h13_19861229.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

i December 29,1986

i -

Prepared by the FINANCIAL MARKETS SECTION

DIVISION OF INTERNATIONAL FINANCE

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 R A T E S -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.


MARCH

200 180

160

140

120

100

200 180

160

140

120

100

80

140

120

100 90

80

70

60

90 80

70

60

50

40

120

100

90

80

70

60

50

1=100

50 45

40

35

30

25

200 180

160

140

120

100

80

140

120

100

90

80

70

60

90 80

70

60

50

40

240

200 180

160

140

120

100

CHART 1

SPOT EXCHANGE INDICES DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE)

AVERAGES FOR WEEK ENDING WEDNESDAY

LE 7 3 = 1 0 0

RATIO MARCH 197C

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

ITALIAN LIRA

I I I I I I I I I I

JAPANESE YEN GERMAN MARK

DUTCH GUILDER CANADIAN DOLLAR

U.K. POUND

BELGIAN FRANC

- I

I I I

-RENCH FRANC

I I I I I I I I I I I

SWISS FRANC -

I I I

1984 1986 1984 1986


4

+ 0

4

8

4

+ 0

4

8

8

4

0

8

+ 0

8

16

24

32

INUM

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 AF

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

FRENCH FRANC

JAPANESE YEN

A

I I I I I I

ITALIAN LIRA

I I I

SWISS FRANC

I I I I I I

rvx -

DUTCH GUILDER

I I I 11111 i f 1111111

1984 1986 1984 1986


U.S. D

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

PER FINE OUNCE U.S. DOLLARS PER FINE

12.5 Kg BARS AFTERNOON FIXING PRICE

1983 1984 1985 1986


CHART 4

CALL MONEY RATES WEEKLY SERIES

PERCENT PER ANNUM PERCENT PER ANNUM

FRANCE

JAPAN

20

CANADA

20

GERMANY

1984 1986

20

U. S. FEDERAL FUNDS

l l l l I

20

SWITZERLAND

20

16 UNITED KINGDOM

12

8

4 NETHERLANDS

0

1984 1986


PERC

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

T PER ANNUM PERCENT PER AN

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

U.K. INTERBANK STERLING

CANADIAN FINANCE CO. PAPER

L -

I I I I I I

-

I FRENCH INTERBANK RATE

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

GERMAN INTERBANK RATE

J _ L I I I I l u l l I I

NETHERLANDS INTERBANK RATE

I I I I I I

-

SWISS INTERBANK RATE JAPANESE GENSAKI RATE

I I I I I I I I

1984 1986 1984 1986


14

12

10

8

6

4

14

12

10

8

6

4

14

12

10

8

6

4

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

PERCENT PER

OVERNIGHT


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 D A S H E D L INE

OVERNIGHT E U R O - D O L L A R D E P O S I T S

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

DIFFERENTIAL

I I I

L A ^ l ^

I l l 111111111111111111111111

PERCENT PER ANNUM

16

- 14 3-MONTH E U R O - D O L L A R D E P O S I T S

90-DAY CD' S

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

DIFFERENTIAL

I I I I I I I I

- 12

- 1 0

- 8

4

2

- 1

1984 1986

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

1984 1986


PER

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: PLUSH, INDICATES FAVOR DOLLAR ASSETS


NT PER ANNUM PERCENT PER Ah

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

DIFFERENTIAL

nil

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


SWISS INTERBANK (SF) COVERED


I I I

DIFFERENTIAL DIFFERENTIAL

J u 1984 1986

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

1984 1986


16

14

12

10

8

6

15

13

11

9

7

10

8

6

4

17

15

13

11

9

7

5

16

14

12

10

8

6

9

7

5

3

1

10

8

6

4

17

15

13

11

9

7

5

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

NT PER ANNUM PERCENT PER A h

UNITED STATES

UNITED KINGDOM

U. S. CORPORATE MONTHLY

Aaa BONDS

-

CANADA

-

SWITZERLAND

GERMANY

I I I I I I I I I I I

FRANCE -

-NETHERLANDS \

- Z - x MONTHLY

I I I I I I ui^ U^Tu 1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

3 0 0

RATIO SCALE 1969=100

-

-

UNITED S T A T E S -

I I |

NETHERLANDS

FRANCE

4 5 0 4 0 0

- - 3 5 0

- / X s A A - 3 0 0

J - 2 5 0 UNITED KINGDOM /

2 5 0

- A^X r" - 2 0 0

- 1 5 0

i i i I I I I I I I I I I I u l 11 h i l l i 1 0 0

3 1 5 2 8 0

- - 2 4 5

- A - 2 1 0

/ v/ 1 7 5 SWITZERLAND / * /

1 4 0

1 0 5

I I I I I I I I | I I | I I | I I I l l l l l l l l l l 7 0

GERMANY

450 450 400 400 350 - / S v _ - - 350

300 - J - CANADA y v 300 250 JAPAN - - - 250

200 - - - 200

150 - - - - 150

100 I I I I I I I l l l l l l l l l l I l l l l l l l l l l I I I I I I I l l l l l l l l l l I l l l l l l l l l l 100 100

1984 1986 1984 1986

100


S E B I S S NAflE LAST VALUE PLOTTED

DATS VALOB

CHABT 1 . SPOT EXCHANGE BATES AID INDICES

WEEKLY AfBBAGES, NOON BUYING HATES ( U . S . CENTS)

GERMAN HABK DEC. 2 4 5 0 . 3 6 JAPANESE YEN DEC. 2 4 0 . 6 1 5 6 9 DUTCH GUILDEB DEC. 2 4 4 4 . 5 5 U.K. POUND DEC. 2 4 1 4 4 . 3 1 CANADIAN DOLLAB DEC. 2 4 7 2 . 5 4 FBENCfl FBANC DEC. 2 4 1 5 . 3 3 SWISS FRANC DEC. 2 4 6 0 . 11 BELGIAN FBANC DEC. 2 4 2 . 4 1 7 8 7 ITALIAN LIBA DEC. 2 4 0 . 0 7 2 5 8 SWEDISH KBONA DEC. 2 4 1 4 . 48

>ICES, HABCH 1 9 7 3 BASE BATES = 100

GBBflAN HABK DEC- 2 4 1 4 1 . 67 JAPANESE YEN DEC. 2 4 1 6 1 . 2 1 DUTCH GUILDEB DEC. 2 4 1 2 7 . 8 9 U .K. POUND DEC. 2 4 5 8 . 3 7 CANADIAN DOLLAB DEC. 2 4 7 2 . 3 0 FBENCH FBANC DEC. 2 4 6 9 . 0 7 SWISS FBANC DEC. 2 4 1 9 3 . 39 BELGIAN FBANC DEC. 24 9 5 . 28 ITALIAN LIBA DEC. 2 4 4 1 . 2 3

WEIGHTED AVEBAGB EXCHANGE 7AL0E I N D I C E S , BAB 1 9 7 3 = 100 ( G - 1 0 COONT RIBS PLUS SWITZERLAND)

S . DOLLAB DEC. 2 4 1 0 6 . 4 8 GEBHAN HABK DEC. 2 4 1 6 0 . 9 2 JAPAMBSB IBM DEC. 2 4 1 8 0 . 4 1 DUTCH GUILDEB DEC. 2 4 1 3 7 . 1 5 U.K. POO ID DEC. 2 4 5 8 . 2 9 CANADIAN DOLLAB DEC. 2 4 7 4 . 3 5 FBB1CH FBANC DEC. 2 4 6 9 . 9 4 S 1 I S S FBANC DEC. 2 4 2 0 7 . 3 7 BELGIAN FBANC DEC. 2 4 1 0 0 . 10 ITALIAN LISA DEC. 2 4 4 0 . 6 3 SWEDISH KBONA DEC. 2 4 6 6 . 4 6

CHABT 2 . 3 -80NTH FOBWABD EXCHANGE BATES, PBEfllUH OB DISCOUNT

CANADIAN DOLLAB DEC. 2 4 - 1 . 7 7 U.K. POUND DEC. 2 4 - 4 . 3 9 GERMAN HABK DEC. 2 4 1 . 4 0 FRENCH FBANC DEC. 24 - 3 . 1 4 SWISS FRANC DEC. 2 4 2 . 0 4 DUTCH GUILDEB DEC. 2 4 0 . 3 6 JAPANESE YEN DEC. 24 2 . 1 3 ITALIAN LIBA DEC. 24 - 4 . 4 6


SERIES MAMS LAST fALOE PLOTTED

D U E VALUE

CHART 3 . GOLD PRICE I B LONDON, AFTERNOON FIXIHG

O . S . DOLLARS PES FINE OUNCE DEC. 2 4 3 9 2 . 2 2

CHART 4 . CALL HOMEY RATES

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

DEC. 2 4 DEC. 24 DEC. 24 DEC. 2 4 DEC. 2 4 DEC. 2 4 DEC. 2 4 DEC. 2 4 DEC. 2 4

6 . 3 1 6 . 46

1 0 . 5 2 8 . 2 5 5 . 2 7 4 . 1 9 7 . 5 3 6 . 2 5 1.00

CHART 5 . 3-MONTH INTEREST RATES

U . S . 90-DAY C D ' S . SECONDARY MARKET DEC. 2 4 6 . 2 4 GERMAN INTERBANK LOAN DEC. 24 4 . 7 6 JAPANESE GENSAKI RATE DEC. 2 4 4 . 4 0 CANADIAN FINANCE PAPER DEC. 2 4 8 . 3 7 INTERBANK STERLING DEC. 24 1 1 . 2 9 SWISS INTERBANK LOAN DEC. 2 4 4 . 2 5 FRENCH INTERBANK RATE DEC. 24 7 . 9 8 NETHERLANDS INTERBANK RATE DEC. 2 4 6 . 2 5 WEIGHTED AVERAGE FOREIGN INTEREST RATE DEC. 24 6 . 8 6

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES. LONDON

OVERNIGHT DEC. 24 6 . 4 6 7-DAY DEC. 24 8 . 3 8 1-MONTH DEC. 2 4 7 . 3 1 3-HONTH DEC. 2 4 6 . 5 0 6-MONTH DEC. 2 4 6 . 2 5 1-YEAR DEC. 2 4 6 . 2 1

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

OVERNIGHT EURO-DOLLAR DEPOSITS DEC. 24 6 . 46 U . S . FEDERAL FUNDS DEC. 2 4 6 . 3 1 DIFFERENTIAL DEC. 24 0 . 1 3

3-MONTH EURO-DOLLAR DEPOSIT RATE DEC. 2 4 6 . 5 0 O . S . 90-DAY C D ' S , SECONDARY MARKET DEC. 2 4 6 . 24 DIFFERENTIAL DEC. 24 0 . 26


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH PONDS

EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON), COVERED DIFFERENTIAL

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

DEC. 24 DEC. 2 4 DEC. 2 4

DEC. 2 4 DEC. 2 4 DEC. 2 4

6 . 5 0 6 . 7 7

0 . 2 7

6 . 3 1 6 . 5 6

0 . 2 5

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

DEC. 2 4 DEC. 24 DEC. 2 4

6 . 5 0 6.18 0 . 3 2

EURODOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL

DEC. 24 DEC. 2 4 DEC. 2 4

6 . 5 0 6 . 3 1 0 . 19

CHART 9 . LONG TERM GOVERHENT BOND YIELDS

UNITED STATES GEBHANX JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS (HONTHLI) UNITED KINGDOM

DEC. 19 DEC. 19 DEC. 12 NOV. 2 1 DEC. 5 DEC. 5 OCT. DEC. 19

7 . 12 5 . 85 4 . 7 0 4 . 1 8 9 . 2 1 9 . 4 9 6.22

1 0 . 0 4

U . S . CORPORATE

AAA BONDS JUNE 9 . 13

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

DEC. 17 2 5 4 . 3 6 DEC. 17 2 8 0 . 5 5 DEC. 17 2 9 9 . 9 4 DEC. 17 2 9 2 . 3 7 DEC. 17 1 9 7 . 0 8 DEC. 17 3 4 1 . 5 8 DEC. 17 4 1 2 . 5 6 DEC. 17 4 1 5 . 9 1


FEDERAL RESERVE statistical release

H.10 (512) DBCBMBBB 3 1 , 1986

FOREIGN EXCHANGE RATES

FOB THE MEEK ENDING DBCBMBBB 2 6 , 1 9 8 6

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 ( c m a i K T n i T f s Pea m l l i b i

COUNTRY UNIT DEC. 22 DEC. 23 DEC. 24 DEC. 25 DEC. 26

AUSTRALIA DOLLAB 6 7 . 5 2 6 6 . 4 5 6 6 . 10 6 6 . 10 AUSTRIA SCHILLING 1 3 . 9 4 0 1 3 . 8 3 5 1 3 . 8 7 0 1 3 . 8 2 0 BELGIUM FRANC 4 1 . 2 0 0 4 0 . 9 1 0 4 1 . 1 1 0 4 0 . 8 7 0 BRAZIL CROSADO 1 4 . 7 2 1 4 . 7 5 14 . 75 14. 79 CANADA DOLLAB 1 . 3 7 8 0 1 . 3 7 7 6 1. 3784 1 .3820 CHINA,P .B . IUAM 3 . 7 3 1 4 3 . 7 3 1 4 3 . 7 3 1 4 3 . 7 3 1 4 DENBARK KBOBB 7 . 4 9 5 0 7 . 4 4 5 0 7 . 4775 H 7 . 4 4 3 0 FINLAND MARKKA 4 . 8 7 2 5 4 . 8 5 5 0 4 . 8 5 5 0 4 . 8500 FRANCE FBANC 6 . 4 9 9 0 6 . 4 7 2 5 6 . 4 8 5 0 6 . 4 8 0 0 GEBBANI D. MABK 1 . 9 7 9 0 1 . 9 6 6 0 1. 9680 O 1 .9630 GBBBCB DRACHMA 1 4 0 . 0 0 0 1 3 9 . 1 0 0 1 3 9 . 9 0 0 138 .900 HONG KOBG DOLLAR 7 . 8 0 1 0 7 . 7 9 8 0 7 . 7 9 9 0 7 . 7 9 9 0 INDIA BOPBB 1 3 . 1 3 0 0 1 3 . 1 2 0 0 1 3 . 1 3 0 0 L 13 .1300

IBBLAND POUND 1 3 7 . 3 5 1 3 8 . 2 5 1 3 7 . 6 0 138 .30 ITALI LIRA 1 3 7 3 . 5 0 1 3 6 4 . 2 5 1 3 6 7 . 0 0 1363 .00 JAPAN IBM 1 6 2 . 7 5 1 6 2 . 7 0 1 6 1 . 4 5 ' I 159 .75 HALAISIA BINGGIT 2 . 5 9 9 5 2 . 5 9 6 0 2 . 5 9 6 5 2 . 5 9 4 5 NEXHEBLANDS GUILDBB 2 . 2 3 7 5 2 . 2 2 2 5 2 . 2 2 4 5 2 . 2200

*VEB ZEALAND DOLLAB 5 2 . 7 5 0 5 2 , 1 5 0 5 2 . 2 5 0 D 5 2 . 2 5 0 NORWAY KBONB 7 . 5 3 0 0 7 . 4 8 9 0 7 . 5 0 5 0 7 . 4 8 1 0 PORTUGAL BSCODO 1 4 8 . 5 0 0 1 4 7 . 7 0 0 1 4 7 . 6 0 0 1 4 7 . 2 0 0 SINGAPOBB DOLLAR 2 . 1 8 8 5 2 . 1 8 9 5 2 . 1 8 7 0 A 2 . 1 8 7 5

SOOTH AFRICA BAND 4 4 . 8 5 4 5 . 0 0 4 4 . 98 4 4 . 8 0 SOUTH KOBEA HON 8 6 7 . 0 0 8 6 5 . 6 0 8 6 5 . 5 0 865-40 SPAIN PESETA 1 3 3 . 9 3 0 1 3 3 . 0 5 0 1 3 3 . 2 0 0 I 133 .000 SBI LANKA RUPEE 2 8 . 5 3 3 2 8 . 5 3 3 2 8 . 5 3 0 2 8 . 5 2 7 SWEDEN KRONA 6 . 8 8 6 0 6 . 8 7 2 5 6 . 8 7 9 5 fa.8570 SWITZERLAND FRANC 1 . 6 6 0 0 1 . 6 4 1 5 1 . 6 4 4 0 1 . 6 3 9 0 TAINAN DOLLAR 3 5 . 8 9 0 3 5 . 7 8 0 3 5 . 7 4 0 3 5 . 7 1 0 THAILAND BAHT 2 6 . 2 2 0 2 6 . 1 8 0 2 6 . 2 1 0 2 6 . 2 5 0

UNITED KINGDOM POUND 1 4 4 . 1 5 1 4 5 . 2 5 1 4 5 . 8 5 145 .80

HEBO: 105 .42 #UNITED STATES DOLLAR 1 0 6 . 2 8 1 0 5 . 7 5 1 0 5 . 7 2 0 . 2 5 105 .42

I I O V A A U I A A U A X B V COUNTBJBS. BABCH 1 9 7 3 = 1 0 0 . WEIGHTS ABB 1 9 7 2 - 7 6 GLOBAL TBADB OF EACH Of M B 10 COUNTRIES. SERIES REVISED AS OF AUGUST 1 9 7 8 . FOB DESCRIPTION AMD BACK DATA, SEE lkOBX OF ZBB WEIGHTED-AVERAGE EXCHANGE VALUE OF THE O . S . DOLLABS REVISION" ON PAGE 7 0 0 OF THE AUGUST 1978 FEDERAL RBSBBVB BULLETIN.

VALUE I S U . S . CENTS


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