Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 28, 1994

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

November 28,1994

DIVISION O F
INTERNATIONAL FINANCE

Prepared by the

BOARD OF GOVERNORS

FINANCIAL MARKETS

FEDERAL RESERVE SYSTEM

SECTION

Washington, DlC. 20551




Table of Contents

TABLES

1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
H.10 RELEASE
CHARTS

1. 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




S U B S C R I P T I O N 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 S
MARCH 197:

SCALE
H1973=100
120

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

110

100
90
80

BELGIAN FRANC
70

•

60

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

I

i

i

i

I

< i i

I

I

290
270
250
230
210
190

JAPANESE YEN

SWISS FRANC
170
150

'

'

i

l

•

•

'

I

'

i

i

I

i

i

i

i

i

'

I

•

'

'

85
75
65
U.K. POUND

55

45
200

•

'

'

I

I

CANADIAN DOLLAR

'

•

I

'

I

I

I

I

I

I

»

i

•

l

i

i

i

1 i

180

160
140
DUTCH GUILDER

120
100

i

i

i

I

i

i

GERMAN MARK

i

I

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I

i

i

i

i

i »

I

i

i

i

I

i

i i

I

I

I

105
95
85
75

I

55

ITALIAN LIRA

FRENCH FRANC

* 65

'

i




'

I

i

i
1992

i

I

'

i

i

l

i

i
1994

I

I

I

I

I
1992

I

I

I
1994

CHART2

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

PERCENT PER ANNUM
2

2
GERMAN MARK

I

1

1

I

1

U.K. POUND

1

I
1

1

1

1

1

1

1

1

1

CANADIAN DOLLAR

1

1

1

1

1

1

JAPANESE YEN

1

1

1

1

1

1

1

1

1

SWISS FRANC

DUTCH GUILDER
X

» i i 1 i i

i i

i i i J

1

FRENCH FRANC

1

i

1




l

1

1

1

1

1

1

1

1

1

1

1

1

1

1

ITALIAN LIRA

*
1992

1

i

f

i

i

i

< i
1994

'
1992

1994

1

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

12.5 Kg BARS
AFTERNOON FIXING PRICE

400

400

380

380

360

360

340

340

320
1991




1992

1993

1994

320

CHART4

CALL MONEY RATES
WEEKLY SERIES

PERCENT PER ANNUM

PERCENT PER ANNUM

SWITZERLAND

U.S. FEDERAL FUNDS

JAPAN

0

2
10

9

8
GERMANY
NETHERLANDS

7

6
5
4

4
16

14

FRANCE

12

CANADA

10

8

——

6
4

2




UNITED KINGDOM

1992

1994

1992

1994

6

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM
13
WEIGHTED AVERAGE
FOREIGN RATE
CANADIAN FINANCE PAPER

U.S. CD'S

U.K. INTERBANK STERLING

NETHERLANDS INTERBANK RATE

JAPANESE CD RATE

FRENCH INTERBANK RATE

SWISS INTERBANK




GERMAN INTERBANK RATE

1992

1994

1992

1994

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER ANI

DENT PER ANNUM

10

10

OVERNIGHT

3-MONTH

8

8

6

6

4

4

2

•

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i

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•

I

I

I

'

•

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I

'

'

I

I

'

'

'

10

7-DAY

6-MONTH

8

2
10

8

6

6

4

4

2

i

i

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I

i

i

i

l

i

i

i

l

i

i

i

i

i

l

i

i

i

l

i

i

i

l

i

i

i

10

1-YEAR

1-MONTH

8

2
10

8

6

6

4

4

2

•

1

1

1




1

1

1992

1

1

1

1

•

I

•

•
1994

'

'

'

I

I

I
1992

I

I

I

I

I

I

I

i
1994

I

2

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
D I F F E R E N T I A L : P L U S ( + ) , F A V O R S B O R R O W I N G IN U . S .
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
10

PERCENT PER ANNUM
10

3-MONTH
EURO-DOLLAR DEPOSITS

OVERNIGHT
EURO-DOLLAR DEPOSITS

FEDERAL FUNDS
DASHED LINE

*

9 0 - D A Y CD'S
DASHED LINE

,

J

I

J

L

I

,A .




I

I

I
1992

I

I

I

I

I

I

L

I

I

J

I

L

DIFFERENTIAL

DIFFERENTIAL

_I_J

I

L

J

I
1994

L

J

I

I

mnh

I

I

I
1992

I

I

I

I

I—I—L
1994

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

INTERBANK STERLING
COVERED LONDON

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS
DASHED LINE

U.S. COMMERCIAL PAPER
DASHED LINE

WL

DIFFERENTIAL

/ Vv"Vuu-Vv,^V/VAsy,V

DIFFERENTIAL

*v

INTERBANK DM
COVERED FRANKFURT

—

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS
DASHED LINE

EURO-DOLLAR DEP
DASHED LINE

DIFFERENTIAL

DIFFERENTIAL

M a .

'

'

'

I

'




'

'

1992

I

'

'

'

'

I

I I
1994

1

1

1

1

1 1

1992

1

1

1

I

I

1 I

I

i

1994

I

1

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES

PERCENT PER ANN I

iCENT PER ANNUM

9
UNITED KINGDOM

UNITED STATES
8

7

6

5
4
11

'

'

i

I

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i

i

I

i

i

i

I

i

i

*

i

i

i

1

1

» I

i

i

1

I

1

'

» I

» i

i

CANADA
10

9

8
7

•

6

i

i

8
JAPAN

SWITZERLAND
7

6
5
4

3
10
GERMANY

NETHERLANDS
9

8
7

6
5

i

i

i




I

i

i
1992

i

l

i

i

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I

i

i
1994

i

'

I

» I

I

'
1992

'

I

I

» I

I

•

'
1994

'

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

220

210

— UNITED KINGDOM

UNITED STATES

190
170
150

130

i

i

i

I

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I

i

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I

i

i

i

110
160

JAPAN

SWITZERLAND

140

120

100

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

GERMANY

1

i

» I

» » i

I

i

1

1

I

i

1

1

80
180

CANADA

165

140
150
120

135
120

100
105

80

i

i

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I

i

i

i

I

i

i

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I

1

I

1

I

I

I

» I

I

I

I

I

I

90

210
195

.FRANCE

160

— NETHERLANDS

180

145

165

130

150
115
135

100

120
105

i

I




i

i
1992

i

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i

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i i
1994

i

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i

I

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i
1992

I

i

i

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I

i

85
1994

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

9-Nov-94

16-Nov-94 23-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 .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

3.1272
72.999
18.738
64.371
0.06257
1.01736
57.419
76.078
157.06

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

123 .23
72 .76
84 .44
181,.08
35..91
266..38
164 ,
.84
244 .
.75
63.,53

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

112 .54
63 .94
74 .32
181 .16
29 .58
268 .72
153 .84
53 .53
227 .28
54 .45
88 .40

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

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

0 .16
0,.39
0..80
-2 .61
.
.71
3.
0..74
2.
,07
-0.,01

389 .98

385. 81

383 .,71

385.,51

384 .66

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

5. 53
5. 44
5. 11
5. 25
4 .84
2. 20
4 .93
3. 25
4. 33

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 .72
63 .19
75 .40
183 .26
30 .01
265 .54
155 .43
53 .50
232 .81
55 .34
85 .77

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

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

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

Call Money Rates

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




ct -94 2-Nov-94
Chart 5.

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
,10
5.
.33
2.
5.,17
,93
3.
6.,03
,08
5.

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

5. 87
5. 84
5. 48
5. 10
2 .33
5 .13
3 .81
5. 91
5. 06

4.
.59
,68
4.
,86
4.
.51
5.
5..81
6..38

4.
.66
4.
,69
4.
.95
.54
5.
.85
5.
6..45

4.
.66
.80
4.
.14
5.
5..69
6..00
6..60

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

5 .44
5. 44
5 .50
5. 88
6 .19
6.,84

Euro-Dollar Deposit Rates

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

16-Nov- 94 23-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. Mone} • Market Rates

Overnight Euro-dollar deposits
U.S. federal funds
Differential

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.,44
5..53
-0 . 09

3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential

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 .88
5 .87
,
0,.00

5 .51
5 .49
0 .02

5 .54
5 .54
-0 .01

5 .69
5 . 71
-0 .03

5 .76
5 .78
-0 .02

5 .88
5 .90
-0 .03

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

5 .52
5 .71
-0 .19

5 .59
5 .72
-0 .13

5 .70
5 .83
-0 .13

5 .78
5 .99
-0 .21

5 .88
6 .01
-0 . 12

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

5 .51
5 .57
-0 .06

5 .54
5 .60
-0 .07

5 .69
5 .72
-0 .03

5 .76
5 .83
-0 .06

5 .88
5 .91
-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

5 .88
5 .91
-0 .03

9 .13
.
8 .37
,
7 .62
.
4 .64
.
.48
5.
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
,

9 .16
,
8,.15
7 .47
;
4 .64
,
5 .40
,
7 .56
,
8,.55
7 .98
,

Chart 8.

Interest Arbitrage, 3-Month Funds

Euro-dollar deposit
Interbank sterling (London), covered
Differential

Euro-dollar deposit
Swiss interbank, 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 .12
,
8,.24
7 .52
,
4 .65
,
5 .47
,
7 .52
,
8 .76
7 .85

Stock Indices (Wednesday figures)

139 .02
.80
139 ,
140 ,
.93
141,.96
Canada
152 .13
151,.83
.28
147 ,
144 .80
France
118 .41
.41
117 .
.81
115 ,
114 .25
Germany
115 .35
.94
115 ,
.62
118 ,
118 .49
Japan
149 .49
149 .49
147 ,
.43
145 .37
Netherlands
214 .27
211..27
.87
205 ,
202 .22
Switzerland
187 .64
184 .39
.74
182 ,
178 .33
United Kingdom
187 .25.
187 .47
188 .18
186 .66
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



134 .92
148 .05
115 .02
113 .64
145 .53
211..35
180 .29
.97
180 ,
to SBF250

••Sszg&c-.

FEDERAL RESERVE statistical release
November 28, 1994

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

NOVEMBER 25, 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:

COUNTRY

MONETARY
UNIT

^AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
^IRELAND
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

MEMO:
**UNITED STATES

DOLLAR

Nov. 21

(CURRENCY UNITS PER DOLLAR)
Nov. 24
Nov. 23
Nov. 22

0.7618
10.978
32.100
1.3669
8.5336
6.0970
1.2221
4.7810
5.3570
1.5595
240.15
7.7322
31.370
1.5470
1599.50
98.41
2.5675
3.4450
1.7483
0.6220
6.8215
159.04
1.4665
3.5420
799.10
129.930
49.200
7.3620
1.3220
26.390
25.020
1.5660

0.7630
10.947
32.010
1.3762
8.5326
6.0902
1.2244
4.7570
5.3410
1.5551
239.63
7.7317
31.368
1.5490
1607.50
98.19
2.5535
3.4480
1.7433
0.6230
6.8110
158.51
1.4653
3.5390
798.80
129.660
49.100
7.3725
1.3195
26.370
25.000
1.5695

0.7600
10.924
31.940
1.3735
8.5326
6.0820
1.2269
4.7515
5.3300
1.5518
239.20
7.7325
31.373
1.5530
1604.00
98.27
2.5555
3.4450
1.7395
0.6225
6.7945
158.26
1.4660
3.5360
798.50
129.510
49.240
7.3773
1.3140
26.280
25.010
1.5725

88.62

88.54

88.39

H

O

L

I

D

A

Y

Nov. 25
0.7596
10.980
32.110
1.3761
8.5305
6.1090
1.2211
4.8320
5.3590
1.5596
240.64
7.7322
31.378
1.5385
1618.25
98.75
2.5585
3.4480
1.7479
0.6207
6.8355
159.28
1.4660
3.5360
798.30
130.190
49.600
7.4780
1.3225
26.220
25.045
1.5630

88.89

*VALUE IS U.S. DOLLARS
**INDEX 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.