Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 21, 1994

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Selected Interest &
Exchange Rates
Weekly Series of Charts

November 21,1994

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, DiC. 20551




Table of Contents

TABLES
1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
H.10 RELEASE
CHARTS
1.
2.
3.
4.
5.
6.
7.

SPOT EXCHANGE RATE INDICES
3-MONTH FORWARD EXCHANGE RATES
GOLD PRICE—LONDON
CALL MONEY RATES
3-MONTH INTEREST RATES
EURO DOLLAR DEPOSIT RATES
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

RATIO SCALE
MARCH 1973=100

120
110
100

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

90

80

BELGIAN FRANC

70

60

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DUTCH GUILDER

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TALIAN LIRA

I
1992

i

GERMAN MARK

FRENCH FRANC




i

CANADIAN DOLLAR

'

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l

•

U.K. POUND

'

» '

JAPANESE YEN

SWISS FRANC

•

« I

1994

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1992

I

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1994

I

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNIIM

GERMAN MARK

U.K. POUND

8
2

8
CANADIAN DOLLAR

JAPANESE YEN

+

0

2

4

6
2

+
0

4

SWISS FRANC

DUTCH GUILDER

2
4

6
8
2
+

0

8
FRENCH FRANC

2
4

6
8
10
12




ITALIAN LIRA
X-

2

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S. DOLLARS PER FINE OUNCE
420

U.S. DOLLARS PER FINE OUNCE
420 |

400

12.5 Kg BARS
AFTERNOON FIXING PRICE

400 —

380 - -

380

360

360

340

340

320

J




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1991

L

S

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1992

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1
1993

1

L

_l
1994

L

320

CHART4

CALL MONEY RATES
WEEKLY SERIES
PE CENT PER ANNUM

PERCENT PER AN

8

10

SWITZERLAND
8
U.S. FEDERAL FUNDS

6

6

4
4

JAPAN
2

2

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10

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0
10

9

9

8

8
GERMANY

7

NETHERLANDS

7

6

6

5

5

4

4
14

16

14

12

FRANCE

12
CANADA
10

10

8

8

6

6

4

4

2




UNITED KINGDOM
2

0

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER AN

ENT PER ANNUM

13

1:2

WEIGHTED AVERAGE
FOREIGN RATE

10

11
CANADIAN FINANCE PAPER

8

9

6

7
U.S. CD'S
5

4

I

2
16

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U.K. INTERBANK STERLING

13

3
11

9

7

10

NETHERLANDS INTERBANK RATE

7

1

1

1

4
9

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» '

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1

1

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1

» »

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1

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1

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1

5

I

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1

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1

1

3
13

JAPANESE CD RATE

7

11

9

5
FRENCH INTERBANK RATE

7

3

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10

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5
12

10

8

6 —

8

SWISS INTERBANK
GERMAN INTERBANK RATE

6

4

2

'

'

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1992

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•

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1994

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1

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1992

1

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1994

4

CHART6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

10




10
OVERNIGHT

3-MONTH

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

3-MONTH

OVERNIGHT

EURO-DOLLAR DEPOSITS

I

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE




EURO-DOLLAR DEPOSITS

DASHED LINE

2

DIFFERENTIAL

1992

DIFFERENTIAL

1994

1992

1994

CHART8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

8

8 i —

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING

COVERED LONDON

U.S. COMMERCIAL PAPER

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

•

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—

DIFFERENTIAL

DIFFERENTIAL

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1

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1992

'

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—

EURO-DOLLAR
DASHED LINE
1

1

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DIFFERENTIAL

DIFFERENTIAL

i

I

SWISS INTERBANK (SF) COVERED

DASHED LINE

i

I

COVERED FRANKFURT

EURO-DOLLAR DEPOSITS*

'

I

INTERBANK DM

—">LA^

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1994

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1992

i

1994

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
RCENT PER ANNUM

PERCENT PER ANNU

UNITED STATES

UNITED KINGDOM

5
1

•

4
11

1

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FRANCE

CANADA
10
9

8
7

6
8

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SWITZERLAND

•

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JAPAN

7

6
5
4
3
10

1

1

1

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1

1

1

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1

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NETHERLANDS

GERMANY

9
8
7

6
5

1

'

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1

1

1992

1

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1

1

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1994

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CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

220

— UNITED KINGDOM

UNITED STATES

APAN

SWITZERLAND

GERMANY

CANADA

FRANCE

NETHERLANDS

105




1992

1994

1992

1994

19-Oct-94 26-Oct-94 2-Nov-94
Chart 1.

9-Nov-94

16-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

3.2102
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

3.1487
73.465
18.858
64.825
0.06319
1.01875
57.788
77.139
158.57

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

124 .07
73 .22
84 .98
182 .36
36..27
266..74
165..90
248..17
64 .,13

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

112 .72
64 .01
74 .41
181 .52
29 .73
267 .52
154 .02
53 .53
229 .28
54 .70
87 .80

0 .19
0 .16
0 .61
-2 .89
3 .49
,
0..56
1..86
-0..31

0 .20
0 .25
0 .70
-2 .68
,
,
3 .63
0..63
1..93
-0..23

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.

3-Month Forward Exchange Rate

Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound
Chart 3.

113 .84
63 .09
75 .49
183 .65
30 .14
264 .54
155 .75
53 .97
233 .58
55 .09
85 .56

Premium or Discount
0 .08
-0 .07
0 .42
-3 .15
3 .25
0,.40
1..49
-0..34

0 .17
0 .01
0 .47
-3 . 11
3 .35
,
0..40
1..38
-0..32

0 .14
0 .04
0 .50
-3 . 00
,
3 .38
0,.45
1..66
-0..35

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

388. 91

389.,98

385. 81

383 .71

385. 51

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. 74
4 .66
4 .80
5. 25
4 .84
2. 19
4 .96
3. 58
6. 15

5.22
4 .99
4 .86
5.25
4 .86
2.23
4 .88
3.28
4. 58

Call Money Rates

U.S. federal funds
Overnight Euro-dollar deposits
Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom




19-Oct -94 26 -Oct-94 2-Nov-!94
Chart 5.

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

5 .75
5 .79
5 .51
5 .11
2 .33
5 .17
3 .85
6 .01
5 .07

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

4 .99
5 .19
5 .31
5 .76
6 .04
6 .66

Euro-Dollar Deposit Rates

Overnight
7-day
1-month
3-month
6-month
1-year
Chart 7.

16-Nov -94

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.

9-Nov-94

Selected Euro-dollar & U.S. Money Market Rates
4 .59
4 .72
-0 .13

4 .59
4 .72
-0.13

4 .66
4 .77
-0 .11

4 .66
4 .74
-0 .08

4 .99
5 .22
-0 .23

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 .76
5 .75
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

5 .76
5 .78
-0 .02

U.S. commercial paper
Canadian finance paper, covered
Differential

5 .45
5 .70
-0 .24

5. 52
5 .71
-0.19

5 .59
5 .72
-0 .13

5 .70
5 .83
-0 .13

5 .78
5 .99
-0 .21

Euro-dollar deposit
Interbank DM (Frankfurt), covered
Differential

5 .48
5 .52
-0 .05

5. 51
5. 57
-0.06

5 .54
5 .60
-0 .07

5 .69
5 .72
-0 .03

5 .76
5 .83
-0 .06

Euro-dollar deposit
Swiss interbank, covered
Differential

5 .48
5 .51
-0 .03

5. 51
5. 34
0. 17

5 .54
5 .59
-0 .05

5 .69
5 .80
-0 .11

5 .76
5 .80
-0 .03

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

9 .15
8 .16
7 .47
4 .64
5 .39
7 .54
8 .65
7 .95

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
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 .00
8 .04
7 .38
4 .64
5 .44
7 .37
8 .60
7 .64

Stock Indices (Wednesday figures )

139 .80
140 .93
141. 96
143 .99
Canada
151 .83
147 .28
144 .80
147 .72
France
117 .41
115 .81
114 .25
116 .66
Germany
115 .94
118 .62
118.,49
119 .51
Japan
147 .43
149 .49
145.,37
146 .72
Netherlands
211 .27
205 .87
202 ..22
206 .37
Switzerland
184 .39
182 .74
178..33
182 .86
United Kingdom
187 .47
188 .18
186..66
189 .90
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



139 .02
152 .13
118 .41
115 .35
149 .49
214 .27
187 .64
187 .25
to !SBF:

FEDERAL RESERVE statistical release
H.10(512)

November 18, 1994

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

NOVEMBER 18, 1994

The Board of Governors of the Federal Reserve System is advised that the Federal Reserve Bank of New York has certified
for customs purposes the following noon buying rates in New York City for cable transfers payable in foreign currencies:
MONETARY
UNIT

Nov. 14

^AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA, P. R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
XIRELAND
ITALY
JAPAN
MALAYSIA
MEXICO
NETHERLANDS
*NEW ZEALAND
NORWAY
PORTUGAL
SINGAPORE
SOUTH AFRICA
SOUTH KOREA
SPAIN
SRI LANKA
SWEDEN
SWITZERLAND
TAIWAN
THAILAND
*UNITED KINGDOM

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

0.7515
10.845
31.720
1.3578
8.5374
6.0165
1.2365
4.6710
5.3030
1.5405
237.46
7.7292
31.385
1.5604
1584.00
98.07
2.5625
3.4510
1.7305
0.6200
6.7305
157.30
1.4745
3.5200
800.20
128.350
49.100
7.2580
1.2940
26.200
25.010
1.5880

0.7530
10.884
31.810
1.3632
8.5374
6.0435
1.2333
4.7195
5.3100
1.5453
238.03
7.7288
31.375
1.5530
1585.00
98.28
2.5640
3.4525
1.7324
0.6200
6.7690
157.66
1.4725
3.5205
800.10
128.540
49.150
7.3475
1.2995
26.210
25.015
1.5840

0.7510
10.922
31.940
1.3650
8.5353
6.0660
1.2277
4.7545
5.3270
1.5515
238.97
7.7295
31.373
1.5435
1589.50
98.37
2.5645
3.4530
1.7392
0.6195
6.7955
158.15
1.4735
3.5260
799.70
129.190
49.150
7.3445
1.3056
26.290
25.020
1.5715

0.7535
10.884
31.820
1.3654
8.5340
6.0445
1.2318
4.7515
5.3160
1.5458
238.28
7.7325
31.373
1.5500
1586.75
98.10
2.5650
3.4534
1.7329
0.6223
6.7720
157.88
1.4717
3.5300
799.40
128.850
49.200
7.3245
1.2980
26.230
25.010
1.5770

0.7575
10.950
32.020
1.3675
8.5336
6.0890
1.2235
4.7785
5.3400
1.5553
239.77
7.7317
31.373
1.5430
1594.00
98.50
2.5665
3.4538
1.7440
0.6240
6.8165
158.71
1.4702
3.5390
799.30
129.520
49.150
7.3395
1.3190
26.310
25.020
1.5680

MEMO:
e*UNITED STATES

DOLLAR

87.70

87.94

88.24

87.99

88.46

COUNTRY

(CURRENCY UNITS PER DOLLAR)
Nov. 15
Nov. 16
Nov. 17

Nov. 18

KVALUE IS U.S. DOLLARS
XKINDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10
COUNTRIES. MARCH 1973 = 100. WEIGHTS ARE 1972-76 GLOBAL TRADE OF EACH OF THE 10 COUNTRIES.
SERIES REVISED AS OF AUGUST 1978. FOR DESCRIPTION AND BACK DATA, SEE "INDEX OF THE
WEIGHTED-AVERAGE EXCHANGE VALUE OF THE U.S. DOLLAR: REVISION" ON PAGE 700 OF THE AUGUST
1978 FEDERAL RESERVE BULLETIN.
THIS RELEASE IS AVAILABLE ONLINE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL (202) 482-1986.
FOR INFORMATION ABOUT YOUR SUBSCRIPTION TO THIS RELEASE OR ABOUT RECEIVING IT IN DOCUMENT
FORM, PLEASE CALL PUBLICATIONS SERVICES AT THE FEDERAL RESERVE BOARD AT (202) 452-3244.