Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : June 27, 1994

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Selected Interest 6f
Exchange Rates
Weekly Series of Charts

June 27,1994
Prepared by the
FINANCIAL MARKETS
SECTION




DIVISION OF

INTERNATIONAL FINANCE
BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, DC. 20551

Table of Contents

TABLES
1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
H.10 RELEASE
CHARTS
1.
2.
3.
4.
5.
6.
7.

SPOT EXCHANGE RATE INDICES
3-MONTH FORWARD EXCHANGE RATES
GOLD PRICE—LONDON
CALL MONEY RATES
3-MONTH INTEREST RATES
EURO-DOLLAR DEPOSIT RATES
SELECTED EURO-DOLLAR AND
U.S. MONEY MARKET RATES
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 order of 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

120
110
100

RATIO SCALE
MARCH 1973=100

145
135
125
115
105

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

90
80

95

BELGIAN FRANC

70

85
•

60

•

•

I

•

'

•

l

•

•

i

I

i

i

i

•

I

I

I

I

I

I

I

I

'

I

I

I

I

I

75
280

290
270
250

260
240

230

220

210

200

190

180

JAPANESE YEN

SWISS FRANC

160
I

I

'

I

'

'

I

I

'

'

'

I

I

I

'

1

1

l

1

1

1

1

I

1

•

i

1

•

•

140
100
90
80

70
U.K. POUND

55
45

1

1

1

I

'

60

CANADIAN DOLLAR
1

1

1

l

1

1

I

'

i

i

i

•

I

I

I

I

•

'

I

•

'

'

200

50

160

250
230
210

140

190

180

DUTCH GUILDER

120

100

•

•

•

I

'

•

170

GERMAN MARK
•

1 •

•

I

I

1 I

I

1

1

1

I

1

1

1

1

I

150

1

1

I

'

I

I

105

130
65

95

55

85

45

75
65
55

'

'

•




I

•

• '
1992

35

ITALIAN LIRA

FRENCH FRANC
I

•

i

i

l

'

i i
1994

i

i

I

'

' '
1992

l

i

'

i

I

• J L
1994

25

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

U.K. POUND

GERMAN MARK

8

8

2

JAPANESE YEN

CANADIAN DOLLAR
+

0

2

4

4

6
2
+

DUTCH GUILDER

SWISS FRANC

0

2

4
6
8
2
+

0

8

ITALIAN LIRA

FRENCH FRANC

2

4
6
8
10
12




1992

1994

18

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S. DOLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE OUNCE

420

420

400

12.5 Kg BARS

400

AFTERNOON FIXING PRICE

380

380

360

360

340

340

320



J

1991

1

I

L
1992

i_J

L

J
1993

I

I

I
1994

•

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
CENT PER ANNUM

PERCENT PER ANI

8

10

SWITZERLAND
8

U.S. FEDERAL FUNDS

6

6

4
4

JAPAN
2

2
10

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

i

i

i

l

i

i

i

I

i

i

i

I

i

i

i

0
10

9

9

8

8

GERMANY
7

7

NETHERLANDS

6

6

5

5

4

i

i

i

I

i

i

i

I

i

i

i

I

i

i

'

•

i

'

l

'

i

i

I

i

i

i

I

i

'

i

16

14

4
14
12

FRANCE

12

10

CANADA

10

8

8

6

6

4
UNITED KINGDOM

4
2

•

i




I

i

»»
1992

I

i

i

i

2

I

I

i i
1994

i

i

i

I

i

i i
1992

I

i

i

i

I

i

i i
1994

0

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM

13
WEIGHTED AVERAGE
FOREIGN RATE

11
CANADIAN FINANCE PAPER

U.S. CD'S

'

i

i

I

i

i

i

I

i

'

i

I

•

1

'

1

1

I

1

1

1

1

I

1

1

I

'

i

'

3
11

U.K. INTERBANK STERLING

13

10

NETHERLANDS INTERBANK RATE

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

I

I

I

I

I

'

'

I

'

'

I

I

I

I

I
13

JAPANESE CD RATE

11

FRENCH INTERBANK RATE

1

'

i

i

I

i

i

i

I

i

i

i

I

i

i

i

'

'

•

I

'

•

•

I

•

•

'

5

10

12

10

SWISS INTERBANK
GERMAN INTERBANK RATE

i

i

i




I

'

1 1

1992

I

'

1 1

I

1

•
1994

i

i

'

i
1992

I

i

i
1994

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
CENT PER ANNUM

PERCENT PER AN

10

10

OVERNIGHT

3-MONTH

8

8

6

6

4

4

2

'

i i I i i i I i i ' I ' i i

'

' i l « i i I i i i I i i i

10

7-DAY

8

6-MONTH

2
10

8

6

6

4

4

2

i i i I i i i I i i i l ' i '

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

10

8

2
10

1-YEAR

1-MONTH

8

6

6

4

4

2




i

i

i

l

i

i i
1992

i

i

1

i

l

i

i i
1994

2

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S.
AVERAGES FOR W E E K ENDING WEDNESDAY
PERCENT PER ANNUM
10

PERCENT PER ANNUM
10

3-MONTH

OVERNIGHT

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

FEDERAL FUN

90-DAY CD'S

DASHED LINE

DASHED LINE

J

I

I

I

I

I

I

I

l

I

I

I

I

I

L
—

DIFFERENTIAL

DIFFERENTIAL
—

i
J

yvw
I

I




I

I

I
I
1992

I

I

w—
l_J

I

i

i
'
1994

i

i

I

I

I

I
I
1992

I

I

I

I

I

I

I
I
1994

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
3CENT PER ANNUM

PERCENT PER ANNl

8

v

INTERBANK STERLING

l

COVERED LONDON

6

CANADIAN FINANCE
CO. PAPER, COVERED

4

EURO-DOLLAR DEPOSITS
DASHED LINE

i

2

'

i

I

i

i

'

I

'

'

i

I

i

i

i

U.S. COMMERCIAL PAPER
DASHED LINE
• I I I I • I I '

I

'

I ' l '

1

DIFFERENTIAL

DIFFERENTIAL

+

0

1

J

^

'

'

'

I

'

v""Vw

•

'

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i

I

I

I

i

'

i

I

I

I

I

'

I

I

'

I

1 I

I

I

I

8

INTERBANK DM

6

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

4

EURO-DOLLAR DEPOSITS'
DASHED LINE
2

1

1

1

I

1

1

1

I

1

EURO-DOLLAR DEP SITS
DASHED LINE
1

I

I

'

I

'

I

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'

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'

'

'

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i

i

*

l

1

DIFFERENTIAL

DIFFERENTIAL

+

0

1

1

1

•

I




1

1

1

1992

1

1

1

1

I

I

I I
1994

•

i

i

I

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1992

i

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1994

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
RCENT PER ANNUM

PERCENT PER ANNI

9
UNITED STATES

UNITED KINGDOM

8

7
6
5
4

I

I

I

I

I

I

I

I

I

I

I

JL_L

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

> i

i

i

I

1

» i
1994

11

FRANCE

CANADA
10

9
8

7
6
8

i

'

i

l

i

'

'

l

i

'

•

l

i

'

i

SWITZERLAND

JAPAN

7
6
5
4
3

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

10

NETHERLANDS

GERMANY

9
8

7
6
5

•

'




•

I

1 • '
1992

I

•

•

I

I

I

' I
1994

»

i

i

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1992

CHART 10

STOCK INDICES
WEEKLY SERIES
1986:

SCALE

RATIO S
198i

100

220

UNITED STATES

200

— UNITED KINGDOM

180

160
140
120
250
225

SWITZERLAND

APAN

200

175
150
125

100
160
GERMANY

CANADA

140
120

100

•

80

i

i

1 i

i

i

I

i

'

i

I

i

i

210

FRANCE

195

— NETHERLANDS

180

165
150
135
120
105

i

» i .1




'

i i
1992

I

i

'

i

I

i

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1994

1992

1994

i

25-May-94 l-Jun-94
Chart 1.

8-Jun-94

15-Jun-94 22-Jun-94

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

2.9454
72.562
17.720
60.637
0.06291
0.95795
54.040
71.041
150.77

2.9538
72.158
17.790
60.820
0.06274
0.95651
54.220
71.300
151.24

2.9163
72.573
17.597
60.046
0.06188
0.95320
53.552
70.796
150.73

2.9357
72.424
17.751
60.488
0.06232
0.96823
53.945
71.777
151.48

3.0186
71.997
18.186
62.168
0.06308
0.97876
55.477
73.775
153.22

116.06
72.32
79.85
170.58
36.11
250.82
155.14
228.55
60.98

116 .39
71. 92
80. 17
171. 09
36 .01
250 .44
155 .65
229 .38
61. 17

114 ,
.92
72 ,
.33
.29
79 .
168 ,
.91
35,.52
249 .
.58
.74
153 .
227 ,
.76
.96
60 .

115 .68
72 .18
79 .99
170 .16
35 .77
253 .51
154 .86
230 .91
61 .27

118 .95
71 .76
81 .95
174 .88
36 .21
256 .27
159 ,
.26
237 .34
61 .97

.34
109 ,
66 .50
72 ,
.64
175 ,
.35
.60
30 ,
261,.94
.40
149 .
51,.89
220 .46
54 ,
.52
.29
93 .

109 .43
65 .95
72 .88
175 .68
30 .64
264 .86
149 .65
51..56
222 .28
54 ,
.47
92 .61

111 .00
64 .52
73 .69
178 .45
30 .57
263 ,
.82
151,.85
51,.91
225 ,
.31
54 ,
.30
90 .94

-1 .61
-0 .97
-0 .47
-3 .22
2 .53
,
-0 .48
0 .24
-0 .58

-2 .16
,
-1,.01
-0,.40
-3 .67
,
2 .55
.
-0,.39
,
0 .27
-0..56

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.

-1.49
-1.08
-0.64
-3.03
2.47
-0.56
0 .42
-0.60

-1. 66
-1. 02
-0.54
-3 .06
2 .52
-0.51
0 .30
-0 .61

-1,. 61
-1 .04
,
-1,.20
-3 .18
,
2 .50
,
-0 .54
,
0 .15
,
-0 .62
,

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

110 .04
65 .62
72 .99
176 .66
30. 83
261. 02
150 .33
52 .35
220 .57
54 .33
92 .50

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.

109.78
66.06
72.72
176.14
30.94
261.63
149.89
52.89
219.88
54.18
92.57

385.64

386. 05

381..31

383 .22

389 ,
.35

4.22
4 .09
5.71
5.59
5.19
1.86
5.13
4.13
4.78

4 .27
4 .08
5. 71
5 .49
4 .84
2 .01
5. 11
4 .28
4 .81

4 .13
,
4 .15
,
5..67
5 .44
,
5 .06
,
1,.97
5 .05
,
4 .05
,
4 .95
,

4 .21
4 .10
5 .56
,
5 .38
4 .99
2 .00
4 .97
3 .85
4 .48

4 .20
,
4 .15
,
5 .66
,
5 .31
,
4 .94
,
2 .00
4 .88
,
3 .95
,
4 .70
.

Call Money Rates

U.S. federal funds
Overnight Euro-dollar deposits
Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom




lay -94 1- Jun-94
Chart 5.

4 .48
6 .25
5 .46
5 .04
2 . 13
5 .04
3 .95
5 .09
4 .83

4 .51
6 .28
5 .48
5 . 04
2 .13
5 . 05
4 .13
5 . 16
4 .86

4 .47
6 .31
5 .46
5 . 00
2 . 11
5 .02
4 .25
5 .17
4 . 85

4 .44
6 .18
5 .40
4 .98
2 .10
4 .94
4 .18
5 .10
4 .81

4 .49
6 .73
5 .42
4 .95
2 .12
4 .92
4 .25
5 .09
4 .89

4 .09
4 . 11
4 .20
4 .48
4 .80
5 .34

4 .08
4 . 12
4 .20
4 .50
4 .83
5 .41

4 . 15
4 .19
4 .25
4 .46
4 .80
5 .41

4 .10
4 . 16
4 .23
4 .45
4 .76
5 .36

4 .15
4 .19
4 .23
4 .48
4 .80
5 .39

Euro-Dollar Deposit Rates

Overnight
7-day
1-month
3-month
6-month
1-year
Chart 7.

15-Jun -94 22-Jun -94

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.

8-Jun-94

Selected Euro-dollar & U.S. Mone]r Market Rates

Overnight Euro-dollar deposits
U.S. federal funds
Differential

4 .09
,
4 .22
,
-0..13

4..08
4 .27
-0 . 19

4 . 15
4 . 13
0 .02

4 . 10
4 .21
-0 . 11

4 .15
4 .20
-0 .05

3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential

4 .48
.
4 .48
.
-0 .
.00

4 .50
4 .51
-0 . 00

4 .46
4 .47
-0 . 01

4 .45
.
4 .44
.
0 . 01

4 .48
.
4 .49
.
-0 . 01

Euro-dollar deposit
Interbank sterling (London), covered
Differential

4.
,48
4 .49
-0 .
, 01

4 .50
4 .54
,
-0 .
, 04

4 .46
.
4 .55
,
-0 .09
.

4 .45
.
4 .51
.
-0 .
.06

4 .48
.
4 ,52
.
-0 ,
. 05

U.S. commercial paper
Canadian finance paper, covered
Differential

4 .54
4 .73
-0. 19

4 .58
,
4.
, 60
-0..02

4 .55
.
4 .68
.
-0..13

4 .52
.
4 .55
-0. 03

4 .54
.
4.
,54
0. 00

Euro-dollar deposit
Interbank DM (Frankfurt), covered
Differential

4 .48
4 .39
0. 08

4 .50
,
4 .49
.
0 . 01

4 .46
.
3 . 78
0.
,68

4 .45
4 .50
-0.05

4 .48
4 .55
-0.07

Euro-dollar deposit
Swiss interbank, covered
Differential

4 .48
4 .38
0 .09

4 .50
.
4 .43
.
0 . 07

4 .46
4 .40
0 .06

4 .45
4 .42
0 .03

4 .48
4 .52
-0.04

8 .63
7 .21
6. 89
3 .86
4 .81
7 .00
8 .43
7 .13

8 .63
7 .40
6. 96
4 .20
5 .01
7 .10
8. 48
6. 97

8 .78
7 .40
6 .96
4 .20
5 .13
7 .08
8. 46
7 .04

9 .28
7. 79
7 .21
4 .36
5 .41
7 .29
8 .75
7 .14

Chart 8.

Chart 9.

Interest Arbitrage, 3-Month Funds

10-year maturity, where available

Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United States
Chart 10.

nd Yields
8. 35
6. 83
6. 59
3 .81
4 .75
6. 68
7 .93
7. 10

Stock Indices (Wednesday figures)

Canada
142 .
.06
142 .95
140 . 01
138 .84
France
164 ,
.08
157 .19
161 .28
155 ,
.30
Germany
123 ,
.33
120 ,
.09
121 .45
118 ,
. 01
Japan
125 ,
.39
128 ,
.06
128 .
.38
128 ,
.42
Netherlands
147 .
.81
142 ,
.55
147 ,
. 81
147 ,
.43
Switzerland
222,.73
226 ,
.32
229 ,
.80
225 ,
.33
United Kingdom
186 .
.11
180 ,
.66
187 ,
. 12
186 .
.19
United States
185 .
.30
185 .
.88
186 ,
. 05
186..83
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at 22dec94, FAZ Aktien, Tokyo SE (Topix), CBS All-General, Swiss Bank Index,
Financial
 Times Ordinary, NYSE Composite


135 .04
150 .68
114 ,
. 11
124 ,
.69
141 ,
.35
217 ,
.30
179 .
.34
183 . 77

FEDERAL RESERVE statistical release
'%^TRE^V'
H.10(512)

June 27, 1994

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

JUNE 24, 1994

The Board of Governors of the Federal Reserve System is advised that the Federal Reserve Bank of New York has certified
for customs purposes the following noon buying rates in New York City for cable transfers payable in foreign currencies:

COUNTRY

MONETARY
UNIT

XAUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
xEURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
^IRELAND
ITALY
JAPAN
MALAYSIA
MEXICO
NETHERLANDS
*NEW ZEALAND
NORWAY
PORTUGAL
SINGAPORE
SOUTH AFRICA
SOUTH KOREA
SPAIN
SRI LANKA
SWEDEN
SWITZERLAND
TAIWAN
THAILAND
*UNITED KINGDOM

DOLLAR
SCHILLING
FRANC
DOLLAR
YUAN
KRONE
ECU
MARKKA
FRANC
D. MARK
DRACHMA
DOLLAR
RUPEE
POUND
LIRA
YEN
RINGGIT
PESO
GUILDER
DOLLAR
KRONE
ESCUDO
DOLLAR
RAND
WON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

MEMO:
<*UNITED STATES

DOLLAR

Jun. 20

(CURRENCY UNITS PER DOLLAR)
Jun. 23
Jun. 22
Jun. 21

Jun. 24

0.7380
11.266
32.970
1.3940
8.6769
6.2830
1.1990
5.3535
5.4680
1.6010
241.74
7.7287
31.370
1.5100
1584.25
101.90
2.5955
3.3720
1.7940
0.5950
6.9620
166.58
1.5280
3.6450
810.00
133.490
49.300
7.7220
1.3500
27.049
25.090
1.5385

0.7438
11.208
32.810
1.3805
8.6764
6.2510
1.2043
5.3125
5.4485
1.5930
241.25
7.7286
31.373
1.5160
1572.25
101.78
2.5955
3.3750
1.7856
0.5953
6.9270
165.08
1.5293
3.6560
811.70
132.830
49.200
7.6740
1.3445
27.040
25.050
1.5405

0.7390
11.295
33.080
1.3850
8.6757
6.3040
1.1946
5.3430
5.4945
1.6060
243.10
7.7290
31.370
1.5050
1578.50
101.17
2.5885
3.3780
1.7995
0.5936
6.9825
166.40
1.5300
3.6505
812.10
133.750
49.200
7.7070
1.3520
26.953
25.050
1.5315

0.7328
11.262
32.970
1.3853
8.6750
6.2870
1.1996
5.3280
5.4765
1.6008
241.98
7.7300
31.373
1.5130
1573.00
101.10
2.5870
3.3900
1.7938
0.5910
6.9620
165.62
1.5283
3.6150
810.20
132.580
49.250
7.6900
1.3475
26.980
25.070
1.5415

0.7278
11.157
32.680
1.3898
8.6744
6.2280
1.2090
5.2790
5.4415
1.5865
239.52
7.7286
31.370
1.5243
1563.50
100.50
2.5904
3.3900
1.7778
0.5880
6.9035
163.88
1.5272
3.6260
809.40
131.300
49.180
7.6315
1.3320
27.020
25.090
1.5519

90.64

90.23

90.67

90.40

89.81

KVALUE IS U.S. DOLLARS
**INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10
COUNTRIES. MARCH 1973 = 100. WEIGHTS ARE 1972-76 GLOBAL TRADE OF EACH OF THE 10 COUNTRIES.
SERIES REVISED AS OF AUGUST 1978. FOR DESCRIPTION AND BACK DATA, SEE "INDEX OF THE
WEIGHTED-AVERAGE EXCHANGE VALUE OF THE U.S. DOLLAR: REVISION" ON PAGE 700 OF THE AUGUST
1978 FEDERAL RESERVE BULLETIN.
THIS RELEASE IS AVAILABLE ONLINE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL (202) 482-1986.
FOR INFORMATION ABOUT YOUR SUBSCRIPTION TO THIS RELEASE OR ABOUT RECEIVING IT IN DOCUMENT
FORM, PLEASE CALL PUBLICATIONS SERVICES AT THE FEDERAL RESERVE BOARD AT (202) 452-3244.