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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts June 24, 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 SCALE MARCH 1973=100 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM W O R M AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM +O I + O I CM CM t J- 'MCD CO CD CD + O I Tf f— CM CM + O I CO CM ^ t J* CD CM + O I CM CM + O I ^ CM CD CM CM + O I + O l 10 10 1994 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY u.s. c PER FINE OUNCE u s - DOLLARS PER FINE 425 425 410 410 395 395 380 380 365 365 350 350 335 335 320 J— I— I__I___ I___I__ I__ I__ I__ I__ I___I__ I___I___I__ I___I__ I__ I__ I__ I__ I__ L 1992 19 94 1996 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM o o> 16 ---- 14 — 2I I I I I I I I I I I I I I I I 1994 1996 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM cm oo co lo rt ^ co cm ■*— o PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 8 .1 . 1 1 L 1 1 - 1- L l , L . L 1 1 2 8 7-DAY 6 6 4 4 2 » I » 1 » I i I I » I I I I \ 8 2 8 1-MONTH 6 6 4 4 2 « » i l i » i l i i » l i-1 1994 1996 i 2 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 DIFFERENTIAL J__ I__ I 1 1994 1996 1 ■ V*"1'^ \__ I__ I__ I__ I__ I__ I 1994 +o I + OI ■vv*‘ ft' I I I 1996 I 1 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM DIFFERENTIAL 05 co CJ1 un ^ tj- CO co -*■ [\J c\ir- IO + I I I I 1 I I 1 . 1 l ..1. L.. . J . 1 t- i^ -*■ Io + +o l .1 +o l CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM CD O PERCENT PER ANNUM CHART 10 STOCK INDICES WEEKLY SERIES SCALE RATIO SC 1986= 00 290 270 1986=;100 270 UNITED STATES 250 250 230 230 210 210 190 190 170 170 i i i l i i i l i i i l i i i 200 180 GERMANY 150 190 170 160 150 140 130 120 110 100 90 80 240 i i i I i i i I i i i.1 i. i i 70 220 220 200 200 180 180 160 160 140 140 120 120 380 220 340 200 300 180 260 160 100 140 120 100 2 2 -M a y -9 6 Chart 1. 2 9 -M a y -9 6 5 -J u n -9 6 1 2 -J u n -9 6 1 9 -J u 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 3.1674 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 3.1915 73.109 19.358 65.689 0.06486 0.92140 58.631 79.833 153.99 124.81 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 62.54 124.82 72.99 86.65 183.29 37.03 239.54 167.09 254.26 62.16 125.76 72.87 87.23 184.79 37.23 241.25 168.32 256.83 62.28 114.41 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 88.50 114.52 63.78 76.74 184.75 30.63 239.46 156.67 58.99 237.89 53.05 87.97 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 0.72 1.65 2.21 -3.23 5.19 2.71 3.01 -0.30 0.68 1.58 2.17 -3.16 5.19 2.65 2.97 -0.26 391.30 391.23 389.84 387.36 384.99 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 5.24 5.20 4.76 3.69 3.29 0.47 2.70 2.31 5.45 5.35 5.21 4.76 3.69 3.25 0.43 2.68 1.86 5.55 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. 113.99 64.01 76.46 183.45 30.55 242.96 155.95 58.04 236.77 52.57 88.91 0.71 1.56 2.15 -3.29 5.07 2.82 3.34 -0.62 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 frame German mark Italian lira Japanese yen Netherlamds 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 Japem Netherlands Switzerland United Kingdom 22-May-96 29-May-96 5-Jun-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. 5.35 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 5.47 4.92 3.89 3.32 0.54 2.85 2.51 5.78 3.96 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 5.21 5.26 5.33 5.44 5.66 6.04 Euro-Dollar Deposit Rates Overnight 7 -day 1-month 3-month 6-month 1-year Chart 7. 12-Jun-96 19-Jun-96 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.25 5.22 0.03 5.22 5.19 0.03 5.25 5.33 -0.08 5.20 5.24 -0.04 5.21 5.35 -0.14 5.34 5.35 -0.01 5.34 5.34 -0.01 5.41 5.39 0.02 5.46 5.47 -0.01 5.44 5.47 -0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.34 5.44 -0.09 5.34 5.43 -0.09 5.41 5.45 -0.03 5.46 5.49 -0.03 5.44 5.52 -0.07 U.S. commercial paper Canadian finance paper, covered Differential 5.38 5.50 -0.12 5.37 5.48 -0.11 5.41 5.55 -0.14 5.48 5.56 -0.08 5.50 5.61 -0.11 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.34 5.37 -0.03 5.34 5.35 -0.01 5.41 5.43 -0.01 5.46 5.49 -0.03 5.44 5.51 -0.06 Euro-dollar deposit Swiss interbank, covered Differential 5.34 5.37 -0.02 5.34 5.44 -0.10 5.41 5.49 -0.08 5.46 5.47 -0.01 5.44 5.50 -0.05 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 6.94 7.91 6.60 6.64 3.19 4.38 6.55 8.09 6.95 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. 7.74 6.45 6.41 3.26 4.12 6.29 8.00 6.65 Stock Indices (Wednesday figures) 174.62 169.77 Canada 173.61 173.12 170.44 171.09 France 169.20 170.39 134.94 Germany 135.12 135.14 134.63 127.27 127.08 127.39 Japan 126.66 205.44 208.70 209.89 207.23 Netherlands 303.78 302.24 303.20 303.44 Switzerland 216.27 217.77 217.16 United Kingdom 216.68 263.68 United States 267.36 263.50 267.13 Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General spliced at 22dec93, FAZ Aktien, Tokyo SE (Topix) , CBS All-Ger ll, Swiss Bank Index, Financial Times Ordinary, NYSE Composite 168.64 168.84 134.68 128.44 207.50 306.32 215.43 261.21 to SBF250
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