Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 18, 1991

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Selected Interest &
Exchange Rates
Weekly Series of Charts

November 18,1991
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 S<
MARCH 1972

RATIC SCALE
M A R C 1973=100

140
130

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

120

BELGIAN FRANC

110

100
90
80
70
280
260
240
220

'

'

'

-

I

i

« •

1

'

•

•

1

l

1

•

1

'

i

—

SWISS FRANC

I

i

1

1

i

« •

'

1

l

1

JAPANESE YEN

200

180
160
140

I

120

I

I

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i- i

100
90

-

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CANADIAN DOLLAR

U.K. POUND

80
70
60

•

50
200

'

i

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i

•

'

•

1

•

'

1

1

i

1

i

'

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i

GERMAN MARK

180 —

DUTCH GUILDER

160
140
120

•

100

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1

1

1

'

1

1

I

1

1

•

1

i

120
110

'

l

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i

ITALIAN LIRA
_

FRENCH FRANC

•

'

» 1 I




I
1989

I

I

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1 I

> I

'
1991

I

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1989

1991

CHART 2

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

PERCENT PER ANNUM

4

4

f

U.K. POUND

CANADIAN DOLLAR

12

i

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12
8

8
JAPANESE YEN

GERMAN MARK

— 4

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I

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I

I

I

I

I

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I

I

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I

I

I

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i

i

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ITALIAN LIRA

FRENCH FRANC

'

I

DUTCH GUILDER

SW SS FRANC

12

I

» •
1989

l

'

'

•

l

•

•
1991

•

i

i

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I

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1989

1991

12

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S.

520

OLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE O

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

320

J




1
1988

1

1

1

l
1989

l

I

i

i
1990

i

I

i

i
1991

•

CHART 4

CALL MONEY RATES
WEEKLY SERIES
CENT PER ANNUM

PERCENT PER AN

16

16

12

12

FRANCE

U.S. FEDERAL FUNDS

8

8
JAPAN

4

0

4

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0

16

16

12

12

GERMANY

8

CANADA

8

4

0

4

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16

0
16

UNITED KINGDOM

12

SWITZERLAND

12

8

8
NETHERLANDS

4

0

4

•

'

'




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1989

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1991

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l

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1989

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1991

'

0

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
=>ER ENT PER ANNUM
12

PERCENT PER AN

10

U.S. CD'S
10

8

8

6
SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

6

4

2

4

i

2
16

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I

0
16

14

14

12

12
CANADIAN FINANCE CO.
PAPER

U.K. INTERBANK STERLING

10

10

8

8

i

6

i

I

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i

i

I

i

i

i

I

i

'

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i

6
12

10
GERMAN INTERBANK RATE

8

10

6

8
FRENCH INTERBANK RATE

4
2
10

8

6

i

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I

< i

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8

JAPANESE CD RATE

6

6
NETHERLANDS INTERBANK RATE

4
2




4
10

l
1989

1991

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1989

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4

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1991

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2

CHART 6

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

PERCENT PER ANNUM

14

14

OVERNIGHT

3-MONTH

10

'

i

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•

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l

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I

7-DAY

12

'

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I

•

i

i

4
14

6-MONTH

12

10

4
14

10

I

I

I

!

!

!

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I

1-MONTH

12

i

'

i

l

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1-YEAR

4
14

12

10

10

•

i

i




I

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1989

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1991

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1989

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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

3-MONTH

EURO-DOLLAR DEPOSITS

EURO DOLLAR DEPOSITS

10

10

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

J—I

I

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I

DASHED LINE

I

I

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I

I

i

I

i

J

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2
2

DIFFERENTIAL

I

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J

...
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1989

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^ v r
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DIFFERENTIAL

Mm A AA.ju

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1991

Ai

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•rn.

J—I—I—I
1989

I

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1991

CHART 8

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

PERCENT PER ANNl

16

16

INTERBANK STERLING
12

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON

12

8

8
EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

DASHED LINE

4

0

4

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2
DIFFERENTIAL

DIFFERENTIAL

+

0 ^UyAAA'1" V

2

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ymm

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I

I

+

Wu

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0

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I

I

I

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I

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I

I

I

I

I

I

I

16

INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

12

8

8
EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

4

4

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2

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0
2

DIFFERENTIAL

DIFFERENTIAL
+

+

0

2

2
16

12

0

0
2

0

I

I




I

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1989

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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 ANN!

RCENT PER ANNUM

14

14
CANADA

UNITED STATES
12

12

10

10

8

6
14

8

I

i

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I

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i

UNITED KINGDOM

i

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I

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I

'

< i

l

» i

'

6
14

FRANCE

12

12

10

10

8

6
10

8

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I

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'

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'

J_L

I

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6
10

SWITZERLAND

JAPAN

8

8

6

6

4

4

2
10

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I

< I

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I

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NETHERLANDS

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» i

l

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2
10

GERMANY

8

8

6

6

4

4

2

i

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i




I

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1989

i

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1991

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1989

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» •

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1991

I

2

CHART 10

STOCK INDICES
WEEKLY SERIES
RATI - SCALE
1986 100

RATIOS
198'

200
UNITED STATES

175

— NETHERLANDS

150
125

100
75

i

50
400

i

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I

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i

'

l

i

I

I

I

i

i I i

i i

JAPAN

350
300
250
200
150

100
200
175

SWITZERLAND

FRANCE

150
125

100
75

50
200
175

i

'

i

I

i

i

i

l

'

'

i

l

i

i

.CANADA

UNITED KINGDOM

150
125

100
75

50

i

1

1




l

1

1

1

1989

I

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1

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1991

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1989

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1991

'

SERIES
Chart 1.

16-0ct-91 23-0ct-91 30-0ct-91 6-Nov-91

13~Nov-91

Spot Exchange Rates and Indices

Noon buying rates (U.S. cents, weekly averages)
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound
Indices, March 1973 base rates
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

2.8576
88.488
17.267
58.819
0.07866
0.76876
52.190
67.267
171.15

2.8632
88.682
17.290
58.953
0.07881
0.76563
52.306
67.436
171.48

2.8656
88.960
17.294
59.009
0.07894
0.76144
52.364
67.383
171.84

2.9453
89.141
17.744
60.644
0.08094
0.76984
53.813
68.867
176.27

2.9652
88.681
17.872
61.077
0.08117
0.76955
54.180
69.032
177.27

112 .60
88 .19
77 .81
165 .46
45 .15
201 .29
149 .83
216 ,41
69 .22

112 .83
88 .39
77 .91
165 .84
45 .24
200 .47
150 .16
216 .95
69 .36

112 .92
88 .67
77 .93
166 .00
45 .31
199 .37
150 .32
216 ,78
69,.50

116 .06
88 .85
79 .96
170 .60
46 .46
201 .57
154 .49
221 .55
71,.29

116 .84
88 .39
80 .54
171 .82
46 .59
201 .49
155 .54
222 .09
71 .70

105 .08
81 .05
69 .68
167 .67
38 .91
199 .17
142 .76
65 .68
205 .26
61 .63
90 .94

106 .22
79 .73
70 .33
169 .70
39 .24
197 .78
144 .31
66 .27
206 .22
62 .19
88 .97

106 .60
79 .01
70 .65
170 .49
39,.23
196..97
144 .86
66..42
206..04
62..36
88..60

-2 .54
-4 .16
-4 .37
-5 .89
-1 .02
-4 .36
-3 .15
-5 .17

-2 .62
-4 .33
-4 .35
-6 .15
,
-1 .08
-4..38
-3..02
-5..19

100

Weighted average exchange value 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.

-2.83
-3.97
-3.98
-5.82
-1.12
-3.94
-2.99
-4.89

-2 .71
-3 .79
-3 .95
-5 .76
-0 .85
-3 .92
-2 .96
-4 .88

-2 .54
-3 .78
-4 . 08
-5 .65
-0 .87
-4 .04
-3 .05
-5 .02

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

105 .02
80 .80
69 .68
167 .53
38 .86
200 .46
142 .64
65 .58
205 .48
61 .51
90 .97

3-MRO.th £o.rward -Exchange Rates, Premium or Discount

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

104.91
80.69
69.65
167.26
38.82
201.59
142.44
65.48
205.15
61.44
91.08

357.97

361 .25

359 .65

356 .52

354..72

5.28
5.28
8.47
8.93
9.09
6.86
8.99
7.38
10.63

5 .24
5 .20
8 .35
8 .86
9 .06
6 .71
8 .79
7 .78
10 .51

5 .10
5 .18
8 .25
8 .78
8 .71
6 .78
9 .02
7 .38
10 .39

5 .05
4 .86
8 .70
8 .99
8 .73
6 .55
9 .05
7 .18
10 .44

4..74
4..79
8..66
9..51
8..99
6..42
9..01
6..88
10 .33

Call Money Rates

U.S. federal funds
Overnight Euro-dollar deposits
Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom




SERIES
Chart 5.

16-Qct-91 23-0ct-91 30-0ct-91 6-Nov-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-10 Countries)
Chart 6.

5. 30
8. 40
9. 24
9. 27
6. 56
9. 24
8. 00
10. 40
9. 06

5.34
8.26
9.09
9.29
6.37
9.27
8.13
10.41
9.00

5. 30
8. 12
9. 06
9. 33
6. 28
9. 30
8. 23
10. 48
8. 98

5. 05
7. 91
9. 18
9. 35
6. 22
9. 33
8. 13
10. 39
8. 96

4.96
7.76
9.23
9.31
6.23
9.30
7.85
10.36
8.95

5. 28
5. 19
5. 19
5. 33
5. 33
5. 50

5.20
5.21
5.23
5.34
5.34
5.51

5. 18
5. 25
5. 21
5. 35
5. 31
5. 49

4. 86
5. 00
4. 98
5. 09
5. 06
5. 21

4.79
4.80
4.83
4.95
4.95
5.11

Euro-Dollar Deposit Rates

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

13-Nov-91

Selected Euro-dollar & U.S.

' Market Rates
5. 28
5. 28
-0. 01

5.20
5.24
-0.04

5. 18
5. 10
0. 08

4. 86
5. 05
-0. 19

4.79
4.74
0.05

5. 33
5. 30
0. 03

5.34
5.34
-0.00

5. 35
5. 30
0. 05

5. 09
5. 05
0. 04

4.95
4.96
-0.00

Euro-dollar deposit
Interbank sterling (London), covered
Differential

5. 33
5. 39
-0. 06

5.34
5.40
-0.06

5. 35
5. 32
0. 03

5. 09
5. 08
0. 00

4.95
5.04
-0.09

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

5. 33
5. 51
-0, 18

5.34
5.50
-0.16

5. 33
5. 53
-0. 20

5. 08
5. 32
-0. 24

4.97
5.09
-0.12

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

5. 33
5..19
0 .13

5.34
5.25
0.09

5. 35
5. 15
0. 20

5. 09
4. 88
0. 21

4.95
4.86
0.09

Euro-dollar deposit
Swiss interbank, covered
Differential

5 .33
4 ,96
0 .37

5.34
5.11
0.23

5. 35
5 .12
0 .23

5. 09
4. 91
0. 18

4.95
4.77
0.18

9 .07
8 .77
8 .23
6 .03
6 .32
8 .69
9 .74
7 .50

9.06
8.76
8.26
5.89
6.39
8.72
9.82
7.61

8 .96
8 .82
8 .34
5 .95
6 .71
8 .78
9 .75
7 .59

8 .71
8 .81
8 .36
5 .98
6 .79
8 .79
9 .74
7 .50

8.55
8.76
8.25
5.97
6.73
8.72
9.64
7.41

115,.40
135,.59
97 .26
139 .89
107 .24
132 .43
153 .65
158 .83

115 .28
134 .55
98 .05
141 .94
107 .13
134 .08
152 .54
157 .18

116 .56
135 .99
98 ,31
141 .99
106 .59
133 .13
153 .51
159 .14

117 .67
135 .60
97 .48
141 .02
105 .61
132 .16
151 .26
158 .27

119 .87
137 .08
99 .57
138 .95
108 .05
134 .45
.78
151 ,
161 .27

Overnight Euro-dollar deposits
U.S. federal funds
Differential
3-month Euro-dollar deposit
U.S. 90-day CD's, secondary market
Differential
Chart 8.

Chart 9.

Interest Arbitrage, 3-Month Funds

10-year maturity, where available

>nd Yields

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

Stock Indices (Wednesday figures)

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

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)

November 18, 1991

FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING

NOVEMBER 15, 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
KPONA
FRANC
DOLLAR
BAHT
POUND

MEMO:
••UNITED STATES

DOLLAR

Nov. 11

H
0
L
I
D
A

Y

(CURRENCY UNITS PER 1
DOLLAR)
Nov. 12
Nov. 13
Nov. 14

Nov. 15

0.7868
11.527
33.710
1.1316
N. A.
6.3530
1.2487
4.0075
5.5900
1.6365
185.25
7.7625
25.800
1.6320
1232.75
129.65
2.7430
1.8447
0.5626
63.4165
141.35
1.6790
2.8050
756.60
103.03
42.358
5.9810
1.4515
N. A.
25.520
1.7725

0.7860
11.520
33.760
1.1318
N. A.
6.3685
1.2477
4.0055
5.6010
1.6391
185.45
7.7630
25.800
1.6305
1233.50
130.12
2.7415
1.8475
0.5608
6.4270
141.75
1.6780
2.8000
756.70
103.28
N. A.
5.9860
1.4530
26.024
25.510
1.7707

0.7863
11.475
33.620
1.1321
5.4002
6.3360
1.2530
4.3050
5.5750
1.6308
184.65
7.7600
25.800
1.6385
1228.50
129.87
2.7395
1.8382
0.5618
6.4015
141.05
1.6750
2.7900
755.80
102.58
42.378
5.9650
1.4475
25.900
25.500
1.7750

0.7851
11.530
33.740
1.1307
5.3976
6.3650
1.2467
4.4050
5.6000
1.6380
185.65
7.7600
25.800
1.6310
1235.50
130.05
2.7415
1.8461
0.5611
6.4330
143.05
1.6740
2.7980
756.40
103.18
N. A.
5.9930
1.4530
25.920
25.500
1.7690

88.59

88.73

88.42

88.72

•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 AVAILABLE ONLINE THROUGH THE FACILITIES OF THE DEPARTMENT OF COMMERCE'S
ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL (202) 377-1986.
FOR INFORMATION ABOUT YOUR SUBSCRIPTION TO THIS RELEASE OR ABOUT RECEIVING IT IN DOCUMENT
FORM, PLEASE CALL PUBLICATIONS SERVICES AT THE FEDERAL RESERVE BOARD AT (202) 452-3244.