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huu 101987
«ATA FILE
eE0EB L
i RESERVE BAH
D£ CHICAGO
(516/517)
Selected Interest &
Exchange Rates
Weel<ly Series of Charts
* o 4oo7
A u g u s t 3, 1987
E™
LIBRARY
rkets
DIVISION OF
INTERNATIONAL FINANCE
EESSEr"
Table of Contents
TABLES
SUBSCRIPTION RATES:
1. LATEST FIGURES PLOTTED
Weekly $15.00 per year or $.40 each in the United
States, its possessions, Canada, and Mexico; 10 or
more of the same issue to one address, $13.50 per
year or $.35 each. Elsewhere, $20.00 per year or $.50
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.
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
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
= 100
MARCH 1973=
FOREIGN CURRENCY
PRICE OF U.S. DOLLAR
#
200
180
—
—
-
-Y—
yv
100
80
I
I
I
M
l
I
-
-
M I M I M I M
-
1
r
-
-
1
I
I
I
l
l
11111111111 ill,Mi illi
DUTCH GUILDER
FRENCH FRANC
120
BELGIAN FRANC
100
7 ^
—
90
' 80
SWISS FRANC
-
-
-
70
-
60
I I|,,||ill| Ill I;||ill|
1985
-
-
50
•
—
LY
-
U.K. POUND
• A
—
-
-
CANADIAN DOLLAR
•
-
/ r s *\^
-
120 —
®
—
JAPANESE YEN
GERMAN MARK
160
140
ITALIAN LIRA
1987
1 1 1 1 1 1 1
1985
1987
CHART 2
3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR (-)
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
4
PERCENT PER ANNUM
—I
8
JAPANESE YEN
CANADIAN DOLLAR
-
0
I
I
I
I
I
I
I
I
I
I
I
I
4
12
U. K. POUND
SWISS FRANC
-
I
I
I
I
I I
I
I
GERMAN MARK
I
I
I
I
I
MIMIMIH
FRENCH FRANC
1985
I
I
I
0
8
DUTCH GUILDER
.
I
I
-
—
l
l
I
I
I
I
ITALIAN LIRA
1987
1985
1987
CHART 3
PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
U.S. D .LARS PER FINE OUNCE
U.S. DOLLARS PER FINE '
480
460
440
12.5 Kg BARS
AFTERNOON FIXING PRICE
420
400
380
360
340
320
300
280
260
1984
1985
1986
1987
CHART 4
CALL MONEY RATES
WEEKLY SERIES
PERCENT PER ANNUM
PERCENT PER ANNUM
16
12
16
U. S. FEDERAL FUNDS
-
„
FRANCE
-
W\ u v *v*Ai
-
0
I
I
I
I
I
I
JAPAN
l
l
V,
I
16
CANADA
12
GERMANY
-VWvvw
UNITED KINGDOM
SWITZERLAND
NETHERLANDS
1985
1987
1985
1987
12
CHART 5
3-MONTH INTEREST RATES
WEEKLY SERIES
PERCENT PER ANNUT
>ER ANNUM
u
—
14
CANADIAN FINANCE CO.
PAPER
U . S . CD'S
12
1'
1
-
10
1
8
WEIGHTED AVERAGE
FOREIGN RATE
6
I
4
I
I
I
I
N i l 11 I I I 11 n l n l i l l l l
I
1
16
FRENCH INTERBANK RATE
U.K. INTERBANK STERLING
-
14
12
10
1
t
1
1
1
1
1 1 1 1 1 1 1 1 1 1 1
1
—
1C
NETHERLANDS INTERBANK RATE
I
iN
GERMAN INTERBANK RATE
i
i
i
i
—
1
SWISS INTERBANK RATE
JAPANESE GENSAKI RATE
-
-
-
I
I I
I
1
I I
1985
1987
1
1
1
1
1985
1
1987
CHART 6
EURO-DOLLAR DEPOSIT RATES
LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER AN
PER ANNUM
14
3-MONTH
OVERNIGHT
12
10
8
6
4
14
6-MONTH
7-DAY
12
10
8
6
A
14
1-YEAR
1-MONTH
12
1C
I
1985
1987
1985
1987
W
SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES
DIFFERENTIAL: PLUS(+>, FAVORS BORROWING IN U. S.
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM
16
PERCENT PER ANNUM
16
14
14
12
12
90-DAY CD' S
FEDERAL FUNDS
DASHED LINE
DASHED LINE
10
10
8
6
-
3-MONTH
OVERNIGHT
—
EURO-DOLLAR DEPOSITS
EURO-DOLLAR DEPOSITS
I I I I I I I I I I I
111!
I I I I I I I I I I I
i i
_lLl
4
2
DIFFERENTIAL
DIFFERENTIAL
+
0
1
|
I
I
I
I
I
I
—
I i i I i i I i i I i i l i 11 l I I I I I I I
1985
1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE
1987
I
I
1985
I
I I I I I I I I I I | | I I I I I I I I I I I I I
1987
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
18
14
CANADIAN FINANCE
CO. PAPER, COVERED
INTERBANK STERLING
14
COVERED LONDON
10
10
EURO-DOLLAR DEPOSITS
DASHED LINE
U. S. COMMERCIAL PAPER
DASHED LINE
1_L
I
I
I
lull
DIFFERENTIAL
DIFFERENTIAL
I IIIIIII
111
2
18
INTERBANK DM
14
__
COVERED FRANKFURT
SWISS INTERBANK (SF) COVERED
14
10
10
EURO-DOLLAR DEPOSITS
EURO-DOLLAR DEPOSITS
DASHED LINE
DASHED LINE
2
2
—
DIFFERENTIAL
DIFFERENTIAL
0
v// ,
V \YVSZ*
I
I
I
I
I
1985
I I I
I
1987
1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE
1985
1987
CHART 9
LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES
PERCENT PER ANNUM
PERCENT PER ANNUM
16
16
UNITED STATES
14
-
-
12 y
10
-
8
-
6
CANADA
\
-
A
VA/XAv
I I I
-
14
12
__
1/
—
10
VA
/
~~
I I I 11111111111111111111111
I
I
I
I
I
I
6
14
10
UNITED KINGDOM
12
JAPAN
-
10
-
I
I
I
I
I
-
8
-
6
—
4
I
10
GERMANY
SWITZERLAND
-
6
-
III
U. S. CORPORATE
1
1
1
1
1
1
I I I 111 m I m I m I m I i i l l !
4
17
MONTHLY
FRANCE
Aaa BONDS
8
-
15
-
13
-
11
NETHERLANDS
MONTHLY
LLLU
1985
1987
1985
1987
-
9
-
7
CHART 10
INDUSTRIAL STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1969=100
RATIO SCALE
1969=100
500
400
—
-
500
400
—
/ W
300
UNITED KINGDOM
_
r
UNITED STATES
200
-
-
100
i
i
650
—
550
-
450
-
/w\
f
350
JAPAN
I I I
I IIIIIIIIII
i
-
100
-
-
/ n
i
I
i
650
-
550
-
450
350
—
I
200
y-f
250
I
—
—
FRANCE
150
300
I I I
—
~
-
i
'
t
J
V
V
l
l
I
I
-
250
-
400
I
SWITZERLAND
200
500
400
-
-
NETHERLANDS
300
200
100
V \ z
-
-
300
GERMANY
-
I
I
I
I
I
-
I
1985
200
100
1987
1985
1987
SERIES
LAST VALUE PLOTTED
DATE
VALUE
NAME
CHART 1. SPOT EXCHANGE BATES AND INDICES
MEEKLY AVERAGES, NOON BUYING BATES (U.S. CENTS)
GERMAN MASK
JAPANESE YEN
DUTCH GUILDER
O.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA
INDICES, MARCH 1973 BASE BATES =
29
29
29
29
29
29
29
29
29
29
53.89
0.66460
47. 80
160.05
74. 98
16. 19
65.01
2.59835
0.07442
15. 45
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
29
29
29
29
29
29
29
29
29
151.58
174.01
137.22
64.74
74. 73
72.97
209. 15
10 2.39
42.27
29
29
29
29
29
29
29
29
29
29
29
99.75
164. 09
185.55
139.98
61. 74
72.91
70.23
213.22
102.31
39.50
67. 40
29
29
29
29
29
29
29
29
-1.99
-2.23
2.99
-1.11
3.16
1.62
3.04
-3.58
100
GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
S U S S FRANC
BELGIAN FRANC
ITALIAN LIRA
WEIGHThD AVERAGE EXCHANGE VALUE INDICES, MAR
(G—10 COUNTRIES PLUS SWITZERLAND)
U.S. DOLLAR
GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA
JUL!
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
1973 = 100
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
.1* 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT
CANADIAN DOLLAR
U.K. POUND
GERMAN MARK
FRENCH FRANC
SWISS FRANC
DUTCH GUILDER
JAPANESE YEN
ITALIAN LIRA
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
LAST VALUE PLOTTED
DATE
VALUE
SERIES NAME
CHART 3, GOLD PRICE IN LONDON, AFTERNOON FIXING
U.S. DOLLARS PER FINE OUNCE
JULY 29
454.86
CHART 4. CALL MONEY RATES
U. S. FEDERAL FUNDS
OVERNIGHT EURO-DOLLAR DEPOSITS
U. K.
CANADA
GERMANY
JAPAN
FRANCE
NETHERLANDS
SWITZERLAND
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
29
29
29
29
29
29
29
29
29
JULY
JULY
JULY
JULY
JULY
JULY
JUL If
JULY
JULY
29
29
29
29
29
29
29
29
29
6.70
3.96
3.74
8.75
9.27
3.67
7. 79
5.25
JULY
JULY
JULY
JULY
JULY
JULY
29
29
29
29
29
29
6. 38
6.50
6.90
7. 10
7. 50
OVERNIGHT EURO-DOLLAR DEPOSITS
U.S. FEDERAL FUNDS
DIFFERENTIAL
JULY 29
JULY 29
JUL* 29
6. 38
6. 63
-0. 19
3-MONTH EURO-DOLLAR DEPOSIT RATE
U . S . 90-DAY C D ' S , SECONDARY MARKET
D1MFdkENXlAL
JULY 29
JULY 29
JULY 29
6. 90
6. 70
0 . 20
6. 63
6.38
8. 20
7.25
4. 25
3. 18
7. 51
5.11
1.00
CHART 5. 3-MONTH INTEREST SATES
U.S. 90-DAY CD'S, SECONDARY MARKET
GERMAN INTERBANK LOAN
JAPANESE GENSAKI RATE
CANADIAN FINANCE PAPER
INTERBANK STERLING
S U S S INTERBANK LOAN
FRENCH INTERBANK RATE
NETHERLANDS INTERBANK RATE
WEIGHTED A V E R A G E FOREIGN INTEREST RATE
{G-10 COUNTRIES PLUS SWITZERLAND)
6. 12
CHART 6. EURO-DOLLAR DEPOSIT RATES: LONDON
OVERNIGHT
7-DAY
1-MONTH
3-MONTH
6-MONTH
1-YEAR
6. 68
CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
e
SERIES NAME
LAST VALUE PLOTTED
DATE
VALUE
CHART 8. INTEREST ARBITRAGE, 3-MONTH FUNDS
EURO-DOLLAR DEPOSIT
INTERBANK STERLING (LONDON), COVERED
DIFFERENTIAL
JULY 29
JULY 29
J U L ! 29
6.90
6. 99
-0. Q9
U.S. COMMERCIAL PAPER
CANADIAN FINANCE PAPER, COVERED
DIFFERENTIAL
JULI 29
JUL I 29
J U L ! 29
6.63
6.71
EURO-DOLLAR DEPOSIT
INTERBANK DM (FRANKFUfiT), COVERED
DIFFERENTIAL
JULY 29
JULY 29
JULY 29
-0. 08
EURO-DOLLAR DEPOSIT
SWISS INTERBANK, COVERED
DIFFERENTIAL
JULY 29
JULY 29
JULY 29
6.90
6.87
0. 03
JULY
JULY
JULY
JULY
JULY
JULY
MAY
JULY
8.52
-0. 08
6.90
6.98
CHART 9. LONG TERM GOVERSESI BOND YIELDS
UNITED STATES
GERMANY
JAPAN (MONTHLY)
SWITZERLAND
CANADA
FRANCE
NETHERLANDS (MONTHLY)
UNITED KINGDOM
24
24
17
17
17
17
24
5.92
4.42
4.10
9.98
10. 27
6.97
9.16
U.S. CORPORATE
AAA BONDS
CHART 10.
9.33
STOCK INDICES
UNITED STATES
UNITED KINGDOM
CANADA
GERMANY
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN
#
MAY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
JULY
22
22
22
22
22
22
22
22
333. 49
402. 86
390.26
276. 19
218.32
326.21
407.04
500.69
COy
FEDERAL RESERVE statistical release
KVvT:
I
'•?*4ir£s
6.5(405)
JULY 31, 1987
FOREIGN EXCHANGE RATES
JULY
1987
THE TABLE BELOW SHOWS THE AVERAGE RATES OF EXCHANGE IN JULY
1987 TOGETHER
WITH COMPARABLE FIGURES FOR OTHER MONTHS. AVERAGES ARE BASED ON DAILY NOON BUYING
RATES FOR CABLE TRANSFERS IN NEW YORK CITY CERTIFIED FOR CUSTOMS PURPOSES BY
THE FEDERAL RESERVE BANK OF NEW YORK.
(RATES IN CURRENCY UNITS PER DOLLAR)
COUNTRY
MONETARY
UNIT
^AUSTRALIA
AUSTRIA
BELGIUM
BRAZIL
CANADA
CHINA,P.R.
DENMARK
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
CRUZADO
DOLLAR
YUAN
KRONE
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:
tUNITED STATES
DOLLAR
1987
JULY
1987
JUNE
1987
MAY
1986
JULY
1.3262
3.7314
7.0179
4.4882
6.1530
1.8482
139.311
7.8090
13.0126
144.99
1337.96
150.29
2.5414
2.0814
59.644
6.7632
144.512
2.1183
48.52
811.81
126.974
29.405
6.4466
1.5365
31.114
26.041
160.90
1.3387
3.7314
6.8555
4.4281
6.0739
1.8189
136.064
7.8080
12.8368
147.25
1316.50
144.55
2.5078
2.0490
58.686
6.7147
142.123
2.1176
49.41
818.39
126.332
29.171
6.3482
1.5085
31.226
25.779
162.88
1.3411
3.7314
6.7333
4.3604
5.9748
1.7881
133.354
7.8049
12.6660
149.59
1290.80
140.48
2.4759
2.0154
57.639
6.6632
139.182
2.1202
49.87
832.53
125.284
28.988
6.2606
1.4705
32.354
25.629
166.66
62.91
15.117
44.304
13.84
1.3808
3.6435
8.0635
5.0744
6.9323
2.1517
138.398
7.8123
12.5077
139.00
1478.31
158.61
2.6455
2.4236
53.176
7.4800
148.668
2.1861
39.04
888.59
137.580
28.065
7.0715
1.7445
38.119
26.204
150.71
99.36
97.78
96.05
110.38
70.79
12.996
38.329
-
71.42
12.574
37.091
71.79
12.793
37.712
-
*
SINDEX 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.
*VALUE IS U.S. CENTS
@FedFRASER