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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts May 13, 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 RATIO SCALE MARCH 1973=100 140 140 FOREIGN CURRENCY PRICE OF U.S. DOLLAR i i i I i i i I i BELGIAN FRANC i i I i i i _I_L — SWISS FRANC I i i i I i i i I i i JAPANESE YEN — 240 220 200 180 160 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 ' CANADIAN DOLLAR U.K. POUND I i I I I I I I I I i I i I i i i I GERMAN MARK / V X DUTCH GUILDER I I I I I I I I I I I I I I I ' ' I I I I I I ' I I 1989 I I I I I I I ITALIAN LIRA FRENCH FRANC i I ' I ' I 1 1 1 1 I 1989 I » I I 1991 I I I I I I I 1991 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 4 4 t U.K. POUND CANADIAN DOLLAR 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 JAPANESE YEN GERMAN MARK — X i i i I i i i I i i i I i i i DUTCH GUILDER SWISS FRANC — I I I I FRENCH FRANC I I I I I I I I I I I I I I I " i i i ~ \ Iv,, \ I I I ITALIAN LIRA ^ 1 1 1 1 1 1 1 1989 1 1 1 1 1 i - i i 1991 12 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. U.S. DOLLARS PER FINE Ol INCE c DLLARS PER FINE OUNCE 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 0 i i i l 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 I I I I I I I I I I I -I— 0 16 UNITED KINGDOM SWITZERLAND 12 NETHERLANDS — 4 » 1 1 I • 1 1989 1 I 1 » ' I ' i i 1991 ' ' I i • 1989 i I i i i I i i 1991 i CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER AN slUIV :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 16 l l l I I l l I l I I I I I I I I I I I I I I I I I I I I 0 16 14 14 12 12 CANADIAN FINANCE CO PAPER U.K. INTERBANK STERLING 10 10 8 8 6 10 i i i I i i i I i i i I i i i I I I l l l I l l l I I I l 6 12 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 8 JAPANESE CD RATE 6 6 NETHERLANDS INTERBANK RATE 4 2 4 10 ' ' I ' ' 1989 ' I ' • • I ' ' 1991 • ' I I I I 1989 ' I ' ' • 4 I ' • 1991 • 2 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER ANNUM PERCENT PER ANC 14 OVERNIGHT 3-MONTH 12 10 8 6 I I ' I ' ' ' I I ' I I I ' ' ' ' ' l ' 7-DAY • ' I ' ' i I i ' 4 14 6-MONTH 12 10 1 i i I i i 1 l i i i i i i i i i I i i i 1 i i i l i i i A 1 1-MONTH 1-YEAR 1 1 I I I I I ' 1989 ' I ' ' ' I I I I 1991 ' 1 ' I 1 1 1989 1 l 1 » » l ' ' 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 PERCENT PER ANNUM PERCENT PER ANNUM 14 14 12 12 OVERNIGHT EURO-DOLLAR DEPOSITS 3-MONTH EURO DOLLAR DEPOSITS 10 10 FEDERAL FUNDS DASHED LINE J l__L DASHED LINE J—I—i—i i L J L_L J I I L J 1 1 I I 1 I L DIFFERENTIAL DIFFERENTIAL r J—i i I i i i 1989 i i J I 1991 L J—I—I—I I I I 1989 I I I J I 1991 L CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNl SCENT PER ANNUM 16 16 INTERBANK STERLING 12 CANADIAN FINANCE CO. PAPER, COVERED — COVERED LONDON 12 8 8 U.S. COMMERCIAL PAPER EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE 4 4 0 ' i i I i i i I i ' i I i i i i ' I I ' ' ' I i i i I i i i 0 2 2 DIFFERENTIAL DIFFERENTIAL + + 0 0 •Vtywv1 V 2 16 I I I I I I I I I I i I INTERBANK DM 12 i _ COVERED FRANKFURT i I i i ' I l i i SWISS INTERBANK (SF) COVERED i 2 16 _ 8 8 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE 4 4 0 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 0 2 2 DIFFERENTIAL DIFFERENTIAL + 0 2 12 'V'iw I I I I I I I 1989 I I I + An/vV ^ n> I I I I I 1991 I I 0 I I I I I 1989 I I I I I I I I 1991 2 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES SCENT PER ANNUM PERCENT PER ANN!UM UNITED STATES 14 CANADA 12 10 10 8 8 ' 6 14 ' « I i 1 ' 1 I 1 i I i i ' I UNITED KINGDOM I I I 1 » ' 1 > ' I I 1 I I FRANCE 12 12 10 10 8 6 10 8 I I I I I I I I . I SWITZERLAND I I I I I I I I »• I 1 I I 6 10 JAPAN 8 8 6 6 4 2 10 4 ' 1 1 1 1 1 1 1 1 1 1 I 1 1 » 1 NETHERLANDS 1 1 I 1 1 1 1 I 1 1 1 I 1 1 2 10 GERMANY 8 8 6 6 4 2 6 14 1 1 ' 1989 ' I 1 ' 1 I ' I 1991 I • • ' I ' • 1989 • I ' • • I I I 1991 I CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 2 0 0 f—— — 175 — NETHERLANDS ! 75 —UNITED STATES 150 150 125 125 100 100 200 400 350 — JAPAN 175 — GERMANY 300 150 250 125 100 200 150 100 200 200 175 „ 175 FRANCE SWITZERLAND 150 150 125 125 100 100 200 200 175 175 UNITED KINGDOM CANADA 150 150 125 125 100 100 1989 1991 1989 1991 SERIES Chart 1. 10-Api—91 1 7 - A p r - 9 1 2 4 - A p i — 9 1 l - M a y - 9 1 Spot 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, 2.8998 86.679 17.628 59.653 0.08034 0.73362 52.927 70.534 177.93 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 Swedish krona Swiss f r a n c U.K. pound U.S. d o l l a r 3 - M o n t h F o r w a r d Exchange R a t e s , 110 .33 86 .24 76 .92 161 .94 44 .74 189 .52 146 .69 219 .62 6 9 . .45 110 .27 86 . 4 8 76 . 7 5 161 . 7 8 44 . 6 9 190 . 3 3 146 . 5 5 219 .68 68 . 8 0 110 86 76 162 44 189 147 219 69 104.32 80.07 69.93 165.98 39.06 191.66 141.52 66.50 211.56 62.70 92.86 104.35 80.37 69.82 165.94 39.05 192.76 141.50 66.51 211.78 62.10 92.95 104 .55 80 .35 69 .83 166 .36 39 .06 191 .34 141 .77 66 . 6 1 211 .29 62 .42 92 .78 -3.33 -3.13 -3.01 -5.37 -1.78 -3.07 -2.34 -5.60 -3.29 -3.02 -2.93 -5.30 -1.73 -2.98 -2.25 -5.36 -3.05 -3.26 -3.11 -5.39 -1.86 -3.13 -2.53 -5.46 361.05 361.13 356.60 354.37 355 .68 5.90 6.03 9.85 9.16 8.81 8.19 8.88 7.88 12.30 5.69 5.98 9.75 9.01 8.77 8.10 8.71 7.88 11.81 5.92 5.98 9.38 9.29 8.80 8.16 8.64 7.88 11.64 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 Mar. 2.8072 86.873 17.058 57.707 0.07797 0.72315 51.207 68.222 171.12 Gold P r i c e i n 114 86 79 168 46 193 152 226 72 .47 .67 .68 .06 .25 .12 .22 .37 .21 .62 .59 .87 .33 .76 .34 .01 .48 .21 1973=100 105.74 78.42 70.81 168.60 39.45 190.53 143.50 66.67 212.90 63.73 90.05 Premium o r D i s c o u n t -3.34 -3.16 -2.96 -5.31 -1.67 -3.03 -2.28 -5.65 -3 -3 -3 -5 -1 -3 -2 -5 .12 .25 .11 .28 .82 .21 .56 .38 London, A f t e r n o o n F i x i n g d o l l a r s per f i n e ounce Chart 4. 2.7983 86.771 17.031 57.508 0.07785 0.72691 51.047 68.283 170.10 105.78 78.33 70.73 168.72 39.42 189.84 143.54 66.64 213.89 63.65 90.29 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 U.S. 2.7999 86.531 17.069 57.568 0.07793 0.72381 51.098 68.267 171.72 114 .27 86 . 3 9 79 . 4 4 167 . 8 1 46 . 1 1 192 . 0 9 151 . 9 4 226 . 9 2 7 1 .96 Weighted average exchange v a l u e i n d i c e s , Chart 3. 2.9050 86.955 17.682 59.744 0.08057 0.73756 53.024 70.364 178.53 M a r c h 1973 b a s e 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 yen Netherlands g u i l d e r Swiss f r a n c U.K. pound Chart 2. 8-May-91 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 deposits SERIES Chart 5. 1 0 - A p r - 9 1 17 - A p r - 9 1 2 4 - A p r - 9 1 1 - M a y - 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 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 6. Euro-Dollar 6 .07 9 .81 9 .29 9 .11 7 .92 9 .10 8 .20 12 .06 9 .66 5 .95 9 .64 9 .13 9 .05 7 .98 9 .08 8 .28 11 . 8 8 9 .59 6 .09 9 .60 9 .18 9 .07 7 .99 9 .09 8 .20 11 . 7 3 9 .58 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 6 .03 6 .05 6 .08 6 .13 6 .26 6 .69 5 .98 5 .91 5 .91 6 .01 6 .19 6 .63 5 .98 6 .04 6 .04 6 .13 6 .30 6 .74 5 .94 5 .94 5 .94 6 .04 6 .18 6 .61 5 .79 5 .83 5 .84 5 .93 6 .04 6 .48 Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 8 - M a y - 91 Selected Euro-dollar & U.S. Money M a r k e t R a t e s 6 .03 5 .90 0 .13 5 .98 5 .69 0 .29 5 .98 5 .92 0 .06 5 .94 5 .92 0 .02 5 .79 5 .79 0 .00 6 .13 6 .07 0 .06 6 .01 5 .95 0 .06 6 .13 6 .09 0 .04 6 .04 5 .98 0 .06 5 .93 5 .90 0 .02 6 .13 6 .24 - 0 .12 6 .01 6 .11 - 0 .10 6 .13 6 .21 - 0 .09 6 .04 6 .04 - 0 .00 5 .93 5 .95 - 0 .02 6 .07 6 .39 - 0 .32 5 .97 6 .23 - 0 .26 6 .09 6 .23 - 0 .14 6 .02 6 .31 - 0 .29 5 .91 6 .08 - 0 .17 Euro-dollar deposit I n t e r b a n k DM - X F . n a / i k ^ u r t ) , c o v e r e d Differential 6 .13 6 .08 0 .04 6 .01 5 .97 0 .04 6 .13 6 .07 0 .05 6 .04 5 .89 0 .15 5 .93 5 .84 0 .09 Euro-dollar deposit Swiss i n t e r b a n k , covered Jifferential 6 .13 5 .87 0 .25 6 .01 5 .88 0 .13 6 .13 5 .90 0 .22 6 .04 5 .73 0 .30 5 .93 5 .74 0 .19 9 .48 8 .83 8 .33 6 .65 6 .00 8 .52 10 . 1 3 7 .99 9 .65 8 .85 8 .41 6 .65 6 .00 8 .58 10 . 2 2 8 .09 9 .56 8 .88 8 .41 6 .66 6 .05 8 .60 10 . 2 2 8 .05 9 .54 8 .78 8 .38 6 .62 6 .07 8 .61 10 .19 8 .03 116 . 7 4 132 . 0 2 101 . 6 1 149 . 2 7 108 . 5 4 130 . 2 0 151 . 4 8 153 . 7 7 116 . 4 1 132 . 1 1 101 . 8 9 151 . 1 1 108 . 9 2 128 . 9 5 152 .26 152 . 9 3 115 .90 133 .96 101 .96 150 .25 109 .30 128 .86 153, 93 152. 27 Overnight E u r o - d o l l a r U.S. f e d e r a l f u n d s Differential deposits 3-month E u r o - d o l l a r d e p o s i t U.S. 90-day C D ' s , s e c o n d a r y market Differential Chart 8. Interest Arbitrage, :uro-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 p a p e r , Differential Thart 9. 3 - M o n t h Funds covered covered Long Term 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 Canada France Germany lapan Switzerland Netherlands U n i t e d Kingdom United States C h a r t 10. 9 .46 8 .92 8 .35 6 .61 6 .05 8 .57 10 .07 8 .02 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 116 134 99 150 105 128 154 150 .44 .86 .76 .10 .94 .76 .56 .28 118 133 102 153 108 128 155 156 .17 .80 .68 .41 .92 .98 .28 .74 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 , T o k y o 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 T i m e s O r d i n a r y , NYSE C o m p o s i t e 0 FEDERAL RESERVE statistical release H.10(512) May 1 3 , 1991 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING MAY 1 0 , 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 DOLLAR AUSTRIA SCHILLING BELGIUM FRANC CANADA DOLLAR CHINA,P.R. YUAN DENMARK KRONE •EURO COMMUNITY ECU FINLAND MARKKA FRANCE FRANC GERMANY D. MARK GREECE DRACHMA HONG KONG DOLLAR INDIA RUPEE "IRELAND POUND ITALY LIRA JAPAN YEN MALAYSIA RINGGIT NETHERLANDS GUILDER "NEW ZEALAND DOLLAR NORWAY KRONE PORTUGAL ESCUOO SINGAPORE DOLLAR SOUTH AFRICA RAND SOUTH KOREA WON SPAIN PESETA SRI LANKA RUPEE SWEDEN KRONA SWITZERLAND FRANC TAIWAN DOLLAR THAILAND BAHT "UNITED KINGDOM POUND MEMO i ""UNITED STATES DOLLAR May. 6 0. 7795 12.225 3 5 . 750 1 1515 5 .3201 6 .6400 1 .1833 4 .0340 5 .8810 1 .7383 189 . 3 5 7 .7940 20 .350 1 .5400 1285,.50 138 *.47 2..7580 1,.9588 0..5875 6..7665 149. 25 1. 7730 2. 8000 725. 80 107. 38 4 0 . 948 6. 1995 1 4702 27 300 N A. 1 .7050 .93.02 (CURRENCY UNITS PER DOLLAR) May. 7 May. 8 May. 9 0.7807 12.120 35.410 1.1508 5.3201 6.5635 1.1953 4.0100 5.8270 1.7210 187.95 7.7940 20.380 1.5545 1273.50 137.95 2.7560 1.9393 0.5876 6.6915 148.55 1.7660 2.7795 726.30 106.28 N.A. 6.1500 1.4590 27.310 25.680 1.7215 92.29 0.7838 12.185 35.660 1.1520 5.3201 6.6230 1.1897 4.0435 5.8650 1.7333 189.55 7.7916 20.350 1.5443 1282.50 138.35 2.7595 1.9533 0.5887 6.7400 150.05 1.7715 2.7900 727.00 107.13 40.938 6.1830 1.4650 27.360 25.650 1.7175 92.77 0 7830 12 250 3 5 . 810 1 1530 5 .3264 6 .6610 1 .1820 4 .0560 5 .8940 1 .7435 190 . 2 5 7 .7920 20 .460 1 .5375 1288 .00 139 .30 2 .7580 1,.9638 0..5899 6 ..7750 151,.55 1, 7720 2. 8025 727. 20 107. 48 4 0 . 948 6. 2000 1 4730 27 330 25 660 1 .7040 93.25 May. 10 0.7838 12.180 35.510 1.1514 5.3264 6.6000 1.1915 4.0320 5.8390 1.7270 189.15 7.7920 20.460 1.5490 1278.25 138.75 2.7600 1.9456 0.5892 6.7120 150.75 1.7710 2.7910 728.90 106.93 40.968 6.1700 1.4590 27.320 25.670 1.7190 92.56 "VALUE I S U . S . DOLLARS **INPfX 0F L I G H T E D AVERAGE EXCHANGE VALUE OF U . S . DOLLAR AGAINST CURRENCIES OF OTHER G-10 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 I S NOW AVAILABLE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL ( 2 0 2 ) 3 7 7 - 1 9 8 6 .
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