Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : February 3, 1992

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

February 3,1992

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

RATIO SCALE
MARCH 1973=100

140
130
120

140
130
120

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

110

110

100

100
.

90

BELGIAN FRANC

90
80

80
70
280
260
240
220
200

i

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l

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I

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I

i

i

i

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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

i

90

i

I

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I

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l

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i

i

l

i

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i

I

i

i

120
100

CANADIAN DOLLAR

U.K. ROUND

90

80

— I 80

70

70

60

60

50
200

I

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I

'

I

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I

I

I

I

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I

I

I

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I

I

I

I

I

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I

I

50
200
180

DUTCH GUILDER

180

— 160

160
140

w

140

GERMAN MARK

120

120
100
120

i

i

i

I

i

'

i

l

i

i

i

I

i

i

i

i

i

110

I

i

i

i

I

i

i

i

i

i

i

ITALIAN LIRA

FRENCH FRANC

100 —

i

100
60
55
50

90

45

80

40

70

35

60

30

50

•




I

i

' i
1990

I

i

i

'

I

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i i
1992

'

' I

I

i

i i
1990

I

i

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I

i

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1992

25

CHART 2

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

CENT PER ANNUM

4

U.K. POUND

CANADIAN DOLLAR
+

0

4

8

12

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

8

•

i

i

i

i

i

i

i

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i

i

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i

i

i

I

i

i

i

I

i

i

i

'

I

I

I

I

I

I

I

I

I

i i
1990

I

i

i

i

I

i

JAPANESE YEN

GERMAN MARK
4
+

0

4

8
8

•

i

i

i

i

i

i

i

i

i

'

i

i

i

i

i

i

i

I

i

DUTCH GUILDER

SWISS FRANC
4
+

0

4
I

8
4

I

I

I

I

ITALIAN LIRA

FRENCH FRANC
+

0

4

8

12

•

i




l

'

i i
1990

I

i

i

i

I

i

i i
1992

i

i

'

I

i

i i
1992

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S. DOLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE OUNCE

460

460

440

440
12.5 Kg BARS

AFTERNOON FIXING PRICE

420

—

420

400

—

400

380

380 —

360 —

—

360

340

—

340

320

1989




1990

1991

1992

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
CENT PER ANNUM

PERCENT PER AN

16

12

—

U.S. FEDERAL FUNDS

FRANCE

8

JAPAN

4

0

i

i

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I

i

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I

i

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i

I

i

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i

•

i

'

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i

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l

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l

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i

i

I

'

i

i

I

i

' i
1992

16

12

CANADA

GERMANY

8

4

0

i

i

i

l

i

i

i

I

< i

i

I

i

i

'

i

i

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l

'

16

UNITED KINGDOM

12

SWITZERLAND

8
NETHERLANDS
4

0

i

'

» l




« ' '
1990

l

'

i

•

l

i

' '
1992

•

i

i

I

i

i i
1990

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

12

12
U.S. CD'S

10

6

10

—

SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

4 —
'

•




I

'

'

•

I

•
CANADIAN FINANCE CO.
PAPER

U.K. INTERBANK STERLING

GERMAN INTERBANK RATE

FRENCH INTERBANK RATE

JAPANESE CD RATE

NETHERLANDS INTERBANK RATE

1990

1992

I

1

1

1990

1

'

1

1

•

I
1992

CHART 6

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

PERCENT PER ANNUM

12

12




OVERNIGHT

3-MONTH

7-DAY

6-MONTH

1-MONTH

1-YEAR

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

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS
10

10

90-DAY CD S

FEDERAL FUNDS

DASHED LINE

DASHED LINE

I

I

I

I

I

I

L

I

I

I

I

I

i

i

DIFFERENTIAL

J

I

L




i

i
1990

I

I

i

I

I

I

I

I

I

I

I—I—I

I

I—I—L

DIFFERENTIAL

I

I

I

l

l

I

I

I
1992

L

I

I

I

L_l

1990

L

_]
1992

L

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
I 16

12

INTERBANK STERLING
COVERED LONDON

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

0 I

'

I

I

I

I

I

12

CANADIAN FINANCE
CO. PAPER, COVERED

DASHED LINE

'

I

'

I

I

I

I

_L_L

1 1

'

DIFFERENTIAL

'

1 1 1

'

1 1 1

' | |

DIFFERENTIAL

I
2 —1—1

1 1 1 1 1 1 1 | |I 1 1 1

16

1

'

'

'

I

'

1

•

1

1

•

i

I

i

'

i

2
16

12

12

INTERBANK DM

COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

1

1

1

I

1

1

DASHED LINE

1

1

1

I

I

I

I

I

I

I

I

DIFFERENTIAL

'

'

'




I

1

1

1990

1

I

I

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I

•

•

I

•

'

•

I

|

i_L

DIFFERENTIAL

I

1

1

1

I

I

I

•

1992

I

I

I

I

I

I
1990

'

1992

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNU

PE CENT PER ANNUM
14

CANADA

UNITED STATES
12

10

8
i

6

'

I

'

i

i

I

i

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I

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i

i

14

I '

J_JL

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I

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l

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•

1

1

1

1

1

FRANCE

UNITED KINGDOM
12

10

8

6

i

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i

l

i

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l

i

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i

I

i

i

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I

I

10

JAPAN

SWITZERLAND
8

6

4

2

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l

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l

i

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I

i

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•

i

12

GERMANY

NETHERLANDS
10

8

6

4

i

i

i




l

i

i
1990

i

l

i

i

i

I

i

i
1992

i

•

'

i

i

1990

l

1

1

1992

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200

— UNITED STATES

NETHERLANDS

175
150
125

100
75

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l

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'

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I

'

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_L_L

I

50

200

.JAPAN

— GERMANY

175
150
125

100
75

•

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I

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I

i

i

i

l

i

i

i

i

i

i

l

i

i

< I

i

i

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I

i

i

i

50

200

— SWITZERLAND

— FRANCE

175
150
125

100
75

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I

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l

i

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l

i

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i

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

50

200

.CANADA

— UNITED KINGDOM

175
150
125

100
75

•

i

i




I

i

i
1990

i

l

i

i

i

I

i

i
1992

i

i

i

i

I

i

i
1990

i

l

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i

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I

i

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1992

i

50

SERIES
Chart 1.

l-Jan-92

8-Jan-92

15-Jan-92 22-Jan-92 29-Jan-92

Spot Exchange Rates and Indices

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

3.2003
86.285
19.297
65.925
0.08699
0.79525
58.483
73.905
187.33

3.1835
87.308
19.191
65.534
0.08671
0.80296
58.170
73.638
186.64

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

126..11
,00
86 ,
.96
86 ,
185 .45
49 .94
208 .22
167 .89
237 .76
75 .77

125 .44
87 .02
86 .48
184 .35
49 .77
210 .24
167 .00
236 .90
75 .49

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

108..29
75 .64
71 .91
173 .44
39 .73
197 .90
147 .29
67 .67
207 .73
61 .80
86 .44

107 .64
75. 81
71. 49
172. 17
39. 55
201. 30
146 .28
67 .24
207 .43
61. 88
86 .89

107. 64
74. 68
71. 55
172. 31
39. 62
202. 47
146. 39
67. 35
206. 73
62. 12
86. 80

-3 .01
-5 .92
-5 .44
-7 .90
-1 .21
-5 .56
-3 .97
-6 .41

-2 .96
-5 .75
-5 .31
-7 .56
-1 .12
-5 .39
-3 .72
-6 .38

-2..81
-5..68
-5 .28
-7 .39
,
-1 .02
-5 .29
-3 .48
-6 .24

-2..69
-5..76
-5..30
-7..43
-0 .97
-5 .31
-3 .33
-6 .21

350 .72

354 .50

357 .19

355 .14

4 .19
4 .31
7 .85
10 .20
9 .44
5 .30
9 .63
6 .88
10 .25

4 .01
4 .01
7 .55
9 .91
9 .46
5 .39
9 .35
6 .88
10 .35

3 .87
3 .89
7 .13
9 .78
9 .40
5 .48
9 .18
6 .88
10 .59

4 .01
3 .96
6 .93
9 .98
9 .49
5 .57
9 .39
6 .88
10 .73

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

Weighted average exchange value indices, Mar. 1973=100
109. 66
74. 08
72. 81
175. 93
40. 16
196. 61
149. 08
68,.33
210,.41
62..86
83 .77

Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swedish krona
Swiss franc
U.K. pound
U.S. dollar

110. 15
73. 06
73. 17
176. 96
40. 25
194. 26
149. 77
68. 51
210. 96
63. 04
83. 65

Chart 2.

'remium or Discount

3-Month Forward Exchange Rates,

Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound
Chart 3.

-ixing
Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

-2 92
-6,.00
-5..40
-8 .22
-1 .43
-5 .46
-3 .99
-6 .45

353 .28

Call Money Rates

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




4 .19
4 .33
7 .20
10 .50
9 .53
5 .98
9 .95
6 .88
10 . 46

SERIES
Chart 5.

l-Jan-92

4.32
7.50
10.25
9.57
5.76
9.70
8.00
10.92
9.24

4. 02
7. 38
9. 99
9. 50
5. 31
9.62
7. 91
10. 71
8. 99

4.03
7.33
9.80
9.45
5.29
9.45
7.70
10.59
8.91

4.07
7.16
9.75
9.44
5.18
9.36
7.50
10.56
8.82

4 .07
7 .07
9 .88
9 .40
5 .05
9 .36
7 .30
10 .55
8 .78

4.33
6.05
4.67
4.25
4.22
4.28

4. 31
4. 20
4. 11
4. 05
4. 05
4. 19

4.01
4.00
4.04
4.01
4.01
4.25

3.89
4.06
4.08
4.09
4.11
4.41

3 .96
4 .05
4 .05
4 .09
4 .14
4 .45

Euro-Dollar Deposit Rates

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

15-Jan-92 22-Jan-92 29-Jan-92

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-Jan-92

Market Rates

Selected Euro-dollar & U.S.

4.33
4.19
0.14

4. 31
4. 19
0 . 12

4.01
4.01
0.00

3.89
3.87
0.02

3 .96
4 .01
-0 .04

4.25
4.32
-0.07

4. 05
4. 02
0 . 03

4.01
4.03
-0.01

4.09
4.07
0.02

4 .09
4 .07
0 .01

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

4 .25
4 .30
-0 .05

4 .05
4. 12
-0,.07

4. 01
4. 03
-0. 02

4..09
4..16
-0,.07

4. 09
4. 18
-0..09

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

4 .48
4 .53
-0 .05

4. 09
4.,31
-0 22

4. 03
4. 31
-0. 28

4. 08
4. 30
-0. 22

4. 08
4, 34
-0. 26

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

4 .25
4 .04
0 .21

4 .05
3 .94
0 .11

4. 01
4. 02
-0. 01

4..09
4..03
0..06

4,.09
3..98
0..11

Euro-dollar deposit
Swiss interbank, covered
Differential

4 .25
3 .93
0 .32

4,.05
3 86
0,.19

4 .01
3 .91
0 .10

4 .09
3 .96
0 .13

4. 09
3..91
0..18

8 .24
8 .69
8 .08
5 .56
6 .38
8 .64
9 .73
6 .79

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

8 .02
8 .41
7 .94
5 .47
6 .20
8 .39
9 .56
6 .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

117 .05
131 .29
95 .84
129 .66
103 .77
129 .04
146 .76
168 .67

117 .16
132 .15
96 .28
128 .05
104 .31
131 .50
146 .32
169 .25

121 .77
138 .51
100 .68
122 .83
108 .92
136 .99
150 .56
170 .44

121 .26
138 .10
102 .54
121 .27
109 .79
135 .31
152 .13
169 .22

119 .92
140 .04
101 .92
119 .83
109 .19
135 .87
152 .51
166 .61

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

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

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



f

FEDERAL RESERVE statistical release
January 31, 1992

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING

JANUARY 31, 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.
DEWIARK
"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

Jan. 27

1 CURRENCY UNITS PER DOLLAR)
Jan. 30
Jan. 29
Jan. 28

Jan. 31

0.7383
11.355
33.280
1.1731
5.4668
6.2635
1.2637
4.3975
5.5040
1.6165
186.75
7.7585
25.950
1.6500
1213.75
125.40
2.6590
1.8201
0.5365
6.3370
139.45
1.6350
2.8190
769.00
101.78
N. A.
5.8680
1.4375
25.015
25.390
1.7760

0.7443
11.229
32.860
1.1743
5.4686
6.2000
1.2790
4.3550
5.4385
1.5955
184.85
7.7600
25.940
1.6683
1200.75
125.62
2.6640
1.7970
0.5409
6.2720
137.75
1.6330
2.7840
769.00
100.78
N. A.
5.8080
1.4210
25.000
25.380
1.7945

0.7431
11.178
32.750
1.1723
5.4686
6.1715
1.2847
4.3375
5.4190
1.5903
184.15
7.7620
25.920
1.6755
1196.00
125.45
2.6515
1.7913
0.5406
6.2440
137.35
1.6330
2.7875
768.10
100.03
N. A.
5.7810
1.4185
25.00J
25.380
1.8060

0.7480
11.410
33.390
1.1780
5.4686
6.2825
1.2582
4.4200
5.5380
1.6220
188.00
7.7620
25.910
1.6460
1219.00
126.00
2.6360
1.8262
0.5399
6.3525
140.05
1.6340
2.8275
767.10
102.27
N. A.
5.8820
1.4420
25.010
25.390
1.7730

0.7521
11.305
33.090
1.1752
5.4686
6.2290
1.2715
4.3765
5.4800
1.6075
185.75
7.7620
25.950
1.6590
1208.25
125.55
2.6270
1.8095
0.5402
6.3040
138.45
1.6380
2.7910
766.50
101.08
N. A.
5.8380
1.4290
25.035
25.400
1.7890

87.66

86.89

86.60

88.00

87.32

*VALUE IS U.S. DOLLARS
**INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-IO
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 COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL (202) 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.