I__ I__ l _J__ L 1992 1996 1994 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 7 6 U.S. FEDERAL FUNDS 5 SWITZERLAND 4 3 2 JAPAN 1 0 9 8 GERMANY 7 NETHERLANDS 6 5 4 3 1..1.1 1 2 9 8 CANADA 7 FRANCE 6 5 4 UNITED KINGDOM L i i i 3 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM 00 CD O h PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 6 6 4 4 2 8 2 8 7-DAY 6-MONTH 6 6 4 4 2 I I 1 1 I I I 1 I I I I I 1 1 8 I I I l I I I l I I I I I I I 2 8 1-MONTH 6 6 4 4 2 i i i l i i » l i » i l i i i 1994 1996 2 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM _y lo + IO + DIFFERENTIAL ---- I I I I I I I I I l I I 1—J__1_ ______ ______ ______ ______ ______ ______ 1994 _____ ______ ______ ______ 1996 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM DIFFERENTIAL + O I + O I 'r- Is- ■»— Is-. I I I I I I I I I I I 1 I I I CD CD LO LD ^ CO CO C\l T CM T - +0 | +0 I CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM cn cn PERCENT PER ANNUM 1994 1996 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 1 7 -J a n -9 6 Chart 1. 2 4 -J a n -9 6 3 1 -J a n -9 6 7 -F e b -9 6 1 4 -F e b -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 3.3532 73.224 20.120 68.897 0.06341 0.94983 61.520 85.426 153.92 3.2918 73.086 19.781 67.643 0.06294 0.94487 60.419 84.011 151.36 3.2704 72.499 19.567 67.240 0.06252 0.93565 60.049 82.813 150.61 3.2966 72.743 19.715 67.764 0.06354 0.94521 60.519 82.943 153.06 3.2997 72.828 19.726 67.840 0.06363 0.93619 60.616 83.100 153.32 132.13 72.98 90.66 193.81 36.40 248.70 176.61 274.83 62.25 129.71 72.84 89.14 190.28 36.13 247.40 173.45 270.28 61.22 128.87 72.26 88.17 189.15 35.89 244.98 172.39 266.42 60.92 129.90 72.50 88.84 190.63 36.47 247.49 173.74 266.84 61.91 130.02 72.59 88.89 190.84 36.52 245.13 174.02 267.34 62.01 117.06 62.95 77.35 189.15 29.32 242.62 160.10 56.21 246.10 51.56 87.56 117.18 62.71 77.40 189.33 29.61 243.49 160.24 55.74 244.74 52.08 86.79 117.32 62.80 77.46 189.63 29.66 240.94 160.55 55.84 245.27 52.19 86.81 -0.06 0.94 1.83 -4.12 5.07 2.37 3.75 -0.78 0.05 0.84 1.98 -4.28 4.97 2.32 3.57 -0.82 0.08 0.86 1.99 -4.21 4.86 2.25 3.50 -0.88 0.13 0.86 1.93 -4.36 4.70 2.20 3.57 -0.92 397.89 400.99 405.94 412.98 405.34 5.61 5.50 5.59 4.48 3.59 0.45 3.29 1.33 6.59 5.44 5.36 5.50 4.37 3.44 0.47 3.25 1.70 6.18 5.53 5.56 5.43 4.30 3.36 0.48 3.16 1.74 6.15 5.21 5.17 5.22 4.21 3.34 0.47 3.08 1.51 6.26 5.13 5.18 5.23 4.13 3.33 0.48 3.14 1.28 6.28 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. -0.04 0.87 1.93 -4.40 5.15 2.26 3.83 -0.88 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 117.06 63.06 77.72 189.02 29.33 243.51 160.03 57.13 248.10 51.47 86.84 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. 117.97 62.44 78.24 190.68 29.21 241.92 161.24 58.19 249.54 51.79 85.62 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 1 7 “J a n - 96 Chart 5. 7 -F e b -9 6 1 4 -F e b -9 6 5.43 5.65 4.55 3.55 0.55 3.29 1.59 6.40 4.45 5.37 5.61 4.41 3.43 0.55 3.05 1.63 6.19 4.33 5.30 5.40 4.44 3.34 0.55 2.97 1.68 6.19 4.29 5.16 5.26 4.28 3.25 0.56 2.94 1.70 6.16 4.20 5.13 5.12 4.24 3.20 0.57 2.94 1.60 6.14 4.17 5.50 5.50 5.46 5.44 5.33 5.21 5.36 5.51 5.44 5.37 5.23 5.04 5.56 5.41 5.36 5.28 5.24 5.06 5.17 5.24 5.24 5.17 5.07 4.94 5.18 5.23 5.19 5.13 5.01 4.89 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 3 1 -J a n -9 6 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 ster1ing Weighted average foreign interest rate (G-10 Countries) Chart 6. 2 4 -J a n -9 6 Selected Euro-dollar & U.S. Money Market Rates 5.50 5.61 -0.11 5.36 5.44 -0.08 5.56 5.53 0.03 5.17 5.21 -0.04 5.18 5.13 0.05 5.44 5.43 0.01 5.37 5.37 -0.01 5.28 5.30 -0.03 5.17 5.16 0.01 5.13 5.13 -0.00 Euro-dollar deposit Interbank sterling (London), covered Differential 5.44 5.51 -0.07 5.37 5.40 -0.03 5.28 5.35 -0.08 5.17 5.26 -0.09 5.13 5.21 -0.08 U.S. commercial paper Canadian finance paper, covered Differential 5.43 5.60 -0.18 5.37 5.55 -0.18 5.32 5.45 -0.13 5.17 5.34 -0.17 5.13 5.25 -0.11 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.44 5.49 -0.05 5.37 5.28 0.09 5.28 5.34 -0.06 5.17 5.26 -0.09 5.13 5.15 -0.02 5.44 5.43 0.01 5.37 5.40 -0.03 5.28 5.26 0.02 5.17 5.21 -0.04 5.13 5.18 -0.05 7.05 6.33 5.83 3.10 3.91 5.82 7.31 5.59 7.11 6.39 5.88 3.11 4.12 5.89 7.41 5.65 7.06 6.49 6.01 3.11 4.23 6.04 7.58 5.67 7.02 6.55 6.12 3.11 4.29 6.15 7.61 5.63 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 Swiss interbank, 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. 7.15 6.50 5.89 3.10 3.82 5.85 7.41 5.69 Stock Indices (Wednesday figures) 159.06 162.09 165.57 Canada 167.51 151.96 157.11 France 151.63 155.76 Germany 127.31 129.28 132.04 130.75 121.36 Japan 118.99 121.98 122.66 Netherlands 180.29 182.13 183.05 182.45 Switzerland 266.36 268.65 270.12 272.78 United Kingdom 213.61 216.32 212.47 214.78 239.13 United States 243.86 249.97 254.59 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 168.61 154.94 129.54 122.30 186.30 273.05 212.48 258.24 to SBF250
@FedFRASER