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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts September 21,1992 DIVISION O F INTERNATIONAL FINANCE Prepared by the BOARD O F G O V E R N O R S FEDERAL RESERVE SYSTEM FINANCIAL MARKETS SECTION Washington, DLC. 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=100 140 130 120 110 140 130 120 110 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 100 100 90 90 BELGIAN FRANC 80 80 i 70 280 260 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 70 280 260 240 JAPANESE YEN 220 220 200 200 180 180 160 160 140 100 i 90 i i l i i i l i i i l i i i »» i I i i < I ' i i I i i i 140 100 90 UNITED KINGDOM 80 80 70 70 CANADIAN DOLLAR — 60 50 200 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 50 200 180 DUTCH GUILDER 180 — 160 160 _ * \ / V G E R M A N MARK 140 — i i i l i i i l i i i l i ' i I I I I I I I I I I i I I I I I ITALIAN LIRA FRENCH FRANC 100 80 60 140 120 120 100 120 60 i i i I i i 1990 i I i i i I i i 1992 i i i i I i i i 1990 1992 I CHART2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 4 PERCENT PER ANNUM 4 ( CANADIAN DOLLAR + U.K. POUND 0 8 12 12 i i i I i i i I i i i I i i i 16 8 JAPANESE YEN GERMAN MARK —I 4 8 12 8 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 i 12 8 DUTCH GUILDER SWISS FRANC — "VV"'W-v 4 — 8 12 4 I I I I 1 I I 1 I I 1 1 1 1 1 I I 1 1 1 I I 1 1 1 1 1 1 1 ITALIAN LIRA FRENCH FRANC 4 8 12 16 i i i I i i i 1990 I i i i I i i i 1992 1990 1992 1 CHART3 P R I C E O F G O L D IN L O N D O N AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE 420 — — 420 400 — 400 380 — — 380 12.5 Kg BARS AFTERNOON FIXING PRICE 360 360 340 — 320 1989 1990 1991 1992 340 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 12 12 FRANCE 10 10 U.S. FEDERAL FUNDS — 8 JAPAN i 2 12 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 i i 2 12 10 10 GERMANY NETHERLANDS i 4 16 ' 1 l « ' ' 1 i i i > i i ' ' I I » I I I I I l I I I — l 16 14 14 — 12 12 UNITED KINGDOM CANADA 10 10 — 8 — 6 — SWITZERLAND • « \ I i » i 1990 I • • • I ' • 1992 » » l i » » I 1990 1 1 ' I 1 • 1992 ' CHARTS 3 - M O N T H 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 SWISS INTERBANK GERMAN INTERBANK RATE 1990 1992 1990 1992 CHART6 E U R O - D O L L A R DEPOSIT R A T E S LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 12 12 2 12 3-MONTH OVERNIGHT 10 « i i l i • 1 1 ' 1 ' l 1 ' 6-MONTH 7-DAY 10 I » I I I I I I 1 I I 1-YEAR 1-MONTH 1990 I 1992 1990 1992 CHART 7 S E L E C T E D E U R O - D O L L A R A N D U.S. M O N E Y M A R K E T R A T E S DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 12 12 10 — 10 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 8 — 6 — 90-DAY CD'S FEDERAL FUNDS DASHED LINE DASHED LINE J I I I I I I I I I I I I I L J I DIFFERENTIAL I I I I I I I I I I I I I I I 1990 I L DIFFERENTIAL m I I I I I L J I 1992 L JL-J I I I I 1990 I I I I I mmt\i i m I I I 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 12 12 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON — U.S. COMMERCIAL PAPER EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE i ' i I i ' 1 I 1 1 1 I 1 « 1 ' i I I I I I I I l ' i i I i i i I i i i I i i i I i i i i i DIFFERENTIAL DIFFERENTIAL 2 12 i I I I I I I • I i l ' i i INTERBANK DM COVERED FRANKFURT SWISS INTERBANK (SF) COVERED EURO-DOLLAR DEPOSITS 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 1 I I 1990 I i i i I i i i I i I ' I I I I DIFFERENTIAL DIFFERENTIAL I ' I I » I I I I I 1992 I I I 1 ' ' ' 1990 I • 1992 8 CHART9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM 10 PERCENT PER ANNUM i UNITED STATES UNITED KINGDOM 12 11 10 5 12 i i i I i i i I i i i I i I CANADA I I I I I I I I I 8 12 FRANCE 11 11 10 10 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 l i i i l i i i SWITZERLAND JAPAN i i i I i i i I i i i I i i i i NETHERLANDS GERMANY i i i I i i i I i i i I i i i i i I i i i 10 10 1990 1992 i 1 I ' » i 1990 I » i » I 1 1 1992 1 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 200 UNITED STATES UNITED KINGDOM GERMANY JAPAN SWITZERLAND FRANCE CANADA 1990 NETHERLANDS 1992 1990 1992 SERIES 19-Aug-92 26-Aug-92 2-Sep-92 Chart 1. 16-Sep-92 Spot Exchange R a t e s and I n d i c e s Noon b u y i n g r a t e s (U.S. cents, 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, 3.3241 83.678 20.185 68.479 0.09013 0.79138 60.747 76.143 192.74 3.4204 83.946 20.693 70.478 0.09238 0.79757 62.508 79.118 197.11 3.4617 83.640 20.945 71.385 0.09334 0.81032 63.297 79.999 198.95 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 77.086 189.47 130 .98 83 .40 90 .96 192 . 6 4 51 . 7 4 207 . 2 1 174 .39 244 .96 77 .96 134 .78 83 .67 93 .25 198 .26 53 .02 208 .83 179,.45 254, ,53 7 9 . 72 136 . 4 1 83 .36 94 . 3 8 200 . 8 1 53 . 5 8 212 .17 181 . 7 1 257 .37 80 .47 136 . 0 0 82 . 7 5 94 . 2 4 200 . 2 4 53 . 4 3 212 . 3 9 181 . 2 4 257 . 4 3 80 . 4 4 130 . 0 2 8 1 .77 90 . 2 3 191 .37 49 .36 210 .89 173 . 3 1 248 .00 76 . 6 3 114 . 0 1 67 . 2 5 76 .18 184 .25 41 .33 188 .46 155 .20 70 .92 218 .34 64 .05 7 8 . .92 113 . 8 5 66 . 8 3 76 . 1 8 183 . 9 8 41 . 2 9 189 . 0 3 155 . 0 4 70 . 8 8 218 .77 64 . 1 5 79 . 0 9 112 .25 68 .28 75 .18 180 .96 39 .20 194 . 3 4 152 .86 69 . 7 5 217 .47 62 .95 82 .36 - 1 .51 - 7 , ,06 - 6 . ,45 - 1 2 . .15 - 0 . 34 - 6 . 48 - 4 . 63 - 7 . 01 - 1 . 33 - 7 , 01 - 6 . 37 - 1 2 . 25 - 0 . 38 - 6 . 36 - 4 . 35 - 6 . 98 - 1 .37 -7 .01 —6 . 3 9 - 1 4 .38 - 0 .69 - 6 .46 - 4 .65 -6 .92 -1 -6 -6 -15 -0 -6 -4 -7 3 3 9 . 27 3 4 0 . 29 341 .87 344.,68 3 . 33 3 . 30 4 . 60 1 0 . 03 9 . 62 4 . 09 9 . 73 7 . 13 9 . 28 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 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 g u i l d e r Swiss f r a n c U . K . pound Weighted average exchange v a l u e i n d i c e s , 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 krona Swiss f r a n c U . K . pound U.S. d o l l a r Chart 2. 9-Sep-92 Mar. 112.26 69.18 75.24 180.83 40.93 188.94 152.69 70.08 213.13 63.64 81.56 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 g u i l d e r Swiss f r a n c U . K . pound 1973=100 113 .59 68 .14 75 .87 183 .30 41 .25 186 .93 154 .53 70 .66 217 .76 64 .00 79 .79 PVreem miiu m o r D i s c o u n t -1.58 -7.00 -6.54 -11.62 -0.46 -6.55 -5.03 -6.72 .96 .98 .15 .54 .78 .21 .13 .66 ixing U.S. d o l l a r s per Chart 4. f i n e ounce 336.90 C a l l 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 deposits 3.33 3.29 5.10 9.95 9.71 4.07 9.79 7.13 9.63 3. 3. 4. 9. 9. 4. 9. 7. 9. 27 25 95 98 67 05 62 13 58 $ SERIES Chart 5. 1 9 - A u g - 92 2 6 - A u g - 9 2 2 - S e p - 92 3-Month I n t e r e s t Euro-Dollar deposits 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 p a p e r , Differential covered covered Euro-dollar deposit Swiss i n t e r b a n k , covered Differential 3 .14 4 .84 10 . 2 4 9 .79 3 .84 9 .72 7 .78 10 .29 8 .71 3 .07 5 .08 10 . 1 1 9 .52 3 .90 9 .39 7 .31 10 . 5 1 8 .78 3.29 3.25 3.25 3.31 3.38 3.53 3.25 3.25 3.28 3.34 3.44 3.59 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 .29 3 .33 - 0 .04 3 . 25 3 . 27 - 0 . 02 3 . 30 3 . 33 - 0 . 03 3 .08 3 .09 -0 .01 3 .06 3 .28 - 0 .22 3 .31 3 .28 0 .03 3 . 34 3 . 32 0 . 02 3 . 38 3 . 33 0 . 04 3 .19 3 .14 0 .05 3 .04 3 .07 - 0 .03 3 .31 3 .27 0 .05 3 . 34 3 . 23 0 . 11 3 . 38 3 . 33 0 . 04 3 .19 3 .19 -0 .01 3 .04 2 .65 0 .39 3 .37 3 .49 - 0 .12 3 . 38 3 . 55 - 0 . 17 3 . 40 3 . 57 - 0 . 17 3 .24 3 .46 - 0 .21 3 .16 3 .10 0 .06 3 .31 3 .10 0 .21 3 . 34 3 . 20 0 . 14 3 . 38 3 . 32 0 . 06 3 .19 3 .24 - 0 .05 3 .04 3 .23 - 0 .19 3.31 2.99 0.32 3.34 3.21 0.13 3.38 3.28 0.10 3.19 3.03 0.16 3.04 3.11 -0.07 7 9 7 4 6 8 9 6 7 9 7 5 6 8 9 6 7 8 7 4 6 8 9 6 Long Term G o v e r n m e n t B e l l w e t h e r Bond Y i e l d s 10-year 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 C h a r t 10. 3 .33 4 .92 10 . 4 4 9 .84 3 .80 9 .79 7 .71 10 . 5 0 8 .67 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 Chart 9. 3 .32 5 .08 10 . 3 4 9 .81 3 .73 9 .76 7 .93 10 . 4 3 8 .63 S e l e c t e d E u r o - d o l l a r & U . S . Money M a r k e t R a t e s Overnight Euro-dollar U.S. f e d e r a l f u n d s Differential Chart 8. 3 . 28 5 . 09 1 0 . 26 9 . 80 3 . 87 9 . 76 8 . 13 1 0 . 16 8 . 59 D e p o s i t Rates Overnight 7-day 1-month 3-month 6-month l~year Chart 7. 16-Sep -92 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 r a t e 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 (G-10 C o u n t r i e s ) Chart 6. 9 - 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 9 8 4 6 8 9 6 .22 .00 .00 .96 .97 .36 .29 .52 .28 .07 .91 .87 .96 .32 .38 .62 .17 .87 .83 .95 .85 .27 .30 .39 7 8 7 4 6 8 9 6 .40 .71 .66 .94 .74 .11 .19 .36 (Wednesday f i g u r e s ) 112 82 131, 26 90 .76 84 ,47 106,.10 145,.62 136,.98 169,,38 112,.74 128 .05 8 7 , .16 96,.59 103,. 6 1 140, .82 130, .05 167,.23 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 http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis K .32 .15 .90 .05 .89 .34 .60 .60 114,.53 127,.32 8 8 , .95 102,, 0 1 103,.50 143, 8 1 130, 56 169, 09 114 .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 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 H.10(512) September 18, 1992 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING SEPTEMBER 18, 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 «NEH 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: HKJNITED STATES DOLLAR Sep. 14 1CURRENCY UNITS PER DOLLAR) Sep. 16 Sep. 17 Sep. 15 0.7331 1D.456 30.600 1.2118 5.5236 5.7275 1.3571 4.5040 5.0345 1.4862 185.20 7.7330 28.480 1.7920 1179.50 124.25 2.5105 1.6737 0.5537 5.8740 129.80 1.5972 2.8100 787.40 96.02 N. A. 5.4415 1.3155 25.340 25.270 1.8915 0.7311 10.459 30.650 1.2190 5.5236 5.7240 1.3519 4.6150 5.0490 1.4872 185.00 7.7308 28.480 1.7980 1199.75 124.38 2.5120 1.6748 0.5450 5.9300 130.75 1.6000 2.8030 789.10 96.85 44.050 5.4700 1.3145 25.258 25.230 1.8715 0.7302 10.679 31.300 1.2220 5.5338 5.8680 1.3170 4.7950 5.1525 1.5180 189.20 7.7315 28.480 1.7508 1260.00 124.95 2.5150 1.7103 0.5465 6.0380 133.35 1.6040 2.8300 789.10 102.10 N.A. 5.5560 1.3205 25.274 25.270 1.8110 0.7317 10.426 30.600 1.2176 5.5391 5.7930 1.3280 4.6750 5.0875 1.4815 188.90 7.7305 28.480 1.7750 1235.00 124.43 2.5120 1.6689 0.5465 5.9950 129.35 1.6005 2.8450 787.60 104.45 N.A. 5.4590 1.2950 25.294 25.350 1.7815 82.88 83.24 84.92 83.88 Sep. 18 0.7325 10.573 31.000 1.2165 5.5288 5.8590 1.2962 4.8080 5.1350 1.5020 187.50 7.7303 28.480 1.7640 1264.50 124.63 2.5180 1.6913 0.5431 6.1090 132.95 • 1.6087 2.8520 787.40 106.45 N.A. 5.6535 1.3050 25.281 25.300 1.7370 84.98 •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 (202) 377-1986. 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.
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