Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : October 15, 1991

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Selected Interest &
Exchange Rates
Weekly Series of Charts

October 15, 1991

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION




BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, O.C. 20551

Table of Contents

TABLES
1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATES
H.10 RELEASE
CHARTS
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 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
140
FOREIGN CURRENCY
130

PRICE OF U.S. DOLLAR

120

_

BELGIAN FRANC

RATIO SCALE
MARCH 1973=100
140
130

yv/^A

120

110

110

100

100

90

90

80
70
280
260

1

1

'

1

I

1

'

I

1

•

•

i

SWISS FRANC

—

80

J—JL

•

'

'

'

—

240

I

'

'

'

I

'

'

•

l

•

•

70
280
260

JAPANESE YEN

240

220

220

200

200

180

180

160

160

140

140

1

120
100

1

90

I

1

1

1

1

'

1

1

I

I

I

I

'

U.K. POUND

• '

1

I

1

1

'

1

1

1

I

'

I

I

120
100

CANADIAN DOLLAR

—

90

80

80

70

70

60

60
'

50

'

'

I

'

'

'

I

'

•

•

I

•

•

1

1

1

I

1

1

1

1

I

1

•

I

'

'

I

50

200
180

200

GERMAN MARK

DUTCH GUILDER

180

160

160

140

140

120

100
120
110
100

120
I

I

I

I

I

I

I

I

I

I

I

I

I _L_L

'

I

I

'

'

I

'

'

'

I

•

'

•

55

ITALIAN LIRA

50

FRENCH FRANC

90

45

80

40

70

35

60
50

100
60

30

I

I

I

I




I

I
1989

I

I

I

I

I

I

I

I
1991

I

i

i

i

I

i

'
1989

i

l

' I

i

I

'

i
1991

'

25

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR [-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
4

PERCENT PER ANNUM
4

U.K. POUND

CANADIAN DOLLAR

i

i

i

I

i

i

i

I

i

i

i

I

i

i

1

i

1 1 1 1 1 1

1 1 1 1 1 1 1 1

JAPANESE YEN

GERMAN MARK

—

i

i

i

I

i

i

i

I

i

i

v
i

1
w
I

1

i N i

1 1 1 1 1 1 1 1

DUTCH GUILDER

SWISS FRANC

—

1 1 1 1 1 1

V/ \

—

w
i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

1

"
r T w

1 1 1 1 1

_____

FRENCH FRANC

12

1

1 1 1 1 1




1989

ITALIAN LIRA

1 1 1 1 1

1 1 1 1
1991

1

1 1 1 1 1 i
1989

1 i

i

i

1 i

i
1991

i

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

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




J
1988

I

I

I

I ,
1989

1,

I

I

L
1990

—I

1991

L

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

l

i

i

i

I

i

i

i

I

i

i

i

I

i

i

i

16

16

12

12

GERMANY




i

i

CANADA

i

I

i

i

i

I

i

i

UNITED KINGDOM

i

i

I

i

i

i

I

i

i

i

I

'

SWITZERLAND

NETHERLANDS

1989

1991

1989

1991

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER AN

;ENT PER ANNUM

12

WfV
10

U.S. CD'S

10

8

8

6
SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

6

4

2

4

2
16

'

i

i

I

'

i

i

I

i

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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
U.K. INTERBANK STERLING

CANADIAN FINANCE CO.
PAPER

10

10

8
6

8
l

I

l

I

l

I

l

I

I

I

l

I

I

l

l

i

'

i

I

»

i

i

I

i

i

i

I

i

i

i

10

6
12

GERMAN INTERBANK RATE

8

10

6

8
FRENCH INTERBANK RATE

6

4

2
10

l

1

8 —

l

I

l

I

l

I

I

I

l

I

I

I

l

i

i

i

I

i

<

'

I

'

i

i

I

i

i

JAPANESE CD RATE

4
10

8

6

6
NETHERLANDS INTERBANK RATE

4

2

'

i

i




I

i

i
1989

'

I

i

i

'

I

•

'
1991

i

i

i

I

i

i
1989

i

I

i

i

i

4

I

i

i
1991

2

CHART 6

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

PERCENT PER AN

14

14

OVERNIGHT

12

3-MONTH

12

10

10

8

8

6

6

4
14

4
14

7-DAY

12

6-MONTH

12

10

10

8

8

6

6

4
14

4
14

1-MONTH

12

1-YEAR

12

10

10

8

8

6

6

4

'

i

'




I

i

i '
1989

l

'

i

'

l

i

i i
1991

i

i

i

I

i

i i
1989

I

i

i

i

I

i

i i
1991

4

I

1

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

12

OVERNIGHT

3-MONTH

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

10

10

FEDERAL FUNDS

90-DAY CD'S

DASHED LINE

J—i

I

I

DASHED LINE

i

i

L

J—I—I—I—I—I

DIFFERENTIAL

— i

i




i

I

i

i
i
1989

I
l

I

i

I

i

i

i

DIFFERENTIAL

—

...

I

MaJv AA^a

i

i

i

i

I

I
1991

A

I

J

i

i
i
1989

L

J—I—L
I
1991

I

1

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
16

PERCENT PER ANNUM
16

INTERBANK STERLING
12

CANADIAN FINANCE
CO. PAPER, COVERED

COVERED LONDON

EURO-DOLLAR DEPOSITS

U.S. COMMERCIAL PAPER

DASHED LINE

ol-L-L

i

I

i

i

12

DASHED LINE

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

2
DIFFERENTIAL

2

I

I

I

I

I

I

I

DIFFERENTIAL

I

I

'

I

I

I

I

I

I

I

I

I

I

I

I

2

16

16

INTERBANK DM

12 —

—

COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

'

i

'

I

'

i

DASHED LINE

i

I

'

i

i

I

i

i

i

I

I

DIFFERENTIAL

I

I

I




I

I

_

I I
1989

I

I

I

I

I

I

I

I

I

I

I

I

I

i

i

i

I

i

i i
1991

DIFFERENTIAL

I

I

I

'

I

I

I 1
1991

•

i

i

I

i

i '
1989

12

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNl

RCENT PER ANNUM
14

CANADA

UNITED STATES
12

10

8

6

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

I

I

1

I

I

I

I

I

I

I

I

i

1

'

'

»

l

i

i

i

1

i

'

'

'

'

'

I

i

i

'

l

'

'

i

14

UNITED KINGDOM

FRANCE

12

10

8

6
10

i

i

i

l

i

i

i

l

i

i

i

l

i

i

i

I

I

JAPAN

SWITZERLAND
8

6

4

2

i

i

i

l

i

i

i

l

i

i

i

_L_J_

l

i

10

NETHERLANDS

GERMANY

8

6

4

2

i

i

i

l




i

i
1989

i

l

<

i

i

l

i

i
1991

i

i

i

'

l

1989

1991

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.

ll-Sep-91 18-Sep-91 25-Sep-91 2-0ct-91

9-0ct-91

Spot Exchange Rates and Indices

Noon buying rates (U.S. cents, w e e k l y a v e r a g e s )
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

2.8382
87.750
17.195
58.432
0.07822
0.73882
51.856
66.619
171.48

2.8894
87.991
17.486
59.544
0.07952
0.74663
52.817
68.091
173.55

111.84
87.46
77.48
164.37
44.90
193.45
148.87
214.32
69.36

113.86
87.70
78.80
167.50
45.64
195.49
151.63
219.06
70.20

2.8855
88.106
17.455
59.448
0.07943
0.74818
52.741
68.204
173.43

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

Indices, March 1973 base rates = 100
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

113
87
78
167
45
195
151
219
70

.70
.81
.66
.23
.59
.90
.41
.42
.14

114
87
79
168
45
196
152
220
70

.51
.99
.20
.43
.95
.63
.48
.96
.55

113
88
78
167
45
201
151
218
70

.69
.20
.66
.20
.66
.27
.41
.40
.01

105..60
80..01
70..22
168. 70
39..08
194, 79
143. 52
65, 95
207. 35
62, 10
90. 68

105
79
70
169
39
194
143
66
207
62
90

. 86
.77
.39
.19
.21
.58
.88
.06
.83
.17
.14

105
80
69
168
39
200
143
65
205
61
90

.26
.13
.99
.07
.02
.12
.06
.77
.72
.77
.34

1973=100
Weighted a v e r a g e exchange v a l u e indices, Mar. !
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.

-2.82
-3.72
-3.57
-5.65
-1.22
-3.67
-2.45
-4.40

-2.85
-3.62
-3.67
-5.83
-1.08
-3.76
-2.58
-4.47

-2. 87
-3. 91
-3. 73
-5. 79
-1. 04
-3. 79
-2. 62
-4. 66

- 2 .93
- 3 .96
- 3 .82
-5 .79
-0 .96
- 3 .79
- 2 .71
- 4 .60

- 2 .83
- 4 .03
-3 .96
-5..82
-1..10
-3..88
-2. 83
-4..79

348.59

346.04

350. 22

353 .04

357. 61

5.56
5.48
8.50
9.20
9.00
6.98
9.04
7.48
10.45

5.44
5.41
8.60
9.13
8.99
6.88
8.93
7.38
10.59

5. 29
5. 36
8. 74
9. 15
8. 98
6. 86
8. 81
7. 38
10. 61

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

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

105.70
79.86
70.32
168.94
39.11
194.24
143.67
66.07
206.90
62.12
90.63

3-Month Forward Exchange Rates, Premium or Discount

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

105.01
80.64
69.92
167.49
38.91
194.50
142.64
65.75
204.74
62.10
91.99

Call Money Rates

U.S. federal f u n d s
Overnight Euro-dollar deposits
Ca na da
France
Germany
Japan
Netherlands
Switzerland
United Kingdom




SERIES
ll-Sep-91 18-Sep-91 25-Sep-91 2-0ct-91
Chart 5.

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
CG-10 C o u n t r i e s )
Chart 6.

5.55
8.66
9.29
9.16
6.85
9.22
7.88
10.13
9.08

5 .42
8 .59
9 .28
9 .16
6 .59
9,.20
7,.93
10,,13
9.,02

5 .40
8 .54
9 .30
9 ,15
6 .52
9.,21
7.,95
10. 24
9. 02

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

5.48
5.58
5.59
5.58
5.70
5.91

5 .41
5 .41
5 .43
5 .44
5 .60
5 .80

5 .36
5 .53
5 .43
5 .43
5 .61
5 .80

5.46
5.35
5.35
5.50
5.53
5.66

5 .23
5 .23
5 .20
5 .34
5 .34
5 .48

Euro-Dollar Deposit Rates

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

9-0ct-91

Selected Euro-dollar & U.S. Monet

Overnight Euro-dollar deposits
U.S. federal funds
Differential

Market Rates
5.48
5.56
-0.08

5 .41
5 .44
-0 .02

5 .36
5 .29
0 .07

5.46
5.33
0.13

5 .23
5 .19
0 .03

5.58
5.55
0.02

5 .44
5 .42
0 .02

5 .43
5 .40
0 .02

5.50
5.46
0.04

5 .34
5 .34
0 .00

5.58
5.61
-0.04

5 .44
5 .54
-0 .11

5 .43
5.,46
-0,, 04

5.50
5.51
-0.01

5 .34
5 .36
-0 .02

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

5.64
5.77
0.13

5,,51
5, 68
-0.,17

5. 52
5. 60
- 0 . 09

5.50
5.49
0.01

5 .39
5 .51
- 0 . ,12

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

5.58
5.50
0.07

5. 44
5. 41
0. 03

5. 43
5. 33
0. 09

5.50
5.31
0.19

5. 34
5. 20
0. 14

Euro-dollar deposit
Swiss interbank, covered
Differential

5.58
5.38
0.20

5. 44
5. 30
0. 14

5. 43
5. 28
0. 15

5.50
5.16
0.34

5. 34
5. 13
0. 20

Chart 9.

id Y i e l d s
9.61
8.92
8.41
6.26
6.20
8.77
9.72
7.76

9. 47
8. 85
8. 39
6. 15
6. 14
8. 77
9. 57
7. 64

9. 37
8. 88
8. 43
6. 10
6. 13
8. 79
9. 54
7. 57

9.13
8.85
8.37
6.01
6.22
8.77
9.57
7.49

9. 04
8. 85
8. 27
5. 97
6. 33
8. 71
9. 59
7. 44

114. 29
134. 12
101. 12
132. 20
107. 78
133. 34
160. 45
155. 27

113 .92
136 .44
101 .05
136 .12
107 .08
131 .06
155,.72
156..02

112 .97
136 .94
100 .72
137 .08
105 .61
130,.48
157,.41
156,,24

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

Interest Arbitrage, 3-Month Funds

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

10-year maturity, where a v a i l a b l e
Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United States
Chart 10.

Stock Indices (Wednesday f i g u r e s )

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

113
137
99
140
105
130
158
157

.09
.07
.07
.80
.39
.78
.11
.02

111 .29
135 .15
97 .37
140 .70
105,.07
130,.51
153,,28
152,,87

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)

October 11, 1991

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

OCTOBER 11, 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
KRONA
FRANC
DOLLAR
BAHT
POUND

MEMO:
^UNITED STATES

DOLLAR

Oct. 7

(CURRENCY UNITS PER DOLLAR)
Oct. 9
Oct. 10
Oct. 8

Oct. 11

0.7960
11.815
34.630
1.1295
5.3854
6.4720
1.2195
4.0910
5.7185
1.6805
187.55
7.7485
25.750
1.5912
1255.00
129.30
2.7435
1.8939
0.5671
6.5685
144.65
1.6905
2.8175
751.40
106.23
42.118
6.1240
1.4725
26.380
N. A.
1.7352

0.7934
11.935
34.920
1.1285
5.3854
6.5280
1.2077
4.1235
5.7745
1.6960
189.00
7.7510
25.830
1.5780
1267.50
130.10
2.7445
1.9110
0.5673
6.6315
145.67
1.6940
2.8325
755.40
107.00
N. A.
6.1775
1.4860
26.480
25.500
1.7140

0.7955
11.900
34.840
1.1290
5.3944
6.5350
1.2088
4.1375
5.7600
1.6918
187.95
7.7555
25.800
1.5770
1264.00
130.25
2.7485
1.9063
0.5680
6.6305
145.52
1.6970
2.8160
755.40
106.74
N. A.
6.1750
1.4810
26.425
25.550
1.7165

0.7943
11.920
34.880
1.1305
5.3944
6.5280
1.2083
4.1380
5.7690
1.6940
189.05
7.7460
25.800
1.5775
1266.75
130.35
2.7450
1.9089
0.5654
6.6275
145.75
1.6935
2.8282
755.00
107.09
N. A.
6.1775
1.4820
N. A.
25.450
1.7145

0.7970
11.920
34.850
1.1294
5.3944
6.5310
1.2098
4.1400
5.7665
1.6925
188.55
7.7430
25.780
1.5788
1266.50
129.73
2.7455
1.9076
0.5635
6.6300
145.60
1.6930
2.8295
755.20
106.98
N. A.
6.1730
1.4820
N. A.
25.540
1.7190

90.16

90.90

90.76

90.88

90.75

•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.