Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 23, 1991

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

December 23, 1991
Prepared by the
FINANCIAL MARKETS
SECTION




DIVISION OF
INTERNATIONAL FINANCE
BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, DC. 20551

!

I

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

140

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

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CANADIAN DOLLAR

U.K. POUND

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-y

JAPANESE YEN

—

SWISS FRANC

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BELGIAN FRANC

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GERMAN MARK

_ / V \

DUTCH GUILDER

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ITALIAN LIRA
—

FRENCH FRANC

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1991

CHART 2

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

4

PERCENT PER ANNUM

4

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CANADIAN DOLLAR

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U.K. POUND

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GERMAN MARK

SWISS FRANC

DUTCH GUILDER

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ITALIAN LIRA

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CHART 3

PRICE OF GOLD IN LONDON
A V E R A G E S FOR W E E K ENDING W E D N E S D A Y

U.S. DOLLARS PER FINE OUNCE
520

U.S. DOLLARS PER FINE OUNCE
520

500

500

12.5 Kg BARS
AFTERNOON FIXING PRICE

480

I

480

460

460

440

440

420

420

400

400

380

380

360

360

340

340

320

J

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1988




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320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

12

FRANCE

U.S. FEDERAL FUNDS

JAPAN

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GERMANY

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CANADA

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UNITED KINGDOM

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SWITZERLAND

NETHERLANDS

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CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

12

10
U.S. CD'S

10

SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

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12 —

12
U.K. INTERBANK STERLING

CANADIAN FINANCE CO
PAPER

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12

GERMAN INTERBANK RATE

10

FRENCH INTERBANK RATE

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JAPANESE CD RATE

—

NETHERLANDS INTERBANK RATE

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CHART 6

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

PERCENT PER ANI

14

OVERNIGHT

12

3-MONTH

10

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7-DAY

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1-YEAR

1-MONTH

12

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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

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DASHED LINE

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DIFFERENTIAL

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DIFFERENTIAL

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nM A aA.1* A i.N

\Nv^yl\

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CHART 8

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

PERCENT PER ANNUM

16

16

INTERBANK STERLING

12

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

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DIFFERENTIAL

2
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DIFFERENTIAL

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INTERBANK DM

12 —

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COVERED FRANKFURT

EURO-DOLLAR DEPOSITS

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EURO-DOLLAR DEPOSITS

DASHED LINE

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DIFFERENTIAL

DIFFERENTIAL

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SWISS INTERBANK (SF) COVERED

DASHED LINE

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CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
RCENT PER ANNUM

PERCENT PER ANN!

14
UNITED STATES

CANADA

12

10

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14
UNITED KINGDOM

FRANCE

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SWITZERLAND

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NETHERLANDS

GERMANY

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CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
— NETHERLANDS

175 — UNITED STATES

175

150

150

125

125

100

100
75

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50
400

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— GERMANY

350 | _ J A P A N

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250

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175

— FRANCE

. SWITZERLAND

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75

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200

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175

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SERIES
20-Nov-91 27-Nov-91 4-Dec-91
Chart 1.

ll-Dec-91 18-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
Indices, March 1973 base rates
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

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

3.0769
87.405
18.546
63.348
0.08392
0.77693
56.207
71.633
181.88

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

121 .25
87 .12
83 .57
178 .20
48 .17
203 .43
161 .36
230 .45
73 .57

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

108 .41
76 .04
71 .91
173 .67
39 .74
194 .45
147 .30
67 .
.58
209..44
62..67
86 .26

-2. 53
-4. 85
-4. 55
-6. 83
-1. 22
-4. 55
-3. 26
-5. 53

-2. 51
-4. 93
-4. 63
-7. 36
-1 .14
-4. 69
-3. 26
-5. 59

-2. 58
-5. 37
-4. 90
-7. 61
-1. 43
-5. 05
-3. 46
-5. 82

-2. 71
-5. 35
-5. 00
-7. 55
-1. 50
-5. 22
-3. 60
-5. 97

359. 54

366. 94

365. 77

367. 55

358. 70

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

4 .48
4 .39
7..23
9.,59
8.,96
6.,33
9.,38
6.,78
10.,94

100
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 . 6 6
47 .68
202 .89
159 .95
227 .64
72 .47

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.

-2. 57
-4. 55
-4. 43
-6. 43
-1. 19
-4. 45
-2. 97
-5. 34

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

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

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.

107 .23
78 .16
71 .13
171 .74
39..35
195,,71
145..84
66. 79
206 80
62, 36
87. 82

Call Money Rates

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




SERIES
Chart 5.

20-Nov-9I 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 a v e r a g e foreign interest rate
(G-10 C o u n t r i e s )
Chart 6.

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 .45
7 .46
9 .79
9 .44
6 .06
9 .57
7 .95
10 .63
9 .17

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

4 .39
4 .43
4 .78
4 .44
4 .40
4 .50

4 .78
4 .68
0 . 09

4 .84
4 .79
0 .05

4 .54
4 54
-0 .00

4 .39
4 .48
-0 .09

4 .95
4 .94
0 .01

4 .90
4 .87
0 .03

4 .86
4 .84
0,.03

4 .56
4 .57
-0 .01

4 .44
4 .45
-0 .01

4 .95
4 .91
0 .04

4 .90
4 .88
0 . 02

4,.86
4,.85
0..01

4 .56
4 .65
-0 .09

4 .44
4 .50
-0 .06

Selected Euro-dollar & U.S. Money Market Rates
4 .78
4 .89
-0 .11

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.

4 .94
7 .73
9 .44
9 .30
6 .23
9 .29
7 .78
10 .39
8 .96

Euro-Dollar Deposit Rates

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

ll-Dec-91 18-Dec-91

Interest Arbitrage, 3-Month Funds 1

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

4 .99
5 .11
-0 .12

4 .94
5 .13
-0 .20

4..91
5..05
-0..14

4 .70
4 .84
-0 .14

4 .58
4 .70
-0 .12

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

4 .95
4 .77
0 .18

4 .90
4 .68
0 .22

4..86
4. 64
0. 22

4..56
4..43
0 .14

4 .44
4 .32
0 .12

Euro-dollar deposit
Swiss interbank, covered
Differential

4 .95
4 .75
0 .20

4 .90
4 .53
0 .37

4. 86
4. 57
0. 29

4 .56
4 .40
0 .16

4 .44
4 .28
0 .16

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

Chart 9.

Long Term Government Bellwether Bond Yields
10-year maturity, where available
8
8
8
5
6
8
9
7

.48
.77
.22
.94
.60
.71
.65
.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

8,.48
8,.75
8,.20
5,.73
6. 47
8. 69
9. 56
7. 20

116
133
98
133
105
130
147
153

.87
.51
.60
.30
.45
.48
.27
.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

Ill .06
128. 30
95. 61
128. 85
103. 77
126. 16
142. 27
155. 44

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
H.10(5X2)

December 23, 1991

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

DECEMBER 20, 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. 16

•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

0.7730
11.110
32.510
1.1437
5.4299
6.1400
1.2905
4.2695
5.3930
1.5788
181.30
7.7755
25.840
1.6890
1191.50
128.47
2.7460
1.7794
0.5570
6.2040
140.05
1.6490
2.7735
761.80
100.55
N.A.
5.7655
1.3950
25.753
25.430
1.8210

0.7737
11.100
32.450
1.1455
5.4261
6.1200
1.2920
4.2630
5.3800
1.5767
180.65
7.7755
25.830
1.6935
1188.75
128.60
2.7440
1.7771
0.5540
6.1850
139.15
1.6460
2.7720
762.50
100.23
N.A.
5.7430
1.3950
25.750
25.400
1.8220

0.7731
11.070
32.380
1.1468
5.4261
6.1190
1.2945
4.2630
5.3760
1.5735
180.55
7.7740
25.810
1.6953
1188.00
128.45
2.7440
1.7734
0.5496
6.1810
139.25
1.6480
2.7730
762.70
100.08
N.A.
5.7335
1.3945
25.750
N.A.
1.8252

0.7715
10.978
32.120
1.1573
5.4261
6.0700
1.3028
4.2300
5.3320
1.5587
178.80
7.7740
25.790
1.7077
1182.00
128.33
2.7420
1.7569
0.5507
6.1470
138.50
1.6445
2.7650
762.70
99.34
N.A.
5.7040
1.3833
25.750
N.A.
1.8325

0.7670
10.785
31.630
1.1550
5.4261
5.9740
1.3222
4.1880
5.2460
1.5347
178.70
7.7710
25.790
1.7384
1166.25
127.57
2.7380
1.7297
0.5430
6.0480
136.20
1.6400
2.7550
762.90
97.95
N.A.
5.6100
1.3620
25.750
N.A.
1.8600

MEMO:
"UNITED STATES

DOLLAR

86.23

86.15

86.04

85.61

84.52

COUNTRY

1 CURRENCY UNITS PER DOLLAR)
Dec. 17
Dec. 18
Dec. 19

Dec. 20

•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. HEIGHTS 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 COWERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL 1202) 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 1202) 452-3244.