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(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts March 11, 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=100 150 RATIO SCALE MARCH 1973=100 BELGIAN FRANC 130 — i i i I i i i I » i i I i i i 110 90 75 -55 35 15 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM AVERAGES FOR WEEK 1^sidin <j W ednesday PERCENT PER ANNUM PERCENT PER ANNUM fO | + O I CM CM M- CD CO CD 1 - CD + O I Tfr ■»— C M + O I CM CO CM M* CD CM ^ + O | CM CM + O I CM + O I C D C M + O l M CM 1994 1996 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY u.s. c U.S. DOLLARS PER FINE OUI .LARS 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__ I__ I__ I__ I__ I__ I__ I__ I__ I__ I__I— I__ I___I— I__ I 1992 1994 I___ I___I__ I__ L 1996 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM CD O PERCENT PER ANNUM 9 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM . U.K. INTERBANK STERLING i i i I i i i I i i i I i i i 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 8 2 8 8 1-MONTH 6 6 4 4 2 i » i l i i i l i i i i i i i 1994 1996 2 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES D IFFER EN TIA L: 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 +O I +O I ............. . v^v‘i>uV*l'nft";jra*'rWl'^ J__ I__ I__ I__ I_J__ I__ I__ I 1994 1996 1994 I I I I I 1996 I I, CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM T -r^ 0 1 + t- r- +o I co lo lo co co oj c \ jr - t— co + o I +ol CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 8 10 9 7 8 6 7 5 10 6 9 8 8 7 7 6 6 6 5 5 5 4 4 3 3 2 8 8 7 7 6 6 9 5 5 1994 1996 1994 1996 CHART 10 STOCK INDICES WEEKLY SERIES 1986: 100 100 270 250 UNITED STATES 250 230 230 210 210 190 190 170 170 180 l I I l I I I l I I I I I I l 150 170 GERMANY 160 150 140 130 120 110 100 90 80 i i i l i i i l i i i l i i i 70 200 210 CANADA FRANCE 190 180 170 160 150 140 130 120 110 I 1 1 I I I I I I I I I I I I 340 I I I I I I I I I I I I I I I 100 200 SWITZERLAND 300 180 260 160 220 140 180 120 140 I I I I I I » I 1 > I I I I » 1994 1996 100 7-Feb-96 Chart 1. 14-Feb-96 21 -Feb-96 28-Feb-96 6-Mar-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 3.2966 72.743 19.715 67.764 0.06354 0.94521 60.519 82.943 153.06 3.2997 72.828 19.726 67.840 0.06363 0.93619 60.616 83.100 153.32 3.3314 72.444 19.887 68.530 0.06323 0.94589 61.206 84.058 154.36 3 .3986 72.708 20.053 68.917 0.06426 0.95692 61.528 84.673 153.97 3.2964 72.898 19.768 67.766 0.06444 0.95052 60.522 83.218 152.89 129.90 72.50 88.84 190.63 36.47 247.49 173.74 266.84 61.91 130.02 72.59 88.89 190.84 36.52 245.13 174.02 267.34 62.01 131.27 72.20 89.61 192.78 36.29 247.67 175.71 270.43 62.43 133.92 72.47 90.36 193.87 36.89 250.55 176.63 272.40 62.27 129.90 72.66 89.08 190.63 36.99 248.88 173.75 267.72 61.84 117.86 62.09 77.71 190.74 29.30 242.31 161.32 56.28 246.84 52.28 86.23 119.54 61.90 77.87 190.54 29.61 243.70 161.10 57.22 247.04 51.76 85.53 116.83 62.67 77.39 188.71 29.97 244.26 159.77 56.95 244.87 51.86 86.48 0.13 0.86 1.93 -4.36 4.70 2.20 3.57 -0.92 0.01 0.74 1.84 -4.77 4.69 2.08 3.55 -0.90 -0.02 0.87 1.91 -4.56 4.76 2.13 3.69 -0.86 0.04 0.98 1.96 -4.34 4.85 2.14 3.63 -0.79 412.98 405.34 402.76 398.79 395.96 5.21 5.17 5.22 4.21 3.34 0.47 3.08 1.51 6.26 5.09 5.18 5.23 4.13 3.33 0.48 3.14 1.28 6.28 5.17 5.18 5.20 4.13 3.30 0.44 3.09 1.44 6.08 5.31 5.16 5.12 4.10 3.09 0.46 3.11 1.44 6.08 5.57 5.23 5.18 4.04 3.23 0.45 3.06 1.63 6.53 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. 0.08 0.86 1.99 -4.21 4.86 2.25 3.50 -0.88 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 117.32 62.80 77.46 189.63 29.66 240.94 160.55 55.84 245.27 52.19 86.81 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. 117.18 62.71 77.40 189.33 29.61 243.49 160.24 55.74 244.74 52.08 86.79 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 7 - F e b - 96 Chart 5. 2 8 -F e b -9 6 6 -M a r-9 6 5.16 5.26 4.28 3.25 0.56 2.94 1.70 6.16 4.20 5.13 5.12 4.24 3.20 0.57 2.94 1.60 6.14 4.17 5.14 5.22 4.38 3.26 0.62 3.06 1.59 6.11 4.27 5.14 5.28 4.28 3.31 0.66 3.06 1.59 6.10 4.24 5.17 5.24 4.17 3.26 0.66 3.06 1.58 6.06 4.18 5.17 5.24 5.24 5.17 5.07 4.94 5.18 5.23 5.19 5.13 5.01 4.89 5.18 5.20 5.18 5.13 5.02 4.94 5.16 5.19 5.19 5.13 5.07 5.05 5.23 5.22 5.19 5.17 5.14 5.14 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 2 1 -F e b -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. 1 4 -F e b -9 6 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.17 5.21 -0.04 5.18 5.09 0.09 5.18 5.17 0.01 5.16 5.31 -0.15 5.23 5.57 -0.34 5.17 5.16 0.01 5.13 5.13 -0.00 5.13 5.14 -0.00 5.13 5.14 -0.01 5.17 5.17 -0.00 Euro-dollar deposit Interbank sterling (London), covered Differential 5.17 5.26 -0.09 5.13 5.21 -0.08 5.13 5.19 -0.06 5.13 5.22 -0.09 5.17 5.26 -0.09 U.S. commercial paper Canadian finance paper, covered Differential 5.17 5.34 -0.17 5.13 5.25 -0.11 5.14 5.23 -0.10 5.15 5.26 -0.12 5.18 5.28 -0.10 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.17 5.26 -0.09 5.13 5.15 -0.02 5.13 5.11 0.03 5.13 5.24 -0.11 5.17 5.24 -0.07 Euro-dollar deposit Swiss interbank, covered Differential 5.17 5.21 -0.04 5.13 5.18 -0.05 5.13 5.15 -0.02 5.13 5.29 -0.16 5.17 5.22 -0.05 7.02 6.55 6.12 3.11 4.29 6.15 7.61 5.63 7.29 6.68 6.28 3.21 4.15 6.32 7.77 5.86 7.49 6.68 6.36 3.32 4.12 6.35 7.89 6.01 7.44 6.58 6.33 3.21 4.03 6.32 7.85 6.01 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. 7.06 6.49 6.01 3.11 4.23 6.04 7.58 5.67 Stock Indices (Wednesday figures) Canada 167.51 164.86 168.61 165.33 France 155.76 159.27 154.94 154.05 Germany 130.75 129.54 131.23 127.13 Japan 122.66 118.92 116.99 122.30 Netherlands 185.27 183.05 182.02 186.30 Switzerland 272.78 281.66 273.05 271.76 United Kingdom 212.47 221.59 212.48 212.66 United States 254.59 254.11 253.34 256.82 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, Financia" Times Ordinary, NYSE Composite 165.73 160.98 131.32 117.35 187.01 284.84 216.85 256.91 to SBF250
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