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)

Selected Interest & Exchange Rates
Weekly Series of Charts

February 13,1995
Prepared by the FINANCIAL MARKETS SECTION

DIVISION OF INTERNATIONAL FINANCE BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, DC. 20551

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

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.

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

CHART 1

SPOT EXCHANGE INDICES
DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE) AVERAGES FOR WEEK ENDING WEDNESDAY
SCALE H1973=100 RATIO SCALE MARCH 1973=100

115 100

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

150 BELGIAN FRANC 140 130 120

85

110 100

70 270 250 230 210 190 170 80 70 60

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90 300 280 260 240 220 200

— JAPANESE YEN SWISS FRANC

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85 75 65

CANADIAN DOLLAR U.K. POUND

50 200

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55 215 195 175 155

180 160
140

DUTCH GUILDER

GERMAN MARK

120
100 90

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135 55

FRENCH FRANC

ITALIAN LIRA 45

80 35 70

60

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CHART 2

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

2 ,

2 U.K. POUND

CANADIAN DOLLAR

JAPANESE YEN

SWISS FRANC

DUTCH GUILDER

FRENCH FRANC

ITALIAN LIRA

I
1993 1995 1992

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CHART 3

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

U.S. DOLLARS PER FINE OUNCE 420

12.5 Kg BARS AFTERNOON FIXING PRICE

400

400

380

380

360

360

340

340

320

J — i — I
1991

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Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

CHART4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM PERCENT PER ANNUM

SWITZERLAND U.S. FEDERAL FUNDS

JAPAN

2
10

0

8 NETHERLANDS 6 GERMANY 4

2 16

4

14

FRANCE

12 CANADA

10

8

6 UNITED KINGDOM

4

2

1993

1995

1993

1995

3

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
3

ER( ENT PER ANNUM

PERCENT PER ANh

10
CANADIAN FINANCE PAPER

9

8

WEIGHTED AVERAGE FOREIGN RATE

7

6
5 4
S CD'S

2 12

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NETHERLANDS INTERBANK RATE 10 U.K. INTERBANK STERLING

9

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JAPANESE CD RATE

FRENCH INTERBANK RATE

9 3

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SWISS INTERBANK

GERMAN INTERBANK RATE

10

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2

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CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
= > E R ENT PER ANNUM PERCENT PER ANN

8

8

OVERNIGHT

3-MONTH 6

6

4

4

2 8

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7-DAY

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Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis


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

7

7

3-MONTH OVERNIGHT
EURO-DOLLAR

EURO-DOLLAR DEPOSITS

90-DAY CD'S FEDERAL FUNDS
DASHED LINE DASHED LINE

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DIFFERENTIAL

DIFFERENTIAL

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Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

CHARTS

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

7

DENT PER ANNUM

PERCENT PER ANNU

6

INTERBANK STERLING
COVERED LONDON

CANADIAN FINANCE CO. PAPER, COVERED

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5
EURO-DOLLAR DEPOSITS
DASHED LINE

U.S. COMMERCIAL PAPER
DASHED LINE

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2

1
DIFFERENTIAL
+

DIFFERENTIAL

0

7
INTERBANK DM
COVERED FRANKFURT

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SWISS INTERBANK (SF) COVERED

5
EURO-DOLLAR DEPOSITS
J\ \ DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

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DIFFERENTIAL
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DIFFERENTIAL

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Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

CHART 9

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

UNITED STATES

UNITED KINGDOM

5
10

6 CANADA FRANCE

9

8

7

6 8 SWITZERLAND 7 JAPAN

5

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4 9 NETHERLANDS 8 GERMANY

2

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1995

1993

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Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

CHART 10

STOCK INDICES
WEEKLY SERIES
1986= SCALE RATIO S 198

100

220 UNITED STATES 200 UNITED KINGDOM

180

160

140 250 225 200 175

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JAPAN

150

160
GERMANY 140 CANADA

125

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Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

11-Jan-95 18-Jan-95 25-Jan-95 l-Feb-95 Chart 1. Spot Exchange Rates and Indices (U.S. cents, weekly averages) 3 .1388 71.088 18.730 64.660 0.06152 0.99412 57.658 77.122 155 .81 3.1683 70.536 18.896 65.321 0.06177 1.00981 58.242 77.716 156 .93 3.2000 70.473 19 J 368 66.000 0.06270 1.00438 58 J346 78.506 158 .95 3.1984 728 70.' 19 . < 027 65.! 965 0.06239 1.01035 58 . 1 837 78.256 158 .70

8-Feb-95

Noon buying rates Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U.K. pound

3.1779 71.446 18.887 65.419 0.06199 1.00614 58.355 77.302 156.33

= 100 Indices, March 1973 base rates = Belgian franc Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U.K. pound 123 .69 70 .85 84 .40 181 .89 35 .31 260 .29 165 .52 248 .11 63 .02 124 .85 70 .30 85 .15 183 .75 35 .46 264 .40 167 .20 250 .02 63 .47 126 70 85 185 35 262 168 252 64 .10 .24 .93 . 66 .99 .98 .93 .56 .29 126 70 85 185 35 264 168 251 64 .03 .49 .74 .56 .81 .54 .91 .76 .19 125.22 71.21 85.11 184.03 35.58 263.44 167.52 248.69 63.23

, Mar. 1973 = 100 Weighted average exchange value indices, 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. 113 .64 62 .50 74 .74 183 .33 29 .22 263 .46 155 .43 52 .69 231 .80 54 .30 89 .02 114 .03 61 .57 74 .97 184 .22 29 .16 266 .30 156 .10 52 .56 232 .17 54 .36 88 .33 114 .53 61 .13 75 .25 185 .23 29 .45 262 .99 156 .86 52 .38 233 .21 54 .78 87 .68 114 .48 61 .37 75 .07 185 .12 29 .29 264 .75 156 .84 52 .38 232 .45 54 .69 87 .69 114.29 62.37 74.86 184.37 29.24 264.97 156.28 52.64 230.70 54.08 88.24

3-Month Forward Exchange Rates, Premium or Discount -0 .56 0 .39 1 .28 -2 .70 4 .02 1 .15 2 .26 -0 . 11 -1 .54 0 .35 1 .14 -2 .98 3 .94 1 .03 2 .20 -0 .17 -1 .88 0 .54 1 .28 -2 .57 4 . 05 1 .18 2 .29 -0 .28 -1 .70 0 .49 1 .22 -2 .46 3 .95 1 .15 2 .27 -0 .41 -1.57 0.55 1.19 -2.36 3 .95 1.14 2.32 -0.48

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

Gold Price in London, Afternoon Fixing 374 .52 379 . 81 382 .17 377 .36 375.03

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

5 .53 5 .54 5 .62 5 .25 4 .84 2 .20 5 .13 3 .55 5 .70

5 .45 5 .47 6 .67 5 .25 4 .77 2 .20 4 .81 3 .39 6 .05

5 .42 5 .36 7 .02 5 .25 4 .75 2 .18 4 .74 3 .61 5 .58

5 .63 5 .58 7 .21 5 .25 5 .20 2 .18 4 .86 3 .63 4 .38

5.95 5.90 7.61 5.25 4 .86 2.17 4.85 3.20 6.20

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

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11- Jan- 95 18 - Jan-95 25 -Jan -95 1-Feb-95 Chart 5. 3-Month Interest Rates 6. 28 7. ,10 5. ,85 5. ,10 2. ,34 ,12 5. 4. ,04 ,45 6. 5. ,30 6. 16 7. 97 5. 80 5. 01 2 .31 5. 07 3 .90 6. 34 5. 32 6 .24 8 .49 5 .65 5 .00 2 .29 5 .09 3 .93 6 .61 5 .33 6 .22 8 .24 5 .65 5 .00 2 .27 5 .04 3 .85 6 .63 5 .29 6 .18 8 .05 5 .61 5 .00 2 .28 5 .02 3 .81 6 .71 5 .27 8-Feb-! 95

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. Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. Euro-Dollar Deposit Rates

,54 5. 5. ,59 ,78 5. 6. ,30 ,80 6. 7. ,59

5. 47 5. 48 5 .69 6. 14 6. 60 7 .35

5 .36 5 .54 5 .89 6 .23 6 .68 7 .39

5 .58 5 .85 5 .98 6 .20 6 .59 7 .20

5 .90 5 .94 6 .01 6 .18 6 .50 7 .09

Selected Euro-dollar & U.S. Money Market Rates .54 5. 5. ,53 0 . ,01 ,30 6. .28 6. 0 .,02
5 . 47 5. 45 0 . 02

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. Interest Arbitrage, 3-Month Funds

5 .36 5 .42 -0 .06 6 .23 6 .24 -0 . 01

5 .58 5 .63 -0 .05 6 .20 6 .22 -0 .02

5 .90 5 .95 -0 .05 6 .18 6 .18 -0 .01

6 .14 16 6. -0 . 02

Euro-dollar deposit Interbank sterling (London), covered Differential U.S. commercial paper Canadian finance paper, covered Differential Euro-dollar deposit Interbank DM (Frankfurt), covered Differential Euro-dollar deposit Swiss interbank, covered Differential Chart 9.

6 .30 . 6 .33 . -0. .03 .24 6. 6. .53 .29 -0. 6 .30 . 6 .39 . -0 . .09 6. .30 6. .32 -0. .02

14 6. 17 6. -0 . 03 6. 12 6. 40 -0. 28 6 .14 6. 17 -0 . 03 14 6. 13 6. 0 . 01

6 .23 6 .32 -0 .10 6 .22 6 .58 -0 .35 6 .23 6 .29 -0 .07 6 .23 6 .24 -0 .01

6 .20 6 .21 -0 .01 6 .24 6 .50 -0 .26 6 .20 6 .23 -0 .03 6 .20 6 . 14 0 .06

6 .18 6 .22 -0 .05 6 .17 6 .44 -0 .27 6 .18 6 .21 -0 .03 6 .18 6 .16 0 .02

Long Term Government Bellwether Bond Yields 10-year maturity, where available 9. ,29 8. ,33 7. ,68 4. .62 5. .35 .82 7. 8. .73 7. .85 (Wednesday figures) 136 .77 143 .87 116 .40 107 „ 66 151 .17 218 .31 181 .37 192 .36 to iSBF250 43 9. 8. 21 7 .54 4 .58 5 .29 7 .71 8. 68 7 .73 9 .54 8 .20 7 .55 4 .62 5 .32 7 .72 8 .74 7 .81 9 .30 8 .12 7 .44 4 .60 5 .29 7 .61 8 .64 7 .67 9 .02 8 .02 7 .41 4 .60 5 .26 7 .57 8 .53 7 .55

Canada France Germany Japan Switzerland Netherlands United Kingdom United States Chart 10. Stock Indices

Canada .52 138. 99 139 . 136 .84 133 .93 France 144 . .82 144 .39 140 . 13 141 .89 Germany 116 .29 115 . ,43 113 .96 114 .58 Japan 113 .38 107 .83 110 „71 116..08 Netherlands 150 .14 149 . 148 .73 150 .14 .65 Switzerland 216 . 216. 20 211 .57 214 .21 .15 United Kingdom 182 . 181.,40 .43 174 .70 177 .39 United States 185..05 188.,17 187 .02 188 .19 Indices (in order, rebased to 1986=100) arei Toronto Composite, CAC General spliced at 22dec93, FAZ Aktien, Tokyo SE (Topix), CBS All-General, Swiss Bank Index, Financial Times Ordinary, NYSE Composite
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

FEDERAL RESERVE statistical release
H.10(512) February 13, 1995

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING FEBRUARY 10, 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: (CURRENCY UNITS PER DOLLAR) Feb. 9 Feb. 8 Feb. 7 0.7464 10.812 31.620 1.3955 8.4575 6.0430 1.2299 4.7545 5.3120 1.5362 240.18 7.7304 31.373 1.5420 1618.25 99.42 2.5523 5.3500 1.7220 0.6311 6.7190 158.42 1.4620 3.5510 795.20 132.480 50.000 7.4780 1.3015 26.290 25.080 1.5570 0.7441 10.786 31.540 1.3950 8.4570 6.0315 1.2319 4.7430 5.3000 1.5325 239.48 7.7312 31.368 1.5415 1616.25 98.98 2.5501 5.3700 1.7179 0.6302 6.7075 158.00 1.4561 3.5540 793.00 132.040 50.020 7.4710 1.2968 26.310 25.080 1.5523 0.7440 10.755 31.460 1.3988 8.4564 6.0175 1.2347 4.7305 5.2885 1.5282 239.02 7.7310 31.375 1.5510 1618.00 98.85 2.5484 5.5500 1.7130 0.6327 6.6885 157.38 1.4541 3.5520 793.40 131.480 50.020 7.4630 1.2930 26.290 25.070 1.5565

COUNTRY •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 MEMO: "(•UNITED 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

Feb. 6 0.7511 10.771 31.500 1.3985 8.4580 6.0265 1.2330 4.7400 5.2990 1.5305 239.21 7.7306 31.370 1.5470 1613.00 99.30 2.5536 5.3800 1.7157 0.6315 6.6990 158.15 1.4621 3.5495 794.70 132.720 49.960 7.4460 1.2948 26.290 25.070 1.5600

Feb. 10 0.7452 10.715 31.340 1.4020 8.4560 5.9955 1.2401 4.6915 5.2660 1.5222 238.48 7.7324 31.375 1.5512 1612.50 98.86 2.5485 5.6500 1.7068 0.6342 6.6640 156.96 1.4526 3.5500 793.90 131.040 49.870 7.4100 1.2847 26.330 25.060 1.5627

DOLLAR

88.28

88.50

88.35

88.21

87.95

"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.

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