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• v l B OCT 0 8 jy|/6, 7 > asSS0""*0 DATA FILE LIBRARY FEDERAL RESERVE BANK OF CHICAGO •J •I Selected Interest & Exchange Rates Weekly Series of Charts October 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 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 SCALE MARCH 1973=100 RATIO SCALE MARCH 1973=100 FOREIGN CURRENCY PRICE OF U.S. DOLLAR - ITALIAN LIRA - 50 45 40 35 30 25 I 200 180 - 160 - I IIIIIIIIII I — 180 JAPANESE YEN GERMAN MARK — - / v ^ 100 i i \ N T \ i 11111111111 160 - 140 - 120 - 80 20 200 — — 140 120 I - I I | I I | ,, | I I 100 80 160 140 DUTCH GUrLDER CANADIAN DOLLAR - 120 100 90 80 70 I IIIIIIIIII 90 — — U.K. POUND 80 60 90 80 FRENCH FRANC 70 70 60 - 50 60 50 i 40 i i r i i i 11111111111 i i i n i i 40 120 240 BELGIAN FRANC 100 - SWISS FRANC -Vv — 200 90 180 80 160 70 60 140 — - - 11111111111 50 1985 1987 1985 120 100 1987 CHART 2 3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR ( - ) AVERAGES FOR WEEK ENDING WEDNESDAY CENT PER A N N U M PERCENT PER AF 4 JAPANESE YEN CANADIAN DOLLAR + 0 \ —J — 4 I 8 4 l I U. K. POUND SWISS FRANC + 0 4 8 8 I I GERMAN MARK I DUTCH GUILDER 4 — + 0 4 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 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 NT PER ANNUM PERCENT PER A! 16 FRANCE 12 U. S. FEDERAL FUNDS 8 4 0 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 ANNUM PERCENT PER ANNUM 14 16 CANADIAN FINANCE CO. PAPER U.S. CD'S 14 — 12 10 WEIGHTED AVERAGE FOREIGN RATE \ / I I ~ I 6 14 U.K. INTERBANK STERLING FRENCH INTERBANK RATE - 12 10 - I I I I I I 6 10 10 NETHERLANDS INTERBANK RATE • - GERMAN INTERBANK RATE 6 e 4 - - — , I 2 I I I I I I IIIIIIIIII I I I I I I 10 8 • JAPANESE GENSAKI RATE WV SWISS INTERBANK RATE - 6 L 6 V/V ^ ^ — I I „- I I|II|II|II n i l , l u l u I 1985 1987 / V 4 Wv - I I I I I 1985 I II I I I I I I I M 11111111111 1987 2 o 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 D A S H E D LINE DASHED LINE 12 10 10 6 — 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 J I 111 i i 111111 11111111111 I I I I 4 2 DIFFERENTIAL DIFFERENTIAL — + 0 111111II111111111111111 1985 1 PERCENT ON D I F F E R E N T I A L S C A L E = 2 PERCENT ON RATE S C A L E 1987 , , I I , 1985 I I I I I I I I I I I I I I I I I I I I 1987 CHART 8 INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS<+), INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY ENT PER A N N U M PERCENT PER AH 18 14 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON 10 EURO-DOLLAR DEPOSITS 6 DASHED LINE U. S. COMMERCIAL PAPER DASHED LINE 2 2 DIFFERENTIAL DIFFERENTIAL + 0 2 18 14 INTERBANK DM SWISS INTERBANK (SF) COVERED COVERED FRANKFURT 10 6 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE 2 2 DIFFERENTIAL DIFFERENTIAL + 0 2 1985 1987 PERCENT ON DIFFERENTIAL S C A L E = 2 PERCENT ON RATE SCALE 1985 1987 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES :NT PER ANNUM PERCENT PER AL 16 16 UNITED STATES CANADA 14 - 14 12 12 10 10 8 - 6 I I I I I I 8 6 14 10 UNITED KINGDOM __ 12 JAPAN - 8 10 6 8 4 6 I I I 2 8 10 GERMANY 6 SWITZERLAND 8 6 4 2 4 17 17 U. S. 15 CORPORATE MONTHLY FRANCE 15 Aaa BONDS 13 13 11 11 NETHERLANDS MONTHLY 9 9 7 7 I I I II I I 5 1985 1987 1985 5 1987 CHART 10 INDUSTRIAL STOCK INDICES WEEKLY SERIES RATIO SCALE 1969=100 RATIO SCALE 1969=100 UNITED KINGDOM 300 - UNITED STATES 200 JAPAN - - - - FRANCE 250 j - / SWITZERLAND 400 CANADA 300 I 200 I I I I I I I I I I I I I I I II l l l l l l l I | | | 500 400 - - - - - GERMANY - - A / - NETHERLANDS V\z 300 200 100 - I I I I I I 1985 i i i 11111111111 1987 A / A - ZW/^ - I I I 1985 1987 SERIES L A S ! VALUE PLOTTED DATE VALUE NAME CHART 1. SPOT EXCHANGE KATES AND INDICES MEEKLY AVERAGES, NOON BUYING BATES (U.S. CENTS) GERMAN AA£K JAPANESE YEN DUTCH GUILDEfi U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 30 30 30 30 30 30 30 30 30 30 54. 65 0.69050 48.55 163.47 76.23 16.38 65.80 2.63262 0.07572 15.57 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 30 30 30 30 30 30 30 30 30 153.72 180. 79 139. 38 INDICES, MARCH 1973 BASE RATES = 100 GERMAN MARK JAPANESE YEN DUTCH GUILDER U. K. POUND CANADIAN DOLLAR FRENCH FRANC S1ISS FRANC BELGIAN FfiANC ITALIAN LIRA 66. 12 75.98 73.83 211.70 103.74 43.01 WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100 1G-10 COUNTRIES PLUS SWITZERLAND) O.S. DOLLAR GERMAN MARK JAPANESE YEN DUTCH GUILDEfi O.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KfiOSA SEPT..30 SEPT..30 SEPT. 30 SEPT. 30 SEPT. 30 SEPT. 30 SEPT. 30 SEPT. 30 SEPT. 30 SEPT. 30 SEPT. 30 97. 96 16*.04 190.60 140. 19 62.22 73.09 70. 03 212. 75 102. 18 39.63 66.94 CHART 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM 08 DISCOUNT CANADIAN DOLLAR U. K. POUND GERMAN HARK FRENCH FfiANC SWISS FRANC DUTCH GUILDER JAPANESE YEN ITALIAN LIRA SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 30 30 30 30 30 30 30 30 -1.79 -2.24 3.58 -0. 28 3. 93 2.45 3.27 -4.50 SERIES NAME LAST VALUE PLOTTED DATE VALUE CHABT J. GOLD PRICE IN LONDON, AFTERNOON FIXING U.S. DOLLARS BEE FINE OUNCE SEPT. 30 461. 11 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 23 30 30 30 30 30 30 30 30 7. 26 7. 34 10. 00 8. 92 3. 79 3.59 7. 54 3. 65 13. 20 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 30 30 30 30 30 30 30 30 30 7.59 3.95 3.83 9.47 10.15 3.70 7.66 5.33 6.34 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 30 30 30 30 30 30 7.34 7.48 7.50 7.79 8.11 8.61 OVERNIGHT EURO-DOLLAR DEPOSITS U. S. FEDERAL FUNDS DIFFERENTIAL SEPT. 30 SEPT. 23 S2PT. 23 7.34 7.26 -0. 14 3-MONTH EURO-DOLLAR DEPOSIT RATE U.S. 90-DAY CD'S. SECONDARY MARKET DIFFERENTIAL SEPT. 30 SEPT. 30 SEPT. 30 7.79 7.59 0. 20 CHART 4. CALL MONEY BATES U.S. FEDERAL FUNDS OVERNIGHT EURO-DOLLAR DEPOSITS U.K. CANADA GERMANY JAPAN FRANCE NETHERLANDS SWITZERLAND CHABT 5. J-MONTH INTEREST BATES U.S. 90-DAY CD'S, SECONDABI MARKET GEBMAN INTSBBANK LOAN JAPANESE GENSAKI BATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTEBBANK BATE NETHERLANDS INTEBBANK BATE SEIGHTED AVERAGE FOREIGN INTEREST BATE tG-10 COUNTRIES PLUS SWITZERLAND) CHABT 6. EUBO-DOLLAR DEPOSIT BATES: LONDON OVERNIGHT 7-DAY 1-MONTH 3-MONTH 6-MONTH 1-fEAB CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET BATES SERIES NAME LAST VALUE PLOTTED DATE VALUE CHART 6. INTEREST ARBITRAGE, 3-MONTH FUNDS 7.79 7.95 EURO—DOLLAR DEPOSIT INTERBANK STEELING (LONDON), COVERED DIFFERENTIAL SEPT. 30 SEPT. 30 SEPT. 30 U.S. COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL SEPT. 30 SEPT. 30 SEPT. 30 EURO-DOLLAR DEPOSIT INTERBANK DM (FRANKFURT), COVERED DIFFERENTIAL SEPT. 30 SEPT. 30 SEPT. 30 7.79 7. 57 EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL SEPT..30 SEPT. 30 SEPT. 30 7. 79 7. 67 •0.06 7.52 7.64 •0. 12 0.22 0. 12 CHART 9. LONG TERM GOVERMENT BOND YIELDS UNITED STATES GERMANY JAPAN SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM SEPT. SEPT. SEPT. AUG. SEPT. SEPT. AUG. SEPT. 25 25 18 21 11 25 25 9. 45 6.26 5.06 4. 09 10.95 10. 32 6.56 9. 70 U.S. CORPORATE AAA BONDS CHART 10. • ' # STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN 9.33 MAY SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 23 23 23 23 23 23 23 23 346.75 39*.35 384.20 276.84 238.06 311.79 431. 17 540.87 .•viySfc. FEDERAL RESERVE statistical release OCTOBER H.10(512) Z, 1987 FOREIGN EXCHANGE RATES FOR THE KEEK ENDING OCTOBER 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 purposes the following noon buying rates in New York City for cable transfers payable in foreign currencies: COUNTRY MONETARY UNIT DOLLAR •AUSTRALIA SCHILLING AUSTRIA FRANC BELGIUM DOLLAR CANADA YUAN CHINA,P.R. KRONE DENMARK MARKKA FINLAND FRANC FRANCE D. MARK GERMANY DRACHMA GREECE DOLLAR HONG KONG RUPEE INDIA POUND *1RELAND LIRA ITALY YEN JAPAN RINGGIT MALAYSIA GUILDER NETHERLANDS DOLLAR •NEW ZEALAND KRONE NORWAY ESCUDO PORTUGAL DOLLAR SINGAPORE RAND •SOUTH AFRICA WON SOUTH KOREA PESETA SPAIN RUPEE SRI LAMIA KRONA SWEDEN FRANC SWITZERLAND DOLLAR TAIWAN BAHT THAILAND •UNITED KINGDOM POUND MEMO: •UNITED STATES DOLLAR SEP. 28 OCT. 2 72 .79 12 .845 37 .860 1 .3114 3 .7314 7 .0200 4 .3925 6 .0825 1 8247 139 500 7 8067 13 0700 147 ,05 1317 ,00 144 ,07 2 ,5253 2 .0545 64 .900 6 .6770 143 .800 2 .0918 48 .50 809 .30 121 .620 30 .083 6 .4075 1 .5140 30.160 25 790 164 20 71 70 12.958 38.200 1. 3100 3.7314 7.0715 4.4250 6. 1250 1 8400 140 450 7 8080 13 1300 145 83 1327 50 146 20 2 5293 2 0705 65 050 6 7190 144 .700 2 ,0947 48 ,10 809 ,40 121 .990 30 105 6 .4510 1 .5288 30 .160 25 .800 162 80 70.88 12.975 38.250 1.3095 3.7314 7.0850 4.4280 6.1650 1.8428 140.650 7.8075 13.1100 145.55 1330.00 146.50 2.5355 2.0735 64.680 6.7300 144.940 2.0910 48.15 809.50 122.370 30.137 6.4580 1.5336 30.140 25.850 162.48 71.00 13.010 38.360 1. 3070 3.7314 7.1100 4.4440 6. 1490 1, 8468 141. 250 7 8090 13. 1100 145 20 1333 40 146 90 2 5380 2 0780 64 360 6 7510 145 500 2 ,0935 47 ,95 809 .50 122 .670 30 .182 6 4780 1 .5340 30 .130 25 .900 161 .65 71 38 12.970 38.220 1. 3085 3.7314 7.0880 4.4330 6.1315 1. 8425 140.850 7.8088 13.0800 145.70 1330.00 146.40 2.5400 2.0735 64.880 6.7350 145. 150 2 0980 48 .08 809 60 122 .330 30 .182 6 .4600 1 .5352 30 .070 25 860 162 .12 97.65 98.44 98.66 98.82 98.59 1978 FEDERAL RESERVE BULLETIN. •VALUE IS U.S. CENTS (CURRENCY UNITS PER DOLLAR) OCT. SEP. 29 SEP. 30
@FedFRASER