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(516/517) LIBRARY J A N 2 6 1987 DATA FILE LIBRARY FEDERAL RESERVE B A N * OF CHICAGO Selected Interest & Exchange Rates Weekly Series of Charts January 20,1987 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 RATIO SC MARCH 1973= 100 _E '3=100 50 FOREIGN CURRENCY PRICE OF U.S. DOLLAR __ ITALIAN LIRA 45 40 35 30 25 200 180 JAPANESE YEN GERMAN MARK 160 140 120 100 80 140 DUTCH GUILDER CANADIAN DOLLAR 120 100 90 80 70 I I I I I I IIIIIIIIII I 60 90 U.K. POUND 80 FRENCH FRANC 70 60 50 I I II 40 240 SWISS FRANC BELGIAN FRANC / - 200 180 160 140 120 I 1985 1987 I I I l I 1985 I lllllllllll 1987 100 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR ( - ) AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM PERCENT PER ANNUM 4 8 JAPANESE YEN CANADIAN DOLLAR —f I I I IIIIIIIIII I \ I I I — l l l 4 12 U. K.POUND SWISS FRANC , rvs I I I I I I I I I I I I I I I I I 11 I I I h i l l i I I I I I — I DUTCH GUILDER GERMAN MARK — — I I I I I I I M h l l l l h l I I 4 4 FRENCH FRANC ITALIAN LIRA + 0 - 4 - 8 12 1985 1987 1985 1987 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE 480 I — - 480 460 460 440 440 12.5 Kg BARS AFTERNOON FIXING PRICE 420 420 400 400 380 380 360 360 340 340 320 320 300 300 280 280 260 260 1984 1985 1986 1987 CHART 4 CALL MONEY RATES WEEKLY SERIES il PER ANNUM PERCENT PER Ah 16 FRANCE U. S. FEDERAL FUNDS 12 • 8 W 4 JAPAN 0 I I I I I I 16 CANADA 12 GERMANY 8 4 0 I I I II 16 UNITED KINGDOM SWITZERLAND 12 8 4 NETHERLANDS 0 I I 1985 I ll 1987 1985 1987 CHART 5 3-MONTH INTEREST RATES WEEKLY SERES HI PER ANNUM PERCENT PER AN — 14 CANADIAN FINANCE CO. PAPER U . S . CD'S 12 16 14 10 - 12 10 8 WEIGHTED AVERAGE FOREIGN RATE 6 X II 4 1 1 1 I I - I 8 6 16 14 FRENCH INTERBANK RATE UK. INTERBANK STERLING 14 - 12 12 10 10 8 8 1 1 1 1 1 1 1 1 1 1 1 1 1 16 1 1 1 10 10 NETHERLANDS INTERBANK RATE 8 8 — GERMAN INTERBANK RATE 6 r A 4 2 6 / - - I I I 1 1 1 1 1 1 1 1 1 4 2 i i l i i l n l i i 8 8 JAPANESE GENSAKI RATE SWISS INTERBANK RATE 7 6 6 4 5 2 I 4 1985 1987 I 1985 I 11 0 1987 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY ENT PER ANNUM PERCENT PER Al 14 OVERNIGHT 3-MONTH 7-DAY 6-MONTH 1-MONTH 1-YEAR 12 10 8 6 4 14 12 10 8 6 4 14 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 14 12 FEDERAL FUNDS 90-DAY CD' S DASHED LINE DASHED LINE 12 10 6 10 — OVERNIGHT 3-MONTH EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS I I I 11111111111 11111111111 L J — I I I I 1111111111111111111111 M 4 2 DIFFERENTIAL DIFFERENTIAL I J I I 111111111111111111111111 1985 1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE 1987 I I I I I 1985 I . I 11111111111 r 0 11111111111 1987 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 18 14 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON 14 10 10 EURO-DOLLAR DEPOSITS DASHED LINE U. S. COMMERCIAL PAPER DASHED LINE i ili i J _ L DIFFERENTIAL I I I 2 2 DIFFERENTIAL 2 18 f — 18 INTERBANK DM 14 SWISS INTERBANK (SF) COVERED COVERED FRANKFURT 14 10 10 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE 2 1 _ 1 DIFFERENTIAL 2 DIFFERENTIAL + 0 I l l I I 1985 I lllllllllll 1987 1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE 1985 1987 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANI R PER ANNUM 16 16 — CANADA UNITED STATES 14 14 - 12 12 10 10 8 8 I 6 I I I I I Iili Ih i l l i 6 9 15 13 7 SWITZERLAND UNITED KINGDOM 11 5 9 3 1 1 1 1 1 1 1 7 10 10 8 1 GERMANY JAPAN - 6 6 4 1 1 ' I 1 1 1 1 1 I I 11111111111111111111111 4 17 17 U. S. 15 8 CORPORATE MONTHLY FRANCE 15 Aaa BONDS 13 13 11 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 UNITED KINGDOM UNITED STATES NETHERLANDS SWITZERLAND FRANCE GERMANY JAPAN 1985 1987 1985 1987 SEBIES NAME # LAST VALUE PLOTTED DATE VALUE AST 1 . SPOT EXCHANGE BATES AND INDICES WEEKLY AVERAGES, NOON BUYING BATES ( U . S . CENTS) 1 A w A # GERMAN MARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA JAN. 14 JAN. 14 JAN. 14 JAN. 14 JAN. 14 J A N . 14 JAN. 14 JAN. 14 JAN. 14 JAN. 14 5 2 . 96 0.63970 46.95 148.81 7 3 . 13 15. 88 6 3 . 19 2.54873 0.07464 14.94 INDICES, MARCH 1 9 7 3 BASE RATES = 100 GERMAN MARK JAPANESE YEN DUTCH GUILDEfi U . K . POUND CANADIAN DOLLAB FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAR 1 9 7 3 I G - 1 0 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 CHAHI 2 . JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. 14 14 14 14 14 14 14 14 14 1 4 8 . 99 1 6 7 . 49 1 3 4 . 79 6 0 . 19 7 2 . 89 7 1 . 54 2 0 3 . 30 1 0 0 . 43 4 2 . 40 14 14 14 14 14 14 14 14 14 14 14 102. 51 1 6 4 . 91 1 8 2 . 10 1 4 0 . 51 5 8 . 34 7 2 . 63 70. 35 2 1 1 . 70 102. 54 4 0 . 55 6 6 . 56 14 14 14 14 14 14 14 14 - 1 . 98 - 4 . 68 1. 51 - 3 . 43 2 . 41 0.41 1. 8 3 -5.78 100 JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. 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 JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. SBfilBS NAME CHART 3 . LAST VALUE PLOTTED DATE VALUE GOLD PRICE I S LONDON, AFTERNOON FIXING U.S. DOLLARS PER F I N E OUNCE JAN. 14 407.97 JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. 14 14 14 14 14 14 14 14 14 6.01 6.05 11.00 8.13 4 . 30 4.03 9 . 29 4.50 1.00 JAN. 14 JAN. 14 JAN. 14 JAN. 14 JAN. 14 JAN. 14 JAN. 14 JAN. 14 JAN. 14 5.85 4 . 64 4. 33 8 . 16 11.04 3.63 8 . 49 5.70 6.78 14 14 14 14 14 14 6 . 05 6.08 6.09 6.06 6 . 00 6.01 CHART 4 . CALL MONEY RATES U . S . FEDERAL FUNDS OVERNIGHT EURO—DOLLAR DEPOSITS 0. K. CANADA GERMANY JAPAN FRANCE NETHERLANDS SUTHERLAND CHART 5 . 3-MONTH INTEREST RATES U . S . 90-DAY C D ' S , SECONDARY MARKET GERMAN INTERBANK LOAN JAPANESE GENSAKI RATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTERBANK BATE NETHERLANDS INTERBANK RATE WEIGHTED AVERAGE FOREIGN INTEREST RATE ( G - 1 0 COUNTRIES PLUS SWITZERLAND) CHART 6 . EUEO-DOLLAH DEPOSIT RATES: LONDON OVERNIGHT 7-DAY 1-MONTH 3-MONTH 6-MONTH 1-YEAR CHART 7 . JAN. JAN. JAN. JAN. JAN. JAN. SELECTED EURO-DOLLAR AND U . S . MONEY MARKET RATES OVEHNIGHT EURO-DOLLAR DEPOSITS U . S . FEDERAL FUNDS DIFFERENTIAL JAN. JAN. JAN. 14 14 14 6.05 6.01 0.04 3-MQiiTH EURO-DOLLAR DEPOSIT RATE U . S . 90-DAY C D ' S , SECONDARY MARKET DIFFERENTIAL JAN. JAN. JAN. 14 14 14 6 . 06 5.85 0.21 SBBIES NAME CHA8I 8 . LAST VALUE PLOTTED DATE VALUE INTEREST ARBITRAGE, 3-HONTH FUNDS EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON) , COVEMED DIFFERENTIAL JAN. JAN. JAN. 14 14 14 6.06 6.23 -0.17 U . S . COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL JAN. JAN. JAN. 14 14 14 5.79 6.14 -0.32 EUSO-DOLLAR DEPOSIT INTERBANK DM (FRANKFURT) , COVERED DIFFERENTIAL JAN. JAN. JAN. 14 14 14 6.06 6 . 17 - 0 . 10 EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL JAN. JAN. JAN. 14 14 14 6.06 6.06 0.01 JAM. 9 JAM. 9 9 JAN. JAN. 9 DEC. 2 6 9 JAN. OCT. 9 JAN. 7 . 05 5 . 86 4.61 4.12 9.15 9.80 6.22 9.74 JUNE 9 . 13 CHART 9 . LONG TERM GOVERMENT BOND YIELDS UNITED STATES GERMANY JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM U . S . CORPORATE AAA BONDS CHART 1 0 . STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. 7 7 7 7 7 7 7 7 2 6 3 . 14 297.46 312.57 287.99 200.50 326.81 408.03 421.01 FEDERAL RESERVE statistical release H.10 (512) JAMUARX 2 0 , 1987 FOREIGN EXCHANGE RATES FOB THE NBBK 2NDIN6 JANUABZ 1 6 , 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 COUNTRY 'AUSTRALIA AUSTRIA BELGIUM BRAZIL CANADA CHINA,P.R. DENMARK FINLAND FRANCE GERMAN! GREECE HONG KONG INDIA •IRELAND ITALY JAPAN flALAYSIA 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 ION PESETA RUPEE KRONA FRANC DOLLAR BAHT POUND NEMO: •UNITED STATES DOLLAR rn»BciirT JAN. 12 66.70 13.328 39.400 15.28 1.3662 3.7314 7.1950 4.7000 6.2900 1.8915 136.200 7.7725 13.0200 142.60 1339.50 156.77 2.5940 2.1325 53.800 7.2690 144.100 2.1620 47.45 864.10 130.020 28.572 6.6980 1.5817 35.410 26.090 149.18 102.56 JAN. hmttq 13 65.52 13.203 38.850 15.36 1.3661 3.7314 7.1615 4.6750 6.2690 1.8760 135.600 7.7720 13.0400 143.17 1334.00 155.75 2.5790 2.1160 52.450 7.2290 143.550 2.1575 47.92 863.50 128.950 28.563 6.6650 1.5760 35.380 26.040 149.03 102.03 deb JAN. n 14 64.40 12.930 3 8 . 000 15.44 1.3635 3.7314 7.0050 4.6070 6.1375 1.9360 133.500 7.7660 13.0200 145.15 1307.25 152.80 2.5690 2.0700 53.250 7.1310 142.000 2.1480 4 8 . 15 862.90 127.380 28.563 6.5715 1.5400 35.350 26.040 150.55 100.24 JAN. 15 64.98 12.975 38.100 15.51 1.3630 3.7314 7.0230 4.6150 6.1525 1.8420 134.000 7.7620 13.0100 144.20 1310.50 153.55 2.5650 2.0785 52.550 7.1300 141.300 2.1440 48.3U 862.50 128.600 28.563 6.5895 1.5470 35.340 27.000 150.42 100.52 JAN. lb 05.21 12.970 38.250 15.59 1.3633 3.7314 6.9920 4.6145 6.1740 1.8450 134.300 7.7600 13.0000 144.30 1312.00 153.40 2.5630 2.0800 53.000 7.1400 142.000 2.1390 48.50 861.70 129.050 28.583 6.5890 1.5450 35.300 25.940 151.55 100.53 • IMi)EX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U . S . DOLLAR AGAlNSf CtJfifiBliClES OF OTHER G - 1 0 COUNTRIES. MARCH 1 9 7 3 = 1 0 0 . HEIGHTS ARB 1 9 7 2 - 7 6 GLOBAL TRADE OF EACH OF THE 10 COUNTRIES. SERIES REVISED AS OF AUGUST 1 9 7 8 . FOR DESCRIPTION AND BACK DATA, SEE " I l l D E X OF THE WEIGHTED-AVERAGE EXCHANGE VALUE OF THE U . S . DOLLAR: REVISION" ON PAGE 7 0 0 OF THE AUGUST 1 9 7 8 FEDERAL RESERVE BULLETIN. •VALUE I S U . S . CENTS
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