h13_19860630.pdf

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Selected interest &. Exchange Rates Weekly Series of Charts

June 30,1986

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

I

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.


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

: A L E 9 7 3 = 1 0 0

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

RATIO : MARCH 1 9 7

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

JAPANESE YEN GERMAN MARK

DUTCH GUILDER CANADIAN DOLLAR

U.K. POUND FRENCH FRANC

BELGIAN FRANC 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

I I I I I 0

8

FRENCH FRANC

0

8

16

24

32

1984 1986

DUTCH GUILDER

ITALIAN LIRA

24

32

1984 1986


U.S. DC

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

LARS PER F INE OUNCE U.S. D O L L A R S PER FINE C

12.5 Kg BARS AFTERNOON FIXING PRICE

1986 1985 1984 1983


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 t

U. S. FEDERAL FUNDS I FRANCE

-

-

JAPAN

I I I I I I I I I I I I I I I I I I I 11111111111

SWITZERLAND

UNITED KINGDOM

NETHERLANDS

CANADA

GERMANY

r

1984 1986 1984 1986


PER(

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 AH

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

U.K. INTERBANK STERLING

CANADIAN FINANCE CO PAPER

/A ' FRENCH INTERBANK RATE

-

NETHERLANDS INTERBANK RATE GERMAN INTERBANK RATE

SWISS INTERBANK RATE JAPANESE GENSAKIRATE

I I I I I II I I 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

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM PERCENT PER AL

3-MONTH OVERNIGHT

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: F L U S H , FAVORS BORROWING IN U. S.


NT PER ANNUM PERCENT PER A

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

111111111111 I I

3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD' S

i i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

DIFFERENTIAL

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 1 I l 1984

PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986

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

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: FLUSH, INDICATES FAVOR DOLLAR ASSETS


NT PER ANNUM PERCENT PER AH

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL DIFFERENTIAL

I I I I l u l l I I

INTERBANK DM COVERED FRANKFURT

EURO-DOLLAR DEPOSITS DASHED LINE

DIFFERENTIAL

/ y v \ y v A

I I I I I I

A / w V V ^

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS DASHED L INE

DIFFERENTIAL

1984 1986 1984 1986

PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE


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 A h

UNITED STATES CANADA

UNITED KINGDOM SWITZERLAND

GERMANY

JAPAN

U. S. CORPORATE MONTHLY

Aaa BONDS

, FRANCE

-

- I NETHERLANDS

MONTHLY

I I I

1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO S C A L E 1 9 6 9 = 1 0 0

RATIO S C A L E 1 9 6 9 = 1 0 0

I UNITED STATES -

I I I I I I I I I I I m I i i I m I i i

UNITED KINGDOM

NETHERLANDS

.

; SWITZERLAND j "

i i i I I I

-

FRANCE

GERMANY

3 5 0 3 5 0

3 0 0 3 0 0 CANADA j o

3 0 0

2 5 0 - JAPAN - - 2 5 0

2 0 0 - r v - - 2 0 0

150 v f l I I I I I n l i 1 1 , , 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 150 1984 1986 1 9 8 4 1 9 8 6


SERIES NAME LAST VALUE PLOTTED

DATS VALUE

CHART 1 . SPOT EXCHANGE BATES AND INDICES

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

GERMAN MARK JUNE 2 5 4 4 . 7 8 JAPANESE YEN JUKE 2 5 0 . 5 9 8 6 5 DUTCH GUILDER JUNE 2 5 3 9 . 7 7 U.K. POUND JUNE 2 5 1 5 0 . 70 CANADIAN DOLLAR JUNE 2 5 7 2 . 0 2 FRENCH FRANC JUNE 2 5 1 4 . 0 4 SWISS FRANC JUNE 2 5 5 4 . 4 8 BELGIAN FRANC JUNE 2 5 2 . 1 9 0 6 6 ITALIAN LIRA JUNE 2 5 0 . 0 6 5 2 5 SWEDISH KRONA JUNE 2 5 1 3 . 8 6

I N D I C E S , MARCH 1 9 7 3 BASE BATES = 100

GERMAN MARK JUNE 2 5 1 2 5 . 97 JAPANESE IEN JUNE 2 5 1 5 6 . 75 DUTCH GUILDES JUNE 2 5 1 1 4 . 16 O.JU POUND JUNE 2 5 6 0 . 95 CANADIAN DOLLAR JUNE 2 5 7 1 . 7 8 FRENCH FRANC JUNE 2 5 6 3 . 26 SWISS FRANC JUNE 2 5 1 7 5 . 26 BELGIAN FRANC JUNE 2 5 8 6 . 3 2 ITALIAN LIRA JUNE 2 5 3 7 . 0 7

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAR 1 9 7 3 = 100 (G 10 COONTHIES PLUS SWITZERLAND)

U . S . DOLLAR JUNE 2 5 1 1 3 . 7 3 GERMAN MARK JUNE 2 5 1 4 8 . 7 8 JAPANESE YEN JUNE 2 5 1 8 5 . 2 8 DUTCH GUILDER JUNE 2 5 1 2 8 . 3 9 II. 1U POUND JUNE 2 5 6 4 . 7 4 CANADIAN DOLLAR JUNE 2 5 7 8 . 02 FRENCH FBANC JUNE 2 5 6 7 . 19 SWISS FRANC JUNE 2 5 1 9 7 . 6 7 BELGIAN FBANC JUNE 2 5 9 5 . 2 9 ITALIAN LIRA JUNE 2 5 3 8 . 3 1 SWEDISH KRONA JUNE 2 5 6 7 . 00

CHART 2 . 3-MONTH FORWARD EXCHANGE

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

E S , PREMIUM OS DISCOUNT

JUNE 2 5 - 1 . 77 JUNE 2 5 - 2 . 76 JUNE 2 5 2 . 4 1 JUNE 2 5 - 0 . 3 7 JUNE 2 5 1 . 5 0 JUNE 2 5 0 . 8 8 JUNE 2 5 2 . 3 1 JUNE 2 5 - 4 . 8 5


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 3 . GOLD PRICE I S LONDON, AFTERNOON FIXING

U . S . DOLLARS PER F I N E OUNCE J O S E 2 5 3 4 1 . 2 1 t

CHART 4 . CALL HONEY RATES

U . S . FEDERAL FUNDS JUNE 2 5 6 . &6 OVERNIGHT EURO-DOLLAR DEPOSITS JUNE 2 5 6 . 9 3 U. K, JUNE 2 5 1 0 . 9 0 CANADA JUNE 2 5 8 . 1 5 GERMANY JUNE 2 5 4 . 2 5 JAPAN JUNE 2 5 4 . 3 0 FRANCE JUNE 2 5 7 . 10 NETHERLANDS JUNE 2 5 6 . 3 1 SWITZERLAND JUNE 2 5 1 . 0 0

CHART 5 . JMONTH INTEREST RATES

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

( G - 1 0 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT JUNE 2 5 6 . 9 3 7-DAY JUNE 2 5 6 . 9 8 1-MONTH JUNE 2 5 6 . 9 6 3-MONTH JUNE 2 5 6 . 9 1 6-HONTH JUNE 2 5 6 . 9 1 1-YEAR JUNE 2 5 7 . 0 4

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

OVERNIGHT EURO-DOLLAR DEPOSITS JUNE 2 5 6 . 9 3 U . S . FEDERAL FUNDS JUNE 2 5 6 . 8 6 DIFFERENTIAL JUNE 2 5 0 . 0 7

3-MONTH EURO-DOLLAR DEPOSIT RATE JUNE 2 5 6 . 9 1 U . S . 90-DAY C D ' S * SECONDARY MARKET JUNE 2 5 6 . 6 6 DIFFERENTIAL JUNE 2 5 0 . 2 5


S E R I E S NAME LAST VALUE PLOTTED

DATS VALUE

CHART 8 . INTEREST ARBITRAGE, 3 -SONTi i FUNDS

EURO-DOLLAR DEPOSIT JUNE 2 5 6 . 9 1 INTERBANK STERLING (LONDON), COVERED JUNE 2 5 6 . 94 DIFFERENTIAL JUNE 2 5 - 0 . 0 3

U . S . COMMERCIAL PAPEJ2 JUNE 2 5 6 . 6 5 CANADIAN FINANCE PAPER, COVERED JUNE 2 5 6 . 8 7 DIFFERENTIAL JUNE 2 5 - 0 . 2 2

EURODOLLAR DEPOSIT JUNE 2 5 6 . 9 1 INTERBANK DM (FRANKFURT) , COVERED JUNE 2 5 7 . 0 4 DIFFERENTIAL JUNE 2 5 - 0 . 1 2

EURO-DOLLAR DEPOSIT JUNE 2 5 6 . 9 1 SWISS INTERBANK, COVERED JUNE 2 5 6 . 8 4 DIFFERENTIAL JUNE 2 5 0 . 0 7

CHART y . LONG TERM GOVERMENT BOND YIELDS

UNITED STATES JUNE 2 0 7 . 6 2 GERMAN* JUNE 2 0 5 . 8 9 JAPAN (MONTHLY) JUNE 2 0 5 . 1 2 SWITZERLAND JUNE 6 4 . 4 8 CANADA JUNE 2 0 9 . 4 9 FRANCE JUNE 2 0 8 . 9 6 NETHERLANDS (MONTHLY) MARCH 6 . 4 4 UNITED KINGDOM JUNE 2 0 8 . 9 2

U . S . CORPORATE

AAA BONDS A P R I L 8 . 7 9

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

ONITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

JUNE 18 2 5 3 . 2 8 JUNE 18 2 9 4 . 6 2 JOJf S 1 8 3 0 3 . 7 2 J ONE 1 8 2 9 0 . 4 5 JUNE 1 8 1 8 9 . 4 0 JUNE 18 3 4 0 . 5 0 JUNE 1 8 3 4 6 . 7 5 JUNE 1 8 3 5 2 . 4 3


FEDERAL RESERVE statistical release

H.10 (512)

FOREIGN EXCHANGE RATES JUNE 2 7 , 198b

FOR TBb WEEK ENDING JUNE 2 7 , 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

UNIT (CUMSNCY UNI

JUNE 2 3 JUNE 2 4 S PER DOLLAR)

JUNE 2 5 JUNE 2 b JUNE 2 7

AUSTRALIA AUSTRIA BELGIUM BRAZIL CANADA CHIWA,P. R. DENMARK FINLAND FRANCE GERMANI GREECE HONG KONG INDIA

IRELAND ITALY JAPAN MALAYSIA NETHERLANDS

NEB ZEALAND NORWAY PORTUGAL SINGAPORE

SOUTH AFRICA SOUTH KOREA SPAIN S R I LANKA SWEDEN SWITZERLAND TAIWAN THAILAND

UNITED KINGDOM

MEMO: #UNITED STATES

DOLLAR SCHILLING FRANC CRU2AD0 DOLLAR YUAN KRONE MARKKA FRANC Dm MARK DRACHMA DOLLAR RUPEE POUND LIRA YEN RINGGIT GUILDER DOLLAR KRONE BSCUDO DOLLAR RAND WON PESETA RUPEE KRONA FRANC DOLLAR BAHT POUND

DOLLAR

68-1 5 . 4 5 . 13-

1-3 -8. 5 -7 . 2-

1 4 2 -7-

12. 1 3 4 -

1 5 4 2 . 1 6 7 .

2. 2.

5 3 . 7 .

1 5 2 . 2 -

3 8 , 8 9 0 , 1 4 4 .

2 7 -7 , 1.

3 8 , 26.

1 4 9 .

2 5 810 9 7 0 8 4 3 8 8 0 2 1 2 7 3 5 0 0 2 1 0 0 1 7 3 0 2 4 9 0 9 5 0 8 1 2 0 7 1 0 0 10 00 9 0 6 3 4 0 5 3 2 5 0 5 0 6 5 0 0 8 5 0 2280 9 0 9 0 600 9 7 0 2 4 5 0 8 4 9 0 1 5 0 4 3 0 9 5

6 7 -15 . 4 5 . 13 .

1. 3 . 8. 5 . 7 . 2.

1 4 0 . 7 .

12. 1 3 6 .

1 5 2 5 . 1 bo ,

2. 2.

5 3 . 7 .

1 5 1 , 2.

3 8 . 8 9 0 . 1 4 2 .

2 7 . 7 . 1,

3 8 , 26.

1 5 1 ,

9 0 620 4 0 0 8 4 3 8 6 2 2 0 9 5 2 4 7 0 1660 0 8 4 0 2220 5 0 0 8 1 0 5 5 8 0 0 1 3 2 5 6 5 6 2 0 5 5 0 3 0 5 5 0 5 8 0 0 000 2 1 9 5 7 0 5 0 2 5 0 9 6 5 1 8 5 0 8 2 4 0 1 5 0 3 7 0 6 5

1 1 4 . 3 7 1 1 3 . 2 1

66. 80 1 5 . 5 8 0 4 5 . 2 9 0 1 3 . 8 4

1 . 3 8 6 0 3 . 2 0 9 5 8 . 2 2 5 0 5 . 1 5 0 0 7 . 0 6 8 0 2.2160

1 4 0 . 4 0 0 7 . 8 1 1 0

1 2 . 5 2 0 0 1 3 6 . 3 0

1 5 2 0 . 0 0 166.10

2 . 6 2 7 5 2 . 4 9 5 5

5 2 . 8 0 0 7 . 5 6 5 0

1 5 0 . 5 5 0 2 . 2 1 6 5

3 9 . 4 0 8 9 0 . 00 1 4 1 . 7 0 0

2 7 . 9 7 3 7 . 1 7 0 0 1.8160

3 8 . 1 5 0 2 6 . 3 7 0

1 5 1 . 6 5

1 1 2 . 9 6

66 15 4 5 13

1 3, 8, 5, 7 2,

1 4 0 7

12 1 3 5

1 5 2 6 1 6 b

2 2,

5 3 7

1 5 1 2

3 9 8 8 9 , 1 4 2

27 , 7 1

3 8 26

1 5 1

7 3 , 6 3 0 , 4 2 0 . 8 4 , 3 9 4 5 , 2 0 9 5 , 2 4 6 5 , 1 b 7 5 ,0880 ,2210 , 8 5 0 , 8 1 0 5 , 5 6 0 0 ,80 , 2 0 , 1 0 , 6 3 6 5 , 5 0 3 0 ,220 , 5 7 5 0 ,100 ,2160 , 5 5 , 5 0 , 7 0 0 , 9 9 7 ,1800 , 8 1 9 5 , 1 5 0 3 5 0

, 9 5

6 7 . 15-4 5 -1 3 .

1-3-8. 5-7 . z .

1 4 0 . 7-

12. 1 3 7 .

1 5 1 4 . 1 6 5 .

2 . 2.

5 4 . 7-

1 5 0 . 2.

4 0 . 8 8 9 . 1 4 1 . 28.

7 . 1-

3 8 , 2b.

1 5 2 .

0 3 4 9 0 060 84 3 8 8 5 20 9 5 1820 1 2 9 b 0 3 2 5 20 4 0 4 0 0 8110 5 4 0 0 08 25 43 6 3 3 0 4 8 5 0 0 5 0 5 3 0 0 7 5 0 2010 00 40 4 0 0 012 1 4 1 0 8080 150 3 5 0 9 0

1 1 3 . 1 9 1 1 2 . 4 5

#INDEX OF WEIGHTED AV2RAG2 21CHAMGB VALUE Of U . S . ftOLllB AGAINST CURRENCIES OF OTHER ti-IU COUNTRIES. MARCH 1 9 7 3 = 1 0 0 . WEIGHTS ARE 1 9 7 2 - 7 6 GLOBAL TRADE OF BACH OF THE 10 COUNTRIES. SERIES REVISED AS OF AUGUST 1 9 7 8 . FOR DESCRIPTION AND BACK DATA, SEE "INDEX OF THE WEIGHTED-AVERAGE EXCHANGE VALUE OF THE U . S . DOLLAR: REVISION" ON PAGE 7 0 0 OF THE AUGUST 1 9 7 8 FEDERAL RESERVE BULLETIN.

VALUE I S U . S . CENTS


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