Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : December 2, 1991

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Selected Interest &
Exchange Rates
Weekly Series of Charts

December 2,1991

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, OC. 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

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RATIO SCALE
MARCH 1973=100
140

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

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BELGIAN FRANC

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SWISS FRANC

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CANADIAN DOLLAR

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GERMAN MARK

DUTCH GUILDER

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JAPANESE YEN

_

U.K. POUND

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ITALIAN LIRA
FRENCH FRANC

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1991

CHART 2

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

PERCENT PER ANNUM
4

CANADIAN DOLLAR

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U.K. POUND

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8
GERMAN MARK

JAPANESE YEN

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DUTCH GUILDER
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FRENCH FRANC

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ITALIAN LIRA

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CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S.I

OLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE Oi

520

520

500

500

12.5 Kg BARS

AFTERNOON FIXING PRICE

480

480

460

460

440

440

420

420

400

400

380

380

360

360

340

340

320

1988




1989

1990

1991

320

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

12

12

FRANCE

U.S. FEDERAL FUNDS

JAPAN

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GERMANY




CANADA

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UNITED KINGDOM

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SWITZERLAND

NETHERLANDS

1989

1991

1989

1991

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER AN

:ENT PER ANNUM

12

MJIU
10

U.S. CD'S

10

8

8

6
SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

6

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2

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16

14

14

12

12
U.K. INTERBANK STERL NG

CANADIAN FINANCE CO
PAPER

10

10

8

6
10

8
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12

GERMAN INTERBANK RATE
8

10

6

8
FRENCH INTERBANK RATE

4
2
10

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JAPANESE CD RATE

8

6

6
NETHERLANDS INTERBANK RATE

4
2

4
10

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CHART 6

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

PERCENT PER ANNUM

14

14

12

OVERNIGHT

3-MONTH

7-DAY

6-MONTH

1-MONTH

1-YEAR

12

10

10

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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

14

14

12

12
OVERNIGHT

3-MONTH

EURO DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

10

10

90-DAY CD'S

FEDERAL FUNDS

DASHED LINE

DASHED LINE

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DIFFERENTIAL

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DIFFERENTIAL

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CHART 8

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

PERCENT PER ANNl

16

16

INTERBANK STERLING

12

CANADIAN FINANCE
CO. PAPER, COVERED

—

COVERED LONDON

12

8

8
EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

DASHED LINE

4

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INTERBANK DM

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__

COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

—

8
EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

4

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DASHED LINE

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CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANN!

RCENT PER ANNUM

14

14
CANADA

UNITED STATES
12

12

10

10

8

6
14

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FRANCE

UNITED KINGDOM
12

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10

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8

6
10

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10

SWITZERLAND

JAPAN

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8

6

6

4

4

2
10

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NETHERLANDS

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GERMANY

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1989

1991

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CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
— UNITED STATES

NETHERLANDS

JAPAN

GERMANY

SWITZERLAND

FRANCE

CANADA

UN TED K NGDOM




1989

1991

1989

1991

SERIES
C h a r t 1.

3 0 - 0 c t - 9 1 6 - Nov-91

S p o t 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,

2.8656
88.960
17.294
59.009
0.07894
0.76144
52.364
67.383
171.84

2.9453
89.141
17.744
60.644
0.08094
0.76984
53.813
68.867
176.27

2.9652
88.681
17.872
61.077
0.08117
0.76955
54.180
69.032
177.27

3.0027
88.412
18.109
61.884
0.08199
0.77049
54.907
69.766
178.53

3.0479
87.932
18.378
62.801
0.08307
0.77488
55.717
70.759
179.17

112.92
88.67
77.93
166.00
45.31
199.37
150.32
216.78
69.50

116.06
88.85
79.96
170.60
46.46
201.57
154.49
221.55
71.29

116.84
88.39
80.54
171.82
46.59
201.49
155.54
222.09
71.70

118.32
88.12
81.60
174.09
47.06
201.74
157.63
224.45
72.21

120.10
87.64
82.82
176.66
47.68
202.89
159.95
227.64
72.47

106.60
79.01
70.65
170.49
39.23
196.97
144.86
66.42
206.04
62.36
88.60

107.23
78.16
71.13
171.74
39.35
195.71
145.84
66.79
206.80
62.36
87.82

108.03
77.04
71.68
173.14
39.57
195.21
146.89
67.12
208.13
62.06
86.94

-2.54
-4.16
-4.37
-5.89
-1.02
-4.36
-3.15
-5.17

-2.62
-4.33
-4.35
-6.15
-1.08
-4.38
-3.02
-5.19

-2.57
-4.55
-4.43
-6.43
-1.19
-4.45
-2.97
-5.34

-2.55
-4.89
-4.57
-6.77
-1.22
-4.57
-3.27
-5.56

359.65

356.52

354.72

359.54

366.94

5.10
5.18
8.25
8.78
8.71
6.78
9.02
7.38
10.39

5.05
4.86
8.70
8.99
8.73
6.55
9.05
7.18
10.44

4.74
4.79
8.66
9.51
8.99
6.42
9.01
6.88
10.33

4.89
4.78
7.43
9.68
8.95
6.28
9.02
6.90
10.39

4.68
4.78
7.03
9.81
8.99
6.22
8.99
6.88
10.33

M a r c h 1973 base 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 y e n
Netherlands g u i l d e r
Swiss f r a n c
U . K . pound
Weighted a v e r a g e 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 y e n
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.

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 y e n
Netherlands g u i l d e r
Swiss f r a n c
U . K . pound
Chart 3.
U.S.

Mar.
105.08
81.05
69 . 6 8
167.67
38.91
199.17
142.76
65.68
205.26
61.63
90.94

1973=100
106.22
79.73
70.33
169.70
39.24
197.78
144.31
66.27
206.22
62.19
88.97

Premium o r D i s c o u n t
-2.54
-3.78
-4.08
-5.65
-0.87
-4.04
-3.05
-5.02

Gold P r i c e i n London, A f t e r n o o n F i x i n g

d o l l a r s p e r f i n e ounce

Chart 4.

13 - N o v - 9 1 20-NOV-91 2 7 - N o v - 9 1

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 deposits
Canada
France
Germany
Japan
Netherlands
Switzerland
U n i t e d Kingdom




SERIES
Chart 5.

30-0ct-91 6-Nov-91

3-Month I n t e r e s t

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 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
CG-10 C o u n t r i e s )
Chart 6.

5 .30
8 .12
9 .06
9 .33
6 .28
9 .30
8 .23
10 .48
8 .98

5.18
5.25
5.21
5.35
5.31
5.49

deposits

Interest Arbitrage,

Euro-dollar deposit
Interbank s t e r l i n g (London),
Differential
U.S. c o m m e r c i a l paper
Canadian f i n a n c e p a p e r ,
Differential

4 .87
7 .71
9 .66
9 .33
6 .21
9 .35
7 .85
10 .56
9 .06

4.86
5.00
4.98
5.09
5.06
5.21

4.79
4.80
4.83
4.95
4.95
5.11

4.78
4.78
4.78
4.95
4.95
5.08

4.78
4.74
4.70
4.90
4.84
4.96

4 . 86
5 . 05
- 0 . 19

4 .79
4 .74
0 .05

4 .78
4 .89
-0 .11

4 .78
4 .68
0 .09

5 . 35
5 . 30
0 . 05

5 . 09
5 . 05
0 . 04

4 .95
4 .96
- 0 .00

4 .95
4 .94
0 .01

4 .90
4 .87
0 .03

5 . 35
5 . 32
0 . 03

5 . 09
5 . 08
0. 00

4 .95
5 .04
- 0 .09

4 .95
4 .91
0 .04

4 .90
4 .85
0 .05

5 . 33
5 . 53
- 0 . 20

5 . 08
5 . 32
- 0 . 24

4 .97
5 .09
- 0 .12

4 .99
5 .11
- 0 .12

4 .94
5 .11
- 0 . .17

5 . 35
5 . 15
0 . 20

5 . 09
4 . 88
0 . 21

4 .95
4 .86
0 .09

4 .95
4 .77
0 .18

4. 90
4. 66
0. 24

5 . 35
5 . 12
0 . 23

5 . 09
4 . 91
0 . 18

4 .95
4 .77
0 .18

4 .95
4 .75
0 .20

4. 90
4. 52
0. 38

.96
.82
.34
.95
.71
.78
.75
.59

8 .71
8 .81
8 .36
5 .98
6 .79
8 .79
9 .74
7..50

8
8
8
5
6
8
9
7

8
8
8
5
6
8
9
7

8
8
8
5
6
8
9
7

116..56
135 .99
98 . 3 1
141,.99
106,.59
133,,13
153, 51
159, 14

117 .67
135 .60
97,.48
141,.02
105,.61
132 .16
151,.26
158,.27

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
C h a r t 10.

4 .94
7 .73
9 .44
9 .30
6 .23
9 .29
7 .78
10 .39
8 .96

5. 18
5 . 10
0. 08

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

Chart 9.

4 .96
7 .76
9 .23
9 .31
6 .23
9 .30
7 .85
10 .36
8 .95

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.

05
91
18
35
22
33
13
39
96

5.
7.
9.
9.
6.
9.
8.
10.
8.

E u r o - D o l l a r D e p o s i t Rates

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

13-Nov-91 20-Nov-91 27-Nov-91

8
8
8
5
6
8
9
7

.55
.76
.25
.97
.73
.72
.64
.41

.48
.77
.22
.94
.60
.71
.65
.35

.72
.93
.27
.97
.64
.76
.89
.42

S t o c k I n d i c e s (Wednesday f i g u r e s )

Ca na da
France
Germany
Japan
Netherlands
Switzerland
U n i t e d Kingdom
United States

119 .87
137 .08
99 .57
138 .95
108 .05
134 .45
151 .78
161,.27

116 .87
133 . 5 1
98 .60
133 .30
105,.45
130,,48
147,.27
153,.96

114 .64
132 .65
97,.75
132,.37
104,.36
128,.19
145,.18
153, 07

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 , CAC G e n e r a l , FAZ A k t i e n ,
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 Times O r d i n a r y , NYSE C o m p o s i t e




FEDERAL RESERVE statistical release

^xCSlv" 'I III'

H.10(512)

December 2, 1991

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

NOVEMBER 29, 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:
MONETARY
UNIT

Nov. 25

•AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
*1RELAND
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

0.7918
11.150
32.630
1.1396
5.4020
6.1510
1.2837
4.2995
5.4115
1.5830
180.65
7.7515
25.770
1.6860
1198.00
127.77
2.7368
1.7844
0.5682
6.2360
140.35
1.6555
2.7700
759.40
101.28
N. A.
5.8015
1.4085
25.850
25.430
1.7985

0.7888
11.140
32.560
1.1360
5.4020
6.1555
1.2875
4.2925
5.3990
1.5802
180.55
7.7520
25.800
1.6865
1196.00
128.10
2.7380
1.7812
0.5670
6.2350
141.05
1.6520
2.7550
758.90
101.23
42.428
5.8000
1.4010
25.785
25.430
1.7978

0.7868
11.370
33.320
1.1370
5.4020
6.2860
1.2596
4.3780
5.5220
1.6160
184.20
7.7550
25.820
1.6500
1219.00
130.28
2.7460
1.8217
0.5640
6.3630
144.25
1.6690
2.8010
758.60
102.97
N. A.
5.9205
1.4275
25.770
25.470
1.7670

MEMO:
H6UNITED STATES

DOLLAR

86.49

86.39

88.01

COUNTRY

(CURRENCY UNITS PER 1
DOLLAR)
Nov. 26
Nov. 27
Nov. 28

H
0
L
I
D
A
Y

Nov. 29
0.7844
11.455
33.500
1.1350
5.4115
6.3220
1.2527
4.3990
5.5580
1.6270
185.35
7.7620
25.800
1.6370
1226.00
130.08
2.7535
1.8341
0.5610
6.3900
144.68
1.6685
2.7950
759.00
103.50
42.428
5.9565
1.4360
25.773
25.500
1.7655
88.35

*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
NEIGHTED-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.