Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : January 4, 1993

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Selected Interest &
Exchange Rates
Weekly Series of Charts

January 4,1993

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.
5.
6.
7.

CALL MONEY RATES
3-MONTH INTEREST RATES
EURO-DOLLAR DEPOSIT RATES
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

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

120
110
100
.

BELGIAN FRANC

90
80

•

'

i

I

'

i

'

I

i

i

i

I

i

i

i

SWISS FRANC

70
280
260
240

JAPANESE YEN

220
200
180
160

J
90

I

i

I

i

i

i

I

i

i

i

I

i

i

i

140
100
90

U.K. POUND

80

80

70

70
CANADIAN DOLLAR

60

i

50
200

i

I

i

i- i

I

i

i

i

I

i

i

i

I

i

i

i

I

60
i

i

i

I

i

'

i

DUTCH GUILDER

180

50
200
180

160

160

140

—

V

—

GERMAN MARK

120

140

120
I

i

i

i

I

i

i

i

'

i

i

i




I

i

i i
1990

i

I

i

i

i

I

i

i

i

I

i

ITALIAN LIRA

FRENCH FRANC

i

i

I

i

i

i

l

i

i i
1992

1990

1992

CHART 2

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

PERCENT PER ANN I

4
CANADIAN DOLLAR

U.K. POUND

+

0

4
8
12
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

8

GERMAN MARK

JAPANESE YEN

4
+

0
4
8

12

I

» » I

I

I

I

I

I

I

I

I

I

I

I

i

i

i

I

i

i

I

i

i

8

SWISS FRANC

DUTCH GUILDER

4
+

0

4

—

8
1

12
4
+

FRENCH FRANC

1

1

I

1

1

1 1

1

1

1

1

1

1

1

1

1

1

1
1

1

M
1992

ITALIAN LIRA

0

4
8
12
16

i

i

i

I




» '
1990

'

I

'

i

'

I

i

'
1992

'

1

1

1

1

I I
i
1990

1

CHART3

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

420

U.S. DOLLARS PER FINE OUNCE

—

420

12.5 Kg BARS
AFTERNOON FIXING PRICE

400

400

380

—

380

360

—

360

340 —

—

340

320




1989

1990

1991

1992

320

CHART4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANh

)ENT PER ANNUM

16
14
12

FRANCE

10

U.S. FEDERAL FUNDS

8
6

JAPAN

4
2
12

10
GERMANY
8
NETHERLANDS
6

4
16
14
12

UNITED KINGDOM
CANADA

10
8

6

SWITZERLAND

4

2




1990

1992

1990

1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

15

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

I
1990

1992

I

«

I

•»

I I
1990

I

I

I

1

I

I

I I
1992

• 5

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

12

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

10

8

FEDERAL FUNDS

6

90-DAY CD'S

DASHED LINE

DASHED LINE

4

2
2

2

DIFFERENTIAL
1

+
0

1




1990

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

12
COVERED LONDON

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

INTERBANK STERLING

8

4

0

DASHED LINE

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

'

1

I

i

i

i

I

i

i

i

i

'

2
DIFFERENTIAL

DIFFERENTIAL
+

0

2
16

I

'

I

I

'

'

•

I

» '

'

I

'

'

'

i

i

i

I

i

i

i

12
INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

8

0

—

EURO-DOLLAR DEPOSITS

4

EURO-DOLLAR DEPOSITS
DASHED LINE

DASHED LINE

i

i

i

I

i

i

i

I

i

i

i

1

i

i

i

'

i

i

l

i

i

i

l

'

'

I

» I

'

l

'

2
DIFFERENTIAL

DIFFERENTIAL
+

0

2

i

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
1992

»

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

13

10
UNITED
KINGDOM

1 I

I

I

I

I

I

I

1 I

1 I

I

1 I
FRANCE

CANADA

I

I

I

I

SWITZERLAND

JAPAN

NETHERLANDS

GERMANY




1990

1992

I

I

1990

I

I

I

I

I

I

I

I

1992

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
UNITED STATES

UNITED KINGDOM

180
160
140
120

i

i

i

I

i

i

i

I

i

JAPAN

GERMANY

i
165

SWITZERLAND

i

I

i

i

i

I

i

FRANCE

165

150

150

135

135

120

120

105

—I 105

90
150

« i

'

l

i

» i

135

i

'

i

i

l

» i

i

i

i

i

I

'

CANADA

» i

I

> i

i

I

i

i

»

90
150
135

NETHERLANDS

120

120

105

105

90

90

75

i

i

'




l

i

'
1990

i

I

i

i

i

I

i

i
1992

i

i

i

i

I

i

i i
1990

I

i

i

i

I

i

i i
1992

75

SERIES
C h a r t 1.

2-Dec-92

(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,

3.0624
77.839
18.527
63.037
0.07168
0.80381
56.041
70.362
152.65

3.0866
78.375
18.646
63.504
0.07210
0.80372
56.520
70.967
157.50

3.0932
78.385
18.645
63.696
0.07155
0.80846
56.642
71.089
156.47

3.0878
78.870
18.594
63.483
0.07075
0.81075
56.444
70.391
155.37

3.0255
79.089
18.237
62.172
0.06879
0,80332
55.294
68.659
151.48

120.68
77.58
83.49
177.33
41.14
210.46
160.88
226.37
61.74

-121 .63
78 .12
84 .02
178 .64
41 .39
210 .44
162 .26
228 . 3 1
63 .70

121 . 8 9
78 . 1 3
84 . 0 2
179 . 1 8
41 .07
211 . 6 8
162 . 6 1
228 . 7 0
63 . 2 9

121 .67
78 . 6 1
83 .79
178 .58
40 . 6 1
212 .28
162 .04
226 .4 6
62 .84

119 . 2 2
78 . 8 3
82 .18
174 .89
39 .48
210 . 3 3
158 . 7 4
220 .88
61 .27

112 . 8 1
70 . 0 2
75 . 0 1
181 . 7 3
34 .67
210 .83
153 .77
59 .02
214 .86
55 .02
89..89

112 .97
70 .73
75 .03
181,.67
34 .36
212 .23
153,.70
57 ,.48
2 1 3 , .36
54. 78
90. 25

112 . 2 3
72 . 0 3
74 .60
180 . 2 1
33 .85
213 . 4 1
152 .65
57 .42
211 . 0 1
54 .10
91 .88

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
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

U.S.

3 - M o n t h F o r w a r d Exchange R a t e s ,

Gold P r i c e i n

London,

1973=100
112
70
75
181
34
209
153
59
214
55
89

.57
.03
.02
.10
.96
.49
.44
.23
.51
.43
.91

.

Premium o r D i s c o u n t
-4.07
-6.97
-5.03
-10.01
0.23
-4.94
-2.63
-3.29

d o l l a r s per f i n e ounce

C h a r t 4.

Mar.
112.49
70.05
75.09
181.05
35.01
211.19
153.21
59.22
214.19
53.97
90.73

Canadian d o l l a r
French f r a n c
German mark
Italian lira
Japanese y e n
Netherlands g u i l d e r
Swiss f r a n c
U . K . pound
Chart 3.

16-Dec-92 23-Dec-92 30-Dec-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.

9-Dec-92

-3
-6
-5
-10

.95
.92
.14
.25
0..09
- 5 . .02
- 2 65
- 3 , 28

-3.
-7.
-5.
-9.

99
62
49
98
11
15
76
48

71
54
42
02
22
02
73
72

- 3 .40
- 7 . .93
- 5 . 18
- 9 . .36
- 0 . .18
- 4 . .75
- 2 68
- 3 . 65

3 3 5 . 24

3 3 5 . 03

332,.77

93
86
75
91
90
83
59
45
05

2 . 94
2 . 93
6 . 60
9 . 93
8 . 78
3. 81
8 . 57
6 . 15
7 . 15

-0.

-5.
-2.
-3.

-3.
-8.
-5.
-10.

-0.

-5.
-2.
-3.

A f t ernoon F i x i n g
334.65

334. 84

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




deposits

3.37
2.88
7.98
9.74
8.85
3.83
8.68
6.08
6.35

2.
2.
8.
9.
8.
3.
8.
5.
6.

94
86
65
85
87
81
75
48
65

2.
2.
7.
9.
8.
3.
8.
5.
7.

3.
6.
10.
8.
3.
8.
6.
5.

ND
05
46
31
70
84
59
17
88

SERIES
Chart 5.

2 - D e c - 92

3-Month I n t e r e s t

Euro-Dollar

deposits

3-month E u r o - d o l l a r d e p o s i t
U.S. 90-day CD's, secondary market
Differential
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

10.

3 .36
7 .75
11 . 2 9
8 .99
3 .78
8 .51
6 .09
7 .20
8 .10

3 .34
7 .53
10 .78
8 .80
3 .76
8 .27
6 .02
7 .04
7 .81

2 .88
2 .98
4 .08
3 .84
3 .84
4 .17

2 .86
2 .93
3 .84
3 .63
3 .68
4 .00

2 .86
2 .89
3 .55
3 .50
3 .58
3 .99

2 .93
3 .19
3 .36
3 .40
3 .53
3 .99

3 .05
3 .94
3 .28
3 .36
3 .55
3 .94

2 .88
3 .37
- 0 .50

2 .86
2 .94
- 0 .08

2 .86
2 .93
- 0 .07

2 .93
2 .94
- 0 . 01

3 .05
ND
ND

3 .84
3 .75
0 . 10

3 .63
3 .60
0 .02

3 .50
3 .50
0 .00

3 .40
3 .36
0 .04

3 .36
3 .34
0 .02

3 .84
3 .89
- 0 .04

3 .63
3 .71
- 0 .08

3 50
3, 55
- 0 . 05

3 .40
3 .41
- 0 .. 0 1

3 .36
3 .33
0 .03

3 .86
4 .33
- 0 .47

3 .78
4.. 1 1
- 0 . 33

3 70
3. 95
- 0 . 25

3.. 6 1
3..98
- 0 . 37

3 .54
4 .06
- 0 .52

3 .84
3 .71
0..14

3 63
3 66
- 0 . 04

3. 50
3. 34
0. 16

3 . 40
3 . 44
- 0 . 04

3. 36
3. 51
- 0 . 15

3. 84
3. 78
0. 07

3. 63
3. 50
0, 12

3 . 50
3 . 32
0 . 18

3 . 40
3 . 32
0 . 08

3. 36
3. 31
0 . 05

85
27
35
71
81
49
30
80

7 . 92
8 . 24
7 . 36
4 . 73
5 . 62
7 . 45
8 . 30
6 . 80

7.
8.
7.
4.
5.
7.
8.
6.

82
26
28
71
48
39
29
71

7 . 80
8 . 13
7 . 19
4 . 65
5 . 47
7 . 27
8 . 18
6 . 70

1 0 9 . 48
1 2 8 . 75
8 9 . 00
9 9 . 28
1 0 7 . 24
1 5 4 . 95
1 6 0 . 97
176 . 02

1 0 9 . 84
1 2 6 . 62
8 6 . 94
9 9 . 61
1 0 5 . 72
1 5 7 . 04
1 6 1 . 50
1 7 4 . 42

110.
130.
89.
102.
107.
159.
167.
177.

74
43
55
07
40
99
80
17

1 1 0 . 77
1 3 2 . 77
9 0 . 25
9 8 . 88
107 . 35
1 6 2 . 64
1 6 8 . 43
1 7 6 . 92

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
Chart

3 .50
8 .02
10 .79
8 .96
3 .77
8 .62
6 .13
7 .09
8 .06

3 - M o n t h 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

Chart 9.

3 .60
8 .14
10 . 1 8
8 .92
3 .71
8 .72
6 .19
7 .05
8 .02

S e l e c t e d E u r o - d o l l a r & U . S . Money M a r k e t R a t e s

Overnight Euro-dollar
U.S. f e d e r a l f u n d s
Differential

Chart 8.

3 .75
8 .49
10 .29
8 .85
3 .78
8 .73
6 .45
7 .24
8 .12

D e p o s i t Rates

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

16-Dec - 9 2 2 3 - D e c - 9 2 30-Dec - 9 2

Rates

U.S. 90-day CD's, secondary 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
CG-10 C o u n t r i e s )
Chart 6.

9 -Dec~ 92

Stock I n d i c e s

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

7.
8.
7.
4.
5.
7.
8.
6.

97
29
34
72
93
50
48
94

7.
8.
7.
4.
5.
7.
8.
6.

(Wednesday f i g u r e s )
108. 8 1
129. 64
9 0 . 82
9 8 . 93
105. 39
150. 86
162. 54
174. 04

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 ,
T o k y o 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)

January 4, 1993

FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING

JANUARY 1, 1993

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
DOLLAR
AUSTRIA
SCHILLING
BELGIUM
FRANC
CANADA
DOLLAR
CHINA,P.R.
YUAN
DENMARK
KRONE
•EURO COMMUNITY ECU
FINLAND
MARKKA
FRANCE
FRANC
GERMANY
D. MARK
GREECE
DRACHMA
HONG KONG
DOLLAR
INDIA
RUPEE
•IRELAND
POUND
ITALY
LIRA
JAPAN
YEN
MALAYSIA
RINGGIT
NETHERLANDS
GUILDER
•NEW ZEALAND
DOLLAR
NORWAY
KRONE
PORTUGAL
ESCUDO
SINGAPORE
DOLLAR
SOUTH AFRICA
RAND
SOUTH KOREA
WON
SPAIN
PESETA
SRI LANKA
RUPEE
SWEDEN
KRONA
SWITZERLAND
FRANC
TAIWAN
DOLLAR
THAILAND
BAHT
•UNITED KINGDOM! POUND
MEMO:
^•UNITED STATES

DOLLAR

Dec. 28
0.6885
11.308 33.040
1.2617
5.7662
6.1975
1.2132
5.2575
5.4815
1.6077
213.65
7.7405
29.000
1.6416
1446.00
124.75
2.6070
1.8088
0.5148
6.8400
145.75
1.6410
3.0350
792.30
114.15
N. A.
7.1150
1.4550
25.438
25.500
1.5115
91.87

(CURRENCY UNITS PER DOLLAR)
Dec. 29
Dec. 30
Dec. 3 1
0.6895
11.390
33.170
1.2660
5.7662
6.2305
1.2072
5.2865
5.4940
1.6130
213.65
7.7420
29.000
1.6345
1467.00
124.70
2.6120
1.8130
0.5138
6.9270
145.85
1.6430
3.0643
792.80
114.62
46.253
7.0835
1.4630
25.438
25.565
1.5125

0.6894
11.354
33.130
1.2687
5.7662
6.2355
1.2080
5.2415
5.5060
1.6140
214.85
7.7400
29.000
1.6310
1473.00
124.59
2.6120
1.8133
0.5134
6.9075
145.88
1.6410
3.0560
792.40
114.53
46.150
7.0565
1.4595
25.430
25.530
1.5120

0.6890
11.350
33.250
1.2714
5.7662
6.2770
1.2040
5.2475
5.5270
1.6197
215.65
7.7430
29.000
1.6227
1475.00
124.85
2.6180
1.8190
0.5135
6.9480
147.19
1.6450
3.0520
791.50
114.92
46.095
7.0790
1.4660
25.403
25.530
1.5130

92.14

92.19

92.43

Jan. 1

H
0
L
I
D
A
Y

•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. 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 I S AVAILABLE ONLINE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL 1202) 4 8 2 - 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 .