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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts July 29, 1996 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS 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 SCALE MARCH 1973=100 120 100 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 80 60 i i i I i i i I.I..I-1 I i i i. 320 — 280 — 240 200 100 U.K. POUND 80 60 » I I I I I I l I I I I 1 I 1 175 — 155 135 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 ^ ^ t- COCO + 0 1 CO CO vCM CM CO + O I Tj- CO CM ^ CM CM + O I + O l CM CM 'M’ M- CM CO CM + O I + O I 2 4 6 8 10 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE u s - DOLLARS PER FINE OUNCE CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 16 ----- 14 — 2 I I I I l L L_l 1994 I I I I l I I I 1996 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM "s| o CD GO PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 1— 1-1 I 1 L J I I 1 1 1 I I I 8 2 8 7-DAY 6 6 4 4 2 I I I I I 1 1 ,1.1. .I I I 8 2 8 1-MONTH 6 6 4 4 2 i i I B I 8 1994 2 1996 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FA VO R S B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 4-0 I Io + DIFFERENTIAL J__ I__ L__I__ I 1994 1996 l 1994 l I__ I__ I__ I__ I__ I__ I__ L 1996 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+)?INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM lo + -v r\:> co 4^ an -* Io + PERCENT PER ANNUM 1994 1996 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM CD CD CD CO CO — i i i I i i i I i i i I i i GERMANY i i 1 i i i I i i i I i i i 1994 1996 4 CH ART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 270 JAPAN 170 150 — | 130 110 — i i i I i i i I i i i I i i i 90 70 240 FRANCE 120 ■ i i I i i i 220 200 180 160 140 120 10 0 2 6 - J u n -9 6 Chart 1. 3 -J u l-9 6 1 0 -J u l-9 6 1 7 -J u l-9 6 2 4 -J u l-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 3.1787 73.355 19.307 65.421 0.06506 0.91800 58.353 79.364 154.04 3.1908 73.349 19.415 65.656 0.06521 0.91092 58.552 79.926 155.41 3.1781 73.021 19.348 65.453 0.06512 0.90427 58.345 79.127 155.13 3.2222 72.953 19.592 66.347 0.06536 0.91065 59.094 80.626 155.19 3.2612 73.032 19.847 67.221 0.06600 0.92588 59.896 82.437 154.99 125.25 73.11 87.00 184.04 37.34 240.36 167.52 255.33 62.30 125.73 73.11 87.49 184.69 37.43 238.51 168.09 257.13 62.86 125.23 72.78 87.19 184.12 37.38 236.77 167.50 254.56 62.74 126.97 72.71 88.29 186.64 37.52 238.44 169.65 259.39 62.77 128.51 72.79 89.44 189.10 37.88 242.43 171.95 265.21 62.69 114.34 63.87 76.92 184.54 30.84 235.18 156.29 58.97 236.37 53.64 88.26 115.20 63.36 77.43 186.08 30.75 235.29 157.32 58.66 239.34 53.28 87.53 115.64 62.86 77.82 187.12 30.79 237.46 158.18 58.92 242.77 52.71 86.60 0.80 1.73 2.24 -3.01 5.19 2.65 3.00 -0.18 0.84 1.81 2.30 -3.01 5.28 2.59 2.95 -0.06 0.85 1.84 2.30 -3.20 5.17 2.53 3.02 -0.06 0.96 1.93 2.34 -2.87 5.07 2.63 3.05 -0.13 384.14 382.08 382.06 383.34 384.59 5.21 5.22 4.71 3.69 3.25 0.49 2.73 2.23 5.45 5.53 5.31 4.73 3.64 3.36 0.49 2.70 2.58 5.85 5.26 5.28 4.71 3.61 3.27 0.48 2.93 2.50 5.56 5.23 5.18 4.72 3.56 3.26 0.46 2.95 2.04 5.73 5.25 5.15 4.62 3.51 3.23 0.47 2.61 2.21 5.68 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 indicesi, Mar. 1973t=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. 0.73 1.63 2.21 -2.77 5.14 2.63 2.83 -0.20 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 114.44 63.97 76.95 184.53 30.78 236.29 156.36 59.10 238.06 53.56 87.92 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. 114.20 64.10 76.63 184.15 30.77 238.84 156.10 59.40 236.78 53.15 88.12 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 2 6 - J u n -9 6 Chart 5. 1 7 -J u l-9 6 24 J u l-9 6 5.48 4.91 3.85 3.30 0.59 2.88 2.68 5 c73 3.92 5.47 4.83 3.79 3.30 0.62 2.88 2.48 5.73 3.92 5.57 4.84 3.80 3.30 0.63 2.97 2.58 5.67 3.93 5.55 4.83 3.75 3.30 0.66 3.09 2.59 5.68 3.96 5.52 4.70 3.65 3.27 0.72 2.95 2.49 5.69 3.89 5.22 5.31 5.34 5.47 5.65 6.05 5.31 5.32 5.34 5.48 5.66 5.98 5.28 5.30 5.37 5.51 5.72 6.06 5.18 5.26 5.33 5.51 5.75 6.08 5.15 5.24 5.24 5.43 5.71 5.98 5.15 5.25 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 1 0 -J u l-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 fate (G-10 Countries) Chart 6. 3 -J u l-9 6 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.22 5.21 0.01 5.31 5.53 -0.22 5.28 5.26 0.01 5.18 5.23 -0.05 - 5.47 5.48 -0.01 5.48 5.47 0.00 5.51 5.57 -0.05 5.51 5.55 -0.04 5.43 5.52 -0.08 Euro-dollar deposit Interbank sterling (London), covered Differential 5.47 5.53 -0.06 5.48 5.55 -0.07 5.51 5.61 -0.10 5.51 5.62 -0.11 5.43 5.56 -0.13 U.S. commercial paper Canadian finance paper, covered Differential 5.50 5.65 -0.14 5.51 5.65 -0.14 5.57 5.69 -0.12 5.55 5.69 -0.13 5.51 5.67 -0.15 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.47 5.53 -0.06 5.48 5.55 -0.08 5.51 5.62 -0.11 5.51 5.62 -0.11 5.43 5.63 Euro-dollar deposit Swiss interbank, covered Differential 5.47 5.52 -0.05 5.48 5.50 -0.02 5.51 5.54 -0.03 5.51 5.63 -0.12 7.74 6.55 6.55 3.20 4.28 6.47 7.93 6.78 7.81 6.59 6.58 3.26 4.26 6.52 7.93 7.02 7.74 6.56 6.53 3.30 4.22 6.48 7.93 6.86 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential Chart 8. Chart 9. Interest Arbitrage, 3-Month Funds - 0.20 5.43 5.56 - 0.12 Long Term Government Bellwether Bond Yields 10-year maturity, where available Canada France Germany Japan Switzerland Netherlands United Kingdom United States Chart 10. 0.10 7.85 6.60 6.61 3.25 4.37 6.54 8.03 6.94 7.66 6.42 6.40 3.31 4.18 6.35 7.91 6.80 Stock Indices (Wednesday figures) 167.54 169.09 164.62 169.90 Canada 169.54 167.44 169.36 160.78 France 136.44 Germany 136.00 136.08 132.23 128.42 Japan 130.22 125.38 122.92 207.21 205.26 195.07 206.56 Netherlands 313.07 313.29 316.08 305.80 Switzerland 214.77 207.82 211.69 United Kingdom 211.08 264.92 258.58 250.02 261.61 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 162.63 157.86 129.89 119.60 190.73 290.27 208.92 247.06 to SBF250
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