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(516/517) % Selected Interest & Exchange Rates Weekly Series of Charts January 6,1992 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, DC. 20551 3 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. 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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=100 140 140 130 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 100 _ BELGIAN FRANC 90 80 i _ i l i i i l i i i l i • i I J_L I I I I I I l l l SWISS FRANC JAPANESE YEN 70 280 260 240 220 200 180 160 140 i i ' I i i i l i i i l 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 i — i I i i i I i i i I J—L I I I I I I I I I I I ' I 50 200 180 DUTCH GUILDER 160 w 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 l i i i l i i 100 60 55 ITALIAN LIRA FRENCH FRANC i 50 45 40 35 30 ' i i I ' I 1990 ' I l l l I l l 1992 l I 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 =tCENT PER ANNUM PERCENT PER ANN! CANADIAN DOLLAR U.K. POUND 8 i 12 8 i ' I i i i I i ' i I i i i ' GERMAN MARK i i I ' i i I i • i I i i i JAPANESE YEN 4 — + 0 4 8 I I ' I ' ' ' I I ' ' I • 8 _L_L 1 SWISS FRANC 1 1 I I 1 1 I 1 i i I i i i 1 1 1 1 i i 1 i i i 1 1 1990 1 1 i i 1 i DUTCH GUILDER 4 + 0 % 4 8 4 I I I I I I I I I I FRENCH FRANC 1 1 1 1 1 ITALIAN LIRA + 0 4 8 12 1 1 1 I 1 1 1990 1 I 1 1 1 I I I I 1992 1 1 1 1 1 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 PERCENT PER ANNUM PERCENT PER ANNUM 16 16 12 FRANCE U.S. FEDERAL FUNDS 12 JAPAN i 0 i i l i i ' I ' ' • i 16 i i I i < i I i • • I • _L_L 0 16 12 12 CANADA GERMANY ' i I I » » I I I I 0 16 UNITED KINGDOM 12 SWITZERLAND NETHERLANDS 0 ' 1 1 I 1 1 1 1990 I ' 1 I ' 1992 • ' I • • 1990 • I • ' • I • • 1992 CHARTS 3-MONTH INTEREST RATES WEEKLY SERIES :ENT PER ANNUM PERCENT PER AN 12 12 U.S. CD'S 10 10 8 8 SWISS INTERBANK RATE 6 WEIGHTED AVERAGE FOREIGN RATE 6 4 2 16 4 i i i I i i i I ' ' i I ' i ' i i ' I i i i I • i i I i i ' 2 16 CANADIAN FINANCE CO. PAPER 14 14 12 12 10 10 U.K. INTERBANK STERLING 8 6 12 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 10 10 8 8 GERMAN INTERBANK RATE FRENCH INTERBANK RATE 6 4 12 6 12 6 I I l I l l l I l I I I I I l • i i I i i i I i i ' I i » ' 10 4 12 10 JAPANESE CD RATE 8 8 NETHERLANDS INTERBANK RATE 6 4 6 i i I i i 1990 i I i ' i I i ' 1992 i i i i I i i 1990 ' I ' i i I ' i 1992 4 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER ANNUM OVERNIGHT 10 3-MONTH 8 6 4 • 2 12 1 • I 1 1 1 I 1 1 1 I I I I » I • I I 7-DAY 10 • ' I I ' I 6-MONTH 8 6 4 2 12 I I I I I I I I I I I I I | i I i 1-MONTH 10 i i l ' i ' I I i i ' ! 1-YEAR 8 6 4 2 • • • I • • ' 1990 ' • • • ' • • 1992 I I I i i 1990 i 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 EURO-DOLLAR DEPOSITS 3-MONTH EURO-DOLLAR DEPOSITS 10 FEDERAL FUNDS 90-DAY CD'S DASHED LINE DASHED LINE 4 — J 1 1 I 1 1 I I I I I I I I J—I I I i i I J—I I DIFFERENTIAL DIFFERENTIAL M a / A AA.IA A L.Kf f Y i i i l i i 1990 i i— i — i i — 1 i i i 1992 J — I — i — i — i 1990 I i i i l i i 1992 L CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY SCENT PER ANNUM PERCENT PER ANNl 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 1 1 1 I 1 » 4 DASHED LINE 1 1 I 1 i I i ' i I I I I ' I ' I ' I I 1 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 12 2 16 SWISS INTERBANK (SF) COVERED COVERED FRANKFURT 8 8 4 EURO DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE ' • ' I • ' 4 DASHED LINE ' I • ' • I I I I I I I I I I I I I I I I I 2 0 2 DIFFERENTIAL DIFFERENTIAL + + 0 2 I 12 INTERBANK DM 0 0 0 • I I I I I I 1990 I » 1 1 I 1992 I I I I I I I 1990 I I 1992 2 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM 14 UNITED STATES PERCENT PER ANNUM 14 CANADA 12 12 10 10 I 6 14 I I I I I I I I I UNITED KINGDOM i I—L_i i_J i i i I i i i FRANCE 12 6 14 12 10 10 I 6 10 I I I ' ' I I ' ' ' I I I I -1 ' SWITZERLAND i i i i ' I ' ' ' I ' ' I I I I 6 10 JAPAN i • • i i i i 12 NETHERLANDS i i I i i i l i i » i i i i GERMANY 2 12 10 10 ' i ' I ' ' 1990 ' l • • • i • J_L 1992 I I I I I I 1990 I I I I I I I I 1992 I CHART 10 STOCK INDICES WEEKLY SERIES >SCALE RATIOS 100 198 200 175 — UNITED STATES .NETHERLANDS 150 125 100 75 50 400 I 350 — JAPAN 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 l i i i l i i ' ' 1990 I i ' i I i i 1992 — GERMANY 300 250 200 150 I 100 I I I I I I I I I I I I I I I 200 175 — SWITZERLAND — FRANCE 150 125 100 75 50 I I I I I I I I I I ' I I _L_L i i i 200 175 .CANADA — UNITED KINGDOM 150 125 100 75 50 i i i I i i 1990 i I i i i l i i 1992 ' ' i i I i i SERIES 4-Dec-91 C h a r t 1. 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 (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, Weighted a v e r a g e 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 y e n Netherlands g u i l d e r Swedish k r o n a 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 , 3.0769 87.405 18.546 63.348 0.08392 0.77693 56.207 71.633 181.88 3.1649 86.332 19.086 65.226 0.08602 0.78433 57.858 73.452 185.99 118 .36 87 .85 81 .58 174 .05 47 .07 201,.75 157 ..56 225. 07 71 . 65 121 .18 87 . 6 3 83 .55 178 .24 48 .09 203 .53 161 ..39 230,.60 7 3 . 00 121 .25 87 .12 83 .57 178 .20 48..17 203. .43 161. 36 2 3 0 . 45 7 3 . 57 124 . 7 1 86 .05 86 ,. 0 1 183 .49 49,.38 205. .36 166 ..10 236 . 30 7 5 . 23 126 86 86 185 49 208 167 237 75 108 . 4 1 76 . 04 71 . 9 1 173 .67 39 .74 194 .45 147 .30 67 .58 209 .44 62 .67 86 .26 109 .74 73 .70 72 .89 176 .30 40 .09 192 . 9 1 149 .26 68 . 3 1 211 .27 63 .07 84 .47 110 .15 73 .06 73 .17 176 .96 40 .25 194 .26 149 .77 68 . 5 1 210 .96 63 .04 83 .65 - 2 .58 - 5 .37 - 4 .90 -7 .61 - 1 .43 - 5 .05 - 3 .46 - 5 . .82 - 2 .71 - 5 .35 - 5 . 00 - 7 .55 - 1 ,.50 - 5 .22 - 3 . .60 - 5 . .97 - 2 .93 - 5 .77 - 5 .37 - 8 . 18 - 1 ..52 - 5 . .43 - 4 ,.03 - 6 . 39 - 2 .92 - 6 .00 - 5 .40 - 8 ,.22 - 1 ..43 - 5 . .46 - 3 . .99 - 6 . 45 365.77 367 . 55 3 5 8 . 70 3 5 8 . 95 3 5 3 . 28 4.79 4.84 7.28 9.74 9.14 6.24 9.28 6.48 10.39 4 . 54 4 . 54 7 . 38 1 0 . 01 9 . 05 6 . 34 9 . 37 6 . 38 1 0 . 59 4 . 49 4 . 39 7 . 23 9 . 59 8 . 96 6 . 33 9 . 38 6 . 78 1 0 . 94 4 . 22 4 . 31 6 . 99 1 0 . 14 9 . 33 6 . 29 9 . 64 6 . 88 11 . 25 4 . 19 4 . 33 7 . 20 10. 50 9 . 53 5 . 98 9 . 95 6 . 88 10. 46 Mar. 3.2003 86.285 19.297 65.925 0.08699 0.79525 58.483 73.905 187.33 Gold P r i c e i n London, A f t e r n o o n .11 .00 .96 .45 .94 .22 .89 ,.76 .77 1973=100 108 .40 76 .56 71 . 9 3 173 .80 39 .70 194 .67 147 . 4 1 67 .35 209 .68 62 .17 86 . 3 2 Vemium or D i s c o u n t -2.51 -4.93 -4.63 -7.36 - 1 .14 -4.69 -3.26 -5.59 d o l l a r s p e r f i n e ounce Chart 4. 3.0753 87.920 18.541 63.359 0.08378 0.77734 56.219 71 . 6 7 9 180.48 107.38 77.98 71.19 171.91 39.41 195.93 145.94 66.70 207.61 61.89 87.93 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. 3.0037 88.143 18.104 61.872 0.08201 0.77052 54.885 69.961 177.14 M a r c h 1973 base 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 y e n Netherlands g u i l d e r Swiss f r a n c U . K . pound Chart 2 l l - D e c - 9 1 18-Dec-91 25-Dec-91 l - J a n - 9 2 ixing 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 SERIES Chart 5. 4-Dec-91 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 (G-10 C o u n t r i e s ) Chart 6. 4.84 7.60 9.75 9.38 6.16 9.41 7.90 10.59 9.12 4 .57 7 .47 9 .93 9 .44 6 .11 9 .52 7 .93 10 . 6 3 9 .22 4 .45 7 .46 9 .79 9 .44 6 .06 9 .57 7 .95 10 . 6 3 9 .17 4 .25 7 .50 10 .09 9 .60 6 .01 9 .70 8 .16 10 . 9 2 9 .28 4.84 4,76 5.14 4.86 4.78 4.88 4 .54 4 .59 4 .90 4 .56 4 .49 4 .60 4 .39 4 .43 4 .78 4 .44 4 .40 4 .50 4 .31 5 .09 4 .70 4 .39 4 .33 4 .41 4 6 4 4 4 4 4 .32 7 .50 10 .25 9 .57 5 .76 9 .70 8 .00 10 .92 9 .24 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. l l - D e c - 9 1 18-Dec-91 25-Dec-91 l - J a n - 9 2 .33 .05 .67 .25 .22 .28 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 deposits U.S. f e d e r a l f u n d s Differential 4.84 4.79 0.05 4 .54 4 .54 - 0 .00 4 .39 4 .49 - 0 .10 4 .31 4 .22 0 .09 4, 33 4.,19 0.,14 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, s e c o n d a r y market Differential 4.86 4.84 0.03 4 .56 4 .57 -0 .01 4 .44 4 .45 -0 .01 4 .39 4 .25 0 .14 4,,25 4,.32 - 0 .07 4.86 4.85 0.01 4 .56 4 .65 - 0 .09 4 .44 4 .50 - 0 .06 4 .39 4 .36 0 .04 4,,25 4.,30 - 0 . 05 4.91 5.05 -0.14 4 .70 4 .84 - 0 .14 4 .58 4 .70 - 0 .12 4 .46 4 .52 - 0 .05 4..48 4.,53 - 0 . .05 4.86 4.64 0.22 4 .56 4 .43 0 .14 4 .44 4 .32 0 .12 4 .39 4 .10 0 .29 4..25 4,.04 0..21 4.86 4.57 0.29 4 .56 4 .40 0 .16 4 .44 4 .28 0 .16 4 .39 4 .04 0 .35 4..25 3.,93 0..32 8 .51 8 .91 8 .26 5 .75 6 .62 8 .77 9 .69 7 .22 8 .48 8 .75 8 .20 5 .73 6 .47 8 .69 9 .56 7 .20 8 .34 8 .76 8 .14 5 .70 6 .43 8 .66 9 .66 6 .96 8,,24 8 ..69 8 . 08 5. 56 6 . 38 8 . 64 9 . 73 6 . 79 .70 .96 .03 .03 .87 .26 .38 .30 111,.06 128,.30 95,,61 128,.85 103,.77 126,,16 142,.27 155,.44 Chart 8. 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 p a p e r , Differential 3 - M o n t h Funds covered covered E u r o - d o l l a r -depaci * I n t e r b a n k DM ( F r a n k f u r t ) , Differential covered Euro-dollar deposit Swiss i n t e r b a n k , c o v e r e d Differential Chart 9. 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 8.53 8.96 8.31 5.89 6.65 8.82 9.89 7.29 Canada France Germany Japan Switzerland Netherlands U n i t e d Kingdom United States C h a r t 10. Stock I n d i c e s Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom United States (Wednesday f i g u r e s ) 114 .22 130 .26 96 . 0 1 130 .70 103 .98 126,.56 142 .72 154,,47 111 123 94 126 101 124 140 153 112 125 93 126 102 124 140 161 .90 .99 .81 .68 .74 .86 .66 .47 117 131 95 129 103 129 146 168 .05 .29 .84 .66 .77 .04 .76 .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 , 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) FOREIGN EXCHANGE RATES FOR THE KEEK ENDING JANUARY 3, 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: MONETARY UNIT Dec. 30 •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 0.7597 10.690 31.320 1.1584 5.4478 5.9150 1.3350 4.1400 5.1905 1.5198 175.60 7.7805 25.790 1.7488 1151.25 125.75 2.7330 1.7134 0.5405 5.9840 135.00 1.6310 2.7470 764.70 96.80 N. A. 5.5540 1.3555 25.751 N. A. 1.8665 0.7593 10.704 31.290 1.1558 5.4478 5.9220 1.3335 4.1420 5.1950 1.5200 175.85 7.7800 25.760 1.7470 1151.25 124.90 2.7220 1.7126 0.5403 5.9850 134.65 1.6210 2.7490 765.30 95.98 N. A. 5.5550 1.3615 25.748 N. A. 1.8660 MEMO: ^UNITED STATES DOLLAR 83.78 83.71 COUNTRY (CURRENCY UNITS PER DOLLAR) Dec. 31 Jan. 1 Jan. 2 H 0 L I D A Y Jan. 3 0.7565 10.756 31.450 1.1515 5.4478 5.9480 1.3322 4.1540 5.2215 1.5283 176.65 7.7765 25.790 1.7390 1156.00 124.50 2.7230 1.7222 0.5375 6.0240 134.55 1.6260 2.7580 765.30 97.13 N. A. 5.5780 1.3650 N. A. 25.250 1.8680 0.7572 10.885 31.850 1.1473 5.4559 6.0195 1.3155 4.1990 5.2800 1.5470 178.55 7.7540 25.810 1.7150 1168.00 124.80 2.7200 1.7428 0.5379 6.0860 135.05 1.6300 2.7600 765.30 98.08 42.638 5.6390 1.3762 N. A. 25.250 1.8450 83.90 84.66 •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. 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