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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts January 29, 1996 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. 1-22-96 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 | + o| C\J OJ ’' t ^ i i t i i i I t— CD CO CD i CD 4* o ! CO O J + O I C M Ol^t T f CD 0 1 + 0 1 CM OJ C\J Tf ^ CD OJ C\J + O I + O 1 + O I i CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE 410 395 380 365 350 335 320 CHART 4 CALL MONEY RATES WEEKLY SERIES >ERCENT PER ANNUM PERCENT PER ANN..:M 7 7 6 U.S. FEDERAL FUNDS 6 5 5 4 4 3 2 3 1 L -L ..1 1 L L 1 .1 1- L..1 1 9 0 9 8 8 7 7 6 6 5 5 4 4 3 3 2 16 2 9 14 8 12 7 10 6 8 5 6 4 2 4 UNITED KINGDOM I I I I I I I 1 I I « I I I » 1994 1996 3 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 6 6 4 4 2 2 8 8 6 6 4 4 2 2 8 8 6 6 4 4 2 2 1994 1996 1994 1996 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 W ' 'v ^1 ^ i M ** _ ___ 1 ___ L ___ 1 ___ 1 ___ 1 ___ 1 ___ 1 ___ 1 __ 1 1994 1996 +o | I + o DIFFERENTIAL 1994 l 1 1 1 J__1 __ 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 7 6 — INTERBANK STERLING* COVERED LONDON 5 — 3 — EURO-DOLLAR DEPOSITS DASHED LINE i i i I i i i I i » * I i i i DIFFERENTIAL i i I I i i i I i i i I i i i i + o DIFFERENTIAL | i I i i i I i i i I i i i 1 — CO LO CO CM T + o I i 1994 1996 1994 1996 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM i i n n C c O o CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 180 160 140 120 100 2 7 -D e c -9 5 Chart 1. 3 -J a n -9 6 1 0 -J a n -9 6 1 7 -J a n -9 6 2 4 -J a n -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 3.3890 73.434 20.338 69.650 0.06306 0.97659 62.216 86.473 154.92 3.3872 73.574 20.369 69.530 0.06332 0.96520 62.161 86.425 155.02 3.3717 73.525 20.248 69.342 0.06328 0.94707 61.904 85.860 154.86 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 .36 133.54 73.19 91.65 195.93 36.20 255.70 178.61 278.20 62.66 133.47 73.33 91.79 195.59 36.35 252.72 178.45 278.04 62.70 132.86 73.28 91.24 195.06 36.32 247.97 177.71 276.22 62.63 132.13 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 .22 118.29 62.51 78.54 191.48 29.05 240.35 161.80 57.99 250.08 51.97 85.31 117.97 62.44 78.24 190.68 29.21 241.92 161.24 58.19 249.54 51.79 85.62 117 .06 63 .06 77 .72 189 .02 29 .33 243 .51 160 .03 57 .13 248 .10 51 .47 86 .84 -0.02 0.64 1.84 -4.61 5.23 2.12 3.86 -0.89 -0.04 0.68 1.85 -4.62 5.19 2.12 3.82 -0.87 -0.04 0.87 1.93 -4.40 5.15 2.26 3.83 -0.88 -0 .06 0 .94 1 .83 -4 .12 5 .07 2 .37 3 .75 -0 .78 387.55 389.06 396.26 397.89 400 .99 5.48 5.66 5.63 4.73 3.82 0.48 3.44 1.85 6.63 5.35 5.58 5.74 4.64 4.26 0.46 3.42 2.83 6.36 5.53 5.53 5.72 4.60 3.72 0.46 3.41 1.88 6.41 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 Indices, March 1973 base rates = 100 Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U . . pound K 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. -0.00 0.38 1.78 -4.70 5.45 2.09 3.66 -0.83 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 118.39 62.30 78.72 191.22 28.96 244.45 161.85 57.58 250.78 51.81 84.89 3-Month Forward Exchange Rates, Premium or Discount Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U . . pound K Chart 3. 118.33 62.11 78.50 191.40 28.80 247.42 161.84 57.43 250.68 51.72 84.79 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 2 7 -D e c -9 5 Chart 5. 1 7 -J a n -9 6 2 4 -J a n -9 6 5.55 5.73 5,10 3.80 0.50 3.54 1.92 6.38 4.68 5.48 5.68 4.81 3.73 0.55 3.47 1.69 6.41 4.59 5.44 5.63 4.75 3.66 0.55 3.39 1.70 6.43 4.55 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 5.66 5.91 5.63 5.54 5.46 5.34 5.58 5.58 5.56 5.54 5.38 5.29 5.53 5.50 5.49 5.47 5.43 5.25 5.50 5.50 5.46 5.44 5.33 5.21 5.36 5.51 5.44 5.37 5.23 5.04 Euro-Dollar Deposit Rates Overnight 7-day 1 -month 3 -month 6 -month 1-year Chart 7. 1 0 -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 sterling Weighted average foreign interest rate (G-10 Countries) Chart 6. 3 - J a n -9 6 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.66 5.48 0.18 5.58 5.35 0.23 5.53 5.53 -0.00 5.50 5.61 -0.11 5.36 5.44 -0.08 5.54 5.55 -0.01 5.54 5.48 0.06 5.47 5.44 0.03 5.44 5.43 0.01 5.37 5.37 -0.01 5.54 5.54 0.00 5.54 5.51 0.03 5.47 5.54 -0.07 5.44 5.51 -0.07 5.37 5.40 -0.03 U.S. commercial paper Canadian finance paper, covered Differential 5.60 5.72 -0.12 5.55 5.66 -0.11 5.47 5.59 -0.12 5.43 5.60 -0.18 5.37 5.55 -0.18 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.54 5.60 -0.06 5.54 5.58 -0.04 5.47 5.53 -0.06 5.44 5.49 -0.05 5.37 5.28 0.09 Euro-dollar deposit Swiss interbank, covered Differential 5.54 5.60 -0.06 5.54 5.56 -0.02 5.47 5.53 -0.06 5.44 5.43 0.01 5.37 5.40 -0.03 7.09 6.66 6.01 3.05 3.76 6.01 7.44 5.60 7.12 6.63 5.97 3.14 3.80 5.94 7.47 5.70 7.15 6.50 5.89 3.10 3.82 5.85 7.41 5.69 7.05 6.33 5.83 3.10 3.91 5.82 7.31 5.59 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. 7.22 6.73 6.09 2.95 3.76 6.11 7.51 5.71 Stock Indices (Wednesday figures) Canada 160.59 160.99 156.10 159.06 France 148.37 149.19 144.61 151.96 Germany 122.52 124.78 124.98 127.31 Japan 119.92 123.41 119.30 121.36 Netherlands 174.21 178.71 178.28 180.29 275.67 276.21 Switzerland 269.03 266.36 207.47 United Kingdom 211.48 212.36 213.61 241.22 United States 244.53 236.28 239.13 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 162.09 151.63 129.28 118.99 182.13 268.65 216.32 243.86 to SBF250
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