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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts February 26,1990 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, DuC. 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 6. CALL MONEY RATES 5. 3-MONTH INTEREST RATES 6 EURO-DOLLAR DEPOSIT RATES 7. SELECTED EURO-DOLLAR A N D U.S. MONEY MARKET RATES 8. INTEREST ARBITRAGE: 3-MONTH FUNDS 9. LONG-TERM GOVERNMENT BOND YIELDS 10 INDUSTRIAL STOCK INDICES SUBSCRIPTION RATES: Weekly $24.00 per year or $.60 each in the United States, its possessions, Canada, and Mexico. 10 or more of the same issue to one address, $22.50 per year or $.55 each. Elsewhere. $30.00 per year or S 70 each. Address requests to Publications Services Division of Administrative Services, and make payment remittance payable to the order of the Board of Governors of the Federal Reserve System m 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 MARQH 1973=100 RATIO SCALE MARQH 1973=100 140 130 120 110 F FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 130 120 BELGIAN FRANC 110 W0 100 90 90 80 80 70 » i i l i i i I i i i I i ' i ' i 280 260 — 240 220 i I i i i I i i i I i i i 70 280 260 240 220 JAPANESE YEN SWISS FRANC 200 200 — 180 180 160 160 140 140 120 100 I • 90 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 CANADIAN DOLLAR U.K. POUND 120 100 90 80 80 70 70 60 60 • 50 200 I I ' I I ' • ' I ' • I ' i i I » i i I i i i I • i i GERMAN MARK 180 50 200 180 DUTCH GUILDER 160 160 140 140 120 120 100 120 • i i I i i i l i i i l i i i i i 110 i l i i i I i i i I i i i 55 ITALIAN LIRA 100 50 FRENCH FRANC 90 100 60 45 80 40 70 35 60 30 50 I I I I I I 1988 I i i i I i i i 1990 I I I I I I- I 1988 I I I I I I I I 1990 25 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 4 4 CANADIAN DOLLAR 1 1 i U.K. POUND 1 1 1 1 1 1 1 1i 1 1 1 1 i GERMAN MARK 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 i I i i i I I i i i i I i 1 — ^ i I DUTCH GUILDER JV f i i JAPANESE YEN SWISS FRANC — i i i i l i i i l i i i FRENCH FRANC y A 1 1 / ^ 1 1 * Z 1 1 1 i i i 1988 v \ 1 1 1 1 1 1 1 i i i i 1 i i i 1990 ITALIAN LIRA v \ V, V 12 1 1 1 1 1 1 i 1988 l i i i 1 1 1 1 1990 i i i i 12 CHART 3 PRICE OF GOLD IN LONDON A V E R A G E S FOR W E E K ENDING W E D N E S D A Y U.S. 520 OLLARS PER FINE OUNCE U.S. DOLLARS PER FINE 01 500 12.5 Kg BARS AFTERNOON FIXING PRICE 480 460 440 420 400 380 360 340 320 1987 1988 1989 1990 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 16 16 12 12 FRANCE U.S. FEDERAL FUNDS JAPAN 0 16 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 I '0 16 12 CANADA GERMANY • i I i i • l ' ' ' I i i UNITED KINGDOM i • i i I i i ' I ' ' ' SWITZERLAND NETHERLANDS 1988 1990 1988 1990 CHARTS 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 12 12 FRENCH INTERBANK RATE 10 10 U.S. CD'S WEIGHTED AVERAGE FOREIGN RATE 2 i • i I i • ' I « ' i I i i i ' i ' I i i i I i i i I i i i 2 16 16 14 — 14 U.K. INTERBANK STERLING CANADIAN FINANCE CO. PAPER 12 12 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 I I SWISS INTERBANK RATE GERMAN INTERBANK RATE 2 6 16 10 i i i I i i i I i i i I i i i i I i i ' I • 12 • • I ' I I I • ' 10 NETHERLANDS INTERBANK RATE JAPANESE GENSAKI RATE i i I i ' 1988 i I i i i I i i i 1990 I I I I I I 1988 I I I I I I 1990 0 10 CHARTS EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 14 14 OVERNIGHT 12 3-MONTH 12 10 4 1 14 10 I I I I i ' i I i ' ' l ' ' i i i i I < i i I »' i I I I I , 4 14 7-DAY 12 6-MONTH 12 10 10 i 4 14 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 1-YEAR 4 14 12 10 10 •I I I I I I I 1988 I I I I I I I I 1990 ' ' I I I I I 1988 I I I I I I < 1990 I CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY 3ENT PER ANNUM PERCENT PER ANNL 14 12 10 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS , 8 6 FEDERAL FUNDS 90-DAY CD'S DASHED LINE DASHED LINE 4 2 2 J—I l I l l l I i i i I i i i DIFFERENTIAL J — I — I I I I I I I i i I i i i 1988 i I I i i I i i 1990 DIFFERENTIAL 1 + 0 1 I I I J—I—I 1988 I I I I I I L_L 1990 J — I — I I i i CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 16 16 COVERED LONDON U.S. COMMERCIAL PAPER EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE I I I I I I I I I 12 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING 12 I I I I I I I I I I ' ' I ' ' ' I I ' ' ' 0 2 1 DIFFERENTIAL DIFFERENTIAL VVv^v^vv/\ I 2 , 1 1 1 I I I I ' I I I I I i i i I i i i I ' i i I i i i 12 INTERBANK DM EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE 0 I ' I I 12 SWISS INTERBANK (SF) COVERED COVERED FRANKFURT — 2 16 16 I I ' I ' I I I I I I I I I I I I I I I I I o 2 DIFFERENTIAL DIFFERENTIAL i i i I i ' 1988 ' I ' ' • I • ' 1990 I I I I I I 1988 I I I I I I I I I 1990 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES RCENT PER ANNUM PERCENT PER ANNl 14 14 UNITED STATES CANADA 12 12 10 10 8 8 6 14 ' 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 UNITED KINGDOM FRANCE 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 l i i i I ' • i I ' i i 10 SWITZERLAND 6 10 JAPAN 8 8 6 6 4 4 2 ' • i I • • ' I ' ' ' I i i i I I I I I I I I I I I 2 10 10 NETHERLANDS GERMANY MONTHLY 8 8 6 6 4 4 2 1 1 1 I 1 1 1 1988 I 1 1 1 I i i i 1990 i i i I i i 1988 ' l i • ' l i i 1990 i 2 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 175 „ 200 UNITED STATES — NETHERLANDS 150 125 100 w \ 75 50 400 i i i I i i i I i i i I i i i 350 — JAPAN 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 i I i i i i 1988 l i i i l i . GERMANY 300 250 200 150 100 I I I I I I I I I I I I I I I i i i 200 175 — SWITZERLAND — FRANCE 150 125 100 75 50 200 I I I I I I I I I I I I I i 175 — CANADA i i — UNITED KINGDOM 150 125 100 75 50 • i i I i • 1988 i I i I ' i i i 1990 i • i I i i ' 1990 24_Jan-90 31-Jan-90 7-Feb~90 Chart 1. 14-Feb-90 21-Feb-90 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 2.8042 84.793 17.271 58.693 0.07883 0.68530 52.088 66.059 164.68 2.8368 84.044 17.463 59.317 0.07978 0.69489 52.642 66.963 167.07 2.8630 84.085 17.613 59.882 0.08050 0.68845 53.076 67.263 169.18 2.8570 83.309 17.575 59.757 0.08036 0.69112 53.002 66.873 169.22 2.8580 83.190 17.573 59.691 0.08044 0.69048 52.958 67.244 170.19 .82 .81 .37 .45 .21 .26 .37 .39 .43 112 .58 83 .03 79 .20 168 .10 46,,13 180 .96 152 .16 215 .14 68 .44 112 82 79 167 46 180 152 216 68 106,.04 77,.05 71..87 172,.58 40..15 179. 82 146..32 67..09 206..89 61. 22 92..04 105,.96 76..40 71..81 172..45 40..14 180..88 146. 32 66. 87 205. 96 61. 33 92.,21 105 .99 76 , .27 71..79 172..19 40..18 180.,67 146.,17 66 ..46 207 .10 61. 70 92. 19 - 3 .97 - 2 .55 0 .05 - 4 .36 1 .29 -0 .49 -1 .47 -6 .31 - 4 .03 - 2 .50 0 .18 - 4 .43 1 .28 -0 .47 -1 .31 -6 .39 - 4 .27 - 2 .72 -0 .31 -4 .58 1 .16 -0 .81 -1 .34 -6 .38 - 4 .49 - 2 .65 -0 .21 -4 .56 1..01 -0 .78 -0 .99 -6 .34 , 411.41 417 .12 420 .31 417 .00 417,.92 8.23 8.15 12.33 10.53 7.77 6.43 8.17 8.88 14.81 8 .24 8 .09 12 .30 10 .63 6 .55 6 .48 8 .33 8 .88 14 .74 8 .22 8 .14 12 .00 10 .39 7 .81 6 .42 8 .44 8 .90 14 .89 8 .21 8 .16 12 .00 10 .49 7 .81 6 .51 8 .72 8 .68 14 .69 8,.25 8..14 12,.60 10,.44 .65 7, 6 .50 . 8..53 8..38 14.,80 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 110 .50 84 .51 77 .83 165 .11 45 .25 179 .43 149 .53 212 .52 66 .61 111 83 78 166 45 181 151 215 67 .78 .77 .69 .86 .80 .94 .12 .43 .57 112 83 79 168 46 180 152 216 68 .62 .91 .19 .91 .18 .79 .03 .33 .83 Weighted a v e r a g e exchange v a l u e indices, Ma r. 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. .54 .40 .56 .60 .97 .66 .77 .78 .94 .69 .59 -3.67 -2.70 0.05 -4.25 1.30 -0.58 -1.26 -6.47 Gold Price in London, Afternoon Fixing U.S. dollars per fine ounce Chart 4. 105 77 71 171 39 182 145 66 206 60 92 3-Month Forward E x c h a n g e Rates, Premium or Discount Canadian dollar French franc German mark Italian lira Japanese yen Netherlands guilder Swiss franc U.K. pound Chart 3. 105 .13 78 .81 71 .30 171 .04 39 .79 181 .43 145 .34 66 .76 205 .72 60 .25 93 .52 Call M o n e y R a t e s U.S. federa1 funds Overnight Euro-dollar d e p o s i t s Canada France Germany Japan Netherlands Switzerland United Kingdom 24-Jan-90 31-Jan-9 0 7-Feb-9 0 Chart 5. 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 i n t e r b a n k rate German i n t e r b a n k rate Japanese gensaki rate N e t h e r l a n d s i n t e r b a n k rate Swiss i n t e r b a n k rate U.K. i n t e r b a n k 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. 8.20 12.07 11.00 8.24 6.04 8.84 9.44 15.25 9.96 8 .19 12 .40 10 .98 8 .16 6 .15 8 .78 9 .58 15 .06 9 .96 8.15 8.11 8.23 8.26 8.33 8.49 8 .09 8 .13 8 .19 8 .25 8 .31 8 .51 8 .22 12 .56 10 .79 8 .06 6 .20 8 .72 9 .45 15 .06 9 .94 8 .21 12 .81 11 .08 8 .34 6 .21 9 .03 9 .45 15 .08 10 .14 8 .22 13 .17 11 .11 8 .37 6 .23 9 ,04 9 .28 15 .09 10 .21 .14 .13 .19 .25 .31 .51 8 .16 8 .13 8 .18 8 .23 8 .29 8 .50 8 .14 8 .13 8 .19 8 .23 8 .28 8 .51 E u r o - D o l l a r Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 14-Feb-90 21-Feb-9 0 8 8 8 8 8 8 S e l e c t e d Euro-dollar & U.S. Money Market Rates 8.15 8.23 -0.08 8 .09 8 .24 -0 .15 8 .14 8 .22 -0 .09 8 .16 8 .21 -0 .05 8 .14 8 .25 -0 .11 8.26 8.20 0.06 8 .25 8 .19 0 .06 8 .25 8 .22 0 .03 8 .23 8 .21 0 .02 8 .23 8 .22 0 .00 Euro-dollar deposit Interbank s t e r l i n g (London), covered Differential 8.26 8.53 -0.27 8 .25 8 .52 -0 .27 8 .25 8 .43 -0 .18 8 .23 8 .46 -0 .23 8 .23 8 .52 -0 .29 U.S. c o m m e r c i a l paper Canadian f i n a n c e paper, covered Differential 8.12 8.28 -0.02 8 .13 8 .30 -0 .05 8 .15 8 .40 -0 .15 8 .12 8 .41 -0 .18 8 .14 8 .53 -0 .31 E u r o - d o l l a r deposit Interbank DM (Frankfurt), covered Differential 8.26 8.29 -0.03 8 .25 8 .21 0 .04 8 .25 8 .24 0 .01 8 .23 8 .02 0 .21 8 .23 8 .16 0 .07 8.26 8.11 0.15 8 .25 8 .07 0 .18 8 .25 8 .11 0 .14 8 .23 8 .08 0 .14 8 .23 8 .26 -0 .04 10.03 10.04 8.00 6.62 6.09 10.09 8.30 10 .04 10 .26 8 .03 6 .58 6 .15 10 .09 8 .47 10 .33 ND 8 .66 6 .64 6 .24 10 .23 8 .38 ND ND 8 .99 ND 6 .28 10 .40 8 .52 Overnight E u r o - d o l l a r d e p o s i t s U.S. federal f u n d s Differential 3-month E u r o - d o l l a r deposit U.S. 90-day CD's, s e c o n d a r y market Differential Chart 8. Interest A r b i t r a g e , 3-Month Funds E u r o - d o l l a r deposit S w i s s interbank, covered Differential Chart 9. Long Term Government Bond Y i e l d s Canada France Germany Japan Switzerland United Kingdom United States Chart 10. 10 10 8 6 6 10 8 .13 .27 .15 .61 .18 .20 .51 125 143 118 207 103 134 141 135 .94 .70 .34 .97 .78 .75 .68 .49 Stock Indices (Wednesday f i g u r e s ) Canada France Germany Japan Netherlands Switzerland United Kingdom United States 125.35 144.03 109.67 204.58 102.26 130.35 141.87 134.26 123 143 113 207 105 131 144 133 .45 .01 .97 .00 .08 .85 .62 .43 124 139 115 205 103 134 141 134 .98 .74 .10 .92 .67 .80 .44 .68 122 134 113 198 101 134 138 133 .38 .60 .48 .13 .72 .31 .39 .11 Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General, FAZ Aktien, Tokyo SE CTopix), CBS All-General, Swiss Bank Index, Financial Times Ordinary, NYSE Composite FEDERAL RESERVE statistical release H.10(512) February 26, 1990 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING FEBRUARY 23, 1990 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 FINLAND FRANCE GERMANY GREECE HONG KONG INDIA *1RELAND ITALY JAPAN MALAYSIA NETHERLANDS *NEN ZEALAND NORWAY PORTUGAL SINGAPORE SOUTH AFRICA SOUTH KOREA SPAIN SRI LANKA SWEDEN SWITZERLAND TAIWAN THAILAND *UNITED KINGDOM DOLLAR SCHILLING FRANC DOLLAR YUAN KRONE 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: KUNITED STATES DOLLAR Feb. 19 H 0 L I D A Y (CURRENCY UNITS PER DOLLAR) Feb. 22 Feb. 20 Feb. 21 Feb. 23 75.950 11.798 34.980 1.2020 4.7339 6.4675 3.9510 5.6890 1.6750 157.80 7.8100 17.000 158.20 1242.50 145.45 2.7020 1.8885 58.980 6.4790 147.85 1.8600 2.5400 693.10 108.28 40.018 6.2850 1.4850 26.128 25.700 170.40 75.860 11.755 34.810 1.2013 4.7339 6.4365 3.9330 5.6520 1.6660 157.60 7.8090 17.030 158.90 1235.50 145.32 2.7020 1.8775 58.870 6.4540 147.20 1.8610 2.5340 693.10 107.83 40.018 6.1020 1.4747 26.143 25.720 171.50 76.460 11.762 34.770 1.1945 4.7339 6.4380 3.9370 5.6580 1.6703 158.00 7.8075 17.000 159.00 1235.50 145.89 2.7025 1.8815 58.970 6.4525 147.00 1.8640 2.5400 6.94 107.77 40.018 6.0935 1.4725 N. A. 25.720 171.47 76.520 11.820 34.950 1.1970 4.7339 6.4600 3.9520 5.6830 1.6780 158.70 7.8090 17.020 158.30 1241.00 146.92 2.7040 1.8905 59.020 6.4700 147.80 1.8660 2.5450 694.30 108.25 40.018 6.0890 1.4770 26.135 25.730 171.00 92.29 91.76 91.83 92.22 *VALUE IS U.S. CENTS **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.
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