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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts January 27,1992 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, D.C. 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=100 140 140 130 120 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 110 100 BELGIAN FRANC 90 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 70 280 260 SWISS FRANC 240 JAPANESE YEN 220 200 180 160 140 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 CANADIAN DOLLAR U.K. POUND 120 100 90 80 70 60 I 1 I 1 I t I I I 1 I I I I I I I I I I I I I I I I I I I I 50 200 — 180 DUTCH GUILDER 160 V — 140 GERMAN MARK 120 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 100 60 55 50 ITALIAN LIRA FRENCH FRANC 45 40 35 30 1 1 1 1 I I I 1990 I I I I I 1 1 1 1992 I I I i 1990 I i i i I i i i 1992 25 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY % • ' PERCENT PER ANNUM 4 PERCENT PER ANNUM 4 ( CANADIAN DOLLAR I I I I 1 I U.K. POUND I I I ' I I I I I I I I I I I GERMAN MARK JAPANESE YEN SWISS FRANC DUTCH GUILDER FRENCH FRANC ITALIAN LIRA 1 1990 1992 1 1 1 1 1990 I 1 I l I 1 I 1 1 I I 1 I 1 • 1992 I CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. c )LLARS PER FINE OUNCE U.S. DOLLARS PER FINE O l 460 440 12.5 Kg BARS AFTERNOON FIXING PRICE 420 400 380 360 340 320 1990 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 16 16 12 12 FRANCE U.S. FEDERAL FUNDS JAPAN • 0 i l ' ' i I » i i I i i i i i i I i i i I i i i I i i i 16 16 12 12 CANADA GERMANY • i i l ' ' i I i i i I i i i • i i l i 1 • I • • « l ' • ' 0 16 UNITED KINGDOM 12 SWITZERLAND NETHERLANDS i 1990 1992 i I i i 1990 1 I 1 « 1 I 1 » ' 1992 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM 12 PERCENT PER ANNUM 12 U.S. CD'S 10 SWISS INTERBANK RATE WEIGHTED AVERAGE FOREIGN RATE i 2 16 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 CANADIAN FINANCE CO. PAPER 14 12 10 U.K. INTERBANK STERLING 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 12 10 FRENCH INTERBANK RATE GERMAN INTERBANK RATE 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 4 12 JAPANESE CD RATE NETHERLANDS INTERBANK RATE 1990 1992 l l l I I l I 1990 I I l l I I I 1992 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER ANNUM PERCENT PER AN 12 12 3-MONTH OVERNIGHT 10 10 8 8 6 6 4 4 2 12 i iiIiiiIiii i i i I 7-DAY 10 i i i l i i i I i i i 6-MONTH 2 12 10 8 8 6 6 4 4 2 i i i I i » i I ' i ' i i i i i i i l i i i I i i i I i i i 12 1-MONTH 10 1-YEAR 2 12 10 8 8 6 6 4 4 2 i i i I i i 1990 i I i i i I i i 1992 i i i i l 1 i 1990 » I i 1 1 l i ' 1 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 PERCENT PER ANNUM PERCENT PER ANNUM 14 14 12 12 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 10 10 — 8 — 90-DAY CD'S FEDERAL FUNDS DASHED LINE DASHED LINE 4 — i i i I i i ' I i i i I i i L i I DIFFERENTIAL I I i i I I I L I I I I L DIFFERENTIAL A i,N A/ YWV Tlv v M J al,,va*.u i i i I i i 1990 i I 1 1 1 1 1 1 1992 1 J I I I I 1990 _| 1992 L CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY =tCENT PER ANNUM PERCENT PER ANN! 16 16 12 12 INTERBANK STERLING CANADIAN FINANCE CO. PAPER, COVERED COVERED LONDON 8 8 4 0 EURO-DOLLAR DEPOSITS U.S. COMMERCIAL PAPER DASHED LINE i i i 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 i i i 2 2 DIFFERENTIAL DIFFERENTIAL + + 0 2 16 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 12 INTERBANK DM SWISS INTERBANK (SF) COVERED COVERED FRANKFURT 8 8 4 EURO-DOLLAR DEPOSITS • i i I i i 4 EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE i I i i i I i i • ' I ' I • I • I ' • I I ' I I 2 0 2 DIFFERENTIAL DIFFERENTIAL + + 0 2 2 16 12 0 0 0 I I I I I I 1990 I I I I I I I I 1992 • I I I I I I 1990 I I I I I I I I 1992 2 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PE SCENT PER ANNUM 14 UNITED STATES PERCENT PER ANNl 14 CANADA 12 12 10 10 8 8 6 14 i i i I i i i I i i i I i i i i i i l i i i l i i ' l i i i 6 14 FRANCE UNITED KINGDOM 12 12 10 10 8 8 6 10 i i » l i i i l i i i l i i i i i i I i i i l i i i l i i i 6 10 JAPAN SWITZERLAND 8 8 6 6 4 4 2 12 i i i I ' ' • I ' i • I ' ' i iIiiiIiiiIiii i 2 12 GERMANY NETHERLANDS 10 10 8 8 6 6 4 i i i I i i 1990 i I i i i I i i 1992 i I I I I I I 1990 I I I I I I I I 1992 I 4 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SC/ 1986= GALE ) 2 200 175 1 NETHERLANDS , UNITED STATES 1 150 1 125 1 100 75 i 50 400 350 i I i i i I i i i » _L_L I „ _JAPAN i ' i i i i I i i I i I I I GERMANY 300 250 200 150 100 ' i i i i i i l i i i I i i I i 200 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 UNITED KINGDOM — CANADA 1 I __ FRANCE - SWITZERLAND i I I I ' 1990 1 I 1 ' ' I • ' ' 1992 I I I I I « 1990 » ' 1992 SERIES 25~Dec~91 l - J a n - 9 2 C h a r t 1. (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, 3.1649 86.332 19.086 65.226 0.08602 0.78433 57.858 73.452 185.99 124.71 86.05 86.01 183.49 49.38 205.36 166.10 236.30 75.23 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 3 - M o n t h F o r w a r d Exchange 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 Gold P r i c e i n 126 86 86 185 49 208 167 237 75 120 86 83 177 48 206 161 228 72 .95 .56 .45 .76 .08 .34 .11 .30 .53 119 .76 86 .38 82 .67 175 .92 47 .68 208 .64 159 . 4 1 227 . 0 1 72 . 3 1 109 74 72 175 40 196 149 68 210 62 83 .66 . 08 .81 .93 .16 .61 .08 .33 .41 .86 .77 108 .29 75 . 6 4 71 .91 173 . 4 4 39 . 7 3 197 .90 147 .29 67 .67 207 .73 61 .80 86 ..44 107 .64 75 . 8 1 71 .49 172 .17 39 .55 201 .30 146 .28 67 .24 207 .43 61 .88 86 ,.89 - 2 . 92 - 6 . 00 - 5 . 40 - 8 . 22 - 1 . 43 - 5 . 46 - 3 . 99 - 6 . 45 - 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 . 24 358.95 3 5 3 . 28 3 5 0 . 72 3 5 4 . 50 3 5 7 . 19 4.22 4.31 6.99 10.14 9.33 6.29 9.64 6.88 11.25 4 . 19 4 . 33 7 . 20 1 0 . 50 9 . 53 5 . 98 9 . 95 6 . 88 1 0 . 46 4 . 01 4 . 01 7 . 55 9 . 91 9 . 46 5 . 39 9 . 35 6 . 88 1 0 . 35 3 . 81 3 . 89 7 . 13 9 . 78 9 . 40 5 . 48 9 . 18 6 . 88 10. 59 Mar. .11 .00 .96 .45 .94 .22 .89 .76 .77 :1973=100 110 73 73 176 40 194 149 68 210 63 83 .15 .06 .17 .96 .25 .26 .77 .51 .96 .04 .65 Premium o r D i s c o u n t -2.93 -5.77 -5.37 -8.18 -1.52 -5.43 -4.03 -6.39 London, A f t e r n o o n F i x i n g d o l l a r s per f i n e ounce Chart 4. 3.1835 87.308 19.191 65.534 0.08671 0.80296 58.170 73.638 186.64 125 . 4 4 87 . 0 2 86 .48 184 .35 49 .77 210 . 2 4 167 .00 236 .90 75 .49 109.74 73.70 72.89 176.30 40.09 192.91 149.26 68.31 211.27 63.07 84.47 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 U.S. 3.2003 86.285 19.297 65.925 0.08699 0.79525 58.483 73.905 187.33 M a r c h 1973 b a s e r a t e s = 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 Chart 3. 15-Jan-92 22-Jan-92 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 Chart 2. 8-Jan-92 C a l l Money R a t e s U.S. f e d e r a l f u n d s Overnight Euro-dollar deposits Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom 4. 4. 7. 10. 9. 5. 9. 6. 10. 19 31 85 20 44 30 63 88 25 SERIES Chart 5. 25-Dec - 9 1 1 - J a n - 92 3-Month I n t e r e s t 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 deposits Interest 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 covered covered Euro-dollar deposit Swiss i n t e r b a n k , covered Differential 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 .31 5 .09 4 .70 4 .39 4 .33 4 .41 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 4 .31 4 .22 0 . 09 4 .33 4 .19 0 .14 4 .31 4 .19 0 .12 4 .01 4 .01 0 .00 3 .89 3 .81 0 .08 4 .39 4 .25 0 .14 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 .39 4 .36 0..04 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,.46 4..52 - 0 . .05 4 .48 4 .53 - 0 .05 4 .09 4 .31 - 0 .22 4,.03 4,.31 - 0 , .28 4,.08 4.,30 - o . .22 4,.39 4.,10 0. 29 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,.39 4, 04 0. 35 4 .25 3 .93 0 .32 4 .05 3 . 86 0 .19 4,.01 3,.91 0, 10 4,,09 3,.96 0,,13 8 8 8 5 6 8 9 6 7 8 8 5 6 8 9 6 ,.97 .47 .02 .45 .32 .50 .55 ,.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 . 09 117 ..16 132.,15 96,,28 128 ,.05 104,,31 131 ,.50 146, 32 169, 25 1 2 1 . 77 1 3 8 . 51 1 0 0 . 68 1 2 2 . 83 1 0 8 . 92 136 . 99 1 5 0 . 56 1 7 0 . 44 1 2 0 . 77 1 3 8 . 10 102. 54 121 . 27 1 0 9 . 79 1 3 5 . 31 1 5 2 . 13 169. 22 Long Term Government 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 Chart 10. 4 .02 7 .38 9 .99 9 .50 5 .31 9 .62 7 .91 10 . 7 1 8 .99 3 - M o n t h Funds covered Euro-dollar + I n t e r b a n k DM ( F r a n k f u r t ) , Differential Chart 9. 4 .32 7 .50 10 . 2 5 9 .57 5 .76 9 .70 8 .00 10 . 9 2 9 .24 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 market Differential Chart 8. 4 .25 7 .50 10 .09 9 .60 6 .01 9 .70 8 .16 10 . 9 2 9 .28 E u r o - D o l l a r Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 15-Jan -92 22-Jan -92 Rates U.S. 9 0 - d a y 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 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. 8 - J a n - 92 Stock I n d i c e s Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom United States 8 , 34 8 ,.76 8..14 5..70 6 ,.43 8 ,,66 9. 66 6 . 96 .24 .69 . 08 .56 .38 .64 .73 .79 (Wednesday f i g u r e s ) 112. 90 125. 99 93, 81 126 . 68 102. 74 124. 86 140. 66 161. 47 117 ,.05 131,.29 95 .84 129 .66 103 .77 129 .04 146 ,.76 168 .67 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 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 yv H. 101512 ) January 27, 1992 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING JANUARY 24, 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 WON PESETA RUPEE KRONA FRANC DOLLAR BAHT POUND MEMO: "UNITED STATES DOLLAR Jan. 20 H 0 L I D A Y 1 CURRENCY UNITS PER DOLLAR) 1 Jan. 21 Jan. 22 Jan. 23 Jan. 24 0.7504 11.150 32.560 1.1538 5.4641 6.1380 1.2887 4.3130 5.4000 1.5843 183.25 7.7635 25.880 1.6825 1192.00 123.20 2.6820 1.7845 0.5422 6.2150 136.70 1.6300 2.7750 768.20 100.10 42.678 5.7590 1.4037 25.135 25.340 1.8070 0.7513 11.175 32.660 1.1549 5.4641 6.1555 1.2857 4.3215 5.4090 1.5870 183.30 7.7580 25.860 1.6760 1194.00 123.22 2.6760 1.7868 0.5405 6.2320 136.80 1.6330 2.7880 768.80 100.33 42.678 5.7740 1.4060 25.130 25.340 1.8065 0.7449 11.226 32.860 1.1583 5.4641 6.1860 1.2786 4.3390 5.4415 1.5955 184.45 7.7590 25.880 1.6705 1199.75 123.90 2.6775 1.7973 0.5403 6.2630 137.75 1.6340 2.7880 769.00 100.93 42.668 5.8000 1.4170 25.135 25.320 1.7951 0.7398 11.175 32.650 1.1675 5.4668 6.1510 1.2850 4.3280 5.4130 1.5860 183.30 7.7605 25.980 1.6800 1194.50 123.42 2.6650 1.7855 0.5405 6.2480 137.00 163.8500 2.7700 769.10 100.40 42.678 5.7715 1.4095 25.080 25.360 1.8055 86.02 86.13 86.60 86.24 "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. 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 12021 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.