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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts October 29,1990 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. 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 FOREIGN CURRENCY PRICE OF U.S. DOLLAR RATIO SCALE MARCH 1973=100 140 130 120 110 BELGIAN FRANC 100 100 90 90 80 80 70 280 260 — 240 220 • i i i i ' • I • • ' l ' i I • I — SWISS FRANC I I 1 I 1 « I 1 » I 1 • • 70 280 260 240 220 JAPANESE YEN 200 200 180 180 160 160 140 140 120 100 I I 90 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 CANADIAN DOLLAR U.K. POUND 120 100 90 80 80 70 70 60 60 50 200 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 GERMAN MARK 180 50 200 180 DUTCH GUILDER 160 160 140 140 120 120 100 120 110 100 I I I I I 1 I 1 I I I I I I I I I I I • I i I I I I I I I ITALIAN LIRA 90 „ 100 60 55 50 FRENCH FRANC 45 80 40 70 35 60 30 50 I I I I I I 1988 I I I I I I I I 1990 I » I I I I 1988 I 1 I I I I I I 1990 I 25 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR [-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 4 4 , U.K. POUND CANADIAN DOLLAR 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 JAPANESE YEN GERMAN MARK v i < i I i i i l i i i l i i i i i i I i i i I — i i i I i i DUTCH GUILDER SWISS FRANC v / I I I I ' 1 » I I I 1 1 I » I i i i l i i i lI A I 1988 1 I 1 ^ I I I I ITALIAN LIRA FRENCH FRANC i 1990 I I 1 i I I 1988 1 y x 1 > 1 v x v 1 1 v x 1 / X - 1 1 1990 12 CHART3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. 520 DLLARS PER FINE OUNCE U.S. DOLLARS PER FINE O 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 1987 1988 1989 1990 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM 16 r — 12 PERCENT PER ANNUM — I 16 12 FRANCE U.S. FEDERAL FUNDS JAPAN 0 i i i I » i ' I i ' i l i i i i i i I i i i I i i ' l i i i 0 16 16 12 12 CANADA GERMANY i • l ' • ' I • • • l » • UNITED KINGDOM ' 1 1 1 I 1 1 1 1 1 I 1 I 1 1 1 SWITZERLAND NETHERLANDS 1988 1990 1988 1990 ' o CHARTS 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANN ENT PER ANNUM 10 12 8 SWISS INTERBANK RATE 10 U.S. CD'S 8 6 6 4 WEIGHTED AVERAGE FOREIGN RATE 4 i 2 16 14 i i I i i i I 2 i i i I i i I i I I ' I I I I I I I I I I 0 16 — 14 U.K. INTERBANK STERLING CANADIAN FINANCE CO PAPER 12 12 10 10 8 8 6 6 12 10 10 FRENCH INTERBANK RATE GERMAN INTERBANK RATE 8 6 8 4 6 4 10 2 10 NETHERLANDS INTERBANK RATE 8 8 JAPANESE CD RATE 6 6 4 4 2 l l I I l l 1988 I I l l l I I l 1990 I i i i I i i 1988 i I i i i I i i 1990 i 2 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY SENT PER ANNUM PERCENT PER AN 14 14 OVERNIGHT 12 3-MONTH 12 10 10 8 8 6 6 4 14 i i i I i i i I i i i I i i i I I I I 7-DAY 12 I I I I ' I I I » I • 6-MONTH 4 14 12 10 10 8 8 6 6 4 14 i » 1 I 1 » i l i i i l i i i i i i I i 1-MONTH 12 i i I i i i I i i i 1-YEAR 4 14 12 10 10 8 8 6 6 4 1 1 I i i 1988 » I i i i i i i 1990 i 1 1 « I i i 1988 i l i i i l i i 1990 4 e e - X e e e e # T 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 12 10 12 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 8 6 FEDERAL FUNDS 90-DAY CD'S DASHED LINE DASHED LINE 4 2 2 2 DIFFERENTIAL 1 + 0 1 1988 1990 CHARTS INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 16 16 12 U.S. COMMERCIAL PAPER EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE 0 ' ' ' I ' • 1 ' • 12 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON ' ' I ' I 1 • I I I I I I I I I I I I — DIFFERENTIAL DIFFERENTIAL *v*v**v/vvv v " k - v •wvvV^ " 1 i 2 16 i I i 12 I I I l 1 1 1 1 1 1 1 1 1 INTERBANK DM i i I i i • I 1 1 1 1 1 1 1 1 1 1 1 i » ' 2 16 12 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE ' 1 SWISS INTERBANK (SF) COVERED COVERED FRANKFURT — 1 I i i i I ' » I I I I I I I I I I I I Io 2 DIFFERENTIAL DIFFERENTIAL <\i vvV-J V ' V u H J - v / I I I I I ' 1988 ' 1 ' » I I I I 1990 I I I I I i I 1988 I I ' ' I I I I 1990 I ^ CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES SCENT PER ANNUM PERCENT PER ANN! 14 14 UNITED STATES CANADA 12 12 10 10 8 8 i 6 ' i I i i ' I i i » I ' i » 1 1 i 1 1 • 1 I » « i I > » i 14 UNITED KINGDOM 6 14 FRANCE 12 12 10 10 8 6 10 8 i i i l i i i I i ' i i i ' 6 10 SWITZERLAND JAPAN 8 8 6 6 4 4 2 10 ' i ' I ' • ' 1 ' • • I ' i i NETHERLANDS MONTHLY • • ' I » ' » I 1 ' » i » 1 » 2 10 GERMANY 8 8 6 6 4 4 2 i ' I i ' 1988 ' I 1 1 ' l ' • 1990 « • • ' I i • 1988 ' ' • • • i • • 1990 » 2 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 175 200 . UNITED STATES NETHERLANDS 150 125 100 75 50 400 i i i I i i ' I i i i I i i 350 — JAPAN GERMANY 300 250 200 150 100 200 i i i I i i i I i i i I i i i 175 — SWITZERLAND FRANCE 150 125 100 75 50 200 175 i i i l » i » > i i i l » i i .CANADA UNITED KINGDOM 150 125 100 75 50 « ' 1 I 1 1 1988 1 i 1 • i 1 i i i 1990 1988 1990 SERIES 26-Sep-90 3-Qct-90 Chart 1. (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, 3.0959 86.791 19.028 63.691 0.08525 0.73038 56.495 76.306 186.78 3.1158 86.664 19.170 64.202 0.08570 0.72823 56.926 77.235 188.40 121.99 86.50 85.75 179.17 48.93 191.24 162.18 245.49 75.55 122.78 86 .38 86.38 180.61 49.19 190.68 163.42 248.48 76.20 Weighted average exchange v a l u e i n d i c e s , 3 - M o n t h F o r w a r d Exchange R a t e s , 3.1945 86.641 19.641 65.798 0.08783 0.78226 58.366 77.999 196.25 3.2140 85.399 19.767 66.166 0.08833 0.79070 58.701 78.400 195.28 Gold P r i c e i n 124 86 87 183 49 198 166 251 78 .81 .59 .70 .41 .92 .91 .00 .17 .83 125 86 88 185 50 204 167 250 79 .88 .35 .51 .09 .42 .82 .56 .93 .38 126 85 89 186 50 207 168 252 78 .65 .12 .07 .13 .70 .03 .52 .22 .98 109 73 74 175 40 184 148 67 223 66 83 .19 .76 .03 .05 .33 .97 .29 .29 .68 .00 .87 109 72 74 175 40 189 148 67 221 65 83 .27 92 .14 .32 .41 .45 .51 .02 .65 .94 .03 109 .67 7 1 .59 74 .45 175 . 9 4 40 . 5 5 191 . 1 9 149 . 0 1 67 . 2 2 222 . 2 3 65 .39 82 .76 19731 = 100 109.10 74.82 74.08 175.10 40.37 179.54 148.28 67.29 224.80 64.69 85.55 Premium o r D i s c o u n t -4.20 -2.07 -0.40 -2.23 -0.17 -0.34 0.11 -6.45 - 4 .27 - 1 .86 - 0 .40 - 2 .35 - 0 .02 - 0 .44 0 .21 - 5 .85 - 4 .12 - 1 .75 - 0 .42 - 2 .72 -0 .01 - 0 .34 0 .17 - 5 .32 - 4 .22 - 1 .79 - 0 .43 - 2 .86 -0 .01 -0 .31 0 .06 - 5 .49 395.04 397.18 394 . 1 9 377 . 5 4 37 0 . 0 2 8 26 8.13 13.00 9.65 8.01 7.63 8.01 5.88 14.73 8.23 8.23 12.33 9.76 8.01 7.67 8.09 6.48 14.83 8 .20 8 .16 12 .59 9 .53 8 .03 7 .52 8 .06 6 .88 14 . 2 3 7 .96 7 .96 12 . 3 5 9 .50 8 .04 7 .58 7 .86 6 .88 13 . 8 9 7 .99 7 .93 12 . 5 3 9 .61 8 .01 7 .74 7 .64 6 .88 13 .96 -4.09 -1.94 -0.13 -2.27 -0.03 -0.13 0.06 -6.29 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 London, A f t e r n o o n F i x i n g d o l l a r s per f i n e ounce Chart 4. Mar. 108.85 75.27 73.81 174.30 40.32 180.97 147.74 67.25 222.97 64.37 86.01 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 U.S. 3.1674 86.874 19.462 65.198 0.08697 0.75970 57.825 78.073 194.90 M a r c h 1973 b a s e 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 Chart 3. 17-0ct-90 24-Oct-90 S p o t Exchange R a t e s a n d I n d i c e s Noon b u y i n g r a t e s Chart 2. 10-0ct-90 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 Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom deposits SERIES 26-Sep-90 3 - 0 c t - 9 Q Chart 5. 3-Month I n t e r e s t S e l e c t e d E u r o - d o l l a r & U.S. 13 48 24 24 26 33 8.23 8.10 8.09 8.11 8.10 8.20 8.16 8.14 8.09 8.09 8.06 8.10 8 . 12 1 2 . 54 9 . 88 8 . 53 8 . 26 8 . 41 7 . 85 1 3 . 74 9 . 96 8.08 12.60 9.79 8.49 8.22 8.38 7.90 13.83 9.97 96 03 08 13 13 14 7.93 8.00 8.04 8.09 8.09 8.09 Interest Arbitrage, U.S. commercial paper Canadian f i n a n c e p a p e r , Differential 8.23 8.23 -0.00 8.16 8.20 -0.04 7 . 96 7 . 96 0. 00 7.93 7.99 -0.06 8. 24 8,,21 0,.03 8.11 8.10 0.01 8.09 8.06 0.03 8 . 13 8 . 12 0. 01 8.09 8.08 0.01 8 .24 8 .37 - 0 .13 8.11 8.24 -0.13 8.09 8.14 -0.05 8 ,.13 8 .24 - 0 .11 8.09 8.15 -0.06 8 .09 8 .32 - 0 .23 8.02 8.22 -0.21 7.97 8.18 -0.21 8 .02 8 .30 - 0 .27 8.04 8.24 -0.20 8 .24 8 .20 0 .03 8.11 8.11 -0.00 8.09 8.10 -0.02 8 .13 8 .10 0 .02 8.09 8.05 0.04 8 .24 8 .01 0 .22 8.11 8.06 0.05 8.09 7.99 0.10 8 .13 8 .02 0 .10 8.09 7.96 0.12 11 . 5 4 10 .97 9 .17 8 .63 6 .63 11 .10 8 .99 11.28 11.21 9.19 8.38 6.54 11.12 8.77 11.49 ND 9.16 8.16 6.54 10.90 8.76 11 .37 ND 9 .16 7 .90 6 .61 10 .98 8 .82 ND ND 9.06 ND 6.55 11.02 8.65 106.02 112.98 87.79 124.88 92.44 109.20 118.90 123.15 105.95 117.37 92.48 126.28 93.74 113.31 125.61 125.56 103.84 116.15 90.14 130.72 92.60 112.94 126.21 121.27 100.77 118.74 92.49 132.58 92.27 113.93 124.20 120.26 104.06 121.95 97.85 139.25 94.01 118.06 127.15 125.41 3 - M o n t h Funds covered covered Euro-dollar deposit I n t e r b a n k DM ( F r a n k f u r t ) , Differential 7. 8. 8. 8. 8. 8. 8 . 13 8 . 26 - 0 . 13 deposits Euro-dollar deposit Interbank s t e r l i n g (London), Differential covered Euro-dollar deposit Swiss i n t e r b a n k , covered Differential Long Term Government 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. 8.06 12.59 9.99 8.51 8.28 8.41 7.78 14.19 9.99 ' Market Rates 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, secondary market Differential Chart 9. 8.10 12.55 10.23 8.53 8.38 8.40 7 .95 14.94 10.04 8. 8. 8. 8. 8. 8. Overnight Euro-dollar U.S. f e d e r a l f u n d s Differential Chart 8. 8 . 21 1 2 . 54 1 0 . 24 8 . 34 8 . 39 8 . 40 7 . 95 14. 89 9 . 98 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 17-0ct-90 24-Oct-90 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. 10-0ct-90 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 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) October 29, 1990 FOREIGN EXCHANGE RATES FOR THE MEEK ENDING OCTOBER 26, 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 Oct. 22 •AUSTRALIA AUSTRIA BELGIUM CANADA CHINA,P.R. DENMARK *EUR0 COMMUNITY 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 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 0.7820 10.645 31.190 1.1733 4.7339 5.7700 1.3672 3.5970 5.0720 1.5170 152.15 7.7840 18.080 1.7720 1135.00 126.05 2.6975 1.7098 0.6070 5.8800 133.75 1.7080 2.5500 718.80 95.08 40.418 5.6080 1.2820 27.280 25.000 1.9480 0.7780 10.690 31.270 1.1710 4.7339 5.7945 1.3630 3.6065 5.0785 1.5175 154.00 7.7855 18.100 1.7657 1137.50 127.50 2.7020 1.7107 0.6048 5.8995 133.90 1.7120 2.5330 718.80 95.08 N.A. 5.6195 1.2817 27.290 N.A. 1.9464 0.7804 10.610 31.030 1.1688 4.7339 5.7575 1.3735 3.5900 5.0450 1.5080 152.85 7.7860 18.120 1.7770 1130.00 128.05 2.7035 1.6990 0.6063 5.8650 132.85 1.7110 2.5250 719.70 94.60 40.418 5.5970 1.2700 27.295 25.070 1.9565 0.7833 10.619 31.060 1.1680 4.7339 5.7580 1.3680 3.5925 5.0665 1.5132 152.25 7.7855 18.100 1.7735 1132.00 127.30 2.7010 1.7060 0.6090 5.8760 133.25 1.7060 2.5400 719.30 94.60 40.418 5.6050 1.2770 N.A. 25.030 1.9540 0.7812 10.665 31.200 1.1655 4.7339 5.7870 1.3660 3.6070 5.0735 1.5165 153.20 7.7845 18.100 1.7690 1135.73 128.00 2.7005 1.7096 0.6098 3.8950 133.65 1.7200 2.5405 718.50 94.98 40.418 5.6200 1.2810 27.285 25.080 1.9560 MEMO: ^UNITED STATES DOLLAR 82.92 83.11 82.73 82.85 83.01 COUNTRY CCURRENCY UNITS PER 1 DOLLAR) Oct. 23 Oct. 24 Oct. 25 Oct. 26 *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 HE IGHTE D-AVE RAGE EXCHANGE VALUE OF THE U.S. DOLLAR: REVISION" ON PAGE 700 OF THE AUGUST 1978 FEDERAL RESERVE BULLETIN. THIS RELEASE IS NOW AVAILABLE THROUGH THE FACILITIES OF THE DEPARTMENT OF COWERCE'S ECONOMIC BULLETIN BOARD. FOR INFORMATION, CALL (202) $77-1986.