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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts September 9, 1996 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. 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 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM + O I t— CM + O I C M CO ^ ^ - in ---- — ^ — CM n— CD 1996 LO 00 CD CM 1994 JAPANESE YEN — L f O I j — jr — C\J 1996 - » 1 1 1 1 1 1 1Q Q A i . . i - i .1 1 1 1 1 CM ■ 1994 + O I ✓ 1Q Q R CM + O I CM CM ▼“ Tf i i i » i i i i i i i i CD O ^ t ^ C M + O l l...L -L 2 4 6 8 10 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. I U.S. DOLLARS PER FINE OU LLARS PER FINE OUNCE 425 425 12.5 Kg BARS AFTERNOON FIXING PRICE 410 410 395 395 380 380 365 365 350 350 335 335 320 j __ i__ i__ I__ i__ i 1992 i I__ i__ i__ i__ I__ i__ i__ i__ I__ i__ i__ i__ I 1994 i i 1996 i 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 7 6 U.S. FEDERAL FUNDS 5 SWITZERLAND 4 3 2 JAPAN I I I 1 » I I I I I I I I I 1 I I I I I I I I I M 0 9 8 GERMANY 7 NETHERLANDS 6 5 4 3 I I I I 1 I I I 2 9 8 CANADA 7 FRANCE 6 5 4 UNITED KINGDOM I 1. 1 3 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ;RCENT PER ANNUM 9 10 8 7 6 5 4 U.S. CD’S 2 8 I I I I I I I I I 1 I I I I 3 9 7 7 6 5 5 3 4 4 i i, ,a. !.B-i i..L i i i 1 i -i 1 13 11 3 9 2 7 1 5 0 3 9 7 7 5 5 3 3 1 1 1994 1996 1994 1996 CHART 6 EURO-DOLLAR DEPOSIT RATES, LONDON AVERAGES FOR WEEK ENDING WEDNESDAY 8 8 OVERNIGHT 6 6 4 4 2 8 I I 1 I I I I I I I 1 I I I 1 1 I 1 I 1 I I I 1 I I I I I I I 2 8 6 6 4 4 2 8 2 8 1-MONTH 6 6 4 4 2 ■ i i l i i i l i i i l i i i 1994 1996 i i i I i i i I i i i I i i i 1994 1996 2 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 Io + lo + DIFFERENTIAL J__ I__ I__ 1 J - .. 1__ I__ I__ I__ I__ I 1994 1996 1994 I I » 1996 I I ! CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM —*• fo — ^ i>o co co ^ or cn cn O) 'sj -*■ |o + Io + DIFFERENTIAL DIFFERENTIAL I DIFFERENTIAL 5 0 + Io + 1 I I l- l. I I I I I I I I 1 »» I I I I 1994 1996 1994 I I I I I1 1996 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM cji cn PERCENT PER ANNUM CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE RATIO SCALE 1986=100 1986=100 220 200 180 160 140 120 i i i I i i i 140 1994 1996 100 7-Aug-96 Chart 1. 14-Aug-96 21-Aug-96 28-Aug-96 4 -Sep-96 Spot Exchange Rates and Indices Noon buying rates (U.S. cents, weekly averages) B e l g i a n franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U.K. pound 3.2759 72.787 19.856 67.540 0.06587 0.93406 60.178 83.027 154.45 3.2766 72.829 19.751 67.544 0.06589 0.92677 60.186 83.008 154.95 3.2618 72.753 19.661 67.220 0.06588 0.92511 59.924 82.897 154.77 3.2755 73.027 19.741 67.467 0.06604 0.92499 60.156 83.515 155.43 3.2760 73.062 19.698 67.470 0.06609 0.91885 60.180 83.102 156.29 129.09 72.55 89.47 190.00 37.81 244.57 172.76 267.11 62.47 129.11 72.59 89.00 190.01 37.82 242.66 172.78 267.05 62.67 128.53 72.51 88.60 189.10 37.82 242.22 172.03 266.69 62.60 129.07 72.78 88.96 189.79 37.91 242.19 172.69 268.68 62.87 129.09 240.59 172.77 267.35 63.21 115.85 62.70 77.14 187.47 30.78 237.65 158.52 58.74 244.55 52.71 86.77 116.05 62.78 77.27 187.70 30.78 236.92 158.73 58.76 245.76 52.81 86.48 116.14 62.85 77.13 187.84 30.82 235.31 158.90 58.54 244.66 53.16 86.54 1.20 1.43 2.18 -3.37 5.10 2.45 3.23 -0.33 1.25 1.50 2.21 -3.29 5.12 2.52 3.20 -0.28 1.35 1.60 2.30 -3.17 5.12 2.66 3.30 -0.18 1.41 1.57 2.45 -2.99 5.19 2.84 3.41 -0.12 387.77 387.31 386.54 387.95 386.64 5.38 5.20 4.53 3.50 3.25 0.47 2.76 2.06 5.63 5.10 5.14 4.33 3.50 3.23 0.40 2.88 2.15 5.48 5.18 5.16 4.21 3.50 3.25 0.43 2.88 2.40 5.36 5.21 5.12 3.98 3.45 3.01 0.48 2.71 2.03 5.70 5.39 5.24 4.05 3.46 3.01 0.47 2.70 1.89 5.78 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 72.82 88.76 189.80 37,94 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. 1.10 1.71 2.24 -3.10 5.09 2.49 3.20 -0.23 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 116.16 62.64 77.36 188.09 30.72 237.58 158.92 58.37 244.37 52.66 86.54 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. 115.98 62.51 77.71 187.79 30.67 239.33 158.68 58.76 244.11 52.40 86.40 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom 7 -A u g -9 6 Chart 5. 2 8 -A u g -9 6 4 -S e p -9 6 5.43 4,51 3.72 3.27 0.70 2.97 2.28 5.72 3.88 5.40 4.36 3.95 3.26 0.64 2.96 2.23 5.75 3.90 5.38 4.30 3.90 3.25 0.62 3.59 2.25 5.73 3.87 5.38 4.15 3.79 3.09 0.57 2.80 2.16 5.66 3.76 5.49 4.18 3.89 3.05 0.53 2.71 2.08 5.69 3.75 5.20 5.27 5.31 5.46 5.61 5.87 5.14 5.24 5.27 5.41 5.54 5.73 5.16 5.24 5.27 5.38 5.56 5.78 5.12 5.21 5.26 5.38 5.57 5.82 5.24 5.25 5.33 5.46 5.68 6.03 Euro-Dollar Deposit Rates Overnight 7 -day 1-month 3 -month 6-month 1-year Chart 7. 2 1 -A u g -9 6 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. 1 4 -A u g -9 6 Selected Euro-dollar & U.S. Money Market Rates Overnight Euro-dollar deposits U.S. federal funds Differential 5.20 5.38 -0.18 5.14 5.10 0.04 5.16 5.18 -0.02 5.12 5.21 -0.09 5.24 5.39 -0.15 5.46 5.43 0.02 5.41 5.40 0.01 5.38 5.38 -0.00 5.38 5.38 -0.01 5.46 5.49 -0.02 Euro-dollar deposit Interbank sterling (London), covered Differential 5.46 5.48 -0.03 5.41 5.42 -0.01 5.38 5.44 -0.07 5.38 5.48 -0.11 5.46 5.57 -0.10 U.S. commercial paper Canadian finance paper, covered Differential 5.46 5.63 -0.16 5.41 5.57 -0.17 5.40 5.56 -0.16 5.41 5.51 -0.10 5.48 5.61 -0.13 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 5.46 5.53 -0.08 5.41 5.46 -0.05 5.38 5.48 -0.11 5.38 5.41 -0.03 5.46 5.52 -0.05 Euro-dollar deposit Swiss interbank, covered Differential 5.46 5.50 -0.04 5.41 5.47 -0.06 5.38 5.47 -0.09 5.38 5.48 -6.11 5.46 5.51 -0.04 7.28 6.39 6.28 3.17 4.10 6.24 7.79 6.54 7.28 6.38 6.27 3.12 4.10 6.27 7.78 6.59 7.32 6.42 6.36 3.09 4.08 6.29 7.85 6.74 7.45 6.47 6.39 2.98 4.06 6.31 7.89 6.92 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. 7.35 6.38 6.31 3.25 4.13 6.25 7.81 6.56 Stock Indices (Wednesday figures) Canada 168.25 172.19 167.68 172.76 France 160.05 160.49 161.07 160.82 Germany 133.96 133.76 133.49 134.85 Japan 120.21 121.43 118.60 118.88 200.70 Netherlands 204.88 206.07 202.49 305.24 Switzerland 309.18 305.71 308.99 United Kingdom 217.23 217.89 216.29 220.25 259.97 United States 261.79 260.55 262.29 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 171.68 160.05 132.06 116.52 202.60 304.71 216.20 259.04 to SBF250
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