Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : September 28, 1992

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Selected Interest &
Exchange Rates
Weekly Series of Charts

September 28,1992

DIVISION O F
INTERNATIONAL F I N A N C E

Prepared by the

BOARD O F GOVERNORS
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




S U B S C R I P T I O N 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
140
130
120

RATIO SCALE
MARCH 1973=100
140
130
120

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

110

110

100

100

90

90

BELGIAN FRANC
—

80
70

i

'

'

l

i

i

i

l

i

i

i

I

i

i

'

i

« i

I

1

'

« I

1

'

1

» I

1

1

80

70

280

280

260

260

SWISS FRANC

240

240

JAPANESE YEN

220

220

200

200

180

180

160

160

140
100

i

90

i

i

I

i

i

'

l

i

i

i

I

i

i

I

i

I

» I

I

»

1

I

1

1

•

1 '

•

'

140
100
90

UNITED KINGDOM

80

80

70

70

CANADIAN DOLLAR

60

60
50

•

'

i

I

i

i

i

I

I

i

i

i

i

'

I

'

I

I

I

I

I

I

I

I

I

I

I

180 —

180

DUTCH GUILDER

160

160
_ * N / \ / G E R I V I A N MARK

140

140
120

120

i

i

i

l

'

i

i

l

i

i

'

l

'

'

i

I

I

I

I

I

I

I

I

I

I

I

I

I

I

ITALIAN LIRA

FRENCH FRANC

100

80

1

60

50

200

200

100
120

1

'

I




I

I

I
1990

I

I

I

I

I

1 I

I
1992

I
1990

1992

CHART 2

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

4

VVY^

8

8

12

12

16

•

•

•

l

•

•

» l

'

'

'

l

'

» •

1

1

1

I

1

1

I

1

1

1

1

1

1

1

1

16

8

8

JAPANESE YEN

GERMAN MARK
—

4

—

—

8
12

1

1

1

1

1

1

1

1

M
1

I

L

1

I

I

•

1

I

I

I

I

I

I

I

I

I

1 1

1 1 1

12

8
DUTCH GUILDER

SWISS FRANC

" W

" WW

—

—

I

I

I

I

I

I

I

I

I

I

I

I

I

I

12
4

ITALIAN LIRA

FRENCH FRANC




I

—

12
I
1990

1992

I

I

I

I

I
I
1990

I
1

I

I

I

1

I

I I
1992

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

1989




1990

1991

1992

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
CENT PER ANNUM

PERCENT PER ANf
12

12
FRANCE
10

10
U.S. FEDERAL FUNDS

8

8

JAPAN

6

6

4

4

2
12

i

i

i

l

i

i

i

I

i

i

i

l

i

i

i

2
12

10

10
GERMANY
8

8

NETHERLANDS
6

4
16

6

i

i

i

I

i

i

i

1 i

i

i

I

i

i

4
16

14

14

12

12

UNITED KINGDOM
CANADA

10

10

8

8

6

6
SWITZERLAND

4




1990

1992

1990

1992

4

CHART 5

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 STERLNG




JAPANESE CD RATE

FRENCH INTERBANK RATE

SWISS INTERBANK

GERMAN INTERBANK RATE

1990

1992

1990

1992

CHART 6

EURO-DOLLAR DEPOSIT RATES L O N D O N
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
12

PERCENT PER ANNUM
12

OVERNIGHT

3-MONTH

I

i

i

I

7-DAY

10

i

i

i

10

I

i

i

i

I

i

i

i

6-MONTH

2
12

10

6 —

•

'

i

I

'

'

'

I

'

'

i

I

I

I

I

1-MONTH

i

i

i

I

i




i
1990

i

I

I

'

I

I

'

I

I

I

I

I

1-YEAR

l

i

i

i

l

i

i
1992

'

'

'

I

I

'

I
1990

'

2
12

10

I

I

I

'

I

'

I
1992

'

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+), F A V O R S B O R R O W I N G IN U.S.
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANN'

PEF ENT PER ANNUM
12

10

OVERNIGHT
EURO-DOLLAR DEPOSITS

3-MONTH
EURO DOLLAR DEPOSITS

8

6

90-DAY CD'S
DASHED LINE

FEDERAL FUNDS
DASHED LINE

4

2
2

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

L

DIFFERENTIAL

1

+
0

1

J

L

Ifyni* m/\ i

_l




L_J

I

I

I
1990

I

I

I

I

I

I

I

L_
1992

I

I

I

I

I
1990

I

I

I

I

I

I

I

I
1992

I

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
12

i

i

PERCENT PER ANNUM
12

INTERBANK STERLING
COVERED LONDON

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS
DASHED LINE

U.S. COMMERCIAL PAPER
DASHED LINE

i

I

i

i

i

I

i

i

i

I

i

i

i

i

i

DIFFERENTIAL

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

I

DIFFERENTIAL

I

I

I

I

I

I

I

I

I

I

INTERBANK DM
COVERED FRANKFURT

I

I

I

I

I

SWISS INTERBANK (SF) COVERED

L\

EURO-DOLLAR DEPOSITS
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

I

I

I

I

I

I

I

I

I

I

I

I

I

'

I

i

I

I

I

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

I
1992

I

I

I

I

I

I

I
1990

I

1992

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUlM
13

CENT PER ANNUM
10

UNITED

UNITED STATES

KINGDOM

9

12
11

8

10

7

9

6
5
12

i

i

I

i

i

i

i

I

i

i

i

I

i

i

•

i

i

i

l

i

'

i

I

i

i

i

I

i

i

i

8
12

FRANCE

CANADA
11

11

10

10

9

9

8

8

i

7
8

i

I

i

i

'

I

' I '

l

i

i

7
8
JAPAN

SWITZERLAND
7

7

6

6

5

5

4
10

i

i

i

l

i

i

i

I

i

i

i

I

i

i

i

4
10
GERMANY

NETHERLANDS
9

9

8

8

7

7

6

•

'

i




I

i

'
1990

'

I

'

'

i

l

i

•
1992

i

I

I

I

I

I

» I
1990

I

I

1 I

I

1

I
1992

6

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100
200
UNITED STATES

RATIO SCALE
1986=100
200
UNITED KINGDOM

180

180

160

160

140

140

120

120

100
240

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

200

GERMANY
JAPAN

160

120

80
180
165

i

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

SWITZERLAND

FRANCE

150
135
120
105

90
150

i i i I i i i I i i i I i i i
135

135
NETHERLANDS

CANADA
120

120

105

105

90

90

75

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




1990

1992

I

I

I

I

I

I
1990

I

I

I

I

I

I

I

I
1992

I

75

SERIES
Chart 1.

26-Aug-92 2 -Sep-92

9-Sep-92

16-Sep-92 23-Sep-92

Spot Exchange R a t e s and Indices

Noon buying rates (U. S. cents, w e e k l y a v e r a g e s )
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

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

134.78
83.67
93.25
198.26
53.02
208.83
179.45
254.53
79.72

136.41
83.36
94.38
200.81
53.58
212.17
181.71
257.37
80.47

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

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

136
82
94
200
53
212
181
257
80

.00
.75
.24
.24
.43
.39
.24
.43
.44

130
81
90
191
49
210
173
248
76

.02
.77
.23
.37
.36
.89
.31
.00
.63

128
81
88
188
45
213
170
246
69

.13
.19
.33
.63
.78
.22
.99
.98
.95

113
66
76
183
41
189
155
70
218
64
79

.85
.83
.18
.98
.29
.03
.04
.88
.77
.15
.09

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

.97
.26
.13
.33
.98
.30
.04
.74
.20
.24
.51

Weighted a v e r a g e e x c h a n g e value indices , Mar. 1973i = 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.

-1.33
-7.01
-6 .37
-12.25
-0.38
-6.36
-4.35
-6.98

-1 .37
-7 .01
-6 .39
- 1 4 .38
-0 .69
-6 .46
- 4 .65
-6 .92

-1 .96
-6 .98
-6 .15
- 1 5 .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

339.27

340.29

341 .87

344 .68

348 .42

3.27
3.25
4.95
9.98
9.67
4.05
9.62
7.13
9.58

3.33
3.30
4.60
10.03
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

3 .07
3 .00
4 .25
11 .51
8 .93
4 .09
8 .64
6 .70
9 .63

-1.51
-7.06
-6 .45
-12.15
-0.34
-6 .48
-4.63
-7.01

Gold Price in London, Afternoon Fixing

U.S. d o l l a r s per fine ounce
Chart 4.

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 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.

113.59
68.14
75.87
183.30
41.25
186.93
154.53
70.66
217.76
64.00
79.79

Call Money R a t e s

U.S. federal funds
Overnight Euro-dollar d e p o s i t s
Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom




SERIES
Chart 5.

26-Aug-92 2 - S e p - 9 2

3. 32
5. 08
10. 34
9. 81
3. 73
9. 76
7. 93
10. 43
8. 63

3. 33
4. 92
10. 44
9. 84
3. 80
9. 79
7 .71
10. 50
8. 67

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

Euro-Dollar Deposit Rates

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

16-Sep-92 23-Sep-92

3 - M o n t h Interest Rates

U.S. 90-day CD's, s e c o n d a r y market
Canadian f i n a n c e paper
French interbank rate
German interbank rate
Japanese C D rate
Netherlands interbank rate
Swiss interbank rate
U.K. interbank s t e r l i n g
Weighted a v e r a g e foreign interest rate
(G-10 C o u n t r i e s )
Chart 6.

9-Sep-92

Selected Euro-dollar & U.S.

y Market Rates
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. 00
3. 07
-0. 07

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. 14
3. 12
0. 02

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. 14
3. 21
-0. 07

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. 22
3. 29
-0. 07

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

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. 14
3. 52
-0. 38

Euro-dollar deposit
Swiss interbank, covered
Differential

3 .34
3 .21
0 .13

3. 38
3. 28
0. 10

3 .19
3 .03
0 .16

3. 04
3. 11
-0. 07

3. 14
3. 12
0. 02

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

.94
.15
.17
.88
.77
.13
.64
.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

Overnight Euro-dollar deposits
U.S. federal funds
Differential
3-month Euro-dollar deposit
U.S. 90-day CD's, s e c o n d a r y market
Differential
Chart 8.

Interest Arbitrage, 3-Month Funds

Euro-dollar deposit
Interbank s t e r l i n g (London), covered
Differential
U.S. commercial paper
Canadian finance paper, covered
Differential

Chart 9.

10-year maturity, where available!

ond Y i e l d s
7
9
7
4
6
8
9
6

.28
.07
.91
.87
.96
.32
.38
.62

7 .32
9..15
7..90
5..05
6..89
8 .
.34
9,,60
6 .60
.

112
128
87
96
103
140
130
167

.74
.05
.16
.59
.61
.82
.05
.23

114,.53
127 ,.32
88,.95
102,,01
103,.50
143, 81
130,.56
169,.09

Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United S t a t e s
Chart 10.

;)
Stock Indices (Wednesday figures)

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United S t a t e s

114
131
90
106
103
145
131
168

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
September 25, 1992

H. 10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

SEPTEMBER 25, 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
*1RELAND
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:
<-*UNITED STATES

DOLLAR

Sep. 21

(CURRENCY UNITS PER DOLLAR)
Sep. 24
Sep. 23
Sep. 22

Sep. 25

0.7257
10.435
30.540
1.2310
N. A.
5.7780
1.3172
4.6300
5.0600
1.4815
188.50
7.7300
28.480
1.7515
1255.00
123.72
2.5130
1.6689
0.5352
6.0150
127.50
1.6060
2.8460
787.70
104.90
44.200
5.5500
1.3005
25.278
25.285
1.7125

0.7235
10.510
30.710
1.2312
5.5348
5.8175
1.3053
4.7515
5.1020
1.4905
190.10
7.7310
28.480
1.7540
1251.25
121.20
2.5070
1.6774
0.5380
6.0470
132.05
1.6030
2.8435
788.80
106.80
N. A.
5.6020
1.3020
25.284
25.290
1.7082

0.7220
10.565
30.920
1.2424
5.5348
5.8130
1.3040
4.7475
5.1230
1.5015
190.50
7.7300
28.480
1.7445
1264.25
120.15
2.5110
1.6884
0.5385
6.0620
132.75
1.6025
2.8550
789.10
102.10
44.450
5.6060
1.3105
25.286
25.260
1.7085

0.7233
10.445
30.580
1.2415
5.5328
5.7370
1.3110
4.6800
5.0470
1.4855
189.25
7.7290
28.480
1.7655
1254.00
120.70
2.5090
1.6708
0.5379
6.0070
132.95
1.6020
2.8550
789.10
104.40
44.400
5.5650
1.3055
25.283
25.250
1.7090

0.7225
10.456
30.560
1.2396
5.5328
5.7360
1.3160
4.6850
5.0270
1.4855
188.85
7.7290
28.480
1.7645
1244.75
120.50
2.5090
1.6712
0.5380
5.9970
133.20
1.6030
2.8500
789.20
104.30
N. A.
5.5500
1.2970
25.276
25.220
1.7140

84.41

84.48

84.81

84.27

84.07

•VALUE IS U.S. DOLLARS
**INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10
COUNTRIES. MARCH 1973 = lDO. 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) 428-1986.
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.