Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : September 18, 1995

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Selected Interest &
Exchange Rates
Weekly Series of Charts

September 18, 1 9 9 5

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM

SECTION

Washington, D C. 2 0 5 5 1




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.

CHART 1

SPOT EXCHANGE INDICES
DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE)
AVERAGES FOR WEEK ENDING WEDNESDAY

120

) SCALE
H 1973=100

RATIO SCALE
MARCH 1973=100
150

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

100

BELGIAN FRANC

130

80

60
300

110

'

i

'

I i

i

'

I i

'

'

I '

'

i

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

90
390
330

SWISS FRANC

260

270
220

180
100

210

i

i

i

l

i

i

i

l

i

i

i

l

i

•

i

• i

I i

i

« I '

i

i

I i

'

i

150
105

CANADIAN DOLLAR
80

85

U.K. POUND

65

60

40
195

I '

I I '

'

'

I I '

• I I I '

I I I I I I '

' I

I I I I

195

155

135
115

45
215

GERMAN MARK

DUTCH GUILDER

175

I '

175

i

i

l

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i

i

l

i

i

i

l

i

i

i

» I I I I I I I I I I I I I I

ITALIAN LIRA

FRENCH FRANC

95

155
75
55

35
75

55

I I I I I I I I I I I I '




1993

I I
1995

1

f i

I i

i
1993

i

I i

i

• i

> • '
1995

15

CHART 2

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

PERCENT PER ANNUM

2b

U.K. POUND

GERMAN MARK

i

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l

i

i

i

I

i

i

i

I

i

i

i
JAPANESE YEN

CANADIAN DOLLAR

1

1

1

I

1

1

1

I

1

1

1

1

1

1

l

i

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I i

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i

I i

i

i

DUTCH GUILDER

SWISS FRANC
2

i

1

—

— 6
1 T
+

0

1

1

1

1

1

1

1

1

1

1

1

1

1

I I I I I I I

I_L

ITALIAN LIRA

FRENCH FRANC
l/vA^

2

2

-

4

6

6

10

8
14

10
12

1

1




1

1

1

1 1
1993

1

N i h i l
1995

I '
1992

I I I '

I I I I I I '
1994

I I

18

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

_L
1991




1992

I

I

L

I
1993

l _ l

I
1994

L_J
1995

L

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
7

10

SWITZERLAND
__

U.S. FEDERAL FUNDS

JAPAN

NETHERLANDS

GERMANY

FRANCE

CANADA

UNITED KINGDOM

I I I I I I I I I I I 1 I I



1993

1995

1993

1995

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
CANADIAN FINANCE PAPER

S WEIGHTED AVERAGE
X
FOREIGN RATE

U.S. CD'S

3

2
12
NETHERLANDS INTERBANK RATE

10
U.K. INTERBANK STERLING

8

6

3

4
7

5

FRENCH INTERBANK RATE

JAPANESE CD RATE

3

1
10
GERMAN INTERBANK RATE

8
SWISS INTERBANK

6
4

2



1993

1995

1993

1995

CHART 6

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

PERCENT PER ANI

8

OVERNIGHT

3-MONTH

6

4

2
8

7-DAY

6-MONTH

6

4

2

8

1-YEAR

1-MONTH

6

4

2

i

i

i




l

i

i
1993

i

i

i

i

i

i

i

»
1995

I

I I I

I I I
1993

I I I I I I I I
1995

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL: RLUS(+), 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

PERCENT PER ANNUM

3-MONTH
EURO-DOLLAR DEPOSITS

OVERNIGHT
EURO-DOLLAR DEPOSITS

MV k

90-DAY CD'S
DASHED LINE

FEDERAL FUNDS
DASHED LINE

j

i

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»

»

i

J—I

l_l

I

I

DIFFERENTIAL




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1993

i

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L_L

DIFFERENTIAL

r
1 L—i

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i i i
1995

i

,nVi/~'r\iwnwiifii n,. .

i—J—i—I—i—J
1993

^

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l—i

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LJ

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1995

i

11

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
7

PERCENT PER ANNUM

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

U.S. COMMERCIAL PAPER
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

i

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•

» • I '

I I I I '

'

1 I '

I I I « '

INTERBANK DM
COVERED FRANKFURT

1

1

'

I • i




1993

'

•

1

I » I • I »

1

'

I

1

» «

I I I I I I I I I » 1 1 I I I

DIFFERENTIAL

i

• I • '

EURO-DOLLAR DEPOSITS
•^
DASHED LINE

I I I I I » I I I I I I I I I

i

'

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS
JS
DASHED LINE
uS

11

• I '

DIFFERENTIAL

DIFFERENTIAL

•

'

| y v

DIFFERENTIAL

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1995

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1993

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1995

i

I1

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
11

PERCENT PER ANNUM
9
UNITED STATES

UNITED KINGDOM

8

I

I

I

1

I

I

1

I

I

I

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I

10

FRANCE

CANADA

I » » I I I 1 I 1 »

1

I

1

I '
JAPAN

SWITZERLAND

» i

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• • I '

'

'

I » • '

I I '

'

I I '

GERMANY

NETHERLANDS
8

i

—

7 —

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I I I I I I I '




1993

I I I I I
1995

I I I I » I '
1993

1995

I

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100
230 i
UNITED STATES

1

I

I

I

I

RATIO SCALE
1986=100

210

UNITED K NGDOM

I

1

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i

SWITZERLAND

'

1

1

I

1

'TJ'

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• » '

• '

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•

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1

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JAPAN

1

'

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1

1

» I '

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I

GERMANY

'

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I

I

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I

CANADA

140

160

120

140

100

80

120

i

i

i

I

i

i

i

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1

1

I •

1

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190
FRANCE

100
180

NETHERLANDS

170 —

160

150 ——

140

130 —

120

110

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1993

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1993

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» • • i

• • •
1995

100

16-Aug-95 23-Aug-95 30-Aug-95 6-Sep-95
Chart 1.

13-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

3.3576
73.531
20.083
69.067
0.06215
1.05375
61.662
83.157
156.94

3.2915
73.597
19.753
67.673
0.06165
1.03185
60.448
81.633
153.90

3.3004
74.408
19.725
67.886
0.06161
1.02812
60.592
82.437
154.54

3.3072
74.502
19.760
68.082
0.06157
1.02096
60.751
82.946
155.29

3.2876
74.329
19.624
67.642
0.06191
0.99722
60.371
82.514
154.98

132. 30
73 .29
90. 50
194 .29
35. 68
275 .91
177 .02
267. 53
63 .,48

129 .70
73 .35
89 .01
190 .37
35. 39
270. 17
173 .53
262 .63
62 .25

130 .05
74 .16
88 .89
190 .97
35 .36
269 .19
173 .95
265 .21
62 .50

130 .32
74 .25
89 .04
191 .52
35 .34
267 .32
174 .40
266 .85
62 .81

129 .55
74 .08
88 .43
190 .28
35 .54
261 .11
173 .31
265 .46
62 .68

116 .34
63 .70
76 .75
187 .93
28 .40
265 .14
159 .08
52 .56
241 .21
52 .17
85 .91

116 .48
63 .73
76 .82
188 .36
28 .35
262 .80
159 .37
52 .62
242 .51
52 .40
85 .81

116 .30
63 .88
76 .62
187 .92
28 .66
257 .25
159 .06
53 .92
242 .32
52 .54
86 .30

-0. 63
0. 01
1. 48
-4 .32
5. 21
1. 88
3. 03
-0.,86

-0 .57
-0 .03
1 .58
-4 .29
5 .20
1 .89
2 .99
-0 .87

-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 .78

383.89

384.07

382.94

380.60

382.79

5.74
5.75
6.35
6.08
4.42
0.96
4.04
3.21
6.45

5.70
5.73
6.34
5.93
4.22
0.84
4.00
3.03
6.10

5.71
5.73
6.28
5.76
4 .19
0.84
3.89
3.13
6.59

5.77
5.73
6.22
5.70
4.24
0.88
3.77
2.81
6.25

5.72
5.69
6.13
5.58
4.18
0.61
3.85
3.10
6.68

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

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.

3-Month Forward Exchan

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

116 .22
63 .08
77. 02
187. 62
28. 47
266. 75
158. 98
52 .47
239. 23
52 .04
86. 11

Rates, Premium or Discount
-0..68
-0..12
1,.44
-4 .43
,
5,.18
1,.78
3 .00
,
-0 .93

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

117.,06
62 .,15
77 .,33
189 ..28
28..33
269..13
160 .
.15
52 .
.67
240..57
52..42
.71
84 .

Call Money Rates

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




16-Aug-95 23-Aug-95 30-Aug-95 6-Sep-95
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 .78
6 .67
5 .90
4 .40
0 .84
4 .05
2 .80
6 .73
5 .21

5. 78
6. 52
5. 80
4 .39
0. 87
4 .03
2 .86
6. 70
5. 17

5 .76
6 .46
5 .70
4 .18
0 .82
3 .92
2 .84
6 .73
5 .08

5 .76
6 .44
5 .73
4 .18
0 .77
3 .89
2 .76
6 .69
5 .07

5 .73
6 .54
5 .67
4 .13
0 .56
3 .87
2 .80
6 .74
5 .02

5 .75
5 .77
5 .80
5 .81
5 .81
5 .90

5 .73
5 .75
5. 80
,81
5.
5. 86
5. 95

5 .73
5 .74
5 .76
5 .78
5 .81
5 .86

5 .73
5 .74
5 .77
5 .77
5 .77
5 .80

5 .69
5 .71
5 .75
5 .75
5 .75
5 .75

Euro-Dollar Deposit Rates

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

13-Sep-95

Selected Euro-dollar & U.S. Money Market Rates

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

5 .75
5 .74
0 .01

5. 73
5. 70
0. 03

5 .73
5 .71
0 .01

5 .73
5 .77
-0 .04

5 .69
5 .72
-0 .03

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

5 .81
5 .78
0 .03

5 .81
5 .78
0 . 03

5 .78
5 .76
0 .02

5 .77
5 .76
0 .02

5 .75
5 .73
0 .02

5 .81
5 .78
0 .02

5 .81
5 .83
-0. 02

5 .78
5 .84
,
-0 .07

5 .77
5 . 84
-0 .07

5 .75
5 .94
-0 .19

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

5 .83
5 .98
-0 .15

5 .84
5 .89
-0. 05

5 .80
5 .88
-0 .08

5 .78
5 .88
-0 .11

5 .74
5 .73
0 .01

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

5 .81
5 .85
-0 .05

5 .81
5 .89
-0. 08

5 .78
5 .78
,
-0,.00

5 .77
5 .82
-0 .04

5 .75
5,.79
-0,.04

Euro-dollar deposit
Swiss interbank, covered
Differential

5 .81
5 .83
-0 .02

5 .81
5. 91
-0. 10

5 .78
5,.85
-0 .08

5 .77
5 .80
-0 .03

5,.75
5..78
-0,.03

8. 30
7. 32
6. 73
3 .36
4 .47
6. 79
8. 08
6. 57

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

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.

Stock Indices

8 .36
7 .34
6 .74
3 .26
4 .52
6 .78
8 .14
6 .56
(Wednesday figures)

Canada
153 .57
153 .56
151..00
152 .36
France
151 .64
148 .
150. 76
148 .62
.83
Germany
123 .58
123. 98
123..13
125 .05
Japan
109 .57
106. 56
107..56
106 .22
Netherlands
163 .69
164 .78
163..69
166 .24
Switzerland
242 .97
244 .22
244..93
248 .91
United Kingdom
202 .60
204. 81
204..08
206 .79
United States
220 .42
219. 81
221..57
225 .24
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



152..85
147..63
125..13
111..07
167..98
249..93
206.,57
228.,17
to SBF250

FEDERAL RESERVE statistical release
September IS, 1995

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

SEPTEMBER 15, 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
•AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
•IRELAND
ITALY
JAPAN
MALAYSIA
MEXICO
NETHERLANDS
KNEW ZEALAND
NORWAY
PORTUGAL
SINGAPORE
SOUTH AFRICA
SOUTH KOREA
SPAIN
SRI LANKA
SWEDEN
SWITZERLAND
TAIWAN
THAILAND
XUNITED KINGDOM
MEMO:
xxUNITED STATES

MONETARY
UNIT
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
DOLLAR

Sep. 11

(CURRENCY UNITS PER DOLLAR)
Sep. 14
Sep. 13
Sep. 12

Sep. 15

0.7525
10.355
30.290
1.3433
8.3377
5.6930
1.2707
4.3995
5.0790
1.4718
237.36
7.7386
32.470
1.5780
1615.25
99.78
2.4994
6.2950
1.6491
0.6510
6.4280
152.84
1.4285
3.6610
771.80
125.960
51.650
7.1150
1.2065
27.490
25.100
1.5483

0.7600
10.346
30.260
1.3455
8.3380
5.6890
1.2708
4.3825
5.0850
1.4708
236.94
7.7385
32.710
1.5835
1611.00
100.87
2.5022
6.2900
1.6479
0.6535
6.4275
152.64
1.4320
3.6615
773.80
125.970
52.200
7.1040
1.2018
27.500
25.130
1.5545

0.7628
10.502
30.710
1.3545
8.3384
5.7740
1.2580
4.4470
5.1390
1.4930
239.77
7.7370
32.890
1.5750
1614.50
102.50
2.5095
6.2825
1.6725
0.6558
6.5080
154.80
1.4360
3.6660
775.80
127.370
52.300
7.1495
1.2205
27.500
25.175
1.5480

0.7620
10.451
30.570
1.3693
8.3390
5.7530
1.2616
4.4400
5.1260
1.4854
238.82
7.7385
34.050
1.5800
1611.00
102.55
2.5185
6.2800
1.6648
0.6578
6.4895
154.26
1.4331
3.6710
775.10
126.740
52.500
7.1495
1.2105
27.500
25.180
1.5505

0.7594
10.464
30.620
1.3660
8.3394
5.7570
1.2609
4.4395
5.1180
1.4875
239.11
7.7370
33.900
1.5820
1610.00
103.52
2.5235
6.2775
1.6669
0.6576
6.4915
154.52
1.4430
3.6740
776.30
126.970
52.700
7.1535
1.2095
27.500
25.200
1.5520

86.03

86.08

87.03

86.88

86.98

•VALUE IS U.S. DOLLARS
" I N D E X 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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