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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts October 28, 1991 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. 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 SCALE MARCH 1973=100 RATIO SCALE MARCH 1973=100 140 130 140 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 120 BELGIAN FRANC — yv/ > v A 110 100 90 80 70 280 260 — 240 220 ]_L 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 ' ' I I I I I I ' I I I JAPANESE YEN SWISS FRANC 200 180 160 140 i 120 100 90 < l i i i l i i i I i i i I I I I I ' ' CANADIAN DOLLAR U.K. POUND 80 70 60 50 200 • i ' I i i i l i i i l i i i • I I I I I I I GERMAN MARK 180 y>vA DUTCH GUILDER 160 140 120 100 120 i i i l i i i I i i i I i i i 110 ' I ' I > I • I I » I I I I ITALIAN LIRA 100 90 _ FRENCH FRANC 80 70 60 50 i i i I i i 1989 i I • i i I I 1991 I 1989 I I 1991 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 4 4 CANADIAN DOLLAR 1 I I 1 1 U.K. POUND 1 1 M i l l i i i GERMAN MARK JAPANESE YEN — l l I 1 I i i 1 i i v i 1 l i V i 1 SWISS FRANC 1 1 1 1 1 1 1 1 1 1 1 1 1 1 DUTCH GUILDER — 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 FRENCH FRANC 12 i i i 1 i i i 1989 i i i 1 i i i 1 1 1 1 1 i T W ITALIAN LIRA l i i i 1 i i i 1991 1 1 1 1 1 1 1 1 1 1 1 1989 1 1 1 1 1991 12 CHART 3 PRICE OF GOLD IN LONDON A V E R A G E S FOR W E E K ENDING W E D N E S D A Y U.S. DOLLARS PER FINE OUNCE 520 U.S. DOLLARS PER FINE OUNCE 520 500 — 12.5 Kg BARS AFTERNOON FIXING PRICE 480 500 480 460 — • — 460 440 — — 440 420 — 420 400 — 400 380 380 360 — 360 340 — 340 320 1988 1989 1990 1991 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANI CENT PER ANNUM 16 12 FRANCE U.S. FEDERAL FUNDS 8 JAPAN 4 i 0 i I i i i I i i i I i i i i i i l i i i l i ' i l i i ' i I i i i l i i i i i i i i 16 12 CANADA GERMANY 8 4 0 i i i I i i i I i i i I i i i i i i I i 16 SWITZERLAND UNITED KINGDOM 12 8 NETHERLANDS 4 0 i i i l i i 1989 i l i i i I i i 1991 i Lt i i i i j 1989 i i 1991 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANNUM 10 PERCENT PER ANNUM 12 U.S. CD'S SWISS INTERBANK RATE WEIGHTED AVERAGE FOREIGN RATE CANADIAN FINANCE CO. PAPER U.K. INTERBANK STERLING GERMAN INTERBANK RATE FRENCH INTERBANK RATE JAPANESE CD RATE NETHERLANDS INTERBANK RATE 1989 1991 1989 1991 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 14 14 OVERNIGHT 3-MONTH 7-DAY 6-MONTH 1-MONTH 1-YEAR 1989 1991 1989 1991 CHART 7 SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS B O R R O W I N G IN U.S. AVERAGES FOR WEEK ENDING WEDNESDAY SENT PER ANNUM PERCENT PER A N N l 14 12 OVERNIGHT EURO-DOLLAR DEPOSITS 3-MONTH EURO-DOLLAR DEPOSITS 10 8 FEDERAL FUNDS DASHED LINE 6 DASHED LINE 4 2 2 J I J l__L I I l__L J — I — I — I l I I i i i I i i I I I 1991 DIFFERENTIAL DIFFERENTIAL 1 + 0 v -Of T 1 j — i — I 1989 i i i I i 1991 A I I I I 1989 J I 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 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING 12 COVERED LONDON U.S. COMMERCIAL PAPER EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE 0 I I I I ' • • I • • 12 • I I I I i i i I i i i I i i i I I l l , o 2 DIFFERENTIAL DIFFERENTIAL •ViyUA| V 2 16 i i i I i ' i I i i i I i I ' i i i INTERBANK DM 12 — ' ' 1 ' 1 ' 1 ' i i l i ' I l • — 1 1 ' 1 i i i I i i i ! i i ; I ; i DIFFERENTIAL DIFFERENTIAL \ I I I 1 I I 1989 1 I n1 I ^ I 1 I I I 1991 i I o 2 2 ' V \AAA^ V\A " V 12 DASHED LINE 1 ' 2 16 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS ' i SWISS INTERBANK (SF) COVERED COVERED FRANKFURT DASHED LINE 0 I I I I I I I I 1989 I 1 1 1 I 1 1 I 1991 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNl RCENT PER ANNUM 14 14 CANADA UNITED STATES 12 12 10 10 8 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 14 6 14 UNITED KINGDOM FRANCE 12 12 10 10 8 8 6 i i i l ' i i I i i i l i i i i i i l i i i l i i i l ' ' i 10 SWITZERLAND 6 10 JAPAN 8 8 6 6 4 4 i 2 10 I i i i I i i i I i i NETHERLANDS i I I I I I I I I I I I I I I I 2 10 GERMANY 8 8 6 6 4 4 2 ' ' i l ' ' 1989 i I ' • ' l ' i 1991 ' • ' I • ' 1989 • I • ' ' I ' ' 1991 ' 2 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 175 _ 200 UNITED STATES , NETHERLANDS 175 150 150 125 125 100 100 75 50 400 350 75 i i i l i » i I i i i I i i i i i I i i i I i i i I i J_L i 50 200 . JAPAN — — GERMANY 175 300 150 250 125 200 100 150 75 i 100 i l ' i i I i ' i I i i i I I I I l l l I l l l I I I 50 200 175 200 , SWITZERLAND — FRANCE 175 150 150 125 125 100 — 75 50 100 75 i i i l i i i I i i i I i i i i I i i i I i i i I i i i 50 200 200 175 — CANADA UNITED KINGDOM 175 150 150 125 125 100 100 75 50 75 _L_L I l l 1989 l I I I i I ' ' 1991 i • i i l ' i 1989 i I i i ' I i i 1991 i 50 SERIES 25-Sep-91 2 - 0 c t - 9 1 Chart 1. Spot (U.S. cents, 2.8855 88.106 17.455 59.448 0.07943 0.74818 52.741 68.204 173.43 March 1973 base r a t e s 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 1 1 2 . 60 88 . 19 7 7 . 81 1 6 5 . 46 4 5 . 15 2 0 1 . 29 1 4 9 . 83 216 . 4 1 6 9 . 22 112 . 8 3 88 . 3 9 77 . 9 1 165 . 8 4 45 . 2 4 2 0 0 . .47 1 5 0 . 16 2 1 6 . 95 6 9 . 36 .26 .13 .99 .07 .02 .12 .06 .77 .72 .77 .34 104 80 69 167 38 201 142 65 205 61 91 .91 .69 .65 .26 .82 .59 .44 .48 .15 .44 .08 105 . 0 2 80 . 8 0 69 . 6 8 167 . 5 3 38 . 8 6 200 . 4 6 142 . 6 4 65 . 5 8 205 .48 61 .51 90 . 9 7 - 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 -2 -3 -3 -5 -1 -3 -2 -4 .83 .97 .98 .82 .12 .94 .99 .89 - 2 .71 - 3 .79 - 3 .95 - 5 , .76 - 0 . 85 - 3 . 92 - 2 . 96 - 4 . 88 3 5 3 . 04 357. 61 3 5 7 . .97 3 6 1 . 25 2.9059 88.280 17.575 59.875 0.08005 0.75098 53.115 68.682 174.42 113. 87. 78. 167. 45. 195. 151. 219. 70. Weighted average 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 m a r k Italian lira Japanese yen Netherlands guilder Swedish krona Swiss f r a n c U.K. pound U.S. d o l l a r 70 81 66 23 59 90 41 42 14 Mar. 114 . 5 1 87 . 9 9 79 . 2 0 168 . 4 3 45 . 9 5 196 ,. 6 3 1 5 2 , .48 2 2 0 . 96 7 0 . 55 3 - M o n t h F o r w a r d Exchange Rates Vemium o r -2.87 -3.91 -3.73 -5.79 -1.04 -3.79 -2.62 -4.66 113. 88. 78. 167. 45. 201. 151. 218. 70. 69 20 66 20 66 27 41 40 01 1973=100 105.60 80.01 70.22 168.70 39.08 194.79 143.52 65.95 207.35 62.10 90.68 Canadian d o l l a r French f r a n c German m a r k Italian lira Japanese yen Netherlands guilder Swiss f r a n c U.K. pound 2.8853 88.493 17.456 59.438 0.07955 0.76871 52.741 67.886 173.09 = 100 Belgian franc Canadian d o l l a r French f r a n c German m a r k Italian lira Japanese yen Netherlands guilder Swiss f r a n c U.K. pound 2. 23-0ct~91 weekly averages) Belgian franc Canadian d o l l a r French f r a n c German m a r k Italian lira Japanese yen Netherlands guilder Swiss f r a n c U.K. pound Chart 16-0ct-91 Exchange Rates and I n d i c e s Noon b u y i n g r a t e s Indices, 9-0ct-91 105 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 Discount ixing U.S. Chart dollars 4. per Call fine 350.22 Money R a t e s U.S. f e d e r a l f u n d s Overnight Euro-dollar Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom e ounce http://fraser.stlouisfed.org/ iFederal Reserve Bank of St. Louis deposits 5.29 5.36 8.74 9.15 8.98 6.86 8.81 7.38 10.61 5. 5. 8. 9. 9. 6. 9. 7. 10. 33 46 80 27 11 84 05 38 65 5. 5. 9. 9. 9. 6. 8. 7. 10. 19 23 08 14 09 88 94 40 45 5 . 28 5 . 28 8 . 47 8 . 93 9 . 09 6 . 86 8 . 99 7 . 38 1 0 . 63 5. 5. 8. 8. 9. 6. 8. 7. 10. 24 20 35 86 06 71 79 78 51 SERIES Chart 5. 25-Sep-91 2- 0 c t - 9 1 3-Month I n t e r e s t Euro-Dollar Deposit Selected Euro-dollar Overnight Euro-dollar U.S. f e d e r a l funds Differential & U.S. 8. Interest deposits 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, Differential covered covered Euro-dollar deposit Swiss i n t e r b a n k , covered Differential Chart 9, 10. 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 5 .30 8 .40 9 .24 9 .27 6 .56 9 .24 8 .00 10 . 4 0 9 .06 5 .34 8 .26 9 .09 9 .29 6 .37 9 .27 8 .13 10 . 4 1 9 .00 .28 .19 .19 .33 .33 .50 5 .20 5 .21 5 .23 5 .34 5 .34 5 .51 5 5 5 5 5 5 Rates 5.36 5.29 0.07 5.46 5.33 0.13 5 .23 5 .19 0 .03 5 .28 5 .28 -0 .01 5 .20 5 .24 - 0 . 04 5.43 5.40 0.02 5.50 5.46 0.04 5.34 5.34 0.00 5.33 5.30 0.03 34 34 00 5.43 5.46 -0.04 5 .50 5 .51 -0 .01 5.34 5.36 -0.02 5 .33 5 .39 - 0 .06 5 .34 5 .40 - 0 .06 5.52 5.60 -0.09 5 .50 5 .49 0 .01 5.39 5.51 -0.12 5 .33 5 .51 - 0 .18 5..34 5..50 - 0 . 16 5.43 5.33 0.09 5 .50 5 .31 0 .19 5.34 5.20 0.14 5 .33 5 .19 0 .13 5..34 5..25 0 .09 5.43 5.28 0.15 5 .50 5 .16 0 .34 5.34 5.13 0.20 5 .33 4 .96 0 .37 5 .34 5 .11 0 .23 9.37 8.88 8.43 6.10 6.13 8.79 9.54 7.57 9 8 8 6 6 8 9 7 .13 .85 .37 .01 .22 .77 .57 .49 9.04 8.85 8.27 5.97 6.33 8.71 9.59 7.44 9 8 8 6 6 8 9 7 .07 .77 .23 .03 .32 .69 .74 .50 .97 .94 .72 .08 .61 .48 .41 .24 113 137 99 140 105 130 158 157 .09 .07 .07 .80 .39 .78 .11 .02 29 15 37 70 07 51 28 87 115 135 97 139 107 132 153 158 .40 .59 .26 .89 .24 .43 .65 .83 md Yields 10-year maturity, 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 Chart 5 .34 8 .40 9 .35 9 .25 6 .51 9 .25 8 .03 10 . 2 8 9 .04 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 5.46 8.47 9.38 9.22 6.39 9.22 7.93 10.23 9.02 Money M a r k e t 3-month E u r o - d o l l a r deposit U.S. 90-day CD's, secondary market Differential Chart 5.40 8.54 9.30 9.15 6.52 9.21 7.95 10.24 9.02 Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 16-0ct--91 2 3 - 0 c t -91 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 (G-10 C o u n t r i e s ) Chart 6. 9 - O c t - ' 91 Stock Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom United States Indices .06 .76 .26 .89 .39 .72 .82 .61 (Wednesday f i g u r e s ) 112 136 100 137 105 130 157 156 I n d i c e s ( i n o r d e r , rebased t o 1986=100) a r e T o r o n t o C o m p o s i t e , 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 9 8 8 5 6 8 9 7 111. 135. 97. 140. 105. 130. 153. 152. 115 .28 134 .55 98 05 1 4 1 . 94 107 13 134. 08 152 54 157 . 18 CAC G e n e r a l , FAZ A k t i e n , 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 October 28, 1991 H.10(512) FOREIGN EXCHANGE RATES FOR THE WEEK ENDING OCTOBER 25, 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 ESCUOO DOLLAR RAND WON PESETA RUPEE KRONA FRANC DOLLAR BAHT POUND MEMO: "UNITED STATES DOLLAR Oct. 21 (CURRENCY UNITS PER DOLLAR) Oct. 24 Oct. 22 Oct. 23 Oct. 25 0.7968 11.895 34.800 1.1270 5.3944 6.5300 1.2110 4.1050 5.7660 1.6905 188.35 7.7530 25.800 1.5815 1264.75 130.73 2.7478 1.9054 0.5660 6.6230 145.60 1.6945 2.8400 753.90 106.63 42.178 6.1570 1.4810 26.396 N. A. 1.7185 0.7950 11.935 34.900 1.1267 5.3944 6.5560 1.2077 4.1170 5.7810 1.6947 189.00 7.7530 25.840 1.5760 1268.00 131.20 2.7490 1.9101 0.5628 6.6420 146.05 1.6960 2.8380 752.60 106.90 N.A. 6.1745 1.4795 26.414 25.550 1.7145 0.7840 12.000 35.070 1.1275 5.3944 6.5995 1.2015 4.1240 5.8130 1.7040 190.15 7.7545 25.800 1.5680 1274.50 131.55 2.7520 1.9205 0.5526 6.6790 146.55 1.6980 2.8450 752.50 107.28 N.A. 6.2085 1.4890 26.375 25.580 1.7065 0.7854 11.965 35.000 1.1254 5.3944 6.5845 1.2040 4.1205 5.7945 1.6995 189.95 7.7565 25.790 1.5710 1271.25 131.18 2.7475 1.9149 0.5565 6.6625 146.65 1.6945 2.8465 754.50 107.18 42.228 6.1910 1.4885 26.372 22.590 1.7110 0.7855 11.970 35.010 1.1256 5.3944 6.5870 1.2040 4.1380 5.8035 1.7010 190.65 7.7565 25.790 1.5725 1271.25 131.40 2.7495 1.9171 0.5565 6.6650 146.45 1.6970 2.8485 754.80 107.03 N.A. 6.1960 1.4895 N.A. 25.590 1.7110 90.76 90.97 91.38 91.15 91.22 •VALUE IS U.S. DOLLARS ••INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10 COUNTRIES. MARCH 1975 = 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 HEIGHTED-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.
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