Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 26, 1990

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Selected Interest &
Exchange Rates
Weekly Series of Charts

November 26, 1990

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.
2.
3.
4.
5.
6.
7.

SPOT EXCHANGE RATE INDICES
3-MONTH FORWARD EXCHANGE RATES
GOLD PRICE—LONDON
CALL MONEY RATES
3-MONTH INTEREST RATES
EURO-DOLLAR DEPOSIT RATES
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
130
120
110

RATIO SCALE
MARCH 1973=100

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

140
130
120
110

BELGIAN FRANC

100

100

90

90

80

80

70
280
260 —
240
220

i

i

i

I

i

i

i

I

i

i

i

l

i

i

i

SWISS FRANC

•

i

i

—

I

i

i

'

I

'

'

i

I

i

i

i

JAPANESE YEN

70
280
260
240
220

200

200

180

180

160 —

160

140

140

•

120
100

i

i

90

I

i

•

'

l

i

i

i

I

i

i

'

'

'

•

« •

I

•

•

'

i

i

i

CANADIAN DOLLAR

—

U.K. POUND

l

i

120
100
90

80

80

70

70

60

60

I

50
200

I

180

I

I

I

I

I

I

I

I

I

I

I

I

'

•

'

'

l

i

'

'

I

i

'

'

i

'

•

GERMAN MARK

DUTCH GUILDER

50
200
180

160

160

140

140

120

120

100
120
110
100

I

I

'

I

I

I

'

I

'

'

I

I

I

I

I

I

I

I

I

'

•

'

I

•

I

'

I

'

•

—

ITALIAN LIRA

50

FRENCH FRANC

90

45

80

40

70

l

-A

J** y

35

60
50

100
60
55

30
I

Ii

i




i

i

i i
1988

i

•

i

i

i

i

i i
1990

1

1

1

l

» •
1988

1

I

1

•

» I

'

« i
1990

25

CHART 2

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

PERCENT PER ANNUM

4
CANADIAN DOLLAR

4

U.K. POUND

-i—i—i

1 1 L.... 1 1

i

GERMAN MARK

JAPANESE YEN

— 4

I
1 1 I

I

1 1 1 1 1 1 1 1 I

I

1

SWISS FRANC

1

1

1

1

1

1

1

1 1

1

1

1

1

i

1

1

I1 I I !

1

1

1

1

FRENCH FRANC

12

I

I

I

I




I

1

1

1

DUTCH GUILDER

\
1

1

VK

1

1

I

1

1

"

XV

w \

I

1

I

1

i

1

1 1
1988

1

1 1. 1 1 1 1 1
1990

I

i

1

i

i

i

ITALIAN LIRA

I
1988

•

I

•

•

•

I

'

•
1990

1

1

1

1

12

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. c )LLARS PER FINE OUNCE
520

U.S. DOLLARS PER FINE Ol

500

500

480

520

12.5 Kg BARS
AFTERNOON FIXING PRICE

480

460

460

440

440

420

420

400

400

380

380

360

360

340

340

320

320




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

4

•

0

i

I

i

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I

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I

i

i

i

•

i

i

I

i

i

'

I

i

i

i

I

i

i

i

16

0
16

12

12

CANADA
GERMANY

8

8

4

0

4

i

i

i

l

i

'

'

I

i

i

i

I

i

i

i

•

i

i

I

i

i

i

I

i

i

i

l

i

'

i

16

0
20

UNITED KINGDOM

SWITZERLAND
16

12

12

8
8
4
4

NETHERLANDS

0

i

i

i




l

i

i
1988

'

l

'

i

i

I

'

i
1990

'
1988

I

I

I
1990

I

0

CHARTS

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM

12

10
SWISS INTERBANK RATE

U.S. CD'S

WEIGHTED AVERAGE
FOREIGN RATE

U.K. INTERBANK STERLING

CANADIAN FINANCE CO.
PAPER

GERMAN INTERBANK RATE

FRENCH INTERBANK RATE

NETHERLANDS INTERBANK RATE

JAPANESE CD RATE

i

i

i




I

i

i i
1988

I

i

'

i

I
1990

1988

1990

CHART 6

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

PERCENT PER ANNUM

14

14

OVERNIGHT

12

3-MONTH

12

10

4
14

10

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

6-MONTH

7-DAY

12

i

12

10

4
14

4
14

10

I

1 I

I

» i

1 I

1 1 I

I

I

i

i

'

I

1-MONTH

12

i

i

i

l

i

'

i

l

i

• i

1-YEAR

4
14

12

10

10

I

I

I




I

I

I
1988

I

I

I

I

I

I

I

I
1990

i

i

i

I

i

i
1988

i

I

i

i

i

I

i

i
1990

i

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

10




12

OVERNIGHT

10

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

J

I

I

DASHED LINE

i

i

I

i

i

i

I

i

J—l—I—I—I—l—I

DIFFERENTIAL

J
1988

I

I

I

I

i

I

I

i

i

i

I

i

i

DIFFERENTIAL

i

i

i

I

J
1990

i

I

i

i
1988

'

1990

'

CHART 8

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

PERCENT PER ANN!

16

16

12

INTERBANK STERLING

12

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON

8

8

EURO-DOLLAR DEPOSITS

4

0

U.S. COMMERCIAL PAPER

'

i

» I

'

i

'

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

DIFFERENTIAL
+

0

2
16

DIFFERENTIAL
+

0

VVytfWV V

I

I

12

I

I

I

I

I

I

I

I

I

I

I

I

I

I

I

INTERBANK DM

I

I

I

I

I

I

I

I

I

I

I

I

I

8

8

EURO-DOLLAR DEPOSITS

4

EURO-DOLLAR DEPOSITS

DASHED LINE

i

i

i I i i

i I i

4

DASHED LINE

M

I i i i

i

'

i

I

i

'

'

I

'

'

i

I

'

'

i

2

0
2

DIFFERENTIAL

DIFFERENTIAL

+

+

0

2

2
16

12

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

0

0
2

2

0

I

I

I




I

I

I I
1988

I

I

I

I

I

I

I
1990

I

I

I

I

'

» I
1988

I

I

I

I

I

'

• I
1990

2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM

14

PERCENT PER ANNUM

14

|

UNITED STATES

CANADA

12

12

10

10

•

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

'

14
UNITED KINGDOM

i

6

14

FRANCE

12

12

10

10

6

i

i

i

I

i

i

i

l

i

'

i

I

i

i

i

•

i

i

I

< i

i

i

i

i

i

10

SWITZERLAND

2
10

•

i

i

I

i

JAPAN

i

i

I

'

i

i

I

i

i

i

NETHERLANDS

GERMANY

MONTHLY

•

i

i




I

i

i i
1988

I

i

'

i

I

i

' '
1990

1988

1990

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
175

NETHERLANDS

UNITED STATES

— GERMANY

JAPAN

FRANCE

SWITZERLAND

» I

I

I

I

I

I

I

I

I

I

I

I

UNITED KINGDOM

CANADA




•

1988

1990

1988

1990

SERIES
24-Qct-90 31-0ct-90 7-Nov-90
C h a r t 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 mark
Italian lira
Japanese yen
Netherlands g u i l d e r
Swiss f r a n c
U.K. pound
Indices,

March 1973 base r a t e s

3.2140
85.399
19.767
66.166
0.08833
0.79070
58.701
78.400
195.28

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

3.2731
85.666
20.067
67.481
0.08965
0.77094
59.824
80.029
196.47

3.2796
86.082
20.074
67.734
0.08993
0.77605
60.034
80.122
196.69

126.65
85.12
89.07
186.13
50.70
207.03
168.52
252.22
78.98

126.34
85.44
88.78
185.54
50.54
203.69
167.94
250.50
78.91

128.19
85.72
89.96
188.41
51.18
204.15
170.45
255.70
79.44

128.98
85.38
90.43
189.83
51.46
201.86
171.74
257.46
79.46

129.23
85.80
90.46
190.54
51.62
203.20
172.35
257.76
79.55

110 .47
71 .75
74 .84
177 .42
40 .73
187,.13
150, 01
67. 26
224. 19
6 5 . 43
8 2 . 22

110 .98
71 .30
75 . 1 3
178 .64
40 .89
184 . 4 1
150 .94
67. 32
225. 37
6 5 . 33
8 2 . 03

110 .92
71 .48
74 .95
178 .92
40 .92
185..27
151 ..11
67 . 28
225. 07
6 5 . 23
81 . 78

-2.90
-0.23
-0.47
-0.15
-5.50

- 4 .26
- 1 .95
- 0 .80
- 2 .83
- 0 .15
- 0 .65
- 0 .55
- 5 .36

- 4 .06
- 2 .02
- 0 .90
- 3 . 24
- 0 . 28
- 0 . 77
- 0 . 52
- 5 . 53

- 4 .03
- 1 .98
- 0 .96
- 4 , .21
- 0 .29
- 0 . .84
- 0 . 68
- 5 . 41

370.02

374.94

379.81

383.71

377.88

7.99
7.93
12.53
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
13.93

7.97
7.93
12.28
9.77
8.19
7.84
8.44
7.28
14.50

7.94
7.80
12.45
9.75
8.09
7.93
8.26
7.38
14.33

7 .80
7.83
12.43
9.31
8.05
7.93
8.26
7.38
14.14

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
W e i g h t e d a v e r a g e 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 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 2.

3 - M o n t h F o r w a r d Exchange R a t e s ,

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 3.
U.S.

Mar.
109.67
71.59
74.45
175.94
40.55
191.19
149.01
67.22
222.23
65.39
82.76

1973=100
109.77
72.15
74.45
175.96
40.56
188.44
148.99
67.15
221.42
65.56
83.11

Premium o r D i s c o u n t
-4.22
-1.79
-0.43

-2.86
-0.01

31
06
-5.49

-4.31
-1.95
-0.62

G o l d P r i c e i n London, A f t e r n o o n F i x i n g

d o l l a r s p e r f i n e ounce

C h a r t 4.

14-Nov-90 21-Nov-90

Spot Exchange R a t e s and I n d i c e s

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




SERIES
) c t -90 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, secondary 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
CG-10 C o u n t r i e s )
Chart 6.

Euro-Dollar

Selected Euro-dollar & I

Overnight Euro-dollar
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 CD's, s e c o n d a r y 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 l

covered

covered

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

7.93
8.00
8.04
8.09
8.09
8.09

7.88
7.86
7.88
7.95
7.95
7.96

7.95
12.53
9.88
8.68
8.26
8.58
8.25
13.58
10.03

7 .98
12 .40
9 .93
8 .72
8 .36
8 .69
8 .25
13 . 7 1
10 .10

7 .96
12 .30
9 .86
8 .81
8 .39
8 .79
8 .45
13 .63
10 .20

7
7
7
7
7
7

.93
.90
.91
.95
.94
.95

7
7
7
7
7
7

.80
.83
.85
.98
.90
.93

7
7
7
7
7
7

.83
.76
.83
.99
.86
.86

' Market Rates
7.93
7.99
-0.06

7.88
8.17
-0.29

7 ..93
7 ..97
- 0 . 04

7 .80
7 ,.94
- 0 ,.14

7 ..83
7 ..80
0..03

8.09
8.08
0.01

7.95
7.98
-0.03

7 ..95
7 ..95
- 0 . .00

7 ..98
7 ..98
0..00

7 ..99
7,.96
0. 03

8 .09
8 .15
- 0 .06

7.95
8.08
-0.13

7 .95
8 .03
- 0 .08

7 .98
7 .99
- 0 .02

7 .99
8 .03
- 0 .04

8 .04
8 .24
- 0 .20

7.89
8.14
-0.25

7 .85
8 .13
- 0 .28

7 .89
8 .22
- 0 .33

7 .86
8 .15
- 0 .28

8..09
8..05
0..04

7.95
7.89
0.06

7 ,.95
7 ,.86
0 ..09

7 .98
7 .81
0 .17

7 .99
7 .84
0 .15

8 . 09
7 . 96
0. 12

7.95
7.80
0.15

7 ,.95
7 ,.69
0..26

7 ..98
7 ..72
0 .25

7..99
7 ..75
0 .24

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.

7 .98
12 .59
9 .88
8 .52
8 .23
8 .35
7 .95
13 .77
9 .97

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

Chart 9.

8 .08
12 .60
9 .79
8 .49
8 .22
8 .38
7 .90
13 .83
9 .97

D e p o s i t Rates

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

14-Nov - 9 0 21-Nov - 9 0

Stock I n d i c e s

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

11 . 3 1
10 .85
9 .06
7 .78
6 .55
11 . 0 2
8 .65

11
10
9
7
6
10
8

.15
.76
.05
.69
.53
.94
.66

10
10
9
7
6
10
8

.93
.81
.06
.66
.52
.89
.55

104 .06
121 .95
97 .85
139 .25
94..01
118,.06
127. 15
125,.41

102
117
93
140
92
113
123
122

.68
.92
.11
.35
.55
.93
.58
.16

102
117
89
132
90
112
123
123

.35
.55
.58
.50
.65
.47
.42
.11

10
10
9
7
6
10
8

.70
.78
.09
,.69
.60
.93
.45

9
6
10
8

ND
ND
.05
ND
.55
.89
.32

(Wednesday f i g u
104 .23
116 .79
91,. 2 1
133 .86
90 . 1 1
113,.37
122,.83
128,.41

103 .41
117 .06
92 .98
127 .68
91 .03
111,.10
130,.03
126,.98

I n d i c e s ( i n o r d e r , r e b a s e d t o 1 9 8 6 = 1 0 0 ) 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




FEDERAL RESERVE statistical release
H.10(512)

November 2 6 , 1990

FOREIGN EXCHANGE RATES
FOR THE KEEK ENDING

NOVEMBER 2 3 , 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:
MONETARY
UNIT

Nov. 19

•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
HON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

0.7635
10.370
30.450
1.1631
5.2352
5.6625
1.3968
3.5480
4.9715
1.4749
151.55
7.7940
18.070
1.8190
1110.80
129.00
2.6930
1.6640
0.6095
5.7680
130.25
1.7095
2.5380
717.00
93.55
40.358
5.5385
1.2457
27.248
25.060
1.9707

0.7653
10.388
30.530
1.1600
5.2352
5.6680
1.3955
3.5620
4.9810
1.4770
151.56
7.7895
18.070
1.8122
1111.75
128.95
2.6900
1.6666
0.6118
5.7790
130.20
1.7095
2.5260
717.00
93.70
40.358
5.5465
1.2473
27.230
25.060
1.9698

0.7635
10.425
30.610
1.1592
5.2352
5.6892
1.3833
3.5640
5.0000
1.4817
151.35
7.7860
18.020
1.8050
1113.50
127.65
2.6810
1.6722
0.6125
5.7970
130.35
1.7140
2.5300
717.20
94.05
40.368
5.5550
1.2513
27.214
25.050
1.9685

MEMO:
^UNITED STATES

DOLLAR

81.71

81.77

81.82

COUNTRY

(CURRENCY UNITS PER DOLLAR)
Nov. 20
Nov. 21
Nov. 22

H
0
L
I
D
A
Y

Nov. 23
0.7658
10.450
30.710
1.1593
5.2352
5.6985
1.3898
3.5680
5.0095
1.4862
152.30
7.7960
18.050
1.7958
1115.25
127.35
2.6820
1.6765
0.6137
5.7975
130.75
1.7090
2.5010
717.40
94.10
40.348
5.5625
1.2585
27.182
25.020
1.9670
81.94

•VALUE I S U.S. DOLLARS
**IN0EX 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
NEIGHTED-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 ) 377-1986.