h13_19860623.pdf

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4

Selected Interest & Exchange Rates Weekly Series of Charts

June 23,1986 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.


RATIO 5 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

J=IOO

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

: A L E X 1973=100

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

RATIO I MARCH 197

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

ITALIAN LIRA

GERMAN MARK

CANADIAN DOLLAR

U.K. POUND

BELGIAN FRANC

JAPANESE YEN r fa ~

I I I I I I

-

DUTCH GUILDER

- FRENCH FRANC

y s -

I I I

-

SWISS FRANC

1984 1986 1984 1986


CHART 2

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


PERCENT PER ANNUM PERCENT PER ANNUM

JAPANESE YEN

12

SWISS FRANC

CANADIAN DOLLAR

4 U. K. POUND

+ 0

4

8

8 GERMAN MARK

4

0

8

FRENCH FRANC

0

8

16

24

32 1984 1986

DUTCH GUILDER

ITALIAN LIRA

24

32 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 C

12.5 Kg BARS AFTERNOON FIXING PRICE

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

2 0

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

:NT PER ANNUM PERCENT PER M

U. S. FEDERAL FUNDS FRANCE

JAPAN

SWITZERLAND

UNITED KINGDOM

NETHERLANDS

CANADA

-

GERMANY

-

r ~ -/WvW-

I I I I I I 11111111111

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 PERCENT PER AN

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

I I I I I I I

CANADIAN FINANCE CO. - PAPER

L -

- -

U.K. INTERBANK STERLING I FRENCH INTERBANK RATE

-

-

I I I

1 -

GERMAN INTERBANK RATE NETHERLANDS INTERBANK RATE

1 1 1

JAPANESE GENSAKIRATE SWISS INTERBANK RATE

-

1 1 1 i l l i i h i l i i

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

EURO CHART 6

-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM PERCENT PER AL

OVERNIGHT 3-MONTH

\ y v / v ~ v

I I I I I I I I I I I V 7-DAY 6-MONTH

1-MONTH 1-YEAR

1984 1986 1984 1986


16

14

12

10

8

6

4

2

1

0

1

16

14

12

10

8

6

4

2

1

+ 0

1

CHART 7

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


NT PER ANNUM PERCENT PER A

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

J 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

J 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

3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD' S

DIFFERENTIAL

I I I 11111111111 11111111111 1984

PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986 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


NT PER ANNUM PERCENT PER Ah

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

J_L DIFFERENTIAL

I i I i I I

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

I I I

DIFFERENTIAL

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


PERC

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 Ah

UNITED STATES

UNITED KINGDOM

JAPAN

U. S. CORPORATE MONTHLY

Aaa BONDS

CANADA

SWITZERLAND

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

GERMANY

1984 1986

v FRANCE

-

- I NETHERLANDS

I

I I I

MONTHLY

I I [ l l l l l l l l l l l l l

-

1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

350 350

300 - - yXx - 300

250 - - -UNITED KINGDOM

J - 250

200 -UNITED STATES y

- - r* - 200

150 - - 150

100 I I I I I I m I i i I i i I i i , , I i i i I I I , , | , ,

100

350 245

300 - n / W - i - 210

250 - r - - f - 175 NETHERLANDS j T * SWITZERLAND j "

200 140

150 - I - - 105

100 M i l I I I 11111111111 I I I I I I < < I < < I M I < < , ,

70

FRANCE

GERMANY

350 350

300 300 CANADA y v

300

250 __ JAPAN - - ^ j \ r - 250

200 - r v - - 200

150 v v f l I I I I I | | | | | | | | | | | I I I I I I 150 150 1984 1986 1984 1986

150


S E R I E S NAME LASI VALUE PLOTTED

DATS VALUE

CHART 1 . SPOT EXCHANGE BATES AND INDICES

WEEKLY AVERAGES, NOON BOXING HATES ( U . S . CENTS)

GERMAN MASK JUNE 18 4 5 . 0 5 JAPANESE YEN JUNE 18 0 . 6 0 0 9 5 DUTCH GUILDER JUNE 18 3 9 . 9 9 U.K. POUND JUNE 18 1 5 1 . 4 2 CANADIAN DOLLAR JUNE 18 7 2 . 0 5 FRENCH FRANC JUNE 18 14 . 12 SWISS FRANC JUNE 18 5 4 . 5 4 BELGIAN FRANC JUNE 18 2 . 2 0 4 7 0 ITALIAN LIRA JUNE 18 0 . 0 6 5 5 9 SWEDISH KRONA JUNE 18 1 3 . 9 0

INDICES, MARCH 1 9 7 3 BASE BATES = 100

GERMAN MARK JUNE 18 1 2 6 . 7 2 JAPANESE YEN JUNE 18 1 5 7 . 3 5 DUTCH GUILDER JUNE 18 1 1 4 . 7 9 O.K. POUHD JUNE 18 6 1 . 2 4 CANADIAN DOLLAR JUNE 18 7 1 . 8 1 FRENCH FRANC JUNE 18 6 3 . 6 5 SWISS FRANC JUNE 18 1 7 5 . 4 5 BELGIAN FRANC JUNE 18 8 6 . 8 8 ITALIAN LIRA JUNE 18 3 7 . 2 6

WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAfl 1973 = 100 1G-10 COUNTRIES PLUS SilTZEBLAND)

U . S . DOLLAR GEBHAH HARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA

JUNE 18 1 1 3 . 2 0 JUNE 18 1 4 9 . 1 7 JUNE 18 1 8 5 . 3 1 JUNE 18 1 2 8 . 6 4 JUNE 18 6 4 . 82 JUNE 18 7 7 . 7 5 JUNE 18 6 7 . 3 7 JUNE 18 1 9 7 . 1 4 JUNE 18 9 5 . 5 6 JUNE 18 3 8 . 3 8 JUNE 18 6 7 . 0 0

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

CANADIAN DOLLAR JUNE 18 - 1 . 6 5 U.K. POUND JUNE 18 - 2 . 68 GERMAN MARK JUNE 1o 2 . 4 6 FRENCH FRANC JUNE 18 - 0 . 40 SWISS FRANC JUNE 18 2 . 0 7 DUTCH GUILDBB JUNE 18 1 . 0 5 JAPANESE YEN JUNE 18 2 . 3 3 ITALIAN LIRA JUNE 18 - 4 . 7 3


SERIES NAME LAS I VALUE PLOT TED

DAIS VALUE

CHART 3 . GOLD PRICE IN LONDON, AFTERNOON FIXING

U . S . DOLLARS PER FINE OUNCE JUNE 18 3 4 1 . 9 5

4 . CALL HONEY RATES

U . S . FEDERAL FUNDS JUNE 18 6 . 87 OVERNIGHT EURO-DOLLAR DEPOSITS JUNE 18 6 . 8 6 U.K. JUNE 18 9 . 97 CANADA JUNE 18 8 . 25 GERMANY JUNE 18 4 . 22 JAPAN JUNE 18 4 . 3 5 FRANCE JUNE 18 7 . 3 2 NETHERLANDS JUNE 18 5 . 8 9 SWITZERLAND JUNE 18 1 .00

CHART 5 . J-MONTH INTEREST BATES

U . S . 90-DAY C D ' S , SECONDARY MARKET JUNE 18 6 . 7 2 GERMAN INTERBANK LOAN JUNE 18 4 . 55 JAPANESE GENSAKI RATE JUNE 18 4 . 6 4 CANADIAN FINANCE PAPER JUNE 18 8 . 6 6 INTERBANK STERLING JUNE 18 9 . 7 1 SWISS INTERBANK LOAN JUNE 18 4 . 85 FRENCH INTERBANK RATE JUNE 18 7 . 25 NETHERLANDS INTERBANK BATE JUNE 18 5 . 8 5 WEIGHTED AVERAGE FOREIGN INTEREST RATE JUNE 18 6 . 6 7

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT JUNE 18 6 . 8 6 7-DAY JUNE 18 6 . 9 4 1-MONTH JUNE 18 6 . 96 3-MONTH JUNE 18 6 . 9 4 6-MONTH JUNE 18 6 . 9 6 1-YEAR JUNE 18 7 . 13

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

OVERNIGHT EURO-DOLLAR DEPOSITS JUNE 18 6 . 86 U . S . FEDERAL FUNDS JUNE 18 6 . 87 DIFFERENTIAL JUNE 18 - 0 . 01

3-MONTH EURO-DOLLAR DEPOSIT RATE JUNE l b 6 . 94 U . S . 90-DAY C D ' S , SECONDARY MARKET JUNE 18 6 . 72 DIFFERENTIAL JUNE 18 0 . 22


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT JUNE 18 6 . 9 4 INTERBANK STERLING (LONDON), COVERED JUNE 18 6 . 9 7 DIFFERENTIAL JUNE 18 - 0 . 0 J

U-S . COMMERCIAL PAPER JUNE 18 6 . 7 3 CANADIAN FINANCE PAPER, COVERED JUNE 18 6 . 9 8 DIFFERENTIAL JUNE 18 - 0 . 2 5

EURO-DOLLAR DEPOSIT JUNE 18 6 . 9 4 INTERBANK DM (FRANKFURT), COVERED JUNE 18 7 . 0 4 DIFFERENTIAL JUNE 18 - 0 . 10

EURO-DOLLAR DEPOSIT JUNE 18 6 . 9 4 SWISS INTERBANK, COVERED JUNE 18 6 . 9 5 DIFFERENTIAL JUNE 18 - 0 . 0 1

CHART 9 . LONG TERM GOVESMENT BOND YIELDS

UNITED STATES JUNE 13 7 . 9 8 GERMANY JUNE 13 5 . 8 6 JAPAN (MONTHLY) JUNE 13 5 . 12 SWITZERLAND MAY 16 4 . 37 CANADA JUNE 6 9 . 75 FRANCE MAY 2 3 a . 12 NETHERLANDS (MONTHLY) MARCH 6 . 4 4 UNITED KINGDOM JUNE 13 8 . 8 0

U . S . CORPORATE

AAA BONDS APRIL 8 . 7 9

CHART 10 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

JUNE 11 2 5 0 . 27 JUNE 11 2 8 6 . 05 JUNE 11 3 0 4 . 0 3 JUNE 11 2 7 8 . 60 JUNE 11 1 8 6 . 15 JUNE 11 3 3 7 . 3 8 JUNE 11 3 4 8 . 86 JUNE 11 3 5 0 . 00


FEDERAL RESERVE statistical release

H.10 (512)

FOREIGN EXCHANGE RATES JUIIB 2 3 , I f o b

FOB THE SEEK ENDIBG JOKE 2 0 , 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:

COUNTBI HONETABI [ rnnnFi i rT n s r i s PER nni.i iD\

COUNTBI UNIT JONB 16 JONE 17 JONB 18 JUNE 11# JUNE 20

AUSTBALIA DOLLAB 65#.51 6 9 . 3 1 6 9 . 2 0 6 9 . 2 5 6 9 . 0 b AUSTB1A SCHILLING 1 5 . 4 0 0 1 5 . 7 4 0 1 5 . 7 6 0 1 5 . 6 7 0 1 5 . 7 8 0 BELGIUM FBANC 415.010 * 5 . 7 6 0 4 5 . 7 6 0 4 5 . 6 7 0 4 5 . 9 2 0 BHAilL CB04ADO 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 CANADA DOLLAB 1 . 3 8 6 0 1 . 3 9 0 8 1 . 3 9 1 7 1 . 3 9 4 7 1 . 3 8 7 5 CHINA,P.B. I0AN 3 . 2 0 9 5 3 . 2 0 9 5 3 . 2 1 2 7 3 . 2 1 2 7 3 . 2 1 ^ 7 DENHABK KBOME 8 . 1 7 5 0 8 . 3 0 7 0 8 . 3 1 7 5 8 . 3 0 0 0 8 . 3 4 1 0 FINLAND HABKKA 5 . 1 3 8 0 5 . 2 1 6 0 5 . 2 0 3 0 5 . 1 9 5 0 5 . 2 3 7 0 FBAICE FBANC 7 . 0 1 8 0 7 . 1 4 5 0 7 . 1 5 0 0 7 . 1 2 8 0 7 . 1 b 7 5 GEBHAil D. HABK 2 . 2 0 1 0 2 . 2 4 0 5 2 . 2 4 0 5 2 . 2 3 3 0 2 . 2 4 6 0 GBEECE DHACHHA 1 3 9 . 0 0 0 1 4 0 . 3 0 0 1 4 1 . 5 0 0 1 4 1 . 3 0 0 1 4 1 . 7 5 0 HONG EONG DOLLAB 7 . 8 0 8 0 7 . 8 1 0 5 7 . 8 1 0 0 7 . 8 1 0 5 7 . 8 0 9 5 INDIA BOPEE 1 2 . 5 3 0 0 1 2 . 6 2 0 0 1 2 . 6 2 0 0 1 2 . 6 2 0 0 1 2 . 6 5 0 0

IBELAND POOND 1 3 7 . 6 8 1 3 6 . 1 8 1 3 5 . 4 5 1 3 5 . 6 8 1 3 4 . 9 7 ITALX LIBA 1 5 1 4 . 0 0 1 5 3 6 . 0 0 1 5 3 7 . 0 0 1 5 3 4 . 0 0 154V.00 JAPAN TEN 1 6 5 . 5 0 1 6 7 . 8 0 1 6 7 . 6 5 1 6 6 . 8 8 1 6 7 . 7 0 HALAXSIA BIHGGIT 2 . 6 0 9 5 2 . 6 1 9 0 2 . 6 2 5 0 2 . 6 2 7 0 2 . 6 2 7 0 NETHEBLANDS GOILDEB 2 . 4 8 0 5 2 . 5 2 4 0 2 . 5 2 4 0 2 . 5 1 4 0 2 . 5 2 9 0

NEH ZEALAND DOLLAB 5 3 . 5 5 0 5 3 . 5 0 0 5 3 . 7 0 0 5 3 . 1 5 0 5 2 . 9 0 0 10BHAI SBONB 7 . 5 3 7 0 7 . 6 2 8 0 7 . 6 3 5 0 7 . 6 2 2 5 7 . 6 4 4 0 POBTOGAL ESCODO 1 4 9 . 5 0 0 1 5 1 . 0 5 0 1 5 1 . 7 5 0 1 5 1 . 5 0 0 1 5 2 . 0 5 0 SINGAPOBB DOLLAB 2 . 2 1 9 0 2 . 2 2 7 0 2 . 2 2 8 5 2 . 2 2 5 5 2 . 2 2 5 5

SOOTH AFBICA BAND 3 8 . 5 0 4 0 . 5 5 4 2 . 5 0 4 0 . 5 0 4 0 . 5 0 SOOTH EOEEA HON 8 9 0 . 6 0 8 9 0 . 1 0 8 9 0 . 6 0 8 9 0 . 1 0 8 9 0 . 4 0 SPAIN PESETA 1 4 1 . 1 0 0 1 4 3 . 2 0 0 1 4 3 . 5 0 0 1 4 J . 1 0 0 1 4 3 . 8 5 0

*SBI LANKA BOPEE 2 7 . 9 6 2 2 7 . 9 6 7 2 7 . 9 7 0 2 7 . 9 6 7 2 7 . 9 6 7 SHEDEN EBONA 7 . 1 5 1 0 7 . 2 4 2 0 7 . 2 4 0 0 7 . 2 2 7 5 7 . 2 6 1 0 SH1T1EBLA1D FBANC* 1 . 0 1 6 0 1 . 8 5 3 0 1 . 8 5 0 0 1 . 8 4 0 0 1 . 8 4 7 5 TAINAN DOLLAB 3 8 . 1 5 0 3 8 . 1 5 0 3 8 . 1 5 0 3 8 . 1 5 0 NA THAILAND BAHT 2 6 . 3 3 0 2 6 . 3 6 0 2 6 . 4 0 0 2 6 . 3 8 0 2 6 . 3 8 0

UNITED KIHGDOH POOND 1 5 2 . 3 0 1 5 0 . 1 5 1 5 0 . 0 0 150 3 5 1 4 9 . 9 0

HEHOS 1 1 3 . 8 3 1 1 4 . 3 0 UNITED STATES DOLLAB 1 1 2 . 4 2 1 1 4 . 1 2 1 1 4 . 1 3 1 1 3 . 8 3 1 1 4 . 3 0

INDEX OF NEIGHS EXCHANGE fALOE OF B . S . DOJ LLAB AGAINST COBBENCIBS OF OTHEE G-10 COONTBISS. HABCH 1 9 7 3 1 0 0 . MIGHTS ABB 1 9 7 * - J 6 GLOBAL I B ABE OF EACH OF THE 10 COtiMBISS. SEBIES BBYISED AS OF AUGUST 1 9 7 8 . FOB DESCBIPTION AND SACK DATA, SEE " l i t i Z X OF THE 2ZGHTBD-AY2BA6E EXCHANGE f ALOE OF THE O . S . DOLLAB: 1EWISIOH* OH PAGE 7 0 0 OF THE AH68ST 1978 FED8BA1 BESEBVB B0LLET1H.

VALUE I S O . S . CSHTS


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