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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts December 14,1992 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 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=100 140 130 120 110 140 130 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 100 100 . 90 BELGIAN FRANC 90 80 80 i 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 SWISS FRANC 70 280 260 240 JAPANESE YEN 220 200 180 160 i i i I i i i l i i i l i i i 140 100 90 90 U.K. POUND 80 80 70 70 CANADIAN DOLLAR 60 • 1 1 I 1 1 ' 1 1 1 • l • ' ' ' I I I I I I I 60 1 1 1 ' DUTCH GUILDER GERMAN MARK ITALIAN LIRA FRENCH FRANC 1990 1992 1990 1992 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM M OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY 3CENT PER ANNUM PERCENT PER ANNUM 4 4 CANADIAN DOLLAR U.K. POUND + 0 4 4 8 8 12 16 8 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 16 8 GERMAN MARK JAPANESE YEN 4 + 0 4 4 8 8 12 8 1 1 » 1 1 1 ' 1 I 1 1 I i » » ' SWISS FRANC i > ' ' i I i i ' 1 i i i 12 8 DUTCH GUILDER 4 — — + 0 • w •• 4 — 8 12 4 + 4 8 i i i i i i i i i i i i i i i 1 1 1 I 1 1 1 1 1 1 1 1 1 1 1 12 4 FRENCH FRANC ITALIAN LIRA 0 4 4 8 8 12 16 12 I I I I 1990 I I I I I 1 1992 1 1 1 1 1 1 1 1990 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 — 420 420 — 12.5 Kg BARS AFTERNOON FIXING PRICE 400 — 400 380 — — 380 360 — 360 340 — — 340 320 1989 1990 1991 1992 320 CHART4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM 16 PERCENT PER ANNUM 16 FRANCE U.S. FEDERAL FUNDS JAPAN GERMANY NETHERLANDS UNITED KINGDOM CANADA SWITZERLAND 1990 1992 1990 1992 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES iENT PER ANNUM PERCENT PER AN 12 WEIGHTED AVERAGE FOREIGN RATE 10 8 6 U.S. CD'S CANADIAN FINANCE PAPER 4 2 16 » ' ' I ' • » ' • • • I » « i 1 1 1 I « ' 1 I 1 1 I I I I I 14 12 10 U.K. INTERBANK STERLING NETHERLANDS INTERBANK RATE 8 6 9 1 • 1 1 1 ' 1 1 1 1 ' 1 ' • • • ' ' I 1 1 1 1 ' 1 i I i » ' ' • 7 5 JAPANESE CD RATE 3 FRENCH INTERBANK RATE • 1 10 • I ' i • » ' • ' I • • ' » ' 1 1 1 1 1 • 1 1 • * • 8 SWISS INTERBANK 6 4 ' ' ' I ' ' 1990 ' I ' ' GERMAN INTERBANK RATE ' I ' ' 1992 ' i i i I i i 1990 i I i i i I i i 1992 ' CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 12 12 OVERNIGHT 3-MONTH « « ' I ' 1 1 10 I 1 ' ' I i i i 12 7-DAY 6-MONTH • ' » i » • i 10 i » • » i ' ' ' 12 1-MONTH 10 • « « I i i 1990 i 1-YEAR I » i i l i i 1992 I I 1 I ' » ' 1990 10 I 1 I 1 I 1 » I 1992 r~ 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 14 PERCENT PER ANNUM 14 — 12 — 10 — 6 12 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 10 90-DAY CD'S FEDERAL FUNDS DASHED LINE DASHED LINE — 4 4 — I i I I I J I—I—I—I—I—I—L I L i i I I I—I—I—I—I—I—L —— DIFFERENTIAL __ DIFFERENTIAL — \ - ' I I I • 1 1 1990 1 I ' l l 1 1 J— 1992 ' I ' l —I '— 1 1990 1 1 1— ' I * I I A —1 1992 CHARTS INTEREST ARBITRAGE: 3-MONTH FUNDS PERCENT PER ANNUM 16 r — PERCENT PER ANNUM 16 12 — INTERBANK STERLING 8 12 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 L_L_J__L_L DIFFERENTIAL ' ' ' I I I DIFFERENTIAL V"W^ III HI 1| » Hj I J*7 2 16 1 ' 1 ' 1 ' 1 1 ' 1 l | | | | I I I I I I • I I 2 16 12 12 INTERBANK DM COVERED FRANKFURT SWISS INTERBANK (SF) COVERED EURO-DOLLAR DEPOSITS 1 1 1 I I ' I I ' ' EURO-DOLLAR DEPOSITS — DASHED LINE ' I • • | DASHED LINE i i DIFFERENTIAL I ' ' ' I ' | ' i l l l I I DIFFERENTIAL I 1990 i l i i I I I 1992 I 1 1 1 ' 1 1 1990 1 1 1 1 I I I 1992 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLYSERIES PERCENT PER ANNUI 13 PEI SENT PER ANNUM 10 UNITED KINGDOM UNITED STATES 9 12 8 11 7 10 6 9 » » i 5 l i • • 1 I 1 1 1 l 1 1 8 12 12 FRANCE CANADA 11 11 10 10 9 9 8 8 7 i » » l » i i l » i 1 I 1 1 »W| 1 » 1 1 » • 1 I i ' 1 « ' • 7 8 8 JAPAN SWITZERLAND 7 7 6 6 5 5 4 i i i I i i i I i i i I i i i 1 I I I I » « I 1 • 1 I I • ' 4 10 10 NETHERLANDS GERMANY 9 9 8 8 7 7 6 » i 1 I 1 » i 1990 I i » » I 1 1 1992 1 i i i i i i 1990 1 i i » 1 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 GERMANY JAPAN FRANCE SWITZERLAND 135 135 NETHERLANDS CANADA 120 120 105 105 90 90 75 • i i l i » 1990 1 I • i i l i i 1992 i 1 1 1 I ' 1 1990 1 I • • I I I » I 1992 75 SERIES C h a r t 1. ll-Nov-92 18-Nov-92 25-Nov-92 2-Dec-92 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, 3.0572 79.618 18.608 62.908 0.07359 0.80946 55.887 70.024 152.69 3.0613 78.766 18.667 62.952 0.07368 0.80419 55.955 69.472 152.59 3.0483 78.026 18.509 62.731 0.07253 0.80648 55.760 69.694 152.29 3.0624 77.839 18.527 63.037 0.07168 0.80381 56.041 70.362 152.65 3.0866 78.375 18.646 63.504 0.07210 0.80372 56.520 70.967 157.50 120 .47 79 . 3 5 83 . 8 5 176 .97 42 . 2 4 211 . 9 4 160 . 4 4 225 .28 61 .76 120 . 6 3 78 . 5 1 84 . 1 2 177 . 0 9 42 . 3 0 210 .56 160 . 6 3 223 . 5 0 61 .72 120, 12 77..77 83 40 176,.47 41..63 211 .16 160 .08 224 . 2 1 61 .60 120 .68 77 .58 83 .49 177 . 3 3 41 . 1 4 210 .46 160 .88 226 .37 61 .74 121..65 78,.12 84..02 178 .64 41..39 210 .44 162 .26 228 .31 63 .70 1 1 1 . 95 7 0 . 23 7 5 . 00 1 8 0 . 01 3 5 . 45 2 1 1 . 99 1 5 2 . 40 6 0 . 22 2 1 2 . 12 5 3 . 83 9 0 . 74 112. 70. 75. 181. 35. 211. 153. 59. 214. 53. 90. .57 .68 .22 .09 .14 .13 .16 .44 - 4 . 56 - 6 . 30 - 4 . 89 - 1 0 . 56 0. 14 - 4 84 - 2 .71 - 3 .23 - 4 . 07 - 6 . 97 - 5 . 03 - 1 0 , . 01 0,.23 - 4 . .94 - 2 .63 - 3 .29 - 3 . 95 - 6 . 92 - 5 , .14 - 1 0 , .25 0,.09 - 5 , .02 - 2 .65 - 3 .28 334 . 2 3 334 .46 334 . 6 1 334 .65 334 .84 2 .91 2 .95 6 .91 9 .42 8 .79 3 .93 8 .76 6 .05 8 .28 2 .97 2 .94 6 .78 9 .30 8 .75 3 .88 8 .76 6 .45 7 .13 3 .10 2 .84 7 .80 9 .50 8 .72 3 .83 8 .62 5 .90 6 .63 3 .37 2 .88 7 .98 9 .74 8 .85 3 .83 8 .68 6 .08 6 .35 2 .92 2 .86 8 .65 9 .85 8 .87 3 .81 8 .75 5 .48 6 .65 March 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 guilder Swiss f r a n c U . K . pound Weighted average exchange v a l u e i n d i c e s , Mar. 1973 = 100 111. 6 1 7 0 . 41 7 5 . 13 179. 25 35..79 209. .65 151,.82 66 ,.88 209 .89 53 .53 89 .93 Belgian franc Canadian d o l l a r French f r a n c German mark Italian lira Japanese yen Netherlands guilder Swedish krona Swiss f r a n c U . K . pound U.S. d o l l a r 1 1 1 . 31 71 . 13 7 4 . 76 1 7 8 . 83 3 5 . 69 2 1 0 . 88 1 5 1 . 42 67 . 18 2 1 1 . 33 5 3 . 49 8 9 . 78 Chart 2. 'remium o r D i s c o u n t 3 - M o n t h F o r w a r d Exchange R a t e s , 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 C h a r t 3. U.S. - 2 . 72 - 5 , 84 - 5 . .32 - 1 0 . 92 - 0 , .13 - 5 .21 - 2 .88 - 3 .39 -3 -5 -5 -10 -0 -5 -3 -3 49 05 09 05 01 19 21 22 19 97 73 112. 70. 75. 181. 34. 209. 153. 59. 214. 55. 89. 57 03 02 10 96 49 44 23 51 43 91 G o l d P r i c e i n L o n d o n , A f t e r n o o n F- i x i n g d o l l a r s per f i n e ounce Chart 4. 9-Dec-92 C a l l Money R a t e s U.S. f e d e r a l funds Overnight Euro-dollar deposits Ca na da France Germany Japan Netherlands Switzerland U n i t e d Kingdom SERIES l l - N o v - 9 2 18-Nov-92 25-Nov-92 2-Dec-92 Chart 5. 3-Month I n t e r e s t Rates U.S. 90-day CD'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. 3.47 6.74 9.31 8.86 3.79 8.66 6.31 7.06 7.89 3.63 7.52 9.34 8.85 3.76 8.72 6.73 7.10 7.95 3.66 8.66 9.73 8.83 3.75 8.61 6.44 7.13 8.07 3.75 8.49 10.29 8.85 3.78 8.73 6.45 7.24 8.12 3.60 8.14 10.18 8.92 3.71 8.72 6.19 7.05 8.02 2.95 3.06 3.10 3.54 3.59 3.90 2.94 3.01 3.13 3.74 3.74 3.99 2.84 2.99 3.08 3.76 3.79 4.04 2.88 2.98 4.08 3.84 3.84 4.17 2.86 2.93 3.84 3.63 3.68 4.00 2.84 3.10 2.86 2.92 -0.06 E u r o - D o l l a r D e p o s i t Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 9-Dec~92 S e l e c t e d E u r o - d o l l a r & U.S. Money M a r k e t R a t e s Overnight Euro-dollar deposits U.S. f e d e r a l f u n d s Differential 2.95 2.91 0. 05 2.94 2.97 - 0 . 04 -0.26 2.88 3.37 -0.50 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 3.54 3.47 0.07 3.74 3.63 0.11 3.76 3.66 0.11 3.84 3.75 0.10 3.63 3.60 0.02 3.54 3.62 -0.08 3.74 3.60 0.14 3.76 3.84 -0.07 3.84 3.89 -0.04 3.63 3.71 -0.08 3.53 3.97 -0.44 3.71 3.89 -0.18 3.76 4.00 -0.23 3.86 4.33 0.47 3.78 4.11 -0.33 3.54 3.43 0.11 3.74 3.51 0.23 3.76 3.83 -0.07 84 71 0.14 3.63 3.66 -0.04 3.54 3.39 0.15 3.74 3.52 0.22 3.76 3.68 0.08 3.84 3.78 0.07 3.63 3.50 0.12 8.00 8.08 7 31 4 77 5, 91 7 . 55 8.28 6.94 8.00 8.08 34 73 94 52 8.39 6.83 8.01 8.18 7 29 4, 73 5. 94 7 . 46 8.51 6.83 7.97 8.29 7.34 4.72 5.93 7.50 8.48 6.94 7.85 8.27 7.35 4.71 5.81 7.49 8.30 6.80 109.52 130.06 89.43 94.39 104.85 151.75 155.40 170.98 107.69 129.90 91.18 96.12 105.01 147.43 156.11 171.19 108.65 127.11 89.76 97.86 104.64 147.11 157.74 173.59 108.81 129.64 90.82 98.93 105.39 150.86 162.54 174.04 109.48 128.75 89.00 99.28 107.24 154.95 160.97 176.02 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 p a p e r , Di f f e r e n t i a l 3 - M o n t h Funds covered covered Euro-dollar deposit I n t e r b a n k DM ( F r a n k f u r t ) , Differential covered Euro-dollar deposit Swiss i n t e r b a n k , covered Differential Chart 9 Long Term G o v e r n m e n t B e l l w e t h e r Bond Y i e l d s 1 0 - y e a r m a t u r i t y , where a v a i l a b l e Canada France Germany Japan Switzerland Netherlands U n i t e d Kingdom United States C h a r t 10. Stock I n d i c e s Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom United States (Wednesday f i g u r e s ) CAC G e n e r a l , FAZ A k t i e n , 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 December 11, 1992 H.101512) FOREIGN EXCHANGE RATES FOR THE MEEK ENDING DECEMBER 11, 1992 The Board of Governors of the Federal Reserve System is advised that the Federal Reserve Bank of New York has certified tor 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 *EUR0 COMMUNITY FINLAND FRANCE GERMANY GREECE HONG KONG INDIA •IRELAND ITALY JAPAN MALAYSIA NETHERLANDS *NEN 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: WKJNITED STATES DOLLAR Dec. 7 1CURRENCY UNITS PER DOLLAR) Dec. 10 Dec. 9 Dec. 8 Dec. 11 0.6924 11.035 32.270 1.2760 5.8019 6.0850 1.2520 5.0270 5.3480 1.5682 207.60 7.7450 29.050 1.6860 1381.50 124.44 2.5415 1.7615 0.5186 6.4130 139.50 1.6405 2.9950 789.40 112.60 44.470 6.7180 1.4000 25.460 25.490 1.5860 0.6934 10.945 32.020 1.2749 5.8396 6.0300 1.2622 5.0020 5.3070 1.5560 205.55 7.7442 29.050 1.7020 1370.50 124.00 2.5395 1.7483 0.5175 6.3615 138.15 1.6390 2.9830 791.10 111.00 44.470 6.6750 1.3935 25.456 25.470 1.5975 0.6942 11.050 32.330 1.2735 5.8396 6.0910 1.2480 5.0565 5.3590 1.5705 206.20 7.7390 29.080 1.6810 1391.50 124.10 2.5395 1.7638 0.5183 6.4060 140.05 1.6395 2.9950 792.40 112.20 N.A. 6.7725 1.4070 25.460 25.440 1.5695 0.6893 11.100 32.550 1.2718 N.A. 6.1390 1.2382 5.1000 5.4000 1.5815 208.55 7.7410 29.100 1.6585 1402.50 123.73 2.5420 1.7775 0.5151 6.8000 141.35 1.6390 3.0075 792.60 112.92 N.A. 6.7950 1.4125 25.460 25.460 1.5570 0.6902 11.096 32.460 1.2765 5.8596 6.1400 1.2445 5.1110 5.3925 1.5765 208.50 7.7433 29.160 1.6622 1393.25 123.89 2.5425 1.7739 0.5167 6.8260 141.85 1.6387 3.0100 792.20 112.80 44.470 6.7690 1.4055 25.465 25.470 1.5578 89.60 89.03 89.84 90.28 90.13 •VALUE IS U.S. DOLLARS **INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10 COUNTRIES. MARCH 197$ = 100. W I G H T S 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 1202) 452-3244.
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