Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : May 11, 1987

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I

LIBRARY

DATA FILE
LIBRARY

IMY 1 2 1Qfi7

FEDERAL RESERVE IAW
Of CHICAGO

0/

.

ssssssss

1

f

Selected Interest &
Exchange Rates
Weekly Series of Charts

May 11,1987

DIVISION OF

Prepared by the
FINANCIAL MARKETS
SECTION

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

-




INTERNATIONAL FINANCE

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
a 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
OOU.R P..CES or

v . ^ s ,TH« LINE)

RATIO S C A L E
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

GERMAN MARK

JAPANESE YEN

" 200
- 180

/""A

- 160
• 140
120
100

I

I

V

I

l l

I

I

I

I

I

i

i

i

I I I I I I I I80
I I |
140

DUTCH GUILDER

CANADIAN DOLLAR

120

^
—

100

-

90
80

i

i

I

i

l

"

l

—

70

90

U K POUND

FRENCH FRANC

-

80

-

70

-

60
50

M

i

n

i

I

BELGIAN FRANC




1985

I

I

l

l

i

i

I I I
iiliihilii I I I I I I I I40
240

SWISS FRANC

II
1987

I I
1985

1987

CHART 2

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

PERCENT PER ANNUL

4

8

JAPANESE YEN

CANADIAN DOLLAR

-

I

I

I

I

I

I

I

I

I

I

I

I

4
12

U. K. POUND
SWISS FRANC

I

I

I

I

I

I

I

GERMAN MARK

I

I
DUTCH GUILDER

-

-

4

0

I I I




I I I

Illllllllll

, I n

FRENCH FRANC

1985

ITALIAN LIRA

1987

1985

1987

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. I

' L I A R S 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 I I I I I I I I I I I I I I I I I

260
1984




1985

1986

1987

260

CHART 4

CALL MONEY RATES
WEEKLY SERIES

ENT PER ANNUM

PERCENT PER At

16

FRANCE
12

U. S. FEDERAL FUNDS

-

8

4

":

JAPAN

0

I

I

I

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
WEEKLY SERIES

PERCENT PER Ah

PERI :NT PER ANNUM

14

16

u.s>

12

CANADIAN FINANCE CO.
PAPER

CD'S
-

14

10

-

8

10
WEIGHTED AVERAGE
FOREIGN RATE

6
4

I

I

I

I

I

\
I

I

16

I

I

I

I

1

-

14

UK. INTERBANK STERLING

FRENCH INTERBANK RATE
-

12

12

10

10

Vv

8

1

1

1

1

1

-

8
6

1

10

10
NETHERLANDS INTERBANK RATE

8

8

—

GERMAN INTERBANK RATE

6

J

4

V-v.

1 1 1

X - W

-vVV

"

-

1 1 1

6
4

1

1

1

1

1

2

1

10

8
JAPANESE GENSAKI RATE

8

SWISS INTERBANK RATE

-

A. .

6

V V

^^

4
2

8
6

I

—

14

2

12

1

1

1




1

1
1985

-

1987

4

2
1

1

6

1

1

1

1
1985

0

1
1987

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM

PERCENT PER Al

14

—

OVERNIGHT

3-MONTH

12

-

10

8

6
I

4

I

I

I

I

I

I I III l l l h l

14
7-DAY

6-MONTH

1-MONTH

1-YEAR

12

10

8

6

4
14

12

10

8

6

4

I

I

I




I

I
1985

I

11111111111 11111111111
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

PERCENT PER ANNUM

16

14
14

12

90-DAY CD' S

FEDERAL FUNDS

12

DASHED LINE

DASHED LINE

10
10

8

-

OVERNIGHT

6 —

EURO-DOLLAR DEPOSITS

I

I

I

I

I

I

11111111111

u

I
3-MONTH

EURO-DOLLAR DEPOSITS

I

I ' IIII' III

I

I

I

I

\A^/V

I iiIiih

I

i I i i I i i I i i I I 1.1 l l 4
2

—

DIFFERENTIAL

DIFFERENTIAL

Lz

vV>^

l

I

l

I

I

I

I

111111111111111111111111

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




'

1987

I

I
1985

I

+
0

1

i 1 i i 1 i i 1 i i
II 1 1 1 1 1 1 1i 1
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

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

EURO-DOLLAR DEPOSITS

6

U. S. COMMERCIAL PAPER

DASHED LINE

DASHED LINE

III I I

2

2

DIFFERENTIAL

DIFFERENTIAL

2

18

18

14

INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

10

6

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

1

2

2

DIFFERENTIAL

DIFFERENTIAL

0

2
1985

1987

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE




1985

1987

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES

PERCENT PER ANNUM

PERCENT PER ANNUM

16

14

CANADA

-

12

10

-

8

-

6

16

—

UNITED STATES

f
I

I

I

I

I

—

14

-

12

-

10

-

-

I I I

I

I I I

6

14

10
UNITED KINGDOM

12

—

-

JAPAN

-

10
V

"

V

8

6

I

I

I

I

I

I

Illllllllll iihiiiiiii

I I I

I

I

I

I I I II I II I 2I I
10

—

GERMANY
SWITZERLAND

I
U. S. CORPORATE

I

I

I

I

"

I

17
MONTHLY

FRANCE
A M BONDS




4

-

15

-

13

-

11

NETHERLANDS
MONTHLY

1985

1987

1985

1987

-

9

-

7

CHART 10

INDUSTRIAL STOCK INDICES
WEEKLY SERIES
RATIO
1969:

500
400

300

UNITED STATES

200

100
650
550
450
350
FRANCE
250

150
500
SWITZERLAND

400

300

CANADA

200
500
400
NETHERLANDS
300

200

100



GERMANY

LAST VALUE PLOTTED
DATE
VALUE

SERIES NAHE
ffiT 1. SPOT EXCHANGE BATES AND INDICES
MEEKLY AVERAGES, 8008 BUYING RATES (U.S. CEBl'S)
GERHAN HARK
JAPANESE YEN
DUTCH GUILDER
O.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
S U S S FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KBONA
INDICES, HARCH 1973 BASE RATES =
e

GERMAN HARK
JAPANESE YEN
DOTCH GUILDER
0. K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA

e

HAY
HAY
HAY
HAY
HAY
HAY
HAY
HAY
HAY
HAY

6
6
6
6
6
6
6
6
6
6

HAY
HAY
HAY
HAY
HAY
HAY
HAY
HAY
HAY

6
6
6
6
6
6
6
6
6

158.09
187.57
143.02
67.80
74.40
75. 78
220. 36
106.70
44.57

6
6
6
6
6
6
6
6
6
6
6

95.53
165.67
194.26
141.09
62.59
69.94
70.51
217.24
103. 08
40.31
67. $7

6
6
6
6
6
6
6
6

-1.28
-1.80
3.39
-1. 27
3.52
1.92
3.52
-2.44

56.20
0.71636
49. 82
167. 64
74. 65
16.82
68.50
2.70779
0.07846
16.05

100

WEIGHTED AVERAGE EXCHANGE VALUE INDICES, BAR 1973 = 100
(G-10 COUNTRIES PLOS SWITZERLAND)

#

•

*

>

•

U.S. DOLLAR
GERHAN HARK
JAPABESS YEN
DUTCH GUILDER
U_K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA

HAY
HAY
HAY
HAY
HAY
HAY
MAY
HAY
HAY
HAY
HAY

CHART 2. 3-HONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT

•

•

#

CANADIAN DOLLAR
U.K. POUND
GERHAN HARK
FRENCH FRANC
SWISS FRANC
DOTCH GUILDER
JAPANESE YEN
ITALIAN LIRA




HAY
HAY
HAY
HAY
HAY
HAY
HAY
HAY

SERIES NAME

LAST VALUE PLOTTED
DATE
VALUE

CHART 3. GOLD PRICE IN LONDON, AFTERMOON FIXING
U.S. DOLLARS PER FINE OUNCE

HAY

6

456.37

MAY
MAY
MAY
MAY
MAY
MAY
MAY
MAY
MAY

6
6
6
6
6
6
6
6
6

7.30

MAY
MAY
MAY
MAY
MAY
MAY
MAY
MAY
MAY

6
6
6
6
6
6
6
6
6

6.85
3.86
3.87
8.31
9.06
3.66
8.03
5.25

MAY
MAY
MAY
MAY
MAY
MAY

6
6
6
6
6
6

6.80
6. 78
.6.88
7.11
7.33
7.75

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

MAY
MAY
MAY

6
6
6

6.80
7.30
-0.50

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

MAY
MAY
MAY

6
6
6

7.11
6.85
0. 26

CHART 4. CALL MONEY BATES
U.S. FEDERAL FUNDS
OVERNIGHT EURO-DOLLAR DEPOSITS
U.K.
CANADA
GERMANY
JAPAN
FRANCE
NETHERLANDS
SWITZERLAND

6.80

9.63
7.50
3.92

3.38
7.89
5.28

1.00

CHART 5. 3-MONTH INTEREST RATES
0.S. 90-DAY CD'S, SECONDARY MARKET
GERMAN INTERBASK LOAN
JAPANESE GENSAKI 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)

6.08

CHART 6. EURO—DOLLAR DEPOSIT RATES: LONDON
OVERNIGHT
7-DAY
1-MONTH
3-MONTH
6-MO NTH
1-YEAR
CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES




SERIES NAME

LAST VALUE PLOTTED
DATE
VALUS

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

MAY
MAY
MAY

6
6
6

7. 11
7.22
-0.11

U.S» COMMERCIAL PAP6R
CANADIAN FINANCE PAPER, COVERED
DIFFERENTIAL

MAY
MAY
MAY

6
6
6

6.81
7.01
-0.20

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

MAY
MAY
MAY

6
6
6

7. 11
7. 28
- 0 . 17

EURO-DOLLAR DEPOSIT
SWISS INTERBANK, COVERED
DIFFERENTIAL

MAY
MAY
MAY

6
6
6

7.11
7.20
-0.09

MAY
MAY
APRIL
APRIL
APRIL
APRIL
MARCH
MAY

1
1
24
24
24
24

8.32
5.38
3.47
4. 12
9.59
9.44
6.22
8.72

*4-

, *"

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

1

U.S. CORPORATE
AAA BONDS
CHART 10.

STOCK INDICES

UNITED STATES
UNITED KINGDOM
CANADA
GERMANY
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN




8. 36

MARCH

APRIL 29
APRIL
APRIL
APRIL
APRIL
APRIL
APRIL
AP&IL

29
29
29
29
29
29
29

305.06
353.66
366.87
255. 13
196.88
313.36
456.23
541. 29

FEDERAL RESERVE statistical release
MAY

H.10(512)

8, 1987

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING

MAY

8, 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:

COUNTRY

MONETARY
UNIT

•AUSTRALIA
AUSTRIA
BELGIUM
BRAZIL
CANADA
CHINA,P.R.
DENMARK
FINLAND
FRANCE
GERMANY
GREECE
HONG KONG
INDIA
*1RELAND
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

MEMO:
SUNITED STATES

DOLLAR

MAY

4

(CURRENCY UNITS PER DOLLAR)
MAY 6
MAY 5

MAY

7

MAY

8

70.46
12.470
36.820
NA
1.3447
3.7314
6.6880
4.3355
5.9350
1.7742
132.280
7.8080
12.6300
150.67
1271.00
139.10
2.4775
2.0015
57.700
6.6500
138.450
2.1245
50.10
836.80
124.600
28.958
6.2255
1.4525
32.900
25.590
168.00

71.03
12.440
36.720
NA
1.3420
3.7314
- 6.6610
4.3220
5.9200
1.7689
131.900
7.8075
12.6100
151.00
1268.00
138.67
2.4665
1.9955
57.800
6.6130
137.700
2.1210
50.20
836.80
124.200
28.958
6.2030
1.4540
32.830
25.590
168.85

71.03
12.460
36.740
NA
1.3363
3.7314
6.6635
4.3300
5.9300
1.7735
132.050
7.8080
12.5700
151.00
1269.50
139.20
2.4660
1.9995
57.600
6.6160
137.600
2.1205
50.00
835.60
124.100
28.977
6.2140
1.4555
32.770
25.580
168.43

71.11
12.500
36.900
NA
1.3365
3.7314
6.6970
4.3430
5.9475
1.7780
132.500
7.8045
12.5900
150.25
1281.00
139.40
2.4695
2.0045
57.150
6.6530
137.950
2.1230
49.90
835.70
124.670
28.977
6.2345
1.4605
32.700
25.570
167.90

71.17
12.570
37.100
NA
1.3370
3.7314
6.7410
4.3425
5.9780
1.7890
133.250
7.8030
12.5900
149.45
1292.00
139.60
2.4690
2.0165
57.300
6.6695
138.950
2.1235
49.75
835.80
126.100
28.977
6.2475
1.4710
32.650
25.590
167.45

95.32

95.04

95.20

95.49

95.91

fINDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10
COUNTRIES. MARCH 1973 = 100. WEIGHTS 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