Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : September 8, 1987

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LIBRARY
SEP 1 6

~ j ~

VL/Q

1987

FEDERJU: RESERVE
B S N K M C

«S«%17)

DATA FOE
LIBRARY
FEDERAL RESERVE BANK
OF CHICAGO

Selected Interest &
Exchange Rates
Weekly Series of Charts

September 8,1987

DIVISION OF

Prepared by the
FINANCIAL MARKETS
SECTION

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




INTERNATIONAL FINANCE

Table of Contents

TABLES
1. LATEST FIGURES PLOTTED
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




SUBSCRIPTION RATES:
Weekly $15.00 per year or $.40 each in the United
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, $20.00 per year or $.50
each. Address requests to Publications Services, Division x)f 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.

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

50
45

ITALIAN LIRA

40
35
30
25

20
200
180

—
—

-

__

GERMAN MARK

160

JAPANESE YEN

180

/ — V ,
-

140
120

200

—

-

100
80

i

i

i

m

-

140

-

120

-

100

I I|I!|II|II

i

160

I

I

l

I

l

l

I IIIIIIIIII

DUTCH GUILDER

CANADIAN DOLLAR

U X POUND

-

FRENCH FRANC
70

60
-

50
40

£

120

—

BELGIAN FRANC

100

50

240

-

—

180

—

160

70
60

-

200

90
80

_ V = v .

SWISS FRANC

—

—

xV
i

i

i




I

i

120

—

i
1985

i

111,, h i h i

||||, hill I
1987

140

I

I

I

I

I

I
1985

I

100
1987

CHART 2

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

PERCENT PER ANNUM

JAPANESE YEN
CANADIAN DOLLAR

4

12

U. K. POUND
SWISS FRANC

+

0

4

8
8

GERMAN MARK

DUTCH GUILDER

FRENCH FRANC

ITALIAN LIRA

4

•

0

4
4

0

4

8

12




1965

1987

1985

1987

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. DC

U.S. DOLLARS PER FINE 0

ARS 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

260
1984




1985

I

I

1966

I

I

I

I

I

I

I

I

I

I

I

1987

I

I

I

I

260

CHART 4

CALL MONEY RATES
WEEKLY SERES

PERCENT PER AH

[NT PER ANNUM

16
FRANCE
U. S. FEDERAL FUNDS

12

-

8

V,

W V Z - A V 4

0

JAPAN

I

I

I

n i l ill I I

III l u l u

I

I

I

I

I

I

iiIiiIiiIII

16
CANADA
12

8

GERMANY

4

0

16
UNITED KINGDOM
SWITZERLAND
12

8

4
NETHERLANDS

0




1985

1967

1985

1987

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES

A PER ANNUM

PERCENT PER AN

16

14

12

CANADIAN FINANCE CO.
PAPER

U.S. CD'S

14

10

-

8
6
4

12

10
WEIGHTED AVERAGE
FOREIGN RATE

M

i

l

l

8
iiiiiii

I

I

I

I

I

11111111111

I

6
14

16
FRENCH INTERBANK RATE

UK. INTERBANK STERLING
14

12

12

10

10

8

8

6

10

10
NETHERLANDS INTERBANK RATE

8

-

GERMAN INTERBANK RATE

8

6

6

4

4

I

2

I

I

I I I I I I I I I I I 11 l i i h i l i i

8

10

8

2

SWISS INTERBANK RATE

JAPANESE G6NSAKI RATE

6

6

4

4

2
I

2




1985

1987

1985

111111111 h 11111111111
1987

0

CHART 6

EURO-DOLLAR DEPOSIT RATES

LONDON

AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER AF

ENT PER ANNUM

14
3-MONTH

OVERNIGHT
12

-

10

8

6

4

—

I

I

I

I

I

11111111111

I

14
6-MONTH

7-DAY
12

10

8

LjA' ,

6

4
14
1-YEAR

1-MONTH
12

10

—

8

6

4

I

I

I




I

I
1985

I

lllllllllll
1987

1985

1987

SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES
DIFFERENTIAL: F L U S H , 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

OVERNIGHT
E U R O - D O L L A R DEPOSITS

11111111111

Ij** 11111111111

3-MONTH
E U R O - D O L L A R DEPOSITS

I

I

I

I

I

I

I

11111111

J_L

4

2
DIFFERENTIAL

DIFFERENTIAL
-

A aaA

a /I a iM

1

1

1

J\

A

1

1

|A

aA 1A

zx

I

1

1 1 1 1 1 1 1 1 111 11 1
1 1I 1 1 1 1 1 M

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




1987

1

1

1

1

1
1985

1

I I 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: F L U S H , INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
ENT PER ANNUM

PERCENT PER AH

18

14

18

CANADIAN FINANCE
CO. PAPER, COVERED

INTERBANK STERLING
COVERED LONDON

14

10

10

EURO-DOLLAR DEPOSITS

6

DASHED LINE

6

U. S. COMMERCIAL PAPER
DASHED LINE

2
2

2
DIFFERENTIAL

2

DIFFERENTIAL

+

+

0

0

2

2

18

18

14

INTERBANK DM

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

14

10

6

10

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

6

DASHED LINE

2
2

2
DFFERENTIAL

2

DIFFERENTIAL

+
0

+

0

2

2
1985

1987

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

ENT PER ANNUM

PERCENT PER AL

16
UNITED STATES

CANADA

14

12

10

8
6
14
UNITED KINGDOM

__

12

JAPAN

-

10

8

f

6

I

I

I

I

I

I

8

6

SWITZERLAND

4

2
17
U. S. CORPORATE
15

MONTHLY

FRANCE
Aaa BONDS

13

11
NETHERLANDS
MONTHLY

9

7

5




11111 111 111
1965

1987

1985

1987

-

CHART 10

INDUSTRIAL STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1969=100

RATIO SCALE
1969=100

SOO

500

400

-

300

—

-

/Hv

-

J \
UNITED KINGDOM

__

—

-

- yv"\

-

Aa.

300

UNITED STATES

200

-

I

100
650

—

550

-

450

-

I

I

I

I

I
—

M y
f

350

JAPAN

-

I

I

I

i

i

i

i l l 11 h i l l i

-

-

-

I

I

I

550

-

450
350

—

I

-

a/V

250

I

650

—

FRANCE

150

200

100

—

-

400

A

—

NVM

I

i

I

—

ii

250

150

SOO

250
-

400

SWITZERLAND

200

CANADA

300

150

rVu i i i

MIiiIMIH

m

M

i

M

100

—

500

—

400
NETHERLANDS
GERMANY

-

200

A y V

-

-




300

200

I
1985

1987

I

I

I

I
1985

I

100
1987

LAST VALUE PLOTTED
DATE
VALDE

SERIES NAME
CHART 1. SPOT EXCHANGE BATES AND INDICES
MEEKLY AVERAGES, NOON BUYING BATES

(U.S. CENTS)

GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS F R A N C
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KRONA

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

2
2
2
2
2
2
2
2
2
2

55.25
0. 70 556
49.03
163.68
75.90
16. 52
66.98
2. 65789
0.07625
15. t>9

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

2
2
2
2
2
2
2
2
2

155.41
184.74
140.77
66. 20
75.65
74. 45
215.48
104. 73
43.32

2
2
2
2
2
2
2
2
2
2
2

97. 08
164. 79
193. 71
140. 60
61. 82
72. 19
70. 13
215. 06
102. 44
39. 63
66. 97

2
2
2
2
2
2
2
2

-2.01
-2.94
3.23
-1.01
3. 49
1.84
3.21
— 6. 00

INDICES, MARCH 1973 BASE RATES = 100
GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U.K. POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA

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

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

CHART 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT
CANADIAN DOLLAR
O.K. POUND
GERMAN MARK
FRENCH FRANC
SWISS F R A N C
DUTCH GUILDER
JAPANESE YEN
ITALIAN LIRA



SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

SERIES NAME

LAST VALUE PLOTTE
DATE
VALUE

CHART 3. GOLD PRICE IN LONDON, AFTERNOON FIXING
U.S. DOLLARS PER FINE ODNCE

SEPT.

2

457. 25

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

2
2
2
2
2
2
2
2
2

6. 65
6.74
9. 19
8.75
3. 90
3.34
7.21
5.08
1.00

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

2
2
2
2
2
2
2
2
2

6. 92
3. 95
3.71
9. 17
10. 33
3. 50
7.85
5. 24
6.29

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

2
2
2
2
2
2

6.74
6.79
7.01
7. 11
7.38
7. 88

CHART 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 GSNSAKI RATE
CANADIAN FINANCE PAPER
INTERBANK STERLING
SWISS INTERBANK LOAN
FRENCH INTERBANK RATE
NETHERLANDS INTERBANK RATE
WEIGHTED AVERAGE FOREIGN INTEREST BATE
(G- 10 COUNTRIES PLUS SWITZERLAND)
CHART b. EURO-DOLLAR DEPOSIT RATES: LONDON
OVERNIGHT
7-DAY
1-MONTH
3-MO NTH
6-MONTH
1- YEAR

CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES
RATES
OVERNIGHT EURO-DOLLAR DEPOSITS
U.S. FEDERAL FUNDS
DIFFERENTIAL

SEPT.
SEPT.
SEPT.

2
2
2

6.74
6.85
-0. 11

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

SEPT.
SEPT.
SEPT.

2
2
2

7. 11
6.92
0. 19




#

SERIES NAME

LAST VALUE PLOTTED
DATE
VALUE

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

SEPT.
SEPT.
SEPT.

2
2
2

7. 11
7.31
-0.20

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

SEPT.
SEPT.
SEPT.

2
2
2

6.86
7. 11
-0.25

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

SEPT.
SEPT.
SEPT.

2
2
2

7. 11
7.21
-0.09

EURO-DOLLAR DEPOSIT
SWISS INTERBANK, COVERED
DIFFERENTIAL

SEPT.
SEPT.
SEPT.

2
2
2

7.11
7. 02
0.09

AUG.
AUG.
AUG.
AUG.
AUG.
AUG.
JUNE
AUG.

28
28
2*
21
7
28

8.85
6.02
4. 48
4.09
10.23
10.73
6. 26
9.77

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

28

U.S. CORPORATE
AAA BONDS
CHART 10.

9.33

MAY

STOCK INDICES

UNITED STATES
UNITED KINGDOM
CANADA
GERMANY
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN




AUG.
AUG.
AUG.
AUG.
AUG.
AUG.
AUG.
AUG.

26
26
26
26
26
26
26
26

364.05
386. 54
396.96
281.69
225. 93
329.81
423.32
572.59

r

FEDERAL RESERVE statistical release
H.101512)

SEPTEfBER

4, 1987

FOREIGN EXCHANGE RATES
FOR THE WEEK ENDING SEPTEMBER

4, 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

AUG. 31

•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

71.45
12.743
37.640
NA
1.3196
3.7314
6.9780
4.4005
6.0520
1.8108
137.850
7.8075
13.0500
146.98
1312.00
141.75
2.5160
2.0400
60.700
6.6620
142.600
2.1040
49.00
811.40
121.650
29.768
6.3760
1.4935
30.160
25.740
163.28

71.78
12.762
37.690
NA
1.3173
3.7314
6.9845
4.3990
6.0675
1.8130
137.900
7.8077
12.9800
146.82
1313.50
141.83
2.5130
2.0430
60.960
6.6625
142.550
2.1037
49.00
811.30
121.550
29.768
6.3785
1.4975
30.150
25.800
164.01

72.08
12.690
37.480
NA
1.3155
3.7314
6.9450
4.3850
6.0350
1.8030
137.550
7.8075
12.9500
147.73
1306.00
141.03
2.5095
2.0310
61.650
6.6210
142.000
2.1010
49.15
811.10
121.100
29.768
6.3560
1.4890
30.150
25.800
164.97

72.21
12.623
37.240
NA
1.3142
3.7314
6.9270
4.3640
6.0030
1.7935
136.850
7.8035
12.9400
148.45
1299.00
141.03
2.5100
2.0195
61.980
6.5920
141.500
2.0990
49.28
810.80
120.500
29.768
6.3340
1.4830
30.160
25.800
165.70

72.34
12.637
37.340
NA
1.3142
3.7314
6.9325
4.3830
6.0110
1.7960
136.850
7.8005
12.9300
148.20
1301.75
141.75
2.5095
2.0215
62.330
6.6060
141.550
2.0940
49.20
810.50
120.720
29.807
6.3450
1.4870
30.140
25.800
165.38

MEMO:
•UNITED STATES

DOLLAR

97.14

97.18

96.68

96.29

96.48

COUNTRY

(CURRENCY UNITS PER DOLLAR)
SEP. 1
SEP. 2
SEP.

3

SEP.

4

•INDEX 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