h13_19860825.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

)

August 25,1986

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

t

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

a 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

CALE 1973=100

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

l I I 11111111111111111

RATIO MARCH 197

GERMAN MARK

CANADIAN DOLLAR

I I I I I I I I I I , I I I I I , I I

U.K. POUND

BELGIAN FRANC

JAPANESE YEN r A r ~~

I I I I I I

-

DUTCH GUILDER

L 1 J i l l i l l i l l 11 i

FRENCH FRANC

SWISS FRANC

1984 1986 1984 1986


4

0

4

8

4

+ 0

4

8

8

4

0 8

+ 0

8

16

24

32

8

4

0

4

12

8

4

0 8

4

0 8

S

8

16

24

32

CHART 2

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


:ENT PER ANNUM PERCENT PER A^

CANADIAN DOLLAR

U. K. POUND

JAPANESE YEN

A

I I I I I I

SWISS FRANC

I I I I I I

DUTCH GUILDER GERMAN MARK

FRENCH FRANC

\

ITALIAN LIRA

rl

I I I JUL 1984 1986 1984 1986


U.S. I

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 FINE

J L

12.5 Kg BARS AFTERNOON FIXING PRICE

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

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 SERES

:NT PER ANNUM PERCENT PER At

U. S. FEDERAL FUNDS FRANCE

SWITZERLAND CANADA

UNITED KINGDOM

GERMANY

NETHERLANDS

/ W w w

1984 1986 1984 1906


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

CANADIAN FINANCE CO. PAPER

UK. INTERBANK STERLING I FRENCH INTERBANK RATE

-

I I I I I I n i l I h i l l i 11111111111

GERMAN INTERBANK RATE

I I I

JAPANESE GENSAKI RATE SWISS INTERBANK RATE

/ V J I

I I 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

6-MONTH 7-DAY

1-MONTH

_L_L

1-YEAR

-

1 1 1 1 1 1 i i l l i m l i i 1984 1986 1984 1986


" X' CHART 7

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


PERCENT PER ANNUM

16

14

12

10

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

J I I I I I I 111111111111111111 n 111

DIFFERENTIAL

J I I 11111111111111111111111 1984 1986

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

PERCENT PER ANNUM

16

14 3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD' S

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

12

10

/ V Y V >

DIFFERENTIAL

V ^ V / y v y V x A v -~VV>^vXs

i 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

1984 1986

4

2

0


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

I I I I I I

DIFFERENTIAL

J _ L I I l

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

U 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

ENT PER ANNUM PERCENT PER AL

UNITED STATES CANADA

UNITED KINGDOM SWITZERLAND

GERMANY

U. S. CORPORATE MONTHLY

1984 1986

L I FRANCE

-

- I NETHERLANDS

I

I I I

MONTHLY

I I I I;11 i l l i ,1 ,11

V -

1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

UNITED STATES

NETHERLANDS SWITZERLAND

FRANCE

GERMANY

CANADA

L_i_i 1984 1986 1984 1986


S E R I E S NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE KATES AND I N D I C E S

WEEKLY AVESAGES, NOON BUYING RATES ( U . S . CENTS)

GERMAN MARK AUG. 2 0 4 8 . 5 3 JAPANESE YEN AUG. 2 0 0. 6 5 0 1 7 DUTCH GUILDER AUG. 2 0 4 3 . 0 7 U . K . POUND AUG. 2 0 1 4 9 . 7 1 CANADIAN DOLLAR AUG. 2 0 7 1 . 90 FRENCH FRANC AUG. 2 0 1 4 . 90 SWISS FRANC AUG. 2 0 6 0 . 18 BELGIAN FRANC AUG. 2 0 2 . 3 4 3 3 8 ITALIAN LIRA AUG. 2 0 0. 0 7 0 4 7 SWEDISH KRONA AUG. 2 0 1 4 . 44

I N D I C E S , HARCH 1 9 7 3 BASE RATES = 100

GERMAN MARK AUG. 20 1 3 6 . 5 1 JAPANESE YEN AUG. 2 0 1 7 0 . 2 4 DUTCH GUILDER AUG. 2 0 1 2 3 . 6 3 U. K. POUND AUG. 2 0 6 0 . 5 5 CANADIAN DOLLAR AUG. 2 0 7 1 . 6 6 FRENCH FRANC AUG. 2 0 6 7 . 16 SWISS FRANC AUG. 2 0 1 9 3 . 6 1 BELGIAN FRANC AUG. 2 0 9 2 . 34 ITALIAN LIRA AUG. 2 0 4 0 . 0 3

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAR 1 9 7 3 = 100 { G - 1 0 COUNTRIES PLUS SWITZERLAND)

U . S . DOLLAR AUG. 2 0 1 0 7 . 3 3 GERMAN HARK AUG. 2 0 1 5 5 . 0 9 JAPANESE YEN AUG. 2 0 1 9 3 . 1 1 DUTCH GUILDER AUG. 2 0 1 3 3 . 16 U . K . POUND AUG. 2 0 6 1 . 12 CANADIAN DOLLAR AUG. 2 0 7 4 . 14 FRENCH FRANC AUG. 2 0 6 8 . 2 6 SWISS FRANC AUG. 2 0 2 0 8 . 9 5 BELGIAN FRANC AUG. 2 0 9 7 . 5 0 ITALIAN LIRA AUG. 2 0 3 9 . 6 3 SWEDISH KRONA AUG. 2 0 6 6 . 7 1

CHART 2 . J-HONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT

CANADIAN DOLLAR AUG. 2 0 - 2 . 4 4 O.K. POUND AUG. 2 0 - 3 . 5 0 GERMAN MARK AUG. 2 0 1 . 6 b FRENCH FRANC AUG. 2 0 - 1 . 1 5 SWISS FRANC AUG. 2 0 1 . 8 2 DUTCH GUILDER AUG. 2 0 0 . 7 8 JAPANESE YEN AUG. 2 0 1 . 4 0 ITALIAN LIRA AUG. 2 0 - 5 . 0 2


S E M E S HA HE LAST VALOE PLOTTED

DATE VALUE

CHART 3 . GOLD PRICE IN LONDON, AFTERNOON FIXING

U . S . DOLLARS PER F I N E OUNCE AUG. 2 0 3 8 0 . 0 0

CHART 4 . CALL HONEY RATES

U . S . FEDERAL FUNDS AUG. 2 0 6 . 3 8 OVERNIGHT EURO-DOLLAR DEPOSITS AUG. 2 0 6 . 2 3 U. K. AUG. 2 0 9 . 90 CANADA AUG. 2 0 7 . 9 5 GERHANY AUG. 2 0 4 . 4 9 JAPAN AUG. 2 0 4 . 5 5 FRANCE AUG. 2 0 7 . 09 NETHERLANDS AUG. 2 0 5 . 8 8 SWITZERLAND AUG. 2 0 1 . 0 0

CHART 5 . 3HON Til INTEREST RATES

U . S . 90-DAY C D ' S * SECONDARY HARKET AUG. 2 0 5 . 9 4 GERHAN INTERBANK LOAN AUG. 2 0 4 . 5 6 JAPANESE GENSAKI RATE AUG. 2 0 4 . 6 8 CANADIAN FINANCE PAPER AUG. 2 0 8 . 4 5 INTERBANK STERLING AUG. 2 0 9 . 7 1 SWISS INTERBANK LOAN AUG. 2 0 4 . 2 2 FRENCH INTERBANK RATE AUG. 2 0 7 . 0 9 NETHERLANDS INTERBANK RATE AUG. 2 0 5 . 30 1EIGHTED AVERAGE FOREIGN INTEREST RATE AUG. 2 0 6 . 5 2

( G - 1 0 COUNTRIES PLCS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT AUG. 2 0 6 . 2 3 7-DAY AUG. 20 6 . 3 0 1HONTH AUG. 2 0 6 . 18 3-HONTH AUG. 2 0 6 . 04 6r-flONTH AUG. 2 0 6 . 0 4 1-YEAR AUG. 2 0 6 . 1 1

CHART 7 . SELECTED EURO-DOLLAR AND U . S . HONEY BASKET RATES

OVERNIGHT EURO-DOLLAR DEPOSITS AUG. 2 0 6 . 2 3 U . S . FEDERAL FUNDS AUG. 2 0 6 . 3 8 DIFFERENTIAL AUG. 2 0 - 0 . 08

3-HONTH EURO-DOLLAR DEPOSIT RATE AUG. 2 0 6 . 0 4 U . S . 90-DAY C D ' S . SECONDARY HARKET AUG. 2 0 5 . 9 4 DIFFERENTIAL AUG. 2 0 0 . 10


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, J-HOSTH FUNDS

EURO-DOLLAR DEPOSIT AUG. 2 0 6 . 04 INTERBANK STERLING (LONDON), COVERED AUG. 20 6 . 1 3 DIFFERENTIAL AUG. 20 - 0 . 0 9

U . S . COflflEBCIAL PAPER AUG. 20 5 . 9 7 CANADIAN FINANCE PAPER, COVERED AUG. 20 5 . 9 6 DIFFERENTIAL AUG. 20 0 . 0 1

EURO-DOLLAR DEPOSIT AUG. 2 0 6 . 0 4 INTERBANK Dfl (FRANKFURT), COVERED AUG. 2 0 6 . 2 4 DIFFERENTIAL AUG. 2 0 - 0 . 2 1

EURO-DOLLAR DEPOSIT AUG. 20 6 . 0 4 SWISS INTERBANK, COVERED AUG. 20 6 . 0 7 DIFFERENTIAL AUG. 2 0 - 0 . 03

CHART 9 . LONG TERM GOVEBMENT BOND YIELDS

UNITED STATES AUG. 15 7 . 19 GERMANY AUG. 15 5 . 6 3 JAPAN (MONTHLY) AUG. 15 4 . 90 SWITZERLAND JULY 11 4 . 0 5 CANADA AUG. 8 9 . 3 3 FRANCE AUG. 15 6 . 42 NETHERLANDS (MONTHLY) JUNE 6 . 3 8 UNITED KINGDOM AUG. 15 9 . 18

U . S . CORPORATE

AAA BONDS JUNE 9 . 1 3

CHART 1 0 . STOCK INDICES

UNITED STATES AUG. 13 2 5 0 . 66 UNITED KINGDOM AUG. 13 2 7 7 . 2 3 CANADA AUG. 13 3 0 0 . 99 GERMANY AUG. 13 2 8 8 . 02 SWITZERLAND AUG. 13 1 8 0 . 0 5 NETHERLANDS AUG. 1 3 3 5 8 . 7 6 FRANCE AUG. 13 3 8 6 . 4 0 JAPAN AUG. 13 3 9 6 . 45


FEDERAL RESERVE statistical release ' " n f Govt/

AUGUST 2 2 , 1 9 8 6 H.10 (512)

FOREIGN EXCHANGE RATES roe TUB HK ENDING AUGUST 2 2 , 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 BOBBTABI r i f A B R M r v r iHTVc DRD n n n i B

COUNTBI m a# a i ' M

UBIT AUG, 18 AUG. 19 AUG. 2 0 AUG. 2 1 AUG. 2 2

*AUSTBALIA DOLLAB 6 2 * 5 1 6 3 . 0 0 6 1 . 1 8 6 1 . 1 5 6 0 . 70 AUSTRIA SCHILLING 1 4 , 5 7 0 1 4 . 4 7 0 1 4 . 4 1 0 1 4 . 3 6 0 1 4 . 3 8 0 BELGIUH FBABC 4 2 . 9 1 0 4 2 . 6 4 0 4 2 . 4 1 0 4 2 . 3 2 0 4 2 . 3 2 0 BRAZIL CBUBADO 1 3 . 8 4 1 3 . 8 4 1 3 . 84 1 3 . 8 4 1 3 . 8 4 CABADA DOLLAB 1 . 3 9 4 0 1 . 3 9 4 5 1 . 3 9 1 0 1 . 3 9 0 0 1 . 3 9 1 0 C H I B A # P . B . IUAB 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 DENHARK KBOBB 7 . 7 8 8 0 7 . 7 4 5 5 7 . 7 2 4 5 7 . 7 3 6 0 7 . 7 3 2 0 FINLAND HABKKA 4 . 9 4 2 0 4 . 9 0 5 0 4 . 9 0 5 0 4 . 8 * 2 0 4 . 8 9 3 0 FBABCB FBABC 6 . 7 4 2 5 6 . 6 9 9 0 6 . 6 8 7 5 6 . 6 9 0 0 6 . 6 9 9 0 GBBHABI D. HARK 2 . 0 7 1 0 2 . 0 5 8 5 2 . 0 4 8 5 2 . 0 4 2 5 2 . 0 4 4 5 GREECE DEACHHA 1 3 5 . 1 0 0 1 3 4 . 3 5 0 1 3 4 . 2 0 0 1 3 3 . 9 0 0 1 3 4 . 0 0 0 HONG KONG DOLLAB 7 . 8 1 2 5 7 . 8 0 6 5 7 . 8 0 7 0 7 . 8 0 5 0 7 . 8 0 3 0 INDIA HUP BE 1 2 . 5 9 0 0 1 2 . 6 1 0 0 1 2 . 5 7 0 0 1 2 . 5 9 0 0 1 2 . 5 7 0 0

IBBLABD POUND 1 3 4 . 0 0 1 3 4 . 7 5 1 3 5 . 15 1 3 5 . 4 0 1 3 4 . 4 0 ITALX LIRA 1 4 2 6 . 0 0 1 4 1 7 . 0 0 1 4 1 1 . 0 0 1 4 1 0 . 0 0 1 4 1 1 . 0 0 JAPAN IBB 1 5 4 . 2 0 1 5 3 . 5 0 1 5 3 . 40 1 5 3 . 2 5 1 5 3 . 4 5 HAL A15 XA BINGGIT 2 . 5 7 5 0 2 . 5 8 7 5 2 . 6 0 2 0 2 . 6 0 3 0 2 . 6 0 3 5 NBTHBBLANDS GUILDBB 2 . 3 3 3 0 2 . 3 2 0 0 2 . 3 0 9 0 2 . 3 0 3 5 2 . 3 0 5 5

*NB* ZEALAND DOLLAB 4 9 . 8 5 0 5 0 . 5 0 0 5 0 . 100 4 8 . 5 5 0 4 8 . 7 5 0 BOB1AI KBOBB 7 . 3 5 8 5 7 . 3 3 5 0 7 . 3 1 5 0 7 . 3 1 0 0 7 . 3 1 5 0 PORTUGAL BSCUDO 1 4 6 . 5 0 0 1 4 5 . 5 5 0 145 . 2 5 0 1 4 5 . 7 0 0 1 4 6 . 0 0 0 SIMGAPOBE DOLLAB 2 . 1 5 5 0 2 . 1 5 0 5 2 . 1 4 8 0 2 . 1 4 8 5 2 . 1480

SOUTH AFRICA BAND 3 8 . 0 0 3 8 . 1 0 3 8 . 3 5 3 8 . 4 8 3 8 . 3 5 SOUTH KOBBA HON 8 8 6 . 2 0 8 8 6 . 3 0 8 8 5 . 6 0 8 8 4 . 7 0 8 3 4 . 8 0 SPAIN PESETA 1 3 3 . 8 0 0 1 3 3 . 1 0 0 132 . 700 1 3 3 . 1 5 0 U 3 . 4 0 0 SBI LAIKA RUPEE 2 8 . 1 9 3 2 8 . 1 9 3 2 8 . 190 2 8 . 1 9 0 2 8 . 193 SSBDBB KBOBA 6 . 9 5 0 0 6 . 9 1 4 0 6 . 8 9 5 0 6 . 8 9 2 0 6 . 8 9 9 0 SBITZBBLABD FBABC 1 . 6 7 6 0 1 . 6 6 0 0 1 . 6 4 7 5 1 . 6 4 5 5 1 . 6 5 0 5 TAIBAB DOLLAB 3 7 . 2 4 0 3 7 . 2 1 0 3 7 . 180 3 7 . 2 1 0 NA THAILABO BAHT 2 6 . 0 9 0 2 6 . 1 0 0 2 6 . 0 7 0 2 6 . 0 1 0 2 6 . 0 0 0

UNITED KINGDOB POUND 1 4 9 . 3 0 1 5 0 . 1 5 1 5 0 . 4 0 1 4 9 . 8 1 1 4 8 . 6 5

HBflO: 1 0 6 . 7 7

nrtDDPM/^Tffc n v

1 0 6 . 9 7

A9HHB C . 1 A

#UNXTBD STATES DOLLAB 1 0 7 . 7 8 1 0 7 . 2 0 1 0 6 . 86 1 0 6 . 7 7

nrtDDPM/^Tffc n v

1 0 6 . 9 7

A9HHB C . 1 A

COUBTBIBS. HARCH 1 9 7 3 = 1 0 0 . MIGHTS ABE 1 9 7 2 - 7 6 GLOBAL MADB OF BACH OF THE 10 COUBTBIBS. SBB1SS RJ3VIS2D AS OF AUGUST 1 9 7 8 . FOB DESCRIPTION AMD BACK DATA, SEE " i J O B I Of THE BBIGHTBD-AYBBAGB EXCHANGE VALUE OF THE U . S . DOLLAB: REVISION" 0 1 PAGE 700 OF THE AUGUST 1978 FEDERAL 8BSEBWE BULLETIN.

VALUE I S U . S . CENTS


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