Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : June 3, 1991

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Selected Interest &
Exchange Rates
Weekly Series of Charts

JUNE 3,1991
Prepared by the
FINANCIAL MARKETS
SECTION




DIVISION OF
INTERNATIONAL FINANCE
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

RATIO SCALE
MARCH 1973=100
140

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

BELGIAN FRANC

—

:

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CANADIAN DOLLAR

U.K. POUND

I

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JAPANESE YEN

—

SWISS FRANC

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GERMAN MARK
DUTCH GUILDER

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ITALIAN LIRA
FRENCH FRANC

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1989

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•

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1991

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1989

1991

CHART 2

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

i

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I

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PERCENT PER ANNUM
4
U.K. POUND

i

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GERMAN MARK

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1

1

1

1

1

l

I

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JAPANESE YEN

'
i
SWISS FRANC

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V

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1

1

1

1

1

1

1

1

1

1

1

1

DUTCH GUILDER

1
FRENCH FRANC




1

1

1

1

1

ITALIAN LIRA

V v ^ X

1
1989

1991

1

1

1

1

1
1989

1

1

1

1

1

1 1
1991

12

CHART 3

PRICE OF GOLD IN LONDON
A V E R A G E S FOR WEEK ENDING W E D N E S D A Y

U.S. OLLARS PER FINE OUNCE
520

U.S. DOLLARS PER FINE OI
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

320
1991

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
16

PERCENT PER ANNUM
16

12

12

FRANCE

—

U.S. FEDERAL FUNDS

JAPAN

0

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0

16

16

12

12

CANADA

GERMANY

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SWITZERLAND

UNITED KINGDOM

NETHERLANDS

•

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l

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•
1989

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1991

i
1989

1991

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
:ENT PER ANNUM

PERCENT PER AN

12
U.S. CD'S
10

8
SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

6
4

2

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< I

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16

14

12
U.K. INTERBANK STERLING

CANADIAN FINANCE CO.
PAPER

10

8
6

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10
GERMAN INTERBANK RATE

8
6
FRENCH INTERBANK RATE

4

2

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10

8

JAPANESE CD RATE

6
NETHERLANDS INTERBANK RATE

4

2

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1989

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1991

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1989

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1991

CHART 6

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

OVERNIGHT

12

3-MONTH

10

8

6
I

4
14

I

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'

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7-DAY

12

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6-MONTH

10

8

6

1

4
14

1

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1

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1

1

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1-MONTH

12

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1-YEAR

10

8

6

4

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1989

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1991

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1989

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1

.

.

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
14

PERCENT PER ANNUM
14

12

12

OVERNIGHT
EURO-DOLLAR DEPOSITS

3-MONTH
EURO-DOLLAR DEPOSITS

10

10

FEDERAL FUNDS
DASHED LINE

2

1

L J—I—i

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DASHED LINE

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J—I—i—I

2

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DIFFERENTIAL
DIFFERENTIAL

r
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1989

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J—i—i—I—i
1991

1989

i
1991

CHART 8

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

PERCENT PER ANN!

16

16

INTERBANK STERLING
COVERED LONDON

12

CANADIAN FINANCE
CO. PAPER, COVERED

—

12

8

8
EURO-DOLLAR DEPOSITS
DASHED LINE

U.S. COMMERCIAL PAPER
DASHED LINE

4

0
2

4

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DIFFERENTIAL

+

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16

INTERBANK DM
COVERED FRANKFURT

_

SWISS INTERBANK (SF) COVERED

12

8

8
EURO-DOLLAR DEPOSITS
DASHED LINE

EURO-DOLLAR DEPOSITS
DASHED LINE

4

4

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< i

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0
2

DIFFERENTIAL
+

0

2

2

16

12

0
2

0
2

DIFFERENTIAL

2

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DIFFERENTIAL
+

\AVk^ JI

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1989

0

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1991

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1989

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1991

2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
14

PERCENT PER ANNUM
14 i
UNITED STATES

CANADA

12

12

10

10

6
14

•

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6
14

FRANCE

UNITED KINGDOM
12

12

10

10

6
10

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GERMANY

NETHERLANDS

i

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JAPAN

SWITZERLAND

2
10

•

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1989

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1991

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1989

1991

6
10

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100
200
, UNITED STATES
175

RATIO SCALE
1986=100
200
,NETHERLANDS

175

150

150

z

125

T

:

125

100

100

75

50
400

75

i

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350 — JAPAN

i

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I

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. GERMANY

50
200
175

300

150

250

125

200

100

150

75

i

100

i I i i i.l

i i i I i i i

•

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200
175 — SWITZERLAND

FRANCE

50
200
175

150

150

125

125

100

100

75

50
200

75

•

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175 — CANADA

•

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UNITED KINGDOM

50
200
175

150

150

125

125

100

100

75

50

75

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1989

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50

SERIES
Chart 1.

1-May-91

8 -May-91

15-May-91 22-May-91 29-May-91

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
N e t h e r l a n d s guilder
Swiss franc
U.K. pound

2.7983
86.771
17.031
57.508
0.07785
0 72691
51.047
68.283
170.10

2.8072
86.873
17.058
57.707
0.07797
0.72315
51.207
68.222
171.12

2.8362
86.867
17.212
58.306
0.07864
0.72088
51.750
69.072
172.81

2.8287
86.997
17.155
58.160
0.07832
0.72483
51.623
68.683
172.83

2.8458
87.070
17.241
58.544
0.07876
0.72447
51.950
68.737
173.62

Indices, March 1973 base rates = 100
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
N e t h e r l a n d s guilder
Swiss franc
U.K. pound

110.27
86.48
76.75
161.78
44.69
190.33
146.55
219.68
68.80

110
86
76
162
44
189
147
219
69

.62
.59
.87
.33
.76
.34
.01
.48
.21

111
86
77
164
45
188
148
222
69

.76
.58
.56
.02
.14
.75
.56
.21
.90

111
86
77
163
44
189
148
220
69

.47
.71
.30
.61
.96
.78
.20
.96
.90

112 .14
86 .78
77 .69
164 .69
45 .21
4 8 9 .69
149 .14
221 .14
70 .22

105
79
70
167
39
189
142
66
212
62
92

.07
.87
.10
.30
.18
.48
.52
.72
.77
.71
.13

104
80
69
166
39
190
142
66
211
62
92

.88
.07
.91
.99
.05
.84
.29
,
.50
.74
.79
24

105 .17
79 .85
70..04
167,.63
39 .14
190,.01
142,.73
66 ,.73
211..18
62 .87
91..84

Weighted average exchange v a l u e 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.

3-Month Forward Exchange Rate

Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound
Chart 3.

104.55
80.35
69.83
166.36
39.06
191.34
141.77
66.61
211.29
62.42
92.78

Premium or Discount
-3.05
-3.26
-3.11
-5.39
-1.86
-3.13
-2.53
-5.46

-3.12
-3.25
-3.11
-5.28
-1.82
-3.21
-2.56
-5.38

- 3 .01
- 3 .26
- 3 .05
- 5 .14
-1 .74
- 3 .16
- 2 .36
- 5 .37

-2. 91
-3. 05
-2. 96
-5. 14
-1. 72
-3. 04
-2. 19
-5. 39

-2. 83
-3. 25
-2. 99
-5. 18
-1. 70
-3. 10
-2. 13
-5. 28

354.37

355.68

357 .64

355. 83

356. 96

5.92
5.94
9.35
9.48
8.88
8.16
8.85
7.88
11.78

5.79
5.79
9.33
9.19
8.82
8.14
9.07
7.88
12.16

5 .78
5 .80
9 .30
9 .05
8 .76
7 .96
8 .88
7 .88
12 .43

5. 79
5. 80
9. 13
9. 03
8. 6 4
7. 90
8. 91
7. 75
12. 35

5. 72
5. 81
9. 18
9. 79
8. 38
7. 92
8. 84
7. 38
11. 75

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

104.35
80.37
69.82
165.94
39.05
192.76
141.50
66.51
211.78
62.10
92.95

Call M o n e y Rates

U.S. federal funds
Overnight Euro-dollar d e p o s i t s
Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom




SERIES
Chart 5.

1-May-91

5 .98
9 .43
9 .20
9 .08
7 .99
9 .11
8 .31
11 .66
9 .58

5 .90
9 .27
9 .13
9 .02
7 .91
9 .12
8 .35
11 .48
9 .49

5 .94
5 .94
5 .94
6 .04
6 .18
6 .61

5 .79
5 .83
5 .84
5 .93
6 .04
6 .48

5 .92
9 .16
9 .09
9 .04
7 .85
9 . 09
8 . 09
11 .55
9 .42

5 .92
9 .07
9 .03
8 .99
7 .78
9 .02
8 .00
11 .53
9 .35

5. 89
8, 99
9. 20
8. 91
7 .76
8. 98
8. 00
11 .38
9. 30

5 .80
5 .81
5 .83
5 .94
6 .06
6 .50

5 .80
5 .81
5 .81
5 .94
6 .11
6 .50

5. 81
5. 81
5. 81
5. 94
6 .06
6 .50

Euro-Dollar Deposit Rates

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

15-May -91 22-May--91 29-May- 91

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-1Q Countries)
Chart 6.

8 -May-91

Selected Euro-dollar & U.S. Money Market Rates

Overnight Euro-dollar deposits
U.S. federal funds
Di fferential

5 .94
5 .92
0 .02

5 .79
5 .79
0 . 00

5 .80
5 .78
0 . 02

5 .80
5 .79
0 . 01

5. 81
5. 72
0 .09

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

6 .04
5 .98
0 . 06

5 .93
5 .90
0 .02

5 .94
5 .92
0 . 02

5..94
5 .92
0.
, 02

5. 94
5. 89
0 .05

Chart 8.

Interest Arbitrage, 3-Month Funds

Euro-dollar deposit
Interbank sterling (London), covered
Di fferential

6 .04
6 .04
-0 .00

5 .93
5 .95
-0 . 02

5 .94
6 . 03
-0 . 09

5 .94
5 .98
-0 . 05

5. 94
5. 95
-0 .01

U.S. commercial paper
Canadian finance paper, covered
Differentia1

6 . 02
6 .31
-0 .29

5 .91
6 . 08
-0 .17

5 .93
6 . 08
-0 . 15

5 .94
6 .09
-0 .15

5. 91
6 .09
-0 .18

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

6 .04
5 .89
0 .15

5 .93
5 .84
0 .09

5 .94
5 .91
0 . 02

5 .94
5 .96
-0 .03
,

5. 94
5. 85
0 .09

Euro-dollar deposit
Swiss interbank, covered
Differential

6 .04
5 .73
0 .30

5 .93
5 .74
0 .19

5 .94
5 .69
0 .25

Chart 9.

5. 94
5. 82
0 .11

9 .60
8 .85
,
8 .36
,
6 .59
.
5 .93
8 .63
.
10..37
8.. 08

9. 59
8 .96
8 .30
6 .63
5. 89
8 .57
10. 36
8 .09

Long Term Government Bellwether Bond Yields
10-year maturity, where availabl e

Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United States
Chart 10.

5 .94
5 .77
0 . 17

9 .56
8 .88
8 .41
6 .66
6 .05
8 .60
10 .22
8 .05

9 .54
8 .78
8 .38
6 .62
6 .07
8 .61
10 .19
8 .03

116 .41
132 .11
101 .89
151 .11
108 .92
128 .95
152 .26
152 .93

116 .04
133 .96
101 .96
150 .25
109 .30
128 .86
153 .93
152 .27

9 .59
8 .83
8 . 39
6 .60
6 . 01
8 .66
10 .26
8 .10

Stock Indices (Wednesday figures)

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

115
132
100
148
106
128
149
148

.37
.43
.73
.63
.97
.33
.44
.56

114. 80
134, 04
104. 05
146 .21
107 .56
131 .02
153, 88
151 ,39

116 .40
133. 39
106. 02
146 .29
107 .89
132. 90
151 .09
153. 93

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)

May 28, 1991

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

MAY 24, 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

May. 20

^AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO COMMUNITY
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
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

0.7824
12.150
35.530
1.1496
5.3332
6.6055
1.1895
4.0520
5.8575
1.7275
188.95
7.7915
20.700
1.5510
1282.00
138.22
2.7655
1.9463
0.5882
6.7170
150.95
1.7735
2.7920
728.30
106.98
41.018
6.2055
1.4587
27.280
25.690
1.7190

0.7765
12.048
35.230
1.1488
5.3332
6.5500
1.1995
4.0230
5.8120
1.7125
187.95
7.7915
20.650
1.5625
1271.00
137.50
2.7620
1.9296
0.5888
6.6705
149.55
1.7720
2.7850
N.A.
106.18
41.028
6.1400
1.4495
27.255
25.650
1.7365

0.7715
12.115
35.450
1.1492
5.3296
6.5900
1.1940
4.0490
5.8450
1.7220
189.05
7.7885
20.660
1.5535
1279.00
138.05
2.7570
1.9403
0.5875
6.7040
150.65
1.7720
2.8225
728.80
106.83
N.A.
6.1780
1.4600
27.265
25.630
1.7270

0.7565
12.060
35.280
1.1509
5.3359
6.5610
1.1980
4.0600
5.8220
1.7140
187.95
7.7870
20.670
1.5610
1274.25
137.73
2.7580
1.9313
0.5785
6.6740
149.95
1.7710
2.7875
729.60
106.23
N.A.
6.1455
1.4563
27.280
25.650
1.7345

0.7590
12.025
35.160
1.1495
5.3359
6.5500
1.2013
4.0550
5.8090
1.7081
187.85
7.7540
20.700
1.5665
1271.50
138.40
2.7590
1.9248
0.5820
6.6600
149.65
1.7685
2.8025
728.90
106.03
N.A.
6.1280
1.4546
27.250
25.640
1.7310

MEMO:
BHJNITED STATES

DOLLAR

92.60

91.90

92.37

92.04

91.95

COUNTRY

(CURRENCY UNITS PER DOLLAR)
May. 21
May. 22
May. 23

May. 24

*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.