Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : August 17, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

August 17,1992

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 h -

140
130
120
110

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

100

100

90

90

BELGIAN FRANC

80

80
70
280
260

'

i

i

I

i

i

i

I

i

i

i

l

i

i

i

i

i

SWISS FRANC

240

I

i

'

'

I

I

i

'

I

i

i

i

70
280
260
240

JAPANESE YEN

220

220

200

200

180

180

160

160

140
100

I

90

I

I

I

I

I

I

l

I

I

I

I

I

I

I

•

i

i

I

i

•

•

I

•

'

i

I

•

i

•

140
100
90

UNITED KINGDOM

80

80

70

70

CANADIAN DOLLAR
60

60
50

•

'

•

i

'

•

i

I

'

'

'

I

'

'

'

« '

'

I

I

•

I

I

I

I

'

I

I

I

I

50
200

200

180

DUTCH GUILDER

180

160

160
_ 2 ^ V / V G E R M A N MARK

140

__ 140
120

120
100
120

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

'

'
1990

•

I

'

'

'

I

'

•
1992

I

I

I

I

1

»
1990

1

I

1

1

1

I

1

1

1

1992

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

4

8

8

12

12
1

16

1 1

1

I

1

•

1

l

•

•

I

i

i

i

i

i

i

I

i

i

'

I

i

'

i

I

i

i

,

8
GERMAN MARK

JAPANESE YEN

4

4

8

8
1

12

1

1

1

1

1

1

1

'

« I

1

'

1

i

SWISS FRANC

i

i

l

i

i

'

I

'

'

'

I

i

i

i

12

8

DUTCH GUILDER

"X

—

%

4

•VxV

"VA^
4

—

8
12
4

16

8

8
1

1

1

I

1

1 1

1

1 1

1

1

1 1

i

1

FRENCH FRANC

i

i

1

i

i

i

I

1

1

1

I

1

1

1

12
4

ITALIAN LIRA

4

8

8

12

16

12

—

i

i

i

I




i

i
1990

i

I

'

i

» l

'

'
1992

•

i

i

i

1

i

i i
1990

1

1

1

1

1 1

1 1
1992

16

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S. DOLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE OUNCE

420

12.5 Kg BARS

AFTERNOON FIXING PRICE

400

360

340

320

1989




1990

1991

1992

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12
FRANCE

10 —
U.S. FEDERAL FUNDS

JAPAN

'

i

i

I

i

i

i

I

i

i

i

I

'

i

i

12

10
GERMANY

NETHERLANDS

4

i

'

'

I

'

'

'

l

'

'

i

l

i

i

i

i

i

i

l

i

i

i

I

i

i

i

I

i

i

i

4

16

16

14

14

12

12

UNITED KINGDOM
CANADA

10




10

SWITZERLAND

i
1990

i

l

i

'

i

I

i

'
1992

'

i

i

i

I

< '
1990

i

I

i

i

i

l

i

i
1992

i

CHART 5

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

NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING




JAPANESE CD RATE

FRENCH INTERBANK RATE

SWISS INTERBANK

1990

GERMAN INTERBANK RATE

1992

1990

1992

CHART 6

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

PERCENT PER ANNUM

12

12




3-MONTH

OVERNIGHT

6-MONTH

7-DAY

1-YEAR

1-MONTH

1990

1992

1990

1992

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

12

PERCENT PER ANNUM

12

10

10

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

8

EURO-DOLLAR DEPOSITS

—

90-DAY CD'S

FEDERAL FUNDS

DASHED LINE

DASHED LINE

4 —

_l__l

'

L

I

'

l

l

JL_I

I—I—I—I—I—L

i

L

i

l

I

I—I—I—I—L

1

1

—

DIFFERENTIAL

DIFFERENTIAL
—

J

I—L




I

•

'
•
1990

I

•

I

I

I

I

•
•
1992

1

1

1

1

1

1 1
1990

1

1

1

1

J
1
1992

CHART 8

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

PERCENT PER ANNUM
12

12

COVERED LONDON

INTERBANK STERLING

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

4 —
DASHED LINE

1

1

1

I

1

DASHED LINE

1

<

1

1

1

I

I

I

I

I

I

•

DIFFERENTIAL

2

1

1

1

1

1

1

1

I

•

'

'

I

'

•

•

I

I

I

l

i

•

i

l

i

i

I

DIFFERENTIAL

1

1

1

1

1

•

1

i

i

I

i

'

i

12

INTERBANK DM
COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

I

I

I

I

I

DASHED LINE

I

I

I

I

I

I

I

I

I

I

I

I

DIFFERENTIAL

I

•

1

I




1

1

1990

1

I

I

I

I

I

I

'

'

I

I

I

I

I

I

I

I

I

I

I

I

I

DIFFERENTIAL

I

1

1

1

I

1

1

1992

I

I

I

I

I

I
1990

I

1992

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
10

PERCENT PER ANNUM

13
UNITED
KINGDOM

CANADA

FRANCE

7 —I—I—I—I—I—I—I—I—I

I

I

I

!

I

I

SWITZERLAND

JAPAN

NETHERLANDS

GERMANY




1990

1992

1990

1992

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100
200

RATIO SCALE
1986=100
200
UNITED STATES

UNITED KINGDOM

180
160
140

120

i

'

'

I

i

i

i

I

'

i

i

I

100
150
135

GERMANY
JAPAN

120

105
90

i

i

I

i

i

'

i

•

i

'

l

'

i

•

75

180
165

FRANCE

SWITZERLAND

165

150

150

135

135

120

120

105

105

90
150

•

'

i

l

'

i

i

l

i

i

i

I

i

'

i

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

90
150
135

135
NETHERLANDS

CANADA
120

120

105

105

90

90

75

•

i

'




l

i

i
1990

i

I

i

i

i

I

i

i
1992

i

•

i

i

i

i

•
1990

•

i

1

1

•

I

1

•
1992

•

75

SERIES
15-Jul-92 22-Jul-92 29-Jul-92 5-Aug-92
Chart 1.

12-Aug-92

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

3.2530
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

3.3021
84.248
20.104
68.024
0.08987
0.78239
60.325
75.671
192.25

128. 18
83. 54
89. 47
188. 57
50. 78
208. 75
170. 61
238. 39
77 .53

129 .32
83 .71
90 .19
190 .21
51 .13
208 .66
172 .11
244 .01
77 .79

128 .85
83 .83
89 .86
189 .41
51 .04
205,.35
171,.37
244,.35
77. 45

129 .40
84 .18
90 .25
190 .25
51 .37
205 .54
172 .16
243 .58
77 .64

130 .12
83 .97
90 .59
191 .36
51,.59
204,.86
173,, 18
243. 44
77. 76

111 .34
70 .22
74 .95
179 .06
40 .72
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

111 .93
69 .97
75 .22
180 .21
40 .97
187 .33
152 .17
70 .05
212 .60
63 .73
81 .96

-1 .99
-6 .92
-6 .41
-13 .20
-0 .95
-6..26
-5,.53
-6, 81

-1 .92
-6 .83
-6 .30
-12 .13
-0 .70
-6 .19
,
-5,.16
-6 ,
. 66

-1 .75
-6 .92
-6 .43
-11 .39
-0 .63
-6 .37
,
-5,.15
-6,.75

-1 .68
-6 .89
-6 .47
-10 .97
-0 .59
-6 .47
.
-5..06
-6 .
,76

348.95

357. 17

358. 66

354. 42

348. 76

3.28
3.26
5.90
9.94
9.63
4.55
9.31
7.58
9.55

3. 22
3. 25
5. 65
10. 00
9. 66
4. 55
9. 22
7. 28
9. 79

3. 12
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

3. 24
3. 25
5. 15
9. 81
9. 70
4. 03
9. 76
7. 58
9. 56

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

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

3-Month Forward Exchange Rates,

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

111 .34
69 .83
74 .94
179 .16
40 .63
191 .47
151 .35
69 .71
213 .36
63 .84
82 .08
Discount

-2.00

-6.83
-6.39
-11.29
-0.97
-6.24
-5.50
-6.59

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

110.89
70.06
74.70
178.39
40.55
192.66
150.76
69.51
209.39
63.96
82.61

Call Money Rates

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




SERIES
Chart 5.

15-Jul-92 22-Jul-92 29-Jul-92 5-Aug-92

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-l0 Countries)
Chart 6.

3.35
5.65
10.04
9.68
4.42
9.45
8.70
10.05
8.70

3.32
5.59
10.17
9.70
4.42
9.54
8.68
10.19
8.82

3.32
5.46
10.20
9.70
4.14
9.52
8.48
10.20
8.73

3. 33
5. 39
10. 22
9. 75
4. 01
9. 65
8. 45
10. 24
8. 67

3 .29
5 .25
10 .15
9 .75
4 .00
9 .69
8 .20
10 .16
8 .58

3.26
3.25
3.31
3.38
3.50
3.75

3.25
3.25
3.25
3.31
3.45
3.69

3.24
3.25
3.25
3.31
3.50
3.69

3. 24
3. 26
3. 29
3. 31
3. 49
3. 71

3 .25
3 .25
3 .28
3 .31
3 .40
3 .60

Euro-Dollar Deposit Rates

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

12-Aug-92

Selected Euro-dollar & U.S.

r

Market Rates

3.26
3.28
-0.02

3.25
3.22
0.03

3.24
3.12
0.12

3. 24
3 33
-0,.09

3 .25
3 .24
0 .01

3.38
3.35
0.03

3.31
3.32
-0.01

3.31
3.32
-0.00

3 .31
3 .33
-0 .02

3 .31
3 .29
0 .02

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 .31
3 .23
0 .08

3.43
3.62
-0.19

3.41
3.57
-0.15

3.39
3.51
-0.12

3 .38
3 .61
-0 .23

3 .37
3 .55
-0 .18

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

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 .31
3 .13
0 .19

Euro-dollar deposit
Swiss interbank, covered
Differential

3.38
3.08
0.29

3.31
3.03
0.28

3.31
3.21
0.10

3 .31
3 .19
0 .12

3 .31
3 .04
0 .27

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
6.68

7 .44
9.,12
8,.10
5 .11
6 .96
8 .42
9 .27
6 .69

7..28
9 .01
8 .06
5 .16
6 .93
8 .40
9 .32
6 .54

115 .70
139 .45
102 .84
98 .21
110 .87
146 .90
147 .11
168 .49

113 .71
132 .63
97 .14
91 .17
107 .29
140 .49
139 .88
166 .24

114. 12
133. 30
96. 25
88. 54
107. 73
143. 13
140. 82
170. 51

113,.51
134 .11
95 .28
91,.75
108 .59
149 .17
138 .99
170 .76

112 .56
131 .65
91 .75
84 .24
105 .67
147 .13
133 .08
169 .07

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

Euro-dollar deposit
Interbank sterling (London), covered
Di fferential
U.S. commercial paper
Canadian finance paper, 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 (Wednesday figures)

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

Indices (in order, rebased to 1986 = 100) are Toronto Composite, CAC General, FAZ Aktien,
Tokyo SE (Topix), CBS All-General, Swiss Bank Index, Financial Times Ordinary, NYSE Composite



FEDERAL RESERVE statistical release
August 17, 1992

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

AUGUST 14, 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
•AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
•EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREEH
HONG KONG
INDIA
•IRELAND
ITALY
JAPAN
MALAYSIA
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
U. MARK
DRACHMA
DOLLAR
RUPEE
POUND
LIRA
YEN
RINGGIT
GUILDER
DOLLAR
KRONE
ESCUDO
DOLLAR
RAND
WON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

DOLLAR

Aug. 10

(CURRENCY UNITS PER DOLLAR)
Aug. 13
Aug. 12
Aug. 11

Aug. 14

0.7375
10.350
30.240
1.1883
N. A.
5.6540
1.3883
4.0190
4.9670
1.4677
181.00
7.7320
28.420
1.8125
1110.00
128.05
2.5005
1.6553
0.5427
5.7785
125.40
1.6100
2.7700
791.90
93.76
N. A.
5.3335
1.3172
25.120
25.313
1.9270

0.7287
10.355
30.310
1.1859
5.4587
5.6650
1.3846
4.0260
4.9810
1.4710
181.60
7.7300
28.450
1.8060
1113.00
128.05
2.4995
1.6590
0.5426
5.7930
125.65
1.6110
2.7775
793.40
93.95
44.200
5.3455
1.3252
25.110
25.320
1.9215

0.7182
10.310
30.170
1.1912
5.4587
5.6430
1.3901
4.0130
4.9650
1.4648
181.00
7.7308
28.400
1.8140
1110.00
127.72
2.4995
1.6520
0.5343
5.7730
125.36
1.6102
2.7700
793.10
93.66
N. A.
5.3260
1.3215
25.142
25.320
1.9280

0.7187
10.265
30.040
1.1919
5.4587
5.6245
1.3940
4.0040
4.9480
1.4590
180.50
7.7325
28.450
1.8195
1109.00
127.27
2.4995
1.6445
0.5371
5.7540
125.02
1.6103
2.7700
792.70
93.52
N. A.
5.3100
1.3140
25.150
25.310
1.9310

0.7211
10.335
30.250
1.1933
5.4548
5.6590
1.3857
4.0290
4.9775
1.4677
181.60
7.7315
28.450
1.8065
1116.50
126.25
2.5003
1.6547
0.5380
5.7885
125.95
1.6115
2.7740
793.30
94.10
44.000
5.3460
1.3242
25.130
25.280
1.9160

81.87

82.02

81.79

81.55

81.89

•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) 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.