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(516/6171 EfiF FEDERAL RESERVE BANK OF CHICAGO LIBRARY JA V , 4 1988 FEDERAL RESERVE BANK 0 F cwcAGn Selected Interest & Exchange Rates Weekly Series of Charts December 21,1987 Prepared by the FINANCIAL MARKETS SECTION DIVISION OF INTERNATIONAL FINANCE t BOARD OF GOVERNORS -EEBER AL flEXERVE SYSTEM Washington, D C. 20551 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 a 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 MARCH 200 180 160 RATIO S MARCH 1973 IE 73=100 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 140 120 100 80 220 200 180 160 JAPANESE YEN GERMAN MARK 140 120 100 80 180 160 140 120 DUTCH GUILDER CANADIAN DOLLAR 100 90 80 : 70 I 60 90 80 I I I I I — U.K. POUND - FRENCH FRANC 70 60 50 i 40 i i n i i 140 120 100 SWISS FRANC BELGIAN FRANC 90 80 70 - 60 I 50 1985 1987 I I I I I 1985 I ill ii hill i 1987 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR H AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 4 8 JAPANESE YEN CANADIAN DOLLAR - 4 - I I I I I I 4 12 U. K.POUND SWISS FRANC I I I I I I 0 lllllllllll 8 DUTCH GUILDER GERIMAN MARK — I I I I I I I I I I I I I 4 4 ITALIAN LIRA FRENCH FRANC - 8 12 1985 1987 1985 1987 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. c LLARS PER FINE OUNCE U.S. DOLLARS PER FINE UNCE 500 500 480 480 460 460 440 440 12.5 Kg BARS AFTERNOON FIXING PRICE 420 420 400 400 380 380 360 360 340 340 320 320 300 300 280 280 i 260 1984 1985 1986 i I i i I i i I i i I i i I i 1987 260 CHART 4 CALL MONEY RATES WEEKLY SERIES NT PER ANNUM PERCENT PER AL 16 12 FRANCE U. S. FEDERAL FUNDS - 8 4 vv - JAPAN 0 I I I I I I I I I I I I I I I I I 11111111111 I I I I 16 CANADA 12 8 GERMANY 4 0 16 UNITED KINGDOM SWITZERLAND 12 8 4 NETHERLANDS 0 1985 1987 1985 1987 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER AN! IUM T PER ANNUM 16 14 CANADIAN FINANCE CO. PAPER U.S. CD'S 12 14 10 - 10 8 6 12 WEIGHTED AVERAGE FOREIGN RATE - \ / I 4 I I I I 8 6 I 14 16 FRENCH INTERBANK RATE U.K. INTERBANK STERLING 14 - 12 10 12 10 Vv-v~V~v- - I 8 ! I 8 6 11111111111 10 10 NETHERLANDS INTERBANK RATE 8 - GERMAN INTERBANK RATE 6 6 4 - I 2 I I I I 4 2 I 8 10 8 8 SWISS INTERBANK RATE JAPANESE GENSAKI RATE 6 6 4 4 2 I 2 1985 1987 I 1985 I II I I 1987 0 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM OVERNIGHT 3-MONTH 14 7-DAY 6-MONTH 12 10 8 6 4 iliiliilii 14 1-MONTH 1-YEAR 12 10 8 6 4 1985 1987 1985 1987 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 16 16 14 - 12 - 10 - 8 - 6 •— I I FEDERAL FUNDS 90-DAY CD S DASHED LINE DASHED LINE OVERNIGHT 3-MONTH E U R O - D O L L A R DEPOSITS E U R O - D O L L A R DEPOSITS 11111111111 I 11111111111 I I I I I DIFFERENTIAL DIFFERENTIAL U / V I I I I I I v V ^ v - 111111111111 r 111111111111 1985 1 PERCENT ON DIFFERENTIAL S C A L E = 2 PERCENT ON RATE SCALE Y 1987 I I 1985 1987 I I CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY 18 14 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON 10 EURO-DOLLAR DEPOSITS 6 DASHED LINE U. S. COMMERCIAL PAPER DASHED LINE 2 I I I I I I I I I 2 DIFFERENTIAL DIFFERENTIAL + 0 2 I I I I I I I I i 18 14 INTERBANK DM SWISS INTERBANK (SF) COVERED COVERED FRANKFURT 10 6 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE 2 2 DIFFERENTIAL DIFFERENTIAL + 0 2 1985 1987 I PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE 1985 1987 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES ENT PER ANNUM PERCENT PER AL 16 UNITED STATES CANADA 14 - - 12 10 V 8 6 I I A / ~ I I I I I I I 14 UNITED KINGDOM 12 - __ JAPAN - 10 8 6 f - I I I I I I I I I I I I 8 GERMANY 6 SWITZERLAND 4 I I I III I I I I I 2 17 U. S. C O R P O R A T E 15 MONTHLY FRANCE Aaa BONDS 13 11 NETHERLANDS MONTHLY 9 7 5 1985 1987 1985 1987 - CHART 10 INDUSTRIAL STOCK INDICES WEEKLY SERIES RATfO SCALE 1969=100 RATIO SCALE 1969=100 500 — 400 - 300 _ - UNITED KINGDOM UNITED STATES 200 - - I 100 I I . I I I n l u l u l i , 650 — 550 - 450 - 350 - AAAZV r JAPAN - — VV FRANCE 250 - I 150 I I I I I 500 — 400 - 300 - CANADA r 200 500 — 400 - / n I I I - - A J | |I I I I I IIIIIII.III >>l<<li,l<< I 500 - NETHERLANDS 100 K — 300 200 SWITZERLAND - - \ - - GERMANY - A#/\ A_YS I I I 1985 - 300 IT — I 400 F A N W I - I I I I 1987 I I I 1985 200 100 1987 SERIES NAME LAST VALUE PLOTTED DATE VALUE CHART 1. SPOT EXCHANGE BATES AND INDICES MEEKLY AVERAGES, NOON BUYING BATES (U.S. CENTS) GERMAN MARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FBANC BELGIAN FRANC ITALIAN M B A SWEDISH KBONA DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. 16 16 16 16 16 16 16 16 16 16 61.27 0.78030 54. 46 183.36 76.51 18.06 75. 19 2.92484 0.08307 16.82 DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. 16 16 16 16 16 16 16 16 16 172.36 204.31 156. 33 74. 16 76.26 81.38 241.88 115.25 47. 19 INDICES, MARCH 1973 BASE BATES = 100 GERMAN MARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAS 1973 = 100 (G-10 COUNTRIES PLUS S U T H E R L A N D ) U. S. DOLLAR GERMAN MARK JAPANESE YEN DUTCH GUILDER U. K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. 88.66 16 16 171.24 16 200. 17 16 • 145.72 64. 76 16 67.43 16 71.51 16 16 225.07 16 105. 10 40.24 16 66.87 16 CHART 2. 3-MONTH FORWARD EXCHANGE BATES, PREMIUM OB DISCOUNT CANADIAN DOLLAR U.K. POUND GERMAN MARK FRENCH FRANC SLISS FRANC DUTCH GUILDER JAPANESE ZEN ITALIAN LIRA DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. 16 16 16 16 16 16 16 16 -0.68 -0. 45 #.43 -1.16 4.19 3.45 3.74 -3.38 SERIES NAMB LAST VALUE ELOTj DAIE VALUE CHART 3. GOLD PRICE IN LONDON, AFTBBNOON FIXING DEC. 16 492.01 DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. 16 16 16 16 16 16 16 16 16 6.58 6.49 8.32 8.07 3.04 3.85 8.19 *.45 1.00 DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. 16 16 16 16 16 16 16 16 16 7. 92 3.7% 3.9(9 8.99 8.54 3. 6 5 8.55 4. 65 6.07 DEC. DEC. DEC. DEC. DEC. DEC. 16 16 16 16 16 16 6.49 6.76 8.41 8. 13 8. 13 8.29 OVERNIGHT EURO—DOLLAR DEPOSITS 0.5- FEDERAL FUNDS DIFFERENTIAL DEC. 16 DEC. 16 DEC. 16 6.49 6.58 -0. 09 3-MONTH EURO-DOLLAR DEPOSIT RATE U.S, 90-DAI CD'S, SECONDARY MABKET DIFFERENTIAL DEC. 16 DEC. 1 6 DEC. 16 U.5. D0LLABS PEB FIVE OUMCB CHAST 4. CALL MONEY BATES U.S. FEDERAL FUNDS OVEBNIGHT EOHO-DOLLAR DEPOSITS U.&. CANADA GERMANY JAPAN FRANCE NETHERLANDS SBITIEBIAND CHART 5. 3-MONTB INTEREST BATES D.S. 90-DAI CD'S, SECONDARY MARKET GERMAN INTERBANK LOAN JAPANESE GBNSAKI BATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FBEMCH INTERBANK BATE NETHERLANDS INTERBANK RATE WEIGHTED AVERAGE FOREIGN INTBBEST RATE (G-10 COUNTRIES PLUS SWITZERLAND) CHART 6. EURO"DOLLAR DEPOSIT BATES: LONDON OVERNIGHT 7-DAX 1-HO NTH 3-HO NTH 6-MONTH 1-YEAB CHART 7- SELECTED EDRO-DOLLAR AND U.S. MONEY MARKET RATES 8. # 7. 92" 0.21 SERIES NAME LAST VAJ.DE PLOTTED DATE VALUE CHART 8. INTEREST ARBITRAGE, 3—MOUTH FUNDS EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON), COVERED DIFFERENTIAL DEC. 16 DEC. 16 DEC. 16 8.13 6.08 0.05 U.S. COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL DEC. 16 DEC. 16 DEC. 16 7-90 8.29 -0.39 EURO-DOLLAR DEPOSIT INTERBANK DM (FRANKFORT), COVERED DIFFERENTIAL DEC. 16 DEC. 16 DEC. 16 8.13 8.18 —O- 0.6 EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL DEC. 16 DEC. 16 DEC. 16 8. 13 7.88 0.25 CHART 9. LONG TERM COVERSENT BOND YIELDS UNITED STATES GERMANY JAPAN SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM DEC, DEC. DEC. DEC. DEC. DEC. OCT. DEC. 11 11 4 11 4 4 11 9. 14 5.93 4.41 4.03 10.45 10. 46 J. 05 9.24 U.S. CORPORATE AAA BONDS CHART 10. 9^3J STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERHAEX SWITZERLAND NETHERLANDS FRANCE JAPAN MAI DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. 16 16 16 16 16 16 16 16 264.73 296.56 311.57 189.75 158.21 195.29 289.60 487.11 FEDERAL RESERVE statistical release H. 10(512) DECEMBER 18, 1987 FOREIGN EXCHANGE RATES FOR THE MEEK ENDING DECEMBER 18, 1987 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 DEC . 14 ^AUSTRALIA AUSTRIA BELGIUM CANADA CHINA,P.R. DENMARK FINLAND FRANCE GERMANY GREECE HONG KONG INDIA *1RELAND ITALY JAPAN MALAYSIA NETHERLANDS *NEN ZEALAND NORWAY PORTUGAL SINGAPORE *SOUTH AFRICA SOUTH KOREA SPAIN SRI LANKA SWEDEN SWITZERLAND TAIWAN THAILAND *UNITED KINGDOM DOLLAR SCHILLING FRANC 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 71 .80 11 .480 34 .180 1 .3077 3 .7314 6 .2900 4 .0375 5 .5300 1 .6310 129 .050 7 .7510 12 .8900 163 .15 1203,.25 128 .02 2, 4790 1. 8345 64. 500 6. 3700 133. 350 2. 0065 51. 55 798. 50 110.570 30. 625 5. 9380 1.3282 29. 070 25. 230 183. 70 MEMO: SUNITED STATES DOLLAR COUNTRY 88.58 (CURRENCY UNITS PER DOLLAR) DEC . 15 DEC . 16 71 .27 11 .480 34 .140 1 .3074 3 .7314 6 .2900 4 .0475 5 .5290 1 .6305 129 .800 7,. 7560 12, 9100 163. 25 1202..50 127. 60 2.4850 1.8350 64. 440 6. 3760 133. 400 2.0020 51. 58 798. 70 110.520 30. 645 5. 9400 1.3280 28.890 25. 230 183. 15 88.56 71 .55 11 .470 34 .130 1 .3086 3 .7314 6 .3025 4 .0420 5 .5360 1 .6308 129 .850 7 .7720 12,.9500 163..12 1200..00 127. 28 2. 4900 1. 8357 64. 520 6. 3950 133. 650 1. 9970 51. 50 798. 70 110. 630 30. 643 5. 9470 1. 3285 28.800 25. 220 183. 15 88.54 DEC . 17 DEC . 18 71 .68 11 .425 33 .960 1 .3060 3 .7314 6 .2600 4 .0200 5 .4890 1 .6225 129 .250 7 .7680 12 .9000 163 .65 1194 .50 126,.25 2,.4900 1. 8265 64. 850 6. 3700 133. 100 2. 0070 51. 40 798. 60 110. 200 30. 648 5. 9200 1.3170 28. 710 25. 180 183.55 71 .25 11 .490 34 .160 1 .3065 3 .7314 6 .3000 4 .0425 5 .5320 * 1 .6340 129 .450 7 .7900 12,.9000 162,.80 1202,.00 127. 10 2. 4950 1..8390 64. 650 6. 3975 133. 550 2. 0050 51. 55 798. 30 110. 770 30. 648 5. 9400 1.3275 29. 650 25. 180 182.58 88. 07 • 88. 60 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. *VALUE IS U.S. CENTS
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