Selected Interest & Exchange Rates · 1987. 11. 9. · •e table of contents tables 1. latest figures plotted 2. daily certified spot exchange rates-hi.10 release charts 1. spot

( 5 1 6 / 5 1 7 )

Selected Interest & Exchange Rates Weekly Series of Charts

November 9, 1987 DIVISION OF INTERNATIONAL FINANCE

Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS FEDERAL RESERVE SYSTEM SECTION Washington, D C. 20551

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

•e Table of Contents

TABLES

1. LATEST FIGURES PLOTTED

2. DAILY CERTIFIED SPOT EXCHANGE RATES-HI.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 to one address, $13.50 per year or $.35 each. Elsewhere, $20.00 per year or $.50 each. Address requests to Publications Services, Divi-sion of Administrat ive 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 1973=100

RATIO SCALE MARCH 1973=100

- FOREIGN CURRENCY PRICE OF U.S. DOLLAR

ITALIAN LIRA

• f .. — — —

180 — —

160 GERMAN MARK JAPANESE YEN

140 z v A / a Z - —

120 - N ^ — I / • r~\ I /

100 — — —

80 i i T W i i i i i i i i i i i i i I I I I I I I I I | I I | I I | I I

CANADIAN DOLLAR

U.K. POUND

120

100 BELGIAN FRANC

90 -

80 - -

70 -

60 - -

50 I I I -I I I I - 1 1 1 1 1 1 1 1 1 1 1

DUTCH GUILDER -

I I I

-

200 180

160

140

120

100

80

160

140

120

100 90

80

70

60

90 - FRENCH FRANC — 80

- 70

- J * - 60

— rJ - 50

i i i n i i I I I I I l u l l I I I I I I | | | | , , 40

— — 240 SWISS FRANC

/ — 200

/ v - V v ~ ™ ' ^ A r Z - 180 - / V

- 160

- j\f - 140

- ^\l - 120

I I I I I I I 11111111 I I I 11111111111 100

1985 1987 1985 1987


4

+ 0

4

8

4

+ 0

4

8

8

4

+ 0

4

4

0

4

8

12

CHART 2

3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR ( - )


CENT PER ANNUM PERCENT PER At

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

FRENCH FRANC

JAPANESE YEN

—J \ A —

I I I n l n l n l i i

SWISS FRANC

-

I I !

DUTCH GUILDER

—

I I L I I I 1 1 I 1 < I < 1 I < <

ITALIAN LIRA

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

4 8 0 4 8 0

4 6 0 4 6 0

4 4 0 4 4 0

12.5 Kg BARS AFTERNOON FIXING PRICE

4 2 0 4 2 0

4 0 0 4 0 0

3 8 0

3 6 0 3 6 0

340 3 4 0

320 3 2 0

3 0 0 3 0 0

280 280

260 260 1987 1986 1985 1984


16

12

8

4

0

16

12

8

4

0

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

ENT PER ANNUM PERCENT PER Af

U. S. FEDERAL FUNDS

FRANCE

—

-

JAPAN v v -

I I I I I I I I I I I I I I i i l n l i i h i

GERMANY

CANADA

UNITED KINGDOM

SWITZERLAND

NETHERLANDS

1985 1987 1985 1987


14

12

10

8

6

4

16

14

12

10

8

10

8

6

4

2

10

8

6

4

2

16

14

12

10

8

6

14

12

10

8

6

10

8

6

4

2

8

6

4

2

0

CHART 5

3-MONTH INTEREST RATES WEEKLY SERES

PERCENT PER

CANADIAN FINANCE CO. PAPER

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

FRENCH INTERBANK RATE U.K. INTERBANK STERLING

GERMAN INTERBANK RATE

NETHERLANDS INTERBANK RATE

JAPANESE GENSAKI RATE

1985 1987

SWISS INTERBANK RATE

1985 1987


14

12

10

8

6

4

14

12

10

8

6

4

14

12

10

8

6

4

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

NT PER ANNUM PERCENT PER Al

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-MONTH 1-YEAR

1985 1987 1985 1987


SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U. S.


PERCENT PER ANNUM

16

14 -

1 2 -

10

6 -

FEDERAL FUNDS DASHED LINE

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

I I I I I I I I I I I

DIFFERENTIAL

I I

J I I I I I I I I I I l I I M I I I I I I I I I I 1985 1987

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

90-DAY CD1 S DASHED LINE

PERCENT PER ANNUM

16

14

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

1 1 1 1 1 1 1 1 h 1 1 1 1 1 1 1 1 1 1 1 1 1

12

10

DIFFERENTIAL

-

I I I 11111111111 11111111111

4

2

1985 1987


CHART ,

INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS


PERCENT PER ANNUM

18 PERCENT PER ANNUM

18

CANADIAN FINANCE CO. PAPER, COVERED INTERBANK STERLING

COVERED LONDON

EURO-DOLLAR DEPOSITS DASHED LINE

U. S. COMMERCIAL PAPER DASHED LINE

DIFFERENTIAL DIFFERENTIAL

14 -

10

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

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

14

10

2

2

1987


CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

PERCENT PER ANNUM PERCENT PER ANNUM

16

UNITED STATES

14 - -

12 -

10 - A -

8 - J -

6 I I I

14 — —

12 UNITED KINGDOM

-

10 -

8 — -

6 I I I I I I 11111111111 I I I I I I I I I I I

4 -

SWITZERLAND

U. S . CORPORATE MONTHLY

Aaa BONDS

16

CANADA

— jr. - 14

- 12

- \ a / U - 10

- - 8

I I I I I I I I 1 1 1 1 1 , 1 1 1 6

10

- JAPAN - 8

- - 6

- / - 4

I I I I I | I I | I , | I I n i l 11 i i I n 2

— — 10 GERMANY

- 8

— . - 6

I I I I I I I I | I I | I I | I I I M I I I I I I I M 4

_ FRANCE -

NETHERLANDS \ J ~

MONTHLY

v A ml -

I I I

1985 1987 1985 1987


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE RATIO SCALE 1969=100 1969=100

4 0 0 -

UNITED KINGDOM

UNITED STATES

6 5 0 | —

5 5 0 - j V V W V v -

4 5 0 - J —

3 5 0 - JAPAN -2 5 0 — -

150 I I I

5 0 0 —

4 0 0 — -3 0 0 - CANADA | -

2 0 0 I V M I I I , , I , , 1, 1 1 , i

- -

-FRANCE j

I -

I I I I I

-SWITZERLAND A ~

-

I I I I I I I

—

2 5 0

150

2 5 0

200

150

NETHERLANDS

GERMANY

1985 1987 1985 1987


SEBIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1. SPOT EXCHANGE MATES AND INDICES

HEEKLX AVEBAGES, NOON BUYING BATES (U.S. CENTS)

GERMAN MARK NOV. 4 58. 18 JAPANESE YEN NOV. 4 0. 72643 DUTCH GUILDER NOV. 4 51.69 U.K. POUND NOV. 4 173. 35 CANADIAN DOLLAR NOV. 4 75.82 FRENCH FRANC NOV. 4 17. 15 SWISS FRANC NOV. 4 70. 37 BELGIAN FRANC NOV. 4 2.77816 ITALIAN LIRA NOV. 4 Q. 07895 SWEDISH KRONA NOV. 4 16. 20

INDICES, MARCH 1973 BASE BATES = 100

GERMAN MARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA

NOV. 4 163.65 NOV. 4 194.20 NOV. 4 148. 40 NOV. 4 70. 12 NOV. 4 75.57 NOV. 4 77. 26 NOV. 4 226.39 NOV. 4 109.47 NOV. 4 44. 85

WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAB 1973 = 100 IG-10 COUNTRIES PLUS SWITZERLAND)

U.S. DOLLAR NOV. 4 93. 29 GERJIAN MASK NOV. 4 168. 86 JAPANESE YEN NOV. 4 193. 24 DUTCH GUILDER NOV. 4 143. 87 U.K. POUND NOV. 4 63. 63 CANADIAN DOLLAR NOV. 4 69. 72 FRENCH FBANC NOV. 4 70. 58 SWISS FRANC NOV. 4 219. 12 BELGIAN ZHAMC NOV. 4 103. 84 ITALIAN LISA NOV. 4 39. 77 SWEDISH KRONA NOV. 4 67. 02

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

CANADIAN DOLLAR NOV. 4 -0. 76 U. K. POUND NOV. 4 -1.46 GERMAN MARK NOV. 4 3.64 FRENCH FRANC NOV. 4 -1.55 SWISS FRANC NOV. 4 3. 95 DUTCH GUILDER NOV. 4 2.39 JAPANESE YEN NOV. 4 3.38 ITALIAN LIRA NOV. 4 -4.79


S 5 « 1 l , S N A M E LAST VALUE PLOTTED

DATE VALUE

CHAM' 3. GOLD PRICE IN LONtiON, AFTERNOON FIXING

CHAH j

U.S. DOLLARS PER FINE OUNCE NOV. 4 468.04

4. CALL MONEY RATES

U.S. FEDERAL FUNDS NOV. 4 6.43 OVERNIGHT EURO-DOLLAR DEPOSITS NOV. 4 6.47 U. K. NOV. 4 9. 22 CANADA NOV. 4 7.80 GERMANY NOV. 4 3.41 JAPAN NOV. 4 3. 39 FRANCE NOV. 4 7. 89 NETHERLANDS NOV. 4 5.21 SWITZERLAND NOV. 4 1.00

CHART 5. 3-MONTH INTEREST BATES

U.S. 90-DAY CD'S, SECONDARY MARKET NOV. 4 7. 40 GERMAN INTERBANK LOAN NOV. 4 4. 13 JAPANESE GENSAKI RATE NOV. 4 3.86 CANADIAN FINANCE PAPER NOV. 4 8.37 INTERBANK STERLING NOV. 4 9.06 SWISS INTERBANK LOAN NOV. 4 3.70 FRENCH INTERBANK RATE NOV. 4 8.22 NETHERLANDS INTERBANK RATE NOV. 4 5. 19 WEIGHTED AVERAGE FOREIGN INTEREST RATE NOV. 4 6. 26

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6. EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT NOV. 4 6. 47 7-DAY NOV. 4 6.81 1-MONTH MOV. 4 6.97 3-MONTH NOV. 4 7.58 6-MONTH NOV. 4 7.61 1-YEAR NOV. 4 7. 97

CHART 7. SELECTBJ) BO BO-DOLLAR AMD U.S. MONET MARKET RATES

OVERNIGHT EURO-DOLLAR DEPOSITS NOV. 4 6. 47 U.S. FEDERAL FDNDS NOV. 4 6. 43 DIFFERENTIAL NOV. 4 0. 04

3-MONTH EURO-DOLLAR DEPOSIT RATE NOV. 4 7.58 U.S. 90-DAI CD'S, SECONDARY MARKET NOV. 4 7.40 DIFFERENTIAL MOV. 4 0. 18


SERIES NAME LAS 1' VALUE PLOTTED

DATE VALUE

CHART 8. INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT NOV. 4 7.58 INTERBANK STERLING (LONDON), COVERED NOV. 4 7. 57 DIFFERENTIAL NOV. 4 0.01

U.S. COMMERCIAL PAPER NOV. 4 7. 33 CANADIAN FINANCE PAPER, COVERED NOV. 4 7. 59 DIFFERENTIAL NOV. 4 -0. 26

EURO-DOLLAR DEPOSIT NOV. 4 7.58 INTERBANK DM (FRANKFURT), COVERED NOV. 4 7.81 DIFFERENTIAL NOV. 4 -0.23

EURO-DOLLAR DEPOSIT NOV. 4 7. 58 SWISS INTERBANK, COVERED NOV. 4 7. 68 DIFFERENTIAL NOV. 4 -0. 10

CHART 9. LONG TERM GOVEflMENT BOND YIELDS

UNITED STATES OCT. 30 8. 90 GERMANY OCT. 30 6. 11 JAPAN OCT. 23 5. 11 SWITZERLAND OCT. 9 4. 40 CANADA OCT. 16 10.39 FRANCE OCT. 23 11.44 NETHERLANDS (MONTHLY) SEPT. 6.81 UNITED KINGDOM OCT. 30 8.70

U.S. CORPORATE

AAA BONDS MAY 9.33

CHART 10. STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY S B I T Z E E L A I D N E T H E R L A N D S FRANCE JAPAN

NOV. 4 262.34 NOV. 4 276.05 NOV. 4 293.99 NOV. 4 200.74 NOV. 4 153.75 NOV. 4 204. 06 NOV. 4 302.78 NOV. 4 500. 02


|E EDERAL RESERVE statistical release

H.10(512) NOVEMBER 6, 1987

FOREIGN EXCHANGE RATES FOR THE WEEK ENDING NOVEMBER 6, 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 (CURRENCY UNITS PER DOLLAR)

COUNTRY MONETARY

UNIT NOV. 2 NOV. 3 NOV. 4 NOV. 5 NOV. 6

^AUSTRALIA DOLLAR 67.62 67.02 67.32 67.55 68.38 AUSTRIA SCHILLING 12.065 12.085 12.065 11.750 11.815 BELGIUM FRANC 35.870 35.860 35.800 34.940 35.150 CANADA DOLLAR 1.3145 1.3220 1.3236 1.3315 1.3205 CHINA,P.R. YUAN 3.7314 3.7314 3.7314 3.7314 3.7314 DENMARK KRONE 6.6200 6.6350 6.6050 6.4500 6.4950 FINLAND MARKKA 4.2200 4.2350 4.2070 4.1300 4.1400 FRANCE FRANC 5.8075 5.8350 5.8200 5.6800 5.6900 GERMANY D. MARK 1.7125 1.7150 1.7105 1.6690 1.6745 GREECE DRACHMA 134.500 134.200 134.150 131.600 131.700 HONG KONG DOLLAR 7.8105 7.8128 7.8107 7.8065 7.8080 INDIA RUPEE 13.0000 13.0100 12.9900 12.9300 12.9000

*1RELAND POUND 155.20 154.50 155.35 158.90 158.70 ITALY LIRA 1262.50 1264.00 1264.00 1235.00 1239.00 JAPAN YEN 137.00 137.38 137.28 134.70 135.40 MALAYSIA RINGGIT 2.5090 2.5080 2.5055 2.4900 2.4935 NETHERLANDS GUILDER 1.9272 1.9295 1.9250 1.8775 1.8835 *NEW ZEALAND DOLLAR 60.050 60.050 61.000 61.400 62.500 NORWAY KRONE 6.5100 6.5000 6.4575 6.3200 6.3550 PORTUGAL ESCUDO 138.900 138.900 139.400 136.150 135.900 SINGAPORE DOLLAR 2.0660 2.0620 2.0585 2.0510 2.0475 «S0UTH AFRICA RAND 50.25 50.40 50.25 53.35 50.75 SOUTH KOREA WON 805.10 804.30 804.20 804.10 803.20 SPAIN PESETA 114.500 114.420 114.140 112.750 112.850 SRI LANKA RUPEE 30.518 30.518 30.518 30.518 30.503 SWEDEN KRONA 6.1600 6.1600 6.1500 6.0000 6.0600 SWITZERLAND FRANC 1.4163 1.4142 1.4110 1.3680 1.3790 TAIWAN DOLLAR 30.010 30.010 30.010 30.000 29.940 THAILAND BAHT 25.590 25.580 25.580 25.540 25.470 *UNITED KINGDOM POUND 173.90 174.00 174.82 178.30 178.25

MEMO: •UNITED STATES DOLLAR 92.95 93.12 92.95 91.06 91.29

•INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U.S. DOLLAR AGAINST CURRENCIES OF OTHER G-10 COUNTRIES. MARCH 197$ = 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.

LVALUE IS U.S. CENTS


Documents

Selected Interest & Exchange Rates · 1987. 11. 9. · •e table of contents tables 1. latest figures plotted 2. daily certified spot exchange rates-hi.10 release charts 1. spot