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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts May 28, 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=100 300 260 220 180 1 I 1 I I I I I I I I I I I I 100 80 60 40 RATIO SCALE MARCH 1973=100 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM eg 10 +o | lo + PERCENT PER ANNUM lo + c\j eg +o| eg r\) -st o>^ +oi ^ eg ro ^ io + cd -*■ oo n> i I i I i co ii cd ~* o> ^ ^ ..i..-i-1 i .l j -L \ iv) eg Io + cd +oi 2 4 6 8 10 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. [ U.S. DOLLARS PER FINE OU LARS PER FINE OUNCE 425 425 12.5 Kg BARS 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-----1___ I___I___I 1992 1994 I I___I___I___I___I___L 1996 320 CHART4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 7 7 U.S. FEDERAL FUNDS 6 6 5 5 4 3 4 2 3 1 2 U 1 1 1 1 I I I I 1 I I I I 9 0 9 8 8 7 7 6 6 5 5 4 4 3 3 2 2 16 9 14 8 12 7 10 6 8 5 6 4 2 4 UNITED KINGDOM I I I J-l-1. I I I 1994 I l I I I 1996 3 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM CM CO hCD LO CO CM t- O f^ PERCENT PER ANNUM CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 i—i i - 1_l i .j 1 \ i 1 , 1.. i \ i 2 8 8 7-DAY 6-MONTH 6 6 4 4 2 I I I I I I » I I « I I I I I 8 I I I I I I I I I I I I I I I 2 8 1-MONTH 6 6 4 4 2 » i i l i « i I i » i i ■ » 1 1994 1996 2 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES D IFFERENTIAL: PLUS(+), FAVORS B O R R O W IN G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM +o I IO + DIFFERENTIAL ’•v J__ I__ I__ I__ 1__ I__ I__ !__ I__ I__ I__ I__ I__ I__ I__ I , 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 7 INTERBANK STERLING, COVERED LONDON EURO-DOLLAR DEPOSITS DASHED LINE i i » I i i » I i i i I i i i DIFFERENTIAL i i i 1 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 cn cn lo + DIFFERENTIAL -P^ — co 3 ro — lo+ 5 1994 1996 1994 1996 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM CD CD cn cn PERCENT PER ANNUM SWITZERLAND CO CO 00 1 I I I I I I I 1 I I I I I I CHART 10 STOCK INDICES WEEKLY SERIES 1986= 100 270 250 250 230 230 210 210 190 190 170 170 180 150 170 JAPAN GERMANY 160 150 140 130 120 110 100 90 I 1 I 1 I' I I I I I 1 1 I I I I I I I I I I I I I I I I I I 210 70 200 190 180 170 160 150 140 130 120 80 110 100 340 200 300 180 260 160 220 140 180 120 I I I I I I I I I I I I I I I 140 1994 1996 1994 1996 100 2 4 -A p r-9 6 Chart 1. 1 -M a y -96 8 -M a y -9 6 1 5 -M a y -9 6 2 2 -M a y -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 3.2138 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 3.1674 72.920 19.229 65.122 0.06428 0.93567 58.242 79.261 151.26 126.64 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 61.37 124.81 72.68 86.65 183.19 36.89 244.99 167.20 254.99 61.18 114.40 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 88.05 114.15 63.91 76.56 183.83 30.47 244.85 156.31 58.32 237.23 52.27 88.47 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 0.71 1.56 2.15 -3.29 5.07 2.82 3.34 -0.62 390.99 391.93 393.73 391.96 391.30 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 5.26 5.25 4.68 3.69 3.25 0.46 2.60 1.98 5.80 5.19 5.25 4.73 3.69 3.25 0.45 2.66 2.73 6.03 Indices, March 1973 base rates = 100 Belgian franc Canadians 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. 0.57 1.64 2.18 -3.69 4.94 2.62 3.65 -0.52 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 114.28 64.08 76.87 183.94 30.21 248.07 156.23 57.96 240.73 51.82 88.06 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. 115.09 63.91 77.23 185.40 30.16 243.05 157.43 58.40 242.44 51.92 87.71 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 2 4 - A p r - 96 Chart 5. 1 5 -M a y -9 6 2 2 -M a y -9 6 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 5.35 4.78 3.81 3.20 0.60 2.57 2.02 6*.07 3.91 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 5.25 5.25 5.29 5.34 5.46 5.76 Euro-Dollar Deposit Rates Overnight 7 -day 1-month 3-month 6-month 1-year Chart 7. 8 -M a y -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. l-M a y -9 6 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.18 5.24 -0.06 5.21 5.30 -0.09 5.21 5.22 -0.01 5.25 5.26 -0.01 5.25 5.19 0.06 5.35 5.35 0.00 5.34 5.35 -0.01 5.38 5.38 0.01 5.38 5.36 0.02 5.34 5.35 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.35 5.43 -0.08 5.34 5.40 -0.07 5.38 5.46 -0.08 5.38 5.43 -0.05 5.34 5.44 -0.09 U..S. commercial paper Canadian finance paper, covered Differential 5.38 5.47 -0.09 5.39 5.46 -0.07 5.41 5.48 -0.07 5.39 5.49 -0.10 5.38 5.50 -0.12 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.35 5.38 -0.03 5.34 5.41 -0.08 5.38 5.45 -0.07 5.38 5.38 -0.00 5.34 5.37 -0.03 Euro-dollar deposit Swiss interbank, covered Differential 5.35 5.36 -0.01 5.34 5.33 0.01 5.38 5.49 -0.11 5.38 5.32 0.06 5.34 5.37 -0.02 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 7.74 6.45 6.41 3.26 4.12 6.29 8.00 6.66 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. 7.70 6.45 6.36 3.28 3.97 6.30 8.00 6.54 Stock Indices (Wednesday figures) Canada 170.50 171.66 171.98 173.72 France 169.36 170.91 169.28 167.43 Germany 134.61 132.30 133.40 131.51 129.44 Japan 128.37 127.12 127.80 Netherlands 200.08 200.73 205.23 198.45 311.17 Switzerland 303.44 309.61 299.91 United Kingdom 221.26 219.66 218.03 215.06 United States 256.53 258.42 262.18 254.34 Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General spliced at 22dec93, FAZ Aktien, Tokyo SE (Tqpix), CBS All-General, Swiss Bank Index, Financial Times Ordinary, NYSE Composite 173.97 169.20 133.49 127.36 202.62 305.38 218.02 267.36 to SBF250
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