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(516/517)
Selected Interest &
Exchange Rates
Weekly Series o f Charts
June 17, 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 W EIGHTED AVERAGE VALUES (THIN LINE)
AVERAGES FOR WEEK ENDING W EDNESDAY
RATIO SCALE
MARCH 1973=100
150
RATIO SCALE
MARCH 1973=100
130
—
110
90
320
JAPANESE YEN
—
280
240
i -i
i
I
i
i
i
I
i
i
i
I
i
i
i
200
105
CANADIAN DOLLAR
85
65
i i i l i i i l i i i I i i i
45
CHART 2
3-MONTH FORWARD EXCHANGE RATES
PR E M IU M H O R {-)
A V E R A G E S FOR
OR W E E K E N D IN G W E D N E S D A Y
PERCENT PER ANNUM
PERCENT PER ANNUM
+ O I
+ o
|
CM
CM
^
1“
CD CO
CD
+ O I
CO
T-
^
CM
CM
CO
+ O I
CM
t.o
^
CM
CM
+ O I
+ O i
CM
CM
M- CM
CO CM
+ O l
+ O I
CHART 3
PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING W EDNESDAY
u.s.
U.S. DOLLARS PER FINE OL
LLARS PER FINE OUNCE
425
425
12.5 Kg BARS
AFTERNOON FIXING PRICE
410
410
395
395
380
380
365
365
350
350
335
335
320
J___I___L J- - - - 1- - - - 1- - - - 1- - - - 1_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ I_ _ L
1992
1994
1996
320
CHART 4
CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
PERCENT PER ANNUM
7
6
U.S. FEDERAL FUNDS
6
—
5
SWITZERLAND
4
3
2
JAPAN
1
1 I 1
I I I I I I
0
9
8
GERMANY
7
NETHERLANDS
6
5
4
3
I I 1
1 1.,1
2
9
8
CANADA
7
FRANCE
6
5
4
UNITED KINGDOM
2
I 1 I I I I
1994
J__I_ 1 1
I 8 1
1996
1994
3
1996
CHART 5
3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
CO CD
PERCENT PER ANNUM
CHART 6
EURO-DOLLAR DEPOSIT RATES, LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANN UM
PERCENT PER ANNUM
CHART 7
SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL; PLUS(+)f FAVORS BORROWING IN U S.
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
PERCENT PER ANNUM
ipw w
,B U 1
'*
*
^
___ 1___ 1___ 1___ 1___ 1__ ■
1994
1996
1994
/\
1
-
+o I
Io +
DIFFERENTIAL
”V
1
J__ 1__J__ 1__ 1__J__ 1__
1996
CHART 8
INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+). INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING W EDNESDAY
PERCENT PER ANNUM
PERCENT PER ANNUM
DIFFERENTIAL
i i i 1 i i i I i i i I i i i 11
1
CHART 9
LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
LO ID
CD CD
SWITZERLAND
4
PERCENT PER ANNUM
—
I I I I I I 1 I I I I 1 I I I
CHART 10
STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100
RATIO SCALE
1986=100
1994
1996
1994
1996
1 5 -M a y -9 6
Chart 1.
2 2 -M a y -9 6
2 9 -M a y -9 6
5 -J u n -9 6
1 2 -J u n -9 6
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
154.63
3.1676
73.229
19.229
65.158
0.06452
0.91486
58.202
79.034
153.67
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
.17
124 ,
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
124 .82
72 .99
86 .65
183 .29
37,.03
239,.54
167,.09
254 ,
.26
62,.16
113 ,
.99
64 ,
.01
76,.46
183 .45
30 .55
242 .96
155,.95
58,.04
236 .77
52 .57
88 .91
114 ,
.41
63,.85
76,.62
183,.96
30 .59
240,.21
156,.24
58,.56
237,.76
53 ,
.39
88,.15
114 .18
64,.21
76,.57
184,.00
30,.61
238,.82
156,.23
58..66
236..58
53..20
88..50
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
1.58
2.18
-3.39
5.16
2.73
2.98
-0.55
0.74
1.64
2.20
-3.23
5.16
2.71
3.04
-0.33
391.96
391.30
391.23
389.84
387.36
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
5.33
5.25
4.77
3.69
3.26
0.49
2.56
2.64
6.04
5.25
5.20
4.76
3.69
3.29
0.47
2.70
2.31
5.45
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
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.
0.61
1.57
2.19
-3.49
4.97
2.83
3.53
-0.61
Gold Price in London, Afternoon Fixing
U.S„ dollars per fine ounce
Chart 4.
114 ,
.15
63..91
76..56
183..83
30,.47
244,.85
156,.31
58..32
237..23
52,.27
88..47
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,.25
63,.81
76,.63
183,.98
30,.33
247 ,
.18
156..47
58,.09
239,.11
52,.23
88,.05
Call Money Rates
U.S. federal funds
Overnight Euro-dollar deposits
Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
1 5 -M a y -96
Chart 5.
5 -J u n -9 6
1 2 -J u n -9 6
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
5.47
4.83
3.83
3.26
0.55
2.77
2.44
5.79
3.93
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
5.20
5.25
5.33
5.46
5.63
6.03
Euro-Dollar Deposit Rates
Overnight
7-day
1 -month
3 -month
6-month
1-year
Chart 7.
2 9 -M a y -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.
2 2 -M a y -9 6
Selected Euro-dollar & U.S. Money Market Rates
5.25
5.26
-0.01
5.25
5.22
0.03
5.22
5.19
0.03
5.25
5.33
-0.08
5.20
5.25
-0.05
5.38
5.36
0.02
5.34
5.35
-0.01
5.34
5.34
-0.01
5.41
5.39
0.02
5.46
5.47
-0.01
Euro-dollar deposit
Interbank sterling (London), covered
Differential
5.38
5.43
-0.05
5.34
5.44
-0.09
5.34
5.43
-0.09
5.41
5.45
-0.03
5.46
5.46
-0.01
U.S- commercial paper
Canadian finance paper, covered
Differential
5.39
5.49
-0.10
5.38
5.50
-0.12
5.37
5.48
-0.11
5.41
5.55
-0.14
5.48
5.58
-0.10
Euro-dollar deposit
Interbank DM (Frankfurt), covered
Differential
5.38
5.38
-0.00
5.34
5.37
-0.03
5.34
5.35
-0.01
5.41
5.43
-0.01
5.46
5.48
-0.02
5.38
5.32
0.06
5.34
5.37
-0.02
5.34
5.44
-0.10
5.41
5.49
-0.08
5.46
5.49
-0.04
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
7.78
6.51
6.53
3.19
4.32
6.40
8.04
6.91
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.
7.76
6.49
6.48
3.35
4.04
6.37
8.07
6.72
Stock Indices (Wednesday figures)
173.72
174.62
173.12
173.61
Canada
169.28
169.20
170.44
170.39
France
135.12
133.40
134.94
134.63
Germany
127.27
127.80
127.08
126.66
Japan
205.44
205.23
207.23
208.70
Netherlands
302.24
303.44
303.20
303.44
Switzerland
217.16
217.77
218.03
216.68
United Kingdom
267.36
263.50
262.18
267.13
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
170.17
171.09
134.52
127.39
209.67
303.16
215.64
264.32
to SBF250
@FedFRASER