The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
(516/517) Selected Interest & Exchange Rates Weekly Series of Charts September 30,1991 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. 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 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. SERIES Chart 1. 28-Aug-91 4-Sep-91 S p o t Exchange R a t e s and 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, 2.7890 16.891 57.359 0.07684 0.73086 50.918 65.753 168.36 3 - M o n t h F o r w a r d Exchange R a t e s , .89 ,33 .13 .39 .14 .12 .22 .81 .20 111 . 8 4 87 .46 77 .48 164 .37 44 .90 193 . 4 5 148 .87 214 . 3 2 69 .36 113 .86 87 ,.70 78 .80 167 .50 45 .64 195 .49 151 .63 219 .06 70 .20 113. 87. 78. 167. 45. 195. 151. 219. 70. 70 81 66 23 59 90 41 42 14 1 0 5 . 01 8 0 . 64 6 9 . 92 167 . 49 3 8 . 91 1 9 4 . 50 1 4 2 . 64 6 5 . 75 2 0 4 . 74 6 2 . 10 91. 99 1 0 5 . 70 7 9 . 86 7 0 . 32 1 6 8 . 94 3 9 . 11 1 9 4 . 24 1 4 3 . 67 66 . 07 206 . 90 6 2 . 12 9 0 . 63 105. 80. 70. 168. 39 194. 143. 65. 207. 62. 90. 60 01 22 70 08 79 52 95 35 10 68 .82 .72 .57 .65 .22 .67 .45 .40 - 2 . 85 - 3 . 62 - 3 . .67 - 5 .83 - 1 . .08 - 3 .76 - 2 .58 - 4 .47 - 2 . .87 - 3 . .91 - 3 .73 - 5 .79 .04 — 1, - 3 .79 - 2 .62 - 4 . 66 Call Premium o r D i s c o u n t - 2 . 80 - 3 , 64 - 3 54 - 5 ,79 1..46 - 3 .62 - 2 .40 - 4 .82 -2 -3 -3 -5 -1 -3 -2 -4 354.55 348 . 5 3 348 .59 346 .04 350 . 2 2 5.58 5.58 8.45 9.09 8.72 7.41 9.00 7.88 10.86 5 .60 5 .59 8 .44 9 .03 8 .92 7 .41 9 .02 7 .88 10 . 8 4 5 .56 5 .48 8 .50 9 .20 9 .00 6 .98 9 .04 7 .48 10 . 4 5 5 .44 5 . 41 8 .60 9 .13 8 .99 6 .88 8 .93 7 .38 10 .59 5 .29 5 .36 8 .74 9 .15 8 .98 6 .86 8 .81 7 .38 10 . 6 1 Money R a t e s U.S. f e d e r a l f u n d s Overnight E u r o - d o l l a r deposits Canada France Germany Japan Netherlands Switzerland U n i t e d Kingdom 104. 34 8 1 . 51 6 9 . 45 166. 13 3 8 . 68 195. 50 141. 66 6 5 . 39 2 0 3 . 69 6 1 . 74 9 3 . 34 London, A f t e r n o o n F i x i n g d o l l a r s p e r f i n e ounce C h a r t 4. 2.8894 87.991 17.486 59.544 0.07952 0.74663 52.817 68.091 173.55 1973=100 -2.83 -3.78 -3.48 -5.79 -1.55 -3.61 -2.38 -5.00 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 Gold P r i c e i n Mar. 104.43 81.45 69.49 166.24 38.67 194.80 141.73 65.41 204.56 61.68 93.42 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 U.S. 2.8382 87.750 17.195 58.432 0.07822 0.73882 51.856 66.619 171.48 109 87 76 161 44 192 146 210 68 109 .90 87 . 2 1 76 . 1 1 161 .36 44 .10 191 .36 146 .17 211 . 5 4 68 .10 Weighted a v e r a g e exchange v a l u e i n d i c e s , C h a r t 3. 2.8855 88.106 17.455 59.448 0.07943 0.74818 52.741 68.204 173.43 2.7886 87.619 16.894 57.370 0.07690 0.7337 3 50.932 65.528 168.63 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 C h a r t 2. l l - S e p - 9 1 18-Sep-91 25-Sep-91 SERIES Chart 5. 28-Aug--91 4 - S e p - 9 1 3-Month I n t e r e s t 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. Euro-Dollar 5,,64 8 ,68 9..35 9.,15 7 . 22 9. 23 7 ..85 10. 75 9. 25 5. 5. 5. 5. 5. 5. deposits 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 Interest 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 p a p e r , Differential covered covered Euro-dollar deposit Swiss i n t e r b a n k , covered Differential 59 59 61 61 74 93 5 .42 8 ,59 9 .28 9 ,16 6,,59 9 ,20 7..93 10..13 9.,02 5 .40 8 .54 9 .30 9 .15 6 .52 9 .21 7 .95 10 .24 9 .02 58 60 60 63 75 98 5. 5. 5. 5. 5. 5. 48 58 59 58 70 91 5. 5, 5. 5. 5. 5. 41 41 43 44 60 80 5 .36 5 .53 5 .43 5 .43 5 .61 5 .80 5 . 58 5 . 58 - 0 . 01 5 . 59 5 . 60 - 0 . 00 5 . 48 5 . 56 - 0 . 08 5 . 41 5 . 44 - 0 . 02 5 .36 5 .29 0 .07 5 . 63 5 . 64 - 0 . 01 5. 61 5 . 60 0. 02 5 . 58 5 . 55 0. 02 5 . 44 5 . 42 0. 02 5 .43 5 .40 0 .02 5 . 63 5 . 61 0. 01 5 . 61 5 . 72 - 0 . 11 5 . 58 5 . 61 - 0 . 04 5 . 44 5 . 54 - 0 . 11 5 .43 5 .46 - 0 .04 5 . 71 5 . 79 - 0 . 08 5 . 73 5 . 80 - 0 . 07 5 . 64 5 . 77 - 0 . 13 5 . 51 5 . 68 - 0 . 17 5 .52 5 .60 - 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 5 .43 5 .33 0 .09 5 . 63 5 . 42 0. 20 5 . 61 5 . 43 0. 19 5 . 58 5 . 38 0. 20 5 . 44 5 . 30 0 . 14 5 .43 5 .28 0 .15 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 9. 9. 8. 6. 6. 8. 9. 7. 73 03 49 44 16 83 95 86 9. 8. 8. 6. 6. 8. 9. 7. 64 94 42 33 18 73 86 80 9 . 61 8 . 92 8 . 41 6 . 26 6 . 20 8 . 77 9 . 72 7 . 76 9 . 47 8 . 85 8 . 39 6 . 15 6 . 14 8 . 77 9 . 57 7 . 64 9. 8, 8. 6. 6. 8. 9. 7. 37 88 43 10 13 79 54 57 117. 133. 102. 127. 107. 133. 158. 159. 34 24 63 26 35 83 60 65 116. 134. 102. 131. 108. 134. 160. 157. 20 57 06 55 65 31 92 28 114. 29 1 3 4 . 12 101. 12 132. 20 107. 78 133. 34 1 6 0 . 45 155. 27 1 1 3 . 92 1 3 6 . 44 1 0 1 . 05 1 3 6 . 12 1 0 7 . 08 1 3 1 . 06 1 5 5 . 72 1 5 6 . 02 112. 136. 100. 137. 105. 130. 157. 156. 97 94 72 08 61 48 41 51 Japan Switzerland Netherlands U n i t e d Kingdom United States C h a r t 10. 5. 5. 5. 5. 5. 5. 5 55 8,.66 9..29 9. 16 6 . 85 9. 22 7 . 88 10. 13 9, 08 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 Chart 9. 60 66 29 15 17 25 88 67 21 S e l e c t e d E u r o - d o l l a r & U . S . Money M a r k e t R a t e s Overnight Euro-dollar U.S. f e d e r a l f u n d s Differential Chart 8. 5. 8. 9. 9. 7. 9. 7. 10. 9. D e p o s i t Rates Overnight 7-day 1-month 3-month 6-month 1-year Chart 7. 11-Sep--91 18-S ep -91 25- Sep - 9 1 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 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 , 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 Times O r d i n a r y , NYSE C o m p o s i t e CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS 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 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER ANh )ENT PER ANNUM 16 12 — U.S. FEDERAL FUNDS FRANCE 8 JAPAN 4 I 0 16 I I » » I I I I I I I I I 12 CANADA GERMANY 8 4 0 16 i i i I i i i l i- i i l i i l i ' i I i i i I i i SWITZERLAND UNITED KINGDOM 12 i 8 NETHERLANDS 4 0 ' » i I ' i 1989 » I ' ' i 1 ' i 1991 i 1989 1991 i 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 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 0 16 16 14 14 12 U.K. INTERBANK STERLING CANADIAN FINANCE CO. PAPER 10 i i I i i i I i i i I i i I i i i I ' i 10 i GERMAN INTERBANK RATE FRENCH INTERBANK RATE JAPANESE CD RATE NETHERLANDS INTERBANK RATE ' i i I i i 1989 i I i i i I i i 1991 i 1989 1991 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 14 14 OVERNIGHT 12 3-MONTH 12 10 4 14 10 I I I I > I I I I I i i ' I • i I i ' i I i i 6-MONTH 7-DAY 12 i 12 10 4 14 4 14 10 I I I I I I I I I I I I 1-MONTH 12 I i i i I i i i I i i 1-YEAR 10 I I I I I 1989 I I I I I I 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 OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 10 FEDERAL FUNDS 90-DAY CD'S DASHED LINE J I I I DASHED LINE I I I I I I I I I DIFFERENTIAL ... I I I I I I 1989 I I I I i i I J—I—I—I—I—I I I I I I DIFFERENTIAL I I J L Mm V AJLU / I I I I I I 1991 I 1989 I L_L 1991 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 16 PERCENT PER ANNUM 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 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 I I I I I I I 2 16 INTERBANK DM 12 — _ COVERED FRANKFURT SWISS INTERBANK (SF) COVERED ' I I I I I ' I I I I i I ' I 1989 » 12 — 4 DASHED LINE ' I I I ' l I l I I I I I I I I I I I I I I I I I I I I DIFFERENTIAL DIFFERENTIAL I _ EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE 0 ' I DIFFERENTIAL DIFFERENTIAL 2 16 12 I I I I I I I 1991 I I I I I I I 1989 I 1991 I o CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 14 14 , CANADA UNITED STATES 12 12 10 10 6 i I ' l i i i I i i i I i i i I I I I I I I I l I I I l l 6 14 14 UNITED KINGDOM FRANCE 12 12 10 10 6 i I I I i i i i i i ' ' i i i i I i i i l i i i l i i i 10 10 SWITZERLAND 2 10 i i i I JAPAN 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 NETHERLANDS • i i I i i i 1989 GERMANY l • 1 i I i i i 1991 i i i I i i i 1989 I i i i I i i i 1991 CHART 10 STOCK INDICES WEEKLY SERIES RATIO SCALE 1986=100 RATIO SCALE 1986=100 200 200 175 . NETHERLANDS UNITED STATES 175 150 150 125 125 100 100 75 75 50 400 350 i i i l i i i l i i i I i i i i i i I i i i l i i i l i i i 50 200 — GERMANY — JAPAN 175 300 150 250 125 200 100 150 75 100 » 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 175 50 200 200 FRANCE — SWITZERLAND 175 150 150 125 125 100 100 75 75 50 I I I I I I I I I I I I I I I 175 50 200 200 — UNITED KINGDOM — CANADA 175 150 150 125 125 100 100 75 75 50 » i i I i ' 1989 i I i i i I i i 1991 i i i i I i ' 1989 i l i ' i I i i 1991 i 50 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 RATIO SCALE MARCH 1973=100 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 130 120 110 BELGIAN FRANC 100 100 90 90 80 80 • 70 280 260 — 240 220 ' i l i ' i I ' i i l i i i SWISS FRANC i i — i l i i i l ' i i l i i i JAPANESE YEN 70 280 260 240 220 200 200 180 180 160 160 140 140 120 100 i -i i l i i i I i i i I i i i i i i l i i » I » i i I ' ' i 120 100 90 CANADIAN DOLLAR U.K. POUND 90 80 80 70 70 60 60 50 200 i i i I i ' i l ' I i I i i i i i i l 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 l i i i l i i ' I i i ' i i i l i ' i I i i i I i ' ' ITALIAN LIRA 50 FRENCH FRANC 90 100 60 55 45 80 40 70 35 60 30 50 1 i 1 I 1 1 1989 1 l 1 » ' I 1 ' 1991 i ' i l i i 1989 1 l i • i I 1 i 1991 » 25 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 4 PERCENT PER ANNUM 4 U.K. POUND CANADIAN DOLLAR 1 1 1 I 1 1 1 I 1 1 I 1 1 1 1 •V 1 1 1 I i i i 1 i i i 1 i i i 1 1 1 1 1 1 1 1ViVH DUTCH GUILDER — vV \ i i i i i i i i i i i i i i_i_ ' ' ' I ' l l 1989 I I " " V 1 1 1 1 1 1 1 1 1 1 u k _ ITALIAN LIRA FRENCH FRANC 12 i VVS SWISS FRANC — i JAPANESE YEN GERMAN MARK 1 i I • ' • I • • I 1991 ' I I I 1989 ' I I I I I I I 1991 I 12 a FEDERAL RESERVE statistical release m . September 27, 1991 H.10(512) FOREIGN EXCHANGE RATES FOR THE WEEK ENDING SEPTEMBER 27, 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 ESCUDO DOLLAR RAND WON PESETA RUPEE KRONA FRANC DOLLAR BAHT POUND MEMO: **UNITED STATES DOLLAR Sep. 23 (CURRENCY UNITS PER DOLLAR) Sep. 26 Sep. 25 Sep. 24 Sep. 27 0.8011 11.765 34.450 1.1345 5.3899 6.4570 1.2238 4.0720 5.6990 1.6730 186.25 7.7545 25.890 1.5975 1251.75 133.05 2.7445 1.8854 0.5845 6.5450 143.85 1.6890 2.8155 N. A. 105.33 N. A. 6.0990 1.4590 N. A. N. A. 1.7440 0.8002 11.723 34.570 1.1340 5.3899 6.4670 1.2208 4.0725 5.7090 1.6780 186.50 7.7515 25.870 1.5930 1255.50 133.08 2.7460 1.8912 0.5856 6.5570 144.60 1.6915 2.7975 745.20 105.95 N. A. 6.1100 1.4575 26.580 25.550 1.7380 0.7961 11.838 34.670 1.1345 5.3899 6.4980 1.2165 4.1050 5.7320 1.6825 187.45 7.7475 25.830 1.5885 1258.75 133.30 2.7465 1.8968 0.5737 6.5900 145.25 1.6935 2.8290 747.00 106.23 N. A. 6.1440 1.4645 26.600 25.570 1.7333 0.7935 11.840 34.710 1.1352 5.3899 6.4955 1.2157 4.1130 5.7390 1.6838 187.35 7.7465 25.800 1.5880 1259.25 133.67 2.7475 1.8983 0.5643 6.5870 145.45 1.6925 2.8275 744.90 106.71 42.008 6.1410 1.4657 26.583 25.570 1.7325 0.7965 11.795 34.540 1.1343 5.3899 6.4720 1.2206 4.0950 5.7080 1.6760 186.75 7.7490 25.870 1.5935 1253.25 133.40 2.7510 1.8894 0.5693 6.5625 145.25 1.6950 2.8120 746.40 105.98 N. A. 6.1210 1.4595 26.530 N. A. 1.7370 90.23 90.42 90.67 90.76 90.42 *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.
@FedFRASER