h13_19860811.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

i

August 11,1986 DIVISION OF INTERNATIONAL FINANCE

Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS FEDERAL, RESERVE SYSTEM SECTION 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 & 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 & 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 t o 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.

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

RATIO : 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

:ALE 973=100

RATIO ! MARCH 197

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

CANADIAN DOLLAR

ITALIAN LIRA

JAPANESE YEN -T -

*' 'v

i l l I M , , h , I , , h ,

l l (

DUTCH GUILDER

LLK. POUND FRENCH FRANC

BELGIAN FRANC SWISS FRANC

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


PE

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

0

8

16

24

32

CHART 2

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


:ENT PER ANNUM PERCENT PER A h

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

FRENCH FRANC

JAPANESE YEN

A

I I I I I I

ITALIAN LIRA

a

SWISS FRANC

I I I I I I

-

DUTCH GUILDER

1984 1986 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 (

12.5 Kg BARS AFTERNOON FIXING PRICE

I I I I I I f 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 Ah

U. S. FEDERAL FUNDS

SWITZERLAND

l l l M l l

UNITED KINGDOM

NETHERLANDS

1984

FRANCE

-

JAPAN

1 1 1 1 1 1 1 I I I I I I I I I I I

CANADA

GERMANY

r

J _ L

W V w v

1986 1984 1986


14

12

10

8

6

4

16

14

12

10

8

10

8

6

4

2

8

7

6

5

4

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 ' 11'' i ' ' i ' '

CANADIAN FINANCE CO. PAPER

L -

I I I I I I

-

U.K. INTERBANK STERLING /A 1 FRENCH INTERBANK RATE

-

1 1 1 1 1 1 1 1 1 1 1 1 1 I I 1 1

NETHERLANDS INTERBANK RATE GERMAN INTERBANK RATE

SWISS INTERBANK RATE JAPANESE GENSAKI RATE

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

to

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

OVERNIGHT 3-MONTH

7-DAY

I I I I I I I

6-MONTH

-

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

An -

1-MONTH 1-YEAR

1984 1986 1984 1986


CHART 7

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


PERCENT PER ANNUM

16

14 -

1 2 -

1 0 -

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

J I I ^ I I I 111111111111111111111111

DIFFERENTIAL

I I I 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 I 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

111111111111111111

12

10

DIFFERENTIAL

I I I i T i 11111111111 i i I i i I i i I i i

4

2

0

1984 1986


CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUSM, INDICATES FAVOR DOLLAR ASSETS


PERCENT PER ANNUM

18

14

10

2

18

14

10

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

11 I I I ! I I I

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


I I I I I I I I I I I

DIFFERENTIAL

PERCENT PER ANNUM

18

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

SWISS INTERBANK (SF) COVERED


1 1 1 1 1 1

DIFFERENTIAL

1 _ 1 1_L

14

10

0

1984 1986 1984 1986

1 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 Ah

UNITED STATES CANADA

I I I

-

UNITED KINGDOM SWITZERLAND

GERMANY

JAPAN

U. S. CORPORATE MONTHLY

Aaa BONDS

M i l

v FRANCE

I NETHERLANDS \ MONTHLY X

I I I

1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE RATIO SCALE 1969=100 1969=100

UNITED STATES

3 5 0

3 0 0 - f y W - - i -

2 5 0 - f - - / \ NETHERLANDS SWITZERLAND / v

2 0 0

150 - J - -

100 M I I I I I 111 < 1 1 , , i , , I I I I I I I . I M I M I M

FRANCE

GERMANY

1 9 8 4 1 9 8 6 1 9 8 4 1 9 8 6


SERIES HAHB LAST VALOE PLOTTED

DATE VALOE

CHART 1 . SPOT BXCHAHGE HATES AHD INDICES

BEEKLI AVERAGES, # 0 0 * BUIING BATES ( U . S . CENTS)

GEBHAH BARK JAPANESE IBM DUTCH GUILDER O.K. P008D CAHA01AH DOLLAR FREHCH FBAHC SBISS FBAHC BELGIAH FBAHC ITALIAN LIRA SWEDISH KROHA

INDICES, IIARCH 1 9 7 3 BASE BATES - 100

GERHAH HARK JAPANESE TEN DUTCH GOILDEB U.K. POUHD CANADIAN DOLLAB FRENCH FBAHC SNISS FRANC BELGIAN FBAHC ITALIAN LIRA

NBIGHTBD AVERAGE EXCHANGE VALUE INDICES, HAB 1 9 7 3 ( 6 - 1 0 COUNTRIES PLOS S8ITZEBLAHD)

0 . $ . DOLLAB GERHAH HARK JAPANESE IEH DUTCH GUILDEB O.K. POUND CANADIAN DOLLAB FRENCH FBAHC S i l S S FBAHC BELGIAN FBAHC ITALIAN LIRA SHEDISH KBOHA

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

AUG. 6 1 3 4 . 7 7 AUG. 6 1 6 9 . 7 9 AUG. 6 1 2 2 . 0 1 AUG. 6 5 9 . 95 AUG. 6 7 2 . 1 7 AUG. 6 6 6 . 4 5 AUG. 6 1 9 1 . 6 8 AUG. 6 9 1 . 16 AUG. 6 3 9 . 5 8

100

AUG. 6 1 0 8 . 2 5 AUG. 6 153 . 97 AUG. 6 1 9 4 . 0 0 AUG. 6 1 3 2 . 2 4 AUG. 6 6 0 . 9 0 AUG. 6 7 5 . 2 7 AUG. 6 6 7 . 9 7 AUG. 6 2 0 8 . 2 5 AUG. 6 9 6 . 8 8 AUG. 6 3 9 . 44 AUG. 6 6 6 . 6 3

CHART 2 . 3-HOHTH FORNARD EXCHANGE

CANADIAN DOLLAR U.K. POUND GERHAH BARK FBENCH FBAHC SNISS FBAHC DUTCH GUILDEB JAPAHESE IEH ITALIAN LIBA

, PBBHIUH OB DISCOUHT

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


SERIES NAME LAST VALOE PLOTTED

DATE VALUE

CHART 3 . GOLD PBICE IN LONDON, AFTERNOON FIXING

O . S . DOLLARS PER FINE OUNCE AUG. 6 3 5 9 . 8 4

CHART 4 . CALL HONEY RATES

O . S . FEDEBAL FUNDS AUG. 6 6 .36 OVEBNIGHT EURODOLLAR DEPOSITS AUG. 6 6.29 O.K. AUG. 6 9 . 8 2 CANADA AOG. 6 8 .07 GERMANY AUG. 6 4 . 6 5 JAPAN AUG. 6 4 .58 FRANCE AUG. 6 7 .00 NETHEBLANDS AUG. 6 5 . 7 1 SWITZERLAND AUG. 6 i . o o

CHART 5 . 3-MONTH INTEREST BATES

U . S . 90DAI C D ' S , SECOHDABI HABKET AUG. 6 6 . 2 3 GERMAN INTERBANK LOAN AUG. 6 4 . 6 4 JAPANESE GENSAKI RATE AUG. 6 4 . 6 6 CANADIAN FINANCE PAPEB AUG. 6 8 . 5 0 INTBBBANK STEELING AUG. 6 9 . 8 9 Sf l ISS INTERBANK LOAN AOG. . 6 4 . 5 4 FRENCH INTERBANK BATE AUG. 6 7 . 1 4 HSIHBBLASDS INTERBANK BATE AUG. 6 5 . 4 4 WEIGHTED AVERAGE FOREIGN INTEREST RATE AUG. 6 6 . * 1

(G10 COUNTRIES PLUS S8ITXERLAND)

CHABT 6 . EURO-DOLLAR DEPOSIT BATES: LONDON

OVERNIGHT AOG. 6 6 . 2 9 7DAY AUG. 6 6 . 3 4 1-MONTH AUG. 6 6 . 3 6 3-MONTH AOG. 6 6 . 3 8 6-MONTH AOG. 6 6 . 3 6 1 - IEAB AUG. 6 6 . 4 6

CHART 7 . SELECTED EURO-DOLLAR AND U . S . fiONEI MABKET BATES

OVEBNIGHT EUBO-DOLLAB DEPOSITS AUG. 6 6 . 2 9 0 . 5 . FEDERAL FUNDS AOG. . 6 6 . 3 6 DIFFEBEMTIAL AUG. 6 0.07

3-MONTH EUBO-DOLLAB DEPOSIT BATE AOG. 6 6 . 3 8 0 . 5 - 9 0 - D A I C D ' S , SECONDABY MARKET AOG. 6 6 - 2 3 DIFFERENTIAL AOG. 6 0 . 1 5


SERIES NAME LAST VALUE PLOTTED

DATS VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS I

EURO-DOLLAR DEPOSIT AUG. 6 6 . 3 8 INTERBANK STERLING (LONDON), COVERED AUG. 6 6 . 42 DIFFERENTIAL AUG. 6 - 0 . 0 5

U . S . COMMERCIAL PAPER AUG. 6 6 . 2 1 CANADIAN FINANCE PAPER, COVERED AUG. 6 6 . 2 2 DIFFERENTIAL AUG. 6 - 0 . 0 1

EURO-DOLLAR DEPOSIT AUG. 6 6 . 3 8 INTERBANK DM (FRANKFURT) , COVERED AUG. 6 6 . 4 6 DIFFERENTIAL AUG. 6 - 0 . 0 9

EURO-DOLLAR DEPOSIT AUG. 6 6 . 3 8 SWISS INTERBANK, COVERED AUG. 6 6 . 3 8 DIFFERENTIAL AUG. 6 - 0 . 0 1

CHABT 9 . LONG TERM GOVESMENT BOND YIELDS

I

UNITED STATES AUG. 1 7 . 4 1 GERMANY AUG. 1 5 . 7 1 JAPAN (MONTHLY) AUG. 1 4 . 99 SWITZERLAND JULY 11 4 . 0 5 CANADA JULY 2 5 9 . 3 6 FRANCE AUG. 1 8 . 5 0 NETHERLANDS (MONTHLY) JUNE 6 . 3 8 UNITED KINGDOM AUG. 1 9 . 2 4

. CORPORATE

AAA BONDS JUNE 9 . 13

CHABT 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE -JAPAN

JULY 3 0 2 4 1 . 37 JULY 3 0 2 8 1 . 48 JULY 3 0 2 9 0 . 3 0 JULY 30 2 6 2 . 76 JULY 30 1 7 0 . 4 0 J U L ! 30 3 4 1 . 3 4 JULY 30 3 8 2 . 7 7 JULY 30 3 8 4 . 5 5


FEDERAL RESERVE statistical release * f f w : t : (W]lp *

" H.10 (512) AUGUST 1 1 , 1986

FOREIGN EXCHANGE RATES \

FOB *11 MM BHOIBG AOGOS* 8 , 1986

The Board of Govsmors of the Federal Reserve System le edvteed that the Federal Reserve Bank of New York has certified for customs purposes the following noon buying rates In New York CMy for cable tranafors payable In foreign currencies:

CODBXBI HOHBTABZ

OBIT irnaBKirr n i T f s pus n n u . n i

CODBXBI HOHBTABZ

OBIT AOG. 4 AOG. 5 AUG. 6 AOG. 7 AOG. 8

AOSXBALIA OOLLAB 6 0 . 1 4 6 1 . 6 0 6 2 . 0 0 6 1 . 0 6 6 0 . 8 4 AOSTBIA SCHILUBG 1 4 . 6 2 0 1 4 . 6 4 0 1 4 . 6 6 0 1 4 . 5 5 5 # 4 . 5 5 0 BBLGIOH FBABC * 3 . 1 7 0 4 3 . 3 1 0 4 3 . 120 4 2 . 8 3 0 4 2 . 8 4 0 BBA2IL CaOBAOO 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 CABADA OOLLAB 1 . 3 8 2 0 1 . 3 8 0 0 1 . 3 8 2 5 1 . 3 8 1 3 1 . 3 8 6 0 CHIBA,P.B. XOAB 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 DEHHABK KBOBB 7 . 8 4 8 0 7 . 8 5 0 0 7 . 8100 7 . 7 5 5 0 7 . 7 5 7 0 FXBLAB0 BABJCKA 4 . 9 9 7 0 4 . 9 9 0 0 4 . 9 8 6 5 4 . 9 7 0 0 4 . 9 8 5 0 FBABCB FBABC 6 . 7 7 0 0 6 . 7 7 7 5 6 . 7 6 8 0 6 . 7 1 0 0 6 . 7 2 2 0 GBBBABI 0 . HABK 2 . 0 8 4 0 2 . 0 9 0 0 2 . 0 8 5 0 2 . 0 6 7 0 2 . 0 7 0 0 GBBBCB OBACHHA 1 3 4 . 9 0 0 1 3 6 . 1 5 0 . 1 3 5 . 2 0 0 1 3 4 . 4 5 0 4 3 4 . 9 0 0 HOBG KOBG OOLLAB 7 . 7 9 8 0 7 . 8 0 0 5 7 . 8 0 1 0 7 . 7 8 7 5 7 . 8 0 0 0 IBOIA BOPBB 1 2 . 5 9 0 0 1 2 . 5 3 0 0 1 2 - 5 5 0 0 1 2 . 5 7 0 0 1 2 . 5 6 0 0

IBBLABO POOBD 1 3 3 . 4 0 1 3 2 . 7 5 1 3 3 . 8 0 1 3 4 . 5 5 1 3 4 . 4 0 ITALX LIBA 1 4 3 2 . 0 0 1 4 3 9 . 0 0 1 4 3 4 . 0 0 1 4 2 4 . 0 0 1 4 2 4 . 0 0 JAPAH IBB 1 5 4 . 0 0 1 5 4 . 9 5 1 5 4 . 4 0 1 5 3 . 8 0 1 5 4 . 1 5 HALAXSXA BIBGGIT 2 . 6 0 2 5 2 . 6 1 2 5 2 . 6 1 7 5 2 . 6 2 5 0 2 . 6 2 2 5 HBTHBBLAHPS GOILOBB 2 . 3 5 0 0 2 . 3 5 4 0 2 . 3 5 2 0 2 . 3 3 0 0 2 . 3 3 2 8

BBS MALABO OOLLAB 5 1 . 7 0 0 5 1 . 6 5 0 5 1 . 9 3 0 5 1 . 8 5 0 5 0 . 6 5 0 BOBHAX SBOBB 7 . 4 2 0 0 7 . 3 9 0 0 7 . 3 9 0 0 7 . 3 7 0 0 7 . 3 8 1 0 POBTBGAL BSC000 1 4 6 . 6 0 0 1 4 7 . 2 5 0 1 4 6 . 1 7 0 1 4 6 . 0 5 0 14b-200 SIBGAPOBB OOLLAB 2 . 1 7 2 0 2 . 1 7 6 0 2 . 1 7 4 0 2 . 1 7 0 0 2 - 1 7 0 0

*SOOTH AFBICA BABO 3 9 . 0 5 3 8 . 3 0 3 8 . 0 5 3 8 . 1 5 3 8 . 1 3 SOOTH KOSBA HOB 8 8 7 . 8 0 8 8 8 . 2 0 8 8 8 . 6 0 8 8 8 . 0 0 8 8 7 . 4 0 SBAIB PBSBTA 1 3 5 . 3 0 0 1 3 5 . 4 5 0 1 3 5 . 2 0 0 1 3 4 . 6 5 0 1 3 4 . 8 0 0 SBI LAMA BOPBB 2 8 . 1 3 3 2 8 . 1 7 3 2 8 . 1 8 2 2 8 . 1 8 0 2 8 . 190 SBBOBB KBOBA 6 . 9 8 7 0 6 . 9 9 0 0 6 . 9 7 0 0 6 . 9 5 3 0 6 . 9 5 3 0 SHII2BBLAB0 FBABC 1 . 6 7 8 0 1 . 6 8 7 5 1 . 6 7 8 0 1 . 6 6 6 5 1 . 6 6 9 0

, TAIBAB OOLLAB 3 7 . 9 8 0 3 7 . 8 6 0 3 7 . 8 0 0 3 7 . 7 5 0 3 7 . 7 5 0 THAXLABO AHT 2 6 . 0 9 0 2 6 . 1 2 0 2 6 . 1 4 0 2 6 . 1 0 0 2 6 . 1 0 0

OBITBO KIBGOOH POOBO 1 4 7 . 0 0 1 4 8 . 5 0 1 4 7 . 9 0 1 4 7 . 6 5 1 4 7 . 3 0

%BBO: #OBITBO STATBS OOLLAB 1 0 8 . 2 5 1 0 8 . 3 0 108 . ?2 1 0 7 . 6 2 1 0 7 . 7 9

tIBOSX OF 1BIGH1 b AI86168 BXCHABGB VALOB OF U . S . OO L l i l MJLI1S* C0MB1CIBS OF OZBSB G-1U coobtbibs. babch 1973 100. hbights abb 1972-76 g loba l tbaob o r bach of imb 10 coobtbibs . SBBIBS BBflSBO AS OF AOGDSX 1978. FOB OBSCBIFTIOB ABO SACK DATA, SBB "IftOBX OF ZBB HBIGHTBD-AfBBAGB BXCHABGB VALOB OF TAB 0 . $ . OOLLAB: BBTISXOB" OH PAGB 700 OF MB AUGUST 1978 FBDBBA1 BBSBBTB BOLLBTIB.

fALOB IS D.S. CBBTS


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