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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts January 2, 1996 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, D.C. 20551 FINANCIAL MARKETS SECTION 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=100 100 80 U.K. POUND 40 195 i i i 175 155 135 l i i i I i 1 i l i i i CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + O I CM + O I CM t J- TlCD CD 00 CM 0000 + O I CD ^ CM CM + 0 ^ I CD CD CM Tfr CM C M + O l + O I 2 CM 4 6 CD CM +O I 8 2 FRENCH FRANC r 2 4 — T ' l * 2 V 6 /A 6 8 10 — — If 14 10 12 » i i i i i i 1993 i i— i . i 1 i I 1995 I 18 1992 1994 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE 420 400 380 360 340 320 CHART 4 CALL MONEY RATES WEEKLY SERIES 7 10 6 8 5 6 4 4 3 2 2 0 10 10 8 8 6 6 4 4 2 2 16 9 14 8 12 7 10 6 8 5 6 UNITED KINGDOM 4 4 2 1— 1 1 1 I 1 I 1 I I I 1 I I I 1993 1995 3 CHART 5 3-M ONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATESLONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM eg oo PERCENT PER ANNUM 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 Io + Io + PERCENT PER ANNUM 1993 1995 1993 1995 CHART 8 INTEREST ARBITRAGE: 3-M ONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM C\l -*■ ro CO co Tt -p^ LO cn CD cn i - h- 'vj-i. + O I io + PERCENT PER ANNUM t- DIFFERENTIAL \ar f t ) M. A __J ■ i i i i + O I lo+ DIFFERENTIAL i 1993 i i i J -.J 1 1 1 1995 1 1993 1995 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 2 9 - N o v -9 5 Chart 1. 6 -D e c -9 5 1 3 -D e c -9 5 2 0 -D e c -9 5 2 7 -D e c -9 5 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 3.3940 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 3.3890 73.434 20.338 69.650 0.06306 0.97659 62.216 86.473 154.92 133.74 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 62.16 132.49 72.38 90.30 194.56 35.97 258.45 177.33 274.69 62.04 133.34 72.51 91.13 195.81 35.96 257.21 178.43 278.56 62.27 133.54 73.19 91.65 195.93 36.20 255.70 178.61 278.20 62.66 118.00 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 84.97 118.33 62.11 78.50 191.40 28.80 247.42 161.84 57.43 250.68 51.72 84.79 -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 -0.00 0.38 1.78 -4.70 5.45 2.09 3.66 -0.83 385.65 386.97 388.52 386.96 387.55 5.91 5.78 5.89 5.15 3.94 0.46 3.65 2.43 6.93 5.75 5.75 5.93 5.28 4.10 0.45 3.64 2.43 6.74 5.73 5.74 5.95 5.13 3.98 0.43 3.68 2.13 6.61 5.90 5.65 5.94 4.94 3.76 0.41 3.35 1.43 6.56 5.49 5.66 5.63 4.73 3.82 0.48 3.44 1.85 6.63 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. -0.02 0.37 1.89 -4.54 5.56 2.10 3.75 -0.69 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 118.13 62.14 77.51 191.22 28.59 251.32 161.63 58.35 248.38 51.43 85.11 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. 118.27 62.34 78.34 191.41 28.58 249.08 161.75 58.36 250.18 51.62 84.57 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 2 9 -N o v -9 5 Chart 5. 2 0 -D e c -9 5 2 7 -D e c -9 5 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 3.65 2.04 6.44 4.84 5.65 5.99 5.19 3.78 0.50 3.52 1.83 6.39 4.71 5.55 5.73 5.10 3.80 0.50 3.54 1.92 6.38 4.68 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 5.81 5.69 5.53 5.43 5.65 5.68 5.77 5.67 5.53 5.47 5.66 5.91 5.63 5.54 5.46 5.34 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 1 3 -D e c -9 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. 6 -D e c -9 5 Selected Euro-dollar & U.S. Money Market Rates 5.78 5.91 -0.13 5.75 5.75 0.00 5.74 5.73 0.01 5.65 5.90 -0.25 5.66 5.49 0.17 5.75 5.74 0.01 5.72 5.68 0.04 5.69 5.67 0.02 5.67 5.65 0.02 5.54 5.55 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.75 5.83 -0.08 5.72 5.79 -0.07 5.69 5.75 -0.06 5.67 5.67 -0.00 5.54 5.54 0.00 U.S. commercial paper Canadian finance paper, covered Differential 5.72 5.89 -0.17 5.69 5.83 -0.14 5.65 5.77 -0.13 5.64 5.85 -0.21 5.60 5.72 -0.12 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.75 5.77 -0.02 5.72 5.67 0.05 5.69 5.69 0.00 5.67 5.60 0.06 5.54 5.60 -0.06 5.75 5.73 0.02 5.72 5.67 0.05 5.69 5.67 0.02 5.67 5.67 -0.00 5.54 5.60 -0.06 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 7.22 6.73 6.09 2.95 3.76 6.11 7.51 5.71 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. 7.34 6.90 6.24 2.82 3.63 6.26 7.61 5.88 Stock Indices (Wednesday figures) Canada 156.57 155.65 158.13 155.96 France 142.04 144.70 141.67 142.68 Germany 121.32 120.75 122.11 121.25 Japan 114.21 110.73 115.53 116.83 Netherlands 172.37 170.09 172.10 172.42 Switzerland 264.34 262.78 264.81 264.03 United Kingdom 207.56 205.47 205.52 204.28 United States 238.18 243.20 243.45 237.90 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 156.10 144.61 122.52 119.92 174.21 269.03 207.47 240.86 to SBF250
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