Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : August 12, 1991

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Selected Interest &
Exchange Rates
Weekly Series of Charts

August 12,1991

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
RATIO SCALE
MARCH 1973=100
140
FOREIGN
130

CURRENCY
PRICE OF U.S. DOLLAR

120

RATIO SCALE
MARCH 1973=100
140
130

BELGIAN FRANC

120

110

110

100

100

90

90

80

80

i

•

70

i

280
260

I

i

i

i

I

'

i

i

I

i

i

i

i

i

i

SWISS FRANC

I

i

i

i

70

280
260

JAPANESE YEN

240

240

220

220

200

200

180

180

160

160

140

140

120
100

I

I

I

90

I

•

I

I

I

I

I

I

I

i

i

i

I

i

i

i

I

i

i

i

l

i

i

i

CANADIAN DOLLAR

U.K. POUND

120
100
90

80

80

70

70

60

60

50

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

i

i

200

180

i

I

i

i

i

I

i

i

i

I

i

i

50

200

GERMAN MARK

DUTCH GUILDER

180

160

160

140

140

120

120

100
120

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

100
60

110

55

ITALIAN LIRA

100

50

FRENCH FRANC

90

45

80

40

70

35

60

30

50

i

'




i

I

i

i
1989

i

I

i

i

i

l

i

i
1991

i

•

i

i

I

i

'
1989

i

I

i

'

i

l

i

i
1991

i

25

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
4

PERCENT PER ANNUM
4

CANADIAN DOLLAR

1 1 1 I

U.K. POUND

1 1 1 I

I

I

I

I

I

I

I

I

GERMAN MARK

I

I

I

1 1

1

1

1

1 1

1

1

1

1

1

1

JAPANESE YEN

^

1 1 1 1 1 1 1 I

1

V/

I

I

\
I

1

iV>

i

1

SWISS FRANC

1

1

1

1

1

1

1

1

VWM

1

1

1

i

1 i D

DUTCH GUILDER

—

"XV

12

1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

i

FRENCH FRANC

ITALIAN LIRA

1 1 1 1 1 1 1 I




1989

I

I

I

1

i

i
1991

i

i

i

1 t

i

1 1 1 1 I I
1989

W

i

1 i

i

1

1 1 1 1 1 1 1 1
1991

i

12

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S. DOLLARS PER FINE OL

U.S. c >LLARS PER FINE OUNCE

520

500

12.5 Kg BARS

AFTERNOON FIXING PRICE

480

460

440

420

400

380

360

340

320




1988

1989

1990

1991

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

12

12

FRANCE

U.S. FEDERAL FUNDS

JAPAN

0

i

i

i

l

i

i

i

I

i

i

i

I

i

i

•

i

i

I

i

i

i

I

i

i

i

I

'

i

i

0
16

16

12

12

CANADA

GERMANY




i

i

i

l

i

i

i

l

i

i

'

l

i

i

SWITZERLAND

UNITED KINGDOM

NETHERLANDS

1989

1991

1989

1991

'

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANh

ENT PER ANNUM

10

12
U.S. CD'S

10

8

8

6
SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

6

4

2

4

2

•

i

i

I

i

i

i

I

i

•

•

I

•

•

•

J

I

I

I

I

I

I

I

'

I

'

I

I

I

I

0

16

16

14

14

12

12
CANADIAN FINANCE CO
PAPER

U.K. INTERBANK STERLING
10

10

8

8
6

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

6
12

10
GERMAN INTERBANK RATE

8

10

6

8
FRENCH INTERBANK RATE

6

4

2
10

i

i

8 —

i

I

i

'

i

I

i

i

i

I

'

i

i

I

I

I

I

I

I

I

I

I

I

I

I

4
10

8

JAPANESE CD RATE

6

6
NETHERLANDS INTERBANK RATE

4

2

I

'

I




I

I

I
1989

I

I

I

I

I

I

I

I
1991

I

I
1989

I

I

4

I

I

I
1991

I

2

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

14

14

OVERNIGHT

12

3-MONTH

12

10

10

4
14

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

i

i

i

I

7-DAY

12

'

i

i

I

'

i

i

I

i

i

i

6-MONTH

12

10

4
14

4
14

10

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

I

I

I

I

1-MONTH

12

I

I

I

I

I

I

I

I

I

I

I

1-YEAR

4
14

12

10

10

i

i

i




I

i

i
1989

i

I

i

i

i

l

i

i
1991

i

'

i

I

'

i
1989

i

I

i

' I

I

i

i
1991

'

CHART 7

SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S.
AVERAGES FOR WEEK ENDING WEDNESDAY
PEF

PERCENT PER ANNU

ENT PER ANNUM

14

12

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

10

8
FEDERAL FUNDS
DASHED LINE

DASHED LINE

6

4

i

2
2

I

I

I

I

I

I

I

I

I

I

I

I

L

DIFFERENTIAL

i

i

I

i

i

i

I

i

i

I

I

I

I

I

DIFFERENTIAL

1

r

+

0

1

i

J__l




I

I

I

I
I
1989

I

I

I

I

I

I

I
L
1991

l_l

I

1989

l

l

I

L
1991

CHARTS

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
16

PERCENT PER ANNUM

16

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
12

COVERED LONDON

U.S. COMMERCIAL PAPER

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

J_L I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

l

I

'

I

I

'

I

I

'

I

'

I0
2

DIFFERENTIAL

DIFFERENTIAL

i

12

i

i

i

i

i

i

i

i

i

i

i

i

i

i

i

i

I

i

i

'

l

'

' I

I

i

i

i

2
16

16

INTERBANK DM

12

SWISS INTERBANK (SF) COVERED

—

COVERED FRANKFURT

i

i

I

i

• •

12

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

i

_

I

I

i

I

'

I

I

I

• • I I I ' -

I

0
2

DIFFERENTIAL

DIFFERENTIAL

A
I

I

I




I

I

I
1989

I

I

I

I

'

I

I

1
1991

I

I

I

I

I

I
1989

I

I

I

I

I

I

I

I
1991

I

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNl

tCENT PER ANNUM

14

14

CANADA

UNITED STATES
12

12

10

10

8

8

6

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

6
14

14

FRANCE

UNITED KINGDOM
12

12

10

10

8

8

6

i

i

i

l

i

i

i

I

i

i

i

I

i

I

i

I

I

I

I

I

I

i

I

I

I

I

I

I

10

I

6
10

JAPAN

SWITZERLAND
8

8

6

6

4

4

2

I

'

I

I

I

I

I

I

I

'

I

I

I

2
10

10

GERMANY

NETHERLANDS
8

8

6

6

4

4

2

i

i

i




I

i

•
1989

i

l

i

'

i

I

i

i
1991

i
1989

1991

2

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
175 „

— NETHERLANDS

UNITED STATES

175
150

150

125

125

100

100

75

75

50
400
350

< i

i

l

i

•

'

l

i

'

'

I

i

i

I

'

I

I

I

I

I

I

I

'

I

I

I

I

I

I

50

200
,GERMANY

_ JAPAN

175
150

300

125

250

100

200

75

150

I

100

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

1 I

I

'

I

I

I

I

I

50

200

200
175

I

FRANCE

. SWITZERLAND

175
150

150

125

125

100

100

75

75

50

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

i

i

l

i

'

i

l

i

i

i

50

200

200
175

•

UNITED KINGDOM

— CANADA

175
150

150

125

125

100

100
—

75

50

I

I

I




I

'

1 '
1989

1 I

'

I

I

I

I
1991

I

•

i

i

I

i

'
1989

'

I

'

'

•

I

•

•
1991

'

75

50

SERIES
10-Jul-91 17-Jul-91 24-Jul-91 31-Jul-91 7-Aug-91
Chart 1.

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

2.6731
87.264
16.218
55.025
0.07392
0.72168
48.861
63.649
162.15

2.6989
87.141
16.378
55.559
0.07466
0.72890
49.324
64.088
164.11

2.7687
86.498
16.785
57.003
0.07652
0.72987
50.572
65.698
168.31

2.7755
86.895
16.816
57.174
0.07661
0.72435
50.712
65.508
168.02

2.8110
86.997
17.029
57.913
0.07744
0.73244
51.365
66.387
170.05

105 .33
86 .97
73 .08
154 .79
42 .43
188 .96
140 .27
204 .77
65 .58

106 .35
86 .85
73 .80
156 .29
42 .86
190 .85
141 .60
206 .18
66 .38

109. 10
86. 21
75.64
160. 35
43. 92
191. 10
145. 18
211. 36
68. 07

109 .37
86 .61
75 .78
160 .84
43 .98
189 .66
145 .58
210 .75
67 .96

110 .77
86 .71
76 .74
162 .91
44 .45
191 .78
147 .46
213 .57
68 .78

104. 06
80. 79
69. 31
165. 78
38.66
195. 36
141. 29
65. 43
205. 21
61. 92
93. 89

104 .28
81 .15
69 .42
166 .29
38 .70
193 .62
141 .65
65 .51
204 .52
61 .78
93 .84

104 72
80 .49
69..71
167. 10
38. 78
194. 13
142. 26
65.67
205. 48
62. 00
92.81

-2.51
-3.46
-3.01
-5.23
-1.41
-3.08
-1.83
-4.80

-2.82
-3.34
-3.09
-5.32
-1.33
-3.13
-1.91
-4.88

-2.70
-3.67
-3.26
-5.56
-1.33
-3.27
-1.91
-4.96

-2.73
-3.76
-3.48
-5.69
-1.49
-3.52
-2.05
-4.97

369.90

368.31

368.43

363.66

358.30

5.79
5.88
8.40
9.51
8.80
7.37

5.85
5.84
8.73
9.38

5.75
5.81
8.75
9.11
8.76
7.37
8.33
7.38
11.03

5.79
5.75
8.65
9.50

5.74
5.73
8.55
9.21
8.93
7.43
8.91
7.38
10.79

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.

-2.40
-3.59
-3.05
-5.32
-1.36
-3.09
-1.80
-4.80

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

102.90
82.75
68.56
163.65
38.26
198.35
139.77
64.74
203.13
61.22
95.69

3-Month 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.

102.61
83.50
68.35
163.13
38.14
197.69
139.41
64.58
203.15
60.88
96.53

Call Money Rates

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




8.62

7.38
11.80

8.68

7.39
8.35
7.38
11.24

8.82

7.38
8.63
7.38
10.98

SERIES
10-Jul-91 17-Jul-91 24-Jul-91 31-Jul-91 7-Aug-91
Chart 5.

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.

5.97
8.71
9.41
9.01
7.62
9.04
7.73
10.98
9.28

5 .97
8 .91
9 .26
9 .03
7 .55
9 .07
7 .75
11 .01
9 .28

5.92
8.79
9.50
9.16
7.40
9.16
7.75
11.08
9.34

5.80
8.76
9.49
9.24
7.39
9.21
7.75
10.93
9 34

5.88
5.94
5.94
6.06
6.38
6.84

5.84
5.89
5.90
6.03
6.34
6.73

5 .81
5 .88
5 .88
6 .00
6 .28
6 .65

5.75
5.80
5.85
5.94
6.19
6.53

5.73
-5.71
5.74
5.78
6.05
6.30

Euro-Dollar Deposit Rates

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

6.04
8.71
9.59
9.05
7.62
9.09
7.75
11.06
9.33

Selected Euro-dollar & U.S. Mone> r Market Rates

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

5.88
5.79
0.09

5.84
5.85
-0.01

5 81
5 75
0. 06

5.75
5.79
-0.04

5.73
5.74
-0.01

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

6.06
6.04
0.02

6 .03
5.97
0.06

6 .00
5, 97
0. 03

5.94
5.92
0.02

5.78
5.80
-0.02

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

6.06
6.12
-0.06

6.03
6 .05
-0.02

6 .00
6. 00
0. 00

5.94
5.99
-0.05

5.78
5.82
-0.05

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

6.14
6.26
-0.13

6.07
6.15
-0.08

6 .01
6. 03
- 0 . 02

5.96
6.03
-0.08

5.85
5.93
-0.13

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

6.06
5.93
0.13

6.03
5.93
0.09

6. 00
5. 87
0. 13

5.94
5.83
0.11

5.78
5.68
0.10

Euro-dollar deposit
Swiss interbank, covered
Differential

6.06
5.91
0.15

6.03
5.86
0.17

6. 00
5. 80
0. 20

5.94
5.81
0.13

5.78
5.66
0.12

9.99
9.10
8.55
6.69
5.98
8.79
10.21
8.28

9.97
9.16
8.64
6.67
6.00
8.86
10.20
8.28

9.92
9.23
8.68
6.59
6.02
8.90
10.20
8.20

9.83
9.17
8.60
6.53
6.03
8.85
10.04
8.04

118 .03
128 .12
101 .84
136 .44
108 .11
134 .34
153 .51
153 .71

117 .26
128 .70
101 .42
137 .26
108 .38
133 .62
155 .14
152 .68

117 .96
127 .94
101 .26
140 .58
108 .86
133 .80
155 .47
156 .10

117 .59
128 .84
100 .88
137 .82
108 .54
133 .11
156 .32
157 .11

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.

9.99
9.20
8.56
6.72
5.96
8.81
10.26
8.35

Stock Indices (Wednesday figures)

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

116 .78
127 .54
102 .50
135 .96
107 .29
132 .83
148 .81
151 .34

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)

August 12, 1991

FOREIGN EXCHANGE RATES
FOR THE KEEK ENDING

AUGUST 9, 1991

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

Aug. 5

CCURRENCY UNITS PER 1
DOLLAR)
Aug. 6
Aug. 7
Aug. 8

Aug. 9

0.7802
12.110
35.440
1.1498
5.3605
6.6720
1.1924
4.1525
5.8550
1.7198
189.95
7.7625
25.720
1.5535
1287.00
136.68
2.7830
1.9393
0.5757
6.7265
147.85
1.7315
2.8385
729.60
107.83
N. A.
6.2485
1.4990
26.746
25.720
1.7095

0.7822
12.045
35.290
1.1487
5.3568
6.6355
1.1970
4.1280
5.8220
1.7125
189.35
7.7625
25.570
1.5610
1281.50
135.73
2.7750
1.9306
0.5740
6.6940
147.25
1.7255
2.8460
730.90
107.33
41.478
6.2220
1.4952
26.750
25.690
1.7120

0.7835
12.053
35.210
1.1475
5.3568
6.6260
1.1973
4.1265
5.8185
1.7090
189.50
7.7625
25.640
1.5605
1279.50
135.85
2.7685
1.9271
0.5741
6.6830
147.15
1.7270
2.8495
731.00
106.98
41.498
6.2165
1.4945
26.778
25.670
1.7128

0.7825
12.093
35.490
1.1467
5.3568
6.6800
1.1895
4.1750
5.8585
1.7235
191.05
7.7640
25.570
1.5540
1291.00
136.47
2.7700
1.9430
0.5735
6.7450
148.65
1.7225
2.8600
730.90
108.03
41.498
6.2690
1.5075
26.781
25.640
1.7000

0.7835
12.150
35.610
1.1468
5.3618
6.6905
1.1857
4.1915
5.8770
1.7280
191.30
7.7640
25.740
1.5475
1293.00
136.90
2.7720
1.9476
0.5711
6.7580
149.10
1.7220
2.8700
731.70
108.22
N. A.
6.2795
1.5150
26.722
25.680
1.6950

92.53

92.15

92.06

92.68

92.92

•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.