Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : October 19, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

October 19,1992

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
RATIO SCALE
MARCH 1973-100

RATIO SCALE
MARCH 1973=100
140

140

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

BELGIAN FRANC
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SWISS FRANC
JAPANESE YEN

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»

UNITED KINGDOM

CANADIAN DOLLAR

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DUTCH GUILDER
GERMAN MARK

1

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1

1

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—

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—

AA;

ITALIAN LIRA

FRENCH FRANC

J\

B v .

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1990

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1992

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1

1 1

1

1 1
1990

1

1 1

1

i l
1

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1992

CHART2

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

PERCENT PER ANNUM

CANADIAN DOLLAR

U.K. POUND

16
8

16
GERMAN MARK

JAPANESE YEN

4

+
0
4

8
12
8

12

SWISS FRANC

DUTCH GUILDER

4

+
0
4

8
12

12
4

+
0

FRENCH FRANC

ITALIAN LIRA

4

8
12
16




16
1990

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

1989




1990

1991

1992

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

14

12 h—

FRANCE
U.S. FEDERAL FUNDS

10

8
JAPAN

6
4

2

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12

10
GERMANY

NETHERLANDS

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16

UNITED KINGDOM
CANADA

SWITZERLAND

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1990

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1992

i
1990

1992

i

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
15

PERCENT PER ANNUM

12

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

1990

GERMAN INTERBANK RATE

1992

CHART6

EURO-DOLLAR DEPOSIT RATES LONDON
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

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
12

12

10

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

90-DAY CD'S

FEDERAL FUNDS

DASHED LINE

DASHED LINE

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DIFFERENTIAL

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DIFFERENTIAL

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1990

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1

1

1

1

1
1992

1

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1990

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1992

CHART 8

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

PERCENT PER ANNUM

12

12

COVERED LONDON

INTERBANK STERLING

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

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DASHED LINE

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DIFFERENTIAL

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INTERBANK DM
COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

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DIFFERENTIAL

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DIFFERENTIAL
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1990

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1992

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1990

1

1992

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNL M
13

(CENT PER ANNUM

10
UNITED
KINGDOM

UNITED STATES
9

12

8

11

7

10

6

9

5

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12

8
12

FRANCE

CANADA
11

11

10

10

9

9

8

8
1

1

1

7

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7

8

8
JAPAN

SWITZERLAND
7

7

6

6

5

5

4
10

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NETHERLANDS

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4
10

GERMANY

9

9

8

8

7

7

6

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1990

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1990

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1992

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6

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200
180

200

UNITED STATES

UNITED KINGDOM
180

160

160

140 —

140

120

120

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100
150
135

GERMANY
JAPAN

120
105

90

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165

SWITZERLAND

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FRANCE

150
135

120
105

90
150

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135

135

CANADA

NETHERLANDS

120

120

105 I —

105

90

75

90

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1990

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1992

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1990

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1992

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75

SERIES
16-Sep-92 23-Sep-92 30-Sep-92 7-0ct-92
Chart 1.

14-0ct-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

3.2997
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

3.2953
80.143
20.002
67.868
0.07671
0.82392
60.285
76.432
170.27

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

129.85
79.88
90.13
190.92
44.03
215.73
173.06
245.89
68.87

114
67
76
184
36
202
155
69
223
57
82

.44
.02
.94
.68
.97
.73
.91
.36
.16
61
83

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

114. 39
67. 95
76. 72
184. 67
35. 41
203. 62
155. 80
68. 97
219. 88
57. 15
84. 36

-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

-4 .11
-8 .15
-5 .64
-12 .14
-0 .54
-5 .48
-3 .23
-5 .35

344.68

348.42

348.49

349.30

346.92

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

3.21
3.10
6.94
11.58
8.91
4.04
8.79
5.48
9.15

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.

3-Month Forward Exchange Rates,

Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound
Chart 3.

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

urn or Discount
-1.96
-6.98
-6.15
-15.54
-0.78
-6.21
-4.13
-7.66

Gold Price in London, Afternoon Fixing

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

Call Money Rates

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




SERIES
Chart 5.

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

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 .19
7 .75
11 .16
8 .89
3 .91
8.62
6 .31
8 .66
8 .53

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

3 .10
3 .09
3 .10
3 .21
3 .26
3 .45

Euro-Dollar Deposit Rates

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

14-0ct -92

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

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

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 .10
3 .21
-0 .11

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

3.04
3.07
-0.03

3.14
3.12
0.02

3. 16
3. 13
0. 03

3.08
3.07
0.01

3 .21
3 .19
0 .02

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

3.04
2.65
0.39

3.14
3.21
-0.07

3. 16
3. 08
0. 09

3.08
3.01
0.06

3 .21
3 .20
0 .01

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

3.16
3.10
0.06

3.22
3.29
-0.07

3. 27
2. 91
0. 36

3.16
3.14
0.03

3 .24
3 .56
-0 .32

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

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 .21
3 .13
0 .08

Euro-dollar deposit
Swiss interbank, covered
Differential

3.04
3.11
-0.07

3.14
3.12
0.02

3. 16
2. 98
0 . 18

3.08
2.96
0.11

3 .21
3 .04
0..18

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

7. 78
8. 53
7 ,44
4. 93
6. 13
7. 72
9. 12
6. 48

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
145.55
143.32
163.82

106. 48
124. 34
86. 52
99. 73
104. 74
148. 17
145. 69
165. 69

Chart 8.

Chart 9.

Interest Arbitrage, 3-Month Funds

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
H.10(512)

October 16, 1992

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

OCTOBER 16, 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 COTMJNITY
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:
("UNITED STATES

DOLLAR

Oct. 12

H
0
L
I
D
A
Y

(CURRENCY UNITS PER DOLLAR)
Oct. 13
Oct. 15
Oct. 14
0.7222
10,353
30.320
1.2455
5.5539
5.6690
1.3272
4.6725
4.9945
1.4722
191.40
7.7333
28.450
1.7845
1299.50
121.50
2.5088
1.6578
0.5430
5.9750
131.40
1.6112
2.8690
- 787.80
105.40
44.250
5.5630
1.3138
25.246
25.240
1.7140
84.25

Oct. 16

0.7223
10.294
30.130
1.2485
5.5539
5.6425
1.3357
4.6480
4.9660
1.4630
190.05
7.7300
28.450
1.7900
1293.50
121.02
2.5040
1.6480
0.5431
5.9605
130.20
1.6122
2.8630
787.40
104.65
44.250
5.5030
1.3040
25.250
25.240
1.7098

0.7224
10.195
29.850
1.2495
5.5539
5.5995
1.3470
4.6150
4.9240
1.4497
189.00
7.7278
28.450
1.8110
1284.50
120.40
2.5020
1.6329
0.5425
5.9215
129.10
1.6052
2.8490
786.20
103.70
44.250
5.4790
1.2942
25.245
25.230
1.7000

0.7196
10.393
30.430
1.2474
5.5539
5.7055
1.3205
4.7065
5.0150
1.4773
190.40
7.7313
28.480
1.7758
1301.00
119.85
2.5045
1.6637
0.5420
6.0295
132.13
1.6082
2.8725
785.90
105.84
44.250
5.5760
1.3185
25.270
25.220
1.6555

83.91

83.46

84.64

•VALUE IS U.S. DOLLARS
wtlNDEX 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 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.