Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : June 8, 1992

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

June 8,1992

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, DtC. 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
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
130
120
110

140
130
120

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

110

100

100

90

90

BELGIAN FRANC

80

80

•

•

'

l

•

•

•

I

•

•

•

i

'

•

•

_L_L

•

I

'

i

'

I

i

'

i

I

i

i

'

70
280
260

SWISS FRANC

240

JAPANESE YEN

220
200

—I 180
160
i
90

i

i

I

i

i

i

I

i

i

i

I

i

i

i

140
100
90

UNITED KINGDOM

80

80

70

—

70

—

60

CANADIAN DOLLAR
60
50
200

1

1

1

I

1

1

1

1

i

1

•

I

'

i

•

i

1

1

I

1

i

'

I

» i

i

I

i

i

»

DUTCH GUILDER

180

180

160

160 .
3ERMAN MARK

140

140

120
100
120

50
200

120
I

_L_1

l

I

I

I

i

i

i

I

i

i

i

i

i

i

i

i

i

I

i

i

i

I

i

i

i

100
60
55

ITALIAN LIRA

FRENCH FRANC

100

I

50
45

80

40
35

60

i

i

i




l

i

i
1990

i

I

i

i

i

I

i

i
1992

i

•

'

i

I

i

•
1990

•

I

•

» '

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
U.K. POUND

CANADIAN DOLLAR

1

12
8

1

1

I

1

1

1

I

1

1

1

1

1

1

1

.

i

i

i

1

i

i

i

1

1

1

1

1

1

1

'

1

i

i

i

I

i

i

i

I

i

i

i

'

>

1

1

< l

1

1

•

i

i

i

i

i

i

i

'

'

I

'

i

'

I

•

i

12
8

'

l

i

1

.
1

1

1

1

1

1

1

1

1

1

1

1

1

1

1

1




1

•

1

FRENCH FRANC

1

l

DUTCH GUILDER

X

12

•

.

SWISS FRANC

1

i

JAPANESE YEN

GERMAN MARK

x

•

'

i

i

i

i

'

'

ITALIAN LIRA

1
1990

1

1

1

1

1

1

1

1 1
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

12.5 Kg BARS
AFTERNOON FIXING PRICE

400

400

380

——

360

—

380

360

340

320

340

J




i
1989

i

I
1990

1991

1992

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

12

12
FRANCE

10
U.S. FEDERAL FUNDS

JAPAN

'

'

'

I

i

'

'

I

i

i

2
12

10

10

GERMANY

NETHERLANDS

i

i

i

I

i

'

i

I

'

i

i

I

'

« »

•

'

•

'

'

'

'

I

'

UNITED KINGDOM




CANADA

SWITZERLAND

I
1990

i

i

i

I

i

i
1992

i

1990

1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM
WEIGHTED AVERAGE
FOREIGN RATE

10

8

6

U.S. CD'S
CANADIAN FINANCE PAPER

4

5

2
16

14

12
NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING
10

4

8
9

7

5

FRENCH INTERBANK RATE

JAPANESE CD RATE

6

3
10

8

6

4




SWISS INTERBANK

GERMAN INTERBANK RATE

5
1990

1992

1990

1992

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
3ENT PER ANNUM

12

OVERNIGHT

10

8

6

4

2
12

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

I

i

i

i

'

i

» I

i

i

i

I

i

i

i

I

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i

i

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I

I

I

I

I

I

I

I

I

I

7-DAY

10

8

6

4

2
12

i

i

i

I

i

i

1-MONTH

10

8

6

4

2

i

i

i




l

i

i
1990

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

PERCENT PER ANNUM

12

12

10

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

—

90-DAY CD'S

FEDERAL FUNDS

DASHED LINE

DASHED LINE

'

'

'

I

i

i

8

I

I

I

I

I

I

I—I—L

DIFFERENTIAL

i

i

i

I

I

I

I

I

L

I

I

I

I

I

I—I—L

J

I

I

I—I—I—I 1

DIFFERENTIAL

r

J

I

L




I

I

l
1990

I

I

I

I—I—I—I—I—L
1992

J_J

I

I

1990

1992

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

8

CANADIAN FINANCE
CO. PAPER, COVERED

^

COVERED LONDON
—

—
U.S. COMMERCIAL PAPER

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

i

i

i

I

i

'

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I

'

'

i

I

i

i

i

1

I

I

I

I

I

I

I

1 I

I

I

I

I

I

I

I

I

I

I

1

1

1

1

1

1

1

DIFFERENTIAL

DIFFERENTIAL

I

I

I

I

I

I

I

I

I

I

I

I

II

I

I

1

1

1

INTERBANK DM

COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

1

1

1

I

1

1

1

l

»

1

1

1

l

1

I

I

I

I




I

I

I
1990

I

1 I

I

'

1 *

» '

I

I

I

i

I

i

» I

DIFFERENTIAL

DIFFERENTIAL

I

I

I

I

I

I

I

I

I
1992

I

i

i

i

I

i

i
1990

i

i

i

1992

4

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNU

CENT PER ANNUM

10
UNITED STATES

UNITED
KINGDOM

9

8

7

6
12
CANADA

FRANCE

11

10
9
8
7
8

I

I

I

I

I

I

I

I

I

I

I

I

I

I

SWITZERLAND

JAPAN

NETHERLANDS

GERMANY

7

6

5

4
10

9

8

7

6

'

'




l

i

i
1990

i

l

i

i

»

I

I
1992

I

I

I

'

I

I

I
1990

1 I

I

I

I

I

I

1
1992

CHART 10

STOCK INDICES
WEEKLY SERIES
SCALE

RATIO S
198

100
200

UNITED STATES

180

UNITED KINGDOM

160
140

120

'

100

'

•

I

•

1

'

1

i

» i

> i

i

i

i

i

'

l

i

i

'

I

'

'

•

I

i

i

i

I

'

i

i

240
200

GERMANY
JAPAN

160

120

80

1

1

1

l

1

1

1

'

•

•

•

I

i

'

'

180
SWITZERLAND

165

FRANCE

150
135

120
105

90
150

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

'

I

I

•

'

•

I

'

•

'

I

I

'

i

I

i

135
CANADA

NETHERLANDS

120
105

90

75

•

I

I




I

I

'
1990

'

I

'

'

I

I

I

I
1992

I

•

'

i

I

i

i
1990

i

l

i

1992

SERIES
Chart 1.

6 -May-92

13-May -92 20 - M a y - 9 2 2 7 - M a y - 9 2 3-Jun-92

Spot Exchange Rates and Indices

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

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
0.77082
54.859
67.372
181.51

3.0146
83.038
18.463
62.008
0.08234
0.78075
55.049
68.311
182.07

.22
.85
.07
.19
.69
.33
.10
.57
.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

118.79
82.76
83.20
174.43
47.26
204.43
158.03
219.77
73.64

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

107.49
72.92
72.55
171.81
39.46
198.25
145.98
67.82
202.01
63.61
87.63

-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

-2.08
-6.05
-5.76
-8.22
-0.64
-5.59
-5.34
-5.92

336.83

335 .91

338.25

337.85

338.03

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

3.80
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

2.9600
83.844
18.067
60.899
0.08104
0.75265
54.117
66.377
178.40

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

116.64
83.57
81.41
171.31
46.51
197.07
155.36
213.54
72.16

117
82
82
172
46
198
156
212
72

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.

.27
.91
.37
.50
.43
.10
.84
.71
.52
.63
.92

-2.63
-6.07
-5.90
-8.06
-0.70
-5.69
-4.82
-6.21

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

107
73
72
171
39
194
145
67
197
63
88

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.

107.11
74.87
72.00
171.17
39.42
193.48
145.65
67.54
199.17
63.23
89.31

Call Money Rates

U.S. federal funds
Overnight Euro-dollar d e p o s i t s
Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom




SERIES
Chart 5.

6- May-92

3-Month Interest Rates

U.S. 90-day CD's, s e c o n d a r y market
Canadian finance paper
French interbank rate
German interbank rate
Japanese CD rate
Netherlands interbank 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. 89
6. 79
9. 96
9. 69
4. 75
9. 48
8. 59
10. 25
8. 78

.79
.71
.80
.69
.72
.44
.65
.05
.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. 91
6 .30
9. 88
9. 66
4. 70
9. 45
9. 09
9. 95
8. 70

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

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

3
6
9
9
4
9
8
10
8

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 3-Jun-92

3. 73
3. 81
3. 80
3. 91
4. 09
4. 54

Selected Euro-dollar & U.S. Money Market Rates
3. 73
3. 77
- 0 . 04

3 .74
3 .84
-0 .10

3. 84
3. 89
- 0 . 05

3..85
3. 80
0..05

3 .85
3 .85
0 .00

3. 91
3. 89
0 . 02

3 .79
3 .79
- 0 .01

3. 78
3. 76
0 . 02

3..88
3..85
0..03

3 .94
3 .91
0 .03

3. 91
3. 89
0 . 03

3 .79
3 .74
0 .04

3. 78
3. 72
0 . 05

3 .88
3 .81
0 .07

3 .94
3 .88
0 .06

3. 93
4. 11
- 0 . 17

3 .85
4 .05
-0 .20

3. 83
4. 10
- 0 . 27

3 .91
4 .14
-0 .24

3 .96
4 .19
-0 .23

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

3, 91
3. 64
0. 27

3 .79
3 .57
0 .22

3. 78
3. 64
0 . 14

3 .88
3 .81
0 .07

3 .94
3 .76
0 .18

Euro-dollar deposit
Swiss interbank, covered
Differential

3, 91
3..67
0. 25

3 .79
3 .47
0 .31

3. 78
3. 46
0 . 32

3 .88
3 .62
0 .26

3 .94
3 .63
0 .30

8 .60
8 .57
7 .97
5 .67
6 .56
8 .32
9 .13
7 .40

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

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 .36

Overnight Euro-dollar deposits
U.S. federal funds
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 f i n a n c e paper, covered
Differential

Chart 9.

Long Term Government Bellwether Bond Y i e l d s
10-year maturity, w h e r e available
8. 80
8. 76
8. 01
5..77
6..57
8..36
9..17
7..55

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 S t a t e s

112,.01
151..21
105,.47
101..28
115..64
152..84
163 .48
168.,76

113
152
105
105
115
154
165
168

.44
.71
.81
.73
.37
.63
.73
.67

112..68
150..73
.37
107 .
105 .45
114 .77
152 .91
166 .61
168 .30

112
151
107
102
116
152
164
166

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

113
150
107
103
116
152
162
168

.55
.46
.62
.32
.40
.89
.20
.09

Indices (in order, rebased to 1986=100) are Toronto C o m p o s i t e , CAC General, FAZ Aktien,
#
Tokyo
SE
(Topix),
CBS
All-General,
Swiss
Bank
Index,
Financial
Times
Ordinary,
NYSE
Composite



^ nf GOvr

FEDERAL RESERVE statistical release
H.10(512)

June 5, 1992

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

JUNE 5, 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

Jun. 1

(CURRENCY UNITS PER DOLLAR)
Jun. 2
Jun. 4
Jun. 3

Jun. 5

0.7574
11.335
33.100
1.2048
5.5003
6.1955
1.2760
4.3749
5.4075
1.6105
193.10
7.7383
28.700
1.6615
1213.80
127.45
2.5460
1.8145
0.5351
6.2785
133.35
1.6270
2.8365
788.20
100.40
N. A.
5.8010
1.4617
24.905
25.420
1.8227

0.7575
11.310
33.060
1.2035
5.4937
6.1855
1.2789
4.3705
5.3970
1.6070
192.90
7.7392
28.650
1.6635
1210.00
127.53
2.5320
1.8098
0.5356
6.2740
133.15
1.6325
2.8390
789.80
100.20
43.610
5.7935
1.4610
24.930
25.440
1.8245

0.7630
11.285
33.010
1.2003
5.4937
6.1950
1.2787
4.3690
5.4030
1.6044
192.90
7.7385
28.700
1.6655
1213.75
127.80
2.5325
1.8074
0.5373
6.2715
133.35
1.6295
2.8090
790.90
100.65
43.680
5.7955
1.4703
24.935
25.440
1.8178

0.7629
11.260
32.920
1.1975
5.4987
6.1780
1.2822
4.3560
5.3860
1.6000
192.45
7.7370
28.700
1.6665
1210.25
127.57
2.5240
1.8021
0.5369
6.2460
133.25
1.6280
2.8260
791.10
100.40
N. A.
5.7750
1.4615
24.917
25.460
1.8250

0.7630
11.178
32.680
1.1926
5.4987
6.1355
1.2901
4.3300
5.3505
1.5884
191.30
7.7350
28.680
1.6772
1201.50
126.80
2.5220
1.7893
0.5385
6.2045
132.75
1.6260
2.8100
792.00
100.20
N. A.
5.7340
1.4500
N. A.
25.430
1.8360

87.48

87.36

87.41

87.15

86.58

•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 1202) 452-3244.