Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : February 10, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

February 10,1992

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, DC. 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

RATIO SCALE
MARCH 1973=100
140
130

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

120
110

100
—

BELGIAN FRANC

90
80

•

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70
280
260

SWISS FRANC

240
—

JAPANESE YEN

220
200
180
160
140

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120
100

CANADIAN DOLLAR

U.K. POUND

90
80
70
60

I
—

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50
200

180

DUTCH GUILDER

160
w

—

140

GERMAN MARK

120
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100
60
55

ITALIAN LIRA

FRENCH FRANC

—

50
—

45
40
35
30

i

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1990

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1992

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1990

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1992

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25

CHART 2

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

PERCENT PER ANNUM
4

CANADIAN DOLLAR

I

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I

U.K. POUND

I

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'

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•

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GERMAN MARK

SWISS FRANC

DUTCH GUILDER

FRENCH FRANC

ITALIAN LIRA




1990

1992

1990

1992

i

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. DOLLARS PER FINE OUNCE
460

U.S. DOLLARS PER FINE OUNCE
460

440

440
12.5 Kg BARS
AFTERNOON FIXING PRICE

420

400

380

380

360

340

340

320
1989




1990

1991

1992

320

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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0
16

16

12

12
CANADA
GERMANY

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0
16

UNITED KINGDOM

12
SWITZERLAND

NETHERLANDS




I
1990

1992

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1990

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1992

'

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CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12

WEIGHTED AVERAGE
FOREIGN RATE

10

SWISS INTERBANK RATE
U.S. CD'S

I

'

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2
16

CANADIAN FINANCE CO.
PAPER
14

12

10
U.K. INTERBANK STERLING

— 8
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I—I—I—I—I—I—I—I—I—L

6
12

10

FRENCH INTERBANK RATE

GERMAN INTERBANK RATE

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1—1—1

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4
12

10
JAPANESE CD RATE

NETHERLANDS INTERBANK RATE

I
1990

1992

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1990

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1992

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CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12




3-MONTH

OVERNIGHT

6-MONTH

7-DAY

1-YEAR

1-MONTH

1990

1992

1990

1992

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
14

PERCENT PER ANNUM
14

12
12
OVERNIGHT
EURO DOLLAR DEPOSITS

3-MONTH
EURO-DOLLAR DEPOSITS
10

10

90-DAY CD'S
DASHED LINE

FEDERAL FUNDS
DASHED LINE

'

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DIFFERENTIAL

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1990

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I—I—I—I—I—I—L

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DIFFERENTIAL

vP

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*"II WV "yy v \

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1992

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1990

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l

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I—I—L
1992

CHART 8

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

ICENT PER ANNUM

16

16

12

12
CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

8

8

U.S. COMMERCIAL PAPER
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

4

I

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I

I

I

I

I

I

I

4

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DIFFERENTIAL

DIFFERENTIAL

+

+

0

0

LJV V" " LV u f UU
' k.

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2
16

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INTERBANK DM
COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

8

8

EURO-DOLLAR DEPOSITS
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

4

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0

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i

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4

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0

DIFFERENTIAL

DIFFERENTIAL

2

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2

2

0

2
16

12

12

+

0
2

2

h

+

\m^

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0

ni

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1990

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1992

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1 1 I
1990

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1992

2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
14

PERCENT PER ANNUM
14 e
UNITED STATES

CANADA
12

12

10

10

6

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1

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14

14

FRANCE

UNITED KINGDOM

12

12

10

10

I

6
10

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1

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> I

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6
10

JAPAN

SWITZERLAND

2
12

6

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2
12

GERMANY

NETHERLANDS

10

10

•

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1990

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1

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1

'
1992

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1990

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1992

CHART 10

STOCK INDICES
WEEKLY SERIES
• SCALE

RATIOS
198

100
200

175

— UNITED STATES

— NETHERLANDS

150
125
100
75

i

50
400
350

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.J APAN

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I

I

I

I

I

I

I

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1990

I

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GERMANY

300
250
200

150

I

100

I

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I

I

J—I

200

175

-

SWITZERLAND

— FRANCE

150
125
100
75

I

50

I

'

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'

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200

175

-

CANADA

UNITED KINGDOM

150
125
100
75

50

I

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1990

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1992

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1992

SERIES
8-Jan-92
Chart

1.

Spot

Noon b u y i n g

Exchange
rates

Rates

(U.S.

and

cents,

March

weekly

base

rates

3-Month

U.S.
Chart

3.

Gold

dollars

exchange v a l u e

indices,

4.

Call

fine

Mar.

120
86
83
177
48
206
161
228
72

Exchange

Rates,

Premium
-3.01
-5.92
-5.44
-7.90
-1.21
-5.56
-3.97
-6.41

in

London,

ounce

3.0325
84.942
18.314
62.433
0.08302
0.79431
55.454
70.084
179.38

Afternoon

.95
.56
.45
.76
.08
.34
.11
.30
.53

119
86
82
175
47
208
159
227
72

.76
.38
.67
.92
.68
.64
.41
.01
.31

119
85
82
176
47
209
159
226
72

.85
.25
.79
.18
.80
.88
.65
.46
.62

119.49
84.66
82.53
175.63
47.66
207.98
159.20
225.47
72.55

107
75
71
172
39
201
146
67
207
61
86

.64
.81
.49
.17
.55
.30
.28
.24
.43
.88
.89

107
74
71
172
39
202
146
67
206
62
86

.64
.68
.55
.31
.62
.47
.39
.35
.73
. 12
.80

107.66
74.37
71.54
172.31
39.63
201.12
146.44
67.40
206.48
62.27
87.15

-2
-5
-5
-7
-1
-5
-3
-6

.81
.68
.28
.39
.02
.29
.48
.24

-2
-5
-5
-7
-0
-5
-3
-6

.69
.76
.30
.43
.97
.31
.33
.21

-2.88
-5.87
-5.43
-7.54
- 1 . 08
-5.51
-3.34
-6.25

355 .14

355.36

1973=100

109.66
74.08
72.81
175.93
40.16
196.61
149.08
68.33
210.41
62.86
83.77

Forward

Price

per

3.0415
8 5 . 538
18. 372
6 2 . 630
0.08327
0.80159
55. 612
70. 391
179 . 5 4

125.44
87.02
86.48
184.35
49.77
210.24
167.00
236.90
75.49

Canadian d o l l a r
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss f r a n c
U.K. pound
Chart

3.0391
8 6 . 670
18. 345
6 2 . 536
0.08307
0.79685
5 5 . 528
7 0 . 563
178 . 7 8

= 100

Belgian franc
Canadian d o l l a r
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swedish krona
Swiss f r a n c
U.K. pound
U.S. d o l l a r
2.

3.0695
8 6 . 845
1 8 . 519
6 3 . 190
0.08376
0.78807
56 . 1 2 1
7 0 . 962
179 . 3 3

5-Feb~92

averages)

Belgian franc
Canadian d o l l a r
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss f r a n c
U.K. pound

Chart

29-Jan~92

3.1835
87.308
19.191
65.534
0.08671
0.80296
58.170
73.638
186.64

1973

Weighted average

22-Jan-92

Indices

Belgian franc
Canadian d o l l a r
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss f r a n c
U.K. pound
Indices,

15-Jan-92

108
75
71
173
39
197
147
67
207
61
86
or

.29
.64
.91
.44
.73
.90
.29
.67
.73
.80
.44

Discount
-2
-5
-5
-7
-1
-5
-3
-6

.96
.75
.31
.56
.12
.39
.72
.38

Fixing
350.72

354 .50

357 . 1 9

Money R a t e s

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




deposits

4.19
4.31
7.85
10.20
9.44
5.30
9.63
6.88
10.25

4
4
7
9
9
5
9
6
10

.01
.01
.55
.91
.46
.39
.35
.88
.35

3
3
7
9
9
5
9
6
10

.87
.89
.13
.78
.40
.48
.18
.88
.59

4
3
6
9
9
5
9
6
10

.01
.96
.93
.98
.49
.57
.39
.88
.73

4.17
4.01
7.10
10.03
9.64
5.58
9.50
6.88
10.55

SERIES
an- 92
Chart

5.

3-Month

Interest

6.

Euro-Dollar

7.

Deposit

Euro-dollar

Overnight Euro-dollar
U.S. f e d e r a l funds
Differential

Chart

8.

Interest

& U.S.

market

Arbitrage,

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

3-Month
covered

covered

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

10.

Stock

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

3.89
4.06
4.08
4.09
4.11
4.41

3.96
4.05
4.05
4.09
4.14
4.45

4.01
4.04
4.04
4.05
4.11
4.50

4
4
4
4
4
4

Rates
4 . 01
4 .01
0.. 0 0

3.89
3.87
0.02

3.96
4.01
-0.04

4.01
4.17
-0.16

4 .05
4 .02
0.. 0 3

4. 01
4 . 03
-0. 01

4.09
4.07
0.02

4.09
4.07
0.01

4.05
4.06
-0.01

4 . 05
4 . 12
- 0 . 07

4 . 01
4 . 03
- 0 . 02

4.09
4.16
-0.07

4.09
4.18
-0.09

4.05
4.15
-0.10

4 . 09
4. 31
- 0 . 22

4 . 03
4. 31
- o . 28

4.08
4.30
-0.22

4.08
4.34
-0.26

4.09
4.31
-0.22

4 . 05
3 . 94
0. 1 1

4 . 01
4 . 02
- 0 . 01

4.09
4.03
0.06

4.09
3.98
0.11

4.05
3.90
0.15

4 . 05

4 . 01
3. 91
0. 10

4.09
3.96
0.13

4.09
3.91
0.18

4.05
3.85
0.20

8.
8.
7.
5.
6.
8.
9.
6.

02
41
94
47
20
39
56
93

8.14
8.36
7.88
5.44
6.19
8.34
9.46
7.09

8.33
8.37
7.89
5.37
6.18
8.35
9.48
7.22

8.37
8.41
7.90
5.51
6.18
8.34
9.41
7.30

121 .77
138 . 5 1
100 .68
122 .83
1 0 8 .. 9 2
136 . 99
1 5 0 . 56
170. 44

121 .26
138 . 1 0
102 .54
121 .27
109 .79
135 31
1 5 2 . 13
169. 22

id

where a v a i l a b l e

19

Yields

7 . 97
8 . 47
8 . 02
5. 45
6 . 32
8 . 50
9 . 55
6 . 80
(Wednesday

.01
.00
.04
.01
.01
.25

4 .31
4 .19
0 .12

0.

maturity,

Indices

4.06
7.24
9.94
9.46
5.14
9.54
7.25
10.56
8.87

3. 86

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

4.07
7.07
9.88
9.40
5.05
9.36
7.30
10.55
8.78

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

4.07
7.16
9.75
9.44
5.18
9.36
7.50
10.56
8.82

.31
.20
.11
.05
.05
.19

Money M
Ma
a rr kk e
e tt

deposits

3-month E u r o - d o l l a r deposit
U.S. 90-day CD's, secondary
Differential

4 .03
7 .33
9 .80
9 .45
5 .29
9 .45
7 .70
10 . 5 9
8 .91

5-Feb~92

Rates
4
4
4
4
4
4

Selected

29-Jan-92

4 .02
7 .38
9 .99
9 .50
5 .31
9 .62
7 .91
10 . 7 1
8 .99

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

22-Jan-92

Rates

U.S. 90-day CD's, secondary market
Canadian f i n a n c e paper
French interbank rate
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 rate
(G-10 C o u n t r i e s )
Chart

15- Jan - 9 2

figures)
117 . 1 6
132 .15
96 . 2 8
128 . 0 5
104 . 3 1
1 3 1 .. 5 0
146, 32
169. 25

119
140
101
119
109
135
152
166

.92
.04
.92
.83
,19
.87
.51
. 61

1 2 0 . 16
138 . 1 5
102 .85
122 .96
1 0 9 .. 4 1
136 ., 7 7
152. 91
1 6 8 . 25

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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
H.10(512)

F e b r u a r y 1 0 , 1992

FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING

FEBRUARY 7 , 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:

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
*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
HON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

MEMO:
^UNITED STATES

DOLLAR

Feb. 3

(CURRENCY UNITS PER DOLLAR)
Feb. 4
Feb. 5
Feb. 6

0.7524
11.260
32.890
1.1731
5.4686
6.2060
1.2795
4.3620
5.4430
1.5975
184.70
7.7570
25.840
1.6667
1201.25
125.95
2.6190
1.7989
0.5400
6.2775
137.70
1.6290
2.7850
766.80
100.62
42.698
5.8120
1.4245
N. A.
25.400
1.7995

0.7490
11.205
32.780
1.1808
5.4686
6.1740
1.2805
4.3420
5.4250
1.5925
184.35
7.7570
25.810
1.6750
1198.50
126.15
2.6170
1.7927
0.5415
6.2495
137.45
1.6270
2.7835
N. A.
100.28
N. A.
5.7885
1.4215
N. A.
N. A.
1.8015

0.7457
11.188
32.740
1.1793
5.4686
6.1700
1.2844
4.3380
5.4180
1.5895
184.15
7.7575
25.800
1.6775
1195.75
125.83
2.6130
1.7896
0.5405
6.2430
137.25
1.6260
2.7890
766.80
100.18
N. A.
5.7810
3.4175
N. A.
N. A.
1.8062

0.7480
11.112
32.520
1.1790
5.4686
6.1275
1.2940
4.3110
5.3730
1.5770
183.05
7.7610
25.800
1.6887
1188.50
125.65
2.6070
1.7777
0.5416
6.2010
136.45
1.6260
2.7790
766.80
99.58
N. A.
5.7410
1.4070
N. A.
N. A.
1.8205

86.94

86.82

86.66

86.14

Feb. 7
0.7510
10.988
32.120
1.1788
5.4686
6.0585
1.3081
4.2615
5.3185
1.5600
181.15
7.7560
25.800
1.7080
1174.00
125.22
2.6020 •
1.7564
0.5423
6.1310
134.75
1.6220
2.7500
768.30
98.45
N. A.
5.6775
1.3900
25.000
25.360
1.8375
85.37

•VALUE I S 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
1976 FEDERAL RESERVE BULLETIN.
THIS RELEASE I S AVAILABLE ONLINE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL ( 2 0 2 ) 3 7 7 - 1 9 8 6 .
FOR INFORMATION ABOUT YOUR SUBSCRIPTION TO THIS RELEASE OR ABOUT RECEIVING I T I N DOCUMENT
FORM, PLEASE CALL PUBLICATIONS SERVICES AT THE FEDERAL RESERVE BOARD AT 1202) 4 5 2 - 3 2 4 4 .