Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : October 24, 1994

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DATA FILE

LIBRARY
FEDERAL RESERVE BANK
OF CHICAGO

'

| iDp A d v
LIBRARY
OCT 3 1 1994
FEDERAL RESERVE
BANK OF CHICAGO

Selected Interest &
Exchange Rates
Weekly Series of Charts

October 24,1994

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, DC. 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




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

RATIO SCALE
MARCH 1973=100

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

BELGIAN FRANC

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U.K. POUND

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—

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1992

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GERMAN MARK

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ITALIAN LIRA

FRENCH FRANC

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CANADIAN DOLLAR

DUTCH GUILDER

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JAPANESE YEN

SWISS FRANC

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1994

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1992

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1994

CHART 2

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

PERCENT PER ANNUM

U.K. POUND

GERMAN MARK

8

8
2
JAPANESE YEN

CANADIAN DOLLAR

+
0

2

4

4

6
2

+
0

DUTCH GUILDER

SWISS FRANC

2
4

6
8
2
+

0

8
ITALIAN LIRA

FRENCH FRANC

2
4

6
8
10
12




1992

1994

18

.

CHART3

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

400

—

380

--

U.S. DOLLARS PER FINE OUNCE
420

12.5 Kg BARS
AFTERNOON FIXING PRICE

400

380

360

360

340

340

320

- i — i




1991

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1992

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1993

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1994

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320

CHART4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANf

DENT PER ANNUM

10

8
SWITZERLAND

8
U.S. FEDERAL FUNDS

6

6

4
4

JAPAN
2

2
10

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0
10

9

9

8

8
GERMANY

7

7

NETHERLANDS

6

6

5

5
4
14

4
16

14

12

FRANCE

12

10

CANADA

10

8

8

6

6

4

4

2



UNITED KINGDOM

2

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1992

1994

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1992

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1994

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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

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2
16

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U.K. INTERBANK STERLING

13

3
11

9

7

10

NETHERLANDS INTERBANK RATE

7

1

4
9

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1

1

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i

5

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JAPANESE CD RATE

7

3
13

11

9

5
FRENCH INTERBANK RATE

7

3

1
10

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5
12

10

8

6

8

SWISS INTERBANK
GERMAN INTERBANK RATE

6

4
1

2




1992

1994

1

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1992

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1994

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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 B O R R O W I N G 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

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1992

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DIFFERENTIAL

DIFFERENTIAL

J

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1994

L

J

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1992

I

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1994

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
8

PERCENT PER ANNUM

8

CANADIAN FINANCE
CO. PAPER. COVERED

INTERBANK STERLING

COVERED LONDON

U.S. COMMERCIAL PAPER

EURO-DOLLAR DEPOSITS
DASHED LINE

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DASHED LINE

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INTERBANK DM

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1992

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DIFFERENTIAL

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DASHED LINE

DIFFERENTIAL

11

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EURO-DOLLAR

EURO-DOLLAR DEPOSITS'

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SWISS INTERBANK (SF) COVERED

DASHED LINE

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1 1 1 1 1

COVERED FRANKFURT

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DIFFERENTIAL

DIFFERENTIAL

1

'

1994

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1992

'

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1994

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CHART9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

11

9

UNITED KINGDOM

FRANCE

CANADA

JAPAN

SWITZERLAND

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GERMANY

NETHERLANDS




1992

I

1994

1992

1994

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

220
UNITED STATES

UNITED KINGDOM

SWITZERLAND

ARAN

GERMANY

CANADA

FRANCE

NETHERLANDS




1992

1994

1992

1994

21-Sep-94 28-Sep-94 5-Oct-94
Chart 1.

12-Oct-94 19-Oct-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
Indices, March 1973 base rates
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

3 .1496
74.135
18.909
64.623
0.06407
1.01535
57.644
77.938
157.31

3.1364
74.347
18.900
64.550
0.06403
1.01723
57.543
77.839
157.71

3.1366
74.389
18.908
64.545
0.06401
1.00739
57.617
77.744
158.00

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

124 .11
73 .89
85 .21
181 .79
36 .78
265 .85
165 .48
250 .74
63 .63

123 .59
74 .10
85. 17
181. 58
36. 75
266. 34
165. 19
250. 42
63 .79

123,.60
74 .
.14
85..21
181..57
36..74
.77
263 .
165..41
250..11
.90
63 .

123..89
74 .
.00
85..28
.07
182 .
36..55
261..53
165..89
250..38
.04
64 .

126 .
.50
73 .
.62
86..83
185..94
37..18
266 .68
.31
169 .
255..73
64 .83

112 .
.38
64..94
.71
74 .
180..78
30..17
264 ,
.46
153 .
.68
.59
52 .
231..35
54 ,
.54
87,.91

.66
112 .
64 .
.81
74 .
.79
181..39
30..01
261..97
.18
154 .
53..04
231..62
.67
54 ,
87..91

113 .62
63 .57
75 .21
183 .17
30 .15
263 .92
155 .42
53 .18
233 .60
54 ,
.63
86 .49

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

100

Weighted average exchange value indices, Mar. 19731=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 .28
-0 .53
-0 .04
-3 .38
2 .78
-0 .04
1 .05
-0 .70

0. 00
-0 .35
0. 18
-3 .15
2 .93
0. 11
1. 24
-0. 56

0 .17
-0 . 14
0 .35
-3 .14
,
3 .29
,
0 .31
1 .35
-0 .39

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

112 .29
64 .85
74 .62
180. 65
30. 16
267. 15
153 .36
52 .41
231. 48
54 .39
87. 83

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 .79
64 .65
74 .65
180 .89
30 .18
266 .59
153 .64
52 .45
231 .78
54 .24
87 .83

391.34

395.45

393.97

390.51

388.91

4 .73
4 .68
5 .01
5 .25
4 .84
2 .09
4 .89
3 .48
4 .70

4 .66
4 .69
4 .81
5 .25
4 .43
2 .13
4 .93
3 .29
4 .78

5 .07
4 .70
4 .83
5 .25
4 .50
2 .19
4 .88
3 .80
5 .50

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

Call Money Rates

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




>ep -94 28 -Sep -94 5-Oct- 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 .00
5 .54
5 .49
4 .99
2 .32
5 .01
3 .91
5 .79
4 .99

5 .17
5 .41
5 .52
4 .97
2 .30
5 .04
3 .91
5 .84
4 .97

5 .39
5 .41
5 .52
5 .09
2 .29
5 .10
4 .04
5 .86
5 .03

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

4 .68
4 .69
4 .79
4 .93
5 .36
5 .89

4 .69
4 .84
4 .95
5 .18
5 .59
6 .08

4 .70
4 .79
4 .96
5 .44
5 .68
6 .24

4 .69
4 .86
5 .09
5 .60
5 .79
6 .34

4 .59
4 .76
4 .91
5 .48
5 .71
6 .26

Euro-Dollar Deposit Rates

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

12-Oct -94 19-Oct -94

Selected Euro-dollar & U.S. Mone] - Market Rates

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

4 .68
4 .73
-0 .05

4 .69
,
4 .66
.
0 .03
.

4 .70
5 .07
-0 .37

4 .69
4 .62
0 .07

4 .59
4 . 72
-0 .13

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

4 .93
,
,
5 .00
-0 .07

.18
5.
5..17
0..01

5 .44
5 .39
0 .05

5 .60
,
5..55
0..05

5 .48
,
,
5 .45
0,.02

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

4 .93
.
5,.07
-0..15

.18
5.
5.
.28
-0..10

5 .44
5 .47
-0 .03

5.
.60
5..58
0..02

.48
5.
.46
5.
0..02

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

4.
.99
5..26
-0 .27
.

5.,16
,41
5.
-0. 25

5 .34
5 .58
-0 .24

.55
5.
.77
5.
-0..22

5..45
.70
5.
-0..24

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

4.
.93
4.
.95
-0..03

5 .18
5. 15
0 .03

5 .44
5 .44
-0 .00

5.
.60
.64
5.
-0,.04

.48
5.
.52
5.
-0..05

Euro-dollar deposit
Swiss interbank, covered
Differential

4.
.93
4.
.97
-0.,05

5 .18
5 .16
0. 01

5 .44
5 .40
0 .04

5.
.60
5..67
-0..07

5.
.48
5..51
-0.,03

8 .97
,
8,.15
7 .59
,
4 .45
,
.49
5,
7 .55
.
8..94
7.
.58

8 .90
8 .18
7 .63
,
4 .52
,
5 .47
,
7 .58
,
8,.89
7 .68
.

9 .04
,
8,.20
7 .64
,
4 .66
.
5..51
7.
.63
8..77
7.
.71

9 .00
8 .04
7 .38
.
4 .64
,
5,.44
7 .37
,
8..60
7 .64
,

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
Unitefl States
Chart 10.

Stock Indices

- .

8 .89
8 .18
7 .65
4 .49
5 .48
,
7,.58
8 .96
,
7..49

(Wednesday figures)

Canada
145,.25
145 .71
141 .74
145,.13
France
152 ,
.10
151,.07
145 .54
149 ,
.59
Germany
117,.52
116,.98
111,.06
117 ,
.00
Japan
119 .
.92
118 .
119 ,
.69
121,.03
.63
Netherlands
146 .
.07
146 .
.67
142 ,
.82
146 ,
.94
Switzerland
215 .
.16
215 .
205,.89
.99
211,.03
United Kingdom
182 ,
.35
182 ,
.83
177,.43
184 ,
.80
United States
187 .
.25
188..47
184 .
.05
188 .
.45
Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General spliced
at 22dec94, FAZ Aktien, Tokyo SE (Topix), CBS All-General, Swiss Bank Index,
DigitizedFinancial
for FRASER Times Ordinary, NYSE Composite


143 .
.99
147 ,
.72
116 ,
.66
119 ,
.51
146 ,
.72
206..37
182 .
.86
189 .
.90
to SBF250

•opSS^V-.

FEDERAL RESERVE statistical release
H.10(512)

October 24, 1994

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

OCTOBER 21, 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,PR.
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

Oct. 17

(CURRENCY UNITS PER DOLLAR)
Oct. 18
Oct. 20
Oct. 19

Oct. 21

0.7350
10.561
30.900
1.3565
8.5497
5.8845
1.2687
4.6325
5.1530
1.5005
230.16
7.7275
31.370
1.5935
1536.00
97.68
2.5555
3.4220
1.6818
0.6107
6.5390
153.67
1.4733
3.5475
801.90
124.860
49.030
7.2220
1.2490
26.120
24.955
1.6100

0.7373
10.569
30.920
1.3550
8.5496
5.8840
1.2691
4.6455
5.1550
1.5015
230.37
7.7275
31.373
1.5930
1533.75
97.79
2.5560
3.4250
1.6829
0.6113
6.5405
153.65
1.4720
3.5300
803.20
124.830
49.100
7.2150
1.2490
26.130
24.930
1.6135

0.7355
10.578
30.940
1.3548
8.5496
5.8855
1.2677
4.6365
5.1540
1.5028
230.77
7.7273
31.373
1.5990
1533.00
97.30
2.5470
3.4150
1.6843
0.6113
6.5455
153.94
1.4695
3.5230
802.90
125.230
49.100
7.2175
1.2460
26.110
24.930
1.6180

0.7366
10.569
30.920
1.3550
8.5496
5.8735
1.2673
4.6280
5.1470
1.5015
230.81
7.7275
31.373
1.5990
1533.75
97.20
2.5472
3.4180
1.6829
0.6125
6.5380
153.73
1.4745
3.5370
801.90
125.120
48.980
7.1685
1.2470
26.100
24.930
1.6215

0.7315
10.550
30.880
1.3543
8.5495
5.8615
1.2704
4.6080
5.1375
1.4988
230.54
7.7280
31.373
1.6005
1534.00
97.37
2.5585
3.4180
1.6801
0.6120
6.5250
153.38
1.4749
3.5070
802.10
125.000
48.890
7.1390
1.2483
26.030
24.900
1.6255

85.98

85.97

85.90

85.80

85.71

*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
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