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data file ?EDERa. L ahy (516/517) l Br OF LIBRARY FIB 2 6 1987 CH b 'CAG0 anh FEDERAL RESERVE BANK OF CHICAGO Selected Interest & Exchange Rates Weekly Series of Charts February 23,1987 DIVISION OF INTERNATIONAL FINANCE Prepared by the FINANCIAL MARKETS SECTION BOARD OF GOVERNORS FEDERAL. RESERVE 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 RATESHI. 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 1 9 7 3 = 1 0 0 RATIO SCALE MARCH 1973=100 FOREIGN CURRENCY PRICE OF U.S. DOLLAR - - 50 45 - 40 - 35 - 30 - 25 illllllllll 20 ITALIAN LIRA — -y^x yv - sA. AA/ I # w — 160 - — — — GERMAN MARK ^ — JAPANESE YEN - 140 e I — 200 180 120 I 160 - 140 - 120 - 100 Illllllllll 80 y v — yw — - I r I 100 I 80 i i I M I i iiiiiiniii Illllllllll I I I i i i T DUTCH GUILDER CANADIAN DOLLAR 140 — 120 — — 90 - - 80 - - 70 Illllllllll U.K. POUND 60 90 — - - 80 — 70 - 60 - 50 iiiiiiniii 40 FRENCH FRANC - J V i i I I i i i illllllllll 240 120 SWISS FRANC BELGIAN FRANC / — - - J 70 60 50 / — 90 80 100 - — 100 200 180 - \/ I I I ! ! 1985 y v - - - - - - y/V~~'^ / V — - Z r* A[ \,J - Illllllllll 1987 200 180 160 140 120 100 1985 1987 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY PER ANNUM PERCENT PER JAPANESE YEN CANADIAN DOLLAR U. K. POUND SWISS FRANC GERMAN MARK DUTCH GUILDER FRENCH FRANC ITALIAN LIRA 1985 1987 1985 1987 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DC U.S. DOLLARS PER FINE 0 ARS PER FINE OUNCE 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 I I I I I M 1984 1985 1986 I I i i i i i I i i l i i 1987 260 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER AW R PER ANNUM 16 FRANCE :: U. S. FEDERAL FUNDS 12 - 8 4 JAPAN I 0 I I I I I MIiiIMIII 16 CANADA 12 8 GERMANY AVWwv 4 I 0 I I HI! 16 UNITED KINGDOM SWITZERLAND 12 8 4 NETHERLANDS lllllllllli 0 1985 1987 1985 1987 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES SIT PER ANNUM PERCENT PER AN 16 14 12 U.S. CD'S CANADIAN FINANCE CO. PAPER - 14 - 10 8 6 12 10 WEIGHTED AVERAGE FOREIGN RATE \ I 4 I I l I - l 8 6 14 16 FRENCH INTERBANK RATE U.K. INTERBANK STERLING 14 12 12 10 10 8 8 6 10 10 NETHERLANDS INTERBANK RATE 8 8 GERMAN INTERBANK RATE 6 r\ 6 /V V 4 4 2 I I I I I 11111111111 11111111111 M Ii Il llh I lllll I I 2 8 10 8 SWISS INTERBANK RATE JAPANESE GENSAKI RATE 6 A. . 6 4 V, 2 4 I I I II 2 1985 II 1987 II I I I I I 1985 I 11111111111 0 1987 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER AL ENT PER ANNUM 14 3-MONTH OVERNIGHT 12 10 8 6 II I I 4 14 6-MONTH 12 10 8 6 4 14 1-YEAR 1-MONTH 12 10 8 6 4 1985 1987 1985 1987 II 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 14 FEDERAL FUNDS 12 90-DAY CD* S D A S H E D LINE 12 D A S H E D LINE 10 8 10 - OVERNIGHT E U R O - D O L L A R DEPOSITS I 3-MONTH E U R O - D O L L A R DEPOSITS 11111111111 I I I I I I I I I I I DIFFERENTIAL I I I II I I II I I III I III I I I I I I DIFFERENTIAL + 0 U J — I — I — I — I — i — 1 1 1985 1 PERCENT ON D I F F E R E N T I A L S C A L E = 2 PERCENT ON RATE S C A L E III II i1111111111111111111 M 1987 1985 I II I I I I I I I I I I I II 1987 4 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 18 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON 14 10 10 EURO-DOLLAR DEPOSITS DASHED LINE U. S. COMMERCIAL PAPER DASHED LINE DIFFERENTIAL 14 DIFFERENTIAL INTERBANK DM SWISS INTERBANK (SF) COVERED COVERED FRANKFURT 14 10 10 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE ±ill DIFFERENTIAL DIFFERENTIAL 11 1985 Jl 1987 1 PERCENT ON D I F F E R E N T I A L S C A L E = 2 PERCENT ON RATE S C A L E ±Lll I III l u l l I I I 1985 1987 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PER [NT PER ANNUM PERCENT PER AL 16 16 UNITED STATES CANADA 14 - 12 14 12 10 — 10 8 8 6 6 15 9 13 UNITED KINGDOM 7 SWITZERLAND 11 5 9 3 7 1 10 10 GERMANY 8 JAPAN 8 6 6 4 4 17 17 U. S. C O R P O R A T E 15 MONTHLY FRANCE 15 Aaa BONDS 13 13 11 11 NETHERLANDS MONTHLY 9 9 7 7 5 5 1985 1987 1985 1987 CHART 10 INDUSTRIAL STOCK INDICES WEEKLY SERIES RATIO SCALE 1969=100 RATIO SCALE 1969=100 450 400 — — — 350 - - ~ 300 250 — " 200 - - 150 - - I 500 450 — 400 - I I i i — 300 — 250 - — I 450 400 — 350 - I I / FRANCE 250 — 200 — 150 - V I I — SWITZERLAND A - ^ / — 200 v/ 125 - 100 — I I I I I | I I | I I | I ! I l l l l l l l l l l — — — 450 400 - - - 350 - 300 - 250 - 200 — 150 MIIIIMIII 100 — 450 400 GERMANY - h J \ K / V > X p - / v zs \r\ NETHERLANDS X — — __ — 250 - 200 - — 150 -^A/v - 100 i i I I 1985 I . CANADA — — r I l l l l l l l l l l — 300 i I I I 11111111111 i i h i l n h i — 350 — i - 250 - - 200 - - 150 I I I 1987 350 300 - |,, 75 — — — 250 225 - - — 100 - - I I 150 I l l l l l l l l l l - I - 150 A/ / 200 - ^ / I 100 / v r - — — a I I I — ,i I , , h i l i i I I | I I | M | I , — 300 i 250 175 ^ I i - - - I I zvx/ - / 150 n - j 200 yvx/ A 350 300 — f JAPAN /\A i J\f ;( - ,, iiliilnlii — 350 450 400 i - UNITED KINGDOM - UNITED STATES 100 450 400 I I I 1985 , , | , , | | , , , , I l l l l l l l l l l 1987 100 SERIES LAST VALUE PLOTTED DATE VALUE NAME CHART 1. SPOT EXCHANGE BATES AND INDICES MEEKLY AVERAGES, NOON BUYING RATES (U.S. CENTS) GERMAN HARK JAPANESE YEN DUTCH GUILDER 0. Km POUND CANADIAN DOLLAR FRENCH FRANC SWISS F R A N C BELGIAN F R A N C ITALIAN LIRA SWEDISH KRONA FEB. FEB. FEB. FEB. FEB. F8B. FEB. FEB. FEB. FEB. 18 18 18 18 18 18 18 18 18 18 54.81 0.65055 48.54 152.52 74.79 16. 45 64.76 2.64588 0. 07698 15.35 FEB. FEB. FEB. FEB. PBS. FEB. FEB. FEB. FEB. 18 18 18 18 18 18 18 18 18 154.19 170.33 139.35 61.69 74.54 74. 15 208.35 104.26 43.73 18 18 18 16 18 18 18 18 18 18 18 99. 57 167. 18 180.88 142.09 58.45 72.59 71.38 212.07 104. 12 40.90 66.84 INDICES, MARCH 1973 BASE RATES = 100 GERMAN HARK JAPANESE YEN DUTCH GUILDER 9. K. POUND CANADIAN DOLLAR FRENCH F R A N C SHISS F R A N C BELGIAN F R A N C ITALIAN LIRA > WEIGHTED AVERAGE EXCHANGE VALUE INDICES, BAR 1973 = 100 (G-10 COUNTRIES PLUS SWITZERLAND) 0.5. DOLLAR GERMAN MARK JAPANESE YEN DUTCH GUILDER 0.1. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN F R A N C ITALIAN LIRA SWEDISH KRONA FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. CHART 2. 3-MONTH F O R W A R D EXCHANGE RATES, PREMIUM OR DISCOUNT CANADIAN DOLLAR U.K. POUND GERMAN MARK FRENCH FRANC SWISS FRANC DUTCH GUILDER JAPANESE YEN ITALIAN LIRA FEB* £!!- FEBe FEB. FEB. FEB. FEB. FEB. 18 \l itt 18 18 18 18 18 ' I ' l l o 30 ^ e * ,V -2.06 2.88 1. 14 2.21 -3.62 S E R I E S NAME LAST VALUE PLOTTED DATE VALUE CHART 3. tiOLD PRICE IN LONDON, AFTERNOON FIXING FEB. 18 396. 70 FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. 18 18 18 18 18 18 18 18 18 6.21 6. 13 10.94 7.50 3. 82 4. 10 8.33 5.07 1.00 FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. 18 18 18 18 18 18 18 18 18 6.23 3* 95 4.01 7. 48 10.84 3.52 8.35 5.31 6.35 JFEB. FEB. FEB. FEB. FEB. FEB. 18 18 18 18 18 18 6.13 6.28 6. 40 6.44 6.43 6.50 OVERNIGHT EURO-DOLLAR DEPOSITS U.S. F E D E R A L FUNDS DIFFERENTIAL F E B . 18 F E B . 18 F E B . 18 6. 13 6.21 -0.08 3 - M O N T H EURO-DOLLAR DEPOSIT R A T E U.S. 90-DAY CD'S, SECONDARY M A R K E T DIFFERENTIAL F E B . 18 F E B . 18 FEB. 18 6.44 6.23 0.21 U. S. DOLLARS PER FINE OUNCE CHART 4. CALL MONEY R A T E S U.S. FEDERAL FUNDS O V E R N I G H T EURO-DOLLAR DEPOSITS U- K. CANADA GERMANY JAPAN FRANCE NETHERLANDS SWITZERLAND CHART 5. 3 - M O N T H INTEREST RATES U.S. 90-DAY CD'S, SECONDARY MARKET GERMAN INTERBANK LOAN J A P A N E S E GENSAKI B A T E C A N A D I A N F I N A N C E PAPER INTERBANK STERLING SWISS I N T E R B A N K LOAN FRENCH INTERBANK RATE NETHERLANDS INTERBANK R A T E WEIGHTED A V E R A G E FOREIGN INTEREST R A T E IG-10 COUNTRIES PLUS SWITZERLAND) CHART 6. EURO-DOLLAR DEPOSIT RATES: LONDON OVERNIGHT 7-DAY 1-MONTH 3-MO NTH 6-MONTH 1-YEAR CHART 7 . SEL ECTED EURO-DOLLAR AND U.S. MONEY MARKET R A T E S SERIES NAME LAST VALUE PLOXIBD DATE VALUE CHART 8. INTEREST ARBITRAGE, 3-MONTH FUNDS EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON), COVERED DIFFERENTIAL FEB. 18 F E B . 18 FEB. 18 6.44 6. 68 -0.24 U. S. COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL FEB. 18 FEB. 18 F E B . 18 6. 18 6.44 -0.26 EURO-DOLLAR DEPOSIT INTERBANK DM (FRANKFURT), COVERED DIFFERENTIAL FEB. 18 FEB. 18 FEB. 18 6.44 6. 27 0. 16 EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL FEB. 18 F E B . 18 FEB. 18 6.44 6.43 0.01 13 13 6 6 6 13 7.31 5.68 4. 28 4. 05 8.96 9.71 6.40 9.58 CHART 9. LONG TERM GOVERHENT BOND YIELDS UNITED STATES GERMANY JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM FEB. FEB. FEB. FEB. FEB. FEB. DEC. FEB. 13 U.S. CORPORATE AAA BONDS CHART 10, J ONE 9. 13 STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN FEB. FEB. FEB. FEB. FEB. FEB. FEB. FEB. 11 11 11 11 11 11 11 11 290. 11 331.74 345.23 247.91 191.05 293.54 417.39 459. 72 VoOlCO^V. FEDERAL RESERVE statistical release •K§7/V * |l!inil!! FEBRUARY 20, 1987 H.IOC 512) FOREIGN EXCHANGE RATES FOR THE WEEK ENDING FEBRUARY 20, 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: COUNTRY MONETARY UNIT •AUSTRALIA AUSTRIA BELGIUM BRAZIL CANADA CHINA,P.R. DENMARK FINLAND FRANCE GERMANY GREECE HONG KONG INDIA *1RELAND 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: •UNITED STATES DOLLAR FEB. 16 H 0 L I D A Y 0.25 (CURRENCY UNITS PER DOLLAR) FEB. 18 FEB. 17 FEB. 19 FEB. 20 66.18 12.765 37.590 18.35 1.3300 3.7314 6.8515 4.5400 6.0455 1.8145 133.400 7.7980 13.0400 146.60 1291.50 153.22 2.5490 2.0490 54.520 6.9800 141.300 2.1410 47.95 860.10 127.970 28.640 6.4920 1.5335 35.020 25.930 153.05 66.65 12.850 37.900 18.54 1.3308 3.7314 6.9000 4.5660 6.0910 1.8283 134.600 7.8220 13.0400 145.70 1301.00 153.85 2.5515 2.0670 54.720 6.9850 142.000 2.1440 47.60 859.80 128.380 28.658 6.5100 1.5480 NA 25.930 153.12 66.52 12.925 38.090 18.73 1.3325 3.7314 6.9550 4.5750 6.1120 1.8350 135.650 7.8030 13.0900 144.70 1304.00 154.13 2.5585 2.0720 55.050 7.0250 142.000 2.1495 47.50 860.10 129.300 28.663 6.5250 1.5530 35.040 . 25.950 152.60 66.48 12.860 37.900 18.73 1.3303 3.7314 6.9060 4.5475 6.0880 1.8280 134.000 7.7970 13.0800 144.90 1299.00 153.65 2.5470 2.0663 55.030 6.9945 141.650 2.1360 48.00 860.40 128.700 28.693 6.4960 1.5452 35.060 25.960 152.83 99.09 99.63 99.92 99.59 SINDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. 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