Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : July 8, 1991

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Selected Interest &
Exchange Rates
Weekly Series of Charts

July 8, 1991
Prepared by the
FINANCIAL MARKETS
SECTION




DIVISION OF

INTERNATIONAL FINANCE
BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
WliShlhgton, Dbe. 20651
-

Table of Contents

TABLES
1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
H.10 RELEASE
CHARTS
1.
2.
3.
4.
5.

SPOT EXCHANGE RATE INDICES
3-MONTH FORWARD EXCHANGE RATES
GOLD PRICE—LONDON
CALL MONEY RATES
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
130

RATIO SCALE
MARCH 1973=100
140
FOREIGN CURRENCY
130

PRICE OF U.S. DOLLAR

120

BELGIAN FRANC

—

_

120
110

110

100

100

90

90

80

80

i

70

i

280
260

I

i

i

•

l

•

'

•

I

i

i

i

i

i

i

—

SWISS FRANC

I

i

i

i

I

i

i

i

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

l

i

i

i

l

'

i

i

I

i

i

I

i

I

I

I

I

I

I

I

I

I

I

I

I

1 I

120
100

90

CANADIAN DOLLAR

U.K. POUND

90

80

80

70

70

60

60
50

I

I

I

I

I

I

I

I

I

I

I

I

I

I

'

I

'

200

I

'

I

I

I

1 I

GERMAN MARK

180

I

I

I

I

I

50

]

/ V X

DUTCH GUILDER

160
140

180
160
140

120

120
100
120

200

_L_L '

I

'

i

i

I

1

1

1

1

I

1

1

i

'

i

I

i

i

'

I

i

•

'

I

i

i

i

110

55

ITALIAN LIRA

100

50

FRENCH FRANC

90

100
60

45

80

40

70

35

60

30

50

I

I

I




I

I

I
1989

I

I

I

I

I

I

I

I
1991

I

I

I

I

I

•

i
1989

i

I

'

'

'

I

'

'
1991

'

25

CHART 2

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

CANADIAN DOLLAR

I

I

I

I

I

U.K. POUND

I

I

I

I

1

|

I

I

I

I

—L I I I 1 I I I I 1 1 1 1 1 1

GERMAN MARK

1

1

1

1

PERCENT PER ANNUM
4

JAPANESE YEN

1

1

1

1

1

x:

v

1

1

1

1

1

1

SWISS FRANC

DUTCH GUILDER

—

—

X
w
1

1

1

1

1

1

1

1

V

1

1

1

1

1

1

1

I

FRENCH FRANC

12

1

1

1

1




1

I

I

i

I

I

Xy\Z

i

i

i

\AA^

i

i

i

i

i

i

ITALIAN LIRA

1
1989

1

1

1

1

1

|

I

I
1991

I

i

i

i

I

'

'
1989

'

l

'

' '

i

i

JL_L
1991

4
4

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. DOLLARS PER FINE OUNCE
520

U.S. DOLLARS PER FINE OUNCE
520

500

500 —

12.5 Kg BARS
AFTERNOON FIXING PRICE

480

—

480

460 — •

460

440 —

440

420 —

420

—

400; —

380

400

380

—

360

360

340

340

320

320
v

* 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

i

•

0

•

I

i

i

•

I

•

'

i

l

< i

i

i

'

I

i

i

i

I

•

•

i

l

'

'

'

16

16

12

12

GERMANY

I

I

I

I

I

I

CANADA

I

I

I

I

I

I

I

I

I

UNITED KINGDOM

•

» *

I

i

1

i

l

1

i

i

l

i

i

SWITZERLAND

NETHERLANDS

'

*

i

< i




i
1989

i

I

i

i

i

I

i

i
1991

i
1989

1991

i

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

10

12
U.S. CD'S

SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

I- I

I

I

I

I

1

I

1

1

1

I

1

I

I

1

'

1

I

1

'

I

'

I

I
16

14

14

12

12
CANADIAN FINANCE CO.
PAPER

U.K. INTERBANK STERLING

10

6
10

i

i

i

I

i

'

'

I

'

•

'

I

•

'

i l l

'

'

i

*

I

•

'

10

'

I

•

'

'
12

GERMAN INTERBANK RATE

10

FRENCH INTERBANK RATE

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

4
10

10

JAPANESE CD RATE >

NETHERLANDS INTERBANK RATE

I




I

I

I 4
1989

I

I

1^1* . I ^

I I
1991

lL

» i

» i

» '
1989

I

'

'

'

I- '

' '
1991

CHART 6

EURO DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PE CENT PER ANNUM
14

PERCENT PER AN

OVERNIGHT

12

3-MONTH

10

8

6
1

4
14

1

•

I

1

1

'

i

•

» i

I

i

i

»

'

•

•, l

•

7-DAY

12

» '

i

•

•

•

I

» » »

6-MONTH

10

8

6

4
14

« |

|

l

|

» |

» » '

|

I

i

i

«

« '

'

» '

1-MONTH

12

'

'

» '

'

I

I

I

I

I

*

I

'

»

I

I

1-YEAR

10

8

6

4

I

I

I




*

I

'
1989

*' I

'

*

i

I

'

'
1991

'

'

'

I

I

I

I
1989

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
PE

14

:ENT PER ANNUM

PERCENT PER ANNUM

14

12

12

OVERNIGHT

EURO-DOLLAR DEPOSITS

3-MONTH
EURO DOLLAR DEPOSITS

10

10

8
FEDERAL FUNDS
DASHED LINE

6

DASHED LINE

4

2
2

J

I

1

1

I

1

1

1

I

L_J

I

I

I

J

1

1

L_l

I

I

I

J

I

L

DIFFERENTIAL
1

__

DIFFERENTIAL

•

0

1



J — i — i — i
1989

I

i

•

'

i

J—L_L
1991

CHART 8

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

PERCENT PER ANNUI

ENT PER ANNUM

16

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING

12

COVERED LONDON

8
U.S. COMMERCIAL PAPER

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

4

0

i

i

i

I

i

|

|

1

I

i

i

I

» i

I

i

I

I

I

1 I

I

I

1

1

I

I

I

I

I

2
DIFFERENTIAL

DIFFERENTIAL
+

0

2
16

•

j

i

I

i

•

i

'

i

» i

I

i

I

»

INTERBANK DM

12

I

__

COVERED FRANKFURT

I

I

I

1

1

I

'

1

I

» '

SWISS INTERBANK (SF) COVERED

^ 8
EURO-DOLLAR DEPOSITS

EURO DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

4

G

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

1 I

I

> '

'

•

I

i

i

2
DIFFERENTIAL

DIFFERENTIAL

A
^ •

•»

rSAiy/

: C

I

I I




» I

I
1989

1

I

'

1

'

I

I

I
1991

I

'

'

» I

i

•
1989

•

i
1991

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
SCENT PER ANNUM

PERCENT PER ANNi
14

UNITED STATES

CANADA

12
10

10

8

8

'

6
14

'

•

I

'

» » I

1

•

i

I

i

i

i

I

•

•

I

'

'

'

I

« '

•

I

6
14

UNITED KINGDOM

FRANCE

12

12

10

10

8

8

•

6
10

'

1

I

1

»

1

1

1

» '

I

» I

l

SWITZERLAND

I

'

I

'

:

i

I

'

'

'

I

'

r

'

JAPAN

6
10

8

8

6

6

4

2
10

4

I

I

I

I

I

I

I

I

I

I

i

I

i

i

i

NETHERLANDS

'

'

'

I

I

» I

I

I

I

I

1 I

I

.

GERMANY

8

e

6

6

4
2

2
10

4

i

'

'




I

*

'
1989

'

*

•

'

'

I

» » '
1991

• ' » > ' « »
1989

1

> I

1 I
1991

C H A R T 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
UNITED STATES

NETHERLANDS

JAPAN

GERMANY

SWITZERLAND

FRANCE

CANADA

UNITED KINGDOM




» i
1989

T991

i

I

i

»»
1989

I

t

i

i

I
^

i

i
T9»91

i

SERIES
5-Jun-91
Chart

1.

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 m a r k
Italian lira
Japanese yen
Netherlands g u i l d e r
Swiss f r a n c
U.K. pound
Indices,

M a r c h 1973 b a s e r a t e s

Weighted average 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 m a r k
Italian lira
Japanese yen
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

U.S.

3.

3-Month Forward Exchange R a t e s ,

Gold P r i c e

d o l l a r s per f i n e

Chart 4.

2.7438
87.243
l z 561
56.446
0.07609
0.70977
50.099
65.963
166.67

2.7029
87.481
16.374
55.624
0.07470
0.71041
49.379
64.790
162.92

2.7092
87.547
16.421
55.773
0.07490
0.72071
49.502
64.780
163.44

2.6716
87.503
16.219
54.971
0.07390
0.72185
48.802
63.811
161.42

110.18
87.01
76.46
161.78
44.54
188.87
146.55
216.83
68.82

108.12
86.95
75.08
158.79
43.67
185.84
143.82
212.21
67.41

106.51
87.19
73.79
156.47
42.88
186.01
141.76
208.44
65.89

106.76
87.26
74.00
156.89
43.00
188.71
142.11
208.41
66.10

105.28
87.21
73.09
154.64
42.42
189.00
140.10
205.29
65.29

103.32
83.31
68.73
164.35
38.38
193.23
140.29
65.17
205.92
60.89
95.97

103.23
83.10
68.71
164.26
38.37
195.69
140.20
64.98
205.23
60.89
95.59

102.59
83.78
68.38
163.01
38.14
197.82
139.28
64.73
203.75
60.60
96 . 5 8

-2.45
-3.72
-2.87
-5.05
1 61
- 3 . 10
-1.94
-4.91

-2.53
-3.81
-2.95
-5.17
-1.70
-3.14
-1.93
-4.96

-2.51
-3.63

Mar.
104.44
81.04
69.65
166.27
38.98
191.43
141.74
66.20
209.30
62.23
93.13

Canadian d o l l a r
French f r a n c
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss f r a n c
U.K. pound
Chart

2.7962
87.303
16.967
57.509
0.07759
0.72133
51.048
67.399
170.14
100

Belgian franc
Canadian d o l l a r
French f r a n c
German m a r k
Italian lira
Japanese yen
Netherlands g u i l d e r
Swiss f r a n c
U.K. pound

Chart 2.

12-Jun-91 19-Jun-91 26-Jun-91 3 - J u l - 9 1

Spot Exchange Rates and I n d i c e s

-2.00

-5.14
London,

ounce

103.84
82.16
69.28
165.24
38.72
190.86
140.94
65.75
207.57
61.74
94.74

Premium o r D i s c o u n t
-2.69
-3.35
-2.97
-5.19
-1.57
-3.08

in

1973=100

-2.48
-3.42
-2.82
-4.96
-1.55
-2.93
-1.85
-4.90

Afternoon Fixing




deposits

-1.60

-3.10
-1.82
-4.94

361.85

369.46

368.38

364.84

367.68

5.91
5.86
8.83
9.91
8.24
7.97
8.95
7.38
11.36

5.75
5.85
8.63
9.89
8.71

5.78
5.73
8.73
9.78
8.69
7 , 94
9 . 04
7 . 38
11.58

5.79
5.83
8.78
9.88
8.75
7.93
8.71
7.38
11.54

6.34
5.98
8.55
9.64
8.86
7.68
8.70
7.38
11.55

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 Euro-dollar
Canada
France
Germany
Japan
Netherlands
Switzerland
U n i t e d Kingdom

-3.06

-5.21

8.01

9.02
7.38
11.64

SERIES
Chart

5.

5-Jun-91

3-Month I n t e r e s t

6.

Euro-Dollar

Deposit

5 . 99
8 . 95
9 . 30
8 . 94
7 . 70
9 . 04
7 . 93
1 1 . 33
9 . 31

6 . 11
8 . 81
9 . 45
8 . 95
7 . 73
9 . 06
7 . 93
1 1 . 16
9 . 30

6.08
8.81
9.70
8.94
7.79
9.11
7.90
11.24
9.37

6.02
8.82
9.78
8.95
7.86
9.08
7.88
11.16
9.39

6 . 05
8 . 81
9 . 63
9 . 02
7 . 75
9 . 08
7 . 78
11 . 17
9 . 37

5 . 86
5 . 88
5 . 89
6 . 01
6 . 13
6 , .58

5 . 85
5 . 89
5 . 99
6 . 10
6 . 30
6 . 80

5.73
5.85
5.96
6.09
6.34
6.85

5.83
6.03
5.96
6.05
6.30
6.83

5 . 98
5 . 91
5 . 94
6 . 08
6 . 39
6 . 83

Rates

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

7.

Selected

Euro-dollar

Overnight Euro-dollar
U.S. f e d e r a l funds
Differential

& U.S.

Monet

r

deposits

3-month E u r o - d o l l a r deposit
U.S. 90-day CD's, secondary market
Differential
Chart

8.

Interest

Arbitrage,

Euro-dollar deposit
Interbank s t e r l i n g (London),
Differential
U.S. commercial paper
Canadian f i n a n c e paper,
Di f f e r e n t i a 1

covered

covered

Euro-dollar deposit
Swiss i n t e r b a n k , covered
Differential
Chart

9.

10.

5 .86
5 .91
- 0 .05

5 .85
5 .75
0 .10

5.73
5.78
-0.06

5.83
5.79
0.04

5 .98
6 .34
- 0 . 36

6 .01
5 .99
0 .02

6 .10
6 .11
-0 .01

6 .09
6 .08
0.01

6 .05
6.02
0.03

6 .08
6 .05
0 .03

6 .01
6 . 04
- 0 .03

6 .10
6 .13
- 0 .03

6 .09
6.19
-0.10

6 .05
6 .06
-0.01

6 .08
6 .09
- 0 .02

6 . 00
6 .20
- 0 .20

6 .13
6 .28
- 0 .14

6.14
6 . 30
-0.16

6.10
6.24
-0.14

6 .13
6 .24
- 0 .10

6 .01
5 .90
0 .12

6 .10
6 .07
0 .03

6 .09
6.00
0.09

6.05
5.93
0.12

6 .08
5 .89
0 .18

6 .01
5 .89
0 .13

6 .10
6 .03
0 .07

6 .09
5.93
0.16

6.05
5.90
0.15

6 . 08
5 .92
0 .15

9.83
9.08
8.35
6.70
5.85
8.63
10.51
8.29

9 .92
9 .16
8 .35
6 .79
5 .85
8 .64
10 . 5 2
8 .32

1 0 .. 0 1
9 .23
8 .33
6 .76
5 .95
8 .65
10 . 5 8
8 .32

1 0 . 09
9 .15
8 .49
6 .73
5 .96
8 .75
10 . 5 0
8 .27

.58
.33
.01
.47
.97
.18
.10
.86

117.62
132.98
105.90
140.31
108.27
133.20
151.16
151.28

116.01
130.40
105.74
139.73
106.64
131.58
147.53
149.63

115.94
127.38
101.38
137.67
106.86
130.90
147.01
150.31

L o n g T e r m G o v e r n m e n t B e l l w e t h e r Bond Y i e l d s
10-year m a t u r i t y , where a v a i l a b l e
9 .. 6 3
8 . .96
8 ..29
6 .63
5 .79
8 .58
10 . 4 4
8 .11

Canada
France
Germany
Japan
Switzerland
Netherlands
U n i t e d Kingdom
United States
Chart

Market Rates

3 - M o n t h Funds

covered

Euro-dollar deposit
I n t e r b a n k DM ( F r a n k f u r t ) ,
Differential

19-Jun-91 26-Jun-91 3-Jul-91

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 rate
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
(G-10 C o u n t r i e s )
Chart

12-Jun-91

Stock

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




Indices

(Wednesday f i g u r e s )
118 . 5 1
135 . 4 1
106 . 8 5
146 . 2 6
110 . 1 1
134 . 2 2
153 . 2 0
155 . 0 2

118
136
106
143
108
132
153
151

t Toronto Composite

FEDERAL RESERVE statistical release

Wmm
July 8, 1991

H.10(512)

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

JULY 5, 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
^IRELAND
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:
e*UNITED STATES

DOLLAR

Jul. 1

(CURRENCY UNITS PER DOLLAR)
Jul. 4
Jul. 2
Jul. 3

0.7651
12.815
37.500
1.1430
5.3690
7.0340
1.1281
4.3165
6.1700
1.8215
199.75
7.7680
23.090
1.4685
1354.50
138.40
2.7900
2.0519
0.5723
7.1000
158.65
1.7677
2.9090
725.90
114.08
41.188
6.5740
1.5650
N. A.
25.770
1.6140

0.7643
12.908
37.720
1.1433
5.3784
7.0770
1.1210
4.3550
6.2120
1.8350
199.93
7.7730
23.120
1.4600
1363.75
138.78
2.7930
2.0669
0.5680
7.1450
160.05
1.7700
2.9010
728.10
114.85
41.168
6.6250
1.5805
26.910
25.770
1.6015

0.7642
12.875
37.640
1.1428
5.3847
7.0725
1.1218
4.3460
6.2110
1.8305
200.35
7.7710
26.280
1.4620
1362.50
139.50
2.7935
2.0613
0.5685
7.1400
159.85
1.7720
2.9040
730.30
114.73
N. A.
6.6200
1.5830
27.030
N. A.
1.6057

96.64

97.22

97.16

H
0
L
I
D
A
Y

Jul. 5
0.7651
12.848
37.590
1.1438
5.3847
7.0653
1.1250
4.3470
6.1910
1.8265
199.85
7.7680
26.070
1.4650
1359.50
138.35
2.7945
2.0569
0.5665
7.1320
159.95
1.7670
2.9080
731.70
114.68
N. A.
6.6065
1.5755
27.025
25.790
1.6150
96.84

*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. 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 NOW AVAILABLE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL (202) 377-1986.