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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts November 14,1994 DIVISION O F INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD O F GOVERNORS FEDERAL RESERVE SYSTEM Washington, DlC. 20551 Table of Contents TABLES 1. LATEST FIGURES PLOTTED 2. DAILY CERTIFIED SPOT EXCHANGE RATES H.10 RELEASE CHARTS •. SPOT EXCHANGE RATE 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 U.S. MONEY MARKET RATES 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 order of 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=100 120 110 RATIO SCALE MARCH 1973=100 145 135 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 100 125 115 90 105 80 95 BELGIAN FRANC 85 70 60 • J_L i • ' i i i » i i i i I i I I I I I I I I I I I I I I 75 280 290 260 270 240 250 220 230 200 210 SWISS FRANC • I i i • i 1 • 1 1 l 1 I ' I • I U.K. POUND • ' ' I i I • I— i i I • • 1 i ' » 1 • 1 l ' » ' I • I I I I I I ' I I I I ' i i I 1992 i ' 1 « i 1 i i i i GERMAN MARK 1 1 I 1 • l • • 1 • 1 1 i 1 » 1 * • • ' I ' 1 ' ITALIAN LIRA FRENCH FRANC I I CANADIAN DOLLAR DUTCH GUILDER 55 180 JAPANESE YEN 190 I I I I I I I 1 1994 1 1992 1994 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR H AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 2 2 GERMAN MARK i i i I i U.K. POUND i CANADIAN DOLLAR i I i i i I i r V 1 1 1 1 1 1 1 1 i i i 1 i i i JAPANESE YEN J - i SWISS FRANC — A y * * i 1 / DUTCH GUILDER 1 1 1 1 1 1 1 i i i i i i i f — 1 8 2 + 0 1 1 1 1 1 1 l > i i 1 i i i VJ 1 1 1 1 1 1 — 1 1 I I l 1 I l ITALIAN LIRA FRENCH FRANC 2 4 6 — f - v 8 10 12 1 1 1 1 1 1 1992 1 1 1 1 1 1 1 1 1994 1 1992 1994 1 CHART 3 PRICE OF GOLD IN LONDON A V E R A G E S FOR W E E K ENDING W E D N E S D A Y U.S. DOLLARS PER FINE OUNCE 420 U.S. DOLLARS PER FINE OUNCE 420 — 400 -- — 380 360 — — 360 340 — — 340 400 — 380 320 12.5 Kg BARS AFTERNOON FIXING PRICE 320 1991 1992 1993 1994 CHART4 CALL MONEY RATES WEEKLY SERIES CENT PER ANNUM PERCENT PER AN 8 10 SWITZERLAND 8 U.S. FEDERAL FUNDS 6 6 4 4 JAPAN 2 2 10 i i i l i i i I » i i I ' i ' I I I I I I I I I I I I I I I 0 10 9 9 8 8 GERMANY 7 NETHERLANDS 7 6 6 5 5 4 16 4 14 14 12 FRANCE 12 CANADA 10 10 8 8 6 6 4 4 2 UNITED KINGDOM 2 0 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER AN ENT PER ANNUM 13 12 WEIGHTED AVERAGE FOREIGN RATE 10 11 CANADIAN FINANCE PAPER 8 9 6 7 U.S. CD'S 5 4 2 i ' i I i i i I i i i I i i i ' i i I i i ' I ' i ' I i ' i 11 16 U.K. INTERBANK STERLING 13 9 7 10 NETHERLANDS INTERBANK RATE 7 4 I I I I I I I I i I i i I i i ' I • 5 ' ' I i • ' 9 JAPANESE CD RATE 7 9 FRENCH INTERBANK RATE 7 3 i i i I i i i I i i i I i i i i • ' I ' ' i I i i i 5 12 10 8 6 3 13 11 5 1 10 3 8 SWISS INTERBANK GERMAN INTERBANK RATE 6 4 2 I I I I I I 1992 I I ' ' I • ' • 1994 ' i ' I i i i 1992 I i i i I i i i 1994 4 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 10 10 3-MONTH OVERNIGHT 7-DAY 6-MONTH 1-YEAR 1-MONTH 1992 1994 1992 1994 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 10 10 3-MONTH OVERNIGHT EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 90-DAY CD'S FEDERAL FUN DASHED LINE DASHED LINE J l I I I I I I DIFFERENTIAL DIFFERENTIAL I I I I I I 1992 I L—I I L I I 1994 I J I I I I I 1992 I I I I I I I I 1994 L CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 8 8 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON EURO-DOLLAR DEPOSITS U.S. COMMERCIAL PAPER DASHED LINE I I I I I I I I DASHED LINE I I I I I I I i i DIFFERENTIAL 1 I I I I I I I I ' I I I I I I I I i i i INTERBANK DM I i I ' ' ' I I I I l i i i l i i i l i i i I I I » EURO-DOLLAR DASHED LINE I i SWISS INTERBANK (SF) COVERED EURO-DOLLAR DEPOSITS' I i DIFFERENTIAL COVERED FRANKFURT I I DASHED LINE I I I I I I I I I I I I I DIFFERENTIAL I I I I I I I I I I I I ' I ' I I DIFFERENTIAL IV I I I I I 1992 I I I I I I I I 1994 I ' I I I ' I 1992 I 1994 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANN I PE SCENT PER ANNUM 9 UNITED KINGDOM UNITED STATES 8 7 6 5 4 » ' ' l ' » ' I 1 » 1 I ' ' ' I i ' ' ' 1 » I » » » I ' 1 i i i I i • i I i »» i i I i i » 1 « I i i i l i i i l 1 11 CANADA 10 9 8 7 1 6 8 ' 1 1 I 1 I 1 I 1 1 JAPAN SWITZERLAND 7 6 5 4 1 1 3 10 » I 1 » 1 1 I i » I • • » GERMANY NETHERLANDS 9 8 7 6 5 i i i I i i 1992 i I i i i I i i 1994 i »» i I i 1992 i 1994 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 220 UNITED STATES 210 I— UNITED KINGDOM 190 170 150 130 i i i I i i i I i i i I i i i i i i l i i i l i i i I i i i 250 SWITZERLAND 225 110 160 JAPAN 140 200 175 120 150 100 125 100 160 i i i I i i i I i i i I i i • i ' I i ' ' I ' i i I ' ' 80 180 GERMANY CANADA 165 140 150 120 135 120 100 105 80 210 195 • i i l i i i I i i i i . FRANCE i i I i i i I i i i I i I - NETHERLANDS 90 160 180 145 165 130 150 115 135 100 120 105 i i i l i ' 1992 i i i i i I I 1994 I • ' i l i • i 1992 I i ' i l i i i 1994 85 12-Oct-94 19-Oct-94 26-Oct-94 2-Nov-94 Chart 1. 9-Nov-94 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 3.1439 74.243 18.926 64.722 0.06367 0.99884 57.787 77.826 158.33 3.2102 73.865 19.268 66.098 0.06478 1.01851 58.977 79.489 160.28 3.2434 73.978 19.496 66.802 0.06533 1.02930 59.593 80.157 162.86 3.2342 73.944 19.438 66.562 0.06494 1.03089 59.370 79.752 163 .23 3.1978 73.730 19.176 65.835 0.06409 1.02503 58.719 78.718 161.30 123.89 74 .00 85.28 182 .07 36.55 261.53 165.89 250.38 64.04 126 .50 73 .62 86 .83 185 .94 37 .18 266 .68 169 .31 255 .73 64 .83 127 .81 73 .73 87 .85 187 .92 37 .50 269 .50 171 .08 257 .87 65 .87 127 .44 73 .70 87 .59 187 .24 37 .28 269 .92 170 .44 256 .57 66 .02 126 .01 73 .49 86 .41 185 .20 36 .79 268 .39 168 .57 253 .25 65 .24 113 , .84 63 , .09 75 , .49 183 , .65 30 . 14 264 . .54 155 . .75 - 53..97 233 . .58 55..09 85 . .56 113 .72 63 .19 75 .40 183 .26 30 .01 265 .54 155,.43 53 , .50 232 . .81 55..34 85..77 113 .37 63 .56 74 .96 182 .70 29 , .86 266..36 155..00 52 . .77 231..70 55..13 86..69 , 17 0. ,01 0. 0.,47 , 11 -3 . 3. ,35 0.,40 1. 38 -0. 32 0..14 0..04 0..50 -3 .00 . 3. .38 0..45 1..66 -0..35 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. 0.17 -0.02 0.47 -3 .16 3.37 0.43 1 .52 -0.27 0,.08 -0,.07 0,.42 -3 .15 , 3 .25 . 0,.40 1..49 -0..34 0..19 0.. 16 0..61 -2 . .89 ,49 3. 0. ,56 1.,86 -0.,31 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 113 .62 63 .57 75 .21 183 .17 30 .15 263 .92 155 .42 53 .18 233 .60 54 , .63 86 .49 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. 112.66 64.81 74.79 181.39 30.01 261.97 154.18 53.04 231.62 54.67 87.91 390.51 388..91 389 .98 385.,81 383 .71 4.62 4.69 4.75 5 .25 4.87 2 .18 4 .84 3 .52 5.10 4. ,72 4 .59 4 .63 5 .25 4 .82 2 .18 4 .75 3 .40 4 .95 4 .72 4 .59 4 .83 5 .25 4 .76 2. 18 4 .85 3 .70 5 .23 4 .77 4 .66 4 .98 5. 25 4 .87 2. 21 4 .90 3 .53 4. 88 4 .66 4 .66 4 .80 5. 25 4 .84 2. 19 4 .96 3 .58 6. 15 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom :t-94 19 -Oct-94 26 -Oct-94 2-Nov-94 Chart 5. 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. 5.55 5.60 5.56 5.16 2.33 5.13 4.14 5.85 5.09 5.45 5.62 5.49 5.10 2.33 5.10 4.00 5.80 5.05 5.52 5.54 5.50 5.10 2.34 5.12 3.95 5.81 5.04 5.56 5.58 5.50 5.10 2.34 5.12 3.91 5.90 5.04 5.69 5.64 5.50 5.10 2.33 5.17 3.93 6.03 5.08 4.69 4.86 5.09 5.60 5.79 6.34 4.59 4.76 4.91 5.48 5.71 6.26 4.59 4.68 4.86 5.51 5.81 6.38 4.66 4.69 4.95 5.54 5.85 6.45 4.66 4.80 5.14 5.69 6.00 6.60 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 9 -Nov-94 Selected Euro-dollar & U.S. Mone> Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 4.69 4.62 0.07 4.59 4.72 -0.13 4.59 4 .72 -0.13 4.66 4.77 -0.11 4.66 4.66 0.00 3-month Euro-dollar deposit U.S. 90-day CD's, secondary market Differential 5.60 5.55 0.05 5.48 5.45 0.02 5.51 5.52 -0.01 5.54 5.56 -0.03 5.69 5.69 -0.00 5.60 5.58 0.02 5.48 5.46 0.02 5.51 5.49 0.02 5.54 5.54 -0.01 5.69 5.71 -0.03 U.S. commercial paper Canadian finance paper, covered Differential 5.55 5.77 -0.22 5.45 5.70 -0.24 5.52 5.71 -0.19 5.59 5.72 -0.13 5.70 5.83 -0.13 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.60 5.64 -0.04 5.48 5.52 -0.05 5.51 5.57 -0.06 5.54 5.60 -0.07 5.69 5.72 -0.03 Euro-dollar deposit Swiss interbank, covered Differential 5.60 5.67 -0.07 5.48 5.51 -0.03 5.51 5.34 0.17 5.54 5.59 -0.05 5.69 5.80 -0.11 9.00 8.04 7.38 4.64 5.44 7.37 8.60 7.64 9.12 8.24 7.52 4.65 5.47 7.52 8.76 7.85 9 .13 8 .37 7 .62 4 .64 5 .48 7 .64 8 .81 7 .88 9..20 8..32 7 .61 . 4 .66 , 5..43 7..66 8..74 8 .00 Chart 8. Interest Arbitrage, 3-Month Funds Euro-dollar deposit Interbank sterling (London), 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. 9.04 8.20 7.64 4.66 5.51 7.63 8.77 7.71 Stock Indices (Wednesday figures) 145.13 143.99 141.96 140.93 Canada 149.59 147.72 144.80 147.28 France 117.00 116.66 114.25 115.81 Germany 121.03 119.51 118.49 118.62 Japan 146.94 146.72 145.37 147.43 Netherlands 211.03 206.37 202.22 205.87 Switzerland 184.80 182.86 178.33 182.74 United Kingdom 188.45 189.90 186.66 188.18 United States Indices"lin'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 139.80 151.83 117.41 115.94 149.49 211.27 184.39 187.47 to SBF250 FEDERAL RESERVE statistical release H.10(512) N o v e m b e r 14, 1 9 9 4 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING N O V E M B E R 11, 1 9 9 4 The 3 c a r d of G o v e r n o r s of tne Federal Reserve System is advised that the Federal R e s e r v e Bank of New - or • has - e ^ f i e d for customs p u r p o s e s the following .-.ocn buying rates in New York City for c a n ' s t r a n s f e r s p a y a c i e in ' c r e i g n c u r r e n c i e s : COUNTRY ^AUSTRALIA AUSTRIA BELGIUM CANADA CHINA,P.R. DENMARK *EURO C O M M U N I T Y FINLAND FRANCE GERMANY GREECE HONG KONG INDIA ^IRELAND ITALY JAPAN MALAYSIA MEXICO NETHERLANDS *NEW Z E A L A N D NORWAY PORTUGAL SINGAPORE SOUTH AFRICA SOUTH KOREA SPAIN SRI LANKA SWEDEN SWITZERLAND TAIWAN THAILAND *UNITED KINGDOM MEMO: ^ U N I T E D STATES MONETARY UNIT Nov. 7 DOLLAR SCHILLING FRANC DOLLAR YUAN KRONE ECU MARKKA FRANC D. MARK DRACHMA DOLLAR RUPEE POUND LIRA YEN RINGGIT PESO GUILDER DOLLAR KRONE ESCUDO DOLLAR RAND WON PESETA RUPEE KRONA FRANC DOLLAR BAHT POUND 0.7545 10.657 31.170 1.3556 8.5438 5.9330 1.2573 4.6900 5.1960 1.5137 233.50 7.7287 31.435 1.5905 1555.45 97.24 2.5632 3.4270 1.6973 0.6203 6.6120 154.31 1.4667 3.5070 800.30 126.110 48.950 7.3390 1.2670 26.060 24.928 1.6160 DOLLAR 86.45 (CURRENCY UNITS PER D O L L A R ) Nov. 8 Nov. 9 Nov. 10 0.7525 10.610 31.040 1.3575 8.5438 5.9075 1.2620 4.6580 5.1790 1.5070 232.45 7.7290 31.420 1.5940 1549.75 96.93 2.5580 3.4260 1.6898 0.6215 6.5840 155.19 1.4655 3.4980 800.10 125.640 49.000 7.2790 1.2590 26.070 24.930 1.6210 86.14 0.7565 10.762 31.480 1.3535 8.5400 5.9875 1.2447 4.7085 5.2560 1.5287 235.80 7.7288 31.425 1.5780 1572.00 97.78 2.5595 3.4290 1.7143 0.6225 6.6785 156.35 1.4680 3.5140 800.90 127.490 48.915 7.3590 1.2800 26.070 24.965 1.6050 87.13 0.7550 10.794 31.570 1.3588 8.5390 5.9900 1.2416 4.6875 5.2710 1.5333 236.50 7.7288 31.435 1.5680 1572.00 97.92 2.5605 3.4420 1.7199 0.6215 6.7140 156.41 1.4710 3.5250 800.10 127.510 48.950 7.3115 1.2865 26.110 24.980 1.5992 Nov. 11 H O L I D A Y 87.33 *VALUE IS U.S. D O L L A R S **INDEX OF W E I G H T E D A V E R A G E EXCHANGE VALUE OF U.S. DOLLAR A G A I N S T C U R R E N C I E S OF OTHER G-10 COUNTRIES. M A R C H 1973 = 100. W E I G H T S ARE 1972-76 GLOBAL TRADE OF EACH OF THE 10 C O U N T R I E S FOR D E S C R I P T I O N AND BACK D A T A , SEE "INDEX OF THE SERIES REVISED AS OF A U G U S T 1978. W E I G H T E D - A V E R A G E E X C H A N G E VALUE OF THE U.S. DOLLAR: R E V I S I O N " ON PAGE 700 OF THE A U G U S T 1978 FEDERAL R E S E R V E B U L L E T I N . THIS RELEASE IS A V A I L A B L E ONLINE THROUGH THE F A C I L I T I E S OF THE D E P A R T M E N T OF C O M M E R C E ' S ECONOMIC B U L L E T I N B O A R D . FOR I N F O R M A T I O N , CALL (202) 4 8 2 - 1 9 8 6 . FOR I N F O R M A T I O N A B O U T YOUR S U B S C R I P T I O N TO THIS RELEASE OR ABOUT RECEIVING IT IN D O C U M E N T FORM, PLEASE CALL P U B L I C A T I O N S S E R V I C E S AT THE FEDERAL R E S E R V E B O A R D AT (202) 4 5 2 - 3 2 4 4 .
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