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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts May 11,1992 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 7. 8. 9 10 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 INTEREST ARBITRAGE: 3-MONTH FUNDS LONG-TERM GOVERNMENT BOND YIELDS 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 RATIO SCALE MARCH 1973-100 140 130 120 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 120 |— 110 110 100 100 90 80 80 70 280 90 BELGIAN FRANC « • • I 1 ' 1 1 1 1 1 1 * 1 I ' I I I 1 I 1 1 ' I I I » 1 » 70 280 260 260 SWISS FRANC 240 240 JAPANESE YEN 220 220 200 200 180 180 160 160 140 100 « • 90 1 I ' • » I 1 • ' I I • • i i i i i • » • • • ' 1 ' 140 100 90 UNITED KINGDOM 80 80 70 70 CANADIAN DOLLAR 60 60 50 200 I ' I I I 1 1 1 I 1 • > 1 1 • ' • I I I • » I ' ' ' 1 ' I I 50 200 180 — 180 DUTCH GUILDER 160 160 GERMAN MARK 140 — 120 120 100 120 140 I I I I I I I I I I I I I I I I I « I 1 I 1 I I I I _L_J_ 100 60 55 ITALIAN LIRA FRENCH FRANC 100 I 50 45 40 80 35 1 1 1 60 I 1 ' 1990 ' I I I 1 I 1 I 1992 I • 1 I 1 ' 1990 1 1 1 1 1 1 1 1 1 1992 30 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 4 PERCENT PER ANNUM 4 e CANADIAN DOLLAR 12 8 i ' « l ' i U.K. POUND ' I • ' i I ' ' ' 1 GERMAN MARK 1 1 1 1 1 1 1 1 1 1 1 1 1 1 i i 1 i 1 1 1 1 1 1 i i 1 i 1 1 1 1 1 1 12 8 JAPANESE YEN 1 i i i I i i i I 1 1 1 1 1 1 1 SWISS FRANC i i i 1 i "X X i i DUTCH GUILDER X v i i i i i i 1 1 1 1 1 1 1 FRENCH FRANC i i i 1 i ITALIAN LIRA — 8 12 1 I I 1 1 1 1 1990 1 1 1 1 1 1 1 1 1992 1 1 1 1 1 1 1 1990 1 1 1 1 1 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 — 320 — 340 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANh )ENT PER ANNUM 12 12 FRANCE 10 10 U.S. FEDERAL FUNDS 8 8 JAPAN 6 6 4 4 2 12 i i » l i ' i l ' i i l i i ' • i i I i ' ' I i ' ' l ' i i 2 12 10 10 GERMANY 8 8 NETHERLANDS 6 6 4 16 I I I I I I I I I I I I I I » I I I I ' I I I I I I 4 16 14 14 12 12 UNITED KINGDOM CANADA 10 10 8 8 6 6 SWITZERLAND 4 I I I I I I 1990 I I I I I I 1 I 1992 ' I I I I I 1990 I I I I I I I I 1992 4 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 1 2 ' I • 1 ' I 1 1 • 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 8 9 ' 1 I » ' ' I » 1 ' I i ' i I I I I I I I I I I l I I l l 4 12 10 FRENCH INTERBANK RATE ' « i I ' ' i I ' i » l i i i i i i I SWISS INTERBANK i i I i i i I i i i i i GERMAN INTERBANK RATE i 1990 i 1992 i i I i i 1990 i I i i i I i 1992 6 11 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 I 1990 1992 I I 1990 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 10 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS 6 — EURO-DOLLAR DEPOSITS 90-DAY CD'S FEDERAL FUNDS DASHED LINE DASHED LINE — 4 4 — J I ' L i l l I I I I—I—I—L I I , I i i I I I I J I I I 1 1 1 1 12 2 DIFFERENTIAL i I i DIFFERENTIAL • i i i 1990 i i i i i i i i 1992 i » i l i i 1990 i I i i i L _l L 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 COVERED LONDON INTERBANK STERLING CANADIAN FINANCE CO. PAPER, COVERED EURO-DOLLAR DEPOSITS U.S. COMMERCIAL PAPER DASHED LINE ' I I I I I DASHED LINE ' i ' I I I » • I i i DIFFERENTIAL i I i i i I i i i I t i i I i i i I i i i i i DIFFERENTIAL / "v 2 12 • ' ' I • • • I • • i I • i ' i i i I i i i INTERBANK DM COVERED FRANKFURT SWISS INTERBANK (SF) COVERED EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE i » » I i i ' I i ' DASHED LINE i I i < I I DIFFERENTIAL i i i I i i i 1990 I I I i i I I I i I i I > ' • I • DIFFERENTIAL I i i i I i i i 1992 I ' I I I • 1990 • • 1992 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNU CENT PER ANNUM 13 10 UNITED KINGDOM UNITED STATES 9 12 8 11 7 10 6 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 9 12 12 FRANCE CANADA 11 11 10 10 9 9 8 8 7 I I I I I ' ' I I » I I ' ' ' • ' i I i ' ' I ' i i I ' i i 7 8 8 JAPAN SWITZERLAND 7 7 6 6 5 5 4 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 4 10 10 GERMANY NETHERLANDS 9 9 8 8 7 7 6 I I I I I 1990 I 1 I ' ' I I I 1992 I i i i I i i 1990 i l i i i I i i 1992 i 6 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 200 UNITED KINGDOM UNITED STATES 180 180 160 160 140 140 120 120 i 100 i l » i i I i i i I i i I i I I I ' ' I I • I I I I I I 240 200 100 150 135 GERMANY JAPAN 120 160 105 120 90 80 180 165 i i i l i i i I i i i I i i • i ' i l ' i i I i FRANCE SWITZERLAND 150 135 120 105 I 90 150 I I I I I I I I I I I I I 135 135 NETHERLANDS CANADA 120 120 105 105 90 90 75 I I I I I « 1990 ' I 1 » I I I I 1992 I • 1 1 I I 1 1990 1 1 1 1 1 I 1 • • 1992 75 SERIES C h a r t 1. 8-Apr-92 15-Api—92 22-Api—92 29-Api—92 6-May-92 Spot Exchange Rates and I n d i c e s Noon b u y i n g r a t e s ( U . S . c e n t s , w e e k l y a v e r a g 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 Swiss f r a n c U.K. pound I n d i c e s , March 1973 base r a t 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 Swiss f r a n c U.K. pound 2.9144 84.594 17.738 59.934 0.07978 0.74540 53.242 64.722 174.89 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 .84 .31 .93 .60 .79 .17 .85 .22 .74 115 .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 .16 106 .60 76 .50 71 .41 170 .16 39 .22 193 .77 144 .83 67 .06 196 .27 62 .61 90 .57 106 .86 75 .46 71 ..74 170,.69 39..30 193 .22 145 .25 67 ,.30 197 .36 63 .17 89 .97 107,.11 74..87 72,.00 171 .17 39,.42 193 .48 145 .65 67 .54 199 .17 63 .23 89 .31 .82 .86 .49 .80 .52 .29 .38 ,.16 - 2 .62 - 5 .82 - 5 .53 - 7 .75 - 0 , .52 - 5 , .31 - 4 .52 - 6 .13 - 2 .61 - 5 .97 - 5 .78 - 7 .98 - 0 , .62 - 5 , .60 - 4 , .72 - 6 .32 - 2 , ,63 - 6 , .07 - 5 , .90 - 8 , .06 - 0 ,.70 - 5 .69 - 4 .82 - 6 ,.21 339.32 339 .82 337 .63 336 .64 336 .83 3.98 4.05 6.85 9.76 9.64 4.68 9.17 7.88 9.33 3 .65 3 .83 6 .95 9 .88 9 .59 4 .67 9 .17 6 .88 10 .30 3 .47 3 .73 6 .55 9 .81 9 .62 4 .70 9 .16 7 .21 10 .23 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 2.9855 84.071 18.133 61.415 0.08134 0.75112 54.538 66.983 174.41 2.9578 84.416 17.966 60.827 0.08082 0.75235 54.025 66.084 176.36 .64 .79 .71 .77 .69 .67 .57 .49 .54 116 .55 84 .14 80 .96 171 .11 46 .39 196 .99 155 .09 212 .60 71 .33 100 117 83 81 172 46 196 156 215 70 114 84 79 168 45 195 152 208 70 Weighted a v e r a g e exchange v a l u e i n d i c e s , Mar. 1973-100 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 Swedish k r o n a Swiss f r a n c U.K. pound U.S. d o l l a r C h a r t 2. 107 .25 75 .59 71 ..71 171 .33 39 .39 193 .83 145 .69 67 .42 198 .66 62 .57 89 .54 -2.86 -5.72 -5.47 -7.75 -0.50 -5.29 -4.51 -6.47 -2 -5 -5 -7 -0 -5 -4 -6 Gold P r i c e i n London, A f t e r n o o n F i x i n g U.S. d o l l a r s p e r f i n e ounce C h a r t 4. .96 .00 .21 .68 .53 .80 .68 .56 .81 .59 .18 3 - M o n t h Forward Exchange R a t e s , Premium or D i s c o u n t 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 C h a r t 3. 107 75 72 172 39 192 146 67 200 61 89 C a l l Money Rates U.S. f e d e r a l f u n d s Overnight E u r o - d o l l a r deposits Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom # SERIES Chart 5. 8_Api—92 3-Month I n t e r e s t Rates U.S. 90-day CD'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 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 14 .36 .93 .65 .74 .49 8.60 10.93 8.93 3.95 7.16 9.89 9.60 4.69 9.34 8.20 10.38 8.79 3.97 7.00 9.88 9.60 4.72 9.33 8.38 10.33 8.77 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 4.05 4.06 4.11 4.16 4.26 4.73 3.83 3.95 3.95 4.01 4.14 4.50 3.73 3.95 4.00 4.05 4.18 4.58 3.68 3.84 3.86 3.96 4.15 4.58 3.73 3.81 3.80 3.91 4.09 4.54 E u r o - D o l l a r Deposit Rates Overnight 7-day 1 -- m o n t h 3 month 6-month 1-year Chart 7. 15-Apr-92 22-Apr-92 29-APr~92 6-May-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 4.05 3.98 0.07 3. 83 3.,65 0 .18 3.73 3.47 0.25 3. 68 3. 65 0..03 3 .73 3 .77 - 0 .04 3-month E u r o - d o l l a r d e p o s i t U.S. 90-day CD's, secondary market Differential 4.16 4.14 0.02 4 .01 3 .95 0 .06 4.05 3.97 0.09 3 .96 3 .93 0 .03 3 .91 3 .89 0 .02 416 4.01 4.05 -0.04 4.05 4.04 0.01 3.96 3.96 3.91 3.89 0.03 4.45 -0.25 3.99 4.29 -0.30 3.97 4.34 -0.36 -0 .26 -0.17 4.16 4.05 0.12 4.01 3.98 0.03 4.05 3.94 0.11 3.96 3.75 0.22 3.91 3.64 0.27 4.16 3.99 0.17 4.01 3.73 0.28 4.05 3.76 0.29 96 83 .13 3.91 3.67 0.25 8.80 8.68 7.97 5.67 6.58 8.36 9.98 7.43 8.68 8.65 7.89 5.63 6.53 8.27 9.28 7.35 8 .80 8.65 7 .92 5.69 6.54 8.28 9.17 7 .55 8.89 8.73 7 .97 5.75 6 .60 8.34 9.18 7 .58 8.80 8.76 110.57 146.05 105.08 92.24 111.30 141.95 143.89 160.20 113.68 147.61 106.13 99.96 113.53 145.71 159.28 168.46 112.23 147.75 106.85 97 . 0 2 114.12 146.39 157.87 165.71 111.82 148.85 105.23 99.74 115.10 148.10 161.10 166.57 Chart 8. Interest Arbitrage, 3 - M o n t h 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, Differential Euro-dollar deposit 4.29 -0.13 4.20 covered 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. 3.95 4.21 Long Term Government B e l l w e t h e r Bond Y i e l d s 1 0 - y e a r m a t u r i t y , 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 C h a r t 10. -0.00 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 .93 .11 8.01 5.77 6.57 8.36 9.17 7 .55 112.01 151.21 105.47 101.28 115.64 152.84 163.48 168.76 CAC G e n e r a l , FAZ A k t i e n , Times O r d i n a r y , NYSE C o m p o s i t e •oOfCOi,, m FEDERAL RESERVE statistical release H. 101512) Hey 11, 1992 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING MAY 8, 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. 4 1 CURRENCY UNITS PER DOLLAR) May. 5 May. 6 May. 7 May. 8 0.7538 11.565 53.810 1.1905 5.5239 6.3580 1.2490 4.4680 5.5395 1.6435 192.85 7.7490 28.600 1.6240 1234.50 132.70 2.5170 1.8495 0.5370 6.4160 138.45 1.6545 2.8610 783.10 103.20 N.A. 5.9270 1.5045 25.150 25.610 1.7830 0.7582 11.550 33.770 1.1915 5.5239 6.3440 1.2510 4.4590 5.5275 1.6415 193.10 7.7445 28.700 1.6245 1232.50 133.07 2.5145 1.8471 0.5382 6.4060 137.80 1.6510 2.8715 N.A. 103.05 N.A. 5.9180 1.5083 25.122 25.610 1.7815 0.7552 11.486 33.570 1.1967 5.5388 6.3080 1.2570 4.4365 5.4955 1.6320 192.00 7.7410 28.700 1.6358 1226.50 132.50 2.5190 1.8366 0.5374 6.3720 136.40 1.6515 2.8595 785.20 102.15 N.A. 5.8730 1.5020 25.070 25.610 1.7945 0.7513 11.513 33.680 1.1988 5.5338 6.3220 1.2553 4.4450 5.5110 1.6362 192.80 7.7410 28.700 1.6315 1231.25 132.70 2.5210 1.8417 0.5368 6.3860 137.30 1.6515 2.8650 786.90 102.40 N.A. 5.8970 1.5117 25.030 25.600 1.7965 0.7541 11.595 33.850 1.2000 5.5338 6.3685 1.2462 4.4745 5.5390 1.6470 194.10 7.7410 28.700 1.6220 1239.50 133.40 2.5260 1.8537 0.5371 6.4305 137.40 1.6500 2.8800 787.00 103.00 N.A. 5.9390 1.5290 25.115 25.595 1.7875 89.32 89.30 88.87 89.08 89.58 •VALUE IS U.S. DOLLARS ••INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10 C01MTRIES. 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 (202) 452-3244.
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