Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : October 12, 1993

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Selected Interest &
Exchange Rates
Weekly Series of Charts

October 12,1993

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.
2.
3.
4.
5.
6.
7.

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
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

RATIO SCALE
MARCH 1973=100

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

BELGIAN FRANC

•

•

•

—

i

•

'

» l

i

'

'

I

i

i

i

1

I

i

'

'

JAPANESE YEN

SWISS FRANC

•

i

» I

i

« •

i

1

» •

I

1

1

•

U.K. POUND

CANADIAN DOLLAR

•

i

i

I

i

1

1

'

'

I

i

i

'

•

•

GERMAN MARK

DUTCH GUILDER

•

I

l

i

i

i

l

i

» '

•

i

i

i

i

r

i

i

i

i

FRENCH FRANC

ITALIAN

1990




1992

1990

1992

i

i

i

i

i

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR A
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
2

PERCENT PER ANNUM
2
U.K. POUND

0

CANADIAN DOLLAR

'

» '

l

» '

JAPANESE YEN

» I

» •

'

I

'

•

•

i

i

i

I

i

i

i

I

i

I

'

'

I

I

i

i

I

i

i

'

I

I

'

'

SWISS FRANC

ITALIAN LIRA

FRENCH FRANC

'

•
1990




» I

•

1

•

i

1

1

1992

1

i

i

1

1

'

I
1990

I

I

1992

'

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

J

L
1990




J

I
1991

L

•
1992

I

I

I

L
1993

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
16

PERCENT PER ANNUM
10

FRANCE

U.S. FEDERAL FUNDS

JAPAN

NETHERLANDS
GERMANY

CANADA

UNITED KINGDOM

SWITZERLAND

'
1990




1992

1990

i

I

i

i

i

I

i

'
1992

i

I

'

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANt

ENT PER ANNUM
12

WEIGHTED AVERAGE
FOREIGN RATE

10
CANADIAN FINANCE PAPER

8

6

—

U.S. CD'S

4
2

0

» I

I

I

'

I

I

I

I

I

I

I

I

1

I

1

1

1

I

1

•

I

1

I

1

1

I

1

1

16

13

10
U.K. INTERBANK STERLING

NETHERLANDS INTERBANK RATE

7

4
9

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

7

5
JAPANESE CD RATE
FRENCH INTERBANK RATE
3

1
10

i

i

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I

i

'

i

I

i

i

1

I

1 1

«

i

i

i

I

'

•

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I

•

•

8

6
GERMAN INTERBANK RATE

SWISS INTERBANK
4

2

i

i

i

I

1990




i

i

i

I

i

i
1992

i

I

i

i

i

'

i
1990

i

I

'

i

i

I

i

i
1992

i

I

» » i

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
10

PERCENT PER ANNUM
10
3-MONTH

OVERNIGHT

7-DAY

6-MONTH

i

i

i

I

'

•

1990




I

'

'

'

I

i

i

I

i

i

i

l

l

•

•

i

l

1-YEAR

1-MONTH

'

i

'

•
1992

I

I

I

I

I

i

i
1990

i

I

'

•

•

1992

i

i

i

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
10

PERCENT PER ANNUM
10

OVERNIGHT
EURO-DOLLAR DEPOSITS

8 —

6

3-MONTH
EURO-DOLLAR DEPOSITS

—

FEDERAL FUNDS
DASHED LINE

90-DAY CD'S
DASHED LINE

4 —

J—i—i—I—i

i

i

I

i

i

i

I

i

i

i

J—l—I—I—l—I—l

DIFFERENTIAL

I

I
1990




I

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i

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i

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i

, A

-

I

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I

DIFFERENTIAL

A.A
v , n T ^ 7 7 r :/ W W s / y - v V

'vyvvt/'^vv y v

W - v / V y / - yr

I

i
1992

i

1

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i

. Ay.

J—I—I—I—I—I—I
1990

I

I

1992

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
10

PERCENT PER ANNUM
10

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

U.S. COMMERCIAL PAPER
DASHED LINE

EURO-DOLLAR DEPOSITS'
DASHED LINE

i

i

i

1 i

•

'

I

•

•

•

I

'

'

i

1 I

a / V

'

'

1 1 I

'

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I

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I

I

I

I

I

I

1 I

I

1

DIFFERENTIAL

DIFFERENTIAL

2
10

I

1 » I

I

1 I

I

I

I

A

1

I

I

I

I

INTERBANK DM
COVERED FRANKFURT

I

I

I

I

I

I

rry^t

I

I

I

I

SWISS INTERBANK (SF) COVERED

6 —

4 —
EURO-DOLLAR DEPOSITS
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

i

i

i

1 i

i

i

I

'

i

i

I

i

i

i

•

'

I

I

I

1990




I

I

I

l

i

'

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l

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I

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•

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l

i

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!

DIFFERENTIAL

DIFFERENTIAL

I

i

I

I

I
1992

I

I

I

I

I

'

'
1990

'

I

I

I

I

1992

2
10

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUI
14

)ENT PER ANNUM
10

UNITED KINGDOM

UNITED STATES
9

12

8

10

7
8
6

6

5
12

11
FRANCE

CANADA

10

11

9

10

8

9

7

8

6

7
6
8

I

I

I

1 ' »

1 I

I

I

» I

I

I

I

1 '

1 I

I

I

'

I

1 I

I

I

I

I

5
8

JAPAN

SWITZERLAND

7

7

6

6

5

5

4

4

3
10

3
10

GERMANY

NETHERLANDS

9

9

8

8

7

7

6

•
1990




1992

i
1990

i

I

» •

1

I

1

•
1992

1

l

1

1

•

5

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

230

230

UNITED KINGDOM

UNITED STATES

JAPAN

SWITZERLAND

•

i

i

I

i

•

i

i

» i

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FRANCE

GERMANY

NETHERLANDS

CANADA

1990




1992

1990

1992

8 -Sep-93
Chart 1.

15-Sep -93 22 -Sep-93 29-Sep-93 6-Oct-93

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

2.8360
75.491
17.456
61.539
0.06340
0.95075
54.792
69.929
152.74

2.9095
75. 967
17. 843
62. 421
0.06496
0.94368
55. 577
71. 520
154 .78

2.8905
75.840
17.734
61.731
0.06379
0.95019
54.958
70.874
152.44

2.8610
75.542
17.573
61.317
0.06315
0.94614
54.617
70.184
150.93

2.8388
74.760
17.605
61.459
0.06285
0.94506
54.722
70.246
151.14

111.75
75.24
78.66
173.11
36.39
248.94
157.30
224.97
61.78

114 .65
75 .72
80 .40
175 .60
37 .29
247 .09
159 .55
230 .09
62 .60

113.90
75.59
79.91
173.65
36.61
248.79
157.77
228.01
61.66

112.74
75.29
79.19
172.49
36.25
247.73
156.79
225.79
61.04

111.86
74.51
79.33
172.89
36.08
247.45
157.10
225.99
61.13

106.96
68.84
72.30
178.68
31.21
257.54
151.65
50.17
218.01
54.48
91.88

106.43
68.96
72.01
178.42
31.06
257.91
151.53
50.60
217.06
54.21
92.53

105.66
68.25
72.23
179.11
30.93
257.83
151.99
50.45
217.45
54.35
92.63

-1 .64
-4 .06
-3 .43
-5 .82
0 .53
-3 .14
-1 .56
-2 .71

-1.60
-4.04
-3.46
-5.81
0.58
-3.13
-1.54
-2.72

-1.59
-3.95
-3.46
-5.62
0.66
-3.18
-1.49
-2.72

-1.53
-3.87
-3.49
-5.41
0.89
-3.12
-1.33
-2.58

360.57

348 .14

353.55

356.04

354.26

2.99
2.89
4.28
7.44
6.81
2.94
6.61
5.00
5.95

3 .03
3 .00
4 .23
7 .20
7 .01
2 .94
6 .41
4 .73
5 .95

3.12
2.90
4.28
7.13
6.84
2.70
6.27
4.63
5.58

3.05
2.95
4.20
7.09
6.76
2.45
6.30
4.65
6.20

3.24
3.08
4.35
7.06
6.89
2.59
6.28
4.60
5.90

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.

-1.71
-4.33
-3 .41
-6.07
0.47
-3.28
-1.60
-2.72

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

106 .94
68 .47
72 .26
179 .63
31 .60
253 .66
152 .38
51 .11
218 .55
55 .00
91 .10

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.

105.28
68.79
71.36
178.87
31.14
258.87
151.80
50.68
215.90
54.84
92.35

Call Money Rates

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




8-Sep-93
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
(G-10 Countries)
Chart 6.

3 .11
4 .97
7 .22
6. 49
2 .69
6. 34
4 .63
5. 84
5 .98

3 .12
4 .90
7 .03
6. 45
2 .62
6. 23
4 .63
5. 86
5. 81

3 .12
4 .86
7 .03
6. 53
2 .55
6. 21
4 .63
5 .85
5. 79

3. 10
4 .86
7 .02
6. 58
2 .51
6. 25
4 .54
5. 91
5 .79

3 .24
4 .94
7 .04
6. 64
2 .48
6. 30
4 .51
5. 96
5. 80

2. 89
2 .96
3 .03
3 .08
3 .24
,40
3.

3 .00
2 .96
3 .03
3. 08
3 .25
3 .41

2 .90
2 .96
3 .06
3..06
,25
3.
.45
3.

2. 95
3 .05
3 .06
3 .06
3 .25
3 .43

3 .08
3 .01
3 .06
3.
,25
,25
3.
,43
3.

Euro-Dollar Deposit Rates

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

15-Sep-93 22-Sep-93 29-Sep-93 6-Oct-93

Selected Euro-dollar & U.S. Mone} • Market Rates

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

2.
.89
2..99
-0..10

3..00
.03
3.
-0 .03
.

2.
.90
.12
3.
-0..22

,95
2.
.05
3.
.10
-0 .

3..08
3 .24
.
-0.. 17

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

.08
3.
3..11
-0,.03

3..08
.12
3.
-0..04

.06
3.
3..12
-0..06

.06
3.
.10
3.
-0..03

3 .25
,
3 .24
.
0 .01

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

3 .08
3 .08
-0 .01

3 .08
3 .11
-0 .04

3 .06
3 .09
-0 .03

3 .06
,
3 .15
,
-0 .09

3 .25
3 .35
-0 .10

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

3 .14
3 .24
-0 .10

3 .15
3 .24
-0 .10

3 .15
3 .24
-0 .09

3 .17
,
3 .25
,
-0 .08

3 .23
3 .39
-0 .15

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

3 .08
3 .02
0 .05

3 .08
2 .97
0 .11

3 .06
3 .01
0 .05

3 .06
3 .06
0 .00

3 .25
3 .09
0 .16

Euro-dollar deposit
Swiss interbank, covered
Differential

3 .08
3 .00
0 .07

3 .08
3 .05
0 .03

3 .06
3 .07
-0 .01

3 .06
3 .03
0 .03

3 .25
3 .16
0 .09

6 .71
6 .15
6 .15
4 .15
4 .42
6 .01
6 .81
5 .30

6 .82
6 .13
6 .15
4 .13
4 .42
6 .02
6 .83
5 .33

7 .01
6 .13
6 .11
4 .09
4 .42
5 .96
7 .03
5 .42

6 .95
6 .10
6 .11
3 .99
4 .41
5 .94
6 .98
5 .35

7 .02
6 .05
6 .04
3 .97
4 .34
5 .89
6 .88
5 .36

131..73
161,.37
108,.11
127,.25
131,.09
183 .53
184 .08
186 .11

132..23
161..99
107..91
127..06
.79
129 .
181..20
180,.09
187 .95

131..79
157..96
.00
109 .
123 .
.11
130,.44
183 ,
.88
180 .70
186 .19

132..74
161..42
.81
109 .
.34
122 ,
131,.74
189 ,
.29
180 .20
187 .90

135..15
164 .
.40
113 .
.66
125,.05
136,.03
191,.92
182 ,
.74
188 .38

Chart 8.

Chart 9.

Interest Arbitrage, 3-Month Funds

10-year maturity, where available

Mid Yields

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



•*oOl50V/>*

FEDERAL RESERVE statistical release
tm-H.10(512)

October 12, 1993

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

OCTOBER 8, 1993

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 Itilowing noon buying rates in New York City for cable transfers payable in foreign currencies:

COUNTRY
^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
XUNITED KINGDOM
MEMO:
^ U N I T E D 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

Oct. 4

(CURRENCY UNITS PER i
DOLLAR)
Oct. 5
Oct. 6
Oct. 7

Oct. 8

0.6460
11.420
35.150
1.3390
5.8013
6.5825
1.1695
5.8100
5.6670
1.6245
234.30
7.7365
31.530
1.4415
1589.25
105.80
2.5477
1.8245
0.5503
7.1025
167.24
1.5830
3.4475
812.30
130.85
49.000
8.0825
1.4187
26.847
25.280
1.514®

0.6465
11.427
35.120
1.3386
5.8013
6.5925
1.1675
5.8075
5.6730
1.6235
235.05
7.7345
31.530
1.4410
1591.00
105.57
2.5450
1.8235
0.5480
7.1075
167.70
1.5715
3.4450
815.20
131.50
N. A.
8.0850
1.4215
26.850
25.240
1.5165

0.6545
11.417
35.220
1.3355
5.8013
6.5750
1.1685
5.7825
5.6670
1.6230
235.10
7.7340
31.530
1.4530
1592.00
105.60
2.5435
1.8235
0.5476
7.0925
167.18
1.5590
3.4520
816.30
131.14
48.960
8.0500
1.4220
26.838
25.250
1.5257

0.6550
11.415
35.210
1.3330
5.8013
6.5725
1.1650
5.7650
5.6820
1.6230
235.90
7.7260
31.530
1.4530
1604.34
105.15
2.5520
1.8243
0.5495
7.0975
167.65
1.5685
3.4560
815.30
132.03
48.940
8.0500
1.4260
26.838
25.210
1.5220

0.6580
11.297
34.840
1.3317
5.8013
6.5075
1.1760
5.7125
5.6300
1.6055
234.55
7.7260
31.530
1.4625
1590.50
105.57
2.5415
1.8052
0.5515
7.0275
166.15
1.5675
3.4475
814.60
130.70
48.940
7.9825
1.4055
26.850
25.170
1.5352

92.51

92.47

92.38

92.44

91.78

"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.