h13_19860728.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

July 28,1986 DIVISION OF INTERNATIONAL FINANCE

Prepared by the FINANCIAL MARKETS SECTION

BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM 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 MARCH 1973=100

RATIO SCALE MARCH 1973=100

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

ITALIAN LIRA

JAPANESE YEN GERMAN MARK

DUTCH GUILDER CANADIAN DOLLAR

UX. POUND FRENCH FRANC

U

BELGIAN FRANC SWISS FRANC

1984 1986 1984 1986


CHART 2

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


PER ANNUM PERCENT PER ANNUM

JAPANESE YEN

12

SWISS FRANC

CANADIAN DOLLAR

U. K. POUND

DUTCH GUILDER GERMAN MARK

ITALIAN LIRA

24

32

1984 1986

FRENCH FRANC

1984 1986


U.S. [

520

500

480

460

440

420

400

380

360

340

320

300

280

260

OUNCE

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 F'NE

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

NUM

20

16

12

8

4

0

20

16

12

8

4

0

20

16

12

8

4

0

t

CHART 4

CALL MONEY RATES WEEKLY SERIES

NT PER ANNUM PERCENT PER M

U. S. FEDERAL FUNDS

SWITZERLAND

FRANCE

JAPAN

CANADA

A . " V V V ^ l

I I I

UA _

UNITED KINGDOM

NETHERLANDS

l l I

GERMANY

r UWtNV.

i I I

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

S

6

4

2

0

CHART 5

3-MONTH INTEREST RATES WEEKLY SERIES

T PER ANNUM PERCENT PER AN

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

GERMAN INTERBANK RATE

I I

U.K. INTERBANK STERLING

JAPANESE GENSAKI RATE

CANADIAN FINANCE CO. PAPER

L —

I I I

-

f\ 1 FRENCH INTERBANK RATE

-

1 1 1 1 1 1

1 -

NETHERLANDS INTERBANK RATE

1 1 1 1 1 1

SWISS INTERBANK RATE

y "

1 1 1 1 1 1

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


:NT PER ANNUM PERCENT PER Ah

OVERNIGHT

7-DAY

1-MONTH

3-MONTH

I I I 11111111111

6-MONTH

-

I I I I I I i l l i i h i l l i I I I I I I I I I I I'

1-YEAR

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

6 —

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

1 _ J I I 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 1

PERCENT PER ANNUM

16

14 3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD' S

12

10

J I 1 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 J I I 111111111.111111111111111

DIFFERENTIAL

J I I 1 1 1 1 1 1 1 1 1 M 1 1 1 1 1 1 1 1 1 1 1 1

1984 1986

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1984 1986


18

14

10

6

2

2

0

2

18

14

10

6

2 2

0

2

18

14

10

6

2

2

+ 0

2

18

14

10

6

2

2

0

2

CHART 8

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


T PER ANNUM PERCENT PER AN

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

I I I I I I li

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

J _ J _ I I I i i i 11

DIFFERENTIAL

J _ L

INTERBANK DM COVERED FRANKFURT


I I I I I

DIFFERENTIAL

I I I I I I I

SWISS INTERBANK (SF) COVERED


I I I I I I I

DIFFERENTIAL

i _ L

1984 1986 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1984 i l L L

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

NT PER ANNUM PERCENT PER At

UNITED STATES CANADA

UNITED KINGDOM SWITZERLAND

GERMANY

JAPAN

U. S. CORPORATE MONTHLY

Aaa BONDS

, FRANCE

__ I NETHERLANDS

—

MONTHLY

I I I I I I I I I I I i l l I I I I I

1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

UNITED KINGDOM UNITED STATES

NETHERLANDS SWITZERLAND

FRANCE

GERMANY


S E R I E S NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE BATES AND INDICES

WEEKLY AVERAGES, NOON BUYING KATES ( U . S . CENTS)

GERMAN MARK JULY 2 3 4 6 . 86 JAPANESE YEN JULY 2 3 0 . 6 3 8 5 1 DUTCH GUILDER JULY 2 3 4 1 . 5 8 U.K. POUND JULY 2 3 1 5 0 . 0 1 CANADIAN DOLLAR JULY 2 3 7 2 . 4 6 FRENCH FRANC JULY 2 3 1 4 . 5 0 SWISS FRANC JULY 2 3 5 7 . 8 9 BELGIAN FRANC JULY 2 3 2 . 2 6 9 8 8 ITALIAN LIRA JULY 2 3 0 . 0 6 8 1 7 SWEDISH KRONA JULY 2 3 1 4 . 20

INDICES, MARCH 1 9 7 3 BASE RATES = 100

GERMAN MARK JULY 2 3 1 3 1 . 8 2 JAPANESE YEN JULY 2 3 1 6 7 . 1 8 DUTCH GUILDER JULY 2 3 1 1 9 . 3 6 0 - K . POUND JULY 2 3 6 0 . 6 7 CANADIAN DOLLAR JULY 2 3 7 2 . 22 FRENCH FRANC JULY 2 3 6 5 . 3 6 SWISS FRANC JULY 2 3 1 8 6 . 2 4 BELGIAN FRANC JULY 2 3 8 9 . 4 4 ITALIAN LIRA JULY 2 3 3 8 . 72

GHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1 9 7 3 = 100 (G—10 COUNTRIES PLUS SWITZERLAND)

U . S . DOLLAR JULY 2 3 1 0 9 . 7 5 GERMAN MARK JULY 2 3 1 5 1 . 9 1 JAPANESE YEN JULY 2 3 1 9 3 . 0 0 BOTCH GUILDER JULY 2 3 1 3 0 . 6 9 a . * . POUND JULY 2 3 6 2 . 4 6 CANADIAN DOLLAR JULY 2 3 7 6 . 2 0 FRENCH FRANC JULY 2 3 6 7 . 5 4 SWISS FRANC JULY 2 3 2 0 4 . 4 4 BELGIAN FRANC JULY 2 3 9 6 . 0 4 ITALIAN LIRA JULY 2 3 3 8 . 9 7 SWEDISH KRONA JULY 2 3 6 6 . 7 4

CHART 2 . 3-MONTH FOBWARD EXCHANGE RATES, PREMIUM OR DISCOUNT

CANADIAN DOLLAR JULY 2 3 - 1 . 84 0 . K. POUND JULY 2 3 - 3 . 3 3 GERMAN MARK JULY 2 3 1 . 9 5 FRENCH FRANC JULY 2 3 - 0 . 76 SWISS FRANC JULY 2 3 1 . 6 4 DUTCH GUILDER JULY 2 3 0 . 9 0 JAPANESE YEN JULY 2 3 1. 8 8 ITALIAN LIRA JULY 2 3 - 4 . 8 7 Digitized for FRASER

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

SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 3 . GOLD PBXCE IN LONDON, AFTERNOON FIXING

0. s . DOLLARS PER FINE OUNCE J U L ! 23 3 4 9 . 9 2

. CALL MONEY RATES

U.S . FEDERAL FUNDS JULY 2 3 6 . 42 OVERNIGHT EURO-DOLLAR DEPOSITS JULY 2 3 6 . 4 0 ILK. JULY 2 3 9 . 60 CANADA J U L ! 2 3 8 . 30 GERMANY JULY 2 3 4 . 5 5 JAPAN JULY 2 3 4 . 43 FRANCE JULY 2 3 7 . 2 2 NETHERLANDS JULY 2 3 6 . 0 3 SWITZERLAND JULY 2 3 1 . 0 0

CHART 5 . 3-MONTH INTEREST BATES

U . S . 90-DAY C D ' S . SECONDARY MARKET JULY 2 3 6 . 3 1 GERMAN INTERBANK LOAN JULY 2 3 4 . 6 0 JAPANESE GENSAKI RATE JULY 2 3 4 . 6 0 CANADIAN FINANCE PAPER JULY 2 3 8 . 2 3 INTERBANK STERLING JULY 2 3 9 . 9 4 SWISS INTERBANK LOAN JULY 2 3 4 . 8 0 FRENCH INTERBANK RATE JULY 2 3 7 . 13 NETHERLANDS INTERBANK RATE JULY 2 3 5 . 5 8 WEIGHTED AVERAGE FOEEIGN INTEREST RATE JULY 2 3 6 . 6 2

{G-10 COUNTRIES PLUS SHITZEBLAND)

CHART 6 . EURO-DOLLAR DEPOSIT BATES; LONDON

OVERNIGHT JULY 2 3 6 . 40 7-DAY JULY 2 3 6 . 44 1-MONTH JULY 2 3 6 . 4 6 3-MO NTH JULY 2 3 6 . 4 6 6-HO NTH JULY 2 3 6 . 4 5 1-YEAB JULY 2 3 6 . 5 3

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

OVERNIGHT EURO-DOLLAR DEPOSITS JULY 2 3 6 . 4 0 U . S . FEDERAL FUNDS JULX 2 3 6 . 4 2 DIFFERENTIAL JULY 2 3 - 0 . 0 2

3-MONTH EURO-DOLLAB DEPOSIT BATE JULY 2 3 6 . 4 6 U . S . 90-DAY C D ' S , SECONDARY MARKET JULY 2 3 6 . 3 1 DIFFEBENTIAL JULY 2 3 0 . 13


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-HONTH FUNDS

EURO-DOLLAR DEPOSIT JULY 2 3 6 . 4 6 INTERBANK STERLING (LONDON), COVERED JULY 2 3 6 . 53 DIFFERENTIAL JULY 2 3 - 0 . 0 6

U . S . COMMERCIAL PAPER JULY 2 3 6 . 2 4 CANADIAN FINANCE PAPER, COVERED JULY 2 3 6 . 35 DIFFERENTIAL JULY 2 3 - 0 . 12

EURO-DOLLAR DEPOSIT JULY 2 3 6 . 46 INTERBANK DM (FRANKFURT), COVERED JULY 2 3 6 . 5 7 DIFFERENTIAL JULY 2 3 - 0 . 1 1

EURO-DOLLAR DEPOSIT JULY 2 3 6 . 46 SWISS INTERBANK, COVERED JULY 2 3 6 . 4 6 DIFFERENTIAL JULY 2 3 0 . 00

CHART 9 . LONG TERM GOVERMENT BOND YIELDS

UNITED STATES JULY 11 7 . 3 3 GERMANY JULY 18 5 . 70 JAPAN (MONTHLY) JULY 18 5 . 01 SWITZERLAND JULY 11 4 . 05 CANADA JULY 11 9 . 2 3 FRANCE JULY 18 8 . 54 NETHERLANDS (MONTHLY) MAY 6 . 39 UNITED KINGDOM JULY 11 9 . 06

U . S . CORPORATE

AAA BONDS JUNE 9 . 1 3

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY S833ZBB1.AND NETHERLANDS FRANCE JAPAN

JULY 16 24 0 . 0 3 JULY 16 2 8 7 . 1 9 JULY 16 2 9 4 . 7 9 JULY 36 2 5 5 . 5 0 JULY 16 1 7 6 . 8 0 JULY 16 3 4 6 . 8 7 JULY 16 3 7 0 . 6 0 JULY 16 3 6 4 . 9 6


FEDERAL RESERVE statistical release

H.10 (512)

FOREIGN EXCHANGE RATES FOB THE RBBK BBDIBG J O i l 2 5 , 1986

I f

JOLT 2 5 , 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 fCIIRRBMCY III I T S PER DOLLAB 1

COUNTRY UNIT JULY 2 1 JULY 22 JULY 2 3 JULY 24 J U L ! 2 5

•AUSTRALIA DOLLAR 6 4 . 1 3 6 3 . 7 2 6 2 . 6 3 6 1 . 2 6 6 0 . 15 AUSTRIA SCHILLING 1 4 . 9 2 0 1 5 . 0 4 5 1 5 . 0 3 3 1 5 . 0 4 0 1 5 . 0 9 0 BBLGIUH FRANC 4 3 . 7 9 0 4 4 . 0 9 0 4 4 . 0 6 0 4 4 . 0 9 0 4 4 . 280 BRAZIL CRUZADO 1 3 . 6 4 1 3 . 8 4 1 3 . 84 1 3 . 8 4 13 . 84 CANADA DOLLAR 1 . 3 7 6 2 1 . 3 8 3 9 1 . 3 8 9 8 1 . 3 8 8 5 1 . 3 8 7 2 CHIWA,P.R. YUAN 3 . 7 1 2 9 3 . 7 1 2 9 3 . 7 1 2 9 3 . 7 1 2 9 3 . 7 1 2 9 DBNHARK KRONE 7 . 9 6 0 0 8 . 0 3 0 0 8 . 0 3 0 0 8 . 0 3 4 0 8 . 0 7 0 0 FINLAND HARKKA 5 . 0 4 0 0 5 . 0 7 5 0 5 . 0700 5 . 0 7 2 5 5 . 0 7 5 0 FRANCS FRANC 6 . 8 6 2 5 6 . 9 0 5 0 6 . 8 8 2 5 6 . 9 1 0 0 6 . 9 4 3 5 GERMANY D. HARK 2 . 1 2 1 0 2 . 1 3 7 5 2 . 1 3 3 0 2 . 1 3 8 0 2 . 1 4 6 0 GREECE DRACHHA 1 3 7 . 2 0 0 1 3 7 . 2 5 0 1 3 7 . 9 0 0 1 3 7 . 5 0 0 138 . 900 HONG K01G DOLLAR 7 . 8 1 3 0 7 . 8 1 6 0 7 . 8 1 5 0 7 . 8 1 5 0 7 . 8 1 4 0 I R M A RUPEE 1 2 . 5 9 0 0 1 2 . 5 6 0 0 1 2 . 5 7 0 0 1 2 . 5 3 0 0 1 2 . 5 4 0 0

•IRELAND POUND 1 4 0 . 4 0 1 3 9 . 5 0 1 3 9 . 5 5 1 3 9 . 3 0 1 3 8 . 1 0 I T A L I LIRA 1 4 5 8 . Q 0 1 4 6 8 . 0 0 1 4 7 0 . 0 0 1 4 6 8 . 0 0 1 4 7 4 . 0 0 JAPAN YEN 1 5 5 . 0 5 1 5 6 . 8 0 1 5 7 . 4 5 1 5 6 . 7 0 1 5 7 . 7 0 flALAISIA RINGGIT 2 . 6 5 7 5 2 . 6 6 8 0 2 . 6 7 0 0 2 . 6 5 7 0 2 . 6 4 9 0 NETHERLANDS GUILDER 2 . 3 9 2 0 2 . 4 0 8 0 2 . 4 0 3 0 2 . 4 0 8 0 2 . 4 1 7 0

•NEH ZEALAND DOLLAR 5 4 . 0 5 0 5 4 . 0 5 0 5 3 . 6 8 0 5 3 . 0 5 0 5 2 . 1 0 0 N0R8AI KRONE 7 . 4 2 0 0 7 . 4 8 0 0 7 . 4700 7 . 4 8 7 0 7 . 5 1 0 0 PORTUGAL ESCUDO 1 4 7 . 7 0 0 1 4 8 . 7 5 0 1 4 8 . 8 0 0 1 4 8 . 5 0 0 149 -200 SINGAPORE DOLLAR 2 . 1 8 3 5 2 . 1 8 8 0 2 . 1 9 2 0 2 . 1 8 7 0 2 . 1 8 9 0

•SOOTH AFRICA RAND 3 9 . 7 0 3 9 . 5 0 3 9 . 60 3 9 . 5 5 3 9 . 10 SOOTH KOREA e o s 8 8 8 . 5 0 8 8 8 . 0 0 8 8 8 . 1 0 8 8 8 . 6 0 8 8 9 . 1 0 SPAIN PESETA 1 3 5 . 4 0 0 1 3 6 . 7 5 0 1 3 6 . 7 0 0 1 3 6 . 7 1 0 1 3 9 . 0 0 0 SRI LAMA RUPEE 2 8 . 0 7 7 2 8 . 0 8 5 2 8 . 0 8 5 2 8 . 0 9 0 2 8 . 0 9 2 SWEDEN KRONA 7 . 0 2 0 0 7 . 0 7 0 0 7 . 0 5 7 5 7 . 0 6 3 0 7 . 0 8 0 0 SHITZSRLAJKD FRANC 1 . 7 1 3 0 1 . 7 2 8 5 1 . 7 2 7 0 1 . 7 2 5 0 1 . 7 3 1 5 TAINAN DOLLAR 3 8 . 1 2 0 3 8 . 1 2 0 3 8 . 120 3 8 . 1 2 0 3 8 . 1 2 0 THAILAND BAHT 2 6 . 1 6 0 2 6 . 1 3 0 2 6 . 130 2 6 . 1 8 0 2 6 . 1 8 0

•UNITED KINGDOl POUND 1 4 9 . 9 0 1 4 9 . 0 0 1 4 9 . 2 0 1 4 9 . 3 5 1 4 8 . 2 5

HEHO: #UNITED STATES DOLLAR 1 0 9 . 1 8 1 0 9 . 9 9 1 0 9 . 9 6 1 0 9 . 9 9 1 1 0 . 4 5

S lNbiX OF BElGi ITED AWBRAGJ EXCHANGE VALUE OF O . S . DOLLAR AGAINST COMENCISS Ol OTHER G-10 COOBTBIBS. HABCH 1 9 7 3 - 1 0 0 . HEIGHTS ABB 1 9 7 2 - 7 6 GLOBAL TBADB OP BACH OP TAB 10 COOBTBIBS. SBBIBS BBTISBD AS OP AUGUST 1 9 7 8 . POB DBSCBIPTIOB ABO BACK DATA, SBB "IBOBX OP TBB BBIGHTBD—AVBBAGB BXCHABGB VALOB OP THB O . S . DOLLAB: BBVISIOB" OB PAGB 7 0 0 OP TBB AOGOST 1978 PBDBHAL BBSBBTB B011BTIB.

•WALOB I S O . S . CBBTS


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