Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : January 5, 1987

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Selected Interest &
Exchange Rates
Weekly Series of Charts

\

January 5,1987

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, D C. 20551




Table of Contents

TABLES

1. LATEST FIGURES PLOTTED
2. DAILY CERTIFIED SPOT
EXCHANGE RATESH.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




SUBSCRIPTION RATES:

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.

CHART 1

SPOT EXCHANGE INDICES
g g ™ M S i 5

DOLLAR P . C E S OF
RATIO S
MARCH

RATIO SCALE
MARCH 1973=10(

oo

200
180

4!

ITALIAN LIRA

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

4

160

3

140

3

120
I

100

I

2

I

2C

—

18

200
180
160

JAPANESE YEN

,

16

w

GERMAN MARK
/

~~

1A

140
12

120
1<
100




I

I

|

I

I

l l l l l l l l l l n I I I I ill I I I I

I

DUTCH GUILDER
CANADIAN DOLLAR

-

UK. ROUND

FRENCH FRANC

_

I

I

-

BELGIAN FRANC

1986

I

I

iiiIiiliilli

SWISS FRANC

I
1984

I

I

I

I

|

|
1984

I

11111111111 L
1986

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR ( - )
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

4

—

JAPANESE YEN
CANADIAN DOLLAR

+
0

4

8
4

12

U. K. POUND
SWISS FRANC

+
0

4

8

8

GERMAN MARK

DUTCH GUILDER

FRENCH FRANC

ITALIAN LIRA

4

0
8

24

24

32




1984

1986

1984

1986

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOfl WEEK ENDING WEDNESDAY

U.S. DOLLARS PER FINE OUNCE
OUNCE




— I

12.5 Kg BARS
AFTERNOON FIXING PRICE

520

CHART 4

CALL MONEY RATES
WEEKLY SERIES

PER

:NT PER ANNUM

PERCENT PER AF

20

16
FRANCE

U. S. FEDERAL FUNDS

12

8

4
JAPAN

0

I

I

I

I

I

20

16

SWITZERLAND
CANADA

12

8

4

0

I

I

I

I

i

i

11111111111

20

16

UNITED KINGDOM

12

GERMANY

8

AWVVS/V
4

NETHERLANDS

0




111111
1984

1986

1984

1986

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES

1

PERCENT PER ANNIUM

PER ANNUM

16
U.S. CD'S

CANADIAN FINANCE CO.
PAPER

-

14

L

12

-

10
WEIGHTED AVERAGE
FOREIGN RATE

8
I

I

I

I

I

I I I I I I I I I I I 11111111111

I

6
14

IFRENCH INTERBANK RATE
U.K. INTERBANK STERLING

12

-

10

8

l

l

I

I

I

I

I

I

I

I ill ill ill I

I

6

10

—

NETHERLANDS INTERBANK RATE

8

GERMAN INTERBANK RATE

6

-

11

I

I

I

I

I

4

2

I

8
SWISS INTERBANK RATE

JAPANESE GENSAKI RATE




~ /x.j<

6

\r .

A

W

-

4

2

I
1984

1986

I

I

I

I
1984

0

I
1986

CHART 6

EURO-DOLLAR DEPOSIT RATES

LONDON

AVERAGES FOR WEEK ENDING WEDNESDAY

PER' NT PER ANNUM

PERCENT PER M

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

I

4




1984

1986

I

I

I

I
1984

I

I I I I i l l ill I
1986

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

—

14

3-MONTH

FEDERAL FUNDS

E U R O - D O L L A R DEPOSITS

DASHED LINE

12

10

90-DAY CD' S

8
OVERNIGHT
E U R O - D O L L A R DEPOSITS

6

1

4

2
DIFFERENTIAL

DIFFERENTIAL

1

+
0

1
1984
1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE




1986

1984

1986

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER AN

U PER ANNUM

18

14

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS
DASHED LINE

10

INTERBANK STERLING

6

COVERED LONDON

U. S. COMMERCIAL PAPER

2
2

DIFFERENTIAL

DIFFERENTIAL

0

2

J_L

J—L

JIM

18

14

INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

10

6

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

I

2

2

I

I

I

I

I

I

I

I

I

DIFFERENTIAL

DIFFERENTIAL

+

0

I

2

1984

I I ll I

I
1986

1 PERCENT ON DIFFERENTIAL S C A L E = 2 PERCENT ON RATE SCALE




1984

1986

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES

PERCENT PER ANNUM

PERCENT PER ANNUM

16

16

—

—

CANADA

UNITED STATES
14

—

-

-

AA

I\

12
10

I I I

I I I iill ihilii

~

12

-

10

-

-

VA

14

—

-

I

I

I

I

I

I

8

u l u h i l l i I ll III III I I 6

15

13

SWITZERLAND

UNITED KINGDOM
-

11

9

#

\ yH -

I

7

I • I

I

I

—

10

I

l

iilli

ii
10

—

GERMANY

8

-

6

-

4

I

ii I n h i l l i

I

JAPAN

-

^ ^ - x j

I

I

I

I

I

I

\a

-

8

-

J—^rNWA"

-

6

-

i l l 11 h i l l i I , J Y i h Y h T

I

I

I

I

I

I

4
17

U. S.

CORPORATE




MONTHLY

FRANCE

-

15

-

13

Aaa BONDS
-

V

— 11

NETHERLANDS
MONTHLY^

9

-

7

I
1984

1986

I

I

I

I- I
1984

Mil.Illlll

I I I I I I I I I I I I

1986

5

CHART 10

INDUSTRIAL STOCK INDICES
WEEKLY SERIES
RATIO
1969=

RATIO

450
400
350
300
250

200

UNITED KINGDOM
UNITED STATES

150

100
450
400
350
300
250

200

SWITZERLAND

NETHERLANDS

150

100
450
400
350

-

-

300
250

200

FRANCE

-

GERMANY

150

</|

100

| |

I

I

I

I I I I I I I I I I I

450
400
350
300

~~

iCANADA

250

-

200
150

I

100




1984

1986

I

I I I I I I I I II II II I I I I I I I I

I
1984

1986

LAST VALUE PLOTTED
DATE
VALUE

S E R I E S NAME
T 1 - SPOT EXCHANGE BATES AND I N D I C E S
MEEKLY AVERAGES, NOON BUYING BATES ( U . S .

CENTS)

GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U . K . POUND
CANADIAN DOLLAR
FRENCH FRANC
S 8 I S S FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KfiONA
INDICES,

#

31
31
31
31
31
31
31
31
31
31

51.45
0.62795
45.52
146.93
72.36
15.55
61.52
2. 47048
0.07392
14.69

DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.

31
31
31
31
31
31
31
31
31

144. 72
164.42
130.68
5 9 . 43
7 2 . 12
70.06
197.92
97.35
4 1 . 99

31
31
31
31
31
31
31
31
31
31
31

104.67
1 6 2 . 43
181.67
138.34
58.58
73.09
70.00
2 0 9 . 44
10Q.96
40.84
66.54

31
31
31
31
31
31
31
31

-1.85
- 4 . 46
1.45
-3.83
2.21
0.35
2 . 16
-4.81

MARCH 1 9 7 3 BASE RATES = 1 0 0

GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
ILK- POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAR 1 9 7 3
( G - 1 0 COUNTRIES PLUS SWITZERLAND)
0 . S . DOLLAR
GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U. K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA

CHART 2 .

DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.

100
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.

3-MONTH FORWARD EXCHANGE BATES, PREMIUM OR DISCOUNT

CANADIAN DOLLAR
U . K . POUND
GERMAN MARK
FRENCH FRANC
SWISS FRANC
DUTCH GUILDER
JAPANESE YEN
ITALIAN LIRA




DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.

SERIES
CHART 3 .

LAST VALUE PLOTTED
DATE
VALUE

NAME

GOLD P R I C E I N LONDON, AFTERNOON F I X I N G
DEC-

31

389.92

DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.

31
31
31
31
31
31
31
31
31

9.20
1 4 . 48
10. 92
8.25
5.33
4.41
7.88
6.42

DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.

31
31
31
31
31
31
31
31
31

6.27
4. 95
4 . 40
8 . 38
11.23
3 . 79
8.31
6 . 17
6.91

DEC.
DEC.
DEC.
DEC.
DEC.
DEC.

31
31
31
31
31
31

1 4 . 48
9.00
6.92
6.35
6.19
6 . 17

OVERNIGHT EURO-DOLLAR DEPOSITS
U . S . FEDERAL FUNDS
DIFFERENTIAL

DEC. 3 1
DEC. 3 1
DEC. 3 1

14. 48
9.20
5.28

3-MONTH EURO-DOLLAR DEPOSIT RATE
U . S . 90-DAY C D ' S , SECONDARY MARKET
DIFFERENTIAL

DEC. 3 1
DEC. 3 1
DEC. 3 1

6.35
6.27
0 . 08

U.S.
CHART 4 .

DOLLARS PER F I N E OUNCE

CALL HONEY RATES

U . S . FEDERAL FUNDS
OVERNIGHT EURO-DOLLAR DEPOSITS
0 . K_

CANADA
GERMANY
JAPAN
FRANCE
NETHERLANDS
SWITZERLAND
CHART 5 .

3-HONTfl INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET
GERMAN INTERBANK LOAN
JAPANESE GENSAKI RATE
CANADIAN FINANCE PAPER
INTERBANK STERLING
S 8 I S S INTERBANK LOAN
FRENCH INTERBANK RATE
NETHERLANDS INTERBANK RATE
WEIGHTED AVERAGE FOREIGN INTEREST RATE
( G - 1 0 COUNTRIES PLUS SWITZERLAND)
CHART 6 .

EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT
7-DAY
1-flONTH
3-MONTH
6-MONTH
1-YEAR
.

1.00

SELECTED EURO-DOLLAR AND U . S .




MONEY MARKET RATES

•<

SERIES
CHART 8 .

NAME

LAST VALUE PLOTTED
DATE
VALUE

INTEREST ARBITRAGE, 3-MONTH FUNDS

EOBO-DOLLAR DEPOSIT
INTERBANK STERLING (LONDON), COVERED
DIFFERENTIAL

DEC. 3 1
DEC. 3 1
DEC. 3 1

6.35
6.65
-0.29

U . S . COMMERCIAL PAPER
CANADIAN FINANCE PAPER, COVERED
DIFFERENTIAL

DEC. 3 1
DEC. 3 1
DEC. 3 1

6-38
6.50
- 0 . 12

EURO-DOLLAR DEPOSIT
INTERBANK DM (FRANKFORT), COVERED
DIFFERENTIAL

DEC. 3 1
DEC. 3 1
DEC. 3 1

6.35
6.41
-0.06

EURO-DOLLAR DEPOSIT
SWISS INTERBANK, COVERED
DIFFERENTIAL

DEC. 3 1
DEC. 3 1
DEC. 3 1

6.35
6.02
0.33

CHART 9 .

LONG TERM GOVERMENT BOND YIELDS

UNITED STATES
GERMANY
JAPAN (MONTHLY)
SWITZERLAND
CANADA
FRANCE
NETHERLANDS (MONTHLY)
UNITED KINGDOM
U.S.

26

7.08
5.87
4.67
4 . 17
9.21
9.43
6.22
10.04

JUNE

9 . 13

STOCK I N D I C E S

UNITED STATES
UNITED KINGDOM
CANADA
GERMANY
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN




26
26
26
19
5
19

CORPORATE

AAA BONDS
CHART 1 0 .

DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
OCT.
DEC.

DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.
DEC.

24
24
24
24
24
24
24
24

254.37
286.07
301.75
290.60
197.01
333.39
408.73
415.32

M

FEDERAL RESERVE statistical release
#H.10(512)

;ofGovf;

JAMUABI

5,

1987

FOREIGN EXCHANGE RATES
FOB 1MB 1BEK ENDING

JABOABI

2,

1987

The Board of Governors of the Federal Reserve System is advised that the Federal Reserve Bank of New York has certified for customs
0 purposes the following noon buying rates In New York City for cable transfers payable In foreign currencies:

COOBTBI

BOMBTABY
0811

DOLLAB
SCHILLING
FBANC
CBOZADO
DOLLAB
IOAB
KBONB
MABKKA
FBABC
|BCB
D. BABK
IBABT
DBACFLMA
BSCS
DOLLAB
B0B6 KOBG
BOPBB
INDIA
POOBD
•IBBLABD
LIBA
ITALY
IBM
JAPAN
BIMGGIT
I MALAYSIA
GOILDBB
BBTHBB1ABDS
DOLLAB
•MEM ZEALAND
KBOMB
NOBHAI
BSCODO
POBTUGAL
DOLLAB
SINGAPORE
BAHD
*SOOTH AFBICA
BOB
> SOOTH KOBBA
PESETA
SPAIN
BOPBB
S B I LANKA
KBOMA
SMBDBB
FBABC
SSIT1BBLABD
DOLLAB
TAIBAB
BAHT
THAILAND
> *BMITBD KINGDOM POOBD
•AOSTBALIA
A0S1BIA
1
BBLGIOB
BRAZIL
CABABA
CHINA,P.B.
DBBBABK
FIBLABD

«

MEMO:
TUNITED STATES

DOLLAB

DEC. 29
66 28
13. 685
4 0 . 470
1 4 . 86
1. 3 8 1 6
3 . 7314
7. 3695
4. 8170
6. 4 3 1 0
1. 9 4 2 5
1 3 9 ., 0 5 0
7. 7940
1 3 ., 1 3 0 0
1 3 9 .. 1 5
1 3 5 3 .. 5 0
1 5 9 .. 0 5
2.. 5 9 8 0
2.. 1 9 6 5
5 2 ..380
7 .. 4 0 1 5
1 4 6 ..800
2.. 1 8 3 0
45.
8 6 5 .. 3 0
132 . 1 5 0
28. . 5 3 3
6.8060
1.6235
3 5 660
2 6 110
146 8 3

.10

104.64

(CnHHRMCT nil ITS PBB DOLLAR)
DEC. 3 1
DEC. 3 0

JAM.

JAM.
66.58
13.500
39.930
14.90
1.3785
3.7314
7.2700
4.7550
6.3525
1.9180
137.800
7.7800
13.0200
141.30
1337.00
158.25
2.5990
2.1655
52.550
7.3400
144. 900
2-1700
MA
865.20
NA
28.535
6.7375

146 . 8 5

66.53
13.570
40.050
14.90
1.3810
3.7314
7.2875
4.7720
6.3770
1.9235
138.200
7.7915
13.1200
141. 05
1339.00
158.30
2.5990
2.1725
53.050
7.3750
147. 000
2.1725
45. 72
865.20
131.200
28.533
6.7410
1.6140
35.550
26.270
148.25

104.84

103.79

103.52

66, 3 8

13
40
14
1
3
7
4

720
530
90
,3831
7314
.3870

.8280

6.. 4 4 2 0
1.. 9 4 6 5

1 3 9 .. 4 0 0
7 .. 7 9 2 0
13. 1300
1 3 9 ..00
1 3 5 6 ..00
159. 9 0
2.. 6 0 5 0
2.. 1 9 9 0
52. 4 2 0
7. 4 3 0 0
146. 9 0 0
2.. 1 7 8 0
45. 2 5
8 6 5 . 20
132. 600
28. , 5 3 3
6. , 8 1 9 0
1, . 6 2 5 5
3 5 .610
26, 100

1.6100

NA

26. 100

149.00

OTHER G - 1 0

#

78 FEDERAL RESERVE BULLETIM.

•VALUE IS O.S. CENTS