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(516/517) LIBRARY MAR 2 6 1 9 9 2 FEDERAL RESERVE BANK OF CHICAGO Selected Interest & Exchange Rates Weekly Series of Charts Jfk* 23 March W 1 9 9 2 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION 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. SPOT EXCHANGE RATE INDICES 2. 3-MONTH FORWARD EXCHANGE RATES 3. 4. 5. 6. 7. 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 ICALE 1973=100 140 130 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 120 RATIO SC> MARCH 1973= 1 1 1 1 110 1 100 _ 90 5 BELGIAN FRANC E 80 • 70 i i 280 260 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 I I I i i i I i i i I I I I I I I I ' I I I 1 I I I ' ' I I SWISS FRANC 240 — 220 JAPANESE YEN 200 180 160 140 • 120 100 i 90 I i i i i • i • I i i i I I i i i I i i i CANADIAN DOLLAR U.K. POUND 80 70 60 I 50 I I I I I I • I ' I I I ' I I I I I i i 200 180 — DUTCH GUILDER 160 — 140 ^ GERMAN MARK 120 ' 100 i i I i • 1 1 i 1 1 l 1 ' I • I I I ' 1 120 110 — ITALIAN LIRA FRENCH FRANC I I I I ' l 1990 I I I I I I I I 1992 I I I I I I 1990 ' I I I I 1992 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 4 CANADIAN DOLLAR I 12 8 ' I I I PERCENT PER ANNUM 4 U.K. POUND I I I I ' I I I I I GERMAN MARK ' ' ' I • • I I • ' ' I 12 8 JAPANESE YEN — fr- i l l I I I I I I I I I I I I SWISS FRANC 1 I I ' • l ' • ' l » ' • i • i i i r i I I 1 1 1 I I I 1 VAx 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 FRENCH FRANC 12 I DUTCH GUILDER V ' I ITALIAN LIRA i 1990 i i i i i i i i 1992 i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1990 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 440 440 12.5 Kg BARS AFTERNOON FIXING PRICE 420 400 400 380 380 360 340 320 1989 1990 1991 1992 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 16 16 12 12 FRANCE U.S. FEDERAL FUNDS JAPAN 0 • 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 0 16 16 12 12 CANADA GERMANY i i i I i i i I i i i I i i i 0 16 UNITED KINGDOM 12 SWITZERLAND NETHERLANDS 0 I I I I I I I 1990 I I I I • I 1992 ' ' l ' i 1990 i I i i i I i i 1992 i CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 12 12 WEIGHTED AVERAGE FOREIGN RATE 10 10 SWISS INTERBANK RATE 6 — U.S. CD'S 4 — i i i I i i i I i i i I i i i J_L i i i i i • • • i • ' ' 2 16 16 CANADIAN FINANCE CO. PAPER 14 14 — 12 12 — 10 10 — U.K. INTERBANK STERLING 8 — 8 — ' i i I 1 ' 1 1 I 1 1 1 I • ' I I I I • I ' I I I I I I I I 12 12 10 10 FRENCH INTERBANK RATE GERMAN INTERBANK RATE 4 ' ' I i i ' I i i i I i i i I I I I • • ' I I I ' I I I I — l 12 12 10 10 JAPANESE CD RATE NETHERLANDS INTERBANK RATE i I i i l l 1990 • ' • I ' ' 1992 .I 1990 I I I I I I I I 1992 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 12 12 OVERNIGHT 10 ' 2 ' I ' • • 3-MONTH I ' ' I I I I I I » 1 I 1 1 10 ' 1 I 1 I 1 I » ' 12 7-DAY 10 2 12 I 1 I I I I 6-MONTH I I 1 1 1 I ' ' ' ' i I 1-MONTH 10 • ' ' 10 l • • ' l i i i 1-YEAR « 1 I • 1 1990 1 I 1 1 i l ' » 1992 ' i i I i i 1990 i 2 12 10 4 — 1 2 12 I i ' i I i i 1992 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 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 10 10 FEDERAL FUNDS 90-DAY CD'S DASHED LINE J—I—i DASHED LINE i i DIFFERENTIAL L V I . I I / M M A A* I I 1990 i i L I I J—I—I _ J ^ I J I , I Y Y V W W ' L I H I AI.NA I I I I I i I i i i DIFFERENTIAL K mft. .n.n rnt\f I I 1992 I J 1 1 1 I I 1990 I I I I I I I I 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 16 16 12 12 COVERED LONDON CANADIAN FINANCE CO. PAPER, COVERED EURO-DOLLAR DEPOSITS U.S. COMMERCIAL PAPER INTERBANK STERLING DASHED LINE DASHED LINE i • I i ' i I i i i I i i I ' I I I I I I I I ' • ' I I I 1 1 I • • • DIFFERENTIAL DIFFERENTIAL 2 16 I I I I ' I I ' I ' I I 1 I 1 1 1 ' l l 2 16 12 12 INTERBANK DM SWISS INTERBANK (SF) COVERED COVERED FRANKFURT EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE I I I I I I I I I I I I I I I I I I I I I 1990 I I I » 1 1 I ' « 1 I ' • « 1 1 I 1 1 1 DIFFERENTIAL DIFFERENTIAL I ' I I I I I I I 1992 I J L I I « I 1990 I ' 1 1992 < CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES RCENT PER ANNUM PERCENT PER ANN! 14 14 UNITED STATES CANADA 12 12 10 10 8 6 8 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 6 14 14 UNITED KINGDOM FRANCE 12 12 10 10 8 6 10 8 • i i 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 6 10 SWITZERLAND JAPAN 8 8 6 6 4 4 2 12 i i i I i i i l i i i I < i ' i i i l i i i l i ' i I i i i 2 12 NETHERLANDS GERMANY 10 10 8 8 6 6 4 i i l i i 1990 ' l i ' ' I ' i 1902 ' i i i I i i 1990 i l i ' i l ' ' 1992 i 4 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 200 UNITED STATES 175 . NETHERLANDS 175 150 150 125 125 100 100 75 50 400 350 75 ' i i l i i ' I i i i l i i i I I I I I I I I I I I I I I 50 200 — JAPAN . GERMANY 175 300 150 250 125 200 100 150 75 100 I I I I I I I I I I I i i i I i ' i I i i ' i i 50 200 175 200 — SWITZERLAND — FRANCE 175 150 150 125 125 100 100 75 50 75 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 i 200 175 50 200 — CANADA — UNITED KINGDOM 175 150 150 125 125 100 100 75 50 75 i i i I i ' 1990 i I ' i ' I i i 1992 i • i i I i i 1990 i I i i i l i i 1992 i 50 SERIES 1 9 - F e b - 9 2 2 6 - F e b - 9 2 4-Mai—92 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, Weighted average 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 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 Rates 2.9466 84.330 17.834 60.602 0.08079 0.76794 53.846 66.742 174.53 2.9146 83.872 17.648 59.927 0.08000 0.75547 53.265 65.997 171.92 2.9244 83.552 17.725 60.192 0.08016 0.74928 53.459 66.489 171.95 1 1 7 . 02 8 3 . 94 8 0 . 90 1 7 1 . 88 46 . 74 2 0 4 . 55 1 5 5 . 91 2 1 7 . 91 7 1 . 23 116 . 3 1 84 . 1 3 80 .46 170 .70 46 .44 202 .78 154 .82 215 .66 70..75 116 . 1 1 84 .05 80 .36 170 .48 46 .37 201,.07 154,.58 214, 72 7 0 . 59 114 . 8 5 83 .59 79 .53 168 .58 45 .92 197 . 8 1 152, 91 2 1 2 . 32 6 9 . 53 115 .24 83 .28 79 .87 169 .33 46 ,. 0 1 196 ..19 153,.47 213 90 6 9 , 55 106 .89 75 .55 71 .17 170 .70 39 .40 198 .46 145 .27 67 . 0 2 200 . 8 2 6 1 .89 89 . 6 1 106 . 6 8 75 . 8 5 71 .06 170 .27 39 .37 196 . 8 5 144 .99 66 .90 200 . 3 9 61 .48 90 . 6 4 106 .96 75 .47 71 .34 170 .98 39 . 4 1 194 .85 145 .42 67 .07 201 . 7 3 61 .44 90 . 5 4 Mar. Gold P r i c e i n 1973=100 106 .86 75 .47 71 . 1 1 170 .56 39 .38 199 . 9 1 145 .20 66 .97 201 . 3 2 61 . 9 1 89 .38 'remium o r D i s c o u n t -3.11 -5.74 -5.35 -7.57 -1.03 -5.37 -3.21 -5.90 -3 -5 -5 -7 -0 -5 -3 -5 .04 .62 .27 .46 .87 .28 .34 .80 - 3 .05 - 5 .86 - 5 .43 - 7 .62 - 0 .88 - 5 ,. 4 1 - 3 , .63 - 5 . ,98 354.15 350, 79 4.20 4.50 7.20 9.84 9.55 5.59 9.31 6.38 10.55 3 . 96 4 . 03 7 . 05 9. 81 9 . 51 5. 61 9 . 34 6 . 68 1 0 . 45 -3 -5 -5 -7 -0 -5 -3 -5 .20 .75 .38 .54 .58 .32 .93 .98 - 3 .20 - 5 .76 - 5 .35 - 7 .62 - 0 .53 - 5 , .28 - 4 . .14 - 6 , 16 351, 76 349, 09 3 4 3 . 43 4 . 08 4 . 11 7 . 05 9 . 93 9 . 57 5 . 55 9 . 33 6 . 88 1 0 . 55 3 . 95 3 . 90 7 . 05 9 . 90 9 . 58 5 . 51 9 . 43 7 . 38 1 0 . 45 3 . 97 3 . 98 6 . 73 9 . 89 9 . 56 5 . 57 9 . 42 7 . 88 1 0 . 48 L o n d o n , A f t e r n o o n F ii xx ii n g d o l l a r s p e r f i n e ounce Chart 4. 2.9516 84.414 17.855 60.682 0.08091 0.77448 53.930 67.036 174.92 107.00 74.90 71.17 170.98 39.45 200.79 145.54 67.06 202.48 62.04 88.84 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. 2.9697 84.218 17.953 61.100 0.08143 0.78124 54.308 67.735 176.10 M a r c h 1973 b a s e 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 g u i l d e r Swiss f r a n c U . K . pound Chart 2. 11-Mai—92 18-Mai—92 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. e b - 9 2 26 - F e b - 92 4-Mai—92 3-Month I n t e r e s t Rates Euro-Dollar 18 54 88 50 15 46 38 19 88 4.16 7.47 9.91 9.51 5.13 9.47 7.50 10.29 8.88 4.50 4.05 4.03 4.04 4.15 4.51 4. 4. 4. 4. 4. 4. 03 09 13 18 31 70 4.11 4.13 4.15 4.15 4.29 4.68 4.50 4.20 0.30 4. 03 3. 96 0.,06 4.11 4.08 0.03 3. 90 3 95 - 0 . 05 3 . 98 3 . 97 0. 01 4.04 4.07 -0.03 4. 18 4. 18 - 0 . 01 4.15 4.16 -0.01 4 .25 4 .24 0 .01 4. 31 4. 30 0 ..01 4.04 4.23 -0.19 4..18 4,.25 - 0 .07 4.15 4.16 -0.01 4 .25 4 ,22 0 .03 4..31 4..31 0 .00 4.12 4.36 -0.23 4 .20 4 .44 - 0 .24 4.23 4.37 -0.14 4 .29 4 .48 - 0 .19 4 .35 4 .54 - 0 .19 4.04 4.07 -0.03 4 .18 4 .10 0 .07 4.15 3.96 0.19 4 .25 4 .04 0 .22 4 .31 4 .12 0 .20 4.04 3.96 0.08 4 .18 3 .97 0 .20 4.15 3.80 0.35 4 .25 3 .94 0 .31 4 .31 3 .97 0 .34 8.45 8.48 7.89 5.53 6.12 8.30 9.35 7.43 8 .44 8 .48 7 .91 5 .52 6 .13 8 .30 9 .34 7 .42 8 .44 8.41 7.84 5.53 6.18 8.20 9.33 7.37 8 .64 8 .50 7 .89 5 .54 6 .29 8 .25 9 .55 7 .47 9 .07 8 .58 7 .93 5 .54 6 .35 8 .29 9 .75 7 .65 118.08 140.24 103.20 114.98 110.06 138.47 153.25 166.03 119.32 143.30 105.41 117.36 111.14 141.42 155.39 168.51 119.55 146.14 107.01 116.24 112.33 143.62 154.28 166.63 116.76 147.09 106.00 111 .80 111 .74 140.67 152.58 164.34 115.03 144.46 105.44 106.45 111.41 142.05 149.41 166.10 D e p o s i t Rates r S e l e c t e d E u r o - d o l l a r & U.S. Overnight E u r o - d o l l a r U.S. f e d e r a l f u n d s Differential deposits 3-month E u r o - d o l l a r d e p o s i t U.S. 90-day C D ' s , s e c o n d a r y market Differential Chart 8. Interest Arbitrage, Euro-dollar deposit Interbank s t e r l i n g (London), Differential U.S. c o m m e r c i a l paper Canadian f i n a n c e p a p e r , Differential covered covered Euro-dollar deposit Swiss i n t e r b a n k , c o v e r e d Differential 10-year m a t u r i t y , 90 09 21 25 39 81 3. 4. 4. 4. 4. 5. 98 06 25 31 51 08 Market Rates >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. 3. 4. 4. 4. 4. 4. 3 - M o n t h Funds covered Euro-dollar deposit I n t e r b a n k DM ( F r a n k f u r t ) , Differential Chart 9. 4 . 30 7 . 80 9 . 99 9 . 59 4 . 94 9 . 53 8 . 20 10. 64 8 . 96 4. 7. 9. 9. 5. 9. 7. 10. 8. Overnight 7-day 1-month 3-month 6-month 1-year Chart 7 4 . 24 7 . 74 9 . 96 9 . 54 4 . 96 9 . 48 7 . 95 1 0 . 35 8 . 90 4.07 7.52 9.95 9.54 5.22 9.55 7.23 10.28 8.93 U.S. 9 0 - d a y C D ' 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 Japanese 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 CG-10 C o u n t r i e s ) Chart 6. 1 1 - M a r - 92 1 8 - M a r - 92 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 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 , 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 CAC G e n e r a l , FAZ A k t i e n , T i m e s O r d i n a r y , NYSE C o m p o s i t e < * O* GOw- FEDERAL RESERVE statistical release March 20, 1992 H.101512) FOREIGN EXCHANGE RATES FOR THE MEEK ENDING MARCH 20, 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: h h j n i t e d STATES DOLLAR Mar. 16 (CURRENCY UNITS PER DOLLAR) Mar. 19 Mar. 18 Mar. 17 Mar. 20 0.7549 11.716 34.270 1.2002 5.4892 6.4570 1.2262 4.5480 5.6575 1.6658 192.35 7.7380 28.580 1.6010 1251.50 133.98 2.5750 1.8757 0.5456 6.5350 143.80 1.6650 2.8875 775.30 105.30 N. A. 6.0385 1.5105 25.439 25.680 1.7150 0.7573 11.635 34.040 1.1970 5.4892 6.4235 1.2365 4.5180 5.6125 1.6525 191.25 7.7445 28.480 1.6135 1242.50 133.45 2.5935 1.8612 0.5463 6.4940 142.65 1.6450 2.8830 776.00 104.45 42.060 5.9990 1.4965 25.453 25.680 1.7310 0.7602 11.615 33.960 1.1933 5.4837 6.4095 1.2390 4.4970 5.6020 1.6490 190.90 7.7410 28.600 1.6157 1240.50 132.05 2.6030 1.8574 0.5480 6.4780 142.35 1.6520 2.8760 775.70 104.25 N. A. 5.9850 1.4928 25.480 25.630 1.7330 0.7599 11.765 34.380 1.1968 5.4837 6.4875 1.2232 4.5555 5.6685 1.6700 193.35 7.7465 28.600 1.5955 1256.75 133.27 2.5905 1.8809 0.5497 6.5605 144.35 1.6575 2.8940 777.00 105.70 N. A. 6.0670 1.5150 25.470 25.630 1.7110 0.7593 11.822 34.530 1.1985 5.4929 6.5080 1.2192 4.5730 5.6910 1.6777 194.20 7.7460 28.750 1.5845 1259.50 134.15 2.5890 1.8893 0.5492 6.5840 144.35 1.6660 2.8950 778.00 106.00 N. A. 6.0840 1.5255 25.490 25.680 1.7060 90.80 90.18 89.89 90.91 91.28 *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. 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 1202) 452-3244.
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