h13_19860505.pdf

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f

Selected Interest & Exchange Rates Weekly Series of Charts

% (

. *

i May 5, 1986 DIVISION OF r 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

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 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 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 RATIO SCALE MARCH 1973=100 MARCH 1973=100

200 180 FOREIGN CURRENCY PRICE OF U.S. DOLLAR 160

140

120

100

50 45 ITALIAN LIRA

40

30

25

200 180

GERMAN MARK 160

140

120

100

140

CANADIAN DOLLAR 120

100

90

80

70

60

200 180

JAPANESE YEN 160

140

120

100

80

140 DUTCH GUILDER

120

100

90

80

60

90

80 U.K. POUND

70

60

50

40

90

80 FRENCH FRANC

70

60

50

40

120 BELGIAN FRANC

100

90

80

70

60

50

1984 1986

240

SWISS FRANC 200 180

160

140

120

100

1984 1986


4

+ 0

4

8

4

+ 0

4

8

8

4

0

8

+ 0

8

16

24

32

8

4

0

4

12

8

4

0

8

4

0

8

0

8

16

24

32

CHART 2

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


:ENT PER ANNUM PERCENT PER At

CANADIAN DOLLAR

U. K. POUND

I I I I I I I I I I I I I

GERMAN MARK

FRENCH FRANC

JAPANESE YEN

A

I I I I I I I l l l l l l l l l l

ITALIAN LIRA

SWISS FRANC

I l l l l l l l l l l

DUTCH GUILDER

I I I I I I I I I I I I I I I l l l l l l I

1984 1986 1984 1986


U.S. D'

520

500

480

460

440

420

400

380

360

340

320

300

280

260

520

500

480

460

440

420

400

380

360

340

320

300

280

260

CHART 3

PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ARS PER FINE OUNCE U.S. DOLLARS PER FINE (

12.5 Kg BARS AFTERNOON FIXING PRICE

I I I I I I I I I I I I I I I I I I I I I I

1983 1984 1985 1986


20

16

12

8

4

0

20

16

12

8

4

0

20

16

12

8

4

0

20

16

12

8

4

0

20

16

12

8

4

0

20

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

NT PER ANNUM PERCENT PER A!

U. S. FEDERAL FUNDS FRANCE

JAPAN

SWITZERLAND CANADA

UNITED KINGDOM

NETHERLANDS

n i l

GERMANY

.yWvs/v V W v 1

1984 1986 1984 1986


14

12

10

8

6

4

16

14

12

10

8

10

8

6

4

2

8

7

6

5

4

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 SERIES

NT PER ANNUM

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

PERCENT PER Ah

CANADIAN FINANCE CO. PAPER

U.K. INTERBANK STERLING I FRENCH INTERBANK RATE

-

-

I I I

h -

NETHERLANDS INTERBANK RATE GERMAN INTERBANK RATE

SWISS INTERBANK RATE JAPANESE GENSAKIRATE

1984 1986 1984 1986


16

14

12

10

8

6

16

14

12

10

8

6

16

14

12

10

8

6

16

14

12

10

8

6

16

14

12

10

8

6

16

14

12

10

8

6

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM PERCENT PER AL

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-MONTH 1-YEAR

I I I I I I I I I I I

1984 1986 1984 1986


CHART 7

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


PERCENT PER ANNUM

16

14

12

10

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

I I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

DIFFERENTIAL

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 I I I I

PERCENT PER ANTFUM

16

14 3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD' S

1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

12

10

DIFFERENTIAL

I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ' 1 1 1 1 1

4

2

1984 1986

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1984 1986


CHART 8

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


PERCENT PER ANNUM

18

14

10 -

2

18

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

M i l I I

DIFFERENTIAL

l l l J_L

14 -

10 -

6 -

INTERBANK DM COVERED FRANKFURT


I I I I I

DIFFERENTIAL

CANADIAN FINANCE CO. PAPER, COVERED

PERCENT PER ANNUM

18

14

U. S. COMMERCIAL PAPER

DIFFERENTIAL

10

SWISS INTERBANK (SF) COVERED


I I I I, I

DIFFERENTIAL

1984 1986

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1984

2

2

2

18

14

10

1986


17

15

13

11

9

7

15

13

11

9

7

10

8

6

4

18

16

14

12

10

8

6

17

15

13

11

9

7

9

7

5

3

1

10

8

6

4

18

16

14

12

10

8

6

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

INT PER ANNUM PERCENT PER AL

UNITED STATES CANADA

UNITED KINGDOM SWITZERLAND

-JAPAN -

I I I I I I I I I I I I I I I

GERMANY

U. S. CORPORATE MONTHLY

Aaa BONDS

, FRANCE

-

- I NETHERLANDS

i MONTHLY

I I I 1111111111111

-

1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

UNITED KINGDOM UNITED STATES

NETHERLANDS

GERMANY

380 340 f - 300 - J - - -260 - J

-

- j -

220 A/ vv/\ / FRANCE SWITZERLAND / /

180 A -

140 - - -

100 A I I I I I i l l I I I u l i i h i l l i

340

300 / CANADA

260 JAPAN / v - yo/U^V W

220 - - i

180 - - - -

140 H | | | h i l l I 1 1 1 I I I | | | | | | | | | | I i i h i h i l l i

285 255

225

195

165

135

105

75

340

300

260

220

180

140

1984 1986 1984 1986


S E R I E S NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 - S P O T EXCHANGE RATES AND I N D I C E S

MEEKLY AVERAGES, NOON BUYING RATES ( U . S . CENTS)

GERMAN MARK A P R I L 3 0 4 5 . 9 5 JAPANESE YEN A P R I L 3 0 0 . 5 9 5 4 6 DUTCH GUILDER A P R I L 3 0 40. , 7 2 U. K . POUND A P R I L 3 0 1 5 4 . 7 2 CANADIAN DOLLAR A P R I L 3 0 7 2 , 4 3 FRENCH FRANC A P R I L 3 0 1 4 . 4 1 S W I S S FRANC A P R I L 3 0 5 4 . 9 4 BELGIAN i R A N C A P R I L 3 0 2 . 2 5 1 2 1 I T A L I A N L I R A A P R I L 3 0 0 . 0 6 6 8 6 SWEDISH KRONA A P R I L 3 0 1 4 . 2 2

I N D I C E S , MARCH 1 9 7 3 BASE RATES = 1 0 0

GERMAN MARK A P R I L 3 0 1 2 9 . 2 5 JAPANESE YEN A P R I L 3 0 1 5 5 . 9 1 DUTCH GUILDER A P R I L 3 0 1 1 6 . 9 0 U . K . POUND A P R I L 3 0 6 2 . 5 8 CANADIAN DOLLAR A P R I L 3 0 7 2 . 19 FRENCH FRANC A P R I L 3 0 6 4 . 9 5 S W I S S FRANC A P R I L 3 0 1 7 6 . 7 5 BELGIAN FRANC A P R I L 3 0 8 8 . 7 1 I T A L I A N L I R A A P R I L 3 0 3 7 . 96

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAS 1 9 7 3 = 1 0 0 ( G - 1 0 COUNTRIES PLUS SWITZERLAND)

U . S . DOLLAR A P R I L 3 0 1 1 1 . 5 8 GERMAN MARK A P R I L 3 0 1 5 0 . 7 0 JAPANESE YEN A P R I L 3 0 1 8 1 . 11 DUTCH GUILDER A P R I L 3 0 1 2 9 - 60 U . K . POUND A P R I L 3 0 6 5 . 5 6 CANADIAN DOLLAR A P R I L 3 0 7 7 . 2 4 FRENCH FRANC A P R I L 3 0 6 8 . 0 4 S W I S S FRANC A P R I L 3 0 1 9 6 . 3 5 BELGIAN FRANC A P R I L 3 0 9 6 . 5 3 I T A L I A N L I R A A P R I L 3 0 3 8 . 7 1 SWEDISH KRONA A P R I L 3 0 6 7 . 7 6

CHART 2 . 3-MONTH FORWARD EXCHANGE

CANADIAS DOLLAR G . K . POUND GERMAN HARK FRENCH FRANC SWISS FRANC DUTCH GUILDER J A P A N E S E YEN I T A L I A N L I R A

, PREMIUM Oii DISCOUNT

A P R I L 3 0 - 2 . 2 7 A P R I L 3 0 - 3 . 3 4 A P R I L 3 0 2 . 3 0 A P R I L 3 0 - 0 . 7 4 A P R I L 3 0 2 . 6 4 A P R I L 3 0 1 . 4 3 A P R I L 3 0 2 . 13 A P R I L 3 0 - 5 . 8 5


S E R I E S NAME LAST VALUE PLOTTED

DATE VALUE

CHART 3 . GOLD P R I C E IN LONDON, AFTERNOON F I X I N G

U . S . DOLLARS PER F I N E OUNCE A P R I L 3 0 3 4 4 . 11

CHART 4 . CALL MONEY RATES

U . S . FEDERAL FUNDS OVERNIGHT EURODOLLAR DEPOSITS U. K. CANADA GERMANY JAPAN FRANCE NETHERLANDS SWITZERLAND

A P R I L 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 30 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0

6.88 6.86

1 1 . 0 7 8 . 6 5 5 . 14 4 . 4 1 7 . 8 2 6.20 7 . 40

CHART 5 . 3-MONTH INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET GERMAN INTERBANK LOAN JAPANESE GENSAKI &ATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTERBANK RATE NETHERLANDS INTERBANK BATE WEIGHTED AVERAGE FOREIGN INTEREST RATE

( G - 1 0 COUNTRIES PLUS SWITZERLAND)

A P R I L 3 0 A P R I L 3 0 APRIL 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0

6 . 5 3 4 . 5 2 4 . 5 4 9 . 19

1 0 . 3 4 4 . 13 7 . 3 3 5.. 3 4 6 . 7 5

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT 7-DAY 1-MONTH 3-MONTH 6-MONTH 1-YEAR

APRIL 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0 A P R I L 3 0

6. 86 6 . 8 9 6.88 6 . 7 8 6 . 7 8 6 . 8 4

CHART 7 . SELECTED EURO-DOLLAR AND U . S . MONEY MARKET RATES

OVBENIGHT EURO-DOLLAR DEPOSITS A P R I L 3 0 6.86 U . S . FEDERAL FUNDS A P R I L 3 0 6.88 DIFFERENTIAL A P R I L 3 0 - 0 . 0 2

3-MONTH EURO-DOLLAR DEPOSIT RATE A P R I L JO 6 ,7a U . S . 90 -DAY C D ' S , SECONDARY MARKET A P R I L 3 0 6 S 3 DIFFERENTIAL A P R I L 3 0 0 . 2 5


S E R I E S SAME LAST VALUE PLOTTED

DATS VALUE

CHART 8 . INT Eli EST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT A P R I L 3 0 6 . 7 8 INTERBANK STERLING (LONDON), COVERED A P R I L 3 0 6 . 9 1 D I F F E R E N T I A L A P R I L 3 0 - 0 . 13

U . S . COMMERCIAL PAPER A P R I L 3 0 6 . 5 4 CANADIAN FINANCE PAPER, COVERED A P R I L 3 0 6 . 8 7 D I F F E R E N T I A L A P R I L 3 0 - 0 . 3 3

EURO-DOLLAR DEPOSIT A P R I L 30 6 . 7 8 INTERBANK DM (FRANKFURT) , COVERED A P R I L 3 0 6 . 8 5 DIFFERENTIAL A P R I L 3 0 - 0 . 0 8

EURO-DOLLAR DEPOSIT A P R I L 3 0 6 . 7 8 SWISS INTERBANK, COVERED A P i l l L 3 0 6 . 7 9 DIFFERENTIAL A P R I L 3 0 - 0 . 0 1

CHART 9 . LONG TERM GOVEBMENT BOND YIELDS

UNITED STATES A P R I L 2 5 7 . 3 5 GERMANY A P R I L 2 5 5 . 4 6 JAPAN (MONTHLY) J A N . 6 . 2 9 SWITZERLAND A P R I L 11 4 . 2 8 CANADA A P R I L 11 9 . 2 1 FRANCE A P R I L 2 5 8 . 8 8 NETHERLANDS (MONTHLY) F E B . 6 . 8 4 UNITED KINGDOM A P R I L 2 5 8 . 4 8

U . S . CORPORATE

AAA BONDS F E B , 9 . 6 7

CHART 1 0 . STOCK I N D I C E S

UNITED STATES UNITED KINGDOM CA NAD A GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

A P R I L 2 3 2 4 8 . 3 2 A P R I L 2 3 2 9 9 * * 4 A P R I L 2 3 3 0 6 . 8 6 A P R I L 2 3 3 1 1 . 6 7 A P R I L 2 3 1 9 8 . 7 2 A P R I L 2 3 3 0 9 . 6 3 A P R I L 2 3 3 9 3 . 4 4 A P R I L 2 3 3 3 1 . 0 7


. FEDERAL RESERVE statistical release wSfiui:

H.10 (512) HA* 2, 1986

FOREIGN EXCHANGE RATES FOB THB 8BSK ENDING MAI 2, 1986

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 U N I T S P8R DOLLAR

COUNTRY MONETARY

UNIT A P R . 2 8 A P R . 2 9 APR. 3 0 MAY 1 MAY 2

AUSTRALIA DOLLAR 7 3 . 8 0 7 4 . 0 1 7 4 . 0 7 7 3 . 5 3 7 3 . 4 7 AUSTRIA S C H I L L I N G 1 5 . 2 1 0 1 5 . 3 1 0 1 5 . 2 3 0 1 5 . 5 0 2 1 5 . 5 4 0 BELGIUM FRAMC 4 4 . 1 9 0 4 4 . 4 2 0 4 4 . 1 8 0 4 4 . 9 6 0 4 5 . 0 8 0 BRAZIL CRUZADO 1 3 . * 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 CANADA DOLLAR 1 . 3 7 8 5 1 . 3 7 9 5 1 . 3 7 3 8 1 . 3 7 7 5 1 . 3 7 9 5 C H I N A , P . R . YUAN 3 . 1 9 9 9 3 . 1 9 9 9 3 . 1 9 9 9 3 . 1 9 9 9 3 . 2 0 3 1 DEEHARK KRONE 8 . 0 2 7 5 8 . 0 6 2 5 8 . 0 2 0 0 8 . 1 5 7 0 8 . 1 7 5 0 FINLAND MARKKA 4 . 9 3 0 0 4 . 9 5 0 0 4 . 9 4 0 0 4 . 9 7 0 0 5 . 0 1 7 5 FRANCE FRANC 6 . 8 9 8 0 6 . 9 3 4 0 6 . 8 9 5 5 7 . 0 2 0 0 7 . 0 5 0 0 GERMAN* D . MARK 2 . 1 6 4 5 2 . 1 7 6 0 2 . 1 6 5 0 2 . 2 0 5 0 2 . 2 1 5 0 GREECE DRACHMA 1 3 7 . 1 0 0 1 3 7 . 3 0 0 1 3 7 . 2 0 0 1 3 6 . 9 0 0 1 3 9 . 0 0 0 HONG KONG DOLLAR 7 . 7 8 5 0 7 . 7 9 0 0 7 . 7 9 2 0 7 . 7 9 1 5 7 . 7 9 7 0 I N D I A RUPEE 1 2 . 2 5 0 0 1 2 . 2 7 0 0 1 2 . 3 0 0 0 1 2 . 3 5 0 0 1 2 . 4 4 0 0

I R E L A N D POUND 1 4 0 . 3 0 1 3 9 . 8 5 1 4 0 . 4 4 1 3 8 . 2 0 1 3 8 . 0 5 I T A L I L I R A 1489.00 1494.00 1 4 9 0 . 0 0 1 5 1 2 . 5 0 1 5 1 3 . 0 0 JAPAN IBM 1 6 7 . 1 5 1 6 7 . 8 5 1 B 7 . 6 0 1 6 9 . 6 5 1 6 9 . 9 0 MALAYSIA R I N G G I T 2 . 6 1 0 0 2 . 5 8 0 0 2 . 5 7 5 0 2 . 5 7 7 0 2 . 5 7 0 0 NETHERLANDS GUILDER 2.4445 2 . 4 5 4 0 2 . 4 4 0 5 2 . 4 8 4 5 2 . 4 9 5 5

NEW ZEALAND DOLLAR 58.450 5 8 . 3 7 0 5 8 . 4 3 0 5 7 . 6 5 0 5 7 . 5 0 0 NORWAY KRONE 6 . 9 0 7 5 6 . 9 2 8 5 6 . 9 5 7 5 7 . 1 4 0 0 7 . 0 5 5 0 PORTUGAL ESCUDO 1 4 5 . 8 0 0 1 4 6 . 2 5 0 1 4 5 . 5 0 0 1 4 7 . 2 0 0 1 4 7 . 5 0 0 SINGAPORE DOLLAR 2 - 1 9 2 5 2 . 1 9 1 0 2 . 1 9 4 0 2 . 2 0 2 0 2 . 2 0 1 0

SOUTH AFRICA RAND 4 8 . 8 5 4 8 . 6 2 4 8 . 6 0 4 8 . 3 0 4 8 . 2 0 SOUTH KOREA WON 8 8 7 . 3 0 8 8 6 . 9 0 8 8 7 . 4 0 8 8 7 . 9 0 8 8 8 . 4 0 S P A I N PESETA 1 3 8 . 1 0 0 1 3 8 . 5 2 0 1 3 8 . 1 5 0 1 4 0 . 2 0 0 1 4 0 . 1 0 0 S R I LAVKA RUPEE 2 7 . 8 6 7 2 7 . 8 7 2 2 7 . 8 8 7 2 7 . 8 8 7 2 7 . 9 1 7 SWEDEN KROKA 7 . 0 0 2 5 7 . 0 3 0 0 7 . 0 0 7 0 7 . 0 9 8 0 7 . 0 8 5 0 SWITZERLAND FRANC 1 . 8 0 8 5 1 . 8 2 0 5 1 . 8 1 3 0 1 . 8 4 6 0 1 . 8 5 5 0 TAIWAN DOLLAR 3 8 . 6 1 0 3 8 . 6 0 0 3 8 . 5 9 0 3 8 . 5 8 0 3 8 . 5 7 0 THAILAND BAHT 2 6 . 2 5 0 2 6 . 2 6 0 2 6 . 3 0 0 2 6 . 3 0 0 2 6 . 3 8 0

UNITED KINGDOM POUND 1 5 5 . 5 0 1 5 5 . 2 0 1 5 5 . 1 0 1 5 2 . 9 2 1 5 2 . 2 0

MEMO: U N I T E D STATES DOLLAR 1 1 1 . 0 5 1 1 1 . 4 9 1 1 1 . 0 9 1 1 2 . 7 6 1 1 3 . 1 0

I1NUEX UF WEIGH! FED AVERAGE B A U t i A l l t i i S V A L UK OF U . S . DO LIAR AGAINST CURRENCIES Or OTHER G-10 COUNTBIBS. HABCH 1973 = 100. WEIGHTS ABB 1972-76 GLOBAL TBADB Of EACH Of THB 10 COOITBIES. SSBIES BBTISBO AS OF AUGUST 1978. FOB DBSCBIPTION AMD BACK DATA, SEE "INDEX Of THE NEIGHTBD-AVBBAGB EXCHANGE VALUE Of THE U.S. DOLLABS BBYISIOB" ON PAGE 700 Of THE AUGUST 1978 fBDBHAL BBSBBfB BULLETIN.

7ALOE IS U.S. CENTS


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