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

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Selected Interest &
Exchange Rates
Weekly Series of Charts

October 13,1992

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
SCALE
41973=100

140
130
120
110

RATIO S
MARCH 1972

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

100
90

BELGIAN FRANC

80
70
280
260

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

I

SWISS FRANC

240

I

I

I

I

I

I

I

I

I

I

I

I

I

I

JAPANESE YEN

220
200

180
160
140
100

•

90

'

« I

'

•

•

I

•

»

1

I

'

» •

1

1

1

1

I

1

1

» I

1

» I

I

I

'

UNITED KINGDOM

80
70

CANADIAN DOLLAR

60
50
200

I

180 —

I

I

I

I

I

I

I

I

I

I

I

I

I

I

'

I

I

I

I

•

1

I

» I

•

I

» '

I

I

I

I

I

I

i

'

•

1 > I

I

DUTCH GUILDER

160
GERMAN MARK

140
120
100
120

100

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

I

I

I

I

I

'

I

I

I

TALIAN LIRA

FRENCH FRANC

80

60

'

i




I

i

» '
1990

l

•

'

'

l

i

i
1992

'

» « i

i

I

I
1990

i

« I
1992

CHART 2

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

PERCENT PER ANNUM

4

4

b

U.K. POUND

CANADIAN DOLLAR

4

4

8

8

12

12

16
8

i

i

i

l

i

i

i

l

i

i

i

I

i

i

J_L

i

'

i

i

'

i

i

i

'

i

i

i

i

i

16
8

JAPANESE YEN

GERMAN MARK

4

4

—

8

8
12
8

i

i

i

I

i

i

i

I

i

i

i

I1 1

1

1

1

1

I

I

'

1

V

• W

i

i

i

i

I

'

I

I

I

'

'

I

12
8

DUTCH GUILDER

SWISS FRANC

12
4

1

i

i

i

i

i

i

i

i1

1

1

1

~X\

—

—

—

—

1

1

1

1

1

1

1

1

1 1

1

I

1

1

1

ITALIAN LIRA

FRENCH FRANC

4

—

V^Vv,

8

4

— 8
12

12
16

12
4

1

1

1




1

1

1 1
1990

1

1

1

1 1

1

1 1
1992

1

1

1

1

1

1 1
1990

1

•1 i

i

i

i

i V
1992

16

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S. DOLLARS PER FINE OUNCE
460

U.S. DOLLARS PER FINE OUNCE
460

440

440

—
12.5 Kg BARS
AFTERNOON FIXING PRICE

420

420

—

400

400

380 —

380

360

360

340

340

320

i

I
1989




i

1

i
1990

i
1991

i

L

L
1992

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

12

—

U.S. FEDERAL FUNDS

12

FRANCE

JAPAN

0

»

1

•

1 '

1

1

*

1

'

•

'

1

•

'

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

16

0
16

12 —

12

CANADA

GERMANY

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

0
16

UNITED KINGDOM
12

SWITZERLAND

NETHERLANDS




•
1990

1992

i

I

i

» i
1990

I

» » i

I

i

i
1992

i

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
12

PERCENT PER ANNUM

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

SWISS INTERBANK

1

i

1




I

1

1

1990

» I

'

i

GERMAN INTERBANK RATE

1

I

1

1

1

1992

1

1

1

I

»

1

1990

» l

1

•

1

i

1

1

1

1992

CHART 6

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

PERCENT PER AN

12

12

OVERNIGHT

10

3-MONTH

10

8

8

6

6

4

4

» » I

2
12

I

7-DAY

10

I

'

I

I

I

I

I

I

I

I

'

6-MONTH

2
12

10

8

8

6

6

4

4

2
12

i

i

i

I

i

i

•

I

i

'

i

l

i

i

«

i

' »

l

1-MONTH

10

i

i

'

l

i

i

i

l

i

i

i

1-YEAR

2
12

10

8

8

6

6

4

4

2

i

i

i

I




i

i
1990

i

> i

i

'

I

i

i
1992

i

i

i

i

I

i

i
1990

i

I

i

i

i

I

i

i
1992

i

2

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 —

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

6 —

J

I

I

I

I

I

DASHED LINE

I

I

I

I

I

I

I

I

L

DIFFERENTIAL

i




i

i

i

i

i
i
1990

J

I

I

I

I

I

I

I

I

I

I

I

I

_L_J I

I

I

I

I

I

I

I

I

L

DIFFERENTIAL

i

i

i

i

i

i

i
1992

i

1990

l__L

1992

CHART 8

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

PERCENT PER ANN I

16

16

12

12
INTERBANK STERLING

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON

8

8

EURO-DOLLAR DEPOSITS

4

U.S. COMMERCIAL PAPER

DASHED LINE

»

0

1

I

1

1

1

'

1

'

4

DASHED LINE

1

1

1

1

1

i i i I i i i I i i i I i i i

2
DIFFERENTIAL

DIFFERENTIAL

+

+

• ftyrfAr

0

2

• '

0

1 1 1 1 » 1 1 » 1 1 » 1 1

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

16

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

i

i

i

EURO-DOLLAR DEPOSITS

4

DASHED LINE

i

i

I

I

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

0

I

I

I




I

I

I
1990

I

I

I

I

I

I

I

I
1992

I

'

» » 1 I

'
1990

•

I

» '

1 I

•

•
1992

I

2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
14 b

PERCENT PER ANNUM
14

UNITED STATES

CANADA

12

10

»

1

1

i

» »

1

1

i

1

1

1

i

1

14

UNITED KINGDOM

FRANCE

12

12

10

10

•

i

i

I

'

'

'

i

•

i

'

I

i

i

»

•

i

'

I

i

i

i

I

i

i

i

I

i

i

i

6

10

10

SWITZERLAND

JAPAN
—

» •

•

I

'

» i

I

•

•

•

i

« •

•

i i i I i i i I i i i I i i i

12

NETHERLANDS

8

2
12

GERMANY
10

10

•

i




l

'

» '
1990

I

i

'

'

I

» » •
1992

I

I

'

I

I

'
1990

I

I

•

I

'

I

I

I
1992

'

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200

UNITED KINGDOM

UNITED STATES
180
160
140 —

120

i i I i i i I i
135

GERMANY
JAPAN

120
105

90

I
165

I

I

I

I

I

•

I I

i

I

i

i

i

l

i

i

FRANCE

SWITZERLAND

150
135

120
105

90
150

i

i

i

l i

i

»

l

i

i

i

l

i '

»

135

135

NETHERLANDS

CANADA
120

120

105

105

90

90

75

»

I

I




I I

I
1990

1

I

I

I

I

I

I

I
1992

I

I

I

I

I

I

I
1990

I

I

I

I

I

I

I I I
1992

75

SERIES
Chart 1.

9-Sep-92

16-Sep-92 23-Sep-92 30-Sep-92 7-0ct-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

3.4514
83.028
20.912
71.181
0.09309
0.81116
63.133
80.019
198.89

3.2997
82.041
20.024
68.029
0.08600
0.80545
60.372
77.086
189.47

3.2517
81.456
19.603
67.054
0.07975
0.81434
59.562
76.771
172.95

3.3451
80.263
20.350
68.869
0.08102
0.83261
61.208
78.680
174.01

3.4114
80.108
20.740
70.305
0.07768
0.83481
62.442
80.399
171.42

136 .00
82 .75
94 .24
200 .24
53 .43
212 .39
181 .24
257 .43
80 .44

130 .02
81 .77
90 .23
191 .37
49 .36
210 .89
173 .31
248 .00
76 .63

128 .13
81 .19
88 .33
188 .63
45 .78
213 .22
170 .99
246 .98
69 .95

131 .81
80 .00
91 .70
193 .73
46 .51
218 .00
175 .72
253 .12
70 .38

134 .43
79 .84
93 .46
197 .77
44 .59
218 .58
179 .26
258 .65
69 .33

112 .97
69 .26
75 .13
182 .33
36 .98
201 .30
154 .04
68 .74
221 .20
58 .24
84 .51

114 .44
67 .02
76 .94
184 .68
36 .97
202 .73
155 .91
69 .36
223 .16
57 .61
82 .83

116 .31
66 .56
78 .22
188 .34
35 .17
202 .33
158 .55
69 .81
227 .18
56 .40
82 .37

-1.96
-6.98
-6.15
-15.54
-0.78
-6.21
-4.13
-7.66

-1.99
-7.80
-5.44
-13.41
-0.76
-5.66
-3.66
-6.01

-3.19
-9.72
-5.62
-14.38
-0.74
-5.77
-3.66
-5.81

-4 .63
-9 .68
-5 .75
-13 .12
-0 .70
-5 .72
-3 .52
-5 .86

341.87

344.68

348.42

348.49

349 .30

3.09
3.08
4.91
9.89
9.63
4.08
9.70
7.13
9.50

3.28
3.06
4.63
9.93
9.49
4.18
9.49
6.93
9.93

3.07
3.00
4.25
11.51
8.93
4.09
8.64
6.70
9.63

3.41
3.13
5.08
15.40
8.91
4.10
8.80
6.95
9.23

3 .20
2 .99
7 .37
13 .30
8 .90
4 .11
8 .88
6 .23
9 .18

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.

Gold Price in London, Afternoon

U.S. dollars per fine ounce
Chart 4.

112 .25
68 .28
75 .18
180 .96
39 .20
194 .34
152 .86
69 .75
217 .47
62 .95
82 .36

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.

113 .85
66 .83
76 .18
183 .98
41 .29
189 .03
155 .04
70 .88
218 .77
64 .15
79 .09

-1.37
-7.01
-6.39
-14.38
-0.69
-6.46
-4.65
-6.92
-ixing

Call Money Rates

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




SERIES
Chart 5.

9-Sep-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
CG-10 Countries)
Chart 6.

3.14
4.84
10.24
9.79
3.84
9.72
7.78
10.29
8.71

3.07
5.08
10.11
9.52
3.90
9.39
7.31
10.51
8.78

3 .12
5 .31
10 .21
9 .08
3 .96
8 .79
6 .84
9 .36
8 .59

3 .13
6 .15
11 .50
8 .92
3 .88
8 .78
6 .70
9 .01
8 .66

3 .07
7 .86
12 .45
8 .94
3 .86
8 .81
6 .54
9 .01
8 .82

3.08
3.13
3.18
3.19
3.28
3.40

3.06
3.00
3.04
3.04
3.10
3.23

3 .00
3 .16
3 .14
3 .14
3 .20
3 .34

3 .13
3 .30
3 .14
3 .16
3 .21
3 .34

2 .99
2 .98
2 .98
3 .08
3 .08
3 .18

Euro-Dollar Deposit Rates

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

16-Sep-92 23-Sep-92 30-Sep-92 7-0ct-92

Selected Euro-dollar & U.S. Money Market Rates
3.08
3.09
-0.01

3.06
3.28
-0.22

3 .00
3 .07
-0 .07

3 .13
3 .41
-0 .29

2 .99
3 .20
-0 .21

3.19
3.14
0.05

3.04
3.07
-0.03

3 .14
3 .12
0 .02

3 .16
3 .13
0 .03

3 .08
3 .07
0 .01

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

3.19
3.19
-0.01

3.04
2.65
0.39

3 .14
3 .21
-0 .07

3 .16
3 .08
0 .09

3 .08
3 .01
0 .06

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

3.24
3.46
-0.21

3.16
3.10
0.06

3 .22
3 .29
-0 .07

3 .27
2 .91
0 .36

3 .16
3 .14
0 .03

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

3.19
3.24
-0.05

3.04
3.23
-0.19

3 .14
3 .52
-0 .38

3 .16
3 .17
-0 .01

3 .08
3 .06
0 .02

3.19
3.03
0.16

3.04
3.11
-0.07

3 .14
3 .12
0 .02

3 .16
2 .98
0 .18

3 .08
2 .96
0 .11

7.17
8.87
7.83
4.95
6.85
8.27
9.30
6.39

7.40
8.71
7.66
4.94
6.74
8.11
9.19
6.36

7 .77
8 .58
7 .50
4 .97
6 .48
7 .87
9 .11
6 .45

7 .86
8 .59
7 .52
4 .89
6 .33
7 .84
9 .04
6 .40

7 .84
8 .59
7 .40
4 .88
6 .21
7 .75
9 .26
6 .30

114.94
131.15
90.17
106.88
103.77
145.13
131.64
168.42

115.10
133.79
91.68
102.28
107.29
149.99
148.68
169.87

113 .45
133 .83
91 .89
103 .30
107 .78
151 .89
147 .55
168 .65

109 .90
127 .57
87 .47
99 .10
106 .70
148 .29
144 .35
168 .68

107 .15
121 .66
85 .35
98 .23
104 .36
133 .08
143 .32
163 .82

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

Interest Arbitrage, 3-Month Funds

Euro-dollar deposit
Swiss interbank, covered
Differential
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 Composit



FEDERAL RESERVE statistical release
October 9, 1992

H. 10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

OCTOBER 9, 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
WON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

MEMO:
REUNITED STATES

DOLLAR

Oct. 5

(CURRENCY UNITS PER DOLLAR)
Oct. 8
Oct. 7
Oct. 6

Oct. 9

0.7205
9.883
29.000
1.2469
5.5140
5.4770
1.3711
4.5240
4.7750
1.4050
180.95
7.7255
28.480
1.8660
1325.25
119.65
2.4960
1.5831
0.5450
5.7745
126.16
1.5900
2.8230
788.70
100.52
N. A.
5.3600
1.2260
25.207
25.110
1.7010

0.7212
10.074
29.480
1.2474
N.A.
5.5535
1.3588
4.5530
4.8500
1.4300
186.30
7.7295
28.450
1.8320
1315.00
119.92
2.4980
1.6103
0.5450
5.8590
127.85
1.5910
2.8330
789.70
102.10
44.250
5.4260
1.2490
25.230
N.A.
1.7125

0.7194
10.141
29.690
1.2487
5.5416
5.5900
1.3495
4.5725
4.8870
1.4425
187.50
7.7310
28.450
1.8217
1315.50
120.02
2.4980
1.6230
0.5425
5.8930
127.10
1.5933
2.8700
787.90
102.90
44.250
5.4480
1.2645
25.240
25.130
1.7175

0.7208
10.038
30.320
1.2466
5.5456
5.6890
1.3247
4.6650
5.0020
1.4720
188.85
7.7330
28.450
1.7825
1313.00
120.97
2.5050
1.6564
0.5432
5.9990
130.50
1.6002
2.8600
787.00
105.25
44.250
5.5420
1.3012
25.254
25.200
1.6895

0.7176
10.469
30.620
1.2505
5.5539
5.7350
1.3172
4.6840
5.0360
1.4868
192.75
7.7325
28.450
1.7645
1308.50
122.00
2.5085
1.6732
0.5412
6.0420
132.25
1.6060
2.8720
787.30
106.10
44.250
5.5830
1.3145
25.267
25.240
1.6975

82.12

82.80

83.16

84.40

84.88

•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 COWTRIES.
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) 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 1202) 452-3244.