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r s - y y o DATA F%% (616/617) r., ™ Sffi HBRArtv S * _ « < * « 5 " Selected Interest & Exchange Rates # January 12,1987 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 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 PATIO i CALE MARCH 197 1=100 CALE 1973=100 200 50 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 180 ITALIAN LIRA 160 45 40 - 140 35 120 30 100 I I I I I I I I I IIIr tI uIn 11111111111 25 200 200 180 180 JAPANESE YEN 160 160 140 140 120 120 100 100 80 80 140 140 120 DUTCH GUILDER CANADIAN DOLLAR 120 100 100 90 90 80 80 70 70 I I I ill I I I 60 60 90 90 80 U.K. POUND 80 FRENCH FRANC 70 70 60 60 50 50 40 40 120 240 SWISS FRANC BELGIAN FRANC 100 200 90 180 80 160 70 140 60 120 100 50 1985 1987 1985 1987 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR ( - ) AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER ANNUM PERCENT PER A^ 4 JAPANESE YEN CANADIAN DOLLAR + 0 —J \ — 4 8 4 I I nliiliilii I U. K. POUND SWISS FRANC + 0 4 - 8 8 I GERMAN MARK I i i i i DUTCH GUILDER 4 — 0 I 4 l l I I I OIIIIMIK 4 FRENCH FRANC ITALIAN LIRA 0 4 8 12 1985 1987 1985 1987 CHART 3 PRICE OF GOLD IN LONDON A V E R A G E S F O R W E E K ENDING W E D N E S D A Y U.S. I .LARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE 480 480 460 460 440 440 12.5 K g B A R S AFTERNOON FIXING PRICE 420 420 400 400 380 380 360 360 340 340 320 320 300 300 280 280 (260 260 1984 1985 1986 1987 CHART 4 CALL MONEY RATES W E E K L Y SERIES NT PER ANNUM PERCENT PER Ah 16 FRANCE U; S. F E D E R A L F U N D S 12 - 8 4 0 V, JAPAN I I I I I I II I II I I I I I II I I I I I I I I I 11111111111 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 W E E K L Y SERIES MT PER ANNUM PERCENT PER Ah 16 CANADIAN FINANCE CO. PAPER U.S. C D ' S 14 — 12 10 WEIGHTED A V E R A G E FOREIGN RATE - I I I I I 8 6 I 14 UK. INTERBANK STERLING F R E N C H INTERBANK RATE 12 10 8 I I I I I I I I I I I I I I6 I I I 10 N E T H E R L A N D S INTERBANK RATE 8 G E R M A N INTERBANK RATI V / A - v \ y i — 6 4 I I I I I I 2 8 A P A N E S E GENSAKI RATE SWISS INTERBANK RATE 6 4 2 JLLLL 1985 1987 1985 11 1987 0 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR W E E K ENDING W E D N E S D A Y PERCENT PER ANNUM PERCENT PER ANNUM 14 — 14 3-MONTH 12 — I I I MIMIIIIM iihihilii 10 4 14 6-MONTH 7-DAY 12 12 10 - JI i . - lllllllllll IIIIIIIIIM I I I I I MIMIIIIM 1-YEAR 1-MONTH I 1985 1987 1985 1987 10 CHART 7 SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), F A V O R S BORROWING IN U. S. A V E R A G E S FOR W E E K ENDING W E D N E S D A Y PERCENT PER ANNUM PERCENT PER ANNUM 16 16 14 FEDERAL FUNDS 9 0 - D A Y CD' S DASHED LINE DASHED LINE 12 10 I I ! I OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS 11111111111 I I 11111111111 w 11111111111 I 1111111111 4 2 DIFFERENTIAL DIFFERENTIAL I I I I I I I I IIII III IIIIIIIII III IIII I 1985 1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE 1987 I I I I I 1985 I I IIIIIIIIII 0 I IIIIIIII II 1987 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES F A V O R D O L L A R A S S E T S A V E R A G E S FOR W E E K ENDING W E D N E S D A Y PERCENT PER ANNUM PERCENT PER ANNUM 18 14 18 CANADIAN FINANCE CO. PAPER, C O V E R E D INTERBANK STERLING COVERED LONDON 14 10 10 E U R O - D O L L A R DEPOSITS DASHED LINE U. S. COMMERCIAL PAPER DASHED LINE 2 2 DIFFERENTIAL DIFFERENTIAL 2 2 18 18 14 INTERBANK D M SWISS INTERBANK (SF) C O V E R E D COVERED FRANKFURT 14 10 10 E U R O - D O L L A R DEPOSITS E U R O - D O L L A R DEPOSITS DASHED LINE DASHED LINE DIFFERENTIAL DIFFERENTIAL II 1985 1987 0 111 u I I I I II 11111111111 1 1 1 1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE + A , A . #X - 1985 1987 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS W E E K L Y SERIES NT PER ANNUM PERCENT PER AL 16 UNITED STATES CANADA UNITED KINGDOM SWITZERLAND 14 12 10 8 6 15 13 11 9 7 10 GERMANY 8 JAPAN 6 4 17 U. S. CORPORATE MONTHLY FRANCE 15 Aaa B O N D S 13 11 NETHERLANDS MONTHLY 9 7 5 1985 1987 1985 1987 CHART 10 INDUSTRIAL STOCK INDICES WEEKLY SERIES RATIO SCALE 1969=100 RATIO SCALE 1969=100 40V 400 — — — - - 350 - 300 — 250 - 200 - 150 - UNITED STATES 450 400 — 350 - I - 250 __ 200 - 150 - ^ A A T 450 400 350 - 300 - 250 - 200 150 I I I I|II|II |II I y i i J X I I I lllllllllll - 350 - 300 - 250 - - — A/—V - 200 - - - 150 lllllllllll 100 A J I I I I I I lllllllllll — — — 315 280 ~ - - 245 - 210 - 175 - - - __ - - - 140 - - - 105 lllllllllll 70 lllllllllll A SWITZERLAND I I I I A I I lllllllllll — — — 450 400 - - - 350 - - - 300 - __ - 250 - - - - 200 - - - 150 yt f 450 400 350 - 300 __ 250 - A T V j FRANCE I — I I f I I I I I | I I | I I | I I lllllllllll — — Au f v JAPAN y A/A GERMANY Z X y ^ /J y V ^ i i i I I I. lllllllllll mImImIii 100 — 450 400 - 350 — 300 - 250 — — — — - - _ CANADA - 200 100 / X a — — 100 150 UNITED KINGDOM 450 400 - lllllllllll A / ^ NETHERLANDS I — I yv/' ^J\ 300 100 wv/AA/^ / < v I 100 — - I I I I I 1985 I lllllllllll - - - 200 - - - 150 lllllllllll 1987 I I I I I 1985 I lllllllllll lllllllllll 1987 100 SERIES LAST 7ALOE PLOTTED DATE VALUE SAME CHART 1. SPOT EXCHANGE HATES AMD INDICES WEEKLY AVERAGES, NOON BO Y O G BATES (0. S. CENTS) GEE J! AN HABK JAPANESE YEN DUTCH GOILDEB O.K. POUND CANADIAN DOLLAR FRENCH FBANC SWISS FEANC BELGIAN FBANC ITALIAN LIBA SWEDISH KBOMA JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. 51.97 0. 63044 46.02 147.74 72.72 15.65 61.ao 2. $9456 0.07436 14.79 JAN. JAN. JAN. JAN. JAN. JAM. JAN. JAN. JAM. 146. 19 165.07 132.11 59.75 72. 48 70.50 198.82 98.30 42.24 INDICES, MARCH 1973 BASE BATES * 100 GERMAN HARK JAPANESE YEN BOTCH GUILDER 0. *. POUND CANADIAN DOLLAR FRENCH FBANC SWISS FBANC BELGIAN FRANC ITALIAN LIBA WEIGHTED AVERAGE EXCHANGE 7ALOE INDICES, HAB 1973 (G-10 COUNTRIES PLUS SWITZERLAND) 0.5. DOLLAR GERMAN HABK JAPANESE YEN DUTCH GUILDER 0.8. POUND CANADIAN DOLLAR FRENCH FBANC SWISS FRANC BELGIAN FBANC ITALIAN LIRA SWEDISH KHONA CHART 2. 3-HONTH FORWARD EXCHANGE CANADIAN DOLLAR O.K. POUND GEfiHAN HARK FRENCH FBANC SWISS FRANC DUTCH GOILDEB JAPANESE YEN ITALIAN LIBA 100 103.93 163.32 181.34 139. 13 58.58 73.04 70.06 209.22 101.40 40.86 66.60 JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. , PBBHIUH OB DISCOUNT JAN. JAN. JAN. JAN. JAN.. JAN. JAM. JAN. 7 7 7 7 7 7 7 7 -2.03 -4.50 1.42 -5.35 2.23 0.21 1.81 -6.23 SERIES SAME LAST 7ALOE PLOTTED DATE VALUE CHART 3. GOLD PRICE IB LOHDON, AFTERNOON FIXING 0.5. DOLLARS PER FIVE OUNCE JAN. 7 4 0 1 . 14 CHART 4. CALL MONEY BATES U.S. FEDERAL FUNDS OVERNIGHT EURO-DOLLAR DEPOSITS U.K. CANADA GERMANY JAPAN FRANCE NETHERLANDS SWITZERLAND JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. 7. 62 6. 81 10. 88 8. 13 4. 75 4. 10 8.84 5. 78 1.00 JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. 5.96 4.75 4.37 8.30 CHABT 5. 3-MONTH INTEREST BATES U.S. 90-DAY CD'S, SECONDARY BASKET GE&HAM INTERBANK LOAN JAPANESE GENSAKI RATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTERBANK RATE NETHERLANDS INTERBANK RATE WEIGHTED AVERAGE FOREIGN INTEREST BATE (G-10 COUNTRIES PLUS SWITZERLAND) 11.00 3.79 8.77 5.95 6. 88 CHART 6. EURO-DOLLAR DEPOSIT RATES: LONDON OVERNIGHT 7-DAY 1-MONTH 3-MONTH 6-MONTH 1-YEAR JAN. JAN. JAN. JAN. JAN. JAN. 7 7 7 7 7 7 6.81 6.44 6. 28 6. 16 6.11 6.09 . SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES OVERNIGHT EURO-DOLLAR DEPOSITS U.S. FEDERAL FUNDS DIFFERENTIAL JAN. JAN. JAN. 7 7 7 6.81 7. 62 -0.81 3-MONTH EURO-DOLLAR DEPOSIT RATE U.S. 90-DAY CD'S, SECONDARY MARKET DIFFERENTIAL JAN. JAN. JAN. 7 7 7 6. 16 5.96 0.20 SERIES H U E LAST VALUE PLOTTED DATE VALUE CHART 8. INTEREST ARBITRAGE, 3-MONTH FOUDS EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON), COVERED DIFFERE*11AL JAN. JAN. JAN. 7 7 7 6. 16 6.37 -0.21 O.S. COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL JAN. JAN. JAN. 7 7 7 5. 97 6.23 -0.26 EDRO-DOLLAR DEPOSIT INTERBANK DM (FRANKFORT), COVERED DIFFERENTIAL JAN. JAN. JAN. 7 7 6.16 6. 19 -0.94 EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL JAN. JAN. JAN. 7 7 7 6. 16 6.04 0.11 JAN. 2 JAN. 2 JAM. 2 DEC. 19 DEC. 26 DEC. 19 OCT. JAN. 2 7.20 5.84 4.61 4. 17 9. 15 9.43 6.22 9. 79 JUNE 9. 13 CHART 9. LONG TERM GOVERMBMT BOND YIELDS UNITED STATES GERMANY JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM U.S. CORPORATE $ AAA BONDS CHART 10. STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SUTHERLAND NETHERLANDS FRANCE JAPAN DEC. DEC. DEC. DEC. DEC. DEC. DEC. DEC. 31 31 31 31 31 31 31 24 249.40 288.86 303.67 290. 79 197.35 328. 13 400.28 415.32
@FedFRASER