The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
(516/517) Selected Interest & Exchange Rates W eekly Series o f Charts March 4, 1996 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS SECTION 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 RAT'0 SCALE MARCH 1973=100 100 U.K. POUND 80 60 I I I I I I I I I I I I * » I 75 55 35 15 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM AVERAGES FOR WEEK ^ID IN ^ W E D N E S D A Y PERCENT PER ANNUM PERCENT PER ANNUM -f o I CM CM ^ Tj- CD r - CD 00 + O I CD + O I TCO C M + O l CM CM ^ CD CM ^ + O I CM CM fO | CM ^ *sT CM CD CM + O | + O i 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 410 410 395 395 380 380 A 365 365 350 350 335 335 320 I I 1 I__ I__ I___I__ I___I__ I__ I__ I__ I__ I__ I__ I 1992 1994 I 1 I I I I__ l 1996 320 CHART 4 CALL MONEY RATES WEEKLY SERIES ERCENT PER ANNUM PERCENT PER ANNUM 7 7 6 U.S. FEDERAL FUNDS 6 5 5 4 3 4 2 3 1 2 9 i. j . i. L . i - i , 1, 1- LJ -i .1 l 0 9 8 8 7 7 6 6 5 5 4 4 3 3 2 16 2 9 14 8 12 7 10 6 8 5 6 4 4 3 2 1994 1996 1994 1996 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER RCENT PER ANNUM 9 10 8 7 VWEIGHTED AVERAGE .FOREIGN RATE 6 5 4 U.S. CD’S 2 i i i I i i « I i i i I i i i 8 7 U.K. INTERBANK STERLING 3 9 7 6 5 5 3 .!— L-l—I—,1_I— I-i -L.L-.l_t -L-L 4 4 1 13 11 3 JAPANESE CD RATE 9 2 7 1 0 5 i i i I i i » 1 i i i 1 i i i 7 5 3 9 7 SWISS INTERBANK 5 3 3 1 « i i I i i i 1 i i i I i » » 1994 1996 1 CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM —— Io + Io + DIFFERENTIAL __I__I__I__I__I__i__I__I__I_I__1 i 1 1_J__ 1994 1996 1994 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 I 05 CO to -»■ rv> C \ ] t+ 0 | CO !o + -p» CD ai \ i i I i i i 1 i i i l i i i r-fv - -*■ + o Io + DIFFERENTIAL CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 10 8 UNITED STATES 9 7 8 6 7 5 I .1 i 1.. 1 -1 .1 1 ..L.1..1 ,1 -L I__ 1- 6 9 10 CANADA 9 8 8 7 7 6 6 6 1 I I I I I I I I I I I I I I 5 5 SWITZERLAND 5 4 4 3 3 8 I I t I 1 I I I » » » I » I I 2 8 NETHERLANDS 7 7 6 6 5 i-LI I i » 1 1 I I i I I I I 1994 1996 I I I I » I I I « I I I I I I 1994 1996 5 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 250 UNITED KINGDOM 230 210 —H 190 170 1__ L - 1 - . I - - L . . 1 .. i . . l . - l 1 . 1... L . J ...1. i 200 180 160 140 120 100 3 1 - J a n - 96 Chart 1. 7 -F e b -9 6 1 4 -F e b -9 6 2 1 -F e b -9 6 2 8 -F e b -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 3.2704 72.499 19.567 67.240 0.06252 0.93565 60.049 82.813 150.61 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 84.673 153.97 128.87 72.26 88.17 189.15 35.89 244.98 172.39 266.42 60.92 129.90 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 62.27 117.32 62.80 77.46 189.63 29.66 240.94 160.55 55.84 245.27 52.19 86.81 117.86 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 0.08 0.86 1.99 -4.21 4.86 2.25 3.50 -0.88 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 -0.90 405.94 412.98 405.34 402.76 398.79 5.53 5.56 5.43 4.30 3.36 0.48 3.16 1.74 6.15 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 5.20 5.16 5.12 4.10 3.09 0.46 3.11 1.44 6.08 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. 0.05 0.84 1.98 -4.28 4.97 2.32 3.57 -0.82 - 0.02 0.87 1.91 -4.56 4.76 2.13 3.69 - 0.86 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 117.18 62.71 77.40 189.33 29.61 243.49 160.24 55.74 244.74 52.08 86.79 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. 117.06 62.95 77.35 189.15 29.32 242.62 160.10 56.21 246.10 51.56 87.56 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 3 1 -J a n -96 Chart 5. 2 1 -F e b -9 6 2 8 -F e b -9 6 5.30 5.40 4.44 3.34 0.55 2.97 1.68 6.19 4.29 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 5.56 5.41 5.36 5.28 5.24 5.06 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 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 1 4 -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 tinterbank rate U.K. interbank sterling Weighted average foreign interest rate (G-10 Countries) Chart 6. 7 -F e b -9 6 Selected Euro-dollar & U.S. Money Market Rates 5.56 5.53 0.03 5.17 5.21 -0.04 5.18 5.09 0.09 5.18 5.17 0.01 5.16 5.20 -0.04 5.28 5.30 -0.03 5.17 5.16 0.01 5.13 5.13 -0.00 5.13 5.14 -0.00 5.13 5.14 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.28 5.35 -0.08 5.17 5.26 -0.09 5.13 5.21 -0.08 5.13 5.19 -0.06 5.13 5.22 -0.09 U.S. commercial paper Canadian finance paper, covered Differential 5.32 5.45 -0.13 5.17 5.34 -0.17 5.13 5.25 -0.11 5.14 5.23 -0.10 5.15 5.26 -0.12 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.28 5.34 -0.06 5.17 5.26 -0.09 5.13 5.15 -0.02 5.13 5.11 0.03 5.13 5.24 -0.11 5.28 5.26 0.02 5.17 5.21 -0.04 5.13 5.18 -0.05 5.13 5.15 -0.02 5.13 5.29 -0.16 7.06 6.49 6.01 3.11 4.23 6.04 7.58 5.67 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 5.99 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. 7.11 6.39 5.88 3.11 4.12 5.89 7.41 5.65 Stock Indices (Wednesday figures) Canada 165.57 167.51 165.33 168.61 France 157.11 155.76 154.94 154.05 Germany 132.04 130.75 129.54 127.13 Japan 122.66 121098 118.92 122.30 Netherlands 182.45 183.05 182.02 186.30 Switzerland 270.12 272.78 271.76 273.05 United Kingdom 212.47 214.78 212.66 212.48 United States 249.97 254.59 256.82 254.11 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 164.86 159.27 131.23 116.99 185.27 281.66 221.59 253.34 to SBF250
@FedFRASER