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(516/517) Selected Interest & Exchange Rates Weekly Series o f Charts June 10, 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. 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 RATI° SCALE MARCH 1973=100 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM AVERAGES FOR WEEK irfvlDINtj ^WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + O I + O I CM CM TtCO CO CO ▼ - CO + O I ^ T- CM CM + O I CO CM ^ t J* CO DUTCH GUILDER — CM ^ ^ + O I CM CM + O I CM 1 1 1 1 1 1 I i i i I1 i i i CM + O I + O I ITALIAN LIRA CO CM 1 2 4 6 8 * 1 1 1 1 1 1 1994 1 1 i i i 1 i i 1996 i 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 7 6 U.S. FEDERAL FUNDS 5 SWITZERLAND 4 3 4 — 2 JAPAN 1 i >i i i f T i i I I I 0 9 8 GERMANY 7 NETHERLANDS 6 5 4 3 1 I ■ ■ 1 -1.I 1-1-1 2 9 8 CANADA 7 FRANCE 6 5 4 UNITED KINGDOM ............. I » * I « « I I I I I I I I I I I I I 3 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES "vlO 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 8 2 6 6 4 4 2 2 8 8 8 1-MONTH 6 6 4 4 2 i-i i 1 i i-i .JL-i,. 1994 i i 1 j _|__L 1996 2 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 +o I ~ - — 1 1 1 1 1 1 I 1994 ] IO + DIFFERENTIAL "V 1 1 1 1 1 1 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 + O I + O I T- NCD CD LO LO XT CO CO c\j C\J T - t- DIFFERENTIAL DIFFERENTIAL 1 1 1 I 1 1 1994 1 I 1 1 1 I 1 1 19 9 6 1 i i i 1 i .... + O I + O I ¥nkV ^ _________ . . .. 1 yV'VjyAA^/wny^ ^ i 1994 i 1 i i i 1 i i 1996 i CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM CO CO PERCENT PER ANNUM CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 8 -May-96 Chart 1. 15-May-96 22-May-96 29-May-96 5-Jun-96 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 3.1907 73.248 19.410 65.608 0.06413 0.95353 58.706 80.573 150.97 3.1819 73.090 19.318 65.415 0.06423 0.94718 58.520 80.173 151.73 3.1674 72.920 19.229 65.122 0.06428 0.93567 58.242 79.261 151.26 3.1511 72.751 19.134 64.760 0.06417 0.92566 57.894 78.808 151.46 3.1833 73.065 19.299 65.347 0.06469 0.92245 58.383 79.660 123.99 125.73 73.01 87.47 184.56 36.81 249.67 168.53 259.21 61.06 125.38 72.85 87.05 184.02 36.87 248.00 168.00 257.93 61.37 124.81 72.68 86.65 183.19 36.89 244.99 167.20 254.99 61.18 124.17 72.51 86.22 182.17 36.83 242.37 166.20 253.53 61.26 125.44 72.82 86.97 183.83 37.13 241.53 167.60 256.28 62.54 114.15 63.91 76.56 183.83 30.47 244.85 156.31 58.32 237.23 52.27 88.47 113.99 64.01 76.46 183.45 30.55 242.96 155.95 58.04 236.77 52.57 88.91 127.61 71.46 86.12 208.92 34.22 270.07 174.65 65.17 264.42 42.80 88.15 0.61 1.57 2.19 -3.49 4.97 2.83 3.53 -0.61 0.71 1.56 2.15 -3.29 5.07 2.82 3.34 -0.62 0.71 1.57 2.13 -3.36 5.01 2.79 3.22 -0.61 0.72 1.59 2.16 -3.40 5.14 2.75 2.96 -0.56 393.73 391.96 391.30 391.23 389.84 5.22 5.21 4.74 3.69 3.25 0.49 2.61 2.20 5.94 5.26 5.25 4.68 3.69 3.25 0.46 2.60 1.98 5.80 5.22 5.25 4.73 3.69 3.25 0.45 2.66 2.73 6.03 5.19 5.22 4.75 3.69 3.26 0.48 2.63 2.39 5.91 5.32 5.25 4.77 3.69 3.26 0.49 2.56 2.64 6.04 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 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. 114.25 63.81 76.63 183.98 30.33 247.18 156.47 58.09 239.11 52.23 88.05 0.61 1.67 2.27 -3.37 4.95 2.84 3.67 -0.53 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 114.40 63.86 76.91 184.31 30.23 248.63 156.76 57.48 239.98 51.86 87.89 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. Mar. 1973=100 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 8-May-96 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. 5.38 4.86 3 o75 3.17 0.66 2.64 1.81 6.00 3.92 5.36 4.87 3.78 3.18 0.68 2.59 1.78 6.04 3.93 5.35 4.78 3.81 3.20 0.60 2.57 2.02 6.07 3.91 5.34 4.76 3.78 3.20 0.57 2.61 2.20 6.04 3.92 5.39 4.82 3.83 3.23 0.56 2.65 2.49 6.00 3.95 5.21 5.25 5.31 5.38 5.49 5.85 5.25 5.25 5.31 5.38 5.48 5.81 5.25 5.25 5.29 5.34 5.46 5.76 5.22 5.25 5.28 5.34 5.47 5.75 5.25 5.25 5.33 5.41 5.54 5.94 Euro-Dollar Deposit Rates Overnight 7 -day 1-month 3itnonth 6-month 1-year Chart 7. 15-May-96 22-May-96 29-May-96 5-Jun-96 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.21 5.22 -0.01 5.25 5.26 -0.01 5.25 5.22 0.03 5.22 5.19 0.03 5.25 5.32 -0.07 5.38 5.38 0.01 5.38 5.36 0.02 5.34 5.35 -0.01 5.34 5.34 -0.01 5.41 5.39 0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.38 5.46 -0.08 5.38 5.43 -0.05 5.34 5.44 -0.09 5.34 5.43 -0.09 5.41 5.43 -0.02 U.S. commercial paper Canadian finance paper, covered Differential 5.41 5.48 -0.07 5.39 5.49 -0.10 5.38 5.50 -0.12 5.37 5.48 -0.11 5.41 5.55 -0.14 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.38 5.45 -0.07 5.38 5.38 -0.00 5.34 5.37 -0.03 5.34 5.35 -0.01 5.41 5.41 0.00 Euro-dollar deposit Swiss interbank, covered Differential 5.38 5.49 -0.11 5.38 5.32 0.06 5.34 5.37 -0.02 5.34 5.44 -0.10 5.41 5.46 -0.05 7.76 6.49 6.48 3.35 4.04 6.37 8.07 6.72 7.74 6.45 6.41 3.26 4.12 6.29 8.00 6.65 7.64 6.44 6.43 3.19 4.23 6.31 8.05 6.69 7.74 6.51 6.51 3.13 4.33 6.38 8.10 6.84 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential Chart 8. Chart 9. Interest Arbitrage, 3-Month Funds Long Term Government Bellwether Bond Yields 10-year maturity, where available Canada France Germany Japan Switzerland Netherlands United Kingdom United States Chart 10. 7.90 6.47 6.49 3.37 4.03 6.42 8.16 6.85 Stock Indices (Wednesday figures) Canada 171.98 173.72 174.62 173.61 France 167.43 169.28 170.44 169.20 Germany 131.51 133.40 135.12 134.94 Japan 127.12 127.80 127.27 127.08 Netherlands 198.45 205.23 205.44 207.23 Switzerland 299.91 303.44 302.24 303.20 United Kingdom 215.06 218.03 217.77 217.16 United States 254.34 262.18 267.36 263.50 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 174.10 170.39 134.09 126.66 207.72 304.04 216.63 267.13 to SBF250
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