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(516/517) Selected Interest & Exchange Rates Weekly Series o f Charts November 12, 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=100 195 175 — 155 135 RATIO SCALE MARCH 1973=100 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY + O I CM CO ^ CM + O I CM 'M CO - 1994 199 6 ----- DUTCH GUILDER CM + O I CM ^ CM + O I I I l l l 1 I 1 I 1 1 I I 1 1 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY u.s. U.S. DOLLARS PER FINE Ol _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 1 ___I___I _ I_ I_ I _ _ _ 1992 I 1 I_ I _ I_ I___I _ I _ I_ I_ I_ I _ I_ I _ I_ L __ _ _ ___I _ _ _ _ _ _ _ _ 1994 1996 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 7 6 U.S. FEDERAL FUNDS SWITZERLAND 5 4 3 2 JAPAN I I » I I I I I I I I I I I 1 0 9 8 GERMANY NETHERLANDS 7 6 5 4 3 1 1 I I I I 2 9 8 CANADA 7 FRANCE 6 5 4 UNITED KINGDOM i i i i i i l i 1 I I 1 I I 3 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ERCENT PER ANNUM 9 10 8 7 6 5 4 U.S. CD’S 2 8 i i i I i i i I i i i I i 3 9 7 7 6 5 5 3 4 4 13 1 1 1 3 JAPANESE CD RATE 9 2 7 1 5 0 » I I I I I I I I I I I I I I 7 5 3 9 7 SWISS INTERBANK RATE 5 3 3 1 -i-i i > i i i I » i i I i i i 1994 1996 1 CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING W EDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 8 1 1 ..1 1 I.I I 1 I 1 1 1 . 1 I 1 __ 2 8 7-DAY 6 6 4 4 2 8 I I I I I I I I I I .1 ...l.J„ I l 2 8 6 6 4 4 2 2 1994 1996 1994 1996 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 v v** *1 J__ I _ i___I I _ l _ __ _ 1994 1996 1994 \ l ** * * 1 I 1 I w Aj f »»■ a >■ ■ ■ I I I 1996 +o i +o I V* A- I 1 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY P E R C EN T PER A N N U M PERCENT PER ANNUM DIFFERENTIAL + O I +o I t - hCD cd ID lo CO co C\l cm y~~ t- DIFFERENTIAL + +o| O | 1 19 94 1996 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM c c n n PERCENT PER ANNUM CHART 10 STOCK INDICES W EEKLY S E R IE S RATIO SCALE 1986=100 RATIO SCALE 1986=100 290 120 220 200 180 — 140 — 120 10 0 9 - O c t -9 6 Chart 1. 1 6 -O c t-9 6 2 3 -O c t-9 6 3 0 -O c t-9 6 6 -N o v -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 3.1743 73.783 19.335 65.372 0.06586 0.89778 58.245 79.695 156.37 3.1626 73.888 19.263 65.154 0.06544 0.89413 58.071 79.357 157.66 3.1607 74.210 19.264 65.119 0.06524 0.88735 58.034 79.073 159.19 3.2015 74.376 19.518 65.951 0.06580 0.87871 58.786 79.550 161.10 3.2023 74.887 19.522 65.969 0.06578 0.87810 58.847 78.617 163.99 125.08 73.54 87.13 183.90 37.81 235.07 167.21 256.39 63.25 124.62 73.64 86.80 183.28 37.56 234.11 166.71 255.30 63.77 124.55 73.96 86.81 183.19 37.45 232.34 166.60 254.39 64.39 126.15 74.13 87.95 185.52 37.77 230.08 168.76 255.92 65.16 126.19 74.64 87.97 185.58 37.76 229.91 168.94 252.92 66.33 113.66 64.99 76.54 183.38 30.90 230.22 155.38 59.62 236.17 55.18 88.25 114.46 64.71 77.13 184.82 30.98 226.15 156.50 59.70 236.13 55.54 87.56 114.28 65.07 77.00 184.50 30.91 225.54 156.39 59.28 232.87 56.53 87.37 2.02 2.05 2.43 -2.58 5.25 2.71 3.93 -0.40 2.09 2.09 2.40 -2.48 5.20 2.67 3.90 -0.49 2.16 2.10 2.37 -2.17 5.17 2.61 3.71 -0.51 2.38 2.08 2.33 -1.27 5.19 2.51 3.58 -0.80 380.37 381.18 381.69 381.97 378.54 5.14 5.25 3.73 3.34 3.00 0.46 2.69 1.41 5.88 5.22 5.20 3.71 3.31 2.97 0.47 2.71 1.88 5.63 5.22 5.19 3.48 3.28 2.95 0.48 2.65 1.55 5.70 5.27 5.19 3.26 3.25 2.96 0.48 2.86 1.55 5.61 5.30 5.36 3.21 3.25 3.14 0.48 2.63 1.61 5.99 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 March 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. 1.86 2.07 2.43 -1.56 5.24 2.70 4.06 -0.36 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 113.72 64.68 76.53 183.48 31.00 232.18 155.48 59.63 237.03 54.59 88.24 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. 113.99 64.47 76.72 183.89 31.17 232.85 155.73 59.61 237.70 54.01 88.07 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 9 -Oct-96 Chart 5. 3-Month Interest Rates 5.41 3.55 3.42 3.03 0.52 2.80 1.52 5.90 3.55 5.40 3.46 3.39 3.03 0.52 2.82 1.63 5.95 3.55 5.40 3.34 3.33 3.05 0.51 2.85 1.69 5.98 3.51 5.39 3.17 3.33 3.08 0.51 2.91 1.84 6.18 3.53 5.20 5.23 5.28 5.46 5.54 5.73 5.19 5.20 5.25 5.38 5.50 5.69 5.19 5.25 5.25 5.38 5.49 5.67 5.36 5.25 5.25 5.38 5.44 5.57 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 5.42 3.68 3.41 3.03 0.52 2.77 1.44 5.84 3.55 5.25 5.25 5.26 5.42 5.52 5.71 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. 16-Oct-96 23-Oct-96 30-Oct-96 6-Nov-96 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.25 5.14 0.11 5.20 5.22 -0.02 5.19 5.22 -0.03 5.19 5.27 -0.08 5.36 5.30 0.06 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.42 5.42 0.01 5.46 5.41 0.05 5.38 5.40 -0.03 5.38 5.40 -0.02 5.38 5.39 -0.01 Euro-dollar deposit Interbank sterling (London), covered Differential 5.42 5.47 -0.05 5.46 5.49 -0.04 5.38 5.46 -0.08 5.38 5.47 -0.09 5.38 5.37 0.00 U.S. commercial paper Canadian finance paper, covered Differential 5.44 5.56 -0.11 5.43 5.59 -0.16 5.42 5.56 -0.14 5.42 5.53 -0.11 5.41 5.57 -0.16 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.42 5.48 -0.06 5.46 5.48 -0.03 5.38 5.45 -0.07 5.38 5.43 -0.06 5.38 5.42 -0.05 Euro-dollar deposit Swiss interbank, covered Differential 5.42 5.51 -0.09 5.46 5.47 -0.01 5.38 5.54 -0.16 5.38 5.42 -0.04 5.38 5.43 -0.05 6.68 5.96 6.01 2.81 3.63 5.90 7.45 6.57 6.48 5.95 5.99 2.78 3.67 5.87 7.55 6.52 6.53 5.98 6.01 2.65 3.73 5.90 7.57 6.49 6.29 5.95 5.98 2.53 3.75 5.85 7.64 6.34 Chart 8. Interest Arbitrage, 3-Month Funds 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. 6.82 5.97 5.97 2.78 3.64 5.87 7.40 6.54 Stock Indices (Wednesday figures) Canada 185.82 181.16 182.65 186.31 France 169.42 170.76 170.29 169.23 Germany 141.37 142.10 141.30 140.57 Japan 121.05 119.23 118.71 118.18 218.27 220.01 Netherlands 218.65 215.45 316.67 312.77 311.11 Switzerland 317.02 221.55 219.66 United Kingdom 219.97 217.16 276.34 275.33 United States 272.99 274.00 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 191.61 174.61 142.60 118.96 216.21 318.62 216.20 281.96 to SBF250
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