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(516/517) Selected Interest & Exchange Rates Weekly Series o f Charts May 20, 1996 DIVISION OF INTERNATIONAL FINANCE Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS FEDERAL RESERVE SYSTEM SECTION 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 RATIO SCALE MARCH 1973=100 CHART 2 3-MONTH FORWARD EXCHANGE RATES PR E M IU M (+) OR (-) A V E R A G E S FOR W E E K EN D IN G W E D N E S D A Y PERCENT PER ANNUM PERCENT PER ANNUM I + o | C M CM + 0 Tf CO 00 +O I CD T- ^ C\J CO C M + O l CD CM'M’ C M C M + O l +O l CM CM Tj- ^ t C M + O l CD C \J f O | CD-r- CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U S. DOLLARS PER FINE OUNCE u s - DOLLARS PER PINE OUNCE CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 16 ----- 14 — 2l I I I I I I I l I I I I I I I 1994 1996 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER iRCENT PER ANNUM 9 0 8 7 ' WEIGHTED AVERAGE . FOREIGN RATE 6 5 4 U.S. CD’S i i i I i i i I i i i I J__I__L 8 3 9 7 7 6 5 5 3 4 4 13 2 1 11 3 9 2 7 1 5 0 3 9 7 7 5 5 3 3 1 1 1994 1996 1994 1996 CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM CM CO CM CO PERCENT PER ANNUM CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM DIFFERENTIAL +o i +o I 'v y ' * ■ * f* J__ I__ I__ I__ I__ L 1994 1996 1994 J__ I__ 1 I__ I__ I ! __ 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 + o i +o I T- hCD LO co ^ ^ CO CO CM CMi- T- CD + o i +Oj CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 10 UNITED KINGDOM I I I V I I I 1 I I I I I I I CO CO CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 1 7 -A p r-9 6 Chart 1. 2 4 -A p r-9 6 l-M a y -9 6 8 -M a y -9 6 1 5 -M a y -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 3.2321 73.709 19.538 66.280 0.06359 0.92234 59.602 81.625 150.95 3.2138 73.420 19.514 66.036 0.06409 0.93588 59.032 81.506 151.36 3.1825 73.374 19.373 65.398 0.06399 0.95018 58.429 80.695 150.64 3.1907 73.248 19.410 65.608 0.06413 0.95353 58.706 80.573 150.97 3.1819 73.090 19.318 65.415 0.06423 0.94718 58.520 80.173 151.73 127.36 73.46 88.04 186.45 36.50 241.50 171.11 262.60 61.05 126.64 73.18 87.94 185.76 36.79 245.04 169.47 262.21 61.22 125.41 73.13 87.30 183.97 36.73 248.79 167.74 259.61 60.93 125.73 73.01 87.47 184.56 36.81 249.67 168.53 259.21 61.06 125.38 72.85 87.05 184.02 36.87 248.00 168.00 257.93 61.37 114.28 64.08 76.87 183.94 30.21 248.07 156.23 57.96 240.73 51.82 88.06 114.40 63.86 76.91 184.31 30.23 248.63 156.76 57.48 239.98 51.86 87.89 114.25 63.81 76.63 183.98 30.33 247.18 156.47 58.09 239.11 52.23 88.05 0.57 1.64 2.18 -3.69 4.94 2.62 3.65 -0.52 0.61 1.67 2.24 -3.48 4.99 2.72 3.69 -0.56 0.61 1.67 2.27 -3.37 4.95 2.84 3.67 -0.53 0.61 1.57 2.19 -8.88 4.97 2.83 3.53 -0.61 393.37 390.99 391.93 393.73 391.96 5.24 5.21 4.92 3.85 3.30 0.47 3.00 1.93 5.84 5.24 5.18 4.72 3.78 3.23 0.49 2.58 1.63 5.79 5.30 5.21 4.74 3.70 3.40 0.47 2.69 1.53 6.21 5.22 5.21 4.74 3.69 3.25 0.49 2.61 2.20 5.94 5.27 5.25 4.68 3.69 3.25 0.46 2.60 1.98 5.80 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 indicesi 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. 0.39 1.46 2.17 -4.09 5.01 2.50 3.64 -0.50 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 115.09 63.91 77.23 185.40 30.16 243.05 157.43 58.40 242.44 51.92 87.71 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. 115.84 64.21 77.38 186.33 29.92 239.25 159.14 58.26 242.93 51.79 87.77 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 17-Apr-96 24-Apr-96 l-May-96 Chart 5. 5.38 5.14 3.92 3.25 0.60 2.88 1.75 5.96 4.07 5.35 4.90 3.76 3.19 0.66 2.75 1.70 5.96 3.97 5.35 4.85 3.69 3.15 0.64 2.69 1.63 5.97 3.91 5.38 4.86 3.75 3.17 0.66 2.64 1.81 6.00 3.92 5.36 4.87 3.78 3.18 0.68 2.59 1.78 6.04 3.93 5.21 5.31 5.36 5.39 5.46 5.72 5.18 5.24 5.28 5.35 5.43 5.68 5.21 5.21 5.28 5.34 5.43 5.66 5.21 5.25 5.31 5.38 5.49 5.85 5.25 5.25 5.31 5.38 5.48 5.81 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 15-May-96 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-May-96 Selected Euro-dollar & U.S. Money Market Rates 5.21 5.24 -0.03 5.18 5.24 -0.06 5.21 5.30 -0.09 5.21 5.22 -0.01 5.25 5.27 -0.02 5.39 5.38 0.01 5.35 5.35 0.00 5.34 5.35 -0.01 5.38 5.38 0.01 5.38 5.36 0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.39 5.45 -0.07 5.35 5.43 -0.08 5.34 5.40 -0.07 5.38 5.46 -0.08 5.38 5.43 -0.05 U.S. commercial paper Canadian finance paper, covered Differential 5.40 5.53 -0.13 5.38 5.47 -0.09 5.39 5.46 -0.07 5.41 5.48 -0.07 5.39 5.49 -0.10 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.39 5.44 -0.05 5.35 5.38 -0.03 5.34 5.41 -0.08 5.38 5.45 -0.07 5.38 5.38 -0.00 Euro-dollar deposit Swiss interbank, covered Differential 5.39 5.40 -0.02 5.35 5.36 -0.01 5.34 5.33 0.01 5.38 5.49 -0.11 5.38 5.32 0.06 7.70 6.45 6.36 3.28 3.97 6.30 8.00 6.54 7.74 6.40 6.33 3.35 3.94 6.28 7.99 6.61 7.90 6.47 6.49 3.37 4.03 6.42 8.16 6.85 7.76 6.49 6.48 3.35 4.04 6.37 8.07 6.72 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. 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 6.58 6.46 3.24 4.04 6.43 8.11 6.53 Stock Indices (Wednesday figures) Canada 168.72 170.50 171.66 171.98 169.36 France 165.91 170.91 167.43 Germany 134.52 134.61 132.30 131.51 129.44 128.37 126.84 127.12 Japan 200.08 200.73 198.45 Netherlands 197.91 311.17 309.61 299.91 Switzerland 306.49 221.26 219.66 215.06 United Kingdom 219.13 258.42 254.34 253.30 256.53 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 173.51 169.28 133.40 127.80 205.23 303.44 218.03 262.09 to SBF250
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