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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts August 24,1992 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, EXC. 20551 Table of Contents TABLES 1. LATEST FIGURES PLOTTED 2. DAILY CERTIFIED SPOT EXCHANGE RATES H.10 RELEASE CHARTS 1. 2. 3. 4. 5. 6. 7. SPOT EXCHANGE RATE INDICES 3-MONTH FORWARD EXCHANGE RATES GOLD PRICE—LONDON CALL MONEY RATES 3-MONTH INTEREST RATES EURO-DOLLAR DEPOSIT RATES 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=100 140 130 120 110 100 90 140 130 120 110 100 90 FOREIGN CURRENCY PRICE OF U.S. DOLLAR BELGIAN FRANC 80 80 • 1 1 I 1 i i l i i i I i i i i i i I i i i I ' i i ' i i i 70 280 SWISS FRANC 260 240 220 JAPANESE YEN 200 180 160 i 90 i I i i i 1 i » i I i I' i UNITED KINGDOM 80 80 70 70 CANADIAN DOLLAR 60 60 50 ' ' ' l ' t » I i i i _L_L I I I I I I I I I I I I I I I 180 — 180 DUTCH GUILDER 160 160 GERMAN MARK 140 140 120 120 100 50 200 200 100 120 140 100 90 I ' • I I ' I I I I I l I I I i 1 1 i 1 i 1 1 I ' i I i i i 100 60 55 ITALIAN LIRA FRENCH FRANC 50 45 40 80 35 60 I ' 1 ' • ' 1990 1 I I I I I I ' 1992 I I I I I I I 1990 I I I I I I I I 1992 30 CHART2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 4 CANADIAN DOLLAR 4 U.K. POUND 8 8 12 12 I 16 8 1 1 I 1 1 I 1 i i i i i i i ' GERMAN MARK ' ' I 1 1 1 1 I 1 ' I I » ' 16 8 JAPANESE YEN - 4 4 8 12 8 8 1 1 1 i 1 1 1 1 i i i i i i i » ' SWISS FRANC • I ' ' • I • I I I I I I DUTCH GUILDER 12 8 — " X W ws 4 — 8 12 4 4 8 ~i i i i i i i i i i i i i i i FRENCH FRANC 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ITALIAN LIRA k/x 12 4 4 8 8 12 16 12 • ' • 1 ' • ' 1990 I ' ' • I I I I 1992 1 I 1 I » 1 1990 1 I 1 1 1 I I I 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 12.5 Kg BARS AFTERNOON FIXING PRICE 400 380 — 360 — 340 — 320 J 1989 I I 1990 I I 1991 J 1992 L CHART4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 12 12 FRANCE 10 10 U.S. FEDERAL FUNDS JAPAN 2 12 i i i I i i i I i i i l i ' i i i ' I i i i I i i i I i i i 2 12 10 10 GERMANY NETHERLANDS i I i i i I i i i l i i i i i i l i i i l i i i I ' ' i 4 16 14 12 UNITED KINGDOM CANADA 10 SWITZERLAND 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 CHARTS 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 15 12 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 GERMAN INTERBANK RATE 1990 1992 1990 1992 CHARTS EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER AN CENT PER ANNUM 12 12 OVERNIGHT 10 3-MONTH 10 8 8 6 6 4 4 2 i i i I i i i I i i i I i i i I I I I I I • ' I ' • I ' ' ' 12 7-DAY 10 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 I I I I I I I I I I I I I I I 2 12 1-MONTH 10 1-YEAR 10 8 8 6 6 4 4 2 i i I i i 1990 i I i i i I i i 1992 i i i i i i i 1990 i l i i » I 1 i 1992 1 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 12 12 10 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS — 8 FEDERAL FUNDS 90-DAY CD'S DASHED LINE J I I DASHED LINE I I I I I I I I I L i i DIFFERENTIAL i I i i i I i i i I i i DIFFERENTIAL .hf.. .A..ft i i i i i i i 1990 i i i i i i i i 1992 J I I I I I 1990 I I I I I I L 1992 i 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 CANADIAN FINANCE ). PAPER, COVERED INTERBANK STERLING COVERED LONDON 8 — 4 — U.S. COMMERCIAL PAPER EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE i i i I i 1 1 1 I 1 ' t 1 ' I I I I I I I I I 1 i ' i l i DIFFERENTIAL DIFFERENTIAL •JVU'-W "'fvwiy'v • i 2 12 i i I i 1 1 I » ' 1 » I • » • • i I ' i » I i i INTERBANK DM COVERED FRANKFURT 8 — 4 — SWISS INTERBANK (SF) COVERED EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE i ' i I i • ' I • • • I ' 1 ' i i I i i 1990 i 1 1 1 1 I 1 1 « I 1 1 11 DIFFERENTIAL DIFFERENTIAL i l I i i i I i i 1992 i I I I I I I 1990 I I I 1 I I I I 1992 I CHART9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNl =tCENT PER ANNUM 13 10 UNITED KINGDOM UNITED STATES 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 8 12 FRANCE CANADA 11 11 10 10 9 9 8 8 7 8 i i i I i i i I i i i I i r i 7 8 JAPAN SWITZERLAND 7 7 6 6 5 5 4 10 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 NETHERLANDS GERMANY 4 10 9 9 8 8 7 7 6 I I I I I 1990 I I I I I I I I 1992 I i i i I i i i I i i i I i 1990 1992 6 CHART 10 STOCK INDICES WEEKLY SERIES RATIOS 1981 SCALE 100 200 180 UNITED KINGDOM UNITED STATES 160 140 120 100 i i i I i i i I i i i I i i i 240 200 GERMANY JAPAN 160 120 80 i i i l i i i I i i i I i i i 180 165 FRANCE SWITZERLAND 150 135 120 105 » 90 150 i I i i » l i ' i l i i i ' I i i i l i i i l i i i i i I i i 135 NETHERLANDS CANADA 120 105 90 75 ' I I 1 I ' 1990 I I » I » I I I 1992 I i ' l ' » i 1990 I i 1992 i SERIES 22-Jul-92 29-Jul-92 5-Aug~92 Chart 1. 12-Aug-92 19-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 J. K. pound 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 3.3241 83.678 20.185 68.479 0.09013 0.79138 60.747 76.143 192.74 129 .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 .76 130 .98 83 .40 90 .96 192 .64 51 .74 207 .21 174 .39 244 .96 77 .96 111 .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 .96 112 .26 69 .18 75 .24 180 .83 40 .93 188 .94 152 .69 70 .08 213 .13 63 .64 81 .56 -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 . -1 .58 -7 .00 -6 .54 -11 .62 -0 .46 -6 .55 -5 .03 -6 .72 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 111.34 69.83 74.94 179.16 40.63 191.47 151.35 69.71 213.36 63.84 82.08 111 .34 70 .22 74.95 179 .06 40 .72 188 .87 151 .26 69 .77 214 .48 63 .79 82 .47 Chart 2. 3-Month Forward Exchange Rates, Premium or Discount Canadian dollar -1.99 -1 .92 French franc -6.92 -6 .83 German mark -6.41 -6 .30 Italian lira -13.20 -12 .13 Japanese yen -0.95 -0 .70 Netherlands guilder -6 .26 -6 .19 . Swiss franc -5.53 -5 .16 U.K. pound -6.81 -6 .66 . Chart 3. Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 357.17 358. 66 354. 42 348. 76 336 .90 3.22 3.25 5.65 10.00 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 3. 24 3. 25 5. 15 9. 81 9. 70 4. 03 9. 76 7. 58 9. 56 3. 31 3. 29 5. 10 9. 95 9 .71 4. 07 9. 79 7 .13 9. 63 Call Money Rates U.S. federal funds Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland United Kingdom SERIES Chart 5. 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-10 Countries) Chart 6. 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 .28 5 .09 10 .26 9 .80 3 .87 9 .76 8 .13 10 .16 8 .59 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 3..29 3 25 3. 25 3. 31 3. 38 3. 53 Euro-Dollar Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 12-Aug--92 19-Aug--92 Selected Euro-dollar & U.S., Money Market Rates 3.25 3.22 0.03 3. 24 3. 18 0. 06 3. 24 3. 33 -0. 09 3 .25 3 .24 0 .01 3. 29 3. 31 -0. 02 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,.31 3 .28 0 .03 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 .31 3 .27 0 .05 3.41 3.57 -0.15 3. 38 3. 51 -0. 13 3. 38 3. 61 -0. 23 3 .37 3 .55 -0 .18 3 .37 3 .49 -0 .12 Euro-dollar deposit Interbank DM (Frankfurt), covered Differential 3.31 3.14 0.18 3. 31 3. 25 0. 07 3. 31 3. 17 0. 15 3 .31 3 .13 0 .19 3 .31 3 .10 0 .21 Euro-dollar deposit Swiss interbank, covered Differential 3.31 3.03 0.28 3. 31 3. 21 0. 10 3. 31 3. 19 0. 12 3 .31 3 .04 0 .27 3 .31 2 .99 0 .32 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 7 .28 . 9 .01 8 .06 5 .16 6 .93 8 .40 9 .32 6 .54 7 .22 . 9.,00 8..00 4..96 6..97 8,,36 9 .29 6 .52 113 .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 .07 112 .82 131 .26 90 .76 84 .47 106 .10 145 .62 136 .98 169 .38 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 Differential U.S. commercial paper Canadian finance paper, covered Differential Chart 9. Long Term Government Bellwether Bond Yields 10-year maturity, where available Ca na da 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 ••Mr"' FEDERAL RESERVE statistical release Ml Rtfj H.10(512) August 24, 1992 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING AUGUST 21, 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 DOLLAR AUSTRIA SCHILLING BELGIUM FRANC CANADA DOLLAR CHINA,P.R. YUAN DENMARK KRONE •EURO COMMUNITY ECU FINLAND MARKKA FRANCE FRANC GERMANY D. MARK GREECE DRACHMA HONG KONG DOLLAR INDIA RUPEE •IRELAND POUND ITALY LIRA JAPAN YEN MALAYSIA RINGGIT NETHERLANDS GUILDER •NEW ZEALAND DOLLAR NORWAY KRONE PORTUGAL ESCUDO SINGAPORE DOLLAR SOUTH AFRICA RAND SOUTH KOREA WON SPAIN PESETA SRI LANKA RUPEE SWEDEN KRONA SWITZERLAND FRANC TAIWAN DOLLAR THAILAND BAHT •UNITED KINGDOM POUND MEMO: **UNITED STATES DOLLAR *VALUE IS U.S. DOLLARS Aug. 17 0 .7229 10 296 30 130 1 1950 N A. 5 6405 1 3907 4 0140 4 9615 1 .4632 181 .00 7.7375 28,.450 1,.8150 1110..00 125..75 2..5005 1..6492 0..5387 5..7670 125..35 1. 6112 2 7620 793 80 93 75 N A. 5 3255 1 3150 25 130 25 290 1 9257 81.60 I CURRENCY UNITS PER DOLLAR 1 Aug. 18 Aug. 19 Aug. 20 0 7203 10 263 30 ,040 1 1973 5 4548 5 6245 1 3952 4 0040 4 9490 1 4583 180 30 7. 7335 28..450 1..8225 1107..50 126..25 2..5000 1..6440 0 .5381 5 .7535 125,.47 1.6105 2. 7675 794. 70 93. 61 N. A. 5. 3170 1.3112 25. 195 25. 270 1.9295 81.49 0.7255 10.232 29.960 1.1978 5.4548 5.6120 1.3982 3.9945 4.9350 1.4534 179.70 7.7335 28.480 1.8271 1104.50 126.30 2.4998 1.6386 0.5398 5.7385 126.10 1.6095 2.7670 794.60 93.40 44.050 5.3000 1.3024 25.205 25.260 1.9350 81.29 0 .7220 10 .192 29 .840 1 ,1927 5 .4548 5 5920 1 4018 3 9820 4 9190 1 4483 179 35 7 .7335 28..480 1..8322 1101..50 126..32 2 .4983 1 .6330 0 ,5401 5 .7190 126 ,93 1 ,6097 2 7670 793 80 93 21 44 000 5, 2830 1.2915 25. 185 25. 260 1.9390 81.05 Aug. 21 0 .7207 10 .259 29 620 1 ,1923 5 .4436 5 .5525 1 4110 3 9590 4 8840 1 4375 178 55 7,.7348 28,.480 1..8365 1095..50 126..07 2..4960 1..6204 0..5384 5 .6735 126 .74 1 6070 2 7810 793 80 93 00 N A. 5, 2465 1.2790 25. 173 25. 260 1.9475 80.60
@FedFRASER