Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : September 23, 1991

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Selected Interest &
Exchange Rates
Weekly Series of Charts

September 23, 1991

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, D.C. 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
140

i

RATIO SCALE
MARCH 1973=100
140

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

i

I

i

i

i

I

i

BELGIAN FRANC

i

i

I

i

i

I

I

I

I

I

i

—

SWISS FRANC

I

i

i

I

I

I

I

I

I

I

I

i

i

l

i

i

I

i

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I

i

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i

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i

i

i

I

i

i

i

I

i

i

i

i

i

i

I

I

I

i

i

JAPANESE YEN

*

i

i

I

i

i

i

CANADIAN DOLLAR

U.K. POUND

•

i

i

I

i

i

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I

i

< i

•

'

i

l

i

i

i

l

GERMAN MARK

yvvA

DUTCH GUILDER

i

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I

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I

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I

i

i

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I

i

i

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I

i

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I

ITALIAN LIRA
—

FRENCH FRANC

i

i

i

i




i

i
1989

i

I

i

i

< I

i

i
1991

J_L

I

i

i
1989

i

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

1 I 1 I 1 I I 1 1 1 1 1 1 1 1

i

GERMAN MARK

JAPANESE YEN

i

12

i i 1 i i

i 1 i i

1

i

TV /

—

i

i

i

"V

i 1 m

i

i

i

i

i

1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

i

FRENCH FRANC

ITALIAN LIRA




i

1 1 1 1 1
1991

i

i

i

i

1

DUTCH GUILDER

1989

1

i

i

i

i

i

i

i

IK

SWISS FRANC

1 1 1 1 1 1 I 1 I I

i

1

i

v-*vy\

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i

i

i

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i

1

i

i

i

V

1 1 1 1 LL_±.J. J _ L
1989

i

i

1

,

l i V i

•. i
1991

i .. 12

CHART 3

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

OLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE O'

520

500

12.5 Kg BARS

AFTERNOON FIXING PRICE

480

460

440

420

400

380

360

340

320

i
1988




l

J

I

I
1989

I

I

I

I
1990

I

I

I

L_
1991

CHART 4

CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM

PERCENT PER ANNUM
16

16

12

FRANCE

U.S. FEDERAL FUNDS

12

JAPAN

0

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.Q

16

16

12

12

GERMANY

CANADA

i

•

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I

i

i

'

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I

0
16

UNITED KINGDOM

SWITZERLAND
12

NETHERLANDS

1

1

1




I

1

1

1989

1

I

1

1

> I

I

I

I

1991

i

'

I

'

i
1989

i

l

i

'

•

l

i

'
1991

•

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUM
10

PERCENT PER ANNUM

12
U.S. CD'S
10

SWISS INTERBANK RATE

WEIGHTED AVERAGE
FOREIGN RATE

i

2
16

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I

i

i

i
16

14

14

12

12
CANADIAN FINANCE CO
PAPER

U.K. INTERBANK STERLING
10

6
10

i

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I

i

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i

i

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i

i

I

i

i

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I

i

i

10

i

I

i

i

i

6
12

GERMAN INTERBANK RATE

10

FRENCH INTERBANK RATE

2
10

i

i

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I

i

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I

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I

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'

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'

'

JAPANESE CD RATE

NETHERLANDS INTERBANK RATE

i

i i




I

i

i
1989

i

I

i

i

i

I

i

i
1991

i

i

i

'

I

i

'
1989

•

I

'

'

i

1991

4
10

CHART 6

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

PERCENT PER ANNUM

14

14

OVERNIGHT

12

3-MONTH

—

10

4
14

10

'

'

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I

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'

I

'

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I

I

I

7-DAY

12

I

i

i

:

I

i

'

6-MONTH

i

4
14

12

10

4
14

12

10

'

•

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l

'

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i

1-MONTH

12

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i

1-YEAR

10

•

'

l




'

• •
1989

I

•

'

•

i

•

• •
1991

1989

1991

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

1

1

1

1

DASHED LINE

1

1

I

I

I

I

DIFFERENTIAL

.

I

I




I

.

I

.

I

1

I

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I

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I
Vvwa>VN

I
1989

I

J—I

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L

J

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I

l_L

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i

DIFFERENTIAL

I

Ma|v aa.i.

'
1

y

V Y

1

1

1

I

i
1991

i

J—i—i—I
1989

i

i
i
1991

CHART 8

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

tCENT PER ANNUM

16

16

INTERBANK STERLING
12

CANADIAN FINANCE
CO. PAPER, COVERED

—

COVERED LONDON

12

8

8
U.S. COMMERCIAL PAPER

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

4

4

i

0

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DIFFERENTIAL

DIFFERENTIAL
+

0

2

+

vsjwv v

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Y

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0

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l

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I

i

i

'

INTERBANK DM

12

_

COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

12

8

8
EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

4

4

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0
2

2
DIFFERENTIAL

DIFFERENTIAL
+

0 /jBUW»WW'1 " V u ^

2

2
16

16

0

0
2

2

I

I

I




I

•

+

0

1

I
1989

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I

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1991

I

•

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•

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1989

i

I

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i

l

i

i
1991

i

2

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
=tCENT PER ANNUM

PERCENT PER ANN!

14

14
UNITED STATES

CANADA

12

12

10

10

8

8

i

6
14

i

i

I

i

i

i

I

i

i

i

I

i

i

i

UNITED KINGDOM

i

'

I

i

i

'

l

'

i

'

l

i

i

i

6
14

FRANCE

12

12

10

10

8

6

8

i

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l

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l

i

i

I

I

I

I

I

I

I

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'

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» I

'

10

SWITZERLAND

JAPAN

6
10

8

8

6

6

4

4

2
10

I

I

I

I

I

I

I

I

I

I

I

I

I

I

NETHERLANDS

i

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I

i

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l

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i

l

'

i

i

2
10

GERMANY

8

8

6

6

4

4

2

i

i

i




I

i

i
1989

i

l

i

i

'

I

'

i
1991

i

I

i

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1989

'

I

•

'

'

I

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1991

'

2

CHART 10

STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1986=100

RATIO SCALE
1986=100

200

200
— UNITED STATES

NETHERLANDS

JAPAN

GERMANY

SWITZERLAND

FRANCE

CANADA

UNITED KINGDOM




1989

1991

1989

1991

SERIES
Chart 1.

21 -Aug-91 28-Aug -91

4- S e p - 91

11-Sep -91 18~Sep-91

Spot Exchange Rates and Indices

Noon buying rates (U.S. cents, weekly averages)
Belgian franc
Canadian dollar
French franc
German mark
Italian lira
Japanese yen
Netherlands guilder
Swiss franc
U.K. pound

2.7417
87.445
16.612
56.402
0.07550
0.72859
50.056
65.057
165.88

2.7890
87 .497
16 .891
57. 359
0.07684
0.73086
50. 918
65. 753
168 .36

2.7886
87. 619
16 .894
57 .370
0.07690
0.73373
50. 932
65. 528
168 .63

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

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

108.04
87.15
74.86
158.66
43.34
190.77
143.70
209.30
67.09

109
87
76
161
44
191
146
211
68

.90
.21
.11
.36
.10
.36
.17
.54
.10

109
87
76
161
44
192
146
210
68

.89
.33
.13
.39
.14
.12
.22
.81
.20

111
87
77
164
44
193
148
214
69

.84
.46
.48
.37
.90
.45
.87
.32
.36

113.86
87.70
78.80
167.50
45.64
195.49
151.63
219.06
70.20

104
81
69
166
38
195
141
65
203
61
93

.34
.51
.45
.13
.68
.50
.66
.39
.69
.74
.34

105
80
69
167
38
194
142
65
204
62
91

.01
.64
.92
.49
.91
.50
.64
.75
.74
.10
.99

105.70
79.86
70.32
168.94
39.11
194.24
143.67
66.07
206.90
62.12
90.63

Weighted average exchange value indices , Mar. 1973=100
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.

.43
.45
.49
.24
.67
.80
.73
.41
.56
.68
.42

-2.93
-3.96
-3.66
-5.93
-1.55
-3.72
-2.33
-5.07

- 2 .83
-3 .78
-3 .48
-5 .79
-1 .55
-3 .61
- 2 .38
-5 .00

-2 .80
-3 .64
-3 .54
-5 .79
-1 .46
-3 .62
-2 .40
-4 .82

- 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

354 .55

348 .53

348 .59

346.04

5 .60
5 .59
8 .44
9 .03
8 .92
7 .41
9 .02
7 .88
10 .84

5 .56
5 .48
8 .50
9 .20
9 .00
6 .98
9 .04
7 .48
10 .45

5.46
5.41
8.60
9.13
8.99
6.88
8.93
7.38
10.59

Gold Price in London, Afternoon Fixing

U.S. dollars per fine ounce
Chart 4.

104
81
69
166
38
194
141
65
204
61
93

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.

103.68
82.32
69.00
164.94
38.37
196.40
140.70
64.97
204.51
61.37
94.67

357.48

Call Money Rates

U.S. federal funds
Overnight Euro-dollar deposits
Canada
F ra n c e
Germany
Japan
Netherlands
Switzerland
United Kingdom




5.68
5.59
8.63
9.22
8.87
7.36
8.99
7.48
10.98

5
5
8
9
8
7
9
7
10

.58
.58
.45
.09
.72
.41
.00
.88
.86

SERIES
Chart 5.

21-Aug~91 28-Aug-91 4-Sep-91

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 a v e r a g e foreign interest rate
CG-10 C o u n t r i e s )
Chart 6.

5.57
8 .74
9.54
9.25
7.27
9.33
7.80
10.83
9 .32

5. 64
8. 68
9. 35
9. 15
7 .22
9. 23
7 .85
10. 75
9. 25

5.59
5.61
5.59
5.59
5.71
5.91

5. 58
5. 60
5. 60
5. 63
5. 75
5. 98

5..60
8..66
9..29
9.,15
.17
7.
9..25
.88
7.
10,.67
9 .21

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

.48
.58
.59
.58
.70
.91

5.41
5.41
5.43
5.44
5.60
5.80

Euro-Dollar Deposit Rates

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

ll-Sep-91 18-Sep~91

5
5
5
5
5
5

.59
.59
.61
.61
.74
.93

5
5
5
5
5
5

Market Rates

Selected Euro-dollar & U.S.

5..48
5 .56
-0 . 08

5.41
5.46
-0.05

5,.59
5 .68
-0 . 09

5 .58
5..58
-0 .01

5 .59
5 .60
-0 .00
,

5 .59
5 .57
0 .02
,

5 .63
5 .64
-0 .01

5 .61
5 .60
0 .02

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

5..59
5..62
-0 .03
.

5 .63
5 .61
0 .01

5..61
5..72
-0 .11
,

5 .58
5 .61
-0 . 04

5.44
5.54
-0.11

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

5..64
5..75
-0 .11
.

5 .71
5 .79
-0 .08

5..73
5..80
-0..07

5 .64
5 .77
-0..13

5.51
5.68
-0.17

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

5 .59
5 .50
0,.09

5 .63
5 .59
0 .03

5 .61
5 .53
0 .08

5 .58
5 .50
0 .07

5.44
5.41
0.03

Euro-dollar deposit
Swiss interbank, covered
Differential

5 .59
5..42
0 .17
.

5 .63
5 .42
0 .20

5 .61
5 .43
0 .19

5 .58
5 .38
0 .20

5.44
5.30
0.14

9 .73
9..03
8 .49
6 .44
6 .16
8 .83
9 .95
7.
, 86

9
8
8
6
6
8
9
7

.64
.94
.42
.33
.18
.73
.86
.80

9
8
8
6
6
8
9
7

9.47
8.85
8.39
6.15
6.14
8.77
9.57
7.64

116..20
134..57
102..06
131..55
108..65
134 .31
160..92
.28
157 .

114
134
101
132
107
133
160
155

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

Chart 9.

5.44
5.42
0.02

Interest Arbitrage, 3-Month

Long Term Government Bellwether Bond Y i e l d s
10-year maturity, where available
9
9
8
6
6
8
10
7

.72
.15
.53
.45
.12
.88
.00
.82

117
126
96
130
107
130
157
157

.04
.50
,
.98
.12
.35
.92
.78
.24

Canada
France
Germany
Japan
Switzerland
Netherlands
United Kingdom
United States
Chart 10.

5 .58
5 .55
0 .02
.

Stock Indices (Wednesday fi

Canada
France
Germany
Japan
Netherlands
Switzerland
United Kingdom
United States

res)
117..34
133,.24
102..63
.26
127 .
107..35
133 .83
158..60
159..65

.29
.12
.12
.20
.78
.34
.45
.27

113.92
136.44
101.05
136.12
107.08
131.06
155.72
155.51

Indices (in order, rebased to 1986=100) are Toronto Composite, CAC General, FAZ Aktien,
Tokyo SE (TOF ix), CBS All-General, Swiss Bank Index, Financial Times Ordinary, NYSE Composite




. * * of COVAV •

FEDERAL RESERVE statistical release
H.10(512)

September 23 > 1991

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

SEPTEMBER 20, 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:
MONETARY
UNIT

Sep. 16

•AUSTRALIA
AUSTRIA
BELGIUM
CANADA
CHINA,P.R.
DENMARK
*EURO COMMUNITY
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
•IRELAND
ITALY
JAPAN
MALAYSIA
NETHERLANDS
*NEH 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

0.7991
11.775
34.480
1.1358
N. A.
6.4675
1.2240
4.0810
5.7005
1.6738
186.15
7.7485
25.850
1.5965
1253.75
133.65
2.7570
1.8873
0.5876
6.5595
143.95
1.6980
2.8090
745.30
104.98
N. A.
6.1010
1.4635
26.483
25.600
1.7390

0.7995
11.740
34.440
1.1365
5.3835
6.4500
1.2257
4.0615
5.6885
1.6705
186.15
7.7505
25.960
1.5990
1250.50
133.82
2.7513
1.8837
0.5870
6.5515
143.75
1.6945
2.8170
745.50
104.83
41.898
6.0925
1.4585
26.485
25.570
1.7420

0.8000
11.830
34.660
1.1369
N. A.
6.4950
1.2177
4.0750
5.7260
1.6820
186.75
7.7585
25.890
1.5895
1258.25
134.17
2.7520
1.8963
0.5856
6.5895
144.55
1.6935
2.8210
741.70
105.38
41.918
6.1280
1.4678
26.501
25.580
1.7307

0.7957
11.893
34.810
1.1365
5.3899
6.5285
1.2118
4.1200
5.7570
1.6898
187.95
7.7570
25.890
1.5815
1265.00
134.50
2.7505
1.9048
0.5839
6.6230
145.35
1.6940
2.8283
739.70
106.13
N. A.
6.1590
1.4777
26.610
25.600
1.7275

0.7974
11.868
34.780
1.1355
5.3899
6.5155
1.2135
4.1205
5.7480
1.6875
187.85
7.7560
25.920
1.5807
1263.75
134.37
2.7515
1.9022
0.5843
6.6045
145.15
1.6960
2.8230
742.00
105.98
N. A.
6.1500
1.4725
26.650
25.620
1.7285

MEMO:
HHJNITED STATES

DOLLAR

90.38

90.26

90.75

91.10

90.98

COUNTRY

(CURRENCY UNITS PER DOLLAR)
Sep. 17
Sep. 18
Sep. 19

Sep. 20

*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. WEIGHTS 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.