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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts February 18,1992 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, DuC. 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=100 140 130 120 110 100 RATIO SCALE MARCH 1973=100 140 130 120 110 100 FOREIGN CURRENCY PRICE OF U.S. DOLLAR — 90 BELGIAN FRANC 90 80 70 280 260 240 220 200 80 i i i I i i i I i i i I i i i i i i I i i i I » i i I i i i SWISS FRANC JAPANESE YEN — 70 280 260 240 220 200 180 180 160 160 140 140 120 100 • i 90 i I i i i I i i i I i ' i i i i l i i ' I ' i ' I i i ' CANADIAN DOLLAR U.K. POUND 120 100 90 80 80 70 70 60 60 50 i i i I i i i I i i i I i i i I ' I I ' ' ' I I » I I I ' I 200 50 200 180 DUTCH GUILDER 180 160 160 140 140 GERMAN MARK 120 120 • 100 120 110 100 — i i I i i i l i ' i l i ' i i i i I i i i l i i i I i i i 100 60 55 50 ITALIAN LIRA FRENCH FRANC 90 45 80 40 70 35 60 30 50 ' ' i I ' i ' 1990 l i i i I ' i ' 1992 i i i I i i i 1990 I i i i l i i i 1992 25 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM CANADIAN DOLLAR U.K. POUND 12 8 12 GERMAN MARK JAPANESE YEN 4 + 0 4 8 8 8 SWISS FRANC DUTCH GUILDER 4 + 0 4 8 8 4 FRENCH FRANC ITALIAN LIRA + 0 4 — 4 8 12 1990 1992 1990 1992 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 420 420 400 400 380 380 360 360 340 340 320 320 1989 I 1990 1991 1992 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM 16 PERCENT PER ANNUM 16 12 — U.S. FEDERAL FUNDS 12 FRANCE JAPAN 0 i i i I i i i I i i i I i i i i i i I i i i I i i i I < i i 0 16 16 12 12 CANADA GERMANY i i i I i i i l i i i I 0 16 UNITED KINGDOM 12 SWITZERLAND NETHERLANDS i 1990 1992 i l i i i 1990 I i i i l i i i 1992 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES ;ENT PER ANNUM PERCENT PER AN 12 12 WEIGHTED AVERAGE FOREIGN RATE 10 10 8 8 SWISS INTERBANK RATE U.S. CD'S 6 6 4 2 4 i i i I i i i I i i ' I i i I I I I I I I I ' I I I I I I 16 2 16 CANADIAN FINANCE CO. PAPER 14 14 12 12 10 10 U.K. INTERBANK STERLING 8 6 8 I • I • ' I I I I I • I I I I I I I ' I I I I I I 12 10 10 8 8 GERMAN INTERBANK RATE FRENCH INTERBANK RATE 6 4 6 12 6 1 ' ' I 1 1 1 I 1 ' I I I I ' I I I I I I 12 4 12 10 10 JAPANESE CD RATE 8 8 NETHERLANDS INTERBANK RATE 6 4 6 • ' I ' I ' 1990 I I ' ' I • I 1992 • ' ' ' • • ' 1990 I • ' ' I • • • 1992 4 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER ANNUM PERCENT PER AN 12 12 OVERNIGHT 10 3-MONTH 10 8 8 6 6 4 4 2 12 i i i I i ' • I ' i ' I i i i < i l 7-DAY 10 • i ' I i i i l i i i 6-MONTH 2 12 10 8 8 6 6 4 4 2 12 i i i I i i i I i ' i I i i i i i ' I 1-MONTH 10 i i i I i ' ' l i i i 1-YEAR 2 12 10 8 8 6 6 4 4 2 ' i • I ' ' 1990 ' I ' » » I i i 1992 i ' i i I i i 1990 i I i i i l ' i 1992 ' 2 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER ANNUM PERCENT PER ANH 14 12 OVERNIGHT EURO-DOLLAR DEPOSITS 3-MONTH EURO-DOLLAR DEPOSITS 10 8 FEDERAL FUNDS DASHED LINE 6 90-DAY CD'S DASHED LINE 4 2 2 J—l—l—I—l—l I I l i i l i J i i L_L J—I—I I I L__L DIFFERENTIAL DIFFERENTIAL 1 f + 0 1 J I l_L 1990 mft. . m m n J—I I I L_L 1992 J I 1990 L 1992 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 16 PERCENT PER ANNUM 16 12 12 I— I i INTERBANK STERLING COVERED LONDON CANADIAN FINANCE CO. PAPER, COVERED EURO-DOLLAR DEPOSITS DASHED LINE U.S. COMMERCIAL PAPER DASHED LINE I I I I I I I i i I I I i I I I I I I I I I I I I I I I I I I I I I I I I I I I I I DIFFERENTIAL DIFFERENTIAL 2 16 I I I I I I I I I I I I I I I I 16 12 12 — I I INTERBANK DM COVERED FRANKFURT SWISS INTERBANK (SF) COVERED EURO-DOLLAR DEPOSITS DASHED LINE EURO-DOLLAR DEPOSITS DASHED LINE I I I I I I I I I I I I I i i I I I I I 1990 1 I I i i i I i i i I i i I » 1 I I 1 I i DIFFERENTIAL DIFFERENTIAL I i I I I 1 1 1 1 1992 I I » 1 I 1 I 1990 1992 » CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES 14 3CENT PER ANNUM PERCENT PER ANN! UNITED STATES 14 CANADA 12 12 10 10 8 6 8 i ' i I i i i I i i i I i i i i i i I i i i I i i i I i i i 14 6 14 UNITED KINGDOM FRANCE 12 12 10 10 8 6 10 8 i i i I i ' i l ' i i l i i i SWITZERLAND i i i I i i i I i i i I i i i 6 10 JAPAN 8 8 6 6 4 4 2 12 • i i I ' i ' l ' i ' l i i NETHERLANDS i i i I i i i I i i i i i i i 2 12 GERMANY 10 10 8 8 6 6 4 i I i i i 1990 I i i i I i i i 1992 • i ' I i ' ' 1990 l • ' i l i i ' 1992 4 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 200 RATIO SCALE 1986=100 200 — UNITED STATES 175 — 175 NETHERLANDS 150 150 125 125 100 100 75 400 350 200 175 GERMANY JAPAN 150 300 125 250 100 200 150 100 200 200 175 175 FRANCE SWITZERLAND 150 150 125 125 100 100 200 -j 75 200 „ CANADA 175 UNITED KINGDOM 150 150 125 125 100 100 1990 1992 1990 1992 SERIES 15-Jan-92 22-Jan-92 29-Jan-92 5-Feb-92 Chart 1. Spot 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 m a r k 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 b a s e r a t e s 3.0695 86.845 18.519 63.190 0.08376 0.78807 56.121 70.962 179.33 3.0391 86.670 18.345 62.536 0.08307 0.79685 55.528 70.563 178.78 3.0415 85.538 18.372 62.630 0.08327 0.80159 55.612 70.391 179.54 3.0325 84.942 18.314 62.433 0.08302 0.79431 55.454 70.084 179.38 3.0708 84.758 18.560 63.246 0.08402 0.79095 56.165 70.792 181.44 120.95 86.56 83.45 177.76 48.08 206.34 161.11 228.30 72.53 119.76 86.38 82.67 175.92 47.68 208.64 159.41 227.01 72.31 119.85 85.25 82.79 176.18 47.80 209.88 159.65 226.46 72.62 119.49 84.66 82.53 175.63 47.66 207.98 159.20 225.47 72.55 121.01 84.48 83.63 177.92 48.23 207.10 161.24 227.75 73.38 107 . 6 4 74 . 6 8 71 .55 172 . 3 1 39 . 6 2 202 . 4 7 146 . 3 9 67 . 3 5 206 . 7 3 62 . 1 2 86 ,. 8 0 107 . 6 6 74 . 3 7 71 .54 172 . 3 1 39 . 6 3 2 0 1 ..12 146 . 44 67 . 40 206 . 48 6 2 . 27 87 . 15 108 . 3 0 73 . 6 5 72 . 06 173 . 5 5 39 .84 198, , 6 2 147 . 35 6 7 . 75 207 . 13 6 2 . 58 86 . 39 -2.81 - 2 .69 - 5 .76 - 5 .30 - 7 ..43 - 0 . .97 - 5 , 31 - 3 . 33 - 6 . 21 - 2 .88 - 5 .87 - 5 .43 - 7 ..54 - 1 ..08 - 5 . 51 - 3 . 34 - 6 . 25 - 3 . 01 - 5 .96 - 5 .49 - 7 ,. 7 1 - 1 . 25 - 5 , 57 - 3 . 34 - 6 . 19 354.50 357.19 355.14 355.36 356.00 4 01 4 01 3.87 3.89 7.13 9.78 9.40 5.48 9.18 6.88 10.59 4.01 3.96 6.93 98 49 57 39 4.17 4.01 7.10 10.03 9.64 5.58 9.50 6.88 10.55 3 93 3 96 7 15 9 98 9 56 5. 66 9. 43 6 . 68 10.38 = 100 Belgian franc Canadian d o l l a r French f r a n c German m a r k Italian lira Japanese yen Netherlands g u i l d e r Swiss f r a n c U.K. pound Weighted average 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 yen Netherlands g u i l d e r Swedish krona Swiss f r a n c U.K. pound U.S. d o l l a r Chart 2. U.S. Chart 3. 3 Month F o r w a r d Exchange R a t e s , 4. per Call fine London, ounce 1973=100 107.64 75.81 71.49 172.17 39.55 201.30 146.28 67.24 207.43 61.88 86.89 Premium o r D i s c o u n t -2.96 -5.75 -5.31 - 7 56 - 1 . 12 -5.39 -3.72 -6.38 Gold P r i c e i n dollars Mar. 108.29 75.64 71.91 173.44 39.73 197.90 147.29 67.67 207.73 61.80 86.44 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 12-Feb-92 Exchange Rates and I n d i c e s -5.68 -5.28 -7.39 -1.02 -5.29 -3.48 -6.24 Afternoon Fixing 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 deposits 7 . 55 9 . 91 9 . 46 5 . 39 9 . 35 6.88 10.35 6.88 10.73 SERIES Chart 5. 15-Jan~92 2 2 - J a n - 9 2 2 9 - J a n - 9 2 5 - F e b - 9 2 3-Month I n t e r e s t Rates U.S. 90-day CD's, s e c o n d a r y 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 r a t e 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 CG-10 C o u n t r i e s ) Chart 6. Euro-Dollar S e l e c t e d E u r o - d o l l a r & U.S. Overnight E u r o - d o l l a r U.S. f e d e r a l f u n d s Differential Interest Arbitrage, 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 3. 4. 4. 4. 4. 4. 89 06 08 09 11 41 4 . 06 7 . 24 9 . 94 9 . 46 5 . 14 9 . 54 7 . 25 1 0 . 56 8 . 87 3 . 94 7 . 26 9 . 96 9 . 49 5 . 24 9 . 52 7 . 20 1 0 . 41 8 . 90 3. 4. 4. 4. 4. 4. 96 05 05 09 14 45 4. 4. 4. 4. 4. 4. 01 04 04 05 11 50 3. 3. 3. 3. 3. 4. 96 94 93 93 99 33 3. 96 4. 01 - 0 . 04 4 . 01 4 . 17 - 0 . 16 3. 96 3. 93 0. 03 4.01 4.03 -0.01 4 . 09 4 . 07 0. 02 4. 09 4. 07 0 . 01 4 . 05 4 . 06 - 0 . 01 3..93 3..94 - 0 . .01 4.01 4.03 -0.02 4, 09 4. 16 - 0 07 4,. 09 4..18 - 0 . 09 4 . 05 4 . 15 - 0 . 10 3 .93 4.. 06 - 0 . .13 4.03 4.31 -0.28 4. 08 4 30 - 0 . 22 4.. 08 4..34 - 0 ..26 4 . 09 4 . 31 - 0 . 22 4 .00 4 .20 - 0 .20 4.01 4.02 -0.01 4 .09 4 .03 0 .06 4 .09 3 .98 0 .11 4 . 05 3 . 90 0. 15 3 .93 3 .87 0 .06 4.01 3.91 0.10 4 .09 3 .96 0 .13 4 .09 3 .91 0 .18 4 . 05 3 . 85 0. 20 3 .93 3 .80 0 .13 8.02 8.41 7.94 5.47 6.20 8.39 9.56 6.93 8 8 7 5 6 8 9 7 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 8 .29 8 .45 7 .87 5 .56 6 .04 8 .30 9 .35 7 .23 121.77 138.51 100.68 122.83 108.92 136.99 150.56 170.44 121 138 102 121 109 135 152 169 3 - M o n t h Funds covered covered Euro-dollar deposit Swiss i n t e r b a n k , c o v e r e d Differential 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 10. 4.01 4.00 4.04 4.01 4.01 4.25 4 . 07 7 . 07 9 . 88 9 . 40 5 . 05 9 . 36 7 . 30 1 0 . 55 8 . 78 3 . 89 3 . 87 0. 02 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 07 16 75 44 18 36 50 56 82 4.01 4.01 0.00 deposits Euro-dollar deposit Interbank s t e r l i n g (London), Differential Chart 9. 4. 7. 9. 9. 5. 9. 7. 10. 8. Money M a r k e t R a t e s 3-month E u r o - d o l l a r d e p o s i t U.S. 9 0 - d a y C D ' s , s e c o n d a r y m a r k e t Di f f e r e n t i a l Chart 8. 4.03 7.33 9.80 9.45 5.29 9.45 7.70 10.59 8.91 D e p o s i t Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 12-Feb-92 Stock Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom United States Indices .14 .36 .88 .44 .19 .34 , .46 .09 (Wednesday f i g u r e s ) .26 .10 .54 .27 .79 .31 .13 .22 119 140 101 119 109 135 152 166 .92 .04 .92 .83 .19 .87 .51 .61 120 138 102 122 109 136 152 168 .16 .15 .85 .96 .41 .77 .91 .25 119 138 102 120 109 138 152 169 .83 .28 .39 .59 .79 .65 .32 .48 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 , CAC G e n e r a l , FAZ A k t i e n , 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 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) February 19, 1992 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING FEBRUARY 14, 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 DOLLAR SCHILLING FRANC DOLLAR YUAN KRONE ECU MARKKA FRANC D. MARK DRACHMA DOLLAR RUPEE POUND LIRA YEN RINGGIT GUILDER DOLLAR KRONE ESCUDO DOLLAR RAND SOUTH KOREA WON SPAIN PESETA SRI LANKA RUPEE SWEDEN KRONA SWITZERLAND FRANC TAIWAN DOLLAR THAILAND BAHT •UNITED KINGDOM POUND MEMO: ••UNITED STATES DOLLAR Feb. 10 (CURRENCY UNITS PER DOLLAR ) Feb. 11 Feb. 12 Feb. 13 Feb. 14 0.7481 11.050 32.360 1.1767 5.4616 6.0910 1.3073 4.2845 5.3535 1.5715 182.35 7.7465 25.820 1.6973 1182.75 126.70 2.6030 1.7692 0.5412 6.1655 135.85 1.6205 2.7780 768.80 99.03 N.A. 5.7105 1.4033 25.015 25.340 1.8255 0.7510 11.181 32.770 1.1825 5.4709 6.1735 1.2823 4.3425 5.4235 1.5920 184.25 7.7490 25.910 1.6755 1197.00 126.93 2.6085 1.7919 0.5408 6.2470 137.10 1.6280 2.7825 769.50 100.27 N.A. 5.7870 1.4245 25.020 25.380 1.8013 0.7514 11.323 33.070 1.1822 5.4802 6.2340 1.2720 4.3850 5.4745 1.6060 185.90 7.7540 25.940 1.6575 1209.00 127.68 2.6170 1.8081 0.5397 6.3035 138.40 1.6320 2.8090 769.50 101.20 42.798 5.8390 1.4392 25.009 25.400 1.7870 0.7535 11.426 33.410 1.1852 5.4837 6.2800 1.2590 4.4180 5.5280 1.6230 187.65 7.7560 25.920 1.6455 1218.25 127.68 2.6160 1.8267 0.5407 6.3565 139.55 1.6410 2.8200 768.50 102.00 N.A. 5.8865 1.4595 24.971 25.430 1.7725 0.7540 11.456 33.510 1.1870 5.4837 6.3045 1.2557 4.4390 5.5440 1.6285 187.90 7.7560 25.900 1.6390 1222.50 127.93 2.5970 1.8315 0.5415 6.3785 140.45 1.6375 2.8180 768.80 102.28 42.868 5.9060 1.4680 24.990 25.460 1.7685 85.96 86.89 87.57 88.24 88.49 •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 (202) 452-3244.
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