Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : June 29, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

June 29,1992

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
RATIO SCALE
MARCH 1973=100
140
130

DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE)
AVERAGES FOR WEEK ENDING WEDNESDAY
RATIO SCALE
MARCH 1973=100
140
130

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

120

120

110

110

100

100

90

90

BELGIAN FRANC

80

80

•

1

1

'

1

1

1

'

'

« •

'

•

•

1

i

1

•

I

1

•

1

1

'

1

1

1

i

1

»

70

280
260

SWISS FRANC

240

JAPANESE YEN

220

200

180
160
'

I

I

I

'

'

I

•

'

» I

I

I

I

140

100
90

UNITED KINGDOM

90

80

80

70

60
50
200

70

CANADIAN DOLLAR

60

•

'

'

I

'

'

'

I

•

•

i

I

i

i

i

•

I

•

•

» I

•

•

•

I

•

•

•

200

180

DUTCH GUILDER

180

160

160
GERMAN MARK

140

140

120
100
120

50

120

I

I

'

I

I

'

'

I

'

•

•

I

•

1

'

1

1

I

1

1

1

I

1

1

1

I

I

'

I

100
60

ITALIAN LIRA

FRENCH FRANC

100

55
50
45

80

40
35

60

I

I

I




I

•

'
1990

'

I

•

'

•

I

I

I
1992

I

1

'

'

1

1

1

1990

1

I

»

1

1

l

i

i
1992

'

30

CHART 2

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

PERCENT PER ANNUM

4

4

CANADIAN DOLLAR

U.K. POUND

V

—

—

—

12
8

1

1

1

I

1

1

1

I

1

1 1

1

1

1

—

1

GERMAN MARK

1

1

1

1

1

1

1

1

1

1 i

i

i

i

i

12
8

V

JAPANESE YEN

jS\

X

—

1

1

1

1

1

1

1

1

1

1

1

1

1

1

1

i

SWISS FRANC

1

1

1

%

1

1

1

1

1

1

1 1

1

1

1

1

FRENCH FRANC




i

i

i

i

i

i

i

1

1

i

i

1

i

i

i

1 1

1

I

1

1

1

i

1

1

1

DUTCH GUILDER

Xv.

1

i

1

vV

1

1

VXx

1

1

1

ITALIAN LIRA

—

V

i
1990

1992

i

i

!

i

i i
1990

1

1 1
1992

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

380

360

360

340

340

320

1989




1990

1991

1992

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
12

12

FRANCE
U.S. FEDERAL FUNDS

JAPAN

GERMANY

NETHERLANDS

4 I

I

I

I

UNITED KINGDOM




CANADA

SWITZERLAND

1990

1992

1990

1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM

15

WEIGHTED AVERAGE
FOREIGN RATE
10

13

11

U.S. CD'S
CANADIAN FINANCE PAPER

•

•

'

I

•

'

'

I

'

'

'

I

i

i

i

i

i

'

I

i

i

'

I

'

i

i

I

i

i

'

16

5
12

14

10

12
NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING
10

'

'

1




I

1

1

'

I

1

1

1

I

i

i

i

JAPANESE CD RATE

I

I

'

I

I

I

I

I

I

I

I

FRENCH INTERBANK RATE

SWISS INTERBANK

1990

I

GERMAN INTERBANK RATE

1992

1990

1992

I

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

•

» I

'

1

1990

1

I

»

1

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

PERCENT PER ANNUM

12

OVERNIGHT

10

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

6 —

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

DASHED LINE

4 —

J — I — I — I — I — l — l

DIFFERENTIAL

I

l

I

i

I

i

1

1




I

1

1
1990

i

I

1

I

•

_

i

i

i

i

I

I

I

I

»

I

i

i
i
1992

I

I

'

'

»

•

•

DIFFERENTIAL

J\ „

Mm A AA.U A i.N AT A
WV y V

1

i

.rfyAl,

J

1 1 1 1

I
1990

I

I

'

.<V.. m / \ .

» •

I J

I

1992

L

CHART 8

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

PERCENT PER ANNUM

12

12
INTERBANK STERLING

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON

— 8

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

•

'

'

I

'

'

DASHED LINE

'

'

'

•

'

I

I

I

I

i

i

i

I

i

i

i

I

i

i

i

I

' •

l

i

'

i

l

i

i

—

DIFFERENTIAL

I
2

i

DIFFERENTIAL

VAA/V/UV

i

i

I

i

Vvv-v

i

i

I

i

i

1

1

1

1 1

i

i

i

l

'

•

i

'

'

12

INTERBANK DM
COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

'

'

1

1

1

1

DASHED LINE

1

1

1

1

1

I

'

•

•

•

I

DIFFERENTIAL

•

» i

1 i




i
1990

i

1

I

1

»

1

1

I

1

'

I

I

'

I

DIFFERENTIAL

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

10

UNITED STATES

UNITED
KINGDOM

CANADA

FRANCE

1

1

1

1

1

1

1

1

1

1

•

I

i

i

SWITZERLAND

JAPAN

NETHERLANDS

GERMANY




1990

13

1992

•

'

'

1

•

1990

1

'

'

•

1

'

•

•

1992

i

CHART 10

STOCK INDICES
WEEKLY SERIES
1986=

RATIO S<
1986

SCALE
00

200
UNITED KINGDOM

UNITED STATES
180

160
140
120

100

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

I ' l l

240
200

GERMANY
JAPAN

160

120

80

1

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

'

«

1

180
165

SWITZERLAND

FRANCE

150
135
120
105
90
150

I

I

I

I

I

I

I

I

'

I

I

I

I

I

'

•

i

i

135
NETHERLANDS

CANADA
120
105
90

75

i

i

i




I

i

i i
1990

I

i

i

i

I

i

i i
1992

'

'

I

I

'

1

1990

1

I

1

I

1

1

1992

SERIES
27-May-92 3 - J u n - 9 2
Chart 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,

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

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

3.1072
83.555
18.985
63.949
0.08449
0.78791
56.757
70.767
186.54

118 .32
83 .14
82 .82
173 .78
47 ,.08
201,.83
157..49
216 .,75
7 3 . 41

118 . 9 1
82 .82
83 .24
174..62
47..27
204. 52
158..19
219. 57
7 3 . 62

120 . 2 4
83 . 4 4
84 . 0 4
176 . 6 5
47 . 6 5
205 .60
160 . 0 3
221 . 2 1
74 .10

121 . 6 1
83 .48
84 .96
178 .67
48 .16
206. . 5 1
161..83
2 2 6 . 55
7 4 . 96

122 .44
83 .28
85 .55
179,.89
48..50
206. 30
162. 94
227. 67
7 5 . 45

108 . 0 3
72 .97
72 .76
172 .89
39 .49
197 .87
146 .78
68 . 0 3
201 . 8 3
63 . 5 3
86 . 8 1

108 . 4 5
72 . 4 1
73 . 0 3
173 .66
39 . 6 2
197 .16
147 . 3 4
68 .26
205 . 2 3
63 . 8 0
85 .97

108 .78
71 .93
73 .28
174 .28
39 .76
196 .10
147 .82
68 .46
205 .46
63 .99
85 .56

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

- 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

- 1 .78
- 6 .22
- 5 .82
- 9 .59
- 0 .52
- 5 .70
- 5 . .37
- 5 . .95

337. 85

338. 03

338. 27

3 4 0 . 98

342. 68

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

3 . 69
3 . 74
5 . 88
9 . 91
9 . 60
4 . 69
9 . 38
8 . 88
9 . 20

3 . 73
3 . 70
5 . 88
9 . 88
9 . 56
4 . 70
9 . 20
8 . 88
9 . 90

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 yen
Netherlands guilder
Swiss f r a n c
U . K . pound
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 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
Chart 2.

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

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.
U.S.

Mar.
107 .45
73 .56
72 .48
171 .78
39 .45
196 . 2 3
146 . 0 1
67 . 8 3
199 .90
63 .65
88 .04

1973=100
107 .55
72 . 9 4
72 .56
171 .94
39 .45
198 .26
146 .08
67 . 8 3
201 . 7 5
63 .56
87 .59

'remium o r D i s c o u n t
- 2 .26
- 6 .02
- 5 .74
- 8 .11
- 0 .76
- 5 .59
- 5 . .15
- 5 . .92

G o l d P r i c e i n L o n d o n , A f t e r n o o n Fii xx ii n g

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

Chart 4.

10-Jun-92 17-Jun-92 24-Jun-92

Call

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




3.
3.
5.
9.
9.
4.
9.
8.
10.

74
76
88
89
59
68
23
08
05

SERIES
27-May-92 3 - J u n - 9 2
Chart 5.

3-Month I n t e r e s t

Rates

U.S. 9 0 - d a y C D ' 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
(G-10 C o u n t r i e s )
Chart 6.

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

3.84
5.92
10.00
9.65
4.53
9.44
8.98
9.95
8.68

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

3.76
3.78
3.79
3.85
3.98
4.38

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 24-Jun-92

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

3.85
3.80
0.05

3 .85
3 .85
0 .00

3.74
3.69
0.04

3.70
3.73
-0.03

3.76
3.74
0.02

3-month E u r o - d o l l a r deposit
U.S. 90-day CD's, secondary market
Differential

3.88
3.85
0.03

3 .94
3 .91
0 .03

3.89
3.88
0.00

3.86
3.84
0.02

3.85
3.84
0.01

3.88
3.81
0.07

3,.94
3. 88
0. 06

3.89
3.83
0.05

3.86
3.88
-0.02

3.85
3.85
0.00

3.91
4.14
-0.24

3. 96
4 . 19
- 0 . 23

3.94
4.17
-0.23

3.92
4.14
-0.22

3.90
4.12
-0.22

3.88
3.81
0.07

3 . 94
3 . 76
0 . 18

3.89
3.68
0.20

3.86
3.74
0.12

3.85
3.68
0.17

3.88
3.62
0.26

3 . 94
3 . 63
0 . 30

3.89
3.62
0.27

3.86
3.60
0.26

3.85
3.48
0.37

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

8.36
8.72
7.95
5.60
6.86
8.32
9.15
7.33

8.21
8.77
7.96
5.59
6.90
8.29
9.14
7.27

8.17
8.81
8.02
5.50
6.93
8.30
9.19
7.22

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

111 .29
142..85
105..10
93..26
112..12
150..70
153. 61
163. 06

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 paper,
Differential

3 - M o n t h Funds
covered

covered

Euro-dollar deposit
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 , covered
Differential
Chart 9.

10-year maturity,

nd Y i e l d s

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.

8.46
8.52
7.94
5.62
6.83
8.29
8.96
7.41

45
55
95
62
87
31
96
35

S t o c k I n d i c e s (Wednesday f i g u r e s )

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

112. 73
151. 04
107. 59
102. 28
116. 73
1 5 2 . 79
164. 51
1 6 6 . 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

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. 101512)

June 29, 1992

FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING

JUNE 26, 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. 22

•AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
•EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
•IRELAND
ITALY
JAPAN
MALAYSIA
NETHERLANDS
*NEH 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 e
RINGGIT
GUILDER
DOLLAR
KRONE
ESCUDO
DOLLAR
RAND
WON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

0.7495
11.023
32.230
1.1948
5.4884
6.0285
1.3101
4.2670
5.2720
1.5660
190.80
7.7355
28.300
1.7070
1184.25
127.10
2.5155
1.7644
0.5445
6.1260
130.05
1.6203
2.8050
796.10
98.53
44.170
5.6570
1.4150
24.743
25.420
1.8615

0.7518
11.019
32.220
1.1970
5.4884
6.0190
1.3100
4.2640
5.2690
1.5652
190.05
7.7325
28.350
1.7065
1184.25
127.23
2.5120
1.7630
0.5443
6.1270
130.10
1.6230
2.8025
796.30
98.60
N. A.
5.6550
1.4170
24.733
25.390
1.8635

0.7518
10.923
31.930
1.1967
5.4837
5.9640
1.3207
4.2265
5.2300
1.5517
188.20
7.7325
28.300
1.7217
1174.80
126.68
2.5095
1.7485
0.5450
6.0710
128.88
1.6205
2.8000
795.30
97.82
44.170
5.6065
1.4045
24.723
25.400
1.8770

0.7500
10.860
31.720
1.1943
5.4758
5.9270
1.3293
4.1975
5.1920
1.5422
187.50
7.7320
28.400
1.7286
1166.25
125.45
2.5090
1.7375
0.5447
6.0325
128.00
1.6205
2.7925
795.60
97.08
N.A.
5.5715
1.3920
24.699
25.380
1.8910

0.7465
10.843
31.680
1.1930
5.4758
5.9105
1.3317
4.1865
5.1770
1.5385
187.10
7.7313
28.450
1.7335
1163.50
125.72
2.5093
1.7340
0.5435
6.0205
127.85
1.6188
2.7875
795.10
96.97
N.A.
5.5560
1.3845
24.645
25.330
1.8910

MEMO:
"UNITED STATES

DOLLAR

85.65

85.64

85.05

84.47

84.35

COUNTRY

1 CURRENCY UNITS PER DOLLAR)
Jin. 23
Jun. 24
Jun. 25

Jun. 26

*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
HEIGHTED-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 1202) 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.