Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 9, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

November 9,1992

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, D.C. 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
RATIOS

SCALE
H1973=100
140
130

MARCH 197

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

120
110
100

—

90

BELGIAN FRANC

80
70
280

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1

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1

1

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1

'

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1

« I

»

1

SWISS FRANC

260
240

JAPANESE YEN

220
200

180

160
140

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100
90

U.K. POUND

80
70

CANADIAN DOLLAR

60
50
200

i

180 —

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DUTCH GUILDER

160
140

GERMAN MARK

120
100

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'

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'

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120

100

—

FRENCH FRANC

ITALIAN LIRA

80

60




i

i
1990

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' I
1992

i

1

1

1

I

1

1

1990

I

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» I
1992

»

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM M Q R M
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNL

[CENT PER ANNUM

4

4
+

U.K. POUND

CANADIAN DOLLAR

+

0

0

4

4

V<yv>

8

8
12
16
8

—

»

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•

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1

1

1

1

1

1

1

1
1

1

1

1

12
16
8

JAPANESE YEN

GERMAN MARK
4

4

+

+

0

0

4

4

8

8

12
8

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»

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1

•

I

1

«

1

l

» •

'

12
8

DUTCH GUILDER

SWISS FRANC
4

—

+

+

0

' W

4

0

" • VA-V

4

—

8

8
12
4
+

4

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1

1

1

1

1

1

1

1

1

1

1

1

1

1

ITALIAN LIRA

FRENCH FRANC

1

12
4
+

0

0

4

4

8

8
12

12
16




1990

1992

1990

1992

16

CHART 3

PRICE OF GOLD IN LONDON
A V E R A G E S FOR W E E K ENDING W E D N E S D A Y

U.S. DOLLARS PER FINE OUNCE

420

U.S. DOLLARS PER FINE OUNCE

—

420

12.5 Kg BARS
AFTERNOON FIXING PRICE

400

—

400

380 —

—

380

360

—

360

—

340

340

320
1989




1990

1991

320
1992

CHART4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16
14

12 —

FRANCE

10

U.S. FEDERAL FUNDS

8

JAPAN

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12

10
GERMANY

NETHERLANDS

•

•

•

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» '

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•

'

•

l

•

•

4

16

14

12

UNITED KINGDOM




CANADA

10

SWITZERLAND

I
1990

I

I

•

I
1992

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1990

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1992

i

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

12

15

WEIGHTED AVERAGE
FOREIGN RATE

U.S. CD'S
CANADIAN FINANCE PAPER

NETHERLANDS INTERBANK RATE

U.K. INTERBANK STERLING




JAPANESE CD RATE
FRENCH INTERBANK RATE

GERMAN INTERBANK RATE

SWISS INTERBANK

1990

1992

1990

1992

CHART 6

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

PERCENT PER AN

12

OVERNIGHT

10

3-MONTH

8

6

4

i

2
12

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6-MONTH

7-DAY

10

I

8

6

4

2
12

•

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1-MONTH

10

'

« i

'

1-YEAR

8

6

4

2

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< i
1990

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1992

'

•

•

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1990

•

•
1992

i

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+), FAVORS B O R R O W I N G 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

90-DAY CD'S

FEDERAL FUNDS

DASHED LINE

DASHED LINE

J

I

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I

I

I

I

I

l

L

J

I

DIFFERENTIAL

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DIFFERENTIAL

w

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1990

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1992

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J

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1990

I

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m

iK

L
1992

L

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
INTERBANK STERLING

I—

COVERED LONDON

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

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DASHED LINE

1

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1

» i

1 i

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DIFFERENTIAL

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'

DIFFERENTIAL

^M""w,yu"V

2
16

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V

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mm

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12
INTERBANK DM
COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

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DASHED LINE

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DIFFERENTIAL

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DIFFERENTIAL
'Vy. y~A,N/iyvi^-sAAo

2

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1990

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1992

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1990

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1992

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
13

PERCENT PER ANNUM

10
UNITED
KINGDOM

CANADA

FRANCE

SWITZERLAND

JAPAN

NETHERLANDS

GERMANY




1990

1992

1990

1992

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1966=100

RATIO SCALE
1935=100

200

200
UNITED STATES

UNITED KINGDOM

•

•

i

'

•

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•

i

135

200
JAPAN

GERMANY
120

160
—

105

120
90

I

80
180
165

I

I

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I I I I I I I

I

i

SWITZERLAND

i

i

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I

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I

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i

75
180

FRANCE

165

150

150

135

135

120

120

105

105

90
150

•

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135

90
150
135

CANADA

NETHERLANDS

120

120

105

105

90

75

90

'

•

'




I

'

•
1990

'

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1992

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75

14-0ct-92 2 1 - 0 c t - 9 2 2 8 - 0 c t - 9 2 4-Nov-92

7-0ct-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. c e n t s , w e e k l y a v e r a g e s )
3.4114
80.108
20.740
70.305
0.07768
0.83481
62.442
80.399
171.42

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,

134
79
93
197
44
218
179
258
69

Weighted a v e r a g e exchange v a l u e i n d i c e s ,

3 - M o n t h F o r w a r d Exchange R a t e s ,

Gold P r i c e i n

.85
.88
.13
.92
.03
.73
.06
.89
.87

128 .65
80 .13
89 .25
189 .10
43 .82
216 .82
171,.43
242 .16
66 . 5 1

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

Call

.05
.17
.81
.72
.12
.79
.60
.92
.51

123 .05
80 .22
85 .45
180 .75
43 . 1 1
212 .65
163 . 9 1
231..73
62 .83

125
80
86
183
43
214
166
235
64

1973-100
114
67
76
184
35
203
155
68
219
57
84

.39
.95
.72
.67
.41
.62
.80
.97
.88
.15
.36

114
68
76
184
35
206
155
68
218
55
85

.15
.73
,.50
.17
.50
..47
.44
.68
.07
.44
.16

112 .86
70 .07
75 . 6 4
181 .69
35 . 5 5
208 . 3 3
153 . 6 1
67 .96
216 .16
54 . 6 5
87 .06

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

-3
-7
-5
-11
-0
-5
-2
-4

.89
.07
.38
.17
.37
.25
.96
.56

-3
-6
-5
-10
-0
-5
-2
-4

.36
.34
.22
.64
.24
.10
.74
.07

- 2 .53
- 6 ,.23
.46
— 5,
- 1 0 .95
- 0 .14
- 5 .28
- 2 .84
- 3 . .90

342 .69

340 . 6 1

338 .93

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

Premium o r D i s c o u n t
-4.
-8.
-5.
-12.
-0.
-5.
-3.
-5.

11
15
64
14
54
48
23
35

349.30

3 4 6 . 92

Money R a t e s

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
Canada
France
Germany
Japan
Netherlands
Switzerland
U n i t e d Kingdom




129
79
90
190
44
215
173
245
68

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

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

Chart 4.

.31
.56
.22
.34
.17
.33
.55
.81
.18
.40
.37

-4.63
-9.68
-5.75
-13.12
-0.70
-5.72
-3.52
-5.86

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
Swiss f r a n c
U . K . pound

U.S.

.43
.84
.46
.77
.59
.58
.26
.65
.33

Mar.
116
66
78
188
35
202
158
69
227
56
82

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

Chart 3.

3.2648
80.392
19.805
67.223
0.07634
0.82807
59.716
75.271
164.45

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 y e n
Netherlands g u i l d e r
Swiss f r a n c
U . K . pound

Chart 2.

3.2953
80.143
20.002
67.868
0.07671
0.82392
60.285
76.432
170.27

deposits

3.20
2.99
7.37
13.30
8.90
4.11
8.88
6.23
9.18

3.
3.
6.
11.
8.
4.
8.
5.
9.

20
10
94
58
91
04
79
48
15

SERIES
7-0ct-92
Chart 5.

3-Month I n t e r e s t

Rates

U.S. 90-day CD'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
J a p a n e s e 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
CG-10 C o u n t r i e s )
Chart 6.

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, s e c o n d a r y 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 paper,
Differential

3.34
7.83
10.36
8.82
3.86
8.56
6.26
7.96
8.27

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

2.99
2.98
2.98
3.08
3.08
3.18

3.10
3.09
3.10
3.21
3.26
3.45

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

covered

covered

Euro-dollar deposit
Swiss i n t e r b a n k , covered
Differential
Chart 9
10-year m a t u r i t y ,

Canada
France
Germany
Japan
Netherlands
Switzerland
U n i t e d Kingdom
United States

3.10
3.20
-0.10

3.03
3.05
-0.02

2.98
2.96
0.01

2.95
3.07
-0.12

3.08
3.07
0.01

3.21
3.19
0.02

3.40
3.34
0.06

3.45
3.39
0.06

3.46
3.40
0.06

3.08
3.01
0.06

3.21
3.20
0.01

3.40
3.32
0.08

3.45
3.48
-0.03

3.46
3.45
0.01

3.16
3.14
0.03

3.24
3.56
-0.32

3.37
3.87
-0.50

3.46
3.87
-0.41

3.47
3.88
-0.41

3.08
3.06
0.02

3.21
3.13
0.08

3.40
3.32
0.08

3.45
3.41
0.04

3.46
3.24
0.23

3.08
2.96
0.11

3.21
3.04
0.18

3.40
3.26
0.14

3.45
3.29
0.16

3.46
3.30
0.16

7.78
8.53
7.44
4.93
6.13
7.72
9.12
6.49

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

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

1 1 1 . 13
1 2 8 . 18
9 0 . 40
97 . 73
1 0 5 . 23
147 . 45
1 5 1 . 79
1 6 9 . 75

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

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
Stock I n d i c e s

2.99
3.20
-0.21

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 10.

3.19
7.75
11.16
8.89
3.91
8.62
6.31
8.66
8.53

S e l e c t e d E u r o - d o l l a r & U . S . Mone> ' M a r k e t R a t e s

Overnight Euro-dollar deposits
U.S. f e d e r a l funds
Differential

Chart 8.

3.07
7.86
12.45
8.94
3.86
8.81
6.54
9.01
8.82

E u r o - D o l l a r Deposit Rates

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

1 4 - 0 c t - 9 2 2 1 - 0 c t - 9 2 2 8 - 0 c t - 9 2 4-Nov-92

7.84
8.59
7.40
4.88
6.21
7.75
9.26
6.30
(Wednesday f i g u r e s )
107 .15
121 .66
85 .35
98 .23
104 .36
145,.55
143,.32
163,,82

106
124
86
99
104
148
145
165

.48
.34
.52
.73
.74
.17
.69
.69

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



#

1

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FEDERAL RESERVE statistical release
November 6, 1992

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

NOVEMBER 6, 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
^AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EUR0 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
MEMO:
SBtUNITED STATES

MONETARY
UNIT
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

DOLLAR

Nov. 2

(CURRENCY UNITS PER DOLLAR)
Nov. 5
Nov. 4
Nov. 3

Nov. 6

0.6910
11.030
32.230
1.2415
5.5684
6.0185
1.2514
4.9490
5.3125
1.5670
203.95
7.7315
28.480
1.6790
1345.00
123.95
2.5145
1.7635
0.5218
6.3875
139.85
1.6268
2.9790
785.50
111.58
N. A.
5.9050
1.3985
25.373
25.410
1.5330

0.6950
11.010
32.180
1.2418
5.5789
5.9995
1.2572
4.9245
5.2930
1.5630
203.40
7.7312
28.450
1.6885
1336.00
122.25
2.5110
1.7583
0.5250
6.3595
139.30
1.6200
2.9730
785.20
111.35
44.370
5.8835
1.3925
25.392
25.430
1.5479

0.6909
10.975
32.250
1.2460
5.5789
6.0230
1.2530
4.9460
5.3015
1.5680
203.95
7.7315
28.450
1.6845
1338.50
122.80
2.5150
1.7644
0.5245
6.3830
139.90
1.6260
2.9700
785.10
111.85
44.370
5.9020
1.3980
25.388
25.405
1.5535

0.6968
11.111
32.480
1.2480
5.5789
6.0610
1.2425
4.9740
5.3400
1.5780
204.30
7.7338
28.450
1.6725
1350.00
122.67
2.5172
1.7775
0.5252
6.4190
141.15
1.6302
2.9840
785.10
113.08
44.370
5.9360
1.4170
25.388
25.390
1.5380

0.7003
11.225
32.790
1.2523
N. A.
6.1080
1.2333
5.0085
5.3940
1.5945
207.00
7.7330
28.450
1.6590
1364.00
123.20
2.5175
1.7942
0.5295
6.4780
142.20
1.6340
2.9860
785.20
114.10
44.390
5.9840
1.4315
25.440
25.425
1.5365

88.90

88.43

88.62

89.16

89.83

*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. 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 IS AVAILABLE ONLINE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL (202) 482-1986.
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.