Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : June 22, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

June 22,1992
Prepared by the
FINANCIAL MARKETS
SECTION




DIVISION OF
INTERNATIONAL FINANCE
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.
2.
3.
4.
5.
6.
7.

SPOT EXCHANGE RATE INDICES
3-MONTH FORWARD EXCHANGE RATES
GOLD PRICE-LONDON
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

140
130
120
110

RATIO SCALE
MARCH 1973=100

140
130
120
110

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

100

100
90

90

BELGIAN FRANC

80

80

•

i

i

I

» i

i

l

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

'

» '

I

•

'

I

I

I

I

»

90

UNITED KINGDOM

80

80

70

70

CANADIAN DOLLAR
60

60

i

50
200
180 —

I

i

i

i

I

i

i

i

l

i

i

» •

i

1 I

1 •

•

I

•

•

•

I

•

•

'

50
200
180

DUTCH GUILDER

160

160
/

_ \ / V G E R M A N MARK

140

—

100

140

120

120
100
120

140
100

'

i

'

l

i

i

i

I

i

i

i

I

•

i

i

i

l

1

i

1

1

l

i

i

I

i

i

«

55

ITALIAN LIRA

FRENCH FRANC

100
60

50
45
40

80

35

60

•




i

I

i

i
1990

i

I

i

i

i

l

i

i
1992

i

i

i

i

I

» i
1990

1

I

1

1

1

I

1

1

1

1992

30

CHART 2

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

PERCENT PER ANNUM

4

4

b

CANADIAN DOLLAR

U.K. POUND

—

12
8

•

•

» 1

1

1

» I

1

1

i

I

1

i

1

1

GERMAN MARK

» i

l

1

»

1

l

1

'

» l

»

1

'

8

12
8

JAPANESE YEN
—

» i

i

l

» i

'

v

I

i

'

i

I

i

» '

i

SWISS FRANC

I

I

i

i

l

i

i

i

I

1

1

1

1

1

1

1

—

I

I

I

W

v

I

I

I

I

I

I

I

I

FRENCH FRANC

i

i

DUTCH GUILDER

X y v V

I

i

I




'

I

1

1

1

1

vx~V

1

1

1

1

1

1

1

1

11

1

1

I

I

I

I

I

I

1 I

I

I

I

ITALIAN LIRA

i
1990

i

l

'

i

'

I

'

'
1992

» I

I

I

1990

1992

12

CHART 3

PRICE OF GOLD IN LONDON
A V E R A G E S FOR W E E K ENDING W E D N E S D A Y

U.S. DOLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE OUNCE

420

—

420

—

400

12.5 Kg BARS
AFTERNOON FIXING PRICE

400

380

320




1989

—

360

—

340

320
1990

1991

1992

CHART4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

12

12
FRANCE

U.S. FEDERAL FUNDS

JAPAN

GERMANY

NETHERLANDS

UNITED KINGDOM
CANADA

SWITZERLAND
1

1

1

1




•

'
1990

•

1

•

'

1

>

1

«

1

1992

1990

1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
:ENT PER ANNUM

PERCENT PER AN

12

15

WEIGHTED AVERAGE
FOREIGN RATE
10

13

8

11

6

U.S. CD'S

9
CANADIAN FINANCE PAPER

4

2
16

7

i

i

i

I

'

'

'

I

•

i

'

i

i

i

I

i

'

•

I

i

» i

I

i

i

'

5
12

14

10

12

8
NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING
10

8
9

6

'

1

1

I

1

1

1

I

1

'

I

I

•

'

•

•

i

i

I

i

i

i

I

i

i

» I

•

7

10

JAPANESE CD RATE

5

3
10

'

FRENCH INTERBANK RATE

1 1 1 1 1 1 1 1 1 1 1

•

1

I

I

I

I

'

•

•

I

'

•

8

1 I

I

I

I

6
11

8

9

SWISS INTERBANK

6

4

4
12

»

1

1

1




'

1

1990

'

I

1

1

GERMAN INTERBANK RATE

'

I

'

'

•

1992

I

I

I

I

'

I
1990

'

I

I

» I

I

7

'

'
1992

I

5

CHART 6

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

PERCENT PER ANNUM
12

OVERNIGHT

'

10




I

3-MONTH

'

'

'

I

'

'

•

i

i

I

i

i

i

7-DAY

6-MONTH

1-MONTH

1-YEAR

1990

1992

1990

10

I

'

i

i

I

i

'

i

2
12

10

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 —

PERCENT PER ANNUM
12

OVERNIGHT
EURO-DOLLAR DEPOSITS

10

3-MONTH
EURO-DOLLAR DEPOSITS

8 —

6

—

FEDERAL FUNDS
DASHED LINE

90-DAY CD'S
DASHED LINE

4 —

J—i—i—I

i

i

i

I

i

i

i

I

i

i

i

DIFFERENTIAL

I

I




I

I

I
1990

I

I

I

I

I

i

i

I

i

I

I

i

i

I

l_J 1

DIFFERENTIAL

Mm A AA.U

I

J—I—I—I

I

I

i

i

A i.N A A /A

i

I

i

i
1992

,

i

J

I

i

i
1990

i

, n,n .

L

J

1992

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

4 —

0

'

1

1

I

1

1

'

I

1

« «

1

I

1

1

•

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I

'

'

•

I

•

t

I

I

'

'

'

I

1

1

1

1

1

1

1

2
DIFFERENTIAL

DIFFERENTIAL
w ui-w-iuuv^ v

2
12

i

i

i

I

i

i

'

l

i

'

'

i

• J

I

I

II

INTERBANK DM
COVERED FRANKFURT

1

1

I

1

1

1

1

I

I

I

'




I

•
1990

I

1

1

1

1

EURO-DOLLAR DEPOSITS
DASHED LINE

'

I

I

I

I

i

i

DIFFERENTIAL

•

I

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS
DASHED LINE

1

1

'

I

i

i

i

I

i

i

i

I

i

'

'

I

I

I

I

I

I

I

'

DIFFERENTIAL

'

» •

•

'

•

I
1992

I

I

I

I

I

'

I
1990

'

1992

Io

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
SCENT PER ANNUM

PERCENT PER ANN!

10

13
UNITED STATES

UNITED
KINGDOM

9

12

8

11

7

10

6
12

9
12

CANADA

FRANCE

11

11

10

10

9

9

8

8

7
8

'

•

'

I

•

'

•

i

•

'

•

i

> •

•

SWITZERLAND

7
8
JAPAN

7

7

6

6

5

5

4
10

4
10

NETHERLANDS

GERMANY

9

9

8

8

7

7

6

•

•

'




I

i

i
1990

i

I

i

i

i

i

_L_L
1992

I

I

I

I

I

I
1990

I

I

I

I

I

I

1 I
1992

I

6

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

180

200
UNITED STATES

UNITED KINGDOM

160
140

120

100

i

'

i

I

'

i

i

I

' '

i

I

'

'

»

240
200

135

GERMANY
JAPAN

120

160

105

120
90

80
180
165

1

1

'

I

'

'

'

I

'

'

i

I

i

i

i

'

i

i

l

'

'

i

I

i

i

i

I

i

i

i

75
180

SWITZERLAND

FRANCE

165

150

150

135

135

120

120

105

105

90
150

i

i

i

I

i

i

i

l

i

i

i

l

i

i

i

i

'

l

i

'

i

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i

i

i

I

J—L

135

90
150
135

CANADA

NETHERLANDS

120

120

105

105

90

75

90

»

1

1




I

1

1

1

1990

I

1

'

I

I

I

I

I

1992

i

i

'

l

< '
1990

i

I

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•

i

I

I
1992

I

75

SERIES
Chart 1.

20-May-92 27-May-92 3-Jun-92

10-Jun-92 17-Jun-92

Spot Exchange Rates and Indices

Noon buying rates (U.S. cents, w e e k l y a v e r a g e s )
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

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
0.77082
54.859
67.372
181.51

3.0176
83.093
18.472
62.073
0.08235
0.78110
55.105
68.252
182.01

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

118. 91
82. 82
83. 24
174. 62
47. 27
204. 52
158. 19
219. 57
73. 62

3.0514
83.716
18.649
62.796
0.08301
0.78522
55.743
68.759
183.21

3.0863
83.757
18.854
63.514
0.08389
0.78871
56.370
70.420
185.33

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

.24
.44
.04
.65
.65
.60
.03
.21
.10

121 .61
83 .48
84 .96
178,.67
48..16
206. 51
161..83
226 .55
74 .96

108 .03
72 .97
72 .76
172 .89
39 .49
197..87
146..78
68..03
201 .83
63 .53
86 .81

108 .45
72 .41
73 .03
173 .66
39 .62
197 .16
147 .34
68 .26
205 .23
63 .80
85..97

120
83
84
176
47
205
160
221
74

Weighted a v e r a g e exchange v a l u e 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.

107
72
72
171
39
198
146
67
201
63
87

.55
.94
.56
.94
.45
.26
.08
.83
.75
.56
.59

-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

- 2 .08
-6 .05
-5 .76
-8 .22
-0 .64
-5 .59
-5 .34
- 5 .92

338.25

337 .85

338 .03

3.89
3.84
6.23
9.76
9.56
4.64
9.35
8.38
9.58

3 .80
3 .85
6 .18
9 .85
9 .46
4 .66
9 .39
8 .88
9 .50

3 .85
3 .85
6 .08
9 .84
9 .64
4 .68
9 .55
8 .88
9 .78

- 2 . 00
-6..16
- 5 .81
-8 .87
-0 .66
- 5 .62
- 5 .39
- 5 .88

-1..83
-6..19
-5..79
-9 .37
-0..63
-5..67
-5..37
- 5 .90

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

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

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.

107.84
73.08
72.84
172.59
39.65
195.17
146.61
68.08
200.41
63.77
87.37

338 .27

340 .98

Call Money Rates

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




3
3
5
9
9
4
9
8
9

.69
.74
.88
.91
.60
.69
.38
.88
.20

3
3
5
9
9
4
9
8
9

.73
.70
.88
.88
.56
.70
.20
.88
.90

SERIES
Chart 5.

20-May-92 2 7 - M a y - 9 2 3 - J u n - 9 2

3 - M o n t h Interest R a t e s

U.S. 9 0 - d a y CD's, s e c o n d a r y market
Canadian finance paper
French interbank rate
German interbank rate
Japanese CD rate
N e t h e r l a n d s i n t e r b a n k rate
Swiss interbank rate
U.K. interbank s t e r l i n g
Weighted a v e r a g e foreign interest rate
(G-10 C o u n t r i e s )
Chart 6.

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

3.91
6.30
9.88
9.66
4.70
9.45
9.09
9.95
8.70

3.88
6.20
9.99
9.64
4.67
9.47
9.13
9.86
8.72

3.84
5.99
10.00
9.67
4.63
9.43
9.10
9.93
8.72

3
3
3
3
3
4

3. 85
3, 81
3, 81
3. 88
4. 01
4. 50

3 .85
3 .86
3 .88
3 .94
4 .09
4 .56

3 .74
3 .83
3 .84
3 .89
4 .03
4 .53

3..70
3..79
3,.80
3. 86
4. 00
4. 45

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.

10-Jun-92 17-Jun-92

.84
.78
.73
.78
.91
.36

Selected Euro-dollar & U.S., Money Market Rates
3 .84
3 .89
-0 .05

3. 85
3. 80
0. 05

3 .85
3 .85
0 .00

3 .74
3 .69
0 .04

3..70
3,,73
-0..03

3 .78
3 .76
0 .02

3. 88
3. 85
0. 03

3 .94
3 .91
0 .03

3 .89
3 .88
0 .00

3..86
3 .84
0..02

3 .78
3 .72
0 .05

3. 88
3. 81
0. 07

3 .94
3 .88
0 .06

3 .89
3 .83
0 .05

3 .86
3 .88
-0,.02

3 .83
4 .10
-0 .27

3. 91
4. 14
-0. 24

3 .96
4 .19
-0 .23

3 .94
4 .17
-0 .23

3 .92
4 .14
-0 .22

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

3 .78
3 .64
0..14

3. 88
3. 81
0. 07

3 .94
3 .76
0 .18

3 .89
3 .68
0 .20

3..86
3 .74
0 .12

Euro-dollar deposit
Swiss interbank, covered
Differential

3 .78
3 .46
0,.32

3. 88
3. 62
0. 26

3 .94
3 .63
0 .30

3 .89
3 .62
0 .27

3 .86
3 .60
0 .26

8. 46
8. 52
7. 94
5. 62
6 .83
8. 29
8. 96
7. 41

8 .45
8 .55
7 .95
5 .62
6 .87
8 .31
8 .96
7 .35

8
8
7
5
6
8
9
7

.36
.72
.95
.60
.86
.32
.15
.33

8 .21
8 .77
7 .96
5 .59
6 .90
8 .29
9 .14
7 .27

.73
.04
.59
.28
.73
.79
.51
,
.99

113 .55
150..46
107..62
103..32
116..40
152..89
162..20
168..09

112
147
106
101
116
152
159
164

.26
.62
.54
.87
.73
.81
.61
.93

112..24
144..62
105..73
96..53
114..77
151 .73
156 .88
162 .79

Overnight Euro-dollar d e p o s i t s
U.S. federal f u n d s
Differential
3 - m o n t h Euro-dollar deposit
U.S. 90-day CD's, s e c o n d a r y market
Differential
Chart 8.

Interest Arbitrage, 3-Month Funds

Euro-dollar deposit
Interbank s t e r l i n g (London), covered
Differential
U.S. commercial paper
Canadian finance paper, covered
Differential

Chart 9.

Long Term G o v e r n m e n t Bellwether Bond Y i e l d s
10-year maturity, w h e r e available

Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United States
Chart

10.

8..48
8,.54
7 .96
5. 58
6 .69
.
8. 33
9. 04
7. 27

Stock I n d i c e s (Wednesday figures)

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

112.68
150.73
107.37
105.45
114.77
152.91
166.61
168.30

112
151
107
102
116
152
164
166

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 C o m p o s i t e



FEDERAL RESERVE statistical release
H.10(512)

June 19, 1992

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

JUNE 19, 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

Jun. 15

•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

0.7535
11.052
32.330
1.1925
5.4937
6.0490
1.3035
4.2850
5.2940
1.5710
191.15
7.7330
28.450
1.7012
1189.50
126.80
2.5200
1.7702
0.5417
6.1470
130.50
1.6220
2.8030
794.00
99.08
N.A.
5.6750
1.4150
24.737
25.390
1.8560

0.7534
11.022
32.260
1.1960
5.4884
6.0410
1.3070
4.2760
5.2790
1.5675
190.95
7.7325
28.450
1.7045
1186.00
126.70
2.5190
1.7663
0.5423
6.1355
130.40
1.6252
2.8025
794.30
98.90
N.A.
5.6660
1.4070
24.740
25.400
1.8600

0.7525
11.090
32.450
1.1963
5.4884
6.0710
1.3005
4.2980
5.3150
1.5775
192.50
7.7325
28.450
1.6935
1195.25
127.05
2.5182
1.7776
0.5420
6.1675
131.05
1.6233
2.8100
795.00
99.30
N.A.
5.6945
1.4200
24.759
25.370
1.8530

0.7545
11.011
32.210
1.1975
5.4884
6.0330
1.3092
4.2690
5.2755
1.5650
191.10
7.7375
28.450
1.7065
1184.75
126.65
2.5175
1.7636
0.5435
6.1220
130.05
1.6222
2.8065
795.60
98.70
44.100
5.6565
1.4125
24.735
25.370
1.8655

0.7522
11.054
32.330
1.1981
5.4884
6.0475
1.3042
4.2805
5.2910
1.5710
191.70
7.7355
28.380
1.7015
1189.75
126.93
2.5165
1.7702
0.5460
6.1435
130.35
1.6228
2.8080
796.10
98.75
44.100
5.6745
1.4165
24.729
25.410
1.8595

MEMO:
^UNITED STATES

DOLLAR

85.82

85.67

86.12

85.59

85.85

COUNTRY

(CURRENCY UNITS PER 1
DOLLAR)
Jun. 16
Jun. 17
Jun. 18

Jun. 19

•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. 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 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.