Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 4, 1991

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Selected Interest &
Exchange Rates
Weekly Series of Charts

November 4,1991
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:
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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

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CANADIAN DOLLAR

U.K. POUND

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JAPANESE YEN

SWISS FRANC

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GERMAN MARK

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DUTCH GUILDER

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ITALIAN LIRA
FRENCH FRANC

—

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1989

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1991

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1991

CHART 2

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

4

PERCENT PER ANNUM

4

|

CANADIAN DOLLAR

U.K. POUND

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GERMAN MARK

SWISS FRANC

DUTCH GUILDER

FRENCH FRANC

ITALIAN LIRA

—

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1991

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CHART 3

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

520

OLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE Oi

500

12.5 Kg BARS
AFTERNOON FIXING PRICE

480

460

440

420

400

380

360

340

320




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1988

1

1

1

1
1989

1

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1990

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1991

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
16

16

12

FRANCE

U.S. FEDERAL FUNDS

12

JAPAN

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GERMANY

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CANADA

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UNITED KINGDOM

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SWITZERLAND

NETHERLANDS

1989

1991

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
16
14
12

U.K. INTERBANK STERLING

CANADIAN FINANCE CO
PAPER

10
8
6
10
GERMAN INTERBANK RATE
8

6
FRENCH INTERBANK RATE

4
2
10
8 —

JAPANESE CD RATE

6
NETHERLANDS INTERBANK RATE

4
2

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CHART 6

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

14

12

OVERNIGHT

3-MONTH

7-DAY

6-MONTH

1-MONTH

1-YEAR

10

8

6

4
14

12

10

8

6

4
14

12

10

8

6

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

OVERNIGHT
3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

10

10

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

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DASHED LINE

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DIFFERENTIAL

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MA I k AA.I.
*t

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DIFFERENTIAL

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1991

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CHART 8

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

PERCENT PER ANNUM

16

16

INTERBANK STERLING

12

COVERED LONDON

CANADIAN FINANCE
CO. PAPER, COVERED

—

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

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DASHED LINE

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DIFFERENTIAL

DIFFERENTIAL

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INTERBANK DM

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COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

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DASHED LINE

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CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
SCENT PER ANNUM

PERCENT PER ANNl

14

14

UNITED STATES

CANADA

12

12

10

10

8

6
14

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FRANCE

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SWITZERLAND

JAPAN

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CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
NETHERLANDS

— UNITED STATES

JAPAN

GERMANY

SWITZERLAND

FRANCE

CANADA

UNITED KINGDOM




1989

1991

1989

1991

SERIES
Chart 1.

2-0ct-91

9-0ct-91

16-0ct-91 23-0ct-91 30-0ct-91

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 . c e n t s , w e e k l y a v e r a g e s )
Belgian franc
Canadian d o l l a r
French f r a n c
German mark
Italian lira
Japanese y e n
Netherlands g u i l d e r
Swiss f r a n c
U . K . pound

2.9059
88.280
17.575
59.875
0.08005
0.75098
53.115
68.682
174.42

2.8853
88.493
17.456
59.438
0.07955
0.76871
52.741
67.886
173.09

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

114 . 5 1
87 .99
79 .20
168 .43
45 .95
196 .63
152 .48
220 .96
70 .55

113 .69
88 .20
78 .66
167 .20
45 .66
201 .27
151 . 4 1
218 .40
70 . 0 1

112 .60
88 .19
77 . 8 1
165 .46
45 .15
201 .29
149 .83
216 . 4 1
69 . 2 2

112 .83
88 .39
77 . 9 1
165 .84
45 .24
200 .47
150 .16
216 .95
69 .36

112 .92
88 .67
77 .93
166 .00
45 . 3 1
199 .37
150 .32
216 .78
69 .50

104.91
80.69
69.65
167.26
38.82
201.59
142.44
65.48
205.15
61.44
91.08

105.02
80.80
69.68
167.53
38.86
200.46
142.64
65.58
205.48
61.51
90.97

105.08
81.05
69.68
167.67
38.91
199.17
142.76
65.68
205.26
61.63
90.94

-2.83
-4.03
-3.96
-5.82
-1.10
-3.88
-2.83
-4.79

-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
-2.46
-4.88

-2.54
-3.78
-4.08
-5.65
-0.87
-4.04
-3.05
-5.02

353.04

357.61

357.97

361.25

359.65

5.33
5.46
8.80
9.27
9.11
6.84
9.05
7.38
10.65

5.19
5.23
9.08
9.14
9.09
6.88
8.94
7.40
10.45

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

5.17
5.18
8.25
8.78
8.71
6.78
9.02
7.38
10.39

I n d i c e s , March 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

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 , Mar. 1973=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
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 Rate

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.

105.26
80.13
69.99
168.07
39.02
200.12
143.06
65.77
205.72
61.77
90.34

Premium o r D i s c o u n t
-2.93
-3.96
-3.82
-5.79
-0.96
-3.79
-2.71
-4.60

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

U.S. d o l l a r s p e r f i n e ounce
Chart 4.

105.86
79.77
70.39
169.19
39.21
194.58
143.88
66.06
207.83
62.17
90.14

C a l l Money Rates

U.S. f e d e r a 1 f u n d s
Overnight E u r o - d o l l a r deposits
Canada
France
Germany
Japan
Netherlands
Switzerland
U n i t e d Kingdom




SERIES
Chart 5.

2-0ct-91

5.46
8.47
9.38
9.22
6.39
9.22
7.93
10.23
9.02

5.34
8.40
9.35
9.25
6.51
9.25
8.03
10.28
9.04

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

5.46
5.35
5.35
5.50
5.53
5.66

5.23
5.23
5.20
5.34
5.34
5.48

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

E u r o - D o l l a r D e p o s i t Rates

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

16-0ct-91 23-0ct-91 30-0ct-91

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
Japanese 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
(G-10 C o u n t r i e s )
Chart 6.

9-0ct-91

S e l e c t e d E u r o - d o l l a r & U.S. Money M a r k e t Rates

Overnight Euro-dollar deposits
U.S. f e d e r a l funds
Differential

5.46
5.33
0.13

5.23
5.19
0.03

5.28
5.28
-0.01

5.20
5.24
-0.04

5 .18
5 .17
0 .00

3-month E u r o - d o l l a r deposit
U.S. 90-day CD's, secondary market
Differential

5.50
5.46
0.04

5.34
5.34
0.00

5.33
5.30
0.03

5.34
5.34
-0.00

5 .35
5 .30
0 .05

5.50
5.51
-0.01

5.34
5.36
-0.02

5.33
5.39
-0.06

5.34
5.40
-0.06

5 .35
5 .32
0 .03

U . S . c o m m e r c i a l paper
Canadian f i n a n c e paper, covered
Differential

5.50
5.49
0.01

5.39
5.51
-0.12

5.33
5.51
-0.18

5.34
5.50
-0.16

5 .33
5 .53
- 0 .20

Euro-dollar deposit
I n t e r b a n k DM ( F r a n k f u r t ) , c o v e r e d
Differential

5.50
5.31
0.19

5.34
5.20
0.14

5.33
5.19
0.13

5.34
5.25
0.09

5 .35
5 .15
0 .20

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

5.50
5.16
0.34

5.34
5.13
0.20

5.33
4.96
0.37

5.34
5.11,
0.23

5 .35
5 .12
0 .23

9.04
8.85
8.27
5.97
6.33
8.71
9.59
7.44

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

111.29
135.15
97.37
140.70
105.07
130.51
153.28
152.87

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
158 .48

Chart 8.

Interest Arbitrage,

3 - M o n t h 1Funds

Euro-dollar deposit
I n t e r b a n k s t e r l i n g (London), covered
Differential

Chart 9.

Long Term Government B e l l w e t h e r Bond Y i e l d s
1 0 - y e a r m a t u r i t y , where a v a i l a b l e

Canada
France
Germany
Japan
Switzerland
Netherlands
U n i t e d Kingdom
United States
C h a r t 10.

9.13
8.85
8.37
6.01
6.22
8.77
9.57
7.49

S t o c k I n d i c e s (Wednesday f i g u r e s )

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

113.09
137.07
99.07
140.80
105.39
130.78
158.11.
157.02

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 ,
Tokyo 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 Times O r d i n a r y , NYSE Composite



FEDERAL RESERVE statistical release
H.10(512)

November 1, 1991

FOREIGN EXCHANGE RATES
FOR THE MEEK ENDING

NOVEMBER 1, 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
HON
PESETA
RUPEE
KRONA
FRANC
DOLLAR
BAHT
POUND

MEMO:
"UNITED STATES

DOLLAR

Oct. 28

(CURRENCY UNITS PER DOLLAR)
Oct. 30
Oct. 31
Oct. 29

Nov. 1

0.7842
12.025
35.220
1.1235
N. A.
6.6210
1.1991
4.1525
5.8330
1.7108
191.55
7.7665
25.800
1.5642
1276.50
132.25
2.7555
1.9280
0.5548
6.6985
147.15
1.7015
2.8535
754.90
107.53
N.A.
6.2245
1.5003
26.386
25.610
1.7047

0.7871
11.895
34.790
1.1232
5.3807
6.5590
1.2118
4.1200
5.7720
1.6905
189.45
7.7740
25.790
1.5810
1264.50
130.75
2.7555
1.9051
0.5551
6.6270
145.30
1.6980
2.8510
754.70
106.32
N.A.
6.1590
1.4785
26.365
25.640
1.7230

0.7845
11.760
34.470
1.1228
5.3944
6.4725
1.2247
4.0640
5.7100
1.6720
187.20
7.7700
25.900
1.6000
1251.00
131.08
2.7510
1.8841
0.5563
6.5415
143.60
1.6940
2.8215
754.60
105.02
N.A.
6.0835
1.4640
26.280
25.620
1.7425

0.7791
11.738
34.340
1.1230
5.3944
6.4730
1.2263
4.0705
5.6985
1.6680
187.15
7.7690
25.840
1.6000
1250.50
130.60
2.7510
1.8795
0.5566
6.5340
143.65
1.6920
2.8250
754.80
104.98
42.258
6.0775
1.4650
N.A.
25.590
1.7425

0.7810
11.690
34.190
1.1203
N.A.
6.4420
1.2322
4.0440
5.6785
1.6615
186.25
7.7670
25.850
1.6090
1244.50
130.30
2.7490
1.8721
0.5613
6.5080
143.05
1.6890
2.8150
756.40
104.63
N.A.
6.0570
1.4610
26.253
25.580
1.7498

91.65

90.71

89.98

89.82

89.50

•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
NEIGHTED-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 1202) 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.