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(516/517) Selected Interest & Exchange Rates Weekly Series of Charts September 3,1991 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, DuC. 20551 Table of Contents TABLES 1. LATEST FIGURES PLOTTED 2. DAILY CERTIFIED SPOT EXCHANGE RATES H.10 RELEASE CHARTS 1. 2. 3. 4. 5. SPOT EXCHANGE RATE INDICES 3-MONTH FORWARD EXCHANGE RATES GOLD PRICE-LONDON CALL MONEY RATES 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 »SCALE H1973=100 140 130 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 120 140 130 _ J 120 BELGIAN FRANC — 110 110 100 100 90 90 80 80 i 70 280 260 — 240 220 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 70 280 260 240 220 200 200 180 180 160 160 140 140 120 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 100 90 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 ' ' ' ' _ 180 I I ' I I I I I I GERMAN MARK I W V DUTCH GUILDER 160 140 120 120 100 • i i I i i i I i i i l i i i i i 120 110 i I i i i I i i i I 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 i i 1991 i i i i I i i 1989 i 1991 i 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 1 I 1 I 1 I 1 I i i i 1 i i 1 i JAPANESE YEN GERMAN MARK i i i , i i i ,1 i i i 1 i i m v/i i i i 1 1 1 1 1 i 1 i I i i i i i i i i i i i — — i i 1 i i i 1 i i i 1 1 1989 i i i 1 i i i " 1 i i " i V 1 iTvi ITALIAN LIRA FRENCH FRANC 12 i DUTCH GUILDER SWISS FRANC — 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1991 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1989 1991 12 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. U.S. DOLLARS PER FINE OL c >LLARS PER FINE OUNCE 520 520 500 500 12.5 Kg BARS AFTERNOON FIXING PRICE 480 480 460 460 440 440 420 420 400 400 380 380 360 360 340 340 320 1988 1989 1990 1991 320 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANNUM 16 PERCENT PER ANNUM 16 12 12 FRANCE — U.S. FEDERAL FUNDS JAPAN 0 ' i i I i i i I i i i l i i i i i i I i i i I ' ' i I i i ' 0 16 16 12 12 CANADA GERMANY • ' l i i i I i i ' I i i i i i I i i i l i i i I i i i 0 16 SWITZERLAND UNITED KINGDOM 12 NETHERLANDS ' 1989 1991 ' l i i 1989 i I i ' i I i i 1991 i CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER ANh ENT PER ANNUM 10 12 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 I i i i I i i i I I I I ' ' ' I I ' I I I » I 0 16 14 14 12 12 CANADIAN FINANCE CO. PAPER U.K. INTERBANK STERLING 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 10 i 6 12 GERMAN INTERBANK RATE 8 10 6 8 FRENCH INTERBANK RATE 6 4 2 10 i ' 8 ' I i ' i I i i i I i i i ' 1 I I 1 ' 1 ' « 1 » I ' 1 8 JAPANESE CD RATE 6 6 NETHERLANDS INTERBANK RATE 4 2 4 10 ' i i I i i 1989 ' I i i i I i i 1991 4 i 1989 1991 2 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 14 14 3-MONTH OVERNIGHT 12 12 10 10 4 14 • ' 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 12 — 10 4 14 4 14 6-MONTH 7-DAY 12 i i i i I ' i i I i ' i I i ' • i i I ' 1 l 1 1 1 1 I 1 1 4 14 1-YEAR 1-MONTH 12 i 10 12 10 10 — • i ' I i ' 1989 i l i i ' I i i 1991 ' ' ' i l ' i 1989 i I i i i I i i 1991 i 6 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 ANNUI A ENT PER ANNUM 14 14 12 12 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 10 10 8 8 FEDERAL FUNDS DASHED LINE DASHED LINE 6 6 4 4 2 2 I I I I I I I I I I l I I I I L DIFFERENTIAL i i i I i i i 2 2 DIFFERENTIAL 1 1 + + 0 0 1 I I I I l L_J 1989 I I I I I I L 1991 I I I I I J 1989 I I I L_l I I I 1991 L 1 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 ' ' I ' I I I I ' 12 I I I I I I I I I i I I I I • ' I • • • I0 2 DIFFERENTIAL DIFFERENTIAL v ^ 2 16 » ' i Vv v ,w* '\[-W^ W / I i ' ' I • i I I l ' I I I I I I I I I I I I I I I I • 16 INTERBANK DM 12 — SWISS INTERBANK (SF) COVERED — COVERED FRANKFURT EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE ' ' ' I ' • I I ' • 12 • I ' ' I I I I I I I I I I I I I I I I ,o 2 DIFFERENTIAL DIFFERENTIAL » ' ' I » ' 1 1989 I 1 1 1 I 1 1 1 1991 • ' ' I I I I 1989 I I I I I I I I 1991 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANN! RCENT PER ANNUM 14 14 CANADA UNITED STATES 12 12 10 10 8 8 I 6 14 l I l I l I l l l i I i i l i ' i I i ' i l ' ' i 6 14 FRANCE UNITED KINGDOM 12 12 10 10 8 8 I 6 10 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 6 10 SWITZERLAND JAPAN 8 8 6 6 4 4 2 10 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 i 2 10 GERMANY NETHERLANDS 8 8 6 6 4 4 2 i i i I i i i 1989 I i i i I I 1991 I i i i l i i 1989 ' I ' i i I ' i 1991 i 2 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 200 NETHERLANDS 175 _ UNITED STATES 150 125 100 75 50 400 » I i I i i i I i i i I i i i GERMANY 350 — JAPAN 300 250 200 150 100 • ' ' I ' • ' ' • • • I ' ' ' 200 FRANCE 175 — SWITZERLAND 150 125 100 75 50 200 I I I I I I < I I I I I I I I UNITED KINGDOM 175 — CANADA 150 125 100 75 50 • ' i ' i 1989 i I i i i I i i 1991 i SERIES Chart 1. 31-Jul-91 7-Aug-91 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 ( 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, 2.7755 86.895 16.816 57.174 0.07661 0.72435 50.712 65.508 168.02 109 86 75 160 43 189 145 210 67 Weighted a v e r a g e 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 mark Italian lira Japanese yen Netherlands g u i l d e r Swedish krona Swiss f r a n c U . K . pound U.S. d o l l a r 3 - M o n t h F o r w a r d Exchange R a t e s , 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. U.S. 2.7890 87.497 16.891 57.359 0.07684 0.73086 50.918 65.753 168.36 108 87 74 158 43 190 143 209 67 .04 .15 .86 .66 .34 .77 .70 .30 .09 109..90 87 ..21 76 ..11 161..36 44..10 191..36 146 ..17 211..54 68 .10 .70 .83 .70 .10 .69 .22 .25 .59 .76 .84 .92 103 82 69 164 38 196 140 64 204 61 94 .68 .32 .00 .94 .37 .40 .70 .97 .51 .37 .67 104 81 69 166 38 194 141 65 204 61 93 .43 .45 .49 .24 .67 .80 .73 .41 .56 .68 .42 .95 .93 .69 .91 .65 .72 .23 .13 -2 -3 -3 -5 -1 -3 -2 -5 .93 .96 .66 .93 .55 .72 .33 .07 -2 -3 -3 -5 -1 -3 -2 -5 .83 .78 .48 .79 .55 .61 .38 .00 2.8079 87.248 17.008 57.855 0.07720 0.73202 51.310 66.094 169.49 .37 .61 .78 .84 .98 .66 .58 .75 .96 .77 .71 .74 .91 .45 .78 .46 .57 .78 110 .65 86 ,.96 76 .64 162 .75 44 . 3 1 191,.67 147 .30 212 .63 68 .55 Mar. 104.28 81.15 69.42 166.29 38.70 193.62 141.65 65.51 204.52 61.78 93.84 104 80 69 167 38 194 142 65 204 61 92 -2 -3 -3 -5 -1 -3 -2 -5 110 86 76 162 44 191 147 213 68 1973=100 104. 72 8 0 . 49 69 . 7 1 167. 10 38. 78 194. 13 142 26 6 5 , 67 205. 48 62. 00 92..81 remium o r D i s c o u n t Premium -2.70 -3.67 -3.26 -5.56 -1.33 -3.27 -1.91 -4.96 -2 -3 -3 -5 -1 -3 -2 -4 .73 .76 .48 .69 .49 .52 .05 .97 G o l d P r i c e i n L o n d o n , A f t e r n o o n F ii x i n g d o l l a r s per f i n e ounce Chart 4. 2.7417 87.445 16.612 56.402 0.07550 0.72859 50.056 65.057 165.88 2.8110 86.997 17.029 57.913 0.07744 0.73244 51.365 66.387 170.05 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 2. 14-Aug-91 21-Aug-91 28-Aug-91 363.66 358 .30 357 . 3 3 362 .88 354 .55 5.79 5.75 8.65 9.50 8.82 7.38 8.63 7.38 10.98 5 .83 5 .73 8 .55 9 .21 8 .93 7 .43 8 .91 7 .38 10 .79 5 .62 5 .63 8 .68 9 .19 8 .94 7 .45 8 .90 7 .38 11 . 0 3 5 .68 5 .59 8 .63 9 .22 8 .87 7 .38 8 .99 7 .48 10 .98 5 .58 5 .58 8 .45 9 .09 8 .72 7 .41 9 .00 7 .88 10 .86 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 deposits Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom e SERIES Chart 5. 31 - J u l - -91 7-- A u g - 9 1 3-Month I n t e r e s t Rates U.S. 9 0 - d a y C D ' s , s e c o n d a r y m a r k e t 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 r a t e 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. Euro-Dollar Selected Euro-dollar Overnight Euro-dollar U.S. f e d e r a l f u n d s Differential Interest Arbitrage, U.S. c o m m e r c i a l paper Canadian f i n a n c e p a p e r , Differential 5.73 5.71 5.74 5.78 6.05 6.30 .63 .76 .55 .30 .39 .29 .75 .91 .37 5 8 9 9 7 9 7 10 9 .57 .74 .54 .25 .27 .33 .80 .83 .32 5. 8. 9. 9. 7. 9. 7, 10. 9. 64 68 35 15 22 23 85 75 25 5 .63 5 .61 5 .60 5 .61 5 .80 6 .05 5 .59 5 .61 5 .59 5 .59 5 .71 5 .91 5..58 5. 60 5, 60 5, 63 5..75 5..98 5.73 5.83 -0.10 5 .63 5 .62 0 .00 5 .59 5 .68 - 0 .09 5..58 5 .58 - 0 . .00 5 .94 5 .92 0 .02 5.78 5.80 -0.02 5 .61 5 .63 - 0 .02 5 .59 5 .57 0 .02 5..63 5..64 - 0 . .01 5 .94 5 .99 - 0 .05 5.78 5.82 -0.05 5 .61 5 .64 - 0 .03 5 .59 5 .62 - 0 .03 5 .63 5.. 61 0 .01 5 .96 6 .03 - 0 .08 5.85 5,98 -0.13 5 .68 5 .74 - 0 .06 5 .64 5 .75 - 0 .11 5 .71 5 .79 - 0 . .08 5 .94 5 .83 0 .11 5.78 5.68 0.10 5 .61 5 .52 0 .09 5 .59 5 .50 0 .09 5 .63 5 .59 0 .03 5 .94 5 .81 0 .13 5.78 5.66 0.12 5 .61 5 .48 0 .13 5 .59 5 .42 0 .17 5 .63 5 .42 0 .20 9 .92 9 .23 8 .68 6 .59 6 .02 8 .90 10 .20 8 .20 9.83 9.17 8.60 6.53 6.03 8.85 10.04 8.04 9 .79 9 .12 8 .57 6 .48 6 .09 8 .87 10 .03 7 .93 9 .72 9 .15 8 .53 6 .45 6 .12 8 .88 10 .00 7 .82 9 .73 9 .03 8 .49 6 .44 6 .16 8 .83 9 .95 7 .85 117 .96 127 .94 101 .26 140 .58 108 .86 133 .80 155 .47 156 .10 117.59 128.84 100.88 137.82 108.54 133.11 156.32 157.13 118 .03 130 .86 101 .83 135 . 3 2 107 .89 133 . 9 4 157 .75 157 .05 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 covered Euro-dollar deposit Swiss i n t e r b a n k , covered Differential Long Term G o v e r n m e n t B e l l w e t h e r Bond Y i e l d s 1 0 - y e a r m a t u r i t y , 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 10. 5 .75 5 .80 5 .85 5 .94 6 .19 6 .53 5 8 9 9 7 9 7 10 9 5 .75 5 .79 - 0 .04 deposits Euro-dollar deposit Interbank s t e r l i n g (London), Differential Chart 9. 5.80 8.76 9.49 9.24 7.39 9.21 7.75 10.93 9.34 & U . S . Money M a r k e t R a t e s 3-month E u r o - d o l l a r d e p o s i t U.S. 9 0 - d a y C D ' s , s e c o n d a r y m a r k e t Differential Chart 8. 5 .92 8 .79 9 .50 9 .16 7 .40 9 .16 7 .75 11 .08 9 .34 Deposit Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 14-Aug--91 21-Aug--91 28-Aug--91 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 117 126 96 130 107 130 157 157 .04 .50 .98 .12 .35 .92 .78 .24 117 133 102 127 107 133 158 159 .34 .24 .63 .26 .35 .83 .60 .65 I n d i c e s ( i n o r d e r , r e b a s e d t o 1986=100) 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 , Tokyo 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.101512) September 3, 1991 FOREIGN EXCHANGE RATES FOR THE MEEK ENDING AUGUST 30, 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 Aug. 26 •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 0.7845 12.298 35.960 1.1445 5.3862 6.7450 1.1747 4.2640 5.9360 1.7480 193.45 7.7660 N.A. 1.5285 1305.00 137.00 2.7835 1.9694 0.5735 6.8370 150.05 1.7238 2.8790 734.80 108.97 N.A. 6.3525 1.5275 26.704 N.A. 1.6795 0.7841 12.305 35.980 1.1417 5.3862 6.7455 1.1749 4.2620 5.9375 1.7492 193.55 7.7655 25.940 1.5290 1305.50 137.00 2.7835 1.9706 0.5730 6.8310 149.95 1.7235 2.8750 736.10 108.98 N.A. 6.3405 1.5227 26.705 25.730 1.6800 0.7845 12.236 35.750 1.1408 5.3862 6.7205 1.1799 4.2400 5.9045 1.7395 192.65 7.7625 25.870 1.5358 1297.25 136.60 2.7860 1.9590 0.5741 6.8010 149.15 1.7230 2.8750 735.90 108.43 N.A. 6.3180 1.5173 26.700 25.750 1.6900 0.7842 12.285 35.940 1.1406 5.3862 6.7400 1.1768 4.2470 5.9270 1.7472 193.35 7.7610 25.740 1.5310 1303.00 137.00 2.7835 1.9677 0.5750 6.8240 149.65 1.7195 2.8810 736.10 108.68 41.878 6.3395 1.5255 26.700 25.730 1.6805 0.7852 12.305 35.970 1.1422 5.3862 6.7445 1.1746 4.2480 5.9390 1.7485 193.45 7.7610 25.820 1.5295 1304.60 136.85 2.7835 1.9696 0.5744 6.8300 149.75 1.7195 2.8845 736.70 108.78 N.A. 6.3440 1.5285 26.700 25.740 1.6800 MEMO: HtUNITED STATES DOLLAR 93.65 93.64 93.19 93.55 93.63 COUNTRY 1 CURRENCY UNITS PER DOLLAR) Aug. 28 Aug. 27 Aug. 29 Aug. 30 •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.
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