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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts October 5,1992 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. 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 H1973=100 RATIO S< MARCH 1973 140 130 120 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 110 100 90 BELGIAN FRANC 80 70 280 260 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 i 90 i i I i ' i I ' i • I i i 1 » 1 1 1 l 1 1 1 l 1 1 I 1 ' 1 UNITED KINGDOM 80 70 CANADIAN DOLLAR 60 50 M i l l l i i i l i i i 11 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 200 180 — DUTCH GUILDER 160 GERMAN MARK 140 120 100 i i i I i i i I i i i I i i i I I I I I I I 120 ITALIAN LIRA FRENCH FRANC 100 80 60 i i i l i i 1990 i 1 i i ' I ' i 1992 • • i i I i i 1990 i 1992 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNU (CENT PER ANNUM 4 4 + U.K. POUND CANADIAN DOLLAR + 0 0 4 4 8 8 12 12 i 16 i I i I i I i i I I i i • i • i l 1 i 1 1 I 1 1 l • • 16 8 8 JAPANESE YEN GERMAN MARK 4 4 + + 0 0 4 4 8 8 » i 12 8 i I i ' » l ' i i I i i i 12 8 DUTCH GUILDER SWISS FRANC 4 4 + + 0 0 4 —— — 4 8 — — 8 12 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 i I 1 I I i 12 4 ITALIAN LIRA FRENCH FRANC + + 0 0 Vy. — 4 — 8 8 WV 12 16 4 i i i I i i 1990 i I i i i I i i 1992 i 1 1 1 i 1 1 1 1 1 i1 i 1990 I i i 1992 1 a m 12 16 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 1989 i I i i 1990 i I i i 1991 i 1992 320 CHART4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 16 16 14 12 FRANCE U.S. FEDERAL FUNDS 10 8 JAPAN ' I ' I I I I I ' ' • I » i ' l » • « I ' 6 ' i I i i GERMANY NETHERLANDS UNITED KINGDOM CANADA SWITZERLAND 1990 1992 1990 1992 i CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANN NT PER ANNUM 12 WEIGHTED AVERAGE FOREIGN RATE 10 8 6 U.S. CD'S 4 CANADIAN FINANCE PAPER 2 ' 0 » I i i i I i i i I i i i 16 14 12 NETHERLANDS INTERBANK RATE U.K. INTERBANK STERLING 10 8 I I I I I I I I I I I I I I I ' ' ' I I • ' I ' ' ' I ' ' 9 7 3 FRENCH INTERBANK RATE JAPANESE CD RATE 5 I • I 1 I 1 1 I • ' 1 I 1 1 10 SWISS INTERBANK i i i I i i 1990 i I i GERMAN INTERBANK RATE i i I i i 1992 i • • • I ' ' 1990 I I I I I I I I 1992 CHARTS EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER ANNUM PERCENT PER AN 12 OVERNIGHT 10 3-MONTH 8 6 4 2 12 i • ' I » ' » i • • i i i » i i i i l 7-DAY 10 i ' i l i » i 1 » ' i I I I ' I < I ' I i ' i I i 6-MONTH 8 6 4 2 12 i ' • I i 1 i 1 > 1 i l « ' i I » I I 1-MONTH 10 I I I 1-YEAR 8 6 4 2 1 1 1 I 1 1 1 1990 I 1 1 i l i ' i 1992 i i ' i i i 1990 i i 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 J I I I I I I DIFFERENTIAL I I I I I I I L J I I I I I I I I I I I I I i i 1990 I i i i I i I L DIFFERENTIAL iV/N//yvv^/v^ i i i i i i i 1990 i i i i i i i i 1992 j i i I i i i 1992 11 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 12 PERCENT PER ANNUM 12 6 \ *4 CANADIAN FINANCE CO. PAPER, COVERED 1 INTERBANK STERLING COVERED LONDON 8 — \^V 4 — U.S. COMMERCIAL PAPER EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE i i i I i i i I i i i I i i i i i i I i i i 1 i i I ' l l i DIFFERENTIAL DIFFERENTIAL VV\/"V ' h«k > 2 I— ' I ' I I I I I I I I I I I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 12 INTERBANK DM COVERED FRANKFURT SWISS INTERBANK (SF) COVERED EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE » » I I ' I I I I 1 I 1 I » » i ' i I • 1 1990 1 i I i ' • I ' ' ' I 1 1 1 I ' ' i DIFFERENTIAL DIFFERENTIAL i i I 1 1 1 I 1 ' 1 1992 ' 1 I I « ' 1 1990 I 1 1 1 1992 •2 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES RCENT PER ANNUM PERCENT PER ANN! 10 UNITED STATES 9 — UNITED KINGDOM 8 7 6 5 i ' i I ' » ' I ' i i I i i i I I I I I 1 ' I 1 • 1 I 1 I » • ' I » ' ' i ' • ' I • • I i ' 1 12 CANADA FRANCE 11 10 9 8 7 8 I I I I I I ' I » ' ' I I lWl SWITZERLAND JAPAN 7 6 5 4 10 » I I I I I I I ' » I I I ' • NETHERLANDS • i i ' » ' ' GERMANY 9 8 7 6 • I I I I ' 1990 » I ' « I I I I 1992 I • I i I • 1990 ' 1992 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986-100 RATIO SCALE 1986-100 200 200 UNITED STATES UNITED KINGDOM GERMANY JAPAN 165 SWITZERLAND FRANCE 165 150 150 135 135 120 120 105 105 90 150 i i i I i i i l i i i i i i i i i l i i i I ' I i ' ' 135 90 150 135 CANADA NETHERLANDS 120 120 105 105 90 75 90 • • 1 ' 1 1 1990 1 ' 1 • » I ' ' 1992 i I I I I I I 1990 I I I I I I I I 1992 I 75 SERIES C h a r t 1. 2 -Sep-92 ( U . S. c e n t s , 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, 3.4617 83.640 20.945 71.385 0.09334 0.81032 63.297 79.999 198.95 136.41 83.36 94.38 200.81 53.58 212.17 181.71 257.37 80.47 W e i g h t e d a v e r a g e e x c h a n g e v a l u e i n d i c e s ;, Mar. 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 Swedish k r o n a Swiss f r a n c U.K. pound U.S. d o l l a r 114.01 67.25 76.18 184.25 41.33 188.46 155.20 70.92 218.34 64.05 78.92 3 - M o n t h F o r w a r d Exchange R a t e s , Canadian d o l l a r French f r a n c German mark Italian lira Japanese yen Netherlands guilder Swiss f r a n c U.K. pound U.S. 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 Gold P r i c e i n Call .00 .75 .24 .24 .43 .39 .24 .43 .44 130 . 0 2 8 1 .77 90 . 2 3 191 .37 49 .36 210 .89 173 . 3 1 248 . 00 76 . 6 3 128 . 1 3 81 .19 88 . 3 3 188 . 6 3 45 . 7 8 213 . 2 2 170 . 9 9 246 . 9 8 69 . 9 5 131 . 8 1 80 .00 91 .70 193 .73 46 . 5 1 218 .00 175 .72 253 .12 70 .38 112 68 75 180 39 194 152 69 217 62 82 .25 .28 .18 .96 .20 .34 .86 .75 .47 .95 .36 112 69 75 182 36 201 154 68 221 58 84 -1 -6 -6 -15 -0 -6 -4 -7 .96 .98 .15 .54 .78 ,. 2 1 . 13 ,.66 - 1 ..99 - 7 ,.80 - 5 .44 - 1 3 ,. 4 1 - 0 ,.76 - 5 .66 - 3 . .66 - 6 ,. 0 1 - 3 .19 - 9 .72 - 5 .62 - 1 4 .38 - 0 ,.74 - 5 .77 - 3 .66 - 5 . .81 344..68 3 4 8 , 42 348 ..49 3,.28 3,.06 4,.63 9..93 9..49 4. 18 9. 49 6 . 93 9..93 3 . 07 3 . 00 4 . 25 1 1 . 51 8 . 93 4 . 09 8 . 64 6 . 70 9 . 63 3. 31 3. 13 5 . 08 15. 40 8 . 91 4 . 10 8 . 80 6 . 95 9 . 23 1973=100 113 66 76 183 41 189 155 70 218 64 79 .85 .83 .18 .98 .29 .03 .04 .88 .77 .15 .09 .97 .26 .13 .33 .98 .30 .04 .74 .20 .24 .51 114 67 76 184 36 202 155 69 223 57 82 .44 .02 .94 .68 .97 .73 .91 .36 .16 .61 .83 -1 -7 -6 -14 -0 -6 -4 -6 .37 .01 .39 .38 .69 ,.46 .65 ,.92 London, A f t e r n o o n F i x i n g 340.29 341 ,.87 Money R a t e s U.S. f e d e r a l funds Overnight Euro-dollar Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom 136 82 94 200 53 212 181 257 80 Premium o r D i s c o u n t -1.33 -7.01 - 6 .37 -12.25 -0.38 -6.36 -4.35 -6.98 d o l l a r s per f i n e ounce Chart 4. 3.4514 83.028 20.912 71.181 0.09309 0.81116 63.133 80.019 198.89 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 guilder Swiss f r a n c U.K. pound Chart 3. 16-Sep-92 23-Sep-92 30-Sep-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 Chart 2. 9- S e p - 9 2 deposits 3.33 3.30 4.60 10.03 9.62 4.09 9.73 7.13 9.28 3. 3. 4. 9, 9. 4. 9. 7. 9. 09 08 91 89 63 08 70 13 50 1 SERIES 1 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 .14 4 .84 10 . 2 4 9 .79 3 .84 9 .72 7 .78 10 . 2 9 8 .71 3 .07 5 .08 10 . 1 1 9 .52 3 .90 9 .39 7 .31 10 . 5 1 8 .78 3 .12 5 .31 10 . 2 1 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 .30 3 .31 3 .35 3 .38 3 .49 3 .61 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 3 .30 3 .33 - 0 .03 3 .08 3 .09 -0 .01 3 .06 3 .28 - 0 .22 3 .00 3 .07 - 0 .07 3 .13 3 .31 - 0 .19 3 .38 3 .33 0 .04 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 .38 3 .33 0 .04 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 .40 3 .57 - 0 .17 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 .38 3 .32 0 .06 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 .38 3 .28 0,.10 3 .19 3 .03 0 .16 3 . 04 3 . 11 - 0 . 07 3 .14 3 .12 0..02 3. 16 2. 98 0. 18 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 . 40 114, 94 131 , 15 90. 17 106 . 88 103. 77 145. 13 131 . 64 168. 42 1 1 5 . 10 1 3 3 . 79 91 . 68 1 0 2 . 28 107 . 29 1 4 9 . 99 1 4 8 . 68 1 6 9 . 87 113. 45 1 3 3 . 83 91 . 89 1 0 3 . 30 1 0 7 . 78 1 5 1 . 89 147 . 55 1 6 8 . 65 1 0 9 . 90 127. 57 8 7 . 47 9 9 . 10 106 . 70 1 4 8 . 29 144. 35 168. 68 3 - M o n t h Funds covered covered Euro-dollar deposit I n t e r b a n k DM ( F r a n k f u r t ) , Differential covered Euro-dollar deposit Swiss i n t e r b a n k , c o v e r e d Differential Long Term Government 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 Chart 10. 3 .33 4 .92 10 . 4 4 9 .84 3 .80 9 .79 7 .71 10 . 5 0 8 .67 Money M a r k e t R a t e s 3-month E u r o - d o l l a r d e p o s i t U.S. 9 0 - d a y C D ' s , s e c o n d a r y market Differential Chart 9. CM S e l e c t e d E u r o - d o l l a r & U.S. Overnight Euro-dollar deposits U.S. f e d e r a l f u n d s Differential Chart 8. 23-Sep - 9 2 30-Sep -92 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. 16-Sep 3-Month I n t e r e s t Rates U.S. 90-day CD'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 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. 9 - S e p - 92 o> Chart 5. 2 - S e p - 92 Stock I n d i c e s Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom United States 7. 32 9. 15 7 . 90 5. 05 6 . 89 8 . 34 9. 60 6 . 60 (Wednesday f i g u r e s ) 114. 127. 88. 102. 103. 143. 130. 169. 53 32 95 01 50 81 56 09 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 , 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 CAC G e n e r a l , FAZ A k t i e n , 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 October 2, 1992 H.101512) FOREIGN EXCHANGE RATES FOR THE MEEK ENDING OCTOBER 2, 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 •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 MEMO: ••UNITED 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 Sep. 28 (CURRENCY UNITS PER DOLLAR) Oct. 1 Sep. 30 Sep. 29 Oct. 2 0.7165 10.219 29.880 1.2465 5.5328 5.6000 1.3540 4.6080 4.8930 1.4520 185.75 7.7305 28.480 1.8040 1223.00 119.58 2.5100 1.6329 0.5365 5.8780 129.60 1.6035 2.8350 789.50 102.40 44.250 5.4420 1.2715 N.A. 25.220 1.7295 0.7130 10.025 29.350 1.2540 5.5227 5.5110 1.3820 4.5220 4.8250 1.4255 182.85 7.7295 28.450 1.8435 1209.50 119.75 2.4980 1.6038 0.5358 5.7600 127.00 1.5960 2.8210 790.90 99.95 44.200 5.3400 1.2465 25.248 25.170 1.7690 0.7139 9.960 29.160 1.2480 5.5140 5.4800 1.3832 4.5050 4.7895 1.4147 181.95 7.7237 28.480 1.8565 1241.00 120.00 2.4950 1.5934 0.5372 5.7415 126.25 1.5910 2.8130 789.70 99.30 44.200 5.3040 1.2372 25.189 25.130 1.7790 0.7141 10.006 29.370 1.2436 5.5140 5.5080 1.3745 4.5370 4.8310 1.4260 184.05 7.7237 28.480 1.8505 1247.00 120.00 2.4970 1.6050 0.5404 5.7940 126.50 1.5920 2.8230 788.30 99.97 N.A. 5.3515 1.2450 25.161 25.150 1.7340 0.7165 9.983 29.040 1.2550 5.5140 5.4630 1.3835 4.5080 4.7670 1.4090 181.95 7.7255 28.480 1.8570 1239.50 119.35 2.4965 1.5867 0.5433 5.7760 126.18 1.5920 2.8300 787.80 99.85 44.200 5.3218 1.2352 25.186 25.150 1.7060 82.71 81.66 81.45 82.08 81.67 •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. HEIGHTS 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) 428-1986. FOR INFORMATION ABOUT YOUR SUBSCRIPTION TO THIS RELEASE OR ABOUT RECEIVING IT IN DOCWENT FORM, PLEASE CALL PUBLICATIONS SERVICES AT THE FEDERAL RESERVE BOARD AT 1202) 452-3244.