Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 27, 1993

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Selected Interest &
Exchange Rates
Weekly Series of Charts

December 27,1993

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

_

100

——•

RATIO SCALE
MARCH 1973=100

140
FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

90
80

BELGIAN FRANC

i

i

i

i

i

i

i

I

i

i

i

I

'

i i i l i i i l i i i I i i i

JAPANESE YEN

SWISS FRANC

i

i i l ' i i I i i i I i i i
U.K. POUND

CANADIAN DOLLAR

i

i

i

I

i

i

'

'

'

i

I I I

TAL AN LIRA




I

i

i

i

i i I i i i I i i i I i i i

FRENCH FRANC

1990

i

GERMAN MARK

DUTCH GUILDER

I

I

1992

1990

1992

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

JAPANESE YEN

SWISS FRANC

DUTCH GUILDER

FRENCH FRANC

1990




ITALIAN LIRA

1992

1990

1992

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

U.S. DOLLARS PER FINE OUNCE

420

420

12.5 Kg B A R S
AFTERNOON FIXING PRICE

400

f -

400

1

380

380

360

360

340

340

320

J




L
1990

i

i
1991

I

I

I

I
1992

I

I

l

L
1993

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

10

16

FRANCE

U.S. FEDERAL FUNDS

JAPAN

NETHERLANDS
GERMANY

UNITED KINGDOM

CANADA

SWITZERLAND

1990




1992

1990

1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES

PERCENT PER ANNUM

PERCENT PER ANNUM
12

15
WEIGHTED AVERAGE
FOREIGN RATE

CANADIAN FINANCE PAPER

U.K. INTERBANK STERLING

NETHERLANDS INTERBANK RATE

JAPANESE CD RATE
FRENCH INTERBANK RATE

GERMAN INTERBANK RATE

SWISS INTERBANK

1990




1992

1990

1992

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER ANNUM

PERCENT PER ANNUM

3-MONTH

OVERNIGHT

2
10

2

7-DAY

6-MONTH

8

6

4

2

2
10

1-YEAR

1-MONTH

8

6

4

2

1990




1992

2

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
D I F F E R E N T I A L : PLUS(+). F A V O R S B O R R O W I N G IN U.S.
AVERAGES FOR WEEK ENDING WEDNESDAY
Pi':h ;ENT PER ANNUM

PERCENT PER ANNUM

10

10

8

—

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

90-DAY CD'S

FEDERAL FUNDS

DASHED LINE

DASHED LINE

4 —

'

i

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I

i

I

i

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J

I

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I




L

I

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I

I

I

I
1992

I

I

I

I

I

L

I
1992

I

I

I

DIFFERENTIAL

DIFFERENTIAL

J_J
1990

I

I

I

I

I

L_

J
1990

I

I

I

I

l_J

I

L

CHARTS

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

PERCENT PER ANNUM

10

10

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING

COVERED LONDON

6 —

4 —

2 —
'

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

DASHED LINE

< I

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'

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I I I I I I I I I I I I I I
DIFFERENTIAL

DIFFERENTIAL

1

2
10

1 1 I 1 I 1 I I 1 I I I '

I

I I I I I I I I I I I I I I

INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

6

—

i

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

i i I i i i I i i i I i i i

I

DIFFERENTIAL

I

DIFFERENTIAL

I I I I I I I I I I I I I I
1990




I I I I I I I I I I I I

1992

i

I
1990

I

I

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I

'

I
1992

I

I

I

2
10

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

10

14
UNITED KINGDOM

FRANCE

CANADA

I

I I I I I I I I I I I I I I

SWITZERLAND

JAPAN

NETHERLANDS

1990




GERMANY

-•992

1990

1992

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO S

SCALE
1986:

198

00

230
210

UNITED STATES

UNITED KINGDOM

i

i

190
170
150
130

110
210
190

i i I ' i ' I i i i l i i i

i i I i i i l i i i l i i i
JAPAN

SWITZERLAND

170
150
130
110

90
140
130

FRANCE

GERMANY

120
110

100
90

80
150
140

NETHERLANDS

CANADA

130
120
110

100
90

1990




1992

1

Chart l.

24-Nov-93 1-Dec-93 8-Dec-93
Spot Exchange Rates and Indices
""

15-Dec-93 22-Dec-93

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

2.7629
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

2 . 8157
74.702
17.170
58.565
0.05965
0.90578
52.291
68.805
148.96

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

110.95
74.45
77.37
164.75
34.24
237.16
150.12
221.35
60.25

Weighted average exchange value indices, Mar. 1973= 100
Belgian franc
105.60
105.79
Canadian dollar
70.82
70 . 72
French franc
71.04
71.30
German mark
174.62
174.44
Italian lira
29.98
29 . 71
Japanese yen
259.46
258.02
Netherlands guilder
148.74
148.60
Swedish krona
50.19
49.65
Swiss franc
212.20
213.02
U.K. pound
54 .67
55.02
U.S. dollar
95.81
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

107 .58
70 . 08
72 .25
174 .25
30 .04
252 ,
.91
148 . 74
49 .
.95
218 .
.47
55 .00
95 .65

-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

-0 . 76
-3 .32
-2 .91
-4 .98
,
1 .19
,
-2,.41
-1 .05
.
-2 .23
.

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

Chart 2.

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.

-1.11

-2.04

-0.62

-3 .16
-2.76
-5.45
1.27
-2.32
-1.07
-1.87

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

-0.78
-3.27
-2.78
-5.60
1 .15
-2 .44

377.32

373.92

377.52

384.73

Call Money Rates

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




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

2.94
2.88
4.33
6.58
5.97
2 .44
5 . 78
4 .15
6.40

387.10

2.99
2.88
3.90
6.55
6.04
2.36
5 . 79
4.38
6 .15

24-Nov-93 l-Dec-93
Chart 5.

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

3 .20
4 .06
,
6 .40
6,.02
2 .09
,
5..52
4 ,16
.
5..39
5 ,13
.

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

2 .88
,
2 .94
,
3 .10
,
3 .16
3 .33
3 .65

Euro-Dollar Deposit Rates

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

15-Dec-93 22-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. Mo:

• Market Rates
2 . 93
2 .98
,
-0 .05

2 .95
3 .09
-0 .14

2.
, 89
2 .92
,
-0 .03

2 . 88
2 .94
-0 .06

2 .88
,
2 .99
,
- 0 ..11

3 .36
3 .35
0 .01

3 .38
3 .35
0 .03

3 .35
3 .35
0 .00

3 .28
.
3 .26
0 .02

3 . 16
3 .20
.
- 0 ..04

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

3 .36
,
3 .37
,
-0,.00

3 .38
3 .42
-0 .05

3 .35
,
3 .37
,
-0 .02

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

3 .16
,
3.
, 13
0 .03
.

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

3 .41
.
.
3 .51
-0..10

3 .43
,
3 .59
.
-0 .16
,

3 .43
3 .54
-0 . 11

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

3 .31
,
3 .29
,
0,.02

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

3 .36
.
3 .23
.
0 .14
,

3 .38
3 .33
0 .05

3 .35
3 .25
,
0 .10

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

3 .16
,
3 .07
.
0,.10

Euro-dollar deposit
Swiss interbank, covered
Differential

3 .36
,
3 .27
,
0 . 10

3 .38
3 .29
0 .08

3 .35
3 .29
,
0 .06
.

3 .28
,
3 .09
,
0 .19
,

3 .16
.
3 .10
.
0 .06
.

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

6,.73
5 .74
.
5 .68
,
3 .24
4 .08
,
5,.73
6,.20
5 .81
,

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.

Chart 9.

Interest Arbitrage, 3-Month Funds

Long Term Government Bellwether Bond Yields
10-year maturity, where available
6,.90
5 .97
,
5 .85
3 .65
,
4.
, 14
5 .79
.
6 .70
5 .82
,

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

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

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

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

140 .
.82
.57
168 .
121 ,
.85
109 .
.82
145 ,
.19
218,.42
191,.54
.77
187 ,

140 .
.86
NC
124 ,
.98
109 .67
149 ,
.85
.07
226 ,
.76
194 ,
. 77
189 ,

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



•vi'SSi:'-:-.

FEDERAL RESERVE statistical release
H.10(512)

D e c e m b e r 27, 1 9 9 3

FOREIGN EXCHANGE RATES
FOR THE WEEK

ENDING

D E C E M B E R 24, 1993

The B o a r d of G o v e r n o r s of the Federal Reserve S y s t e m is a d v i s e d that the Federal R e s e r v e Bank of New York has certified
for customs p u r p o s e s the f o l l o w i n g noon b u y i n g rates in New York City for cable t r a n s f e r s p a y a b l e in f o r e i g n c u r r e n c i e s :

COUNTRY
^AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO C O M M U N I T Y
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
^IRELAND
ITALY
JAPAN
MALAYSIA
MEXICO
NETHERLANDS
*NEW Z E A L A N D
NORWAY
PORTUGAL
SINGAPORE
SOUTH AFRICA
SOUTH KOREA
SPAIN
SRI LANKA
SWEDEN
SWITZERLAND
TAIWAN
THAILAND
*UNITED KINGDOM
MEMO:
f*UNITED S T A T E S

MONETARY
UNIT

D e c . 20

DOLLAR
SCHILLING
FRANC
DOLLAR
YUAN
KRONE
ECU
MARKKA
FRANC
D. M A R K
DRACHMA
DOLLAR
RUPEE
POUND
LIRA
YEN
RINGGIT
PESO
GUILDER
DOLLAR
KRONE
ESCUDO
DOLLAR
RAND
WON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

0.6785
12.045
35.560
1.3443
5.8245
6.7115
1.1290
5.7805
5.8420
1.7136
246.16
7.7253
31.440
1.4140
1678.25
110.55
2.5516
3.1100
1.9193
0.5610
7.43
175.1000
1.5932
3.39
813.60
140.460
49.3300
8.4220
1.463
26.690
25.460
1.4855

DOLLAR

95.94

(CURRENCY U N I T S PER D O L L A R )
Dec. 21
D e c . 22
D e c . 23
0.6792
12.010
35.460
1.3442
5.8245
6.6825
1.1325
5.7520
5.8170
1.7090
245.59
7.7252
31.440
1.4215
1668.00
111.08
2.5523
3.1100
1.9137
0.5613
7.41
174.5300
1.5928
3.39
814.80
139.990
49.3250
8.3680
1.452
26.750
25.470
1.4887

95.72

0.6800
11.970
35.340
1.3345
5.8245
6.6505
1.1351
5.6970
5.7960
1.7015
244.48
7.7237
31.440
1.4245
1662.75
110.57
2.5535
3.1150
1.9054
0.5610
7.38
173.8600
1.5935
3.39
814.90
139.670
49.3300
8.2600
1.438
26.750
25.490
1.4945

95.26

0.6771
11.915
35.170
1.3265
5.8242
6.6190
1.1405
5.6680
5.7685
1.6940
243.85
7.7232
31.440
1.4310
1657.50
110.55
2.5645
3.1100
1.8977
0.5593
7.35
173.1800
1.5920
3.38
813.70
139.300
49.3100
8.2025
1.434
26.698
25.475
1.5043

D e c . 24

H

O

L

I

D

A
Y

94.86

*VALUE IS U.S. D O L L A R S

#

**INDEX OF W E I G H T E D A V E R A G E EXCHANGE VALUE OF U.S.
DOLLAR A G A I N S T C U R R E N C I E S OF OTHER G-10
COUNTRIES.
M A R C H 1973 = 100.
W E I G H T S ARE 1972-76 GLOBAL TRADE OF EACH OF THE 10 COUNTRIES.
FOR D E S C R I P T I O N AND BACK DATA, SEE "INDEX OF THE
SERIES R E V I S E D AS OF A U G U S T 1978.
W E I G H T E D - A V E R A G E EXCHANGE VALUE OF THE U.S. D O L L A R : REVISION' 1 ON PAGE 700 OF THE AUGUST
1978 FEDERAL RESERVE B U L L E T I N .
THIS RELEASE IS A V A I L A B L E ONLINE THROUGH THE FACILITIES OF THE D E P A R T M E N T OF C O M M E R C E ' S
ECONOMIC BULLETIN B O A R D .
FOR I N F O R M A T I O N , CALL (202) 4 8 2 - 1 9 8 6 .
FOR I N F O R M A T I O N ABOUT YOUR S U B S C R I P T I O N TO THIS RELEASE OR ABOUT RECEIVING IT IN DOCUMENT
F O R M , PLEASE CALL P U B L I C A T I O N S S E R V I C E S AT THE FEDERAL RESERVE B O A R D AT (202) 4 5 2 - 3 2 4 4 .

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