Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 23, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

November 23,1992
Prepared by the
FINANCIAL MARKETS
SECTION




DIVISION O F
INTERNATIONAL FINANCE
BOARD O F GOVERNORS
FEDERAL RESERVE SYSTEM

Washington, DlC. 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.
4.
5.

3-MONTH FORWARD EXCHANGE RATES
GOLD PRICE—LONDON
CALL MONEY RATES
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

RATIO SCALE
MARCH 1973=100
140
FOREIGN CURRENCY
130

120

PRICE OF U.S. DOLLAR

120 |—
110

110

100

100

w

.

90

1

BELGIAN FRANC

90

80

80
1

1

1

1

l

•

•

1

'

1

•

l

•

»

•

•

i

1

1

1

1

I

i

'

I

1

» '

70

280
260

SWISS FRANC

240

JAPANESE YEN

220
200
180
160

•

'

I

1 '

'

I

I

I

« I

I

I

I

140

100
90

90

U.K. POUND

80

80

; 70

70

CANADIAN DOLLAR

60

60 —

•

» •

i

'

» '

I

'

i

i

I

i

'

'

'

' '

1 '

1

1

DUTCH GUILDER

GERMAN MARK

ITALIAN LIRA
FRENCH FRANC




1990

1992

1990

1

1

1

1

I

1

1

CHART 2

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

PERCENT PER ANNUM

4

4

e

CANADIAN DOLLAR

U.K. POUND

4
8
12

i

16

i

i

l

i

•

i

l

i

» '

l

'

i

'

8
JAPANESE YEN

GERMAN MARK

—

—

'

4

X

—

8
12
8

4

—

—

wmmmm

1

1

1 1

1

1

1

1

1

1

1

1

1

1

1

1

l

l

1

1

l

l

1

l

l

1

1

1

1

1

DUTCH GUILDER

SWISS FRANC
4

—

—

V

V/^v—/
4

—

8
12
4

i

i

i

i

i

i

i

I

1

1

1

1 1

1

1

1

1

1

1

1

1

1 I ' l l 1

'

'

1

1

1

ITALIAN LIRA

FRENCH FRANC

4
8
12
16

1

1

1

1




1

1 1
1990

1 1

1

1

1 1

1 1
1992

'

'

'

I

'

1990

I

'
1992

1 ,

8
12
8

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

—

400

—

380

—

360

—

340

12.5 Kg BARS
AFTERNOON FIXING PRICE

340 —

320




1989

1990

1991

1992

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

FRANCE
U.S. FEDERAL FUNDS

JAPAN

GERMANY

NETHERLANDS

UNITED KINGDOM




CANADA

r
SWITZERLAND

1990

1992

I

I

I

I

I

I
1990

I
1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
:ENT PER ANNUM

PERCENT PER AN

12

15

WEIGHTED AVERAGE
FOREIGN RATE

13

10

11
8

9
U.S. CD'S

6

7

CANADIAN FINANCE PAPER

4

2
16

5

i

i

i

I

i

i

i

I

i

i

i

I

'

'

i

I

'

L

L

I

'

I

I

I

I

I

I

3
12

14

10

12

8

10

U.K. INTERBANK STERLING

6

NETHERLANDS INTERBANK RATE

4

8

6
9

'

i

i

I

'

'

'

I

'

'

i

I

i

i

i

I

I

I

I

I

I

I

I

I

I

I

I

I

I

12

10

JAPANESE CD RATE

3

FRENCH INTERBANK RATE

I

1
10

I

I

I

I

I

l

I

l

l

l

8

I

l

6
11

9

8

6

4




2

14

7
5

I

SWISS INTERBANK

1990

GERMAN INTERBANK RATE

1992

1990

7

1992

5

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
12

CENT PER ANNUM

12

OVERNIGHT

10

3-MONTH

10

8

6

4

2
12

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

i

i

I

7-DAY

10

i

i

i

I

i

i

i

I

i

i

i

6-MONTH

10

8

—

6

4

2

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

12

1-MONTH

10

1-YEAR

8

6

4

2

2
12

•

'




L

I

I

1990

I

I

I

1

1

I

1

I

1992

»

1990

1992

i

8

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

—

8

90-DAY CD'S

FEDERAL FUNDS

DASHED LINE

DASHED LINE

— 4

J__U_L._L.J_J

I

I

I—I—J—I—L

I—i—J—I—I—I—L

DIFFERENTIAL

DIFFERENTIAL

Ay.

I

1

1




I

1

1
1990

I

I

1

1

1

1

1

1
1992

1

I

I

I

I

I

L__L

1990

I

I

I

I

I

I

I

1992

L

CHARTS

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

PERCENT PER ANNUM

16

12

—

—

INTERBANK STERLING
COVERED LONDON
—

—

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

0

1

1

1

1

1

'

/T"

DASHED LINE

1

1

1

12

CANADIAN FINANCE
CO. PAPER, COVERED

1

1

1

1

'

1

I

I

1

I

1

1

1

I

1

1

1

i

i

«

i

1

1

1

1

1

i

i

i

2
DIFFERENTIAL

l

2
16

l

I

I

I

i

DIFFERENTIAL

I

i

'

'

I

I

I

I

I

I

1

1

1

1

1

12

2
16

12

INTERBANK DM

COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

I

I

1

I

» »

DASHED LINE

1

1 '

1

1

i

1

1

1

'

i

DIFFERENTIAL




I

'

» '

I

'

'

'

I

I

I

I

» I

i

» '

DIFFERENTIAL

' ' ' ' • » « ' • ' ' ' ' • •
1990

i

1992

I

I

I

I

I

I
1990

I

» '
1992

I

CHART9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
3CENT PER ANNUM

PERCENT PER ANN!

10

13
UNITED STATES

UNITED
KINGDOM

9

12

8

11

7

10

6

9

5
12

1

1

1

I

1

1

1

1

I

1

1

1

I

1

i

I

1 I

1 I

I

I

I

I

I

I

I

I

8
12

CANADA

FRANCE

11

11

10

10

9

9

8

8

7
8

» '

•

1 •

'

'

I

« '

•

I

'

'w'

SWITZERLAND

i

i

i

I

i

i

i

I

i

i

i

I

7
8

JAPAN

7

7

6

6

5

5

4

•

•

'

1 i

i

i

i

i

i

i

i

i

i

»

i

i

i

I

i

i

i

l

i

i

i

I

i

i

10

4
10

NETHERLANDS

GERMANY

9

9

8

8

7

7

6

i

i




I

i

i
1990

'

I

'

'

i

I

'

'
1992

'

i

i

i

I

i

i i
1990

I

i

i

i

I

i

i i
1992

6

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986-100

RATIO SCALE
1986-100

200
UNITED STATES

JAPAN

'

'

1

I

•

1

»

1

•

GERMANY

1

i

i

i

i'«

SWITZERLAND




FRANCE

CANADA

1990

200

UNITED KINGDOM

NETHERLANDS

'
1992

1

1

1

1

1

1

1990

1

1

1

'

I

» « »
1992

SERIES
Chart 1.

21-0ct-92 28-0ct-92 4-Nov-92

ll-Nov-92 18-Nov-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
Indices, March 1973 base rates
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

3.2648
80.392
19.805
67.223
0.07634
0.82807
59.716
75.271
164.45

3.1736
80.437
19.265
65.309
0.07511
0.82033
58.033
73.332
159.49

3.1226
80.486
18.964
64.255
0.07511
0.81215
57.096
72.029
155.34

3.0572
79.618
18.608
62.908
0.07359
0.80946
55.887
70.024
152.69

3.0613
78.766
18.667
62.952
0.07368
0.80419
55.955
69.472
152.59

128.65
80.13
89.25
189.10
43.82
216.82
171.43
242.16
66.51

125.05
80.17
86.81
183.72
43.12
214.79
166.60
235.92
64.51

123 .05
80 .22
85 .45
180 .75
43 .11
212 .65
163 .91
231 .73
62 .83

120 .47
79 .35
83 .85
176 .97
42 .24
211 .94
160 .44
225 .28
61 .76

120 .63
78 .51
84 .12
177 .09
42 .30
210 .56
160 .63
223 .50
61 .72

112 .21
70 .93
75 .21
180 .47
35 .96
208 .50
152 .70
67 .63
214 .55
53 .71
88 .25

111 .31
71 .13
74 .76
178 .83
35 .69
210 .88
151 .42
67 .18
211 .33
53 .49
89 .78

111 .61
70 .41
75 .13
179 .25
35 .79
209 .65
151 .82
66 .88
209 .89
53 .53
89 .93

-3.36
-6.34
-5.22
-10.64
-0.24
-5.10
-2.74
-4.07

-2 .53
-6 .23
-5 .46
-10 .95
-0 .14
-5 .28
-2 .84
-3 .90

-2 .72
-5 .84
-5 .32
-10 .92
-0 .13
-5 .21
-2 .88
-3 .39

-3 .57
-5 .68
-5 .22
-10 .09
-0 .14
-5 .13
-3 .16
-3 .44

342.69

340.61

338 .93

334 .23

334 .46

3.05
3.03
7.43
10.73
8.85
4.03
8.72
5.05
9.53

2.96
2.98
7.88
9.98
8.80
3.96
8.74
6.03
10.20

3 .07
2 .95
8 .70
9 .55
8 .85
3 .92
8 .76
6 .23
8 .30

2 .91
2 .95
6 .91
9 .42
8 .79
3 .93
8 .76
6 .05
8 .28

2 .97
2 .94
6 .78
9 .30
8 .75
3 .88
8 .76
6 .45
7 .13

100

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.

-3.89
-7.07
-5.38
-11.17
-0.37
-5.25
-2.96
-4.56

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

112.86
70.07
75.64
181.69
35.55
208.33
153.61
67.96
216.16
54.65
87.06

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.

114.15
68.73
76.50
184.17
35.50
206.47
155.44
68.68
218.07
55.44
85.16

Call Money Rates

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




3 .39
7 .29
9 .73
8 .75
3 .81
8 .52
6 .08
7 .63
7 .99

3 .40
6 .45
9 .64
8 .82
3 .77
8 .69
6 .19
7 .43
7 .92

3 .47
6 .74
9 .31
8 .86
3 .79
8 .66
6 .31
7 .06
7 .89

3 .63
7 .52
9 .34
8 .85
3 .76
8 .72
6 .73
7 .10
7 .95

3 .03
3 .11
3 .16
3 .40
3 .40
3 .66

2 .98
3 .15
3 .15
3 .45
3 .48
3 .80

2 .95
3 .08
3 .11
3 .46
3 .50
3 .81

2 .95
3 .06
3 .10
3 .54
3 .59
3 .90

2

2 .95
3 .07
-0 .12

2 .95
2 .91
0 .05

.94
.97
-0 .04

3 .46
3 .40
0 . 06

3 .54
3 .47
0 .07

3 .74
3. 63
0..11

Euro-Dollar Deposit Rates
.94
3 .01
3 .13
3 .74
3 .74
3 .99

Selected Euro-dollar & U.S. Money Market Rates

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

3 .03
3 .05
-0 .02

2 .98
2 .96
0 .01

3 .40
3 .34
0 .06

3 .45
3 .39
0 .06

3 .40
3 .32
0 .08

3 .45
3 .48
-0 .03

3 .46
3 .45
0 .01

3 .54
3 .62
-0 .08

3 .74
3 .60
0 .14

3 .37 3 .87
-0 .50

3 .46
3 .87
-0 .41

3 .47
3 .88
-0 .41

3 .53
3 .97
-0 .44

3 .71
3 .89
-0 .18

3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential
Chart 8.

11-Nov -92 18-Nov -92

3 .34
7 .83
10 .36
8 .82
3 .86
8 .56
6 .26
7 .96
8 .27

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

4-Nov-92

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
(G-10 Countries)
Chart 6.

CM

Chart 5.

21 -Oct -92 28-Oct

o>

SERIES

2
2

Interest Arbitrage, 3-Month Funds

Euro-dollar deposit
Interbank sterling (London), covered
Differential
U.S. commercial paper
Canadian finance paper, covered
Differential
Euro-dollar deposit
Interbank DM (Frankfurt), covered
Differential

3 .40
3 .32
0 .08

3 .45
3 .41
0 .04

3 .46
3 .24
0 .23

3 .54
3 .43
0 .11

3 .74
3 .51
0 .23

Euro-dollar deposit
Swiss interbank, covered
Differential

3 .40
3 .26
0 .14

3 .45
3 .29
0 .16

3 .46
3 .30
0 .16

3 .54
3 .39
0 .15

3 .74
3 .52
0 .22
,

7 .91
8 .39
7 .34
4 .92
6 .09
7 .61
8 .73
6 .70

7 .80
8 .22
7 .31
4 .87
6 .01
7 .57
8 .43
6 .79

7 .68
8 .17
7 .34
4 .80
5 .88
7 .57
8 .39
6 .83

8 .00
8 .08
7 .31
4 .77
5 .91
7 .55
8 .28
6 .94

8 .00
8 .08
7 .34
.
4 .73
5 .94
7 .52
8 .39
6 .83

108 .39
127 .16
88 .79
98 .17
105 .12
148 .34
151 .39
168 .05

111 .13
128 .18
90 .40
97 .73
105 .23
147 .45
151 .79
169 .75

111 .46
130 .32
87 .71
97 .84
104 .47
150 .57
155 .14
168 .93

109 .52
130 .06
89 .43
94 .39
104 .85
151 .75
155 .40
170 .98

107,.69
129 .90
91 .18
96 .12
105 .01
147 .43
16 .46
171 .19

Chart 9.

Long Term Government Bellwether Bond Yields
10-year maturity, where available

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 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
November 20, 1992

H. 101512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

NOVEMBER 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
HON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

MEMO:
HHJNITED STATES

DOLLAR

Nov. 16

1 CURRENCY UNITS PER DOLLAR)
1
Nov. 19
Nov. 18
Nov. 17

Nov. 20

0.6881
11.196
32.740
1.2700
5.5881
6.0940
1.2355
5.0490
5.3665
1.5925
206.55
7.7322
28.450
1.6625
1356.50
124.85
2.5228
1.7914
0.5205
6.4690
141.25
1.6383
2.9995
785.50
113.69
44.390
' 5.9880
1.4390
25.440
25.450
1.5180

0.6842
11.277
32.930
1.2750
5.5881
6.1205
1.2313
5.1190
5.3875
1.5995
207.80
7.7345
28.480
1.6548
1363.50
124.55
2.5260
1.7992
0.5150
6.5110
141.85
1.6385
3.0100
786.50
114.48
44.410
6.0275
1.4550
25.457
25.510
1.5190

0.6881
11.235
32.810
1.2755
5.5881
6.1400
1.2312
5.1800
5.3890
1.5968
207.75
7.7390
28.480
1.6580
1367.00
124.38
2.5244
1.7964
0.5170
6.5290
141.45
1.6347
3.0010
788.20
114.45
44.410
6.1500
1.4560
25.442
25.500
1.5205

0.6839
11.115
32.440
1.2730
5.6240
6.1100
1.2439
5.1800
5.3350
1.5796
205.75
7.7370
28.480
1.6735
1360.00
123.55
2.5247
1.7764
0.5165
6.4900
141.20
1.6347
2.9875
789.50
113.17
44.410
6.5600
1.4340
25.420
25.480
1.5320

0.6843
11.217
32.810
1.2785
5.6741
6.2200
1.2302
5.2300
5.3940
1.5933
207.55
7.7360
28.480
1.6510
1376.00
124.22
2.5245
1.7931
0.5148
6.4600
144.55
1.6365
2.9975
789.30
114.08
44.410
6.7300
1.4320
25.418
25.460
1.5210

90.11

90.40

90.42

89.92

90.72

•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
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