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# (516/517) % LIBRARY M/K 0 3 1987 FEDERAL .BANK O F RESERVB H!CAGQ Selected Interest & Exchange Rates Weekly Series of Charts March 30,1987 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 $ 1 5 . 0 0 per year or $.40 each in the United 2. DAILY CERTIFIED SPOT EXCHANGE RATES-H.10 RELEASE States, its possessions, Canada, and Mexico; 10 or more of the same issue t o one address, $13.50 per year or $.35 each. Elsewhere, $ 2 0 . 0 0 per year or $.50 each. Address requests to Publications Services, Divi- 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 sion of A d m i n i s t r a t i v e Services, and make payment remittance payable to the order of the Board of Governors of the Federal Reserve System in a f o r m collectible at par in U.S. Currency. 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 50 — ITALIAN LIRA FOREIGN CURRENCY PRICE OF U.S. DOLLAR z/ v x>v y sAx - I 200 180 — — - 40 - 35 - 30 - 25 I I I I I I I I 20 I I I — — JAPANESE YEN GERMAN MARK /^\-j - y v 100 - - 140 - - 120 - 100 — - e I I I I I I I II II |I ,, i | M | | 80| 80 140 — — DUTCH GUILDER CANADIAN DOLLAR 120 s-s/— — 100 — 90 - - 80 - - 70 J* — I I i I i | | | I I I I I I I |I |I |I |I | | | | 60 i 90 — — U.K. POUND FRENCH FRANC yS - I I I I I I SWISS FRANC 90 •—J J - 70 60 — \y I I I I I I I I - - - - I I I I 1985 I I I I I 11111111111 I I 1987 I - 50 240 — 180 - 160 - 140 - 120 M 11111111111 100 1985 1987 vy ^\l i M i i 40 —200 Al A. J* - 60 l ,I ||,|, I M I I I I I I nIi I / — — 50 I 70 - — BELGIAN FRANC e V — 120 80 -H \^A - 80 — ^ ' 200 180 160 —- 140 120 I 45 — 160 __ # | - CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR (-) AVERAGES FOR WEEK ENDING WEDNESDAY ;ENT PER ANNUM PERCENT PER At 4 JAPANESE YEN CANADIAN DOLLAR 0 4 - 8 4 I I I — U. K, .POUND SWISS FRANC 0 4 8 8 I I GERMAN MARK I DUTCH GUILDER 4 — — + 0 4 I I I I I I I I I 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 L L A R S PER FINE OUNCE U.S. D O L L A R S PER FINE UNCE 480 460 440 12.5 Kg BARS AFTERNOON FIXING PRICE 420 400 380 360 340 320 300 280 260 1984 1985 1986 1987 CHART 4 CALL MONEY RATES WEEKLY SERIES [NT PER ANNUM PERCENT PER Af 16 FRANCE U. S. FEDERAL FUNDS 12 I 8 ^ V, 4 JAPAN 0 I l l I I I I I A, | VI VV I 16 CANADA 12 8 GERMANY 4 0 16 UNITED KINGDOM SWITZERLAND 12 8 4 NETHERLANDS U 0 1985 1987 1985 1987 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES :NT PER ANNUM PERCENT PER M 14 16 U.S. CD'S 12 CANADIAN FINANCE CO. PAPER - 14 10 - 8 12 10 WEIGHTED AVERAGE FOREIGN RATE 6 8 - I 4 I I 6 16 14 U.K. INTERBANK STERLING FRENCH INTERBANK RATE 14 — 12 12 10 10 V 8 I I I I I - 8 6 I 10 10 NETHERLANDS INTERBANK RATE 8 8 - GERMAN INTERBANK RATE 6 / V 4 2 I w ~Wv V 6 - 4 II I I I 10 2 8 JAPANESE GENSAKIRATE 8 - SWISS INTERBANK RATE 6 / v / V S . . A. . V 6 V- 4 2 V I I I I I 1985 4 - 2 I II I 1987 0 1985 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 16 — 14 12 FEDERAL FUNDS 90-DAY CD' S DASHED LINE DASHED LINE OVERNIGHT 3-MONTH E U R O - D O L L A R DEPOSITS E U R O - D O L L A R DEPOSITS 10 8 6 4 2 DIFFERENTIAL DIFFERENTIAL 1 0 1 1985 1 P E R C E N T ON D I F F E R E N T I A L S C A L E = 2 P E R C E N T ON RATE S C A L E 1987 1985 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 uliiliilii DIFFERENTIAL DIFFERENTIAL + 0 I 2 I I I I I I iiIIIIMIM ~ 2 18 18 INTERBANK DM 14 _ COVERED FRANKFURT SWISS INTERBANK (SF) COVERED 14 10 10 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE — DIFFERENTIAL DIFFERENTIAL /\ V V 1985 1987 1 P E R C E N T ON D I F F E R E N T I A L S C A L E = 2 P E R C E N T ON RATE S C A L E 1985 1987 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUM PERCENT PER ANNUM 16 14 - CANADA . - 12 p. 10 - 8 - 6 12 - VA/V^x __ VA I I I I I I 11111111111111111111111 13 UNITED KINGDOM 10 I I I I I I I I I II I SWITZERLAND e 11 J — 9 - \ - I 7 I I I I I 111111111, i : I, 10 GERMANY JAPAN 8 - 6 - III 4 17 U. S. CORPORATE 15 - 13 - 11 - MONTHLY FRANCE Aaa BONDS NETHERLANDS MONTHLY 7 - 14 - 15 * 16 — UNITED STATES 1985 1987 1985 1987 II I II CHART 10 INDUSTRIAL STOCK INDICES WEEKLY SERIES RATIO SCALE 1969=100 RATIO SCALE 1969=100 450 400 — — 350 - — 300 r 200 - 500 450 Z I I I I I I I I I I - 250 225 SWITZERLAND - - 150 125 — - I I I I 350 - r I I I T — GERMANY A/ J — 75 — r FRANCE I I I 100 —, / V - f - - 11111111111 M l , i l l , I , , I f\ A 300 200 175 y I 150 100 — JAPAN 450 400 — - 150 - I I I 100 I I I i.l.ili.l.i — 450 400 — 350 NETHERLANDS \r> 300 V - 250 - 200 - - 150 -^A/v - 100 - — - 150 450 400 200 — 200 200 — r 300 — 250 250 I A \ / 300 - I — 400 350 250 - - - 100 350 UNITED KINGDOM UNITED STATES 250 150 450 400 — r i i i i i i 1985 I I | , I | I I | , I Illlllillll 1987 350 CANADA — - 300 250 200 - i i i I I I 1985 150 100 1987 SBfllES N A M E LAST VALUE PLOTTED DATE VALUE CHART 1. SPOT EXCHANGE BATES AND INDICES WEEKLY AVERAGES', NOON BUYING BATES (U.S. CENTS) GEBHAN MARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FBANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA HARCH HABCH HABCH HABCH HABCH HABCH HABCH HABCH HABCH HABCH 25 25 25 25 25 25 25 25 25 25 HABCH HABCH HAfiCH HABCH HABCH HARCH HARCH HAfiCH HAfiCH 25 25 25 25 25 25 25 25 25 153.93 174.12 139.08 65.02 76. 06 74.07 21Q.46 104.04 43.66 25 25 25 25 25 25 25 25 25 25 > 25 98.44 165. 06 183. 53 140. 44 61.34 73. 48 70. 58 212.30 102.91 40. 44 67.69 54.72 0.66501 48. 45 160.77 76.31 16.44 65. 42 2.64036 0.07686 15.68 INDICES, HABCH 1973 BASE BATES = 100 GEBHAN HARK JAPANESE YEN DUTCH GUILDEB U.K. POUND CANADIAN DOLLAB FRENCH FBANC SWISS FRANC BELGIAN FBANC ITALIAN LIRA :GHTED AVERAGE EXCHANGE VALUE INDICES, HAfi 1973 = 100 (G-10 COUNTRIES PLUS SWITZEBLAND) U.S. DOLLAR GEBHAN HABK JAPANESE YEN DUTCH GUILDER U. Km POUND CANADIAN DOLLAB FBENCH FBANC SWISS FBANC BELGIAN FBANC ITALIAN LIRA SWEDISH KBONA HABCH HABCH HAfiCH HAfiCH HAfiCH HABCH HAfiCH HAfiCH HAfiCH HAfiCH HAfiCH CHART 2. 3-HONTH FOBHARD EXCHANGE BATES, PREHIUH OB DISC008T CANADIAN DOLLAB O.K. POUND GEBHAN HARK FBENCH fBANC SWISS FBANC DUTCH GUILDEB JAPANESE YEN ITALIAN LIBA HAfiCH HAfiCH HABCH HABCH HABCH HABCH HABCH HABCH 25 25 25 25 25 25 25 25 -0.50 -3.06 2.51 -1.58 2.55 1. 02 2.34 -2. 88 SEJ1I.ES NAME LAST VALUE PLOTTED DATE VALUE # CHART 3. GOLD PBICE 2H LONDON, AFTERNOON FIXING U.S. DOLLARS PER FINE OUNCE MARCH 25 408.06 •• CHART 4. CALL MONEY RATES U.S. FEDERAL FUNDS OVERNIGHT BUBO-DOLLAB DEPOSITS U.K. CANADA GERMANY JAPAN FRANCE NETHERLANDS SWITZERLAND MARCH MARCH MARCH MARCH MARCH MARCH MABCH MARCH MARCH 25 25 25 25 25 25 25 25 25 6. 14 5. 99 10.05 7. 50 3. 70 3.81 7.85 5.35 1.00 MARCH MARCH MARCH MARCH MARCH MARCH MARCH MARCH MARCH 25 25 25 25 25 25 25 25 25 6. 19 3. 97 4. 03 6. 94 9. 59 3.94 7. 76 5. 40 6. 15 MABCH MABCH MABCH MABCH MABCH MABCH 25 25 25 25 25 25 5.99 6. 53 6.39 6.36 6.36 6. 46 OVEBNIGHT EURO-DOLLAR DEPOSITS U.S. FEDERAL FUNDS DIFFERENTIAL MARCH 25 MARCH 25 MARCH 25 5. 99 6. 14 -0. 15 3-MONTH BUBO-DOLLAB DEPOSIT BATE U.S. 90-DAY CD'S, SECONDARY MABKET DIFFERENTIAL MARCH 25 MARCH 25 MARCH 25 6. 36 6. 19 0. 17 CHART 5. 3-MONTH INTEREST RATES U.S. 90-DAY CD'S, SECONDARY MARKET GERMAN INTERBANK LOAN JAPANESE GENS Aid RATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTERBANK RATE NETHERLANDS INTERBANK RATE WEIGHTED AVERAGE FOREIGN INTEREST RATE (G-10 COUNTRIES PLUS SWITZERLAND) CHART 6. EtiBO-DOLLAR DEPOSIT BATES: LONDON OVEBNIGHT 7-DAY 1-MONTH 3-MO NTH 6-MONTH 1-YEAB « CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET BATES « SERIES NAME LAST VALUE PLOTTED DATE VALUE CHART ti. INTEREST ARBITRAGE, 3-HONTH FUNDS EURO— DOLLAR DEPOSIT INTERBANK STERLING (LONDON)„ COVERED DIFFERENTIAL MARCH 25 MARCH 25 MARCH 25 6.36 6.45 -0.09 U.S. COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL MARCH 25 MARCH 25 MARCH 25 6. 19 6.44 -0.25 EURO-DOLLAR DEPOSIT INTERBANK DM (FRANKFURT), COVERED DIFFERENTIAL MARCH 25 MARCH 25 MARCH 25 6.36 6. 50 -0. 14 EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL MARCH 25 MARCH 25 MARCH 25 6.36 6.52 -0. 15 9. LONG TERM GOVERMENT BOND YIELDS UNITED STATES GERMANY JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM MARCH MARCH MARCH MARCH MARCH MARCH FEB. MARCH 20 20 6 6 6 13 20 7.21 5.51 3.94 4. 10 9.06 9.46 6. 15 8.64 S. CORPORATE AAA BONDS 10. 8.38 STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN FEB. MARCH MARCH MARCH MARCH MARCH MARCH MARCH MARCH 18 18 18 18 18 18 18 18 310.40 349. 46 374. 47 242. 95 19 7. 58 308. 19 445. 66 489. 19 FEDERAL RESERVE statistical release H.10(512) MARCH 27, 1987 FOREIGN EXCHANGE RATES FOR THE MEEK ENDING MARCH 27, 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. 23 ^AUSTRALIA AUSTRIA BELGIUM BRAZIL CANADA CHINA,P.R. DENMARK FINLAND FRANCE GERMANY GREECE HONG KONG INDIA ^IRELAND 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 68.84 12.795 37.730 NA 1.3085 3.7314 6.8580 4.4670 6.0625 1.8207 133.850 7.8030 12.8000 146.85 1295.75 150.25 2.5180 2.0565 55.850 6.8755 140.700 2.1400 48.15 854.20 127.750 28.790 6.3690 1.5235 34.450 25.870 161.70 69.29 12.810 37.770 NA 1.3078 3.7314 6.8580 4.4690 6.0700 1.8220 133.600 7.7995 12.7900 146.55 1298.00 149.32 2.5185 2.0586 56.320 6.8825 140.700 2.1395 48.40 853.30 127.950 28.790 6.3170 1.5235 34.430 25.820 161.00 MEMO: fUNITED STATES DOLLAR 98.12 98.11 COUNTRY (CURRENCY UNITS PER DOLLAR) MAR. 24 MAR. 25 MAR. 26 MAR. 27 69.50 12.845 37.850 NA 1.3114 3.7314 6.8930 4.4810 6.0765 1.8265 134.300 7.7995 12.8200 146.20 1301.00 149.15 2.5200 2.0620 56.700 6.8925 141.100 2.1400 48.75 852.40 128.580 28.803 6.3870 1.5248 34.410 25.820 160.58 69.54 12.840 37.860 NA 1.3085 3.7314 6.8945 4.4900 6.0855 1.8285 134.430 7.8040 12.9000 146.10 1303.50 149.20 2.5220 2.0640 56.400 6.8900 141.050 2.1420 48.65 852.50 128.850 28.803 6.3880 1.5270 34.380 25.830 160.60 69.80 12.815 37.770 21.89 1.3065 3.7314 6.8870 4.4800 6.0690 1.8235 133.850 7.8005 12.8900 146.45 1299.50 147.72 2.5180 2.0585 56.420 6.8650 140.800 2.1390 49.00 852.60 128.000 28.803 6.3650 1.5200 34.350 25.830 160.30 98.31 98.36 98.05 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 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