Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : June 1, 1992

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

June 1,1992

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, DlC. 20551




Table of Contents

TABLES
1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
H.10 RELEASE
CHARTS
1. SPOT EXCHANGE RATE INDFCES
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

RATIO SCALE
MARCH 1973*100
140
130
120
110

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

110

100

100
90

90

BELGIAN FRANC

80

80

•

i

i

i

i

» '

i

i

'

•

1

I

1

1

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

« » i
90

I

i

•

•

I

1

1

•

1

l

1

•

140
100
90

UNITED KINGDOM

80

80

70

70

CANADIAN DOLLAR

60

60
50
200

i

i

180 —

i

I

i

i

i

I

i

i

i

i

I

i

« I

i

I

I

1

1

» I

1

'

'

I

I

I

'

50
200
180

DUTCH GUILDER

160 —
_ \ A / G E R M A N MARK

140

:

160

—

140
120

120
100
120

•

i

i

l

i

i

i

I

i

i

i

l

i i

i

I

I

I

I

I

I

I

I

I

• '

I

I

I

I

100
60

100

55

ITALIAN LIRA

FRENCH FRANC

50
45
40

80

35

60

I

I

I




I

I

I
1990

I

I

I

I

t

I

I

I
1992

I

I

'

I

I

I

1

1990

1

1

1

1

'

I

'

'

1

1992

30

CHART2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
4 |
CANADIAN DOLLAR

PERCENT PER ANNUM
4
U.K. POUND

V

—

—

—

1 1

12
8

1

I

I

I

I

I

I

I

I

I

» J_L

—

1

GERMAN MARK

1

1

I

» » > '

1

1

I

I

I

1

I I

I

I

I

I

I

I

I

1

I

I

I

JAPANESE YEN
YX

—»•

'

1

V

1

1

I

1

1

I

I

I

<

I

SWISS FRANC

I

I

1

I I

DUTCH GUILDER
—

V

1

1

1

1

1

FRENCH FRANC

8

12
8

1

—

VV

V

1

1

1

1

1

1

1

1

1

1

1

1

1

VXA-V

1

1

1

1

1

1

1

1

1

1

1

1

1

1

1

1

1

1

1

I I

I

ITALIAN LIRA

—

12




1

1

1

1

12

CHART 3

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

U.S. DOLLARS PER FINE OUNCE

—

420 —

420

12.5 Kg BARS
AFTERNOON FIXING PRICE

400

400

—

380

360

360 —

—

340 —

320




380

1989

1990

1991

1992

340

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12
FRANCE

10

10
U.S. FEDERAL FUNDS
—

8

JAPAN

2
12

i

i

i

l

i

i

i

I

'

i

i

I

i

'

'

1

1

1

I

1

'

1

>

1

•

1

l

1

i

i

10

2
12

10
GERMANY

NETHERLANDS

•

'

I

I

'

'

'

I

'

'

'

I

•

'

1

1

I

1

1

1

I

1

1

1

I

1

i

1

UNITED KINGDOM




CANADA

SWITZERLAND

1990

1992

1990

1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
15

PERCENT PER ANNUM
12

WEIGHTED AVERAGE
FOREIGN RATE
13

11

U.S. CD'S
CANADIAN FINANCE PAPER

i

i

» I

1

i

'

I

'

'

•

I

i

'

i

16

5
12

14 —

10

12 —
NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING
10 —

'

i

» I

'

i

i

I

'

•

'

I

i

i

J_L

i

'

I

I

I

I

I

I

I

1 I

I

I

4
12

10

FRENCH INTERBANK RATE

JAPANESE CD RATE

i

i

i

I

i

'

•

I

'

'

i

I

'

» '

•

'

I

I

'

•

•

I

'

'

'

I

'

I

I
11

10

SWISS INTERBANK

i

i

i




I

i

i
1990

i

I

i

GERMAN INTERBANK RATE

i

i

I

i

i
1992

i

1

1

I

I

I

» '
1990

I

1

'

1

I

1

1

'

1992

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12

OVERNIGHT

'

•

•

•

I

'

'

'

i

i

'

I

7-DAY

10

2
12

I

3-MONTH

•

I

I

I

I

1

i

i

i




I

'

'
1990

i

i

I

'

i

'

I

'

'

i

6-MONTH

1

'

I

1

1

I

I

I

'

i

i

I

1-MONTH

10

i

10

•

i

i

i

10

I

i

i

i

l

i

i

'

1-YEAR

I

» '

'

i

•

•
1992

i

i

i

l

i

i
1990

i

2
12

2
12

10

I

i

•

i

I

i

i
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
12

10

8

PERCENT PER ANNUM
12

OVERNIGHT
EURO-DOLLAR DEPOSITS

10

3-MONTH
EURO-DOLLAR DEPOSITS

—

FEDERAL FUNDS
DASHED LINE

J—I—I—I—I

I

90-DAY CD'S
DASHED LINE

I

DIFFERENTIAL

I

I

i

i

l

J

i

L

J

I

J—i—i

i

l

i

i

i

i

i

i

i

I

'

I
DIFFERENTIAL

Mma AAAa

•

i




i

i

i

i
1990

i

i

i

i

A i,kA k A .
V v

i

l

i

i
1992

nrfy-Av,

i

J

1

1
1990

I

1

I

. y . . .A,

I

I

I

I

1992

I

1

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12
INTERBANK STERLING
COVERED LONDON

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS
DASHED LINE

U.S. COMMERCIAL PAPER
DASHED LINE

8 —

4 —

'

i

I

i

i

i

I

i

» '

I

i

i

I

_L_L

i

i

i

i

I

I

l

I

I

I

I

I

—

DIFFERENTIAL

DIFFERENTIAL

2
12

Y
•

'

I

l

I

'

I

I

I

I

» I

» '

I

II

I

1 I

INTERBANK DM
COVERED FRANKFURT

1 1 1 I

IM

i

l

1 1

l

SWISS INTERBANK (SF) COVERED

8 —

f,

4 —
EURO-DOLLAR DEPOSITS
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED L I V

•

'

1 1 '

I

I

I

I

I

I

I

I I

I

I

I

I

I

•

'

1

1 •

'

1

I

1

1

'

1

1

1

1

'

1

DIFFERENTIAL

DIFFERENTIAL
•w.

•

•

» I




I

1

1990

1

I

1

1

1

I

1

1

1

1992

•

I

'

I

I

1

1990

1

I

1

1992

•2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
10

PERCENT PER ANNUM
13
UNITED
KINGDOM

'
CANADA

1

1

1

1

1

1

1

1

1

I

'

1

•

I

'

NETHERLANDS

GERMANY

I

1

1

I

'

1

1

I

I

» |
JAPAN

I

1

FRANCE

SWITZERLAND

I

1

I

I




I
1990

I
1992

1990

1992

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100
200

RATIO SCALE
1986=100

200

180

UNITED KINGDOM

UNITED STATES

180

160

160

140

140

120

120

»

1

•

I

1

•

1

» I

i

i

•

I

I

'

» •

1 I

'

'

I

'

•

•

100
150
135

GERMANY
JAPAN

120
105

90

» » '

I

i

•

•

i

1

'

'

1

l

'

'

75

180

165

FRANCE

SWITZERLAND

165
150

150

135

135

120

120 —

105

105 —

90
150

« •

•

I

«

1

•

1

'

1

•

1

l

1

I

I

I

I

'

'

•

I

'

•

'

> I

'

90
150
135

135

NETHERLANDS

CANADA
120

120

105

105

90

90

75

» i

i




1 i

i
1990

'

I

'

» i

l

i

i
1992

I

» •

I

» •
1990

» I

I

I

I

I

I

•
1992

I

75

SERIES
29-Apr-92 6-May-92
Chart 1.

13-May-92 20™May~92 27-May-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

2.9364
83.966
17.904
60.406
0.08034
0.74738
53.667
65.410
177.22

2.9600
83.844
18.067
60.899
0.08104
0.75265
54.117
66.377
178.40

2.9747
83.129
18.214
61.212
0.08133
0.75746
54.375
66.075
180.05

3.0310
83.403
18.574
62.390
0.08289
0.77170
55.400
67.942
182.93

3.0027
83.414
18.380
61.774
0.08202
0.77 082
54.859
67.372
181.51

115 .71
83 .69
80 .68
169 .93
46 .12
195,.69
154..07
210. 43
71. 68

116 .64
83 .57
81 .41
171 .31
46 .51
197 .07
155..36
213..54
72. 16

117 .22
82 .85
82 .07
172 .19
46 .69
198 .33
156 .10
212 .57
72 .83

119 .43
83 .13
83 .70
175..51
47. 58
202. 06
159. 04
218. 58
73. 99

118 .32
83 . 14
82 .82
173 .78
47 . 08
201 .83
157 .49
216 .75
73 .41

107 .27
73 .91
72 .37
171 .50
39 .43
194 .10
145 .84
67 .71
197 .52
63 .63
88 .92

107 .84
73 .08
72 .84
172 .59
39 .65
195 .17
146 .61
68 .08
200 .41
63 .77
87 .37

107 .45
73 .56
72 .48
171 .78
39 .45
196 .23
146 .01
67 .83
199 .90
63 .65
88 .04

-2 .63
-6 .07
-5 .90
-8 .06
-0 .70
-5 .69
-4. 82
-6. 21

-2 .62
-6 .07
-5 .97
-8 .15
-0 .82
-5 .75
-5 .07
-6..15

-2 .47
-6 .10
-5 .95
-8 .28
-0..85
-5. 77
-5. 25
-6. 08

-2 .26
-6 .02
-5 .74
-8 .11
-0 .76
-5..59
-5..15
-5. 92

336 .64

336. 83

335. 91

338. 25

337 .85

3. 65
3. 68
6 .34
9. 90
9. 61
4. 70
9. 26
7. 88
10. 58

3. 77
3. 73
6. 35
9. 84
9. 10
4. 71
9. 20
7. 88
10. 25

3. 84
3. 74
6. 33
9. 78
9. 62
4. 67
9. 43
7. 88
10. 00

3. 89
3. 84
6. 23
9. 76
9. 56
4. 64
9. 35
8. 38
9. 58

3. 83
3. 85
6. 18
9. 85
9. 46
4. 66
9. 39
8. 88
9. 50

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
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swedish krona
Swiss franc
U.K. pound
U.S. dollar
Chart 2.

-2 .61
-5 .97
-5 .78
-7 .98
-0,.62
-5..60
-4..72
-6 .32

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

107 .11
74 .87
72 .00
171 .17
39 .42
193 .48
145 .65
67 .54
199 .17
63 .23
89 .31

3-Month Forward Exchange Rates, Premium or Discount

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

106 .86
75 . 46
71 .74
170 .69
39 .30
193 .22
145 .25
67 .30
197 .36
6 3.17
89 .97

Call Money Rates

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




SERIES
Chart 5.

29-Api—92 6-May-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.

3.93
6.87
9.94
9.66
4.71
9.44
8.65
10.45
8.80

3.89
6.79
9.96
9.69
4.75
9.48
8.59
10.25
8.78

3.79
6.71
9.80
9.69
4.72
9.44
8.65
10.05
8.74

3.76
6.61
9.79
9.73
4.72
9.44
8.83
9.95
8.73

3.85
6.44
9.81
9.69
4.72
9.37
8.88
9.88
8.69

3.68
3.84
3.86
3.96
4.15
4.58

3.73
3.81
3.80
3.91
4.09
4.54

3.74
3.69
3.69
3.79
3.94
4.41

3.84
3.78
3.73
3.78
3.91
4.36

3.85
3.81
3.81
3.88
4.01
4.50

Euro-Dollar Deposit Rates

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

13-May-92 20-May-92 27-May-92

Selected Euro-dollar & U.S. Money Market Rates

Overnight Euro-dollar deposits
U.S. federal funds
Differential

3.68
3.65
0.03

3.73
3.77
-0.04

3.74
3.84
-0.10

3.84
3.89
-0.05

3.85
3.83
0.02

3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential

3.96
3.93
0.03

3.91
3.89
0.02

3.79
3.79
-0.01

3.78
3.76
0.02

3.88
3.85
0.03

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

3.96
3.96
-0.00

3.91
3.89
0.03

3. 79
3. 74
0. 04

3.78
3.72
0.05

3.88
3.81
0.07

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

3.95
4.21
-0.26

3.93
4.11
-0.17

3.,85
4.,05
- 0 . ,20

3.83
4.10
-0.27

3.91
4.14
-0.24

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

3.96
3.75
0.22

3.91
3.64
0.27

3 .79
3 .57
0 .22

3.78
3.64
0.14

3.88
3.81
0.07

Euro-dollar deposit
Swiss interbank, covered
Differential

3.96
3.83
0.13

3.91
3.67
0.25

3 .79
3 .47
0 .31

3.78
3.46
0.32

3.88
3.62
0.26

8.89
8.73
7.97
5.75
6.60
8.34
9.18
7.58

8.80
8.76
8.01
5.77
6.57
8.36
9.17
7.55

8.60
8.57
7.97
5.67
6.56
8.32
9.13
7.40

8.48
8.54
7.96
5.58
6.69
8.33
9.04
7.27

8.46
8.52
7.94
5.63
6.83
8.29
8.96
7.40

111.82
148.85
105.23
99.74
115.10
148.10
161.10
166.57

112.01
151.21
105.47
101.28
115.64
152.84
163.48
168.76

113.44
152.71
105.81
105.73
115.37
154.63
165.73
168.67

112.68
150.73
107.37
105.45
114.77
152.91
166.61
168.30

112.73
151.04
107.59
102.28
116.73
152.79
164.51
166.99

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



-• oQlGOi'A-.

FEDERAL RESERVE statistical release
H.10(512)

May 29, 1992

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

MAY 29, 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

May. 25

H
0
L
I
D
A

(CURRENCY UNITS PER DOLLAR)
May. 26
May. 27
May. 28
0.7585
11.325
33.080
1.2019
5.5087
6.2130
1.2779
4.3695
5.4050
1.6083
191.75
7.7420
28.780
1.6610
1212.50
129.33
2.5215
1.8109
0.5355
6.2775
133.65
1.6295
2.8310
789.60

Y

100.50
N. A.
5.7960
1.4792
24.944
25.490
1.8280
87.59

0.7580
11.503
33.610
1.2020
5.5048
6.2975
1.2590
4.4335
5.4925
1.6338
194.65
7.7492
28.820
1.6380
1229.50
129.95
2.5300
1.8404
0.5358
6.3660
135.44
1.6350
2.8515
790.10

101.89
N. A.
5.8810
1.4865
24.918
25.490
1.8010
88.66

0.7582
11.448
33.470
1.2040
5.5048
6.2730
1.2638
4.4160
5.4625
1.6269
194.00
7.7485
28.750
1.6440
1224.75
129.62
2.5220
1.8326
0.5360
6.3400
135.02
1.6370
2.8435

May. 29
0.7568
11.308
33.060
1.2048
5.5048
6.1820
1.2797
4.3575
5.3980
1.6065
192.00
7.7445
28.750
1.6660
1209.75
127.75
2.5105
1.8096
0.5352
6.2575
133.00
1.6287
2.8260

787.90

787.90

101.44
N.A.
5.8600
1.4768
24.928
25.540
1.8065

100.15
N.A.
5.7875
1.4562
24.910
25.490
1.8290

88.35

87.34

**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 (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.