Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 30, 1991

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U

B

R

A

R

*

JAN 3 199?

FEDERAL RESERVE BANK

Selected Interest &
Exchange Rates
Weekly Series of Charts

December 30,1991

DIVISION O F
INTERNATIONAL FINANCE

Prepared by the

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM

FINANCIAL MARKETS
SECTION




Washington, DLC. 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
140

i

i

RATIO SCALE
MARCH 1973=100
140

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

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BELGIAN FRANC

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CANADIAN DOLLAR

U.K. POUND

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JAPANESE YEN

SWISS FRANC

—

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GERMAN MARK
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

1991

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
4

12

PERCENT PER ANNUM
4

CANADIAN DOLLAR

U.K. POUND

GERMAN MARK

JAPANESE YEN

SWISS FRANC

DUTCH GUILDER

FRENCH FRANC

ITALIAN LIRA

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1989

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1991

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1989

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1991

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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
16

PERCENT PER ANNUM

16

12

12

FRANCE

—

U.S. FEDERAL FUNDS

JAPAN

0

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16

16

12

12

CANADA

GERMANY




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SWITZERLAND

UNITED KINGDOM

NETHERLANDS

1989

1991

1989

1991

i

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PER ANNUM

PERCENT PER

12

NIM
10

U.S. CD'S

10

8

8

6

6

SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

4

4

2

2
16

0

14

14

12

12

16

U.K. INTERBANK STERLING

CANADIAN FINANCE CO.
PAPER

10

10

8

8

6

6

10

12
GERMAN INTERBANK RATE

8

10

6

8
FRENCH INTERBANK RATE

4

6

2
10

4

8

10
JAPANESE CD RATE

8

6

6
NETHERLANDS INTERBANK RATE

4

2




1989

1991

1989

4

1991

2

CHART 6

EURO-DOLLAR DEPOSIT RATES L O N D O N
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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6-MONTH

4
14

12

10

10

8

8

6

6

4
14

•

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•

•

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1-MONTH

12

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1-YEAR

4
14

12

10

10

8

8

6

6

4

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1989

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1989

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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
PEI :ENT PER ANNUM

PERCENT PER ANNL

14

12
OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO DOLLAR DEPOSITS

10

8
FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

6

DASHED LINE

4

J—I—I

2
2

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J—I—l

DIFFERENTIAL

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DIFFERENTIAL

1

+
0

1

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I AA.X* A I . f v /
*1 '•'VYvVV^V

rlAl

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1989

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1

1
1991

1

J

I

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1989

1991

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
16

RCENT PER ANNUM
16

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING

12

COVERED LONDON

12

8
U.S. COMMERCIAL PAPER

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE
4

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DIFFERENTIAL

DIFFERENTIAL
+

0

vivwv v

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2
16

vjw.

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INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

—

8
EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

4

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1991

2
DIFFERENTIAL

DIFFERENTIAL
+

0

2

I

2
16

12

0

Io
2

2

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12

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNl

RCENT PER ANNUM

14

14

CANADA

UNITED STATES
12

12

10

10

8

8

6

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6
14

14

FRANCE

UNITED KINGDOM
12

12

10

10

8

8

6

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6
10

10

SWITZERLAND

JAPAN

8

8

6

6

4

4

2
10

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NETHERLANDS

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2
10

GERMANY

8

8

6

6

4

4

2

•

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1989

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1991

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_L_L

» i
1989

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1991

»

2

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE

RATIO SCALE

1986=100
200
— UNITED STATES

1986=100
200

— NETHERLANDS

JAPAN

GERMANY

SWITZERLAND

FRANCE

CANADA

UNITED KINGDOM

I

I

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I




1989

1991

1989

1991

SERIES
C h a r t 1.

27-Nov-91 4-Dec~91

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 g u i l d e r
Swiss f r a n c
U . K . pound
Indices,

M a r c h 1973 base r a t e s

:

3.0479
87.932
18.378
62.801
0.08307
0.77488
55.717
70.759
179.17

3.0037
8 8 . 143
18. 104
6 1 . 872
0.08201
0.77052
5 4 . 885
6 9 . 961
177 . 1 4

3.0753
87 . 920
1 8 . 541
6 3 . 359
0.08378
0.77734
56 . 219
71 . 679
180 .48

3.0769
87 . 405
1 8 . 546
6 3 . 348
0.08392
0.77693
56 . 207
71 . 633
181 .88

3.1649
86.332
19.086
65.226
0.08602
0.78433
57.858
73.452
185.99

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 . 7 5
157 .56
225 .07
71 .65

121 .18
87 .63
83 .55
178 . 2 4
48 . 09
203 . 5 3
161 .39
230 .60
73 .00

121 . 2 5
87 . 1 2
83 .57
178 .20
48 .17
203 .43
161 .36
230 .45
73 .57

124.71
86.05
86.01
183.49
49.38
205.36
166.10
236.30
75.23

108 .40
76 .56
71 .93
173 .80
39 .70
194 .67
147 . 4 1
67 .35
209 .68
62 .17
86 . 3 2

108 . 4 1
76 . 0 4
71 .91
173 .67
39 .74
194 .45
147 .30
67 .58
209 . 4 4
62 .67
86 .26

109.74
73.70
72.89
176.30
40 . 09
192.91
149.26
68.31
211.27
63.07
84.47

= 100

Belgian franc
Canadian d o l l a r
French f r a n c
German mark
Italian lira
Japanese yen
Netherlands g u i l d e r
Swiss f r a n c
U . K . pound
Weighted a v e r a g e exchange v a l u e i n d i c e s ,
Belgian franc
Canadian d o l l a r
French f r a n c
German mark
Italian lira
Japanese y e n
Netherlands g u i l d e r
Swedish k r o n a
Swiss f r a n c
U . K . pound
U.S. d o l l a r
C h a r t 2.

U.S.

3 - M o n t h F o r w a r d Exchange R a t e s ,

Chart 4.

Call

107 .38
77 .98
71 .19
171 . 9 1
39 . 4 1
195 . 9 3
145 .94
66 .70
207 . 6 1
61 .89
87 .93

-2
-4
-4
-7
-1
-4
-3
-5

.51
.93
.63
.36
.14
.69
.26
.59

-2
-5
-4
-7
-1
-5
-3
-5

.58
.37
.90
.61
.43
.05
.46
.82

-2
-5
-5
-7
-1
-5
-3
-5

.71
.35
.00
.55
.50
.22
.60
.97

-2.93
-5.77
-5.37
-8.18
-1.52
-5.43
-4.03
-6.39

358 .70

358.95

4 .49
4 .39
7 .23
9 .59
8 .96
6 .33
9 .38
6 .78
10 .94

4.22
4.31
6.99
10.14
9.33
6.29
9.64
6.88
11.25

London, A f t e r n o o n F i x i n g

ounce

366.94

365 .77

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

367 .55

Money R a t e s

U.S. f e d e r a l f u n d s
Overnight Euro-dollar
Canada
France
Germany
Japan
Netherlands
Switzerland
U n i t e d Kingdom




1973=100

Premium o r D i s c o u n t
-2.53
-4.85
-4.55
-6.83
-1.22
-4.55
-3.26
-5.53

Gold P r i c e i n

d o l l a r s per f i n e

Mar.
108.03
77.04
71.68
173.14
39.57
195.21
146.89
67.12
208.13
62.06
86.94

Canadian d o l l a r
French f r a n c
German mark
Italian lira
Japanese yen
Netherlands g u i l d e r
Swiss f r a n c
U . K . pound
Chart 3.

1 l - D e c - 9 1 1 8 - D e c - 9 1 25~Dec~91

deposits

4
4
7
10
9
6
9
6
10

.54
.54
.38
.01
.05
.34
.37
.38
.59

SERIES
Chart 5.

27-Nov--91 4 - D e c - 91

3-Month I n t e r e s t

Rates

U.S. 90-day CD's, secondary 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.

Euro-Dollar

4..87
7 ..71
9,.66
9,.33
6..21
9,.35
7 ,.85
10..56
9. 06

4.
4.
4.
4.
4.
4.

deposits

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, s e c o n d a r y market
Differential
Interest

Arbitrage,

Euro-dollar deposit
Interbank s t e r l i n g (London),
Differential
U.S. c o m m e r c i a l paper
Canadian f i n a n c e p a p e r ,
Differential

covered

covered

Euro-dollar deposit
Swiss i n t e r b a n k , covered
Differential

4 .25
7 .50
10 .09
9 .60
6 .01
9 .70
8 .16
10 .92
9 .28

78
74
70
90
84
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 .31
5 .09
4 .70
4 .39
4 .33
4 .41

4. 78
4 . 68
0. 09

4 .84
4 .79
0 .05

4 .54
4 .54
- 0 . 00

4 .39
4 .49
- 0 .10

4 .31
4 .22
0 .09

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 .39
4 .25
0 .14

4 . 90
4 . 88
0. 02

4 .86
4 .85
0 .01

4 .56
4 .65
- 0 . 09

4 .44
4 .50
- 0 . 06

4 .39
4 .36
0 .04

4 . 94
5 . 13
- 0 . 20

4 .91
5 .05
- 0 .14

4 .70
4 .84
- 0 .14

4 .58
4 .70
- 0 ..12

4 .46
4 .52
- 0 .05

4 . 90
4 . 68
0 . 22

4 .86
4 .64
0 .22

4 .56
4 .43
0 .14

4..44
4,.32
0..12

4 .39
4 .10
0 .29

4 . 90
4 . 53
0 . 37

4 .86
4 .57
0 .29

4 .56
4 .40
0 .16

4 .44
4 .28
0 .16

4 .39
4 .04
0 .35

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

8 .34
8 .76
8 .14
5 .70
6 .43
8 .66
9 .66
6 .96

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.

4 .45
7 .46
9 .79
9 .44
6 .06
9 .57
7 .95
10 . 6 3
9 .17

3 - M o n t h Funds

covered

Euro-dollar deposit
I n t e r b a n k DM ( F r a n k f u r t ) ,
Differential

Chart 9.

4 .57
7 .47
9 .93
9 .44
6 .11
9 .52
7 .93
10 . 6 3
9 .22

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
U.S. f e d e r a l f u n d s
Differential

Chart 8.

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

D e p o s i t Rates

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

11-Dec - 9 1 1 8 - D e c - 9 1 25-Dec - 9 1

Stock I n d i c e s

Canada
France
Germany
Japan
Netherlands
Switzerland
U n i t e d Kingdom
United States

8 . 72
8 . 93
8 . 27
5 . 97
6 . 64
8 . 76
9 . 89
7 . 42
(Wednesday f i g u r e s )
114.
132.
97.
132.
104.
128.
145.
153.

64
65
75
37
36
19
18
07

114
130
96
130
103
126
142
154

.22
.26
.01
.70
.98
.56
.72
.47

I n d i c e s ( i n o r d e r , r e b a s e d t o 1986=100) a r e T o r o n t o C o m p o s i t e ,
Tokyo SE ( T o p i x ) , CBS A l l - G e n e r a l , S w i s s Bank I n d e x , F i n a n c i a l




111
123
94
126
101
124
140
153

.70
.96
.03
.03
.87
.26
.38
.30

I l l .06
128 .30
95.. 6 1
128..85
103..77
126 ,.16
142 .27
155 .44

112
125
93
126
102
124
140
160

.90
.99
.81
.68
.74
.86
.66
.35

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 30> 1991

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

DECEMBER 27, 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:

»

COUNTRY

MONETARY
UNIT

•AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
•EURO 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:
••UNITED STATES

DOLLAR

Dec. 23

(CURRENCY UNITS PER DOLLAR)
Dec. 26
Dec. 25
Dec. 24

0.7604
10.655
31.230
1.1601
5.4261
5.9060
1.3393
4.1360
5.1760
1.5148
174.25
7.7710
25.820
1.7580
1148.00
126.55
2.7330
1.7083
0.5435
5.9770
135.05
1.6280
2.7375
763.20
96.48
42.528
5.5380
1.3460
25.750
N. A.
1.8765

0.7601
10.720
31.420
1.1609
5.4292
5.9450
1.3304
4.1650
5.2060
1.5250
175.55
7.7720
25.850
1.7440
1154.50
127.55
2.7330
1.7193
0.5440
6.0150
135.75
1.6300
2.7450
763.50
96.93
42.528
5.5720
1.3550
25.753
N. A.
1.8705

83.64

84.11

H
0
L
I
D
A
Y

Dec. 27

0.7608
10.640
31.130
1.1613
5.4292
5.8900
1.3325
4.1290
5.1615
1.5107
174.25
7.7710
N. A.
1.7560
1145.50
126.78
2.7320
1.7034
0.5445
5.9640
135.10
1.6310
NC
763.30
96.30
N. A.
5.5250
1.3445
25.750
N. A.
1.8840

0.7624
10.685
31.250
1.1603
5.4292
5.9120
1.3360
4.1560
5.1820
1.5170
175.25
7.7785
25.800
1.7490
1150.00
125.57
2.7385
1.7102
0.5435
5.9830
135.25
1.6270
2.7500
764.00
96.68
N.A.
5.5530
1.3510
25.753
N.A.
1.8768

83.48

83.63

•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 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.