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L ^ /vo (516/517) LIBRARY MTAFIIE LIBRARY FEDERAL RESERVE BANK OF CHICAGO n SEP 2 3 1987 FEDERAL RESERVE BANK OF CHICAGO Selected Interest & Exchange Rates Weekly Series of Charts September 21,1987 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 1 9 7 3 = 1 0 0 200 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 180 ITALIAN LIRA = * 50 45 / v ^ A V w /* 40 — 35 - s/V 30 AAT - 25 Ill I , | | | | | | 20 — 200 180 - i i I i I I i l l I, h i h i — - — y \ j JAPANESE YEN GERMAN MARK /w/ Z ^ V , 160 - 140 - 120 - 100 I,|1,||||,| 80 J* 1 I I l v l 1 I I 1 1 r' 1 1 1 — i l l ii h i l l i 160 — — 140 — DUTCH GUILDER CANADIAN DOLLAR 120 — — - /v - 1 1 1 1 1 1 ill i i h i l l i 90 - 80 - 70 1 I 1 1 1 1 1 1 160 1 1 90 90 80 100 - __ UK. POUND 80 FRENCH FRANC - 70 70 - 60 60 50 i 40 J\r \ A i i n - i i i i i r \ i i 40 240 120 BELGIAN FRANC SWISS FRANC i 100 90 80 /S — # 60 50 50 - 1 1 1 1 1 1 1 1985 1987 - w — 200 — 180 - 160 - 140 - 120 I 11111111111 ^ I I I I I 1985 I lllllllllil 100 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 I I I I I I U. K.POUND SWISS FRANC L j I I I I I ~ I I GERMAN MARK I I — n l i i h i l i , FRENCH FRANC 1985 I DUTCH GUILDER . I I 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 420 420 400 400 380 380 360 360 340 340 320 320 300 300 280 280 260 260 1984 1985 1986 1987 CHART 4 CALL MONEY RATES WEEKLY SERIES PERCENT PER M :NT PER ANNUM 16 16 FRANCE 12 U. S. FEDERAL FUNDS - 12 8 8 4 V-v JAPAN I I I III I I I 0 I I I I I I 4 I IIIIIIIIII 0 16 16 CANADA 12 8 12 GERMANY 8 4 4 0 0 16 20 UNITED KINGDOM SWITZERLAND 16 12 12 8 8 4 NETHERLANDS I 0 1985 4 1987 1985 0 1987 CHART 5 3-MONTH INTEREST RATES WEEKLY SERIES PERCENT PER AN IUM PERC NT PER ANNUM 16 14 U . S . CD'S 12 CANADIAN FINANCE CO. PAPER - 14 10 - 12 10 8 WEIGHTED AVERAGE FOREIGN RATE 6 \ / I 4 I ~ I 8 6 14 16 FRENCH INTERBANK RATE U.K. INTERBANK STERLING - 14 12 10 12 10 v / v , - 8 8 6 10 10 NETHERLANDS INTERBANK RATE 8 - GERMAN INTERBANK RATE 6 6 4 - I 2 I I 4 2 8 10 8 „ SWISS INTERBANK RATE JAPANESE GENSAKI RATE 6 - A. . 6 v / W v >V —^ 4 2 8 I I I I I 1985 I 11111111111 2 I 1987 4 I I I I 1985 I 11111111111 1987 0 CHART 6 EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERC PERCENT PER ANI T PER ANNUM 14 OVERNIGHT 3-MONTH 7-DAY 6-MONTH 12 10 8 6 4 14 12 10 8 6 4 14 1-YEAR 1-MONTH 12 10 8 6 I 4 1985 1987 I 1985 I IIIIIIIII 1987 CHA 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 DASHED LINE DASHED LINE 12 10 10 .8 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 11111111111 IIIII 1111111111 11111 11111111111 4 2 DIFFERENTIAL DIFFERENTIAL - + 0 UvV vA YV I I I I I I I I I II I II II IIf I I I II I I I I I II I 1985 1 PERCENT 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 1 I I I I I I I I 1985 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 PERCENT PER AH NT PER ANNUM 18 14 CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING COVERED LONDON 10 EURO-DOLLAR DEPOSITS 6 DASHED LINE U. S. COMMERCIAL PAPER DASHED LINE I 2 11111 II — 2 DIFFERENTIAL DIFFERENTIAL + 0 I I III 2 I I I I I I 11111111111 I IIIIIIIIII 18 14 INTERBANK DM SWISS INTERBANK (SF) COVERED COVERED FRANKFURT 10 6 EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS DASHED LINE DASHED LINE I I 2 2 DIFFERENTIAL DIFFERENTIAL + 0 J_1 2 1985 1987 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 1985 1987 CHART 9 LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES PERCENT PER ANNUIM •ER ANNUM 16 1<5 — CANADA UNITED STATES 1'4 - 14 1:2 12 10 10 8 - 8 l 6 I I I I 6 I 110 — 14 UNITED KINGDOM JAPAN 12 — 8 6 10 4 ( I ( I I I I 11111111111 I I IIM IM III 2 10 I GERMANY — SWITZERLAND 8 6 I l I I I 4 I 17 1 U. S. CORPORATE MONTHLY FRANCE 1 15 Aaa BONDS 13 1 11 NETHERLANDS MONTHLY 1985 1987 9 1985 1987 CHART 10 INDUSTRIAL STOCK INDICES WEEKLY SERIES RATIO SC, 1969= E 1969=1 5 500 i 400 UNITED KINGDOM 300 ' - UNITED STATES 200 I 100 I I I I ii I i i h i l i i I 650 550 450 350 JAPAN FRANCE 250 M 150 — SWITZERLAND - /Vyv - CANADA I I I I I I | || | I NETHERLANDS GERMANY - I 1985 1987 I I I I 1985 - J I n l n l i i l i i I IIIIIIIIII 1987 LAST VALUE PLOTTED DATE VALUE S E R I E S NAME ^^CHART 1. SPOT EXCHANGE RATES AHD I N D I C E S WEEKLY AVERAGES, # (U.S. GERMAN MASK JAPANESE YE* DUTCH GUILDER 0 . K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA <- • INDICES, • • NOON BUYING SATES w MARCH 1 9 7 3 BASE RATES = GERMAN MARK JAPANESE TEN DUTCH GUILDER U . K . POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA U . S . DOLLAR GERMAN MARK JAPANESE YEN DUTCH GUILDER U . K . POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA e e # CHART 2 . ^ w SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 16 16 16 16 16 16 16 16 16 16 55.21 0.69613 49.05 164.38 7 5 . 86 16.53 6 6 . 62 2.65833 0.07636 15.66 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 16 16 16 16 16 16 16 16 16 1 5 5 . 32 1 8 2 . 27 140. 83 66.49 75.61 74.48 214.33 104.75 43.38 16 16 16 16 16 16 16 16 16 16 16 97.23 164.91 191.07 140.84 6 2 . 19 72.24 70.24 2 1 4 . 15 1 0 2 . 59 39.74 66.95 100 WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , ( G - 1 0 COUNTRIES PLUS SWITZERLAND) # CENTS) MAR 1 9 7 3 = 100 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT CANADIAN DOLLAR U . K . POUND GERMAN MARK FRENCH FRANC SWISS FRANC DUTCH GUILDER JAPANESE YEN ITALIAN LI R A e SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 16 16 16 16 16 16 16 16 -1.81 -2.35 3 . 43 - 0 . 56 3 . 88 2 . 19 3.40 — 6. 06 LAST fALDE PLOTTED DATE VALUE S E R I E S NAME CHARi 3 . GOLD PRICE I N LONDON, AFTERNOON F I X I N G U.S. CHART 4 . DOLLARS PER F I N E OUNCE SEPT. 16 4 5 8 . 56 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 16 16 16 16 16 16 16 16 16 7.21 7.02 9 . 10 8 . 63 3.61 3. 23 7 - 15 5 . 10 1.00 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 16 16 16 16 16 16 16 16 16 7.39 3.99 3.75 9.30 10.08 3.-42 7.88 5.29 6 . 30 SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 16 16 16 16 16 16 7.02 7 . 10 7 . 36 7 . 44 7.89 8.45 CALL HONEY BATES 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 C D ' S * SECONDARY MARKET GERMAN INTERBANK LOAN JAPANESE GEPSAKI RATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTERBANK RATE NETHERLANDS INTERBANK RATE WEIGHTED AVERAGE FOREIGN INTEREST RATE ( G - 1 0 COUNTRIES PLUS SWITZERLAND) CHART 6 . EURO-DOLLAR DEPOSIT BATES: LONDON OVERNIGHT 7-DAY 1-MONTH 3-MONTH 6-MONTH 1-i'EAR CHART 7 . SELECTED EURO-DOLLAR AND U . S . MONEY MARKET RATES OVERNIGHT EURO-DOLLAR DEPOSITS U . S . FEDERAL FUNDS DIFFERENTIAL SEPT. SEPT. SEPT. 16 16 16 7.02 7.21 - 0 . 19 3-MONTH EURO-DOLLAR DEPOSIT RATE U . S . 90-DAY C D ' S , SECONDARY MARKET DIFFERENTIAL SEPT. SEPT. SEPT. 16 16 16 7.44 7 . 39 0.04 • S E R I E S MAKE CHAH1 8 . LAST VALUE PLOTTED DATE VALUE INTEREST ARBITRAGE, 3-MONTH FUNDS EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON), COVERED DIFFERENTIAL SEPT. SEPT. SEPT. 16 16 16 7.44 7 . 66 -0.23 0 . S . COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL SEPT. SEPT. SEPT. 16 16 16 7.45 7.45 0.0 EURO-DOLLAR DEPOSIT INTERBANK DM (FRANKFURT), COVERED DIFFERENTIAL SEPT. SEPT. SEPT. 16 16 16 7.44 7.46 -0.02 EURO-DOLLAR DEPOSIT S 8 I S S INTERBANK, COVERED DIFFERENTIAL SEPT. SEPT. SEPT. 16 16 16 7.44 7 . 34 0 . 10 S E P T . 11 S E P T . 11 4 SEPT. AUG. 2 1 4 SEPT. S E P T . 11 JULY S E P T . 11 9.43 6 . 15 4 . 89 4.09 1 1.00 1 0 . 7b 6 . 43 9 . 73 MAY 9.33 i . LONG TERM GOVERMENT BOND YIELDS UNITED STATES GERMANY JAPAN SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM I. CORPORATE AAA BONDS 10. CHAHT 10 STOCK I N D I C E S UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. SEPT. 9 9 9 9 9 9 9 9 338.83 386.08 385.16 2 7 2 . 18 229.75 311.43 431.78 547.77 EDERAL RESERVE statistical release SEPTEMBER 1 6 , 1987 H.101512) FOREIGN EXCHANGE RATES FOR THE MEEK ENDING SEPTEMBER 1 8 , 1967 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 CRUZADO BRAZIL DOLLAR CANADA YUAN CHINA,P.R. KRONE DENMARK MARKKA FINLAND FRANC FRANCE D. MARK GERMANY DRACHMA GREECE DOLLAR HONG KONG RUPEE INDIA POUND •IRELAND LIRA ITALY YEN JAPAN RINGGIT MALAYSIA GUILDER NETHERLANDS DOLLAR *NEH ZEALAND KRONE NORWAY ESCUOO PORTUGAL DOLLAR SINGAPORE RAND •SOUTH AFRICA WON SOUTH KOREA PESETA SPAIN RUPEE SRI LAMCA KRONA SWEDEN FRANC SWITZERLAND DOLLAR TAIWAN BAHT THAILAND •UNITED KINGDOM POUND mm* M U T E D STATES DOLLAR SEP. 14 1 CURRENCY UNITS PER DOLLAR) SEP. 17 SEP. 16 SEP. 15 SEP. 18 72.76 12.798 37.760 NA 1.3184 3.7314 7.0200 4.4185 6.0710 1.8175 139.150 7.7995 13.0000 147.06 1312.00 144.50 2.5215 2.0460 63.360 6.6780 143.750 2.0933 48.73 810.30 121.940 29.833 6.4110 1.5080 30.140 25.750 163.70 72.94 12.783 37.700 NA 1.3153 3.7314 7.0100 4.4110 6.0590 1.8160 138.600 7.8014 13.0000 147.50 1310.00 144.05 2.5230 2.0438 63.300 6.6620 143.250 2.0927 48.85 810.40 121.620 29.883 6.3940 1.5048 30.140 25.780 164.23 73.29 12.780 37.650 NA 1.3178 3.7314 6.9950 4.4100 6.0540 1.8160 138.450 7.8034 12.9900 147.75 1310.50 144.36 2.5220 2.0435 63.700 6.6550 143.000 2.0923 48.80 810.10 121.350 29.883 6.3850 1.5060 30.150 25.760 164.52 73.34 12.778 37.660 NA 1.3155 3.7314 6.9860 4.4010 6.0575 1.8170 138.700 7.8045 12.9800 147.85 1311.00 143.40 2.5230 2.0445 63.760 6.6550 143.050 2.0905 48.80 809.80 121.370 29.883 6.3830 1.5070 30.150 25.770 164.62 73.47 12.715 37.480 NA 1.3136 3.7314 6.9560 4.3840 6.0210 1.8060 138.050 7.8010 12.9500 148.65 1304.00 142.67 2.5190 2.0325 64.030 6.6300 142.450 2.0860 48.95 809.90 120.920 29.938 6.3620 1.4967 30.160 25.750 165.53 97.57 97.38 97.38 97.30 96.80 COUNTRIES. MARCH 1973 * 100. HEIGHTS ARE 1972-76 GLOBAL TRADE OF EACH OF THE 10 COUITRIES. SERIES REVISED AS OF AUGUST 1978. FOR DESCRIPTION AND BACK DATA. SEE "INDEX OF THE HEIGHTEO-AVERAGE EXCHANGE VALUE OF THE U.S. DOLLAR: REVISION" ON PAGE 700 OF THE AUGUST 1978 FEDERAL RESERVE BULLETIN. «VALUE I S U . S . CENTS
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