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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts August 10,1992 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 RATIO SCALE MARCH 1973=100 140 130 120 110 140 130 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 120 110 100 100 90 90 BELGIAN FRANC 80 80 70 280 i i i I i ' i l i i ' I i ' i I I I I I I I I I I I 70 280 260 260 SWISS FRANC 240 240 JAPANESE YEN 220 220 200 200 180 180 160 160 140 100 • i i l i i i I i i i l ' i ' ' i i l i < i I i i i I i i i 140 100 90 90 UNITED KINGDOM 80 80 70 70 CANADIAN DOLLAR 60 60 50 200 I I I I I I I I I • • I ' • I _L_L i I ' i i I 1 1 1 1 I 1 1 50 200 180 DUTCH GUILDER 180 — 160 160 GERMAN MARK 140 140 120 120 100 120 • i i l i i i I i i i I i » i ' I I I I I I I I I I I I I 100 60 100 55 ITALIAN LIRA FRENCH FRANC 50 45 40 80 35 60 I I I I I I 1990 I I I I I I I I 1992 I I I ' I • » ' 1990 I ' ' I I ' I 1992 I 30 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 4 PERCENT PER ANNUM 4 CANADIAN DOLLAR — — U.K. POUND 4 — ^ 8 12 8 — 12 — I I I I I I I I I I I I I I I GERMAN MARK i i i I i i » I i i i I i i i 16 8 JAPANESE YEN 4 8 i SWISS FRANC i i I i i i I ' i i l i i I I I I 12 8 DUTCH GUILDER — 12 i 1 1 1 1 i i i l i i i — 1 1 1 1 1 1 1 1 1 I I I 1 1 1 4 FRENCH FRANC 12 4 ITALIAN LIRA 4 — 8 12 16 i i i 1 i i 1990 i 1 i i i 1 i i 1992 i 1 1 1 1 1 1 1 1990 1 1 11 1 1 1 1 1 1992 16 CHART3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE — 420 420 — 12.5 Kg BARS AFTERNOON FIXING PRICE 400 — 400 380 — — 380 360 — — 360 340 — — 340 320 1989 1990 1991 1992 320 CHART 4 CALL MONEY RATES WEEKLY SERIES 3ENT PER ANNUM PERCENT PER ANI 12 12 FRANCE 10 10 U.S. FEDERAL FUNDS 8 8 JAPAN 6 6 4 2 12 4 i ' i I i i i I i i ' I i i i ' i i I i i i I i i i I i i i 2 12 10 10 GERMANY 8 8 NETHERLANDS 6 4 16 i i i l ' i i l i ' i I i i i i i i I i i i I i i i I i 6 i • 14 12 4 16 14 12 UNITED KINGDOM CANADA 10 10 8 8 6 6 SWITZERLAND 4 i 1990 1992 ' ' l ' i 1990 i I i i i I i i 1992 i 4 CHART5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM 12 PERCENT. PER ANNUM 15 WEIGHTED AVERAGE FOREIGN RATE U.S. CD S CANADIAN FINANCE PAPER i i i I i ' i I » i • I i i i 16 10 14 12 NETHERLANDS INTERBANK RATE U.K. INTERBANK STERLING 10 l l l I l l l I I l l I l I I I I I I I I I I I I I I 12 10 JAPANESE CD RATE 3 I I I I I I I I I I FRENCH INTERBANK RATE I I I i I ' i I ' i ' I ' i i I 10 SWISS INTERBANK • i i I i i 1990 i I i GERMAN INTERBANK RATE • i I i i 1992 i 1990 1992 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER ANNUM PERCENT PER AN 12 12 OVERNIGHT 10 3-MONTH 10 8 8 6 6 4 4 2 12 • i i l i i i I ' I i I i i i • i i I 7-DAY 10 i i i I i i i I i i i 6-MONTH 2 12 10 8 8 6 6 4 4 2 12 i i i > i i i I ' ' i I i i i • i i I 1-MONTH 10 i i i I i < i I i i i 1-YEAR 2 12 10 8 8 6 6 4 4 2 i i i I i i 1990 i l i i i l 1 i 1992 1 • i i I ' i ' 1990 I ' i i l ' ' i 1992 2 A— - -•*, CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PEI DENT PER ANNUM PERCENT PER ANls 12 10 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 8 6 FEDERAL FUNDS 90-DAY CD'S DASHED LINE DASHED LINE 4 J 2 2 l l I l i i I i i i DIFFERENTIAL r + 1 J I I I I I I 1990 I I I I i I 1 1 I I I I i i i DIFFERENTIAL 1 0 J—I—I—I—I I \A M/A I L J I 1992 L J 1990 ' ' ' 1992 CHARTS INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 12 12 INTERBANK STERLING CANADIAN FINANCE CO. PAPER, COVERED COVERED LONDON EURO-DOLLAR DEPOSITS U.S. COMMERCIAL PAPER DASHED LINE i i i I i ' DASHED LINE ' I • ' i I i i I I I I I I I I I I I I I I I I0 2 DIFFERENTIAL DIFFERENTIAL w/ v* I I I I I I I I I I I I I I I i i i I i i i I i i i I i i i i ' I I INTERBANK DM COVERED FRANKFURT SWISS INTERBANK (SF) COVERED EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE i i i I i i DASHED LINE i I i i i I i i i i i DIFFERENTIAL I I I I I I 1990 I ' I i i i I i i i I ' I I I DIFFERENTIAL I I I I I I I 1992 I I I ' I I I 1990 I I 1992 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES =tCENT PER ANNUM PERCENT PER ANN! 10 13 UNITED STATES UNITED KINGDOM 9 12 8 11 7 10 6 9 5 12 i i i I i i i I i i i I i i i i i i I i i i I i i i I i i i 8 12 CANADA FRANCE 11 11 10 10 9 9 8 8 7 i i i I i i i I i i i I i i i 7 8 8 SWITZERLAND JAPAN 7 7 6 6 5 5 4 i i i I i i i I » i i I i i < 4 10 10 NETHERLANDS GERMANY 9 9 8 8 7 7 6 i i i l ' i 1990 i l ' i ' I i ' 1992 ' i i i I i i 1990 ' I ' i ' I i i 1992 i 6 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 200 UNITED KINGDOM UNITED STATES 180 — 160 — 140 — GERMANY JAPAN FRANCE SWITZERLAND 135 135 NETHERLANDS CANADA 120 120 105 105 90 90 75 I I I i ' i 1990 i I i i i I i i 1992 i I I I I I I 1990 I I I I I I I I 1992 I 75 SERIES 8-Jul-92 C h a r t 1. S p o t Exchange R a t e s a n d I n d i c e s Noon b u y i n g r a t e s (U.S. cents, weekly averages) Belgian franc Canadian d o l l a r French f r a n c German mark Italian lira Japanese yen Netherlands guilder Swiss f r a n c U . K . pound Indices, 3.2207 83.434 19.697 66.311 0.08759 0.80229 58.816 73.902 191.62 3.2530 83.817 19.855 67.032 0.08846 0.79727 59.431 74.100 191.69 3.2819 83.984 20.014 67.615 0.08907 0.79691 59.953 75.846 192.32 3.2698 84.106 19.940 67.333 0.08892 0.78427 59.694 75.952 191.48 3.2839 84.457 20.028 67.631 0.08950 0.78502 59.971 75.714 191.95 126.91 83.16 88.76 186.54 50.28 210.06 168.85 237.75 77.50 128 .18 83 .54 89 .47 188 .57 50 .78 208 .75 170 . 6 1 238 .39 77 .53 129 . 3 2 83 . 7 1 90 .19 190 . 2 1 51 . 1 3 208 .66 172 . 1 1 244 . 0 1 77 . 7 9 128 . 8 5 83 . 8 3 89 .86 189 . 4 1 51 . 0 4 205 . 3 5 171 .37 244 . 3 5 77 . 4 5 129 .40 84 .18 90 .25 190 .25 51 .37 205 .54 172 .16 243 .58 77 .64 111 . 3 4 69 . 8 3 74 . 9 4 179 .16 40 . 6 3 191 .47 151 .35 69 . 7 1 213 .36 63 .84 82 .08 111 . 3 4 70 . 2 2 74 . 9 5 179 .06 40 . 7 2 188 .87 151 .26 69 .77 214 .48 63 .79 82 .47 111 .52 70 .32 75 .08 179 .40 40 .88 188 .47 151 .55 69 .85 213 .17 63 .77 82 .17 - 2 . .00 - 6 . 83 - 6 . 39 - 1 1 . 29 - 0 . 97 - 6 . 24 - 5 . 50 - 6 . 59 - 1 . .99 - 6 . 92 - 6 . 41 - 1 3 . 20 - 0 . 95 - 6 . 26 - 5 . 53 - 6 . 81 - 1 , .92 - 6 .,83 - 6 . 30 - 1 2 . 13 - 0 . 70 - 6 . 19 - 5 . 16 - 6 . 66 - 1 ,.75 - 6 ,.92 - 6 ..43 - 1 1 , 39 - 0 . 63 - 6 . 37 - 5 . 15 - 6 . 75 346.50 3 4 8 . 95 3 5 7 . 17 3 5 8 . 66 3 5 4 . 42 3.24 3.39 5.68 9.86 9.58 4.59 9.38 7.88 10.48 3. 3. 5. 9. 9. 4. 9. 7. 9. 3 . 22 3 . 25 5 . 65 1 0 . 00 9 . 66 4 . 55 9 . 22 7 . 28 9 . 79 3 . 18 3 . 24 5 . 63 9 . 94 9 . 65 4 . 24 9 . 44 7 . 88 9 . 73 3 . 33 3 . 24 5 . 33 9 . 90 9 . 68 4 . 04 9 . 71 7 . 88 9 . 65 M a r c h 1973 b a s e r a t e s = 100 Belgian franc Canadian d o l l a r French f r a n c German mark Italian lira Japanese yen Netherlands g u i l d e r Swiss f r a n c U . K . pound Weighted average exchange v a l u e i n d i c e s , Belgian franc Canadian d o l l a r French f r a n c German mark Italian lira Japanese yen Netherlands g u i l d e r Swedish krona Swiss f r a n c U . K . pound U.S. d o l l a r Chart 2. U.S. 3 - M o n t h F o r w a r d Exchange R a t e s , Gold P r i c e i n Call 110 70 74 178 40 192 150 69 209 63 82 .89 .06 .70 .39 .55 .66 .76 .51 .39 .96 .61 London, A f t e r n o o n F i x i n g Money R a t e s U.S. f e d e r a l f u n d s Overnight Euro-dollar Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom 1973=100 Premium o r D i s c o u n t -1.90 -6.60 -6.41 -10.74 -0.90 -6.04 -5.51 -6.54 d o l l a r s per f i n e ounce Chart 4. Mar. 110.25 70.05 74.41 177.04 40.31 194.99 149.80 69.36 209.77 64.25 83.07 Canadian d o l l a r French f r a n c German mark Italian lira Japanese yen Netherlands guilder Swiss f r a n c U.K. pound Chart 3. 15-Jul-92 2 2 - J u l - 9 2 2 9 - J u l - 9 2 5-Aug-92 deposits 28 26 90 94 63 55 31 58 55 SERIES Chart 5. 8-Jul-92 3-Month I n t e r e s t Rates 3 . 43 5 . 69 9 . 99 9 . 67 4 . 42 9 . 44 8 . 88 9 . 93 8 . 66 U.S. 90-day C D ' s , s e c o n d a r y market Canadian f i n a n c e paper French i n t e r b a n k r a t e German i n t e r b a n k r a t e J a p a n e s e CD r a t e Netherlands interbank rate Swiss i n t e r b a n k r a t e U.K. i n t e r b a n k s t e r l i n g Weighted average f o r e i g n i n t e r e s t r a t e (G-10 C o u n t r i e s ) Chart 6. Euro-Dollar 3. 3. 3. 3. 3. 3. S e l e c t e d E u r o - d o l l a r & U.S. Overnight Euro-dollar U.S. f e d e r a l f u n d s Differential r deposits 3-month E u r o - d o l l a r d e p o s i t U.S. 90-day CD's, secondary market Differential Chart 8. Interest Arbitrage, Euro-dollar deposit Interbank s t e r l i n g (London), Differential U.S. commercial paper Canadian f i n a n c e paper, Differential covered covered Euro-dollar deposit Swiss i n t e r b a n k , c o v e r e d Differential 10-year m a t u r i t y , where a v a i l a b l e Stock I n d i c e s Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom United States 32 59 17 70 42 54 68 19 82 3.32 5.46 10.20 9.70 4.14 9.52 8.48 10.20 8.73 3. 5. 10. 9. 4. 9. 8. 10. 8. 33 39 22 75 01 65 45 24 67 39 41 45 54 64 88 26 25 31 38 50 75 3. 3. 3. 3. 3. 3. 25 25 25 31 45 69 3.24 3.25 3.25 3.31 3.50 3.69 3. 3. 3. 3. 3. 3. 24 26 29 31 49 71 3. 3. 3. 3. 3. 3. Market Rates 3. 39 3. 24 0. 15 3. 26 3. 28 - 0 . 02 3. 25 3. 22 0. 03 3.24 3.18 0.06 3. 24 3. 33 - 0 . 09 3..54 3 .43 0 .11 3..38 3..35 0 .03 3..31 3 .32 - 0 .. 0 1 3.31 3.32 -0.00 3. 31 3. 33 - 0 .02 3 .54 3 .23 0 .31 3 .38 3 .30 0 .08 3 .31 3 .20 0 .11 3.31 3.37 -0.05 3 .31 3 .31 0 .00 3 .50 3 .77 - 0 .27 3 .43 3 .62 - 0 .19 3 .41 3 .57 - 0 .15 3.38 3.51 -0.13 3 .38 3 .61 - 0 .23 3 .54 3 .11 0 .43 3 .38 3 .13 0 .24 3 .31 3 .14 0 .18 3.31 3.25 0.07 3 .31 3 .17 0 .15 3 .54 3 .24 0 .30 3 .38 3 .08 0 .29 3 .31 3 .03 0 .28 3.31 3.21 0.10 3 .31 3 .19 0 .12 7 .85 8 .75 7 .96 5 .32 6 .94 8 .29 9 .01 6 .94 7 .82 8 .96 8 .04 5 .28 6 .99 8 .37 9 .10 6 .88 7.59 9.04 8.04 5.12 6.99 8.37 9.09 6.67 7 .44 9 .12 8 .10 5 .11 6 .96 8 .42 9 .27 6 .69 .70 .45 .84 .21 .87 .90 .11 .49 113 . 7 1 132 . 6 3 97 . 1 4 91 .17 107 . 2 9 140 .49 139 .88 166 . 2 4 >nd Y i e l d s 7 .88 8 .71 7 .96 5 .35 6 .93 8 .28 9 .03 6 .90 Canada France Germany Japan Switzerland Netherlands U n i t e d Kingdom United States C h a r t 10. 3. 5. 10. 9. 4. 9. 8. 10. 8. 3 - M o n t h Funds covered Euro-dollar deposit I n t e r b a n k DM ( F r a n k f u r t ) , Differential Chart 9. 3 . 35 5 . 65 1 0 . 04 9 . 68 4 . 42 9 . 45 8 . 70 1 0 . 05 8 . 70 Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7 1 5 - J u l - 9 2 2 2 - J u l - 9 2 2 9 - J u l - 9 2 5-Aug-92 (Wednesday f i g u r e s ) 113.92 139.55 1 03.94 96.34 110.33 147.50 146.72 165.76 115 139 102 98 110 146 147 168 114 133 96 88 107 143 140 170 .12 .30 .25 .54 .73 .13 .82 .51 113. 134. 95. 91. 108. 149. 138. 170. 51 11 28 75 59 17 99 76 i T o r o n t o C o m p o s i t e , CAC G e n e r a l , FAZ A k t i e^n , I n d i c e s ( i n o r d e r , r e b a s e d t o 1986 = 100) Tokyo SE ( T o p i x ) , CBS A l l - G e n e r a l , S w i s s Bank I n d e x , F i n a n c i a l T i m e s O r d i n a r y , NYSE C o m p o s i t e FEDERAL RESERVE statistical release H.10(512) FOREIGN EXCHANGE RATES FOR THE MEEK ENDING AUGUST 7, 1992 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,P.R. DENMARK *EURO COMMUNITY FINLAND FRANCE GERMANY GREECE HONG KONG INDIA *1RELAND ITALY JAPAN MALAYSIA 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 GUILDER DOLLAR KRONE ESCUDO DOLLAR RAND WON PESETA RUPEE KRONA FRANC DOLLAR BAHT POUND MEMO: ^UNITED STATES DOLLAR Aug. 3 1 CURRENCY UNITS PER DOLLAR) Aug. 4 Aug. 6 Aug. 5 0.7439 10.399 30.430 1.1842 5.4335 5.6840 1.3800 4.0480 4.9880 1.4778 181.85 7.7320 28.450 1.8020 1115.75 127.28 2.5020 1.6665 0.5446 5.8070 125.65 1.6110 2.7695 790.30 94.00 N. A. 5.3640 1.3198 24.960 25.313 1.9237 0.7414 10.390 30.380 1.1854 5.4483 5.6745 1.3821 4.0425 4.9835 1.4753 181.45 7.7315 28.450 1.8065 1115.25 127.25 2.5020 1.6638 0.5443 5.8025 125.65 1.6112 2.7680 791.80 94.10 N. A. 5.3570 1.3200 24.970 25.310 1.9215 0.7363 10.394 30.430 1.1830 5.4483 5.6860 1.3795 4.0490 4.9900 1.4775 181.70 7.7300 28.450 1.8020 1117.00 127.40 2.5015 1.6663 0.5440 5.8145 126.25 1.6118 2.7640 792.70 94.40 N. A. 5.3665 1.3235 25.020 25.310 1.9130 82.10 82.05 82.17 0.7372 10.438 30.510 1.1865 . 5.4622 5.7035 1.3764 4.0620 5.0055 1.4820 182.20 7.7330 28.420 1.7970 1121.00 127.75 2.5020 1.6713 0.5434 5.8325 126.55 1.6118 2.7725 792.30 94.60 N. A. 5.3820 1.3310 25.076 25.330 1.9070 82.43 Aug. 7 0.7372 10.311 30.190 1.1830 N. A. 5.6460 1.3910 4.0190 4.9525 1.4650 180.20 7.7335 28.420 1.8135 1109.50 127.50 2.5006 1.6510 0.5435 5.7690 125.10 1.6115 2.7700 792.30 93.56 N. A. 5.3250 1.3128 25.119 25.340 1.9290 81.67 •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. HEIGHTS 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 1202) 377-1986. 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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