Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 16, 1991

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

December 16,1991

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:
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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
140

RATIO SCALE
MARCH 1973=100

140

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

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—

SWISS FRANC

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BELGIAN FRANC

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JAPANESE YEN

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CANADIAN DOLLAR

U.K. POUND

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GERMAN MARK

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DUTCH GUILDER

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ITALIAN LIRA
FRENCH FRANC

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1989

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1991

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1989

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1991

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CHART 2

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

PERCENT PER ANNUM

4

4

CANADIAN DOLLAR

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U.K. POUND

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GERMAN MARK

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12
8

JAPANESE YEN
—

1
SWISS FRANC

FRENCH FRANC

1

1

1




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1

1

1

1

1

1

1

1

1 1

I

1

1

1

1

1

1

1

1

1

1

1

1

1

1 1
1989

1

1

1 1

1

1

DUTCH GUILDER

1

12

1

1 1
1989

1

1

1

1

ITALIAN LIRA

I

1

1 1

1

1

1 1
1991

1

1

1

1

1

1 1
1991

12

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S.

OLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE O

520

500

12.5 Kg BARS
AFTERNOON FIXING PRICE

480

460

440

420

400

380

360

340

320

1988




1989

1990

1991

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

12

12

FRANCE

U.S. FEDERAL FUNDS

JAPAN

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16

16

12

12

GERMANY




CANADA

UNITED KINGDOM

SWITZERLAND

NETHERLANDS

1989

1991

1989

1991

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER AN

:ENT PER ANNUM

10

12
U.S. CD'S

10

8

8

6
SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

6

4

2

4

2
16

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16

14

14

12

12
CANADIAN FINANCE CO
PAPER

U.K. INTERBANK STERLING

10

10

8

8
6
10

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6
12

GERMAN INTERBANK RATE

8

10

6

8
FRENCH INTERBANK RATE

6

4

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2
10

8 —

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10

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JAPANESE CD RATE

6

6
NETHERLANDS INTERBANK RATE

4
2

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1989

1991

2

CHART 6

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

PERCENT PER AN

14

14

OVERNIGHT

12

3-MONTH

12

10

10

8

8

6

6

'

4
14

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7-DAY

12

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14

6-MONTH

12

10

10

8

8

6

6

4
14

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1

12

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1-MONTH

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14

1-YEAR

12

10

10

8

8

6

6

4




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1989

1991

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1991

4

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

14

14

12

12

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS
10




10

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

J — I — I — I — i

DASHED LINE

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J—i—I—I—I

DIFFERENTIAL

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DIFFERENTIAL

rVl V AA.U

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1

1
1991

A 1.N

1

mTkm ,nn.

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CHART 8

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

RCENT PER ANNUM

16

16

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING

12

COVERED LONDON

12

8

8
EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

DASHED LINE

4

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2

2
DIFFERENTIAL

+

0

2
16

DIFFERENTIAL

w-Y/wW v

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INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

12

8

8
EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

4

4

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DIFFERENTIAL

DIFFERENTIAL
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16

12

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2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
RCENT PER ANNUM

PERCENT PER ANN!

14

14
UNITED STATES

CANADA

12

12

10

10

8

6
14

8

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UNITED KINGDOM

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6
14

FRANCE

12

12

10

10

8

6
10

8

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SWITZERLAND

JAPAN

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6
10

8

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6

6

4

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10

NETHERLANDS

GERMANY

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8

6

6

4

4

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1991

2

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
— UNITED STATES

NETHERLANDS

JAPAN

GERMANY

SWITZERLAND

FRANCE

CANADA

UNITED KINGDOM

200 —




1989

1991

1989

1991

SERIES
Chart 1.

13"-Nov-91 20-Nov-91 27-Nov-91 4-Dec-91

ll-Dec-91

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

2.9652
88.681
17.872
61.077
0.08117
0.76955
54.180
69.032
177.27

3.0027
88.412
18.109
61.884
0.08199
0.77049
54.907
69.766
178.53

3.0479
87.932
18.378
62.801
0.08307
0.77488
55.717
70.759
179.17

3.0037
88.143
18.104
61.872
0.08201
0.77052
54.885
69.961
177.14

3.0753
87.920
18.541
63.359
0.08378
0.77734
56.219
71.679
180.48

116 .84
88 .39
80 .54
171 .82
46 .59
201 .49
155 .54
222 .09
71 .70

118 .32
88 .12
81 .60
174 .09
47 .06
201 .74
157 .63
224 .45
72 .21

120 .10
87 .64
82 .82
176 .66
47 .68
202 .89
159, 95
227. 64
72. 47

118 .36
87 .85
81 .58
174 .05
47 .07
201 .75
157 .56
225 .07
71 .65

121 .18
87 .63
83 .55
178 .24
48 .09
203..53
161,.39
230..60
73..00

108 .03
77 .04
71 .68
173 .14
39 .57
195 .21
146 .89
67 .12
208 .13
62 .06
86 .94

107 .38
77 .98
71 .19
171 .91
39 .41
195 .93
145 .94
66 .70
207 .61
61 .89
87 .93

108 .40
76 .56
71 .93
173 .80
39 .70
194 .67
147 .41
67 .35
209 .68
62 .17
86 .32

-2.57
-4.55
-4.43
-6.43
-1.19
-4.45
-2.97
-5.34

-2 .53
-4,.85
-4,.55
-6.,83
-1,.22
-4..55
-3.26
-5.53

-2 .51
-4 .93
-4 .63
-7 .36
-I .14
-4 .69
-3 .26
-5..59

-2 .58
-5 .37
-4 .90
-7 .61
-1,.43
-5.,05
-3.46
-5.82

354.72

359.54

366. 94

365. 77

367. 55

4.74
4.79
8.66
9.51
8.99
6 .42
9.01
6.88
10.33

4.89
4.78
7.43
9.68
8.95
6.28
9.02
6.90
10.39

4.68
4.78
7. 03
9.81
8.99
6.22
8.99
6.88
10.33

4.79
4.84
7. 28
9.74
9. 14
6. 24
9. 28
6. 48
10. 39

4. 54
4. 54
7. 38
10. 01
9. 05
6. 34
9. 37
6. 38
10. 59

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 Rate

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

106.60
79.01
70.65
170.49
39.23
196.97
144.86
66.42
206.04
62.36
88.60

107.23
78.16
71.13
171.74
39.35
195.71
145.84
66.79
206.80
62.36
87.82

Vemium or Discount
-2.62
-4.33
-4.35
-6.15
-1.08
-4.38
-3.02
-5.19
ixing

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




SERIES
Chart 5.

13-Nov-91 20-Nov-91 27-Nov-91 4-Dec-91

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.

4.96
7.76
9.23
9.31
6.23
9.30
7.85
10.36
8.95

4.94
7.73
9.44
9.30
6.23
9.29
7.78
10.39
8.96

4.87
7.71
9.66
9.33
6.21
9.35
7.85
10.56
9.06

4 .84
7 .60
9 .75
9 .38
6 .16
9 .41
7 .90
10 .59
9 .12

4 .57
7 .47
9 .93
9 .44
6 .11
9 .52
7 .93
10 .63
9 .22

4.79
4.80
4.83
4.95
4.95
5.11

4.78
4.78
4.78
4.95
4.95
5.08

4.78
4.74
4.70
4.90
4.84
4.96

4 .84
4 .76
5 .14
4 .86
4 .78
4 .88

4 .54
4 .59
4 .90
4 .56
4 .49
4 .60

Euro-Dollar Deposit Rates

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

ll-Dec-91

Selected Euro-dollar & U.S. Money Market Rates

Overnight Euro-dollar deposits
U.S. federal funds
Differential

4.79
4.74
0.05

4.78
4.89
-0.11

4.78
4.68
0.09

4 .84
4 .79
0 .05

4 .54
4 .54
-0 .00

4.95
4.96
-0.00

4.95
4.94
0.01

4.90
4.87
0.03

4 .86
4 .84
0 .03

4 .56
4 .57
-0 .01

Euro-dollar deposit
Interbank sterling (London), covered
Differential

4.95
5.04
-0.09

4.95
4.91
0.04

4.90
4.88
0.02

4 .86
4 .85
0 .01

4 .56
4 .65
-0 .09

U.S. commercial paper
Canadian finance paper, covered
Differential

4.97
5.09
-0.12

4.99
5.11
-0.12

4.94
5.13
-0.20

4 .91
5 .05
-0,.14

4 .70
4,.84
-0..14

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

4.95
4.86
0.09

4.95
4.77
0.18

4.90
4.68
0.22

4,.86
4.,64
0. 22

4.,56
4.,43
0.,14

Euro-dollar deposit
Swiss interbank, covered
Differential

4.95
4.77
0.18

4.95
4.75
0.20

4.90
4.53
0.37

4.,86
4.,57
0.,29

4..56
4.,40
0.,16

8.55
8.76
8.25
5.97
6.73
8.72
9.64
7.41

8.48
8.77
8.22
5.94
6.60
8.71
9.65
7.35

8,72
8,93
8,27
5,97
6.64
8.76
9.89
7,42

8. 53
8. 96
8. 31
5. 89
6. 65
8. 82
9.89
7. 29

8. 51
8. 91
8. 26
5.75
6.62
8.77
9.69
7. 22

119.87
137.08
99.57
138.95
108.05
134.45
151.78
161.27

116.87
133.51
98,60
133.30
105.45
130,48
147.27
153,96

114.64
132.65
97.75
132,37
104.36
128.19
145.18
153.07

114. 22
130, 26
96. 01
130.70
103. 98
126. 56
142. 72
154. 47

111.70
123. 96
94. 03
126. 03
101. 87
124. 26
140. 38
153. 30

3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential
Chart 8.

Chart 9.

Interest Arbitrage, 3-Month Funds

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



1 Of GO w.

FEDERAL RESERVE statistical release
H.10(512)

December 16, 1991

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

DECEMBER 13, 1991

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:
MONETARY
UNIT

Dec. 9

^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

0.7735
11.070
32.450
1.1361
5.4115
6.1210
1.2904
4.2680
5.3800
1.5748
180.20
7.7735
25.830
1.6945
1190.00
128.40
2.7420
1.7750
0.5566
6.2000
140.20
1.6485
2.7700
759.50
101.02
42.518
5.7640
1.3905
25.753
25.420
1.8060

MEMO:
UNUNITED STATES

DOLLAR

COUNTRY

86.14

(CURRENCY UNITS PER DOLLAR)
Dec. 10
Dec. 12
Dec. 11
-

0.7728
11.118
32.510
1.1364
5.4115
6.1450
1.2883
4.2835
5.3900
1.5780
181.25
7.7710
25.860
1.6850
1195.00
128.70
2.7420
1.7778
0.5562
6.2230
139.95
1.6510
2.7790
760.40
100.98
N.A.
5.7840
1.3955
25.751
25.370
1.8080
86.29

Dec. 13

0.7720
11.175
32.470
1.1407
5.4207
6.1360
1.2902
4.2710
5.3840
1.5760
180.95
7.7745
25.860
1.6885
1190.75
129.15
2.7480
1.7762
0.5552
6.2140
140.15
1.6540
2.7750
761.00
100.78
N.A.
5.7690
1.3920
25.753
25.420
1.8085

0.7711
11.123
32.570
1.1421
5.4207
6.1465
1.2877
4.2805
5.4040
1.5809
181.60
7.7750
25.860
1.6860
1194.50
129.24
2.7480
1.7818
0.5588
6.2160
140.55
1.6540
2.7715
761.40
100.98
N.A.
5.7715
1.3970
25.750
25.420
1.8075

0.7705
11.135
32.590
1.1424
5.4207
6.1620
1.2887
4.2840
5.4070
1.5830
181.85
7.7740
25.830
1.6855
1195.50
128.80
2.7500
1.7841
0.5576
6.2270
140.75
1.6570
2.7660
761.10
101.08
42.528
5.7780
1.3985
25.750
25.420
1.8185

86.27

86.46

86.42

*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.