Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 7, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

December 7,1992

DIVISION OF
INTERNATIONAL FINANCE

P r e p a r e d by t h e
FINANCIAL MARKETS

BOARD O F G O V E R N O R S
F E D E R A L RESERVE SYSTEM

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
1140

RATIO SCALE
MARCH 1973=100
140
FOREIGN CURRENCY
130 —

—I 130

PRICE OF U.S. DOLLAR

120 —
110

120
10

loo

100
BELGIAN FRANC

90

_|

90

80

80

i

70

280

'

i

l

i

i

i

l

'

' I

l

i

i

i

i

i

i

I

i

i

» I

» '

i

I

'

'

i

280

SWISS FRANC

260

70

260

240

240

JAPANESE YEN

220

220

200

200

180

180

160

160
'

140

i

i

I

•

'

'

I

i

•

i

I

'

'

I

'

I

I

I

I

I

I

I

I

I

I

I

I

I

I

140

100

100
90

90

U.K. POUND

80

80

70

70

CANADIAN DOLLAR

60

60

I
—

I

I

I

I

I

I

I

I

I

I

I

I

I

'

I

I

'

«

1

I

1

I

I

I

1

I

DUTCH GUILDER

GERMAN MARK

ITALIAN LIRA

FRENCH FRANC




I
1990

I

I

I

I

I

I

I

I
1992

I
1990

1992

I

CHART 2

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

PERCENT PER ANNUM

4

4

f

U.K. POUND

CANADIAN DOLLAR

4

4

\ZVy^

8

8

12

12

M

16

8

i

l

1

l

1

1

1

1

1

1

1

1

1

16
8

JAPANESE YEN

GERMAN MARK
—

"

4

X
4

—

—

8

8
i

12

i

i

I

i

i

i

•

I

i i i

i

1

•

1

•

I

i

i

i

I

i

I

» 1 •

» i

I

i

» '

1 •

« i

DUTCH GUILDER

SWISS FRANC

/—

4
8
•

12
4

i

i

i

i

i

i

l

i

i

i

l

1

i

1

I

I

I

•

ITALIAN LIRA

FRENCH FRANC

4

I

—

—

—

—

8
12
16

i

i




i

l

i

i
1990

i

1

i

i

i

1

i

1
i 1
1992

1990

1992

I

12
8

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

12.5 Kg BARS
AFThhtvvUtv riXiivus KrtiCh

400

—

380

—

360

340

320




320
1989

1990

1991

1992

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

FRANCE
U.S. FEDERAL FUNDS

JAPAN

GERMANY

NETHERLANDS

UNITED KINGDOM




CANADA

SWITZERLAND

•
1990

1992

I

'

'
1990

i

1

•

•

•

1

•

1

1992

1

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
15

PERCENT PER ANNUM

12

WEIGHTED AVERAGE
FOREIGN RATE

U.S. CD'S
CANADIAN FINANCE PAPER

NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING




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 AN?

CENT PER ANNUM

12

3-MONTH

OVERNIGHT

10

8

6

4

2
12

i

» i

l

i

•

i

l

i

'

i

l

i

'

«

1

1

•

I

1

» I

1

1

» l

i

i

6-MONTH

7-DAY

10

»

8

6

4

2
12

I

I

I

10

I

I

I

I

I

I

I

I

I

I

I

1-MONTH

i

i

i

l

i

i

i

l

i

i

i

I

i

i

1-YEAR

8

6

4

2




1990

1992

1990

1992

i

1

#

#

e

#

e

e

*

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

12
OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

8
90-DAY CD'S

FEDERAL FUNDS

6

DASHED LINE

DASHED LINE

4
/

2
2

2

DIFFERENTIAL

DIFFERENTIAL

+
0

1




1990

1992

1990

1992

CHARTS

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

PERCENT PER ANNi

16

16

12

12
INTERBANK STERLING

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON

8

8

EURO-DOLLAR DEPOSITS

4

U.S. COMMERCIAL PAPER

DASHED LINE

'

0

'

I

i

i

4

DASHED LINE

i

I

i

i

» I

i

» »

i

i

I

i

i

i

I

i

i

i

I

i

i

i

2
DIFFERENTIAL

DIFFERENTIAL

+

+

0

2
16

0

I

I

I

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I

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I

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I

I

12
SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

8

8

EURO-DOLLAR DEPOSITS

4

EURO-DOLLAR DEPOSITS

DASHED LINE

i

i

i

I

i

i

4

DASHED LINE

i

I

i

i

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I

i

i

i

i

'

i

I

i

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i

'

i

I

i

'

2

i

0
2

DIFFERENTIAL

DIFFERENTIAL

+

+

0

2

2
16

12
INTERBANK DM

0

0
2

0

'

'

'




I

'

'
1990

'

'

'

•

•

'

'

'
1992

•

I

I

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I

I

I
1990

I

I

I

I

I

I

I

I
1992

2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
13

PERCENT PER ANNUM

10

UNITED
KINGDOM

CANADA

FRANCE

SWITZERLAND

JAPAN

NETHERLANDS

GERMANY




i
1990

1992

1

1

1990

» l

'

i

» 1 i

i
1992

i

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1966-100

RATIO SCALE
1986-100

200

200

UNITED STATES

UNITED KINGDOM

JAPAN

GERMANY

SWITZERLAND




FRANCE

CANADA

1990

NETHERLANDS

1992

1990

1992

SERIES
Chart 1.

4-Nov-92

ll-Nov-92 18-Nov-92 2 5 - N o v - 9 2 2-Dec-92

Spot Exchange Rates and Indices

Noon buying rates (U.S. cents, w e e k l y a v e r a g e s )
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

3.1226
80.486
18.964
64.255
0.07511
0.81215
57.096
72.029
155.34

3.0572
79.618
18.608
62.908
0.07359
0.80946
55.887
70.024
152.69

123..05
80..22
85..45
180 .75
43 .11
212 .65
163 .91
231 .73
62 .83

120..47
79..35
83..85
176 .97
42 .24
211 .94
160 .44
225 .28
61 .76

3.0613
78.766
18.667
62.952
0.07368
0.80419
55.955
69.472
152.59

3.0483
78.026
18.509
62.731
0.07253
0.80648
55.760
69.694
152.29

3.0624
77.839
18.527
63.037
0.07168
0.80381
56.041
70.362
152.65

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

.68
.58
,
.49
.33
.14
.46
.88
.37
.74

120
78
84
177
42
210
160
223
61

.63
.51
.12
.09
.30
.56
.63
.50
.72

120..12
77 .
.77
83..40
176..47
41..63
211..16
160.. 08
224 .21
61 .60

120
77
83
177
41
210
160
226
61

111
70
75
179
35
209
151
66
209
53
89

.61
.
.41
.13
.25
.79
.65
.82
.88
.89
.53
.93

111 ..95
70. 23
75..00
180..01
35..45
.99
211 .
152 .40
60 .22
212 . 12
53 .83
90 .74

112. 49
70. 05
75..09
181 ..05
35..01
.19
211 .
153..21
59 ,
.22
214 .19
53 .97
90 .73

- 2 .72
- 5 .84
-5,.32
-10 .92
-0 .13
- 5 .21
- 2 .88
- 3 .39

-3..57
-5..68
-5..22
-10 .09
.
-0 .14
,
- 5 .13
- 3 .16
- 3 .44

-4..56
-6 .30
.
-4..89
- 1 0 .56
0 . 14
-4..84
-2..71
-3..23

-4..07
-6 .97
.
-5..03
-10..01
0 .23
-4 .94
.
-2..63
-3..29

338.93

334.23

334.46

334.61

334.65

3.07
2.95
8.70
9.55
8.85
3.92
8.76
6.23
8.30

2.91
2.95
6.91
9.42
8.79
3.93
8.76
6.05
8.28

2.97
2.94
6 .78
9.30
8.75
3.88
8.76
6.45
7.13

3.10
2.84
7.80
9.50
8.72
3.83

7 .98
9.74
8.85
3.83

5.90
6.63

6.35

Weighted average exchange value indices, Mar. 197 3=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. 53
-6 .23
-5..46
-10..95
-0 .14
-5 .28
- 2 .84
-3 .90

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

111..31
71 .13
74 .76
178 .83
35 .69
210 .88
151 .42
67 .18
211 .33
53 .49
89 .78

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.

112. 21
70..93
75..21
180 .47
35..96
208 .50
152 .70
.63
67 ,
214 .55
53 .71
88 .25

Call Money Rates

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




8.62

3.37

2.88

8.68
6.08

SERIES
4-Nov-92
Chart 5.

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.

3 .40
6 .45
9 .64
8 .82
3 .77
8 .69
6 .19
7 .43
7 .92

3.47
6.74
9.31
8.86
3.79
8.66
6.31
7.06
7.89

3 .63
7 .52
9 .34
8 .85
3 .76
8 .72
6 .73
7 .10
7 .95

3.66
8.66
9.73
8.83
3.75
8.61
6.44
7.13
8.07

3.75
8.49
10.29
8.85
3.78
8.73
6.45
7.24
8.12

2 .95
3 .08
3 .11
3 .46
3 .50
3 .81

2.95
3.06
3.10
3.54
3.59
3.90

2 .94
3 .01
3 .13
3 .74
3 .74
3 .99

2.84
2.99
3.08
3.76
3.79
4.04

2.88
2.98
4.08
3.84
3.84
4.17

Euro-Dollar Deposit Rates

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

ll-Nov-92 18-Nov-92 25-Nov-92 2-Dec-92

Selected Euro-dollar & U.S. Mone> r Market Rates

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

2 .95
3 . 07
-0 .12

2.95
2.91
0.05

2 .94
2 .97
-0 .04

2.84
3.10
-0.26

2.88
3.37
-0.50

3 .46
3 .40
0.. 06

3.54
3.47
0.07

3 .74
3 .63
0 ,.11

3.76
3.66
0.11

3.84
3.75
0.10

3. 46
3. 45
0. 01

3.54
3.62
-0.08

3 .74
3. 60
0. 14

3.76
3.84
-0.07

3.84
3.89
-0.04

3. 47
3. 88
- 0 . 41

3.53
3.97
-0 .44

3. 71
3. 89
- 0 . 18

3.76
4.00
-0.23

3.86
4.33
-0.47

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

3. 46
3. 24
0. 23

3.54
3.43
0.11

3. 74
3. 51
0. 23

3.76
3.83
-0.07

3.84
3.71
0.14

Euro-dollar deposit
Swiss interbank, covered
Differential

3. 46
3. 30
0. 16

3.54
3.39
0.15

3. 74
3. 52
0. 22

3.76
3.68
0.08

3.84
3.78
0.07

8.00
8.08
7.31
4.77
5.91
7.55
8.28
6.94

8. 00
8. 08
7 .34
4. 73
5. 94
7 .52
8. 39
6 .83

8.01
8.18
7.29
4.73
5.94
7.46
8.51
6.83

7.97
8.29
7.34
4.72
5.93
7.50
8.48
6.94

107 .69
129 .90
91 .18
96 .12
105 .01
147 .
.43
156 .
.11
171..19

108 .65
127 .11
89 .76
97 .86
104 .64
147 .11
157 .74
173. 59

108 .81
129 .64
90 .82
98 .93
105..39
150, 86
162. 54
174, 04

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

Interest Arbitrage, 3-Month Funds

Euro-dollar deposit
Interbank sterling (London), covered
Differential
U.S. commercial paper
Canadian finance paper, covered
Differential

Chart 9.

nd Yields

10-year maturity, w h e r e available
Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United States
Chart 10.

7. 68
8. 17
7. 34
4. 80
5. 88
7. 57
8. 39
6. 83

Stock Indices (Wednesday figures)

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

111 .46
130 .32
87 .71
97 .84
104 .47
150 .57
155 .14
168..93

109
130
89
94
104
151
155
170

.52
.06
.43
.39
.85
.75
.40
.98

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



voJg^V/

FEDERAL RESERVE statistical release
H.10(512)

December 7> 1992

FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING

DECEMBER 4, 1992

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

Nov. 30

"AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
"IRELAND
ITALY
JAPAN
MALAYSIA
NETHERLANDS
*NEH 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

0.6822
11.208
32.790
1.2861
5.7341
6.1710
1.2286
5.1210
5.4135
1.5935
208.25
7.7410
28.540
1.6455
1394.00
124.42
2.5355
1.7925
0.5109
6.4925
143.25
1.6375
3.0130
788.20
114.88
44.450
6.8430
1.4375
25.452
25.520
1.5135

0.6843
11.135
32.560
1.2857
5.7531
6.1625
1.2377
5.1050
5.3920
1.5820
206.85
7.7555
28.600
1.6620
1400.50
124.40
2.5350
1.7796
0.5120
6.4910
141.90
1.6365
3.0100
787.80
114.35
N. A.
6.8000
1.4150
25.449
25.525
1.5350

0.6829
11.060
32.370
1.2815
5.7531
6.1000
1.2453
5.0750
5.3620
1.5718
206.00
7.7450
28.750
1.6795
1391.00
124.41
2.5400
1.7679
0.5127
6.4395
140.85
1.6355
2.9960
788.40
113.80
44.460
6.7795
1.3915
25.441
25.530
1.5480

0.6887
11.126
32.560
1.2770
5.7531
6.1420
1.2420
5.1040
5.3785
1.5820
207.40
7.7450
28.750
1.6650
1391.00
124.67
2.5367
1.7782
0.5160
6.4740
141.90
1.6398
3.0000
789.10
114.19
44.460
6.8020
1.4115
N. A.
25.500
1.5650

0.6916
11.235
32.820
1.2782
5.8019
6.1770
1.2320
5.1150
5.4250
1.5975
209.85
7.7445
28.950
1.6547
1400.25
124.90
2.5410
1.7953
0.5171
6.5090
141.92
1.6430
3.0095
788.50
114.85
N. A.
6.8260
1.4342
25.448
25.510
1.5570

MEMO:
^UNITED STATES

DOLLAR

91.06

90.59

90.08

90.25

90.86

COUNTRY

1 CURRENCY UNITS PER DOLLAR)
Dec. 1
Dec. 2
Dec. 3

Dec. 4

•VALUE IS U.S. DOLLARS
**INDEX OF NEIGHTED 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 COWIERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL 1202) 482-1986.
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.