h13_19860818.pdf

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Selected Interest &. Exchange Rates Weekly Series of Charts

A u g u s t 1 8 , 1 9 8 6 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

k

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 9 0

80

7 0

60

9 0

80

7 0

60

50

4 0

120

100 9 0

80

7 0

60

5 0

1=100

5 0 4 5

4 0

3 5

3 0

2 5

200 180

160

140

120

100

80

140

120

100 9 0

80

7 0

60

9 0

80

7 0

60

5 0

4 0

2 4 0

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

:ALE 973=100

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

RATIO MARCH 197

ITALIAN LIRA

JAPANESE YEN GERMAN MARK

DUTCH GUILDER CANADIAN DOLLAR

U.K. POUND FRENCH FRANC

BELGIAN FRANC SWISS FRANC

1984 1986 1984 1986


4

0

4

8

4

+ 0

4

8

8

4

0

8

+ 0

8

16

24

3 2

8

4

0

4

12

8

4

0

8

4

0

8

0

8

16

2 4

3 2

CHART 2

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


ENT PER ANNUM PERCENT PER Ah

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

FRENCH FRANC

JAPANESE YEN

A

I I I I I | I I | I I | I I

ITALIAN LIRA

I I I

SWISS FRANC

,

I I I I I I

(VS -

DUTCH GUILDER

1984 1986 1984 1986


U.S. c 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 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 M

U. S. FEDERAL FUNDS

1 1 1 I I

UNITED KINGDOM

NETHERLANDS

I I I I 1984

FRANCE

JAPAN

I I I I I

SWITZERLAND CANADA

A ~ /\l l _ _ l \^\ JV I I I I I I

I I

1986

GERMANY

VWwv

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

U.K. INTERBANK STERLING

I I I I I I

CANADIAN FINANCE CO. PAPER

JL -

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

-

I FRENCH INTERBANK RATE

-

I I I I I I

1 -

GERMAN INTERBANK RATE

I I I I I I l u l l

JAPANESE GENSAKI RATE / \ i -

1 1 1 1 1 1

\ -

NETHERLANDS INTERBANK RATE

1 1 1 1 1 1

-

SWISS INTERBANK RATE

A , , Z v A X . V s "

1 1 1 I I I

1984 1986 1984 1986


PER

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

:NT PER ANNUM PERCENT PER Af

OVERNIGHT 3-MONTH

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 Al

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

I I I M I I I I M I I I I I I l l I I I I I I

DIFFERENTIAL

l l l 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

1984

PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986

3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD S

I I I I I I I I I I I

DIFFERENTIAL

'~vVV>AAV

PERC

18

14

10

6

2

2

+ 0

2

18

14

10

6

2

2

0

2

18

14

10

6

2

2

4-0

2

18

14

10

6

2 2

+ 0

2

CHART 8

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


r r PER ANNUM PERCENT PER AN

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

DIFFERENTIAL

I I I I I I

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


1 1 I I

DIFFERENTIAL

1 I 1 I I

I I I I

SWISS INTERBANK (SF) COVERED


1 I I I I I I I

DIFFERENTIAL

1984 1986

1 PERCENT ON D IFFERENTIAL S C A L E = 2 PERCENT ON RATE S C A L E

1984 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 AN

UNITED STATES __ CANADA

I I I

-

UNITED KINGDOM

Vv i i i 1 1 1

v: SWITZERLAND

_ JAPAN -

I I I I I I I I I I I I I I I I I I I I M l I I I I I I

GERMANY

I I I I I I

U. S. CORPORATE MONTHLY

Aaa BONDS

1984 1986

, FRANCE

-

I NETHERLANDS

i

I I I

MONTHLY

I I I n m t r r l 11111

1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERES

RATIO SCALE RATIO SCALE 1969=100 1969=100

350 350

300 - - 300

250 h_ 250 250 UNITED KINGDOM /

UNITED STATES / 200

~

200

150 - 150

100 I I I ^ i i i i i i I I I i i l i i l n l i i 100

350 ~z 245

300 - , - 4 - 210

250 - r - r v - 175 NETHERLANDS SWITZERLAND / * /

200 140

150 - J - - 105

100 r I I I i i i I I I I I I 70

450 450 400 - A - - 400 350 - / ~~ - 350

300 - I - - A A - 300

250 - J - - r - 250

200 - , i FRANCE V

200 GERMANY - / /

150 z"' - 150

100 A i i I I I M i n i . > h . M I I I I I 111111111. i ,, 100 CANADA

1984 1986 1984 1986


S E B I E S NAME LAST VALUE PLOTTED

DATE VALUE

CHABT 1 . SPOT EXCHANGE B A T E S AND I N D I C E S

WEEKLY AVERAGES, NOON BUYING B A T E S

GERMAN MABK J A P A N E S E YEN DUTCH GUILDEB U . K . POUND CANADIAN DOLLAB FRENCH FRANC S W I S S FBANC BELGIAN FBANC I T A L I A N L I B A SWEDISH KBONA

( U . S . CENTS)

AUG. 1 3 4 8 . 3 2 AUG. 1 3 0 . 6 4 8 7 5 AUG. 1 3 4 2 . 8 9 AUG. 1 3 1 4 8 . 11 AUG. 1 3 7 2 . 1 3 AUG. 1 3 1 4 . 8 8 AUG. 1 3 5 9 . 9 5 AUG. 1 3 2 . 3 3 3 6 3 AUG. 1 3 0 . 0 7 0 2 4 AUG. 1 3 1 4 . 3 9

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

GERMAN MARK AUG. 1 3 1 3 5 . 9 4 J A P A N E S E YEN AUG. 1 3 1 6 9 . 8 6 DUTCH GUILDEB AUG. 1 3 1 2 3 . 14 U . K . POUND AUG. 1 3 5 9 . 9 1 CANADIAN DOLLAB AUG. 1 3 7 1 . 8 9 FRENCH FBANC AUG. 1 3 6 7 . 0 3 S W I S S FRANC AUG. 1 3 1 9 2 . 8 7 BELGIAN FRANC AUG. 1 3 9 1 . 9 6 I T A L I A N L I R A AUG. 1 3 3 9 . 9 0

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAB 1 9 7 3 = 1 0 0 ( G - 1 0 COUNTBI.&S P L U S SWITZEBLAND)

U . S . DOLLAB AUG. 1 3 1 0 7 . 7 1 GERMAN HABK AUG. 1 3 1 5 4 . 8 4 J A P A N E S E YEN AUG. 1 3 1 9 3 . 2 4 DUTCH GUILDEB AUG. 1 3 1 3 2 . 9 9 U . K . POUND A U G . . 1 3 6 0 . 5 9 CANADIAN DOLLAB AUG. 1 3 7 4 . 6 3 FRENCH FRANC AUG. 1 3 6 8 . 3 4 S W I S S FBANC AUG. 1 3 2 0 8 . 7 4 BELGIAN FRANC AUG. 1 3 9 7 . 3 6 I T A L I A N L I R A AUG. 1 3 3 9 . 6 1 SWEDISH KBONA AUG. 1 3 6 6 . 6 4

CHABT 2 . 3 -MONTH FOBWARD EXCHANGE B A T E S , PREMIUM OB DISCOUNT

CANADIAN DOLLAB AUG. 1 3 - 2 . 3 0 U. K . POUND AUG. 1 3 - 3 . 4 3 GERMAN MARK AUG. 1 3 1 . 8 0 FRENCH FBANC AUG. 1 3 - 0 . 8 4 S W I S S FBANC AUG. 1 3 1 - 9 3 DUTCH G U I L D E B AUG. 1 3 0 . 8 7 J A P A N E S E YEN AUG. 1 3 1 . 6 0 I T A L I A N L I B A AUG. 1 3 - 4 . 6 5


LAST VALUE PLOTTED S E R I E S NAME DATE VALUE

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

U . S . DOLLARS PER F I S E OUNCE AUG. 1 3 3 7 8 . 1 2

4 . CALL MONEY RATES

U . S . FEDERAL FUNDS AUG. 1 3 6 . 3 1 OVERNIGHT EURO-DOLLAR D E P O S I T S AUG. 1 3 6 . 3 2 U. K. AUG. 1 3 9 . 8 0 CANADA AUG. u 8 . 2 5 GERMANY AUG. 1 3 4 . 4 4 JAPAN AUG. 1 3 4 . 6 0 FRANCE AUG. 1 3 7 . 0 6 NETHERLANDS AUG. 1 3 5 . 8 3 SWITZERLAND AUG. 1 3 1 . 0 0

CHART 5 . 3MONTH I N T E R E S T RATES

U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET AUG. 1 3 6 . 12 GERMAN INTERBANK LOAN AUG. 1 3 4 . 6 0 J A P A N E S E GENSAKI RATE AUG. 1 3 4 . 6 7 CANADIAN F I N A N C E PAPER AUG. 1 3 8 . 5 5 INTERBANK S T E R L I N G AUG. 1 3 9 . 8 4 S W I S S INTERBANK LOAN AUG. 1 3 4 . 4 2 FRENCH INTERBANK RATE AUG. 1 3 7 . 1 3 NETHERLANDS INTERBANK RATE AUG. 1 3 5 . 4 1 WEIGHTED AVERAGE FOREIGN I N T E R E S T RATE AUG. 1 3 6 . 5 8

( G - 1 0 C O U N T R I E S P L U S SWITZERLAND)

CHART 6 . EURO-DOLLAR D E P O S I T R A T E S : LONDON

OVERNIGHT AUG. 1 3 6 . 3 2 7 -DAY AUG. 1 3 6 . 3 5 1-MONTH AUG. 1 3 6 . 3 3 3-MONTH AUG. 1 3 6 . 2 6 6-MONTH AUG. 1 3 6 . 2 6 1 - Y E A R AUG. 1 3 6 . 3 8

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

OVERNIGHT EURO-DOLLAR D E P O S I T S AUG. 1 3 6 . 3 2 U . S . FEDERAL FUNDS AUG. 1 3 6 . 3 1 D I F F E R E N T I A L AUG. 1 3 0 . 0 2

3-MONTH EURO-DOLLAR D E P O S I T RATE AUG. 1 3 6 . 2 6 U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET AUG. 1 3 6 . 12 D I F F E R E N T I A L AUG. 1 3 0 . 1 4


S E R I E S NAME L A S T VALUE PLOTTED

DATE VALUE

CHART 8 . I N T E R E S T A R B I T R A G E , 3-MONTH FUNDS

EURO-DOLLAR D E P O S I T AUG. 1 3 6 . 2 6 INTERBANK S T E R L I N G ( L O N D O N ) , COVERED AUG. 1 3 6 . 3 2 D I F F E R E N T I A L AUG. 1 3 - 0 . Ob

U . S . COMMERCIAL PAPER AUG. 1 3 6 . 1 3 CANADIAN F I N A N C E P A P E R , COVERED AUG. 1 3 6 . 2 0 D I F F E R E N T I A L AUG. 1 3 - 0 . 0 7

EURO-DOLLAR D E P O S I T AUG. 1 3 6 . 2 6 INTERBANK DM ( F R A N K F U R T ) , COVERED AUG. 1 3 6 . 4 2 D I F F E R E N T I A L AUG. 1 3 - 0 . 16

EURO-DOLLAR D E P O S I T AUG. 1 3 6 . 2 6 S W I S S I N T E R B A N K , COVERED AUG. 1 3 6 . 3 7 D I F F E R E N T I A L AUG. 1 3 - 0 . 11

CHART 9 . LONG TEEM GOVEBMENT BOND Y I E L D S

UNITED S T A T E S AUG. 8 7 . 3 9 GERMAN! AUG. 8 5 . 6 4 JAPAN (MONTHLY) AUG. 8 4 . 9 1 SWITZERLAND J U L Y 1 1 4 . 0 5 CANADA AUG. 1 9 . 3 6 FRANCE AUG. 1 8 . 5 0 NETHERLANDS (MONTHLY) J U N E 6 . 3 8 UNITED KINGDOM AUG. 8 9 . 2 4

. CORPORATE

AAA BONDS J U N E 9 . 1 3 s

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

UNITED S T A T E S AUG. 6 2 4 1 . 8 8 UNITED KINGDOM AUG. 6 2 7 1 . 2 3 CANADA AUG. 6 2 9 4 . 6 8 GERMANY AUG. 6 2 7 0 . 2 0 SWITZERLAND AUG. 6 1 6 8 . 9 6 NETHERLANDS AUG. 6 3 4 6 . 2 6 FRANCE AUG. 6 3 7 9 . 1 5 JAPAN AUG. 6 3 7 5 . 9 6


FEDERAL RESERVE statistical release

H.10 (512)

FOREIGN EXCHANGE RATES FOE THE MEEK ENDING AUGUST 1 5 , 1986

AUGUST 1 8 , 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 AUG, 11 (CURRENCY UNITS PER DOLLAR

AUG. 12 AUG. 13 AUG. 14 AUG. 15

AUSTRALIA AUSTRIA BELGIUM BRAZIL CANADA CHINA,P . f t . DENMARK FINLAND FRANCE GERflANI GREECE HONG KONG INDIA

IRELAND ITALY JAPAN HALAYS IA NETHERLANDS

NE8 ZEALAND NORWAY PORTUGAL SINGAPORE

SOUTH AFRICA SOUTH KOREA SPAIN SRI LANKA SSEDBN SWITZERLAND TAIWAN THAILAND

UNITED KINGDOM

MEMO: UNITED STATES

DOLLAR SCHILLING FRANC CRUZADO DOLLAR YUAN KRONE MARKKA FRANC D . MARK DRACHMA DOLLAR RUPEE POUND LIRA YEN RINGGIT GUILDER DOLLAft KRONE ESCUDO DOLLAR RAND WON PESETA RUPEE KRONA FRANC DOLLAR BAHT POUND

DOLLAR

60. 14. 42. 13.

1, 3 . 7. 4, 6. 2,

134. 7,

12. 134.

1417 . 153 .

2. 2.

49 . 7.

145, 2.

3 8 . 8 8 7 . 133 . 28.

6. 1.

3 7 . 26.

1 4 8 .

, 6 8 490

.690 84 3 8 5 8 7129 7 2 4 0 9 2 7 0

> 9 0 0 0 6 1 0 200 7 9 7 0 5 4 0 0 52 00 7 7 6 1 6 5 3 2 1 0 500 3 6 0 0 8 5 0 1535 70 80 800 193 9 3 9 0 6 5 5 5 5 4 0 0 9 0 5 7

60. 14. 43. 13.

1. 3 . 7 . 4 . 6. 2.

135. 7 .

12. 133 .

1429 . 154 .

2m

2m

4 9 . 7 .

146 . 2.

3 7 . 8 8 7 . 134 . 28.

6. 1.

3 7 . 26.

1 4 8 .

8 3 5 8 9 050 8 4 3 9 0 0 7 1 2 9 7 8 4 5 9 3 9 0 7520 0 7 8 3 5 5 0 7 9 4 5 5 5 0 0 7 0 0 0 7 0 6 2 1 0 3 3 9 5 5 5 0 3 9 3 0 750 1635 9 0 20 600 188 9 6 0 5 6 7 8 5 490 090 4 5

1 0 7 . 3 3 1 0 8 . 0 5

6 1 . 3 6 1 4 . 5 6 0 4 2 . 8 5 0 1 3 . 8 4

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

1 3 4 . 9 5 0 7 . 7 9 7 5

1 2 . 5 8 0 0 1 3 3 . 9 0

1 4 2 5 . 0 0 1 5 4 . 3 0

2 . 6 1 7 5 2 . 3 3 3 5

5 0 . 150 7 . 3800

1 4 6 . 2 0 0 2 . 1595

3 8 . 15 8 8 7 . 6 0 1 3 4 . 2 5 0 2 8 . 193

6 . 9 4 8 5 1 . 6 7 0 8

3 7 . 4 4 0 26. 110

1 4 8 . 60

1 0 7 . 7 7

62. 14, 42, 13.

1. 3, 7. 4, 6. 2.

134. 7.

12. 134.

1421 . 153 .

2. 2.

5 0 . 7 .

146 . 2.

38 . 886. 133 . 28.

6. 1.

3 7 . 26.

149 .

13 , 510 , 6 9 0 84 3 6 5 6 7129 7 6 5 0 9 3 5 0

,7100 0 6 2 5 600 7 7 5 0 5 7 0 0 3 0 00 7 3 6 7 0 0 3 2 4 2 150 3 6 3 0 0 5 0 1620 2 5 80 9 0 0 188 9 3 2 0 6 6 1 5 3 9 0 090 3 0

62, 14. 42 . 13.

L 3 . 7. 4. 6. 2.

134. 7.

12. 134.

1420. 154.

2. 2.

4 9 . 7 .

146. 2.

3 8 . 886. 133. 28.

6. 1.

3 7. 26.

149 .

,33 ,500 720 84 3892 7129 7 4 8 5 9360 71 10 0630 800 7*80 5500 50 00 20 6150 3240 500 3 4 1 5 300 1560 35 80 600 188 9350 6 6 3 5 340 080 40

1 0 7 . 3 6 1 0 7 . 44

INDEX UF WEIGHTED AVERAGE EXCHANGE VALUE OF U . S . DOLLAR AGAINST CURRENCIES OF 0TBE& 6 - 1 0 COUNTRIES. MARCH 1973 = 1 0 0 . WEIGHTS ARE 1 9 7 2 - 7 6 GLOBAL TRADE OF EACH OF THJB 10 COUNTRIES. SERIES REVISED AS OF AUGUST 1 9 7 8 . FOR DESCRIPTION AND BACK DATA, SEE "I&DEX OF THE WEIGHTED-AVERAGE EXCHANGE VALUE OF THE U . S . DOLLAR: REVISION" ON PAGE 7 0 0 OF THE AUGUST 1978 FEDERAL RESERVE BULLETIN.

VALUE I S O . S . CENTS


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