Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 20, 1993

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

December 20,1993

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. 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
120
110

RATIO SCALE
MARCH 1973=100

140

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

130

100

120

90

110

80

100

BELGIAN FRANC
i

i

i

I

'

'

'

I

»

i

»

I

•

i

i

•

i

i

I

'

i

»

I

»

'

»

I

i

'

'

i

i

i

i

JAPANESE YEN

—

SWISS FRANC
•

1

1

l

1

1

»

I

1

1

'

I

1

1

1

U.K. POUND

CANADIAN DOLLAR
'

i

i

I

i

•

«

I

100

1

1

l

»

1

1

I

'

'

GERMAN MARK

DUTCH GUILDER
1

»

1

1

i

I

'

i

i

1

i

I

»

»'

1

I

»

1

i

l

1

1

»

55

FRENCH FRANC

90

45

80

60

35

ITALIAN LIRA

70
'

» »
1990

l




1

i

1

I

»

1

1992

1

I

1

1

1

I

I I
1990

I

'

1

1

I

'

1

1992

1

I

1

1

1

25

CHART 2

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

PERCENT PER ANNUM

2

2
U.K. POUND

'
CANADIAN DOLLAR

v/j
i

i

i

I

i

i

i

I

1

1

A

1 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

JAPANESE YEN

I

SWISS FRANC

I

I

I

I

DUTCH GUILDER

2
4
6
8
2
+
0

1

1

1

1

1

1

1 1

1

1

1 1

i

i

i
ITALIAN LIRA

FRENCH FRANC

2

2
6

4

6

10

8
14

10
12

1

1 1
1990




1

1

1

1 1

1

1 1 1
1992

i

i

i

I

I
1990

I

I

I

I

I

I

I I
1992

I

I

I

I

18

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

J

1
1990




1

1

i

i
1991

i

I

i

i
1992

i

i
1993

320

CHART4

CALL MONEY RATES
WEEKLY SERIES
CENT PER ANNUM

PERCENT PER AN

10

16
14

8

FRANCE

U.S. FEDERAL FUNDS

12
10

6
8
4

6

JAPAN

4
2
10

2

9

9

8

8

10

NETHERLANDS
GERMANY

7

7

6

6
I

5
16

I

I

I

I

I

I

I

I

I

14

I

I

I

I

I

5
16
14

12

UNITED KINGDOM

CANADA

12

10

10

8

8

6

6

4

2

4

SWITZERLAND
'

» »
1990

I




'

•

'

i

«

1

1992

•

i

i

1

i
1990

1992

2

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM

15
WEIGHTED AVERAGE
FOREIGN RATE

10
CANADIAN FINANCE PAPER

0

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

16

13

10
U.K. INTERBANK STERLING

i

i

i

I

i

i

i

I

NETHERLANDS INTERBANK RATE

i

i

i

I

i

i

i

'

»

i

I

'

'

»

I

'

'

JAPANESE CD RATE
FRENCH INTERBANK RATE

i

i

i

I

 1990


i

'

i

I

i

i

i

I

»

i

1

'

1

1

I

'

1

I

1

'

1

1

I

1

'

GERMAN INTERBANK RATE

SWISS INTERBANK

i
1992

'

i i
1990

I

i

i

'

I

i

i i
1992

I

i

i

i

CHART 6

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

PERCENT PER ANNUM

10

10
3-MONTH

OVERNIGHT
8 —

6 —

4 —

1

>

»

l

1

«

i

I

»

i

1

I

»

1

1

'

1

'

I

7-DAY

'

•

l

l

'




i

'

1

I

1

'

i

I

i

•

'

2
10

I

•

'

'

I

•

•

i

l

i

'

i

I

i

' i
1992

I

i

i

i

1-YEAR

1-MONTH

' '
1990

'

6-MONTH

i

i

'

»

» '
1992

I

i

'

i

'

i i
1990

l

i

i

i

2
10

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
10

PERCENT PER ANNUM

10

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

8 —

EURO-DOLLAR DEPOSITS

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

DASHED LINE

4 —

J

I

l

I

I

I

I

I

I

l

I

I

I

l

L

J

I

I

I

I

I

DIFFERENTIAL

I

I

I

I

I

I

I

I

L

I
I
1992

I

I

I

I

DIFFERENTIAL

1

J

i

1990




i

I

I

i

i

I

i

i
1992

i

I

i

I

I

J
I—-J
1990

I

I

I

I

I

CHARTS

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
10

RCENT PER ANNUM

PERCENT PER ANN!

8
CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING

COVERED LONDON

6

4
EURO-DOLLAR DEPOSITS'

0
2

U.S. COMMERCIAL PAPER
DASHED LINE

DASHED LINE

2

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

DIFFERENTIAL

l

I

l

l

l

I

I

I

I

I

I

I

l

I

I

1

I

1

1

1

1

DIFFERENTIAL

+

0

2
10

I

I

I

I

I

I

I

I

1

I

1

I

»

1

'

I

I

I

I

I

I

I

8
INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

6

4
EURO-DOLLAR DEPOSITS

0
2

EURO-DOLLAR DEPOSITS

DASHED LINE

2

I

I

I

I

I

I

DASHED LINE

I

I

I

I

I

I

I

I

I

i

DIFFERENTIAL

i

I

i

i

i

I

«

i

i

I

i

i

0

•

• •
1990

I




•

DIFFERENTIAL

A

+

2

'

6=4

'

'

'

I

•

' '
1992

I

'

»

'

•

' I
1990

I

'

•

•

I

•

« I
1992

I

I

I

I

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

10

14
UNITED KINGDOM
12

10

i

i

i

I

»

i

i

I

i

i

i

I

»

i

i

6
11

FRANCE

CANADA

10
9
8
7
6
«

1

'

I

1

1

I

I

I

•

I

»

•

I

»

I

1

1

I

•

SWITZERLAND

NETHERLANDS

1990




GERMANY

1992

1990

1992

»

I

•

•

I

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE

RATIO SCALE

1986=100
230

UNITED STATES

•

1

1

1

1

1

UNITED KINGDOM

1

1

1

1

'

1

'

'

1

SWITZERLAND

JAPAN

I ' ' I " ' ' I ' ' ' I ' ' '

»

' ' I I I I I ' » ' 1 ' ' '

GERMANY

I

I I I I »»

FRANCE

I

1

1

CANADA

I » I

1

I

I




I

I

I

1

• I

I

I

1

I

i

I

I

•

I

1

1

'

I

1

I

I

NETHERLANDS

•
1990

1986=100
230

1992

• '
1990

l

'

'

1992

1

1

17-Nov-93 24-Nov-93 l-Dec-93
Chart 1.

8-Dec-93

15-Dec-93

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

2.7670
75.909
16.968
58.872
0.06006
0.93693
52.468
66.808
148.30

2.7629
75. 338
16. 889
58. 591
0.05946
0.92548
52. 220
66. 798
147 .96

2.7586
74.988
16.888
58.350
0.05877
0.91786
52.002
66.826
148.33

2.7893
75. 389
16. 995
58. 404
0.05902
0.92312
52 .105
67. 695
149 .15

2.7983
75.183
17.110
58.552
0.05933
0.91584
52.276
68.293
149.01

109.03
75.66
76.46
165.61
34.48
245.32
150.62
214.93
59.98

108 .87
75 .09
76 .11
164 .82
34 .13
242 .32
149 .91
214 .90
59 .85

108.70
74.74
76.10
164.14
33.73
240.33
149.29
214.99
59.99

109 .91
75 .14
76 .58
164 .29
33 .88
241 .70
149 .58
217 .78
60 .32

110.27
74.93
77.10
164.71
34.06
239.80
150.07
219.71
60.27

105.79
70.72
71.30
174.44
29.71
258.02
148.60
49.65
213.02
55.02
96.21

106 .59
70 .82
71 .48
173 .81
29 .72
258 .53
148 .28
49 .95
214 .98
55 .11
95 .73

106.85
70.54
71.95
174.15
29.86
255.99
148.66
49.76
216.74
55.00
95.62

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.

-0.79
-3 .29
-2.86
-5.51
1.08
-2.55
-1.16
-2.21

-0 .78
-3 .27
-2 .78
-5 .60
1 .15
-2 .44
-1 .11
-2 .04

-0.62
-3.16
-2.76
-5.45
1.27
-2.32
-1.07
-1.87

375.00

377 .32

373.92

377 .52

3.03
2.94
3.94
6.75
6.26
2.46
6.03
4 .48
5.45

2 .98
2 .93
3 .75
6 .74
6 .31
2 .42
6 .05
4 .56
5 .93

3.09
2.95
3.77
6.75
6.41
2.41
6.04
4.50
5.25

2 .92
2 .89
4 .18
6 .66
6 .10
2 .36
5 .86
4 .25
5 .38

-0 . 61
-3 .09
-2 .69
-5 .32
1 .43
-2 .25
-0 .88
-1 .81

-0.67
-3.20
-2 . 77
-5.23
1.24
-2 .27
-0.92
-1.99

Gold Price in London, A f t e m o o n Fixing

U.S. dollars per fine ounce
Chart 4.

105 .60
70 .82
71 .04
174 .62
29 .98
259 .46
148 .74
50 .19
212 .20
54 .67
95 .81

3-Month Forward Exchange Rates, Premium or Discount

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

105.22
71.02
71.02
174.60
30.15
261.62
148.71
50.64
211.17
54.51
95.22

384.73

Call Money Rates

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




2.94
2 .88
4.33
6.58
5.97
2 .44
5 . 78
4 .15
6.40

Fov-93 24 -Nov -93 1-Dec- 93
Chart 5.

3 .34
4.36
6.53
6.20
2.32
5.87
4.45
5.61
5.45

3 .35
4 .30
6 .49
6 .05
2 .32
5 .71
4 .39
5 .44
5 .32

3 .35
4 .22
6 .50
6 .13
2 .21
5 .69
4 .38
5 .31
5 .27

3 .35
4 .15
6 .43
5 .98
2 .02
5 .58
4 .18
5 .21
5 .13

3 .26
4 .10
6 .38
5 .97
2 .05
5 .45
4 .01
5 .26
5 .09

2.94
3.00
3.04
3.35
3.38
3.75

2.
.93
3 .00
,
3.
.04
3..36
3..41
3..66

2 .95
2 .98
3 .19
3 .38
3 .39
3 .66

2 .89
3 .00
3 .38
3 .35
3 .41
3 .71

2 .88
3 .00
3 .24
3 .28
3 .36
3 .66

Euro-Dollar Deposit Rates

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

15-Dec -93

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.

8-Dec-93

Selected Euro-dollar & U.S. Mone] - Market Rates

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

2.94
3.03
-0.09

2.
.93
2.
.98
-0..05

2 .95
3 .09
-0 .14

2 .89
2 .92
-0 .03

2 .88
2 .94
-0 .06

3.35
3.34
0.01

3.
,36
3.
.35
0..01

3 .38
3 .35
0 .03

3 .35
3 .35
0 .00

3 .28
3 .26
0..02

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

3.35
3.37
-0.02

3. 36
3. 37
-0. 00

3 .38
3 .42
-0 .05

3 .35
3 .37
-0 .02

3..28
3,.24
0..03

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

3.40
3.56
-0.16

3. 41
3. 51
-0. 10

3 .43
3 .59
-0 .16

3 .43
3 .54
-0 .11

3..36
3..42
-0..06

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

3.35
3.30
0.05

3. 36
3 .23
0. 14

3 .38
3 .33
0 .05

3 .35
3 .25
0 .10

3..28
3..16
0.,11

Euro-dollar deposit
Swiss interbank, covered
Differential

3.35
3.28
0.07

3. 36
3. 27
0. 10

3 .38
3 .29
0 .08

3 .35
3 .29
0 .06

3..28
3.,09
0. 19

6 .82
5 .98
5 .87
3 .66
4 .15
,
5,.80
6,.76
5,.67

6 .90
5 .97
5 .85
3 .65
4 .14
5 .79
6 .70
5 .82

6 .86
6 .00
5 .86
3 .49
4 .14
5 .81
6 .65
5 .80

6 .75
5 .98
5 .85
3 .33
4 .09
5 .81
6 .45
5 .75

6 .73
5 .79
5 .76
3 .28
4 .06
5 .74
6 .31
5 .77

141..18
164 .
.56
119 .
.04
116..51
142 .
.80
207 ,
.24
183 .
.39
188..79

140 .74
162 .31
117 .32
110 .86
141 .83
207 .60
180 .76
187 .55

140 .64
163 .50
119 .87
109 .18
145 .08
211 .00
190 .64
187 .66

143 .55
167 .34
123 .21
105 .59
147 .84
217 .38
190 .42
189 .64

140..82
168..57
121,.85
109..82
145 .
.19
218..42
191..54
188,.33

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



Vnblcov/,*.

FEDERAL RESERVE statistical release
December 17, 1993

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

DECEMBER 17, 1993

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

XAUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,PR.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
^IRELAND
ITALY
JAPAN
MALAYSIA
MEXICO
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
PESO
GUILDER
DOLLAR
KRONE
ESCUDO
DOLLAR
RAND
WON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

MEMO;
i*UNITED STATES

DOLLAR

Dec. 13

(CURRENCY UNITS PER DOLLAR)
Dec. 16
Dec. 15
Dec. 14

Dec. 17

0.6715
11.986
35.710
1.3292
5.8195
6.6890
1.1305
5.7610
5.8330
1.7050
244.64
7.7235
31.440
1.4130
1688.50
108.98
2.5480
3.1148
1.9104
0.5540
7.41
174.8500
1.5950
3.37
812.40
139.830
49.2500
8.4150
1.465
26.835
25.390
1.4903

0.6728
12.045
35.860
1.3340
5.8195
6.7180
1.1270
5.8205
5.8620
1.7142
245.59
7.7247
31.440
1.4150
1692.00
109.38
2.5490
3.1130
1.9202
0.5561
7.44
174.7300
1.5947
3.38
813.10
139.970
49.3300
8.4550
1.466
26.828
25.400
1.4882

0.6727
12.070
35.830
1.3332
5.8245
6.7300
1.1250
5.8185
5.8645
1.7163
245.76
7.7252
31.440
1.4100
1693.00
109.66
2.5498
3.1070
1.9222
0.5590
7.46
174.9600
1.5945
3.39
814.00
140.810
49.3300
8.4475
1.467
26.771
25.450
1.4831

0.6740
12.020
35.690
1.3317
5.824:
6.6960
1.1290
5.8030
5.8370
1.7085
244.99
7.7255
31.440
1.4172
1688.50
109.72
2.5495
3.1060
1.9136
0.5610
7.42
174.4900
1.5932
3.39
813.90
140.750
49.3100
8.3960
1.460
26.706
25.450
1.4885

0.6790
11.990
35.530
1.3387
5.8245
6.6840
1.1315
5.7915
5.8280
1.7050
244.98
7.7258
31.440
1.4200
1685.00
110.10
2.5500
3.1060
1.9100
0.5613
7.40
174.0400
1.5927
3.39
813.60
140.210
49.3200
8.3920
1.455
26.620
25.440
1.4910

95.54

95.91

96.01

95.70

95.63

•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) 482-1986.
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