Chapter

Statistical Appendix

Author(s):
International Monetary Fund
Published Date:
January 1993
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Table A1.Net Foreign Exchange Market Turnover Handled by Brokers in Selected Industrial Countries1(In percent of total turnover)
198619891992
United Kingdom2433834
United States444434
Japan35
Switzerland1913
Hong Kong3531
France5044
Australia3333
Canada4037
Sources: Bank of Canada; Bank of England; Bank of Japan; Bank for International Settlements; Banque de France; Federal Reserve Bank of New York; Monetary Affairs Branch, Hong Kong; Monetary Authority of Singapore; Reserve Bank of Australia; and Swiss National Bank.

Includes turnover in derivative securities unless otherwise attributed.

Data for 1986 and 1989 are for gross turnover. The 1992 data for wholesale and retail turnover proportions incorporate a more detailed presentation which allowed disaggregation of OTC options by counterparty.

Sources: Bank of Canada; Bank of England; Bank of Japan; Bank for International Settlements; Banque de France; Federal Reserve Bank of New York; Monetary Affairs Branch, Hong Kong; Monetary Authority of Singapore; Reserve Bank of Australia; and Swiss National Bank.

Includes turnover in derivative securities unless otherwise attributed.

Data for 1986 and 1989 are for gross turnover. The 1992 data for wholesale and retail turnover proportions incorporate a more detailed presentation which allowed disaggregation of OTC options by counterparty.

Table A2.Assets of U.S. Institutional Investors by Type of Institution(In billions of U. S. dollars)
198119861987198819891990
Pension funds891.21,791.71,934.32,352.02,484.02,491.3
Private667.01,322.21,417.31,662.01,748.11,735.0
Public224.2469.5517.0690.0734.9756.3
Insurance companies559.0992.81,011.21,258.81,826.81,935.2
Investment companies of which:248.3727.0790.4816.01,035.61,121.9
Mutual funds241.4716.5769.9777.8982.01,069.1
Bank trusts334.9614.6693.4645.8747.6785.6
Others66.0136.9176.6133.4152.1187.0
Total2,099.44,263.04,605.95,206.06,246.16,520.4
Source: Posen and Nada (1992), Exhibit 2.
Source: Posen and Nada (1992), Exhibit 2.
Table A3.Investments of Japanese Life Insurers(In billions of U.S. dollars)
March 31, 1990March 31, 1991
Total assets738.9923.8
of which:
Securities348.5409.5
Domestic235.3289.0
Foreign113.2120.4
Loans and deposits306.1410.7
Domestic238.8326.9
Foreign67.483.8
Other84.3103.6
Source: Life Insurance Association of Japan (1992), pp. 8-9.Note: Yen figures converted to U.S. dollars using end-March exchange rates.
Source: Life Insurance Association of Japan (1992), pp. 8-9.Note: Yen figures converted to U.S. dollars using end-March exchange rates.
Table A4.United States: Foreign Assets Held in Collective Investment Funds
19801985198619871988198919901991
(In millions of U.S. dollars)
Total assets108,370233,762263,028302,547345,227414,465401,717520,397
of which:
Foreign equity9702,2403,7634,2987,51113,28417,32527,835
Foreign fixed income4977217238869613,2011,8801,878
(In percent of total assets)
Foreign equity0.91.01.41.42.23.24.35.3
Foreign fixed income0.50.30.30.30.30.80.50.4
Source: Federal Financial Institutions Examination Council.
Source: Federal Financial Institutions Examination Council.
Table A5.Outstanding Swap Transactions by Currencies
December 31, 1987December 31, 1988December 31, 1989December 31, 1990December 31, 1991
In millions of U.S. dollarsAs percent of totalIn millions of U.S. dollarsAs percent of totalIn millions of U.S. dollarsAs percent of totalIn millions of U.S. dollarsAs percent of totalIn millions of U.S. dollarsAs percent of total
Pound sterling10,5055.717,7045.533,4667.449,0418.574,8359.3
U.S. dollar162,60688.5269,47784.3354,16678.8428,35574.2584,26372.4
Japanese yen59,74632.5131,03441.0201,14544.8244,78742.4360,08844.6
Deutsche mark21,37711.633,97910.653,83912.072,31012.595,17811.8
Other113,32861.7187,06258.6256,04557.0360,57762.4499,96861.9
Total adjusted for re-exporting by both sides1183,781200.0319,628200.0449,331200.0577,535200.0807,166200.0
Sources: Bank for International Settlements (1991), Tables 14A and 14B; and International Swap Dealers Association.

Each currency swap involves two currencies. To avoid double counting, the total is therefore half the sum of the individual currency amounts, and the percentages in each currency add up to 200 percent of this total.

Sources: Bank for International Settlements (1991), Tables 14A and 14B; and International Swap Dealers Association.

Each currency swap involves two currencies. To avoid double counting, the total is therefore half the sum of the individual currency amounts, and the percentages in each currency add up to 200 percent of this total.

Table A6.Currency Futures and Options: Exchanges, Contracts, and Volume of Contracts Traded
Exchange/TypeFace Value of ContractVolume of Contracts Traded
19871988198919901991Jan.-Aug.

1992
Sept.

1992
(In thousands of contracts)
United States
Mid-America Commodity Exchange
(Midam)
Futures
Pound sterling£12,5001128242630256
Swiss francSw F 62,5009877617674426
Deutsche markDM 62,50085505483946214
Japanese yen¥ 6,250,0005944595441253
Chicago Mercantile Exchange (CME)
Futures
Pound sterling1£62,5002,5922,6162,5183,4103,7462,061327
Canadian dollarCan$100,0009151,4091,2641,4091,139749144
Deutsche mark1DM 125,0006,0375,6628,1869,16910,9297,3981,223
Japanese yen1¥ 12,500,0005,3596,4337,8247,4376,0173,248425
Swiss francSw F 125,0005,2685,2836,0946,5255,8353,292543
French francF 250,0001042
Australian dollar$A 100,0005376114105764616
Options
Pound sterling£62,50056954340650165040468
Deutsche markDM 125,0003,1262,7343,7953,4305,6434,055610
Swiss francSw F 125,0001,0531,0701,4891,130998628157
Japanese yen¥ 12,500,0002,2512,9453,1273,1162,3971,22781
New York Cotton Exchange
Futures
European currency unitECU 100,0004224161221
U.S. dollar index$500 x index40444774356571649853
Options
U.S. dollar index$500 x index151151001,4184485
Philadelphia Stock Exchange (PHLX)
Options2
Australian dollar$A 50,00022453141730918610712
Canadian dollarCan$50,00031833736247520411317
Deutsche markDM 62,5004,2603,4075,2774,8927,4724,6571,189
ECUECU 62,5002131063
French francF 250,000702566040146888109
Japanese yen¥ 6,250,0002,4602,9223,3282,9901,783831159
Pound sterling£31,2501,8761,303482646587498102
Swiss francSw F 62,5001,3041,2371,11477346025342
Sources: Euromoney (Corporate Finance Supplement), Futures and Options 1990 Directory, Futures Industry Association, International Report, Monthly Options Report, and Monthly Volume Report (various issues); and Volume of Futures Trading, 1960 Through 1990; Mid-America Commodity Exchange; and Philadelphia Stock Exchange.Note: — = either zero or less than 500 contracts; options volume is puts and calls combined.

CME deutsche mark, Eurodollar, Japanese yen, and pound sterling contracts are listed on a mutual offset link with the Singapore International Monetary Exchange (SIMEX) in Singapore.

Include American and European options.

Sources: Euromoney (Corporate Finance Supplement), Futures and Options 1990 Directory, Futures Industry Association, International Report, Monthly Options Report, and Monthly Volume Report (various issues); and Volume of Futures Trading, 1960 Through 1990; Mid-America Commodity Exchange; and Philadelphia Stock Exchange.Note: — = either zero or less than 500 contracts; options volume is puts and calls combined.

CME deutsche mark, Eurodollar, Japanese yen, and pound sterling contracts are listed on a mutual offset link with the Singapore International Monetary Exchange (SIMEX) in Singapore.

Include American and European options.

Table A7.Average Daily Settlement Volume on CHIPS and Fedwire(In billions of U. S. dollars)
CHIPSFedwire Funds Transfer
198037192
1985300436
1991866769
1992943797
January959829
February931821
March921824
April853768
May872775
June916777
July955770
August884752
September1,063805
October1,073795
November1,023789
December864786
Sources: Association of Reserve City Bankers (1982), p. 12; Board of Governors of the Federal Reserve System; and New York Clearing House.
Sources: Association of Reserve City Bankers (1982), p. 12; Board of Governors of the Federal Reserve System; and New York Clearing House.
Table A8.Italy: Net External Assets of Credit System(In billions of lire, end of period)
198619871988198919901991
OECD countries-20,882-26,699-42,027-41,460-53,075-77,012
European Community-10,115-14,932-29,266-32,199-47,167-62,253
Belgium-Luxembourg-1,444-1,909-6,294-9,149-14,659-20,752
Denmark191793587376741
France-3,852-3,028-4,679-5,106-5,637-7,984
Germany-1,793-2,985-3,519-7,828-9,495-11,158
Greece-322-145-90-220-85-48
Ireland-89117-10-92-29-32
Netherlands-481-1,478-2,092-2,162-3,612-4,936
Portugal-105-69-180-295-113-43
Spain-1,716-1,356-2,571-2,395-1,747-910
United Kingdom-332-4,258-9,834-5,539-12,166-17,131
Switzerland-9,129-12,954-14,967-13,882-16,720-17,821
United States-1,836109-8759023,860-2,921
Other OECD countries1981,0783,0813,7196,9525,983
Central and Eastern Europe-1,015-615-975-75-262-780
Former U.S.S.R.-1,353-641-569455557191
Others33826-406-530-819-971
OPEC-1,671-1,138-1,107-1,434-1,713593
Non-OPEC developing countries1-1,980-3,435-1,632-3,359-1,781-4,088
Not reported-3,949-3,062-428-5,210180299
Total-29,497-34,949-46,169-51,538-56,651-80,988
Source: Bank of Italy (1991).

Includes offshore banking centers.

Source: Bank of Italy (1991).

Includes offshore banking centers.

Table A9.Spain: Geographic Distribution of Foreign Investment Flows1(In billions of pesetas)
19861987198819891990199119922
Total foreign net investment in Spain719.01,039.41,100.71,970.91,999.22,978.0747.5
OECD668.2992.91,005.51,817.81,842.22,745.3861.5
European Community526.6680.7695.61,311.01,367.12,228.9678.0
France73.994.685.0211.5415.1345.389.3
Germany149.954.8145.5174.0152.6198.2148.0
Italy8.863.46.846.559.049.064.1
United Kingdom235.8342.2308.8676.4429.01,101.2-65.6
Other58.2125.8149.5202.7311.4535.3442.2
Japan20.144.030.270.563.474.356.1
United States30.0131.8140.5169.2257.7309.4138.2
Other OECD91.5136.4139.2267.1153.9132.7-10.9
Rest of the world50.846.595.2153.1157.0232.7-114.0
Total Spanish net investment abroad128.790.0158.1188.5323.2411.3232.9
OECD111.164.3138.1150.6275.4328.0224.8
European Community87.346.674.6109.4220.9221.0130.6
France11.79.321.619.147.770.8-1.5
Germany34.912.5-2.01.324.74.520.9
Italy1.019.73.113.64.120.411.2
United Kingdom23.4-13.08.5-2.566.553.016.4
Other16.318.143.477.977.972.483.6
Japan2.21.64.80.21.81.71.7
United States18.48.454.625.047.382.573.3
Other OECD3.27.74.216.05.422.719.1
Rest of the world17.625.720.037.947.883.38.1
Source: Bank of Spain (1992), Tables 17.32 and 17.33.

Includes foreign direct investment plus portfolio investment.

For the first three quarters.

Source: Bank of Spain (1992), Tables 17.32 and 17.33.

Includes foreign direct investment plus portfolio investment.

For the first three quarters.

Table A10.Germany: Geographic Distribution of Foreign Investment Flows(In billions of deutsche mark)
19861987198819891990199119921
Total foreign net investment in German securities
All countries74.133.97.645.217.164.070.3
France3.3-2.7-0.21.0-1.73.05.2
Italy0.90.70.3-0.11.21.9-1.4
Japan3.06.15.96.9-1.52.87.5
Portugal0.10.12.8-0.8
Spain0.4-0.11.11.40.40.1
Sweden0.70.52.01.10.11.1
Switzerland15.813.2-5.10.97.112.17.3
United Kingdom27.21.89.420.82.528.325.2
United States4.0-0.7-0.53.41.34.22.9
Rest of the world19.114.5-2.19.25.78.423.2
Total German net investment in foreign securities
All countries21.324.572.650.223.526.340.2
France2.33.83.87.1-2.1-1.54.3
Italy0.70.21.20.80.80.7-0.1
Japan-1.0-2.90.84.4-1.03.20.9
Portugal0.20.30.40.2-0.2
Spain-0.1-0.11.20.6-0.13.01.5
Sweden0.10.21.02.21.41.1-0.5
Switzerland-1.60.20.71.00.2-0.60.2
United Kingdom1.64.86.00.40.41.1
United States-0.51.09.4-4.3-2.91.91.7
Rest of the world19.817.148.237.727.217.931.3
Source: Deutsche Bundesbank.

For the first three quarters.

Source: Deutsche Bundesbank.

For the first three quarters.

Table A11.Selected Central Bank Policies, June-December 1992
CountryDate1Policy
United KingdomSeptember 3Bank of England announces syndicated loan of ECU 5 billion, with plans to borrow ECU 5 billion more.
September 16Bank of England raises base lending rate from 10.0 percent to 12.0 percent.
Bank of England raises base lending rate to 15.0 percent effective September 17.
Pound sterling withdraws from ERM.
Bank of England retracts second base rate increase.
September 17Bank of England lowers base lending rate by 200 basis points (bp) to 10.0 percent.
September 22Bank of England lowers base lending rate by 100 bp to 9.0 percent.
October 16Bank of England lowers base lending rate by 100 bp to 8.0 percent.
November 12Bank of England lowers base lending rate by 100 bp to 7.0 percent.
GermanyJuly 16Bundesbank increases official discount rate by 75 bp to 8.75 percent, leaves Lombard rate unchanged at 9.75 percent.
September 15Bundesbank lowers official discount rate by 50 bp to 8.25 percent, lowers Lombard rate by 25 bp to 9.5 percent, and offers the next securities repurchase agreement (repo) at a fixed rate of 9.2 percent.
September 23Bundesbank issues joint statement with Banque de France in support of French franc/deutsche mark parity.
October 21Bundesbank announces that it has returned to variable rate tenders in its repo agreements, lowering the rate to 8.75 percent during the previous week after having previously held the rate at 8.90 percent (9.75 percent in early September).
FranceSeptember 18Banque de France temporarily closed 5- to 10-day repo market, but reopened it when call money rates rose to 20.0 percent.
September 23Banque de France increases 5- to 10-day repo rate by 250 bp to 13.0 percent but keeps auction rate constant at 9.6 percent. Commercial banks agree not to increase rates.
Banque de France issues joint statement with Bundesbank in support of French franc/deutsche mark parity.
October 29Banque de France lowers 5- to 10-day repo rate by 250 bp to 10.5 percent; auction stays at 9.6 percent.
November 2Banque de France lowers repo rate by 25 bp to 10.25 percent.
November 3Banque de France lowers auction rate by 25 bp to 9.35 percent.
November 12Banque de France lowers 5- to 10-day repo rate by 25 bp to 10.0 percent.
November 13Banque de France lowers auction rate by 25 bp to 9.1 percent.
NetherlandsAugust 28De Nederlandsche Bank raises money market rate by 10 bp.
September 14De Nederlandsche Bank lowers discount rate by 25 bp to 8.25 percent, lowers Lombard rate by 25 bp to 9.0 percent, and lowers the promissory note rate to 9.5 percent.
September 16De Nederlandsche Bank lowers discount rate, Lombard rate, and promissory note rate to 8.0 percent, 8.75 percent, and 9.25 percent, respectively (with effect from September 17).
September 24De Nederlandsche Bank lowers interest rate on special advances by 10 bp to 9.0 percent.
October 7De Nederlandsche Bank lowers interest rate on special advances by 10 bp to 8.9 percent.
October 21De Nederlandsche Bank lowers discount rate to 7.75 percent, the Lombard rate to 8.5 percent, and the promissory note rate to 9.0 percent (with effect from October 22).
December 11De Nederlandsche Bank lowers the three key rates by 25 bp each, and lowers the rate on special advances from 8.7 percent to 8.6 percent.
DenmarkJune 3National Bank of Denmark raises interest rate on certificates of deposit (CD) and on 14-day treasury bill repurchases by 65 bp to 10.5 percent. The official discount rate and on current account deposit rates remain at 9.5 percent.
June 4National Bank of Denmark raises interest rates on CD repurchases to 10.6 percent.
June 24National Bank of Denmark lowers interest rate on 14-day treasury bill repurchases by 10 bp to 10.4 percent.
June 25National Bank of Denmark lowers interest rate on CDs by 10 bp to 10.4 percent.
June 26National Bank of Denmark lowers interest rate on CD repurchases by 10 bp to 10.5 percent.
June 30National Bank of Denmark lowers interest rate on CD repurchases by 10 bp to 10.4 percent.
July 1National Bank of Denmark lowers interest rate on CDs by 10 bp to 10.3 percent.
July 3National Bank of Denmark lowers interest rate on 14-day treasury bill repurchases by 10 bp to 10.3 percent.
September 15National Bank of Denmark lowers interest rate on CD repurchases by 15 bp to 10.25 percent, and lowers rate on treasury bill repurchases by 15 bp to 10.15 percent.
September 17National Bank of Denmark lowers interest rate on CDs by 15 bp to 10.15 percent.
October 20National Bank of Denmark lowers interest rate on CD repurchases from 11.6 percent to 11.4 percent.
October 27National Bank of Denmark lowers interest rate on CD repurchases from 11.0 percent to 10.9 percent.
November 20National Bank of Denmark raises interest rate on CDs by 5.1 percent from 9.9 percent to 15.0 percent, after having made many adjustments to this rate since September 17.
December 14National Bank of Denmark lowers interest rate on CDs from 15.0 percent to 14.0 percent.
December 28National Bank of Denmark lowers interest rate on CDs from 14.0 percent to 13.0 percent.
SwedenAugust 21Riksbank increases marginal lending rate by 100 bp to 13.0 percent.
August 26Riksbank increases marginal lending rate by 300 bp to 16.0 percent.
September 8Riksbank increases marginal lending rate by 800 bp to 24.0 percent.
September 9Riksbank announces that it will increase marginal lending rate to 75.0 percent through a SKr 20 billion repo operation between September 10 and 11.
Riksbank announces plans to borrow ECU 16 billion, with the possibility of increasing this to ECU 32 billion.
September 11Riksbank announces plans to borrow ECU 11 billion through syndication, which is successfully underwritten by September 16.
September 15Riksbank lowers marginal lending rate to 20.0 percent in a SKr 10 billion repo agreement.
September 16Riksbank increases marginal lending rate to 500.0 percent.
September 18Riksbank increases overdraft rate to 550.0 percent. To ease borrowing costs for commercial banks while still discouraging speculation, Riksbank adjusts the way it imposes the marginal lending rate: banks can borrow up to SKr 120.7 billion from the Riksbank overnight at a maximum rate of 15.0 percent.
September 21Riksbank lowers marginal lending rate to 50.0 percent from 500.0 percent.
Parliament passes economic package.
September 28Riksbank lowers marginal lending rate to 40.0 percent from 50.0 percent.
September 29Riksbank requests the National Debt Office to borrow SKr 110 billion in foreign currency and deposit most of it in Swedish commercial banks.
September 30Riksbank lowers marginal lending rate to 24.0 percent from 40.0 percent.
October 2Riksbank lowers marginal lending rate to 20.0 percent from 24.0 percent.
October 7Riksbank lowers marginal lending rate to 18.0 percent from 20.0 percent.
October 9Riksbank lowers marginal lending rate to 16.5 percent from 18.0 percent.
October 14Riksbank lowers marginal lending rate to 15.5 percent from 16.5 percent.
October 19Riksbank lowers marginal lending rate to 14.5 percent from 15.5 percent.
October 21Riksbank lowers marginal lending rate to 13.5 percent from 14.5 percent.
October 26Riksbank lowers marginal lending rate to 12.5 percent from 13.5 percent.
October 30Riksbank lowers marginal lending rate to 12.0 percent from 12.5 percent.
November 10Riksbank lowers marginal lending rate from 12.0 percent to 11.5 percent.
November 19Riksbank increases marginal lending rate from 11.5 percent to 20.0 percent.
Krona is allowed to float against the ECU.
Riksbank lowers marginal lending rate to 12.5 percent.
December 4Riksbank lowers marginal lending rate to 11.5 percent from 12.5 percent.
December 16Riksbank lowers marginal lending rate to 11.0 percent from 11.5 percent.
BelgiumJuly 17National Bank of Belgium raises ordinary lending rate, primary dealers’ rate, and auction rate by 15 bp each to 9.95 percent, 9.45 percent, and 9.45 percent, respectively.
August 14National Bank of Belgium raises the auction rate by 15 bp to 9.6 percent.
August 18National Bank of Belgium raises the ordinary lending rate and primary dealers’ rate by 15 bp to 10.1 percent and 9.6 percent, respectively.
August 31National Bank of Belgium raises ordinary lending rate, primary dealers’ rate, and auction rate by 10 bp each to 10.2 percent, 9.7 percent, and 9.7 percent respectively.
September 14National Bank of Belgium lowers ordinary lending rate and primary dealers’ rate by 25 bp each to 9.95 percent and 9.45 percent, respectively, and lowers the emergency lending rate by 50 bp to 11.0 percent.
September 15National Bank of Belgium lowers the discount rate by 25 bp to 8.25 percent, lowers the ordinary lending rate and primary dealers’ rate by 15 bp each to 9.8 percent and 9.3 percent, respectively, and lowers the auction rate by 40 bp to 9.3 percent.
September 16National Bank of Belgium lowers the emergency lending rate by 25 bp to 10.75 percent.
September 17National Bank of Belgium lowers the discount rate by 25 bp to 8.0 percent.
September 22National Bank of Belgium lowers the ordinary lending rate and the primary dealers’ rate by 10 bp each to 9.7 percent and 9.2 percent, respectively.
September 23National Bank of Belgium lowers the ordinary lending rate and the primary dealers’ rate by 10 bp each to 9.6 percent and 9.1 percent, respectively. The auction rate is lowered by 20 bp to 9.1 percent.
September 25National Bank of Belgium lowers the ordinary lending rate and the primary dealers’ rate by 10 bp each to 9.5 percent and 9.0 percent, respectively.
September 28National Bank of Belgium lowers the auction rate by 10 bp to 9.0 percent.
October 7National Bank of Belgium lowers the ordinary lending rate, the primary dealers’ rate, and the auction rate by 10 bp each to 9.4 percent, 8.9 percent, and 8.9 percent, respectively.
October 21National Bank of Belgium lowers the ordinary lending rate, the primary dealers’ rate, and the auction rate by 15 bp each to 9.25 percent, 8.75 percent, and 8.75 percent, respectively. The emergency lending rate is lowered by 25 bp to 10.5 percent.
October 22National Bank of Belgium lowers the discount rate by 25 bp to 7.75 percent.
November 11National Bank of Belgium lowers the ordinary lending rate and the primary dealers’ rate by 5 bp each to 9.2 percent and 8.7 percent, respectively.
November 30National Bank of Belgium lowers the auction rate by 5 bp to 8.7 percent.
December 11National Bank of Belgium lowers the emergency lending rate by 25 bp from 10.5 percent to 10.25 percent and lowers the overnight rates charged to primary dealers and other banks by 10 bp.
ItalyJune 4Bank of Italy raises interest rates on fixed-term advances by 50 bp to 13.0 percent.
June 23Bank of Italy lowers repurchase rate to 14.15 percent.
July 5Bank of Italy raises official discount rate by 100 bp to 13.0 percent and increases the rate on fixed-term advances by 150 bp to 14.5 percent.
July 11Government announces emergency deficit-reduction package.
July 16Bank of Italy raises official discount rate and rate on fixed-term advances by 75 bp each to 13.75 percent and 15.25 percent, respectively.
August 4Bank of Italy lowers official discount rate and rate on fixed-term advances by 50 bp each to 13.25 percent and 14.75 percent, respectively.
September 4Bank of Italy raises discount rate and rate on fixed-term advances by 175 bp each to 15.0 percent and 16.5 percent, respectively.
Bank of Italy announces plans to make use of very short-term financing facility (VSTFF).
Bank of Italy raises the penalty rate applied to banks failing to comply with compulsory reserve requirements (presently 22.5 percent of marginal deposits) from 5.0 percent to 10.0 percent.
September 9Prime Minister Amato seeks emergency powers.
September 13Lira devalued by 7.0 percent against other currencies in ERM.
September 17Lira withdrawn from ERM.
September 20Treasury abolishes the 0.09 percent stamp duty on forward currency contracts. New bonds issued abroad by Italian public institutions are no longer exempted from the 12.5 percent withholding tax. Also, the withholding tax rate applied to bonds issued by nonresident financial institutions was reduced from 30.0 percent to 12.5 percent.
October 1Bank of Italy announces plans to seek an EC medium-term financing facility loan.
October 9Bank of Italy lowers rate on fixed-term advances by 50 bp to 16.0 percent; discount rate remains at 15.0 percent.
October 23Bank of Italy lowers discount rate and rate on fixed-term advances by 100 bp each to 14.0 percent and 15.0 percent, respectively, effective October 26. The reserve requirement on lira-denominated interbank deposits held by nonresident banks with Italian banks was abolished.
October 26Bank of Italy offers a U.S. dollar repurchase tender agreement, the first time it has done so in a foreign currency.
November 13Bank of Italy lowers discount rate and rate on fixed-term advances by 100 bp each to 13.0 percent and 14.0 percent, respectively.
December 23Bank of Italy lowers discount rate by 100 bp to 12.0 percent.
SpainJuly 16Bank of Spain increases official discount rate by 60 bp.
September 17Peseta devalued by 5.0 percent against other ERM currencies.
September 21Bank of Spain suspends regular money market operations.
September 23Bank of Spain introduces foreign exchange controls.
October 5Bank of Spain increases intervention borrowing rate by 100 bp to 14.0 percent.
October 12Bank of Spain announces the lifting of some of the exchange controls. Only foreign currency futures and options operations by nonresidents remain subject to a compulsory 100.0 percent non-interest-paying deposit at the central bank.
November 22Bank of Spain resumes money market operations.
November 23Peseta devalued by 6.0 percent against other ERM currencies.
Remaining foreign exchange controls are rescinded.
Bank of Spain increases money market intervention rate from 13.0 percent to 13.75 percent.
Ireland2August 21Central Bank of Ireland increases short-term facility rate and overnight rate by 25 bp to 10.75 percent and 7.5 percent, respectively.
September 20Central Bank of Ireland eases exchange controls, allowing nonresidents to borrow from Irish banks.
September 24Central Bank of Ireland requires authorization for swap activities by nonresidents in Irish pounds.
September 28Central Bank of Ireland increases official discount rate by 300 bp to 13.75 percent and increases the overnight rate by 300 bp to 10.5 percent.
November 23Central Bank of Ireland suspends the short-term facility, and offers secured overnight advances at 30.0 percent and secured one-week advances at 25.0 percent.
November 30Central Bank of Ireland increases rate on secured overnight advances to 100.0 percent.
December 2Central Bank of Ireland lowers rate on secured overnight advances from 100.0 percent to 30.0 percent.
December 7Central Bank of Ireland lowers rate on secured overnight advances from 30.0 percent to 20.0 percent.
December 15Central Bank of Ireland lowers rate on secured overnight advances from 20.0 percent to 16.0 percent; lowers 1-week and 1-month interbank rates.
December 24Central Bank of Ireland lowers rate on secured overnight advances from 16.0 percent to 14.0 percent.
December 31Central Bank of Ireland confirms that all foreign exchange controls will be lifted January 1, 1993.
NorwaySeptember 7Bank of Norway increases overnight lending rate by 100 bp to 11.0 percent and the deposit rate by 200 bp to 11.0 percent.
October 28Bank of Norway lowers deposit rate by 100 bp to 10.0 percent.
November 2Bank of Norway lowers overnight lending and deposit rates by 50 bp each.
November 9Bank of Norway lowers overnight lending and deposit rates by 50 bp each.
November 19Bank of Norway limits overnight lending—charges interest rate of 40.0 percent on credit above the limit.
November 20Bank of Norway increases the overnight lending rate from 10.0 percent to 17.0 percent.
November 23Bank of Norway increases the overnight lending rate from 17.0 percent to 25.0 percent.
November 30Bank of Norway lowers overnight lending rate from 25.0 percent to 17.0 percent.
December 10Krone allowed to float against the ECU. Bank of Norway cuts overnight lending rate from 16.0 percent to 11.0 percent.
FinlandAugust 4Bank of Finland increases money market tender rate by 122 bp to 14.62 percent; base rate remains at 9.5 percent.
August 6Bank of Finland increases tender rate by 138 bp to 16.0 percent.
August 20Bank of Finland lowers tender rate by 50 bp to 15.5 percent.
August 26Bank of Finland increases official discount rate by 150 bp to 17.0 percent; widens spread over call deposits to 2.0 percent.
September 3Bank of Finland increases tender rate by 100 bp to 18.0 percent; widens spread over call deposits to 5.0 percent; temporarily abandons fluctuation margins for markka.
September 8Markka allowed to float, depreciates by 15.0 percent by the end of the next day.
September 10Bank of Finland increases tender rate by 45 bp to 18.45 percent.
September 30Bank of Finland lowers tender rate by 136 bp to 17.09 percent.
October 1Bank of Finland lowers tender rate by 59 bp to 16.5 percent.
October 28After seven consecutive reductions during October, the tender rate reaches 11.0 percent; spread over call deposits widened to 3.0 percent.
December 17Bank of Finland announces that its parliamentary supervisors have decided to lower the base rate by 100 bp to 8.5 percent, effective January 1, 1993.
PortugalAugust 12Bank of Portugal lowers official money market intervention rates to 15.0 percent and 17.0 percent, respectively, for purchases and sales.
August 19Bank of Portugal lowers official intervention rates for purchases and sales by 100 bp to 14.0 percent and 16.0 percent, respectively.
September 18Bank of Portugal intervenes in money markets as overnight rates climb from 25.0 percent to 180.0 percent and tomorrow/next rates rise to 350.0 percent.
September 24Bank of Portugal introduces foreign exchange controls, effectively reducing escudo loans to nonresidents by two-thirds.
November 23Escudo devalued by 6.0 percent against other ERM currencies.
December 4Bank of Portugal resumes money market intervention with an interest rate of 14.0 percent applied to liquidity absorption operations, the same rate used before such operations were suspended in the last week of November.
Sources: Bank for International Settlements; Bank of Denmark; Bank of England; Bank of Finland; Bank of Italy; Bank of Norway; Bank of Portugal; Banque de France; Central Bank of Ireland; Bank of Spain; De Nederlandsche Bank; Deutsche Bundesbank; Financial Times (various issues); International Monetary Fund; Mary R. McCarthy, “A Chronology of Recent Events in the EMS,” ECU: Current European Monetary Events (Brussels, No. 21, 1992), pp. 3-6; National Bank of Belgium; and Sveriges Riksbank.

Note: On December 30, 1992, Nordic central banks announced an expansion of their swap arrangements to provide short-term currency support. Denmark, Finland, Norway, and Sweden will each be entitled to borrow up to ECU 2 billion, and Iceland up to ECU 200 million. Each central bank except for Iceland will be required to provide support up to ECU 1 billion (ECU 100 million for Iceland).

Where it has not been possible to distinguish, dates may refer to policy announcements rather than implementation.

This table covers events only until end-1992. On January 30, 1993, the Irish authorities devalued the Irish pound by 10.0 percent against other ERM currencies.

Sources: Bank for International Settlements; Bank of Denmark; Bank of England; Bank of Finland; Bank of Italy; Bank of Norway; Bank of Portugal; Banque de France; Central Bank of Ireland; Bank of Spain; De Nederlandsche Bank; Deutsche Bundesbank; Financial Times (various issues); International Monetary Fund; Mary R. McCarthy, “A Chronology of Recent Events in the EMS,” ECU: Current European Monetary Events (Brussels, No. 21, 1992), pp. 3-6; National Bank of Belgium; and Sveriges Riksbank.

Note: On December 30, 1992, Nordic central banks announced an expansion of their swap arrangements to provide short-term currency support. Denmark, Finland, Norway, and Sweden will each be entitled to borrow up to ECU 2 billion, and Iceland up to ECU 200 million. Each central bank except for Iceland will be required to provide support up to ECU 1 billion (ECU 100 million for Iceland).

Where it has not been possible to distinguish, dates may refer to policy announcements rather than implementation.

This table covers events only until end-1992. On January 30, 1993, the Irish authorities devalued the Irish pound by 10.0 percent against other ERM currencies.

Table A12.Selected Sovereign Borrowing from Private Sources, June-November 1992
Principal (in billions of currency unit)Maturity (in approximate number of years)Interest Rate (in percent)Launch Date and Other Notes
United Kingdom1ECU 5.00 (syndicated)3LIBOR + 3/32September 4: to be drawn down in two stages in September; to be refinanced.
DM 5.0057.125October 20: DM 500 million withheld for repurchase agreements (repos).
$3.00107.25November 30
DenmarkDM 0.5058.25June 9
Sw F0.0518.00June 11
$0.5055.50September 29
$0.3035.25October 21
Sweden2ECU 8.00 (syndicated)September 18: ECU 3 billion 1-year loan @ LIBOR + 10 basis points (bp) and an ECU 5 billion 3-year credit @ LIBOR + 3/16; part of a planned ECU 16 billion borrowing program.
DM 2.5058.00October 12
F 6.0058.50October 28
£0.6057.50November 12
$2.0035.50November 17
BelgiumSw F 0.2056.50October 8
¥ 75.0075.00November 19
SpainDM 2.0010LIBOR - 1/16June 16
$1.5076.50September 16
Ireland$0.30107.125July 7
Sw F 0.10107.25September 3: National Treasury Management Agency (NTMA)
¥ 15.00105.70September 8
DM 0.30107.75October 1
Sw F 0.1596.625October 6: NTMA
DM 0.20107.75October 23
Sw F 0.1586.50November 2: NTMA
NorwayCan$0.505V27.25Early July
$0.2010LIBOR - 0.25November 5
Finland3$1.005LIBORJune 29
F 4.00119.00July 8
¥ 95.0085.25September 3
Sw F0.3077.25September 9
S 1.00108.25October 1
¥ 75.0065.25October 5
DM 1.0057.75October 28
$2.0056.75November 16: global bond.
Source: Euroweek (various issues).

On November 13, 1992, it was announced that the United Kingdom had begun discussions on the feasibility of a ¥ 500 billion Euro-yen bond to complete the ECU 5 billion foreign currency bond program.

Sweden issued some $4 billion of commercial papers (CP) under existing programs ($3 billion Euro-CP and $2 billion U.S.-CP). It also drew down two existing jumbo loans. CP programs were to be increased. U.S. shelf registration increased from $1.2 billion to $3.8 billion effective November 16.

On September 10, 1992, Finland announced that it had updated its U.S. shelf registration, increasing the ceiling from $800 million to $3 billion.

Source: Euroweek (various issues).

On November 13, 1992, it was announced that the United Kingdom had begun discussions on the feasibility of a ¥ 500 billion Euro-yen bond to complete the ECU 5 billion foreign currency bond program.

Sweden issued some $4 billion of commercial papers (CP) under existing programs ($3 billion Euro-CP and $2 billion U.S.-CP). It also drew down two existing jumbo loans. CP programs were to be increased. U.S. shelf registration increased from $1.2 billion to $3.8 billion effective November 16.

On September 10, 1992, Finland announced that it had updated its U.S. shelf registration, increasing the ceiling from $800 million to $3 billion.

Table A13.Interest Rate Futures and Options: Exchanges, Contracts, and Volume of Contracts Traded
Exchange/TypeFace Value of ContractVolume of Contracts Traded
Jan.-Aug.Sept.
1987198819891990199119921992
(In thousands of contracts)
United States
Chicago Board of Trade (CBOT)
Futures
U.S. Treasury bonds$100,00066,84170,30870,30375,49967,88747,8105,953
U.S. Treasury notes1$100,00025,2545,7087,8918,69810,01310,9061,769
Thirty-day interest rate$5,000,000n.t.19688111612630
Options
U.S. Treasury bonds$100,00021,72019,50920,78427,31521,92614,4511,532
U.S. Treasury notes3$100,0001,4221,0121,1681,0241,0201,825272
Mid-America Commodity Exchange (Midam)
Futures
U.S. Treasury bills$500,00026229411
U.S. Treasury bonds$50,0001,0151,4141,3071,4611,397942104
U.S. Treasury notes$50,000n.t.4
Options
U.S. Treasury bonds$50,000n.t.n.t.n.t.n.t.22
Chicago Mercantile Exchange (CME)
Futures
Eurodollar (three-month)4$1,000,00020,41621,70540,81834,69637,24439,1054,705
U.S. Treasury bills (90-day)$1,000,0001,9271,3741,5021,8702,012917103
Options
U.S. Treasury bills$1,000,000126173249201
Eurodollar$1,000,0002,5702,6006,0026,8607,8758,8191,267
LIBOR (one-month)$3,000,000n.t.n.t.n.t.n.t.754314
New York Cotton Exchange
Futures
U.S. Treasury notes5$100,0006384790599292817770
United Kingdom
London International Financial Futures Exchange (LIFFE)
Futures
ECU (three-month)ECU 1,000,000n.t.n.t.166411518642
Eurodollar (three-month)$1,000,0001,7391,6482,0641,24999452847
Euro-deutsche mark (three-month)DM 1,000,000n.t.n.t.9522,6604,7846,3431,797
German Government bond (Bund)DM 250,000n.t.3155,3309,58210,1129,0271,525
Gilt (government bond)7£50,0007,0365,6414,0625,6435,6396,0431,023
Short sterling (three-month)£500,0001,5103,5387,1318,3558,0646,9951,815
U.S. Treasury bonds$100,0001,5712,04296775646324810
ECU bondECU 200,000n.t.n.t.n.t.n.t.547
Italian Government bond (BTP)Lit 200,000,000n.t.n.t.n.t.n.t.4832,820383
Japanese Government bond (JGB)¥ 100,000,0001221174610615022
Euro-Swiss (three-month)Sw F 1,000,000n.t.n.t.n.t.n.t.5481,206242
Euro-liraLit 1,000,000,000n.t.n.t.n.t.n.t.n.t.20379
Options
Eurodollar (three-month)$1,000,0004076826531585
Euro-deutsche mark (three-month)DM 1,000,000n.t.n.t.n.t.2485141,104261
German Government bond (Bund)DM 250,000n.t.n.t.4691,8042,4531,938332
Gilt£50,0001,0451,1417277908441,319152
U.S. Treasury bonds$100,0005684768740592
Italian Government bond (BTP)Lit 200,000,000n.t.n.t.n.t.n.t.1630440
Short sterling£500,000n.t.4458241,3771,5941,752400
(In thousands of contracts)
France
Marché à Terme International de France (MATIF)
Futures
Notional bonds8F 500,00011,91112,35715,00415,99621,08819,2924,563
Paris Interbank Offered Rate—PIBOR
(three-month)F 5,000,000n.t.4522,2961,9013,0003,223991
ECU bondECU 100,000n.t.n.t.n.t.565461,012161
Italian bondLit 100,000,000n.t.n.t.n.t.n.t.148
Options
Notional bondsF 500,000n.t.3,4317,1507,4108,4125,8511,813
PIBOR (three-month)F 5,000,000n.t.n.t.n.t.7101,3741,302461
ECU bondECU 100,000n.t.n.t.n.t.n.t.21698
Japan
Tokyo International Financial Futures Exchange
Futures
Euro-yen (three-month)¥ 100,000,000n.t.n.t.4,49514,41414,66610,5481,465
Options
Euro-yen¥ 100,000,000n.t.n.t.n.t.n.t.33226074
Tokyo Stock Exchange
Futures
Yen government bonds (10- and 20-year)¥ 100,000,00018,26217,46018,97116,31912,8298,136919
U.S. Treasury bonds$100,000n.t.n.t.n.t.4111258010
Options
Yen government bonds (ten-year)¥ 100,000,000n.t.n.t.n.t.1,5341,85080275
Germany
Deutsche Terminbörse (DTB)
Futures
Medium-term notional bond (Bobl-future)DM 250,000n.t.n.t.n.t.n.t.236832243
Notional German Government bond
(Bund-future)DM 250,000n.t.n.t.n.t.602,2833,646646
Options
Options on Bund futureOne Bund futures contractn.t.n.t.n.t.n.t.16439441
Canada
Montreal Exchange
Futures
Canadian Bankers’ Acceptances9Can$1,000,000n.t.10288819427054
Canadian Government bondsCan$100,000n.t.n.t.8745442129360
Options
Canadian Government bondsCan$25,00041633532313947307
Netherlands
European Options Exchange (EOE)
Options
Dutch Government bondsf. 10,00063553748626124114258
Sweden
Stockholm Options Market
Futures
Interest rateSKr 1,000,000n.t.n.t.n.t.n.t.4,1344,753582
Options
Interest rateSKr 1,000,0002042199420
(In thousands of contracts)
Australia
Sydney Futures Exchange
Futures
Bank bills (90-day)$A 500,0002,0943,0145,9115,0804,6523,917609
Commonwealth Treasury bonds (ten-year)$A 100,0002,0612,9573,2193,1743,6022,926428
Treasury bonds (three-year)$A 100,000 + coupon rate 12 percent a yearn.t.5359671,6082,1123,553663
Options
Bank bills (90-day)$A 500,0005819351560671945647
Commonwealth Treasury bonds (ten-year)$A 100,0003773270951267051676
Treasury bonds (three-year)$A 100,000n.t.19257510722533
New Zealand
New Zealand Futures Exchange
Futures
N.Z. Treasury notes$NZ 100,00017629534930826713233
Bank bills (90-day)$NZ 500,000386811828140824438
Options
N.Z. Treasury notes$NZ 100,000n.t.127922203
Bank bills (90-day)$NZ 500,000n.t.n.t.2330237
Singapore
Singapore International Monetary Exchange (SIMEX)
Futures
Eurodollar$1,000,0001,5201,8813,8623,4693,4333,355537
Euro-deutsche markDM 1,000,000n.t.n.t.n.t.57335
Euro-yen¥ 100,000,000n.t.1698161,4921,731261
Options
Eurodollar$1,000,00030111013591
Euro-yen¥ 100,000,000n.t.n.t.n.t.6281605
Sources: Chicago Board of Trade, Chicago Mercantile Exchange, Euromoney (Corporate Finance Supplement), Futures and Options 1990 Directory; Futures Industry Association, International Report, Monthly Options Report, and Monthly Volume Report (various issues); and Volume of Futures Trading, 1960 Through 1990; London International Financial Futures Exchange; Marché à Terme International de France; and Mid-America Commodity Exchange.Notes: n.t. = not traded; — = either zero or less than 500 contracts; options volume is puts and calls combined.

Data on 6½-10-year notes for 1987; on 6½-10-year and 5-year notes for 1988 and 1989; on 6½-10-year, 5-year, and 2-year notes for 1990 and 1991; and on 10-year, 5-year, and 2-year notes for 1992.

Face value of contract is $100,000 for 6½-10-year and 5-year notes, and $200,000 for 2-year notes.

Data on 10-year notes for 1987-89, on 10-year and 5-year notes for 1990 and 1991; and on 10-year, 5-year, and 2-year notes for 1992. Face value of contract is $100,000 for 10- and 5-year notes; and $200,000 for 2-year notes.

CME deutsche mark, Eurodollar, Japanese yen, and pound sterling contracts are listed on a mutual offset link with the Singapore International Monetary Exchange (SIMEX) in Singapore.

5-year notes for 1987 and 1988; and 5-year and 2-year notes from 1989 onward.

Commodity size is $100,000 for 5-year notes, and $200,000 for 2-year notes.

Very few short gilts (with contract size of £100,000), a small number of medium gilts (£50,000), and mainly long gilts (£50,000).

A contract identical to the MATIF T-bond future is also traded on an over-the-counter basis outside exchange hours, and is cleared by the clearinghouse.

Include 1- and 3-month futures. Face value of contract for the 1-month futures is Can$3,000,000 and for the 3-month futures is Can$1,000,000.

Sources: Chicago Board of Trade, Chicago Mercantile Exchange, Euromoney (Corporate Finance Supplement), Futures and Options 1990 Directory; Futures Industry Association, International Report, Monthly Options Report, and Monthly Volume Report (various issues); and Volume of Futures Trading, 1960 Through 1990; London International Financial Futures Exchange; Marché à Terme International de France; and Mid-America Commodity Exchange.Notes: n.t. = not traded; — = either zero or less than 500 contracts; options volume is puts and calls combined.

Data on 6½-10-year notes for 1987; on 6½-10-year and 5-year notes for 1988 and 1989; on 6½-10-year, 5-year, and 2-year notes for 1990 and 1991; and on 10-year, 5-year, and 2-year notes for 1992.

Face value of contract is $100,000 for 6½-10-year and 5-year notes, and $200,000 for 2-year notes.

Data on 10-year notes for 1987-89, on 10-year and 5-year notes for 1990 and 1991; and on 10-year, 5-year, and 2-year notes for 1992. Face value of contract is $100,000 for 10- and 5-year notes; and $200,000 for 2-year notes.

CME deutsche mark, Eurodollar, Japanese yen, and pound sterling contracts are listed on a mutual offset link with the Singapore International Monetary Exchange (SIMEX) in Singapore.

5-year notes for 1987 and 1988; and 5-year and 2-year notes from 1989 onward.

Commodity size is $100,000 for 5-year notes, and $200,000 for 2-year notes.

Very few short gilts (with contract size of £100,000), a small number of medium gilts (£50,000), and mainly long gilts (£50,000).

A contract identical to the MATIF T-bond future is also traded on an over-the-counter basis outside exchange hours, and is cleared by the clearinghouse.

Include 1- and 3-month futures. Face value of contract for the 1-month futures is Can$3,000,000 and for the 3-month futures is Can$1,000,000.

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