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(516/517)
Selected Interest &
Exchange Rates
Weekly Series of Charts
October 2,1989
DIVISION O F
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 S P O T
EXCHANGE RATES—
H. 10 RELEASE
CHARTS
1. S P O T EXCHANGE RATE INDICES
2. 3-MONTH FORWARD EXCHANGE RATES
3. GOLD P R I C E — L O N D O N
4. CALL MONEY RATES
5. 3-MONTH INTEREST RATES
6. EURO-DOLLAR DEPOSIT RATES
7. S E L E C T E D EURO DOLLAR AND
U.S. MONEY MARKET RATES
8. INTEREST ARBITRAGE: 3-MONTH F U N D S
9. LONG-TERM G O V E R N M E N T B O N D YIELDS
10. INDUSTRIAL STOCK INDICES
SUBSCRIPTION RATES:
W e e k l y $24.00 p e r y e a r or $.60 e a c h in t h e United
S t a t e s , its p o s s e s s i o n s , C a n a d a , a n d Mexico; 10 or
m o r e of t h e s a m e i s s u e t o o n e a d d r e s s , $22.50 per
y e a r or $.55 e a c h . E l s e w h e r e , $30.00 per year or $.70
e a c h . Address r e q u e s t s to Publications Services.
Division of A d m i n i s t r a t i v e S e r v i c e s , a n d m a k e paym e n t r e m i t t a n c e p a y a b l e t o t h e o r d e r of t h e B o a r d
of G o v e r n o r s of t h e F e d e r a l R e s e r v e S y s t e m in a
f o r m c o l l e c t i b l e at p a r in U.S. C u r r e n c y .
CHART 1
SPOT EXCHANGE INDICES
DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE)
AVERAGES FOR WEEK ENDING WEDNESDAY
R A T I O S DALE
MARCH 197: 1=100
SCALE
i 1973=100
140
120
140
FOREIGN CURRENCY
PRICE OF U.S. DOLLAR
BELGIAN FRANC
120
100
100
90
90
80
80
I
70
I
I
I
I
I
70
280
280
240
JAPANESE YEN
SWISS FRANC
240
200
200
180
180
160
160
140
140
120
120
100
100
CANADIAN DOLLAR
90
80
90
U.K. POUND
80
70
70
60
60
l
50
l
l
50
200
200
180
GERMAN MARK
DUTCH GUILDER
180
160
160
140
140
120
120
100
100
120
60
ITALIAN LIRA
100
90
50
FRENCH FRANC
45
80
40
70
35
60
30
50
25
1987
1989
1987
1989
CHART 2
3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
P E R C E N T P E R ANNUM
P E R C E N T P E R ANNUM
4
4
U. K. POUND
CANADIAN DOLLAR
/V
i
I
i
I
I
A
.
X
V
/V
<—
I
I
I
GERMAN MARK
I
I
I
I
I
I
I
I
I
I
I
I
I
I
I
I
I
I
DUTCH GUILDER
I
uliiliilii
I
FRENCH FRANC
8
I
JAPANESE YEN
SWISS FRANC
I
I
I
I
I
I
I
uliiliilii
ITALIAN LIRA
-4
uliiliilii
12
1987
1989
1987
12
1989
CHART 3
PRICE OF GOLD IN LONDON
A V E R A G E S FOR W E E K ENDING WEDNESDAY
U.S.I
U.S. DOLLARS P E R FINE OL NCE
.LARS P E R FINE O U N C E
520
520
500
500
1 2 . 5 Kg B A R S
480
480
AFTERNOON FIXING PRICE
460
460
440
440
420
420
400
400
380
380
360
360
340
340
320
320
I
300
1986
1987
I
I
1988
I
I
I
I
I
I
I
I
I
I
1989
I
300
CHART4
CALL MONEY RATES
WEEKLY SERIES
P E R C E N T P E R ANH
E N T P E R ANNUM
16
16
12
U.S. FEDERAL FUNDS
12
FRANCE
I\A
8
.K
rA
fv.
/ " "
„
8
JAPAN
4
4
ill
0
IIII I I I I
I
I
I
I
I
I
0
16
16
CANADA
12
12
8
GERMANY
8
4
4
0
0
16
20
UNITED KINGDOM
SWITZERLAND
16
12
12
8
8
4
4
NETHERLANDS
UU
LU
0
1987
1989
1987
0
1989
CHARTS
3-MONTH INTEREST RATES
WEEKLY SERIES
P E R C E N T PER A W
ENT P E R ANNUM
12
12
FRENCH INTERBANK RATE
10
10
U.S. CD'S
8
8
6
6
WEIGHTED AVERAGE
FOREIGN RATE
4
4
l
2
l
l
l
l
l
2
16
16
14
U.K. INTERBANK STERLING
—
14
-
12
CANADIAN FINANCE CO.
PAPER
12
F
10
10
8
8
6
I
I
I
I
I
iilii hili i
I
8
8
6
6
SWISS INTERBANK RATE
GERMAN INTERBANK RATE
6
4
4
2
2
l
0
l
l
l
l
l
IIlllllI I
0
10
10
NETHERLANDS INTERBANK RATE
8
-
8
JAPANESE GENSAKI RATE
6
6
4
4
2
I
1987
1989
I
I
I
I
1987
2
I
1989
CHART 6
EURO-DOLLAR DEPOSIT RATES
LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
P E R C E N T PER ANI
DENT P E R ANNUM
14
14
12
OVERNIGHT
3-MONTH
—
—
12
10
10
8
8
6
-
4
I
I
I
I
I
I
4
14
14
12
6
6-MONTH
7-DAY
12
10
10
8
8
6
6
4
4
14
14
12
1-MONTH
1-YEAR
—
—
12
10
10
8
8
6
6
I I I
4
1987
1989
I I I
1987
4
1989
CHART 7
SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U.S.
AVERAGES FOR WEEK ENDING WEDNESDAY
P E R C E N T P E R ANI
14
14
12
12
10
10
3-MONTH
FEDERAL FUNDS
E U R O DOLLAR D E P O S I T S
DASHED LINE
A*
8
-
V
/
\
6
v
w
y
6
V
OVERNIGHT
8
90-DAY CD'S
EURO-DOLLAR D E P O S I T S
DASHED LINE
4
-
4
11111111111
2
-
111111 ii 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
2
I
I
I
I
I
I
11111111111
2
2
DIFFERENTIAL
DIFFERENTIAL
1
-
+
+
0
1
1
0
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
1987
IENTIAL SCALE = 2 P E R C E N T ON RATE SCALE
1989
I
I
I
I
I
1987
I
I I I I I I I I I I I
I I I I I I I I I I I
1989
1
CHART8
INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT P E R ANIS
; E N T P E R ANNUM
16
16
12
12
CANADIAN FINANCE
CO. PAPER, COVERED
INTERBANK STERLING
C O V E R E D LONDON
8
8
4
EURO-DOLLAR DEPOSITS
U.S. COMMERCIAL PAPER
DASHED LINE
DASHED LINE
i ill i h i l l m i l l Mill ill
0
I
4
111 M i l l u l n h i l i i l l
I
2
2
DIFFERENTIAL
DIFFERENTIAL
+
+
0
0
Illlllll111
2
ULL
2
16
16
12
0
12
INTERBANK DM
SWISS INTERBANK (SF) COVERED
C O V E R E D FRANKFURT
8
8
4
EURO-DOLLAR DEPOSITS
EURO-DOLLAR DEPOSITS
DASHED LINE
DASHED LINE
0
I
I
I I I I I I I I I II
II I I I I I I I I I
I
I
4
IIIIIIIIIIIII II MIIIII
0
2
2
DIFFERENTIAL
DIFFERENTIAL
+
+
0
0
I
2
1987
I
IIIIIIIIIIIIIMIM IM IMI
1989
1 PERCENT ON DIFFERENTIAL SCALE = 2 P E R C E N T ON RATE SCALE
I
M
I
I
I
I I
1987
I I I I I I I I I I I I I I I I I I I It I I
1989
2
CHART9
LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
P E R C E N T PER ANH
;ENT P E R ANNUM
14
14
12
CANADA
UNITED STATES
12
\
10
. /
v s
V
V
10
X y -
8
8
6
I
I
I
I
I
I
Illllllllll
14
14
12
UNITED KINGDOM
-
FRANCE
12
-V/
10
8
6
I
I
I
Kv
10
8
i
i
6
i
10
8
6
10
SWITZERLAND
__
JAPAN
-
8
6
6
4
4
I
2
I
I
I
I
I
2
10
8
10
NETHERLANDS
MONTHLY
GERMANY
-
6
6
4
-
I
2
8
1987
1989
I
I
I
I
1987
I
4
2
1989
CHART 10
INDUSTRIAL STOCK INDICES
WEEKLY SERIES
RATIO SCALE
RATIO SCALE
1969=100
1969*100
600
500
400
-
-
-
300
-
200
-
UNITED STATES
jf™
I I I
150
-
'
I I I
11111111111
NETHERLANDS
-
-
Illllllllll
800
GERMANY
JAPAN
600
-
500
-
400
-
300
- /
-
J\\f
-
I
200
-
I
I
I
I
IllKhllll
I
300
SWITZERLAND
250
FRANCE
200
150
-
-
-
I
100
I
I
I
I
<.l<lll.lll
I
600
500
—
UNITED KINGDOM
CANADA
400
~
—
300
200
—
-
I
I
I
I
I
1987
I
lll.lhll.l
1989
1987
1989
400
L A S T VALUE PLOTTED
DATE
7AL0E
S E R I E S NAME
CHART 1 .
SPOT EXCHANGE RATES AND I N D I C E S
WEEKLY AVERAGES,
NOON BUYING RATES
{U.S.
CENTS)
GERMAN MARK
J A P A N E S E YEN
DDTCH GUILDER
O . K . POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA
INDICES,
MARCH 1 9 7 3
BASE RATES =
WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S ,
( G - 1 0 COUNTRIES P L U S SWITZERLAND)
U. S . DOLLAR
GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U . K . POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA
3-MONTH FORWARD EXCHANGE R A T E S ,
CANADIAN DOLLAR
U . K . POUND
GERMAN MARK
FRENCH FRANC
SWISS FRANC
DUTCH GUILDER
JAPANESE YEN
I T A L I A N LIRA
27
27
27
27
27
27
27
27
27
27
52.25
0^ 6 9 8 3 3
46.30
159.97
84.82
15.44
60.24
2. 49324
0.07237
15. 33
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
27
27
27
27
27
27
27
27
27
1 4 6 . 98
1 8 2 . 84
132.92
64.70
84.54
6 9 . 56
1 9 3 . 80
9 8 . 25
41.11
27
27
27
27
27
27
27
27
27
27
27
100.67
158.98
197.09
135.93
27
27
27
27
27
27
27
27
-3.16
-4.77
1.35
-0.34
1.21
1.17
3.34
-3.42
100
GERMAN MARK
J A P A N E S E YEN
DUTCH GUILDER
U. K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
I T A L I A N LIRA
CHART 2 .
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
MAR 1 9 7 3
=
100
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
62.01
83.66
6 6 . 90
198.02
98.40
3 8 . 51
6 7 . 18
PREMIUM OR DISCOUNT
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
L I S T VALUE PLOTTED
DATE
VALUE
S E R I E S NAME
CHART 3 .
GOLD P R I C E
U.S.
CHART 4 .
IN
DOLLARS PER
LONDON, AFTERNOON F I X I N G
F I N E OUNCE
EURO-DOLLAR D E P O S I T R A T E S :
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
27
27
27
27
27
27
27
27
27
9 . 02
8.86
13.79
12.07
6.89
5.33
8.91
6 . 94
6.38
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
27
27
27
27
27
27
27
27
27
8 . 83
7 . 40
4.93
12.33
1 3 . 88
7.38
9 . 13
7.57
8 . 82
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
27
27
27
27
27
27
8 . 86
8. 96
8 . 88
8 . 83
8 . 83
8.77
LONDON
OVERNIGHT
7-DAY
1 - MO NTH
3-MONTH
6-MONTH
1-YEAR
CHART 7 .
366.41
3-MONTH I N T E R E S T RATES
U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET
GERMAN INTERBANK LOAN
JAPANESE GENSAKI RATE
CANADIAN FINANCE PAPER
INTERBANK STERLING
S w I S S INTERBANK LOAN
FRENCH INTERBANK RATE
NETHERLANDS INTERBANK RATE
WEIGHTED AVERAGE FOREIGN I N T E R E S T RATE
( G - 1 0 COUNTRIES PLUS SWITZERLAND)
CHART 6 .
27
CALL MONEY RATES
U . S . FEDERAL FUNDS
OVERNIGHT EURO-DOLLAR D E P O S I T S
U. K.
CANADA
GERMANY
JA PAN
FRANCE
NETHERLANDS
SWITZERLAND
CHART 5 .
SEPT.
SELECTED EURO-DOLLAR AND U . S .
MONEY MARKET RATES
OVERNIGHT EURO-DOLLAR D E P O S I T S
U . S . FEDERAL FUNDS
DIFFERENTIAL
SEPT.
SEPT.
SEPT.
27
27
27
8 . 86
9 . 02
- 0 . 16
3-HONTH EURO-DOLLAR D E P O S I T RATE
U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET
DIFFERENTIAL
SEPT.
SEPT.
SEPT.
27
27
27
8. 83
8. 83
0. 03
LAST VALUE PLOTTED
DATE
VALUE
S E R I E S NAME
CHART 8 .
INTEREST ARBITRAGE,
3-MONTH FUNDS
EURO-DOLLAR D E P O S I T
INTERBANK S T E R L I N G (LONDON),
DIFFERENTIAL
U . S . COMMERCIAL PAPER
CANADIAN FINANCE P A P E R ,
DIFFERENTIAL
COVERED
COVERED
EURO-DOLLAR D E P O S I T
INTERBANK DM ( F R A N K F U R T ) ,
DIFFERENTIAL
COVERED
EURO-DOLLAR D E P O S I T
SWISS I N T E R B A N K , COVERED
DIFFERENTIAL
CHART 9 .
27
27
27
8 . 83
8. 94
- 0 . 13
SEPT.
SEPT.
SEPT.
27
27
27
8 . 72
9 . 07
- 0 . 35
SEPT.
SEPT.
SEPT.
27
27
27
8 . 83
8. 77
0. 04
SEPT.
SEPT.
SEPT.
27
27
27
8. 83
8 . 61
0 . 20
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
MAY
SEPT.
22
22
22
22
15
15
8.15
7.04
5. 22
5.35
9.66
8.97
7.37
9.29
LONG TERM GOVERMENT BOND Y I E L D S
UNITED STATES
GERMANY
JA PAN
SWITZERLAND
CANADA
FRANCE
NETHERLANDS (MONTHLY)
UNITED KINGDOM
U.S.
SEPT.
SEPT.
SEPT.
22
CORPORATE
AAA BONDS
CHART 1 0 .
9.33
STOCK I N D I C E S
UNITED STATES
UNITED KINGDOM
CANADA
GERMANY
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN
MAY
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
27
27
27
27
27
27
27
27
363.93
419.35
38 8.07
286.30
265.57
360.35
555.64
714.92
FEDERAL RESERVE statistical release
H.10(512)
OCTOBER
2, 1989
FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING SEPTEMBER 29, 1989
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
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
*1RELAND
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
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:
tUNITED STATES
DOLLAR
SEP. 25
(CURRENCY UNITS PER DOLLAR)
SEP. 27
SEP. 26
SEP. 28
SEP. 29
79.05
13.425
39.910
1.1775
3.7314
7.4200
4.3300
6.4570
1.9060
165.850
7.8050
16.6900
139.80
1376.00
142.70
2.6870
2.1517
59.650
6.9880
159.500
1.9655
2.7450
672.60
119.350
40.018
6.5000
1.6570
25.570
25.930
160.80
79.00
13.305
39.630
1.1745
3.7314
7.3630
4.3230
6.4020
1.8890
166.050
7.8025
16.6900
140.80
1367.00
141.88
2.6890
2.1323
59.800
6.9600
159.200
1.9670
2.7400
672.50
119.050
40.018
6.4720
1.6400
25.770
25.900
162.15
78.25
13.255
39.500
1.1777
3.7314
7.3300
4.3050
6.3700
1.8825
164.550
7.8015
16.7000
141.50
1362.00
140.60
2.6870
2.1256
59.550
6.9460
158.300
1.9660
2.7160
672.60
118.900
40.018
6.4460
1.6320
25.690
25.850
161.30
77.58
13.245
39.490
1.1805
3.7314
7.3270
4.3090
6.3760
1.8815
164.900
7.8035
16.7400
141.60
1369.00
140.55
2.6910
2.1240
59.020
6.9450
159.100
1.9675
2.7300
672.50
119.150
40.018
6.4555
1.6323
25.840
NA
160.77
77.48
13.193
39.560
1.1789
3.7314
7.3085
4.2915
6.3500
1.8725
164.220
7.8030
16.6900
142.25
1366.00
139.60
2.6895
2.1149
58.950
6.9175
158.700
1.9600
2.6930
672.70
119.050
40.018
6.4310
1.6228
NA
25.810
161.45
99.94
99.21
98.92
99.02
98.64
SINDEX 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.
*VALUE IS U.S. CENTS
@FedFRASER