Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : May 18, 1992

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(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

May 18,1992

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
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
140
130
120

RATIO SCALE
MARCH 1973=100
140
130

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

120

110

110

100

100

90

90

BELGIAN FRANC

80
70
280

80
»

1

1

1

1

1

•

>

1

»

'

i

i

•

»

i i

•

i

'

•

1

i

1

1

i

I

i

i

i

70
280

260

260

SWISS FRANC

240

240

JAPANESE YEN

220

220

200

200

180

180

160
140
100

160

I

JL_L

90

'

• » I '

» '

I • • '

'

•

»

l

'

'

•

»

•

•

•

_L_L

i

140
100
90

UNITED KINGDOM

80

80

70

70
CANADIAN DOLLAR

60
50
200

60
I

180 —

I

1

»

I

I

I

1

I

1

•

I

I

I

I

'

•

'

I

•

i

'

i

*

•

'

i

i

i

'

DUTCH GUILDER

:

160
_ V V ( G E R M A N MARK

140

180
160 '
140

120
100
120

50
200

120
•

I

'

I

I

'

'

I

I

I

I

I

I

I

I

I

I

I

I

'

I

I

I

1

I

I

I

I

'

100
60
55

ITALIAN LIRA

FRENCH FRANC

100

I

50
45

80

40
35

60

'

'

• I • • '




1990

'

• • '

» « '
1992

'

'

I

•

•
1990

«

I

'

»

•

I

'

i
1992

i

30

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
4
CANADIAN DOLLAR

I I I

I

I I I

PERCENT PER ANNUM
4
U.K. POUND

I

I I I

Il I I I

GERMAN MARK

'

»

'

I

«

'

»

I

'

'

'

I

'

»

'

12
8

JAPANESE YEN
—

1

l
SWISS FRANC

l

1

l

l

l

1

1

1

1

1

i

i

i

1

1

1

1

1

1

1

i

i

i

1

1

1

M

i

l

DUTCH GUILDER

1
FRENCH FRANC




l

vF

1

1

1

ITALIAN LIRA

1
1990

1

1992

1

1

1

1

1990

i

i
i
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




320
1989

1990

1991

1992

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12
FRANCE

U.S. FEDERAL FUNDS

JAPAN

GERMANY

NETHERLANDS

UNITED KINGDOM




CANADA

SWITZERLAND

1990

1992

1990

1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANh

ENT PER ANNUM
12

15

WEIGHTED AVERAGE
FOREIGN RATE

10

13

8

11

U.S. CD'S

6

9
CANADIAN FINANCE PAPER
7

4

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

16

5
12

14

10

12

8

2

NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING

6

10

8
9

i

i

'

I

'

'

'

I

i

i

i

I

'

i

•

I

I

I

I

<

' I

I

'

•

'

I

I

I

I

10

7

FRENCH INTERBANK RATE

JAPANESE CD RATE

5

3
10

I

I

I

I

I

I

I

I

I

I

i

I

•

i

I

i

'

'

I

'

'

'

8

I

i

i

i

6
11

9

8

SWISS INTERBANK

6

4

4
12

i




i

I

'

i
1990

i

I

i

GERMAN INTERBANK RATE

i

i

I

i

i
1992

i

i

i

i

I

i

i
1990

'

I

i

i

»

I

7

i

i
1992

i

5

CHART 6

EURO-DOLLAR DEPOSIT RATES L O N D O N
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12

OVERNIGHT

I

I

I

'

I

3-MONTH

•

'

•

I

•

•

•

7-DAY

10

•

2
12

•

l

•

'

6-MONTH

i

l

i

i

i

I

i

i

i

i

I

i

1-MONTH

10

1

1

1




I

1

1

1990

1

l

i

i

10

I

i

i

i

I

'

i

'

1-YEAR

1

•

•

i

•

•
1992

•

i

i

I

'

'
1990

'

2
.12

10

l

' I

i

l

i

i
1992

i

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
D I F F E R E N T I A L : PLUS(+), F A V O R S B O R R O W I N G IN U.S.
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
12

10

8

PERCENT PER ANNUM
12

OVERNIGHT
EURO-DOLLAR DEPOSITS

10

3-MONTH
EURO-DOLLAR DEPOSITS

—

6 —

FEDERAL FUNDS
DASHED LINE

J

I

I

I

I

90-DAY CD'S
DASHED LINE

I

I

I

I

I

I

I

I

L

DIFFERENTIAL

I




I

I

I

I
1990

I

I

I

I

I

i

I

i

i

i

i

i
1992

»

DIFFERENTIAL

A AAAa

I

J — I — I — I — I

I

I

I

I

A i,N A K A

I

I

I

^

I
1992

I

J — i — i — I — i

i
1990

i

I

i

i

i

I

11

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

8 —

4 —

•

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

DIFFERENTIAL

DIFFERENTIAL

VW,. wu,'uuV

•

2
12

i

»

I

i

i

i

I

i

i

i

l

i

i

I

i

I

I

INTERBANK DM
COVERED FRANKFURT

8

I

I

I

1

SWISS INTERBANK (SF) COVERED

—

4 —
EURO-DOLLAR DEPOSITS
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

i

i

I

i

i

i

I

I

l

I

l

I

I

I

I

i




»

I

»

'
1990

i

I

I

'

'

I

I

I

I

I

I

I

'

I

I

I

I

I

DIFFERENTIAL

DIFFERENTIAL

i

I

I

'

i

i

I

i

i
1992

'

I

I

I

I

I

I
1990

'

I I
1992

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
=tCENT PER ANNUM

PERCENT PER ANNl

10

13

UNITED STATES

UNITED
KINGDOM

9

12

8

11

7

6

10
i

'

'

I

'

'

'

I

'

'

'

I

'

'

'

1

« 1

1

1

» I

1

'

1

I

1

^

1

9
12

12
CANADA

FRANCE

11

11

10

10

9

9

8
7
8

8
I

»

I

I

'

•

•

I

•

'

•

I

•

•

'

•

SWITZERLAND

•

1

l

•

«

1

1

•

»

'

I

i

i

»

7
8

JAPAN

7

7

6

6

5

5

4
10

I

I

»

I

I

I

I

i

I

I

I

I

I

I

NETHERLANDS

I

1

1

1

l

'

•

1

I

1

»

i

I

«

i

'

4
10

GERMANY

9

9

8

8

7

7

6

» 1 1 1 1 1 1 1 »1 1 1 ' ' '




1990

i
1992

i

i

I

i

i
1990

i

l

i

i

i

i

• '
1992

'

6

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100
200

RATIO SCALE
1986=100
200
UNITED STATES

UNITED KINGDOM

180
160
140

120

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

GERMANY
JAPAN

FRANCE

SWITZERLAND

•

•

•

I

i

i

i

l

i

»

i

I

135

135

NETHERLANDS

CANADA

120

120

105

105

90

90

75

•

i

i




i

«

1

1990

1

i

1

1

1

I

1

1

1

1992

'

•

I

I

I
1990

'

I

I

I

'

I

'

'
I
1992

75

SERIES
15-Apr-92 22-Apr—92 29-Apr-92 6-May-92
Chart 1.

13-May-92

Spot Exchange Rates and Indices

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

2.9578
84.416
17.966
60.827
0.08082
0.75235
54.025
66.084
176.36

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

2.9747
83.129
18.214
61.212
0.08133
0.75746
54.375
66 .075
180.05

116.55
84.14
80.96
171.11
46.39
196.99
155.09
212.60
71.33

114.84
84.31
79.93
168.60
45.79
195.17
152.85
208.22
70.74

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

117.22
82.85
82.07
172.19
46.69
198.33
156.10
212.57
72.83

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

107 .27
73 .91
72 .37
171 .50
39 .43
194 .10
145..84
67 .
.71
197. 52
63. 63
88. 92

-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

-2 .62
-6 .07
-5 .97
-8 .15
-0 .82
-5..75
-5. 07
-6. 15

339.82

337.63

336.64

336.83

335.91

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

3 .84
3 .74
6 .33
,
9..78
9. 62
4. 67
9. 43
7 38
10. OC

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

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.

-2.82
-5.86
-5.49
-7.80
-0.52
-5.29
-4.38
-6.16

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

106.60
76.50
71.41
170.16
39.22
193.77
144.83
67.06
196.27
62.61
90.57

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.

107.25
75.59
71.71
171.33
39.39
193.83
145.69
67.42
198.66
62.57
89.54

Call Money Rates

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




SERIES
15-Api 92 22-Apr-92 29~Apr~92 6-May-92
Chart 5.

3-Month Interest Rates

U.S. 90-day CD's, secondary market
Canadian finance paper
French interbank rate
German interbank rate
Japanese CD rate
Netherlands interbank rate
Swiss interbank rate
U.K. interbank sterling
Weighted average foreign interest rate
CG-10 Countries)
Chart 6.

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

3 .79
6 .71
9 .80
9 .69
4 .72
9 .44
8 .65
10 .05
8 .74

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

3 .74
3 .69
3 .69
3 .79
3 .94
4 .41

Euro-Dollar Deposit Rates

Overnight
7-day
1-month
3-month
6-month
1-year
Chart 7.

13-May-92

Selected Euro-dollar & U.S. Mone: Market Rates

Overnight Euro-dollar deposits
U.S. federal funds
Differential

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 .74
3 .84
-0 .10

3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential

4 .01
3 .95
0 .06

4 .05
3 .97
0..09

3.96
3.93
0.03

3 .91
3 .89
0,.02

3 .79
3 .79
-0..01

Euro-dollar deposit
Interbank sterling (London), covered
Differential

4, 01
4. 05
-0.04

4. 05
4. 04
0. 01

3.96
3.96
-0 . 00

3..91
3,89
0. 03

3. 79
3. 74
0. 04

U.S. commercial paper
Canadian finance paper, covered
Differential

3.99
4.29
-0.30

3. 97
4. 34
-0.36

3.95
4.21
-0.26

3. 93
4. 11
-0. 17

3. 85
4. 05
-0.20

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

4. 01
3.98
0.03

4. 05
3. 94
0. 11

3.96
3.75
0.22

3. 91
3.64
0. 27

3.79
3. 57
0. 22

Euro-dollar deposit
Swiss interbank, covered
Differential

4. 01
3.73
0.28

4. 05
3.76
0. 29

3.96
3.83
0.13

3. 91
3.67
0.25

3.79
3. 47
0. 31

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
8. 01
5.77
6. 57
8. 36
9. 17
7. 55

8. 60
8. 57
7. 97
5.67
6. 56
8. 32
9. 13
7. 40

113.48
147 .61
106 .13
99 .96
113 .53
145 .71
159 .28
168,.46

112 .23
147 .75
106 .85
97 .02
114 .12
146 .39
157 .87
165,.71

111 .82
148 .85
105 .23
99 .74
115 .10
148 .10
161 .10
166 .57

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

113 .44
152 .71
105 .81
105 .73
115 .37
154,.63
165,.73
168.,67

Chart 8.

Chart 9.

Interest Arbitrage, 3-Month Funds

10-year maturity, where available

Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United States
Chart 10.

id Yields

Stock Indices (Wednesday figures)

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

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 Composite



FEDERAL RESERVE statistical release
H.10(512)

May 18, 1992

FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING

MAY 15, 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

May. 11

•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

0.7503
11.553
33.780
1.2063
5.5288
6.3500
1.2520
4.4590
5.5165
1.6415
193.55
7.7435
28.350
1.6265
1235.25
133.17
2.5375
1.8482
0.5337
6.4090
136.85
1.6505
2.8730
787.30
102.55
N. A.
5.9120
1.5280
25.068
25.630
1.7927

MEMO:
^UNITED STATES

DOLLAR

COUNTRY

89.38

1 CURRENCY UNITS PER DOLLAR)
May. 12
May. 13
May. 14
0.7523
11.426
33.400
1.2045
5.5288
6.2615
1.2671
4.4065
5.4450
1.6222
192.55
7.7460
28.450
1.6450
1220.80
130.50
2.5160
1.8267
0.5320
6.3300
135.00
1.6430
2.8570
788.10
101.20
43.425
5.8460
1.5045
25.063
25.630
1.8130
88.30

0.7525
11.418
33.380
1.2052
5.5138
6.2625
1.2677
4.4020
5.4420
1.6218
191.10
7.7395
28.350
1.6470
1221.00
130.40
2.5230
1.8255
0.5330
6.3245
134.90
1.6400
2.8375
786.70
101.25
N. A.
5.8380
1.4945
24.910
25.550
1.8130
88.25

0.7574
11.348
33.190
1.2025
5.5138
6.2290
1.2741
4.3825
5.4130
1.6126
190.45
7.7395
28.300
1.6555
1214.00
130.20
2.5250
1.8152
0.5347
6.2950
134.00
1.6380
2.8380
787.10
100.90
N. A.
5.8120
1.4760
24.962
25.510
1.8220
87.82

May. 15
0.7574
11.358
33.230
1.2028
5.5138
6.2360
1.2727
4.3880
5.4200
1.6150
191.00
7.7355
28.400
1.6535
1214.50
130.25
2.5260
1.8185
0.5340
6.3050
134.10
1.6400
2.8460
787.80
100.95
N. A.
5.8180
1.4885
24.975
25.540
1.8185
87.94

"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 PIBLICATIONS SERVICES AT THE FEDERAL RESERVE BOARD AT (202) 452-3244.