Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 30, 1992

The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.

(516/517)

Selected Interest &
Exchange Rates
Weekly Series of Charts

November 30,1992

DIVISION O F
INTERNATIONAL FINANCE

Prepared by the

BOARD O F GOVERNORS
FEDERAL RESERVE SYSTEM

FINANCIAL MARKETS
SECTION




Washington, DlC. 20551

Table of Contents

TABLES

1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
H.10 RELEASE
CHARTS

1.
2.
3.
4.
5.

SPOT EXCHANGE RATE INDICES
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




S U B S C R I P T I O N 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

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

120

120

110

110

100

100
.

90

BELGIAN FRANC

90

80
70
280
260

80
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

70
280
260

SWISS FRANC

240

240

JAPANESE YEN

220

220

200

200

180

180

160

160

140

•

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

140

100
90

100
90

U.K. POUND

80

80

70

70
CANADIAN DOLLAR

60
50
200

180 —

I

'

I

I

•

I

I

I

I

I

I

I

I

I

i

i

i

I

i

i

i

I

60

i

i

i

I

J_JL

DUTCH GUILDER

50
200

180

160

160

140

— 140

GERMAN MARK

120

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

ITALIAN LIRA

FRENCH FRANC

1990

i

1992

1990

1992

CHART 2

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

PERCENT PER ANNUM

4 ,
+

4
CANADIAN DOLLAR

U.K. POUND

0

12

12

•

i

i

I

i

i

GERMAN MARK

JAPANESE YEN

SWISS FRANC

DUTCH GUILDER

FRENCH FRANC

ITALIAN LIRA

i

I

i

i

i

I

i

i

12
16

i

I




i

i- i
1990

I

i

i

i

I

i

i
1992

i
1990

1992

'

CHART3

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

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

SWITZERLAND

1990

1992

1990

1992

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

12

15

WEIGHTED AVERAGE
FOREIGN RATE

10

U.S. CD'S
CANADIAN FINANCE PAPER

2
16

l

l

l

I

l

l

l

I

l

l

l

I

l

i

I

i

i

I

i

j

i

I

i

i

i

I

i

i

14
12
10

NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING

'

'

'

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

JAPANESE CD RATE
FRENCH INTERBANK RATE

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

10

GERMAN INTERBANK RATE

SWISS INTERBANK

i

i




I

i

i
1990

i

I

i

i

i

I

i

i
1992

i
1990

1992

i

CHART 6

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

PERCENT PER ANNUM

12




12
OVERNIGHT

3-MONTH

7-DAY

6-MONTH

1-MONTH

1-YEAR

1990

1992

1990

1992

&

*

*

#

e

#

*

#

•

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 |

1 14

OVERNIGHT
EURO-DOLLAR DEPOSITS

3-MONTH
EURO-DOLLAR DEPOSITS

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

DASHED LINE

2
2

2
DIFFERENTIAL
DIFFERENTIAL

1

+
0

1




1990

1992

1990

1992

CHART 8

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

PERCENT PER ANNl

16

16

12

12
INTERBANK STERLING

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON
8

8

EURO-DOLLAR DEPOSITS

4

0

I—

DASHED LINE

i

i

i

I

i

i

U.S. COMMERCIAL PAPER

4

DASHED LINE

i

I

i

i

i

I

'

'

'

i

i

i

I

i

i

i

I

i

»

i

I

i

i

i

2
DIFFERENTIAL

DIFFERENTIAL
+

+

0

2
16

0

I

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

12
SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

8

8

EURO-DOLLAR DEPOSITS

4

—

DASHED LINE

I

I

I

I

I

I

I

I

I

I

I

EURO-DOLLAR DEPOSITS

4

DASHED LINE

I

I

I

1 I

I

I

I

I

I

I

I

I

I

I

2

0
2

DIFFERENTIAL

DIFFERENTIAL

+

0

2

2
16

12
INTERBANK DM

0

0
2

+

-A

I

l

l




1 l

» I
1990

I

» l

l

I

I

1 '
1992

0

I

I

I

I

I

I
1990

I

I

I

I

I

I

I

I
1992

I

2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

13

10
UNITED
KINGDOM

CANADA

FRANCE

SWITZERLAND

JAPAN

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

NETHERLANDS

:
1990

I

1992

:

i

I

i

1990

1992

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO S
198(

SCALE
00

200

180

UNITED KINGDOM

UNITED STATES

160
140
120

100

i

•

i

l

i

i

i

I

i

i

i

I

i

i

i

240
200

GERMANY

JAPAN

160

120

80

i

i

i

l

i

i

i

I

l

'

i

i

» I

» I

I

I

I

I

I

i

i

i

1 i

1 t

I

I

I

I

i

'

l

i

i

i

I

I

I

180
165

FRANCE

SWITZERLAND

150
135
120
105

I

90
150

'

'

135

i

l

i

'

'

I

i

i

i

•

i

'

I

NETHERLANDS

CANADA

120
105
90

75

•

i

'

1 i




i
1990

i

l

i

i

i

I

'

i
1992

i

I I
1990

I

I

I

I I
1992

SERIES
C h a r t 1.

28-Oct~9 2 4-Nov-92

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,

3.1736
80.437
19.265
65.309
0.07511
0.82033
58.033
73.332
159.49

125.05
80.17
86.81
183.72
43.12
214.79
166.60
235.92
64.51

Weighted a v e r a g e 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 y e n
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 R a t e s ,

3.0613
78.766
18.667
62.952
0.07368
0.80419
55.955
69.472
152.59

3.0483
78.026
18.509
62.731
0.07253
0.80648
55.760
69.694
152.29

120
78
84
177
42
210
160
223
61

111
71
74
178
35
210
151
67
211
53
89

.31
. 13
.76
.83
.69
.88
.42
. 18
.33
.49
.78

111 . 6 1
70 . 4 1
75 . 1 3
179 .25
35 .79
209 .65
151 . 8 2
66 .88
209 .89
53 .53
89 . 9 3

111
70
75
180
35
211
152
60
212
53
90

53
23
46
95
14
28
84
90

- 2 .72
- 5 .84
- 5 .32
- 1 0 . .92
- 0 . . 13
- 5 .. 2 1
- 2 .88
- 3 . 39

- 3 .57
- 5 .68
- 5 .22
- 1 0 .09
- 0 . 14
- 5 , .13
- 3 . . 16
- 3 . .44

- 4 . .56
- 6 ..30
- 4 . .89
- 1 0 . ,56
0.,14
- 4 . 84
- 2 . .71
- 3 . .23

340.61

338. 93

3 3 4 . 23

3 3 4 . .46

334. 61

2.96
2.98
7.88
9.98
8.80
3.96
8.74
6.03
10.20

3.
2.
8.
9.
8.
3.
8.
6.
8.

2.
2.
6.
9.
8.
3.
8.
6.
8.

91
95
91
42
79
93
76
05
28

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

2 . 90
2 . 84
7 . 80
9, 50
8 . 72
3 . 83
8 . 62
5 . 90
6 . 63

Mar.

Gold P r i c e i n

123
80
85
180
43
212
163
231
62

.05
.22
.45
.75
.11
.65
.91
.73
.83

.47
.35
.85
.97
.24
.94
.44
.28
.76

.63
.51
.12
.09
.30
.56
.63
.50
.72

120 . 1 2
77 .77
83 .40
176 .47
41 .63
211 .16
160 .08
224 . 2 1
61 .60

:1973=100
112 . 2 1
70 .93
75 . 2 1
180 .47
35 .96
208 .50
152 .70
67..63
214 .55
53 . 7 1
88 .25

.95
.23
.00
.01
.45
.99
.40
.22
.12
.83
.74

Premium o r D i s c o u n t
-3.36
-6.34
-5.22
-10.64
-0.24
-5.10
-2.74
-4.07

-2.
-6.
-5.
-10.
-0.
-5.
-2.
-3.

London, A f t e r n o o n F i x i n g

d o l l a r s per f i n e ounce

Chart 4.

3.0572
79.618
18.608
62.908
0.07359
0.80946
55.887
70.024
152.69

120
79
83
176
42
211
160
225
61

112.86
70.07
75.64
181.69
35.55
208.33
153.61
67.96
216.16
54.65
87.06

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.

3.1226
80.486
18.964
64.255
0.07511
0.81215
57.096
72.029
155.34

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

C h a r t 2.

1 1 - N o v ~ 9 2 18~Nov~92 2 5 - N o v - 9 2

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

07
95
70
55
85
92
76
23
30

SERIES
2 8 - 0 c t - 9 2 4-Nov-92
C h a r t 5.

3-Month I n t e r e s t

Euro-Dollar

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 , secondary market
Differential
Interest Arbitrage,

Euro-dollar deposit
Interbank s t e r l i n g (London),
Differential
U.S. commercial 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 , covered
Differential

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

3 .66
8 .66
9 .73
8 .83
3 .75
8 .61
6 .44
7 .13
8 .07

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 .94
3 .01
3 .13
3 .74
3 .74
3 .99

2 .84
2 .99
3 .08
3 .76
3 .79
4 .04

2.98
2.96
0.01

2 .95
3 .07
- 0 .12

2 .95
2 .91
0 .05

2 .94
2 .97
- 0 .04

2 .84
2 .90
- 0 .06

3.45
3.39
0.06

3 .46
3 .40
0 .06

3 .54
3 .47
0 .07

3 .74
3 .63
0 .11

3 .76
3 .66
0 .11

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 .76
3 .84
- 0 .07

3.46
3.87
-0.41

3 .47
3 .88
- 0 .41

3 .53
3 .97
- 0 .44

3.. 7 1
3,,89
- 0 . 18

3 .76
4 .00
- 0 .23

3.45
3.41
0.04

3 .46
3..24
0 .23

3 .54
3 .43
0 .11

3. 74
3. 51
0. 23

3 .76
3 .83
- 0 ,.07

3.45
3.29
0.16

3 .46
3..30
0, 16

3 .54
3 39
0. 15

3. 74
3. 52
0. 22

3..76
3. 68
0. 08

68
17
34
80
88
57
39
83

8.
8.
7.
4.
5.
7.
8.
6.

00
08
31
77
91
55
28
94

8.
8.
7.
4.
5.
7.
8.
6.

00
08
34
73
94
52
39
83

8 . 01
8 . 18
7 . 29
4 . 73
5 . 94
7 . 46
8 . 51
6 . 83

1 1 1 . 46
130. 32
87. 71
9 7 . 84
1 0 4 . 47
150. 57
155. 14
168. 93

109.
130.
89.
94.
104.
151.
155.
170.

52
06
43
39
85
75
40
98

107.
129.
91.
96.
105.
147.
156.
171.

69
90
18
12
01
43
11
19

1 0 8 . 60
127 . 11
8 9 . 76
9 7 . 86
1 0 4 . 64
1 4 7 . 11
1 5 7 . 74
1 7 3 . 59

Long Term G o v e r n m e n t 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.

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

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

C h a r t 9.

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

C h a r t 8.

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

Deposit Rates

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

18-Nov-92 25-Nov-92

Rates

U.S. 90-day C D ' 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 rate
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
(G-10 C o u n t r i e s )
Chart 6.

ll-Nov-92

7.80
8.22
7.31
4.87
6.01
7.57
8.43
6.79

7.
8.
7.
4.
5.
7.
8.
6.

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

111.13
128.18
90.40
97.73
105.23
147.45
151.79
169.75

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 , CAC G e n e r a l , FAZ A k t i e n ,
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 T i m e s O r d i n a r y , NYSE C o m p o s i t e



FEDERAL RESERVE statistical release
H.10(512)

November 3 0 , 1992

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

NOVEMBER 2 7 , 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

Nov . 23

•AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
•EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
•IRELAND
ITALY
JAPAN
MALAYSIA
NETHERLANDS
*NEN 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 .6833
11 .274
32 .980
1 .2850
N .A.
6 .2350
1 .2225
5 .1250
5 .4400
1 .6024
208 .85
7 .7385
28 .480
1 .6365
1390 .00
124,.18
2,.5245
1 .8025
0,.5145
6..4200
143,.65
1. 6352
3. 0150
790, 60
116. 44
4 4 . 420
6 . 7300
1. 4400
25. 456
25. 500
1 . 5175

0.6848
11.271
32.990
1.2885
N.A.
6.2450
1.2228
5.1700
5.4480
1.6020
208.90
7.7375
28.450
1.6350
1389.50
124.10
2.5250
1.8024
0.5155
6.6600
143.20
1.6340
3.0150
791.40
115.65
44.420
6.7500
1.4373
25.455
25.480
1.5190

0.6896
11.193
32.810
1.2832
N.A.
6.1700
1.2308
5.0600
5.3990
1.5935
207.45
7.7365
28.500
1.6480
1379.00
123.93
2.5255
1.7928
0.5163
6.5300
141.95
1.6324
3.0025
789.60
114.78
44.420
6.7300
1.4310
25.450
25.470
1.5250

MEMO:
^UNITED STATES

DOLLAR

9 1 . 16

91.18

90.72

COUNTRY

1 CURRENCY UNITS PER DOLLAR)
Nov. 24
Nov. 25
Nov. 26

H
0
L
I
D
A
Y

Nov. 27
0.6893
11.252
32.900
1.2855
5.7097
6.1800
1.2244
5.1380
5.4227
1.5985
208.85
7.7375
28.530
1.6400
1395.00
124.40
2.5327
1.7980
0.5150
6.5470
143.75
1.6372
3.0200
788.50
115.58
44.440
6.8100
1.4420
25.445
25.510
1.5095
91.20

•VALUE I S U . S . DOLLARS
**INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U . S .
DOLLAR AGAINST CURRENCIES OF OTHER G-10
COUNTRIES. MARCH 1973 = 1 0 0 .
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 I S AVAILABLE ONLINE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL 1202) 4 8 2 - 1 9 8 6 .
FOR INFORMATION ABOUT YOUR SUBSCRIPTION TO THIS RELEASE OR ABOUT RECEIVING I T I N DOCUMENT
FORM, PLEASE CALL PUBLICATIONS SERVICES AT THE FEDERAL RESERVE BOARD AT ( 2 0 2 ) 4 5 2 - 3 2 4 4 .