Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : March 23, 1987

The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.

M M

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LIBRARY

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MAR 2 7 1987
FEDERAL RESERVE
BANK OF ' MirAQQ

Selected Interest &
Exchange Rates
Weekly Series of Charts

i
March 23,1987

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

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




r

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
RATIO SCALE
MARCH 1 9 7 3 = 1 0 0

„

RATIO SCALE
MARCH 1 9 7 3 = 1 0 0

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

ITALIAN LIRA

:
-

I

I

I

I

I

I
—

JAPANESE YEN

GERMAN MARK

/wj'
-

-

M

i

l

I

I

I

I

I

I

DUTCH GUILDER

CANADIAN DOLLAR

UK. POUND

-

FRENCH FRANC

120
100

~~

BELGIAN FRANC

SWISS FRANC

^

—

—

/

—

90
60

-

70
60
50

\/

~

I

I

I




I

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1985

!

-

-

-

-

-

-

-

-

I I | I I | I I | II I I
1987

N/Ar^
I

I

I

I

1985

I

|||;||I|||, I||||I;|||,
1987

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

— J

—

\

+
0

-

I

I

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I

I

I

I

11111111111

4
12

U. K.POUND
SWISS FRANC

J

-

I
GER MAN MARK

I

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0
8

DUTCH GUILDER

-

I

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11111111111

FRENCH FRANC




1985

—

I

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ITALIAN LIRA

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

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 i I ' i l i ' I i ' I i ' l ' i l ' i l i

260
1984




1985

1986

1987

260

CHART 4

CALL MONEY RATES
WEEKLY SERIES

4T PER ANNUM

PERCENT PER Af

16

FRANCE
U. S. FEDERAL FUNDS

12

-

8

V ,I ' :

W
4

JAPAN

I

0

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uli i hill i

16
CANADA
12

GERMANY

8

4

0

I

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I I I I i l l I I I I II I I I I I I

16
UNITED KINGDOM
SWITZERLAND
12

8

4
NETHERLANDS

0




1985

1987

1985

1987

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES

PERCENT PER ANNUM

PERCENT PER ANNUM

16

14
U.S. CD'S

12

10

CANADIAN FINANCE CO.
PAPER

-

-

JL

J

-

z J

WEIGHTED AVERAGE
FOREIGN RATE

I

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11

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6
14

—

16
^

UK. INTERBANK STERLING
•

14

12

^
•

-

-

\

10
x

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12

-

10

8

-

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10

—

NETHERLANDS INTERBANK RATE

8

-

GERMAN INTERBANK RATE

6

^

—

lllllllllll

I

10

•

FRENCH INTERBANK RATE

r
i

8

—

10

-

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10

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6

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•

SWISS INTERBANK RATE

JAPANESE GENSAKI RATE

-

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^

-

4

#

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2

I

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1985

I

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1987

11

1_L
1985

1987

CHART 6

EURO-DOLLAR DEPOSIT RATES

LONDON

AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER At

ENT PER ANNUM

14
OVERNIGHT

3-MONTH

7-DAY

6-MONTH

12

10

8

6

4
14

12

-

10

8

6

I

4

I

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11111111111

14
1-YEAR

1-MONTH
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

90-DAY CD' S

FEDERAL FUNDS

12

12

DASHED LINE

DASHED LINE

10

10

OVERNIGHT
EURO-DOLLAR DEPOSITS

.

.

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w

3-MONTH
EURO-DOLLAR DEPOSITS

1111111111

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11111111111

4
2

2
DIFFERENTIAL

DIFFERENTIAL

v

vvyvyV^v—

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I I I I I I I I I I I I fl I I I I I I I I I I

1985
1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE




1987

I

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1

1
1985

1

I I I I I I I I 1I1 1
I 1I1 1 1 1 1 1 1
1987

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: F L U S H , INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER Ah

:NT PER ANNUM

18

14

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

10

6

EURO-DOLLAR DEPOSITS
DASHED LINE

U. S. COMMERCIAL PAPER
DASHED LINE

II

2
2

DIFFERENTIAL

DIFFERENTIAL

+

0

v\yvVvTVVnV—A

r r

11 III hill i I ill I hill I

2
18

14

INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

10

6

EURO-DOLLAR DEPOSITS

DASHED LINE

I

2
2

EURO-DOLLAR DEPOSITS

DASHED LINE

I

I
DIFFERENTIAL

DIFFERENTIAL

+

0

I

2

I

I

I
1985

I

ll
1987

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




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

12

10

—

8

10

8

I

6

I

I

I

I

I

6

15

13

14

9

UNITED KINGDOM

7

SWITZERLAND

11

5

9

3

7

1

10

10
GERMANY

8

JAPAN

8

-

6

6
4

I I I

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4
17

17
U. S. CORPORATE
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

UNITED STATES

250

150

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JAPAN

J

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ar*

300 —

J

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-

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—

-

-

200

-

150

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A

—

350 —

—

350

FRANCE

—

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SWITZERLAND

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1985

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75

-

300

-

250

-

200

-

150

GERMANY

—

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-

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—
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CANADA

-

1987

100

-

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150

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125

350

-

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-

200

I

150

—

-

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-

250

I

175

—

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NETHERLANDS

250
225
200

—

|

—

100

-

—

-

300

100

I

—

-

f

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450
400

-

—

100
450
400

f

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150

-

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250

200

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—

—

250

—

- 250

—

—

350 -

300

- 300

AV

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500 —
450
400 -

150

/\a

-

—

100

200

- 350

UNITED KINGDOM

-

200 -

450
400

' 450
- 400

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350

-

300

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200

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1987

450
400

100 (

SERIES NAME

LAST VALUE PLOTTED
DATE
VALUE

CHART 1. SPOT EXCHANGE BATES AND INDICES
WEEKLY AVERAGES, NOON BOXING BATES (0.S- CENTS)
GERMAN MASK
JAPANESE YEN
DUTCH GUILDER
U- K- POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA

MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH

18
18
18
18
18
18
18
18
18
18

54.19
0.65633
47.95
159.00
75.93
16.28
64. $9
2.61499
0.07623
15.52

MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH

18
18
18
18
18
18
18
18
18

152.43
171.85
137. $7
64.31
75.68
73.37
208. 13
103.04
43.30

18
18
18
18
18
18
18
18
18
18
18

99.42
164.66
181.43
140.07
61. 12
73.69
70. 44
211. 56
102.71
40. 42
67.52

18
18
18
18
18
18
18
18

-0.55
-3.25
2.47
-1.*0
2.39
1.01
2.25
- 3 . 14

I ICES, HARCH 1973 BASE RATES = 100
GERMAN HARK
JAPANESE YEN
DUTCH GUILDER
U.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA

GATED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100
(G-10 COUNTRIES PLUS SWITZERLAND)
U. S. DOLLAR
GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
S81SS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA

MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH

!. 3-MONTH FORWARD EXCHANGE SATES, PREMIUM OR DISCOUNT
CANADIAN DOLLAR
U.K. POUND
GERMAN MARK
FRENCH FRANC
SWISS FRANC
DUTCH GUILDER
JAPANESE YEN
ITALIAN LIRA



MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH

SERIES aABE

LASS VALUE PLOTTED
DATE
VALUE

CHART 3. GOLD PRICE 18 LONDON, AFTERNOON #1X1NG
MARCH 18

406. 88

MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH

18
18
18
18
18
18
18
18
18

6.08
6.02
10.92
7.50
3.85
3.81
7.96
5.26
1.00

MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
MARCH

18
18
18
18
18
18
18
18
18

6. 16
3.98
4.00
7.08
9. 75
4.09
7.85
5.36
6.21

MARCH
MARCH
MARCH
MARCH
MARCH
MARCH

18
18
18
18
18
18

6.02
6. 06
6.44
6. 38
6. 38
6. 46

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

MARCH 18
MARCH 18
MARCH 18

6.02
6.08
-0.06

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

MARCH 18
MARCH 18
MARCH 18

6.38
6.16
0.22

U.S. DOLLARS PER FINE OUNCE
4. CALL HONEY RATES
U.S. FEDERAL FUNDS
OVERNIGHT EURO-DOLLAR DEPOSITS
U.K.
CANADA
GERMANY
JAPAN
FRANCE
NETHERLANDS
SWITZERLAND
CHART 5. 3-MONTH INTEREST RATES
U.S. 90-DAY CD'S, SECONDARY MARKET
GERMAN INTERBANK LOAN
JAPANESE GBNSAKI RATE
CANADIAN FINANCE PAPER
INTERBANK STERLING
SWISS INTERBANK LOAN
FRENCH INTERBANK RATS
NETHERLANDS INTERBANK RATE
WEIGHTED AVERAGE FOREIGN INTEREST RATE
(G-10 COUNTRIES PLUS SWITZERLAND)
CHART 6. EURO-DOLLAR DEPOSIT RATES: LONDON
OVERNIGHT
7-DAY
1-MONTH
3-MONTH
6-MONTH
1-YEAR

7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES




SERIES

NAME

LAST VALUS PLOTTED
DATE
VALUE

CHART 8. INTEREST ARBITRAGE, 3-MONTH FUNDS
EURO-DOLLAR DEPOSIT
INTERBANK STERLING (LONDON), COVERED
DIFFERENTIAL

MARCH 18
MARCH 18
MARCH 18

6.38
6. 42
•0.05

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

MARCH 18
MARCH 18
MARCH 18

6.52
-0.36

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

MARCH 18
MARCH 18
MARCH 18

EURO-DOLLAR DEPOSIT
SWISS INTERBANK, COVEBJSD
DIFFERENTIAL

MARCH 18
MARCH 18
MAfiCH 18

6. 16
6.38
6.48

-0. 10
6.38
6.50

•0. 13

CHART 9. LONG TERM GOVERMENT BOND YIELDS
UNITED STATES
GESMANY
JAPAN (MONTHLY)
SWITZERLAND
CANADA
FRANCE
NETHERLANDS (MONTHLY)
UNITED KINGDOM

MARCH
MARCH
MARCH
MARCH
MARCH
MARCH
JAN.
MARCH

13
13
6
13

7.22
5.60
3.94
4.10
9.06
9.46

13

8.90

6
6

6.21

U.S. CORPORATE
AAA BONDS
CHART 10.

STOCK INDICES

UNITED STATES
UNITED KINGDOM
CANADA
GERMANY
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN




8.38

FEB.

MARCH
MARCH
MARCH
MAfiCH
MARCH
MARCH
MARCH
MARCH

11
11
11
11
11
11
11
11

306.58
345.48
358.54
244.57
198.38
302.91
442. 95
485. 16

FEDERAL RESERVE statistical release
H.10(512)

MARCH 20, 1987

FOREIGN EXCHANGE RATES
FOR THE KEEK ENDING

MARCH 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:
MONETARY
UNIT

MAR. 16

•AUSTRALIA
AUSTRIA
BELGIUM
BRAZIL
CANADA
CHINA,P.R.
DENMARK
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
"IRELAND
ITALY
JAPAN
MALAYSIA
NETHERLANDS
*NEH 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

67.93
12.92D
38.070
20.81
1.3165
3.7314
6.9225
4.5210
6.1175
1.8375
134.700
7.8025
12.9900
145.25
1306.00
151.65
2.5225
2.0770
56.300
6.9460
141.850
2.1395
47.77
857.50
129.050
28.783
6.4320
1.5375
34.640
25.930
158.30

68.76
12.920
38.120
20.92
1.3129
3.7314
6.9215
4.5140
6.1200
1.8390
134.800
7.8025
12.9200
145.00
1307.00
151.95
2.5230
2.0775
56.650
6.9620
141.400
2.1420
47.93
856.60
128.850
28.770
6.4225
1.5395
34.610
25.890
159.75

68.70
12.905
38.080
21.04
1.3133
3.7314
6.9150
4.5070
6.1125
1.8371
134.900
7.7990
12.8500
145.55
1306.50
151.95
2.5275
2.0765
56.550
6.9440
141.400
2.1470
47.95
855.70
128.600
28.770
6.4160
1.5380
34.590
25.890
160.58

68.57
12.885
38.030
21.16
1.3155
3.7314
6.9150
4.5075
6.1040
1.8340
134.600
7.8010
12.8600
145.80
1306.00
151.48
2.5235
2.0725
55.950
6.9350
141.300
2.1435
48.00
855.80
128.350
28.770
6.4150
1.5345
34.550
25.890
160.33

68.57
12.875
37.990
NA
1.3088
3.7314
6.9030
4.5000
6.1055
1.8345
134.800
7.8030
12.8800
145.80
1304.75
151.70
2.5230
2.0710
55.680
6.9320
141.400
2.1445
47.95
854.90
128.500
28.790
6.4085
1.5370
NA
25.880
160.22

MEMO:
•UNITED STATES

DOLLAR

99.13

99.06

98.95

98.85

98.82

COUNTRY

(CURRENCY UNITS PER DOLLAR)
MAR. 17
MAR. 18
MAR. 19

MAR. 20

SINDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. 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
•EIGHTED-AVERAGE EXCHANGE VALUE OF THE U.S. DOLLAR: REVISION" ON PAGE 700 OF THE AUGUST
1978 FEDERAL RESERVE BULLETIN.
*VALUE IS U.S. CENTS