Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : October 2, 1995

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Selected Interest &
Exchange Rates
Weekly Series of Charts

October 2, 1995

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.

nil ART 1

SPOT EXCHANGE INDICES
DOLLAR PRICES OP FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE)
AVERAGES FOR WEEK ENDING WEDNESDAY
NBfMfii*
120
FOREIGN CURRENCY
PRICE OF U.S. DOLLAR
100

M A ^ m s
—% 160
BELGIAN FRANC

80

130

110

I I I I I I I I I I I I I I I




SW SS FRANC

I I I I I I I I I I I I I I I
JAPANESE YEN

CANAD AN DOLLAR
U.K. POUND

I I I I I I I I I I I I I I I
DUTCH GUILDER

FRENCH FRANC

GERMAN MARK

ITALIAN LIRA

I I I I I ' I I I I I I I I I
1993
1995

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
2

PERCENT PER ANNUM
2

U.K. POUND

CANADIAN DOLLAR

JAPANESE YEN

SWISS FRANC

DUTCH GUILDER

FRENCH FRANC

ITALIAN LIRA

I I '




I I I
1993

I i

I I

I I

I

I I I
1995

1992

I I I

I I
1994

I I I I I

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 I —

12.6 Kg BARS

AFTERNOON FIXING PRICE

400

400

380

380

360

360

340

340

320

'

'
1991




'

I

•

i
1992

l

l

i

i
1993

I

I

L

I
1994

I

I

I

I
1995

I

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
10

PERCENT PER ANNUM

SWITZERLAND
U.S. FEDERAL FUNDS

JAPAN

NETHERLANDS

GERMANY

FRANCE

CANADA

UN TED K NGDOM




1993

1995

1993

1995

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
10 —

9

CANADIAN FINANCE PAPER
WEIGHTED AVERAGE
FOREIGN RATE

U.K. INTERBANK STERLING

JAPANESE CD RATE

FRENCH INTERBANK RATE

GERMAN INTERBANK RATE
SWISS INTERBANK

'

•




1

I I I I I
1993

I I I I I '
1995

1993

1995

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
CENT PER ANNUM
8

OVERNIGHT

3-MONTH

6

4

2
8

I I I I I I I I I I I I I I I

7-DAY

i

i

i

i

i

i

i

i

i

i

i

i

6-MONTH

6

4

2
8

'

I I I » I I I I I '

I

1

'

1

I I I I I I I I I I I I I I I

1-YEAR

1-MONTH
6

4

2

I I I I I I I I I I I I I I I




1993

1995

I I I I I » '
1993

I I '

'

I I '

I

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
7

PERCENT PER ANNUM

3-MONTH
EURO-DOLLAR DEPOSITS

OVERNIGHT
EURO-DOLLAR DEPOSITS

90-DAY CD'S
DASHED LINE

FEDERAL FUNDS
DASHED LINE

J

I

I

I

I

!

I

I

l

I

l

I

I

i

J—!—I

I

I

I

DIFFERENTIAL

L_J




'

l

l

1

1
1993

1

I

1

I

L_J

I

DIFFERENTIAL

y "

I

I

1

1

I

1

1
1
1995

J

I

I

l

I

Lj" "L| u gi'i-

I
1993

I

l

I

I

, |/\-y utjwi |" , y"

I

I

I

I
1995

I

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
PERCENT PER ANNUM
7

PERCENT PER ANNUM
7

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

U.S. COMMERCIAL PAPER
DASHED

URO-DOLLAR DEPOSITS
DASHED LINE

1

I •

'

'

'

1

'

1

'

1

'

'

1

I

DIFFERENTIAL

DIFFERENTIAL

y'yw "iuvAHy •'Vv^y %
I

•

•

I « I I I

1

I I 1 I

I I

INTERBANK DM
COVERED FRANKFURT

6 —

SWISS INTERBANK (SF) COVERED

5 —
EURO-DOLLAR DEPOSITS
DASHED

EURO-DOLLAR DEPOSITS
^
DASHED LINE

3 —

•

•

I

'

•

•

I

I '

'

1 I I I
DIFFERENTIAL

DIFFERENTIAL
"UA^IA/v/'VA

I

I




I '

'

1

1993

1

I '

'

1

1

1

1

1995

•

'

'

1 I I I I
1993

I I I I \

I I
1995

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
RCENT PER ANNUM

PERCENT PER ANNl

9

11
UNITED STATES

UNITED KINGDOM
10

8

9
7

8
6

7

5

6
10

10
FRANCE

CANADA

9

9

8
8
7
7

6

I I I I I I I I I I I I I I I

6
8

5

6

SWITZERLAND

JAPAN

7

5

6

4

5

3

•

4
9
NETHERLANDS

» '

I •

•

'

I

1

'

1

1 '

» I

2
9

GERMANY

8

8

7

7

6

6

5

t

I

I I I I I I I




1993

I I I I I I
1995

'

» •

I •

•
1993

'

I '

'

'

I I '
1995

'

5

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986-100
210

RATIO SCALE

1686-100
230

UNITED KINGDOM

UNITED STATES

JAPAN

SWITZERLAND

GERMANY

CANADA

FRANCE

NETHERLANDS

l

I

I I




I

1

1993

I 1 I I

1

I

1

I

1

1995

1993

1995

30-Aug-95 6-Sep-95
Chart 1.

13-Sep-95 20-Sep-95 27-Sep-95

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

3.3066
74.461
19.746
68.025
0.06155
1.03006
60.716
82.611
154.74

3.3072
74.502
19.759
68.080
0.06157
1.02093
60.750
82.945
155.29

3.2915
74.361
19.642
67.726
0.06191
0.99852
60.446
82.617
154.94

3.2749
73.332
19.581
67.415
0.06205
0.96662
60.163
83.012
154.84

3.4042
74.116
20.253
70.042
0.06216
1.00109
62.562
87.029
157.24

130 .30
74 .21
88 .98
191 .36
35 .33
269 .70
174 .30
265 .77
62 .59

130 .32
74 .25
89 .04
191 .52
35 .34
267 .31
174 .40
266 .84
62 .81

129 .70
74 .11
88 .51
190 .52
35 .54
261 .44
173 .53
265 .79
62 .67

129 .05
73 .09
88 .24
189 .64
35 .61
253 .09
172 .72
267 .06
62 .63

134 .14
73 .87
91 .26
197 .03
35 .68
262 .12
179 .60
279 .98
63 .60

116 .36
63 .86
76 .64
188 .04
28 .64
257 .43
159 .16
53 .99
242 .46
52 .49
86 .22

116 .46
63 .31
76 .87
188 .33
28 .89
249 .88
159 .36
54 .32
245 .13
52 .79
86 .87

118 .49
62 .51
77 .86
191 .95
28 .26
253 .47
162 .25
54 .20
251 .51
52 .39
84 .44

-0.55
-0.01
1.62
-4.37
5.31
1.90
3.02
-0.84

-0 .80
0 .04
1 .65
-4 .23
5 .44
1 .92
2 .96
-0 .79

-1 .13
-0 .02
1 .63
-4 .29
5 .43
1 .91
2 .96
-0 .87

-0,.72
-0,.39
1,.79
-4 .59
,
5..58
2..01
3..32
-0..89

382.94

380.60

382 .79

384,.97

383,,44

39.93
5.73
6.28
5.76
4.19
0.84
3.89
3.13
6.59

39.93
5.73
6.22
5.70
4.24
0.88
3 .77
2.81
6.25

40 .25
5 .69
6 .13
5 .58
4 .18
0 .61
3 .85
3 .10
6 .68

40,.45
5,.69
6,.13
5..50
4.
.10
0..45
3,.90
2..99
6..81

41. 02
5. 73
6. 14
5. 61
4 .00
0.45
3. 91
2. 38
6. 60

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

116.44
63.68
76.75
188.15
28.34
265.39
159.25
52.52
241.47
52.19
85.79

116.48
63.73
76.82
188.36
28.35
262.79
159.37
52.62
242.51
52.40
85.81

Premium or Discount
-0.57
-0.03
1.58
-4.29
5.20
1.89
2.99
-0.87
Fixing

U.S. dollars per fine ounce
Chart 4.

Call Money Rates

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




30-Aug-li 6= S@P = I1
SSSBSESSSSSES

Chert I.

s s - s s s s

- a s

S .76
6.46
5.70
4.18
0.82
3.92
2.84
6.73
5.10

5.76
6.44
5.73
4.18
0.77
3.89
2.76
6.69
5.10

5.73
6.54
5.67
4.13
0.56
3.87
2.80
6.74
5.03

5.69
6.95
5.69
4.09
0.50
3.84
2.78
6.72
5.04

5.73
6.60
6.18
4.02
0.50
3.82
2.46
6.69
5.07

5.73
5.74
5.76
5.77
5.80
5.86

5.73
5.74
5.77
5.78
5.78
5.79

5.69
5.71
5.75
5.75
5.76
5.76

5.69
5.70
5.70
5.70
5.69
5.69

5.73
5.75
5.72
5.72
5.73
5.75

sure-Dollar Deposit Rates

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

87 =Sep=!l
= SI 20 =S@p=ll
1
13 =!@p
1
s e s

3-Month interest Rates

U.I. 10-day CD's, secondary market
Canadian finance paper
French interbank rate
German interbank rate
Japanese CD rate ^ ,
Netherlands interbank rate
Swiss interbank ratej
U.K. interbank sterling j
Weighted average foreign interest rate
(G-10 Countries)
Chart 6.

3 55 s s s s s s s s

Selected Euro-dollar 6 U.S. Money Market Rates
5.73
39.93
-34.21

5.73
39.93
-34.20

5.69
40.25
-34.56

5.69
40.45
-34.76

5.73
41.02
-35.29

5.77
5.76
0.01

5.78
5.76
0.02

5.75
5.73
0.02

5.70
5.69
0.00

5.72
5.73
-0.01

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

5.77
5.84
-0.07

5.78
5.84
-0.06

5.75
5.94
-0.19

5.70
5.84
-0.14

5.73
5.7b
-0.06

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

5.80
5.88
-0.08

5.78
5.88
-0.11

5.74
5.73
0.01

5.70
5.80
-0.10

5.72
5.87
-0.14

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

5.77
5.78
-0.01

5.78
5.82
-0.04

5.75
5.79
-0.04

5.70
5.74
-0.04

5.72
5.83
-0.11

Euro-dollar deposit
Swiss interbank, covered
Differential

5.77
5.85
-0.09

5.78
5.80
-0.02

5.75
5.78
-0.03

5.70
5.76
-0.06

5.72
5.80
-0.08

7.95
7.24
6.49
2.95
4.30
6.49
7.80
6.12

7.87
7.44
6.55
2.82
4.12
6.58
7.96
6.26

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.

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.

8.08
7.33
6.69
3.31
4 .45
6.72
8.05
6.38

7.94
7.35
6.67
3.19
4.41
6.67
7.97
6.21

8.06
7.33
6.62
3.12
4 . 34
6.60
7.85
6.21

Stock Indices (Wednesday figures)

151.64
152.85
152.36
151.00
Canada
145.62
147.63
148.62
148.83
France
126.70
125.13
125.05
123.13
Germany
109.66
111.07
106.22
107.56
Japan
168.23
167.96
166.22
163.68
Netherlands
249.21
249.93
248.91
244.93
Switzerland
204.69
206.57
206.79
204.08
United Kingdom
231.07
228.17
225.24
221.57
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



149.96
141.06
120.89
109.13
165.36
245.88
200.75
228.86
to SBF250

FEDERAL RESERVE statistical release
H. 10(512)

September 29, 1995

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

SEPTEMBER 29, 1995

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
DOLLAR
AUSTRIA
SCHILLING
BELGIUM
FRANC
CANADA
DOLLAR
CHINA,P.R.
YUAN
DENMARK
KRONE
*EURO COMMUNITY ECU
FINLAND
MARKKA
FRANCE
FRANC
GERMANY
D. MARK
GREECE
DRACHMA
HONG KONG
DOLLAR
INDIA
RUPEE
"IRELAND
POUND
ITALY
LIRA
JAPAN
YEN
MALAYSIA
RINGGIT
MEXICO
PESO
NETHERLANDS
GUILDER
"NEW ZEALAND
DOLLAR
NORWAY
KRONE
PORTUGAL
ESCUDO
SINGAPORE
DOLLAR
SOUTH AFRICA
RAND
SOUTH KOREA
WON
SPAIN
PESETA
SRI LANKA
RUPEE
SWEDEN
KRONA
SWITZERLAND
FRANC
TAIWAN
DOLLAR
THAILAND
BAHT
MEMO:
*«UNITED STATES

DOLLAR

•VALUE IS U.S. DOLLARS




Sep. 25
0.7493
10.048
29.410
1.3464
8.3394
5.5525
1.2961
4.3440
4.9470
1.4277
232.81
7.7315
34.000
1.6035
1612.75
99.88
2.5240
6.3900
1.6004
0.6603
6.2960
150.02
1.4437
3.6550
769.30
124.260
52.750
6.9950
1.1495
27.370
25.120
1.5715
84.48

(CURRENCY UNITS PER DOLLAR)
Sep. 26
Sep. 27
Sep. 28
0.7474
10.047
29.380
1.3460
8.3392
5.5380
1.3018
4.3190
4.9520
1.4378
231.52
7.7315
33.920
1.6030
1593.75
100.83
2.5265
6.3850
1.5998
0.6574
6.2800
149.11
1.4420
3.6555
768.90
122.780
52.800
6.9615
1.1620
27.340
25.130
1.5708
84.64

0.7485
10.043
29.370
1.3495
8.3390
5.5385
1.2996
4.3430
4.9160
1.4271
231.94
7.7323
33.910
1.6070
1604.75
100.17
2.5188
6.3950
1.5988
0.6559
6.2910
149.49
1.4295
3.6480
768.40
123.160
53.000
7.0140
1.1520
27.240
25.110
1.5722
84.41

0.7525

10.006

29.260
1.3510
8.3389
5.5280
1.3019
4.2775
4.9075
1.4219
231.70
7.7330
33.990
1.6150
1609.25
99.73
2.5110
6.4400
1.5924
0.6550
6.2670
149.20
1.4238
3.6480
768.50
123.220
53.100
6.9770
1.1470
27.240
25.100
1.5805
84.18

Sep. 29
0.7555
10.059
29.410
1.3445
8.3385
5.5445
1.2955
4.2935
4.9250
1.4295
233.16
7.7320
33.940
1.6120
1615.75
99.10
2.5120
6.3850
1.6009
0.6580
6.2840
150.15
1.4230
3.6505
768.30
123.710
52.900
6.9365
1.1560
27.070
25.100
1.5795
84.30