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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts November 13,1990 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 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 INDIES 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 $.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 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 FOREIGN CURRENCY 130 PRICE OF U.S. DOLLAR 120 110 RATIO SCALE MARCH 1973=100 140 130 BELGIAN FRANC — 120 110 100 100 90 90 80 80 i 70 i 280 260 — l i i i I i i i l i I i I I I I I I I I I I I I I 70 280 260 JAPANESE YEN — SWISS FRANC I 240 240 220 220 200 200 180 180 160 160 140 140 i 120 100 i i 90 l 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 120 100 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 200 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 I _L_L 100 120 i ' I I I l l I I I I • ' I ' I » I I I I I I 100 60 110 55 ITALIAN LIRA 100 90 • „ 50 FRENCH FRANC 45 80 40 70 35 60 30 50 • i i I i ' 1988 ' I • i i l i i 1990 i I I I I I I 1988 I I I I I I I I 1990 I 25 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 4 PERCENT PER ANNUM 4 e CANADIAN DOLLAR U.K. POUND GERMAN MARK JAPANESE YEN SWISS FRANC DUTCH GUILDER J\j — — \ / \ . y V i i i I i i i I i i i l i i i i i i 1 i i i - 1 / X i ' \ v Z V A i i 1 i i 1 1 1 1 1 " "XV •' w s i 1 i 1 1 1 i i ITALIAN LIRA FRENCH FRANC 12 i V i 1988 i 1 i i 1 1 1 1 1990 1 1 1 1 1 1 1988 1 1 1990 12 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE 520 U.S. DOLLARS PER FINE OUNCE 520 — 500 — 480 460 — — 460 440 — 440 500 — 12.5 Kg BARS AFTERNOON FIXING PRICE 480 — 420 420 — 400 — 1 —— 400 380 — — 360 360 — — 340 — 320 380 1987 1988 1989 1990 340 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 16 16 12 12 FRANCE U.S. FEDERAL FUNDS JAPAN i i i I i i i l i i i l i i i • i i l • 1 1 < l 1 1 I » i i 0 16 16 12 12 CANADA GERMANY 1 1 l i i i I i i i I i i I ' i i l i « i 1 i i SWITZERLAND UNITED KINGDOM • NETHERLANDS 1988 1990 1988 1990 i CHARTS 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANIS ENT PER ANNUM 12 SWISS INTERBANK RATE — 10 U.S. CD'S 8 6 WEIGHTED AVERAGE FOREIGN RATE 4 ' 2 16 14 ' I i i i I i i i I i i i i U.K. INTERBANK STERLING — i I i i i I i i i I i i i » I I I I I i I ' CANADIAN FINANCE CO. PAPER 12 10 8 6 10 ' ' ' » I I I I I I I I I I I I i I » I ' I FRENCH INTERBANK RATE GERMAN INTERBANK RATE 8 I 6 4 I 2 10 ' I ' I I I » I I I I I NETHERLANDS INTERBANK RATE 8 JAPANESE CD RATE 6 4 2 i i i I i i 1988 i I i i i I i i 1990 i « i i I i ' 1988 • I • • i 1990 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANI DENT PER ANNUM 14 14 3-MONTH OVERNIGHT 12 12 10 10 8 8 6 6 i 4 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 i i 6-MONTH 7-DAY 12 i 4 14 12 10 10 8 8 6 6 4 14 i i i I i i i I i i i I i i M i i l 1-MONTH 12 i « i l i i i l i i 1-YEAR i 4 14 12 10 10 8 8 6 6 4 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 4 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 10 10 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO DOLLAR DEPOSITS 90-DAY CD'S FEDERAL FUNDS DASHED LINE DASHED LINE J I I I I I I I I I I I I L i i DIFFERENTIAL i I i I I I I I I I I J I I I I L DIFFERENTIAL 1 i i i l i i 1988 i l i i i l i i i 1990 J I I I L 1988 I 1990 L CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNU ICENT PER ANNUM 16 16 12 12 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON 8 8 EURO-DOLLAR DEPOSITS 4 0 i i i I i » i I i i U.S. COMMERCIAL PAPER — DASHED LINE i I i • i 4 DASHED LINE I I I I I I I I I I I I I 0 2 2 1 + 0 2 16 I + 0 1 I 12 DIFFERENTIAL DIFFERENTIAL I I I I I I I I I 1 I I I I INTERBANK DM I I I I I I I I I I I I I 12 SWISS INTERBANK (SF) COVERED COVERED FRANKFURT 8 8 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 4 0 I I I I » 1 « I I I 4 DASHED LINE DASHED LINE 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 2 2 16 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 I 2 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 14 14 f CANADA UNITED STATES 12 12 10 10 ' 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 i i 14 14 FRANCE UNITED KINGDOM 12 12 10 10 »• 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 i I » i ' I i » i I i i 6 10 10 JAPAN SWITZERLAND i i i I i i i I i i i l i i • i i » 10 10 GERMANY NETHERLANDS MONTHLY I l I I I I I 1988 I I l I I I I I 1990 i i i I i » i 1988 I i i i I i i » 1990 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 200 UNITED STATES NETHERLANDS JAPAN GERMANY SWITZERLAND FRANCE I 1 I I I 1 I I I I • I I I I I I I I 1 I I I UNITED KINGDOM CANADA 1 I 1988 1990 I I I I 1988 1990 10-0ct-90 C h a r t 1. S p o t Exchange R a t e s a n d I n d i c e s Noon b u y i n g r a t e s ( U . S . cents, weekly averages) 3.1674 86.874 19.462 65.198 0.08697 0.75970 57.825 78.073 194.90 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, 124.81 86.59 87.70 183.41 49.92 198.91 166.00 251.17 78.83 Weighted average exchange v a l u e i n d i c e s , 3 - M o n t h F o r w a r d Exchange R a t e s , Gold P r i c e i n 3.2062 85.727 19.701 65.954 0.08806 0.77795 58.501 77.864 195.09 3.2531 86.010 19.963 66.975 0.08916 0.77971 59.375 79.482 196.40 126 85 89 186 50 207 168 252 78 .65 .12 .07 .13 .70 .03 .52 .22 .98 126 85 88 185 50 203 167 250 78 ,.34 .44 .78 .54 .54 .69 ..94 .50 .91 128 . 1 9 85 . 7 2 89 .96 188 . 4 1 51 .18 204 . 1 5 170 .45 255 .70 79 . 4 4 109 71 74 175 40 191 149 67 222 65 82 .67 .59 .45 .94 .55 .19 .01 .22 .23 .39 .76 109 72 74 175 40 188 148 67 221 65 83 .77 .15 .45 .96 .56 .44 .99 .15 .42 .56 .11 110 .47 71 . 7 5 74 . 8 4 177 .42 40 . 7 3 187 . 1 3 150 . 0 1 67 .26 224 .19 65 . 4 3 82 .22 - 4 .12 - 1 , .75 - 0 .42 - 2 .72 - 0 ,01 - 0 .34 0 .17 - 5 .32 - 4 .22 - 1 .79 - 0 .43 - 2 .86 -0 .01 -0 .31 0 .06 - 5 .49 -4 -1 -0 -2 -0 -0 -0 -5 .31 .95 .62 .90 .23 .47 .15 .50 377 .54 37 0 . 0 2 374 . 9 4 379 . 8 1 .96 .96 .35 .50 .04 .58 .86 .88 .89 7 .99 7 .93 12 . 5 3 9 .61 8 .01 7 .74 7 .64 6 .88 13 .96 8 .17 7 .88 12 .08 9 .80 7 .99 7 .82 7 .97 6 .88 13 . 9 3 7 .97 7 .93 12 .28 9 .77 8 .19 7 .84 8 .44 7 .28 14 .50 125 86 88 185 50 204 167 250 79 .88 .35 .51 .09 .42 .82 .56 .93 .38 1973-100 109..27 72, 92 74..14 175. 32 40..41 189..45 148.. 5 1 67..02 221..65 65 .94 83 .03 -4 -1 -0 -2 -0 -0 -0 -5 .28 .94 .81 .85 .15 .65 .54 .35 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. 3.2140 85.399 19.767 66.166 0.08833 0.79070 58.701 78.400 195.28 Premium o r D i s c o u n t -4.27 -1.86 -0.40 -2.35 -0.02 - 0 .44 0.21 -5.85 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. Mar. 109.19 73.76 74.03 175.05 40.33 184.97 148.29 67.29 223.68 66.00 83.87 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 k r o n a Swiss f r a n c U . K . pound U.S. d o l l a r Chart 3. 3.1945 86.641 19.641 65.798 0.08783 0.78226 58.366 77.999 196.25 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 yen Netherlands g u i l d e r Swiss f r a n c U . K . pound Chart 2. 17-0ct~90 24-Qct-90 3 1 - 0 c t - 9 0 7-Nov-90 394.19 C a l l Money R a t e s U.S. f e d e r a l funds Overnight Euro-dollar Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom deposits 8.20 8.16 12.59 9.53 8.03 7.52 8.06 6.88 14.23 7 7 12 9 8 7 7 6 13 SERIES l e t - 9 0 1 7 - 0 c t - 90 2 4 - Q c t - 9 0 3 1 - 0 c t -90 7 - N o v - 9 0 Chart 5. 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. Euro-Dollar 8 .06 12 . 5 9 9 .99 8 .51 8 .28 8 .41 7 .78 14 . 1 9 9 .99 8. 12. 9. 8. 8. 8. 7. 13. 9. 12 54 88 53 26 41 85 74 96 16 14 09 09 06 10 7. 8. 8. 8. 8. 8. 96 03 08 13 13 14 8. 8. 8. 8. 8. 8. Selected Euro-dollar & U 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 Interest Arbitrage, U.S. commercial paper Canadian f i n a n c e p a p e r , Differential 7 . 88 7 . 86 7 . 88 7 . 95 7 . 95 7 . 96 7 . 93 7 . 90 7 . 91 7 . 95 7 . 94 7 . 95 7 . 96 7 . 96 0 . 00 7 . 93 7 . 99 - 0 . 06 7 . 88 8 . 17 - 0 . 29 7 . 93 7 . 97 - 0 . 04 8 . 09 8 , 06 0. 03 8 . 13 8 . 12 0. 01 8 . 09 8 . 08 0. 01 7 . 95 7 ..98 - 0 . .03 7 . 95 7 . 95 - 0 . .00 8 .09 8 .14 - 0 .05 8 .13 8 .24 - 0 .11 8 .09 8 .15 - 0 .06 7 .95 8 .08 - 0 .13 7 .95 8 .04 - 0 .09 7 .97 8 .18 -0 .21 8 .02 8 .30 - 0 .27 8 .04 8 .24 - 0 .20 7 .89 8 .14 - 0 .25 7 .85 8 .11 - 0 .26 8 .09 8 .10 - 0 .02 8 .13 8 .10 0 .02 8 .09 8 .05 0 .04 7 .95 7 .89 0 .06 7 .95 7 .85 0 .10 8 .09 7 .99 0 .10 8 .13 8 .02 0 .10 8 .09 7 .96 0 .12 7 .95 7 .80 0 .15 7 .95 7 .70 0 .25 11. 49 11. 02 9..16 8 .16 6 .54 10 .90 8 .76 11 .37 11 . 0 4 9 .16 7 .90 6 .61 10 .98 8 .82 103.84 116.15 90.14 130.72 92.60 112.94 126.21 121.27 100.77 118.74 92.49 132.58 92.27 113.93 124.20 120.26 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 G o v e r n m e n t Bond Y i e l d s Canada France Germany Japan Switzerland U n i t e d Kingdom United States C h a r t 10. 93 00 04 09 09 09 7. 8. 8. 8. 8. 8. 8 . 16 8 . 20 - 0 . 04 deposits Euro-dollar deposit Interbank s t e r l i n g (London), Differential Chart 9. 7.95 12.53 9.88 8.68 8.26 8.58 8.25 13.58 10.03 Money M a r k e t R a t e s 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 8. 7 .98 12 .59 9 .88 8 .52 8 .23 8 .35 7 .95 13 .77 9 .97 D e p o s i t Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 8.08 12.60 9.79 8.49 8.22 8.38 7.90 13.83 9.97 Stock I n d i c e s Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom United States 10 9 7 6 11 8 ND .85 .06 ,.78 .55 .02 .65 ND .76 .05 .69 .53 .94 .66 ND ND 9 . 06 ND 6 .52 10 .89 8 .54 102.68 117.92 93.11 140.35 92.55 113.93 123.58 122.16 102.35 117.55 89.58 132.50 90.65 112.47 123.42 123.11 10 9 7 6 10 8 (Wednesday f i g u r e s ) 104.06 121.95 97.85 139.25 94.01 118.06 127.15 125.41 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 FEDERAL RESERVE statistical release H.10(512) November 9> 1990 FOREIGN EXCHANGE RATES FOR THE WEEK ENDING NOVEMBER 9, 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 •EURO COMMUNITY FINLAND FRANCE GERMANY GREECE HONG KONG INDIA •IRELAND 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 MEMO: HKJNITED STATES DOLLAR Nov. 5 (CURRENCY UNITS PER DOLLAR) Nov. 6 Nov. 7 Nov. 8 Nov. 9 0.7820 10.473 30.610 1.1587 4.7339 5.6925 1.3895 3.5515 4.9875 1.4870 151.90 7.7980 18.100 1.8005 1117.50 126.80 2.7015 1.6772 0.6145 5.8100 131.10 1.7005 2.5285 717.40 93.55 40.378 5.5525 1.2505 27.263 25.100 1.9695 0.7870 10.450 30.610 1.1611 4.7339 5.6800 1.3900 3.5580 4.9870 1.4870 151.85 7.7965 18.100 1.8025 1117.00 127.30 2.7010 1.6770 0.6145 5.7880 130.55 1.7050 2.5250 718.20 93.30 40.368 5.5440 1.2500 27.260 25.010 1.9730 0.7785 10.440 30.520 1.1628 4.7339 5.6675 1.3950 3.5460 4.9710 1.4815 151.60 7.7975 18.090 1.8062 1114.00 128.15 2.7010 1.6716 0.6135 5.7730 130.65 1.7025 2.5200 718.30 93.18 40.378 5.5345 1.2440 27.267 25.060 1.9760 0.7781 10.456 30.660 1.1690 4.7339 5.6980 1.3888 3.5620 4.9970 1.4882 152.05 7.7985 18.130 1.8020 1119.50 129.90 2.7020 1.6786 0.6120 5.8120 130.95 1.7085 2.5300 718.30 93.53 40.368 5.5635 1.2485 27.265 25.080 1.9670 0.7794 10.465 30.650 1.1700 4.7339 5.7000 1.3872 3.5560 4.9970 1.4880 152.40 7.7990 18.130 1.8015 1120.00 129.73 2.7005 1.6783 0.6105 5.8100 131.15 1.7120 2.5255 718.10 93.73 40.358 5.5670 1.2500 27.265 25.130 1.9665 81.81 81.84 81.74 82.22 82.22 "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 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.
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