h13_19861103.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

i I November 3,1986

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

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

a 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.


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

RATIO MARCH 197

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

ITALIAN LIRA

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 CANADIAN DOLLAR

12 4 U. K. POUND

SWISS FRANC

0

4

8

8 DUTCH GUILDER GERMAN MARK

4

0

8

FRENCH FRANC ITALIAN LIRA

0

8

16

24

32

1984 1084 1086 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

LARS PER FINE OUNCE U.S. DOLLARS PER FINE <

1 1 I

12.5 Kg BARS AFTERNOON FIXING PRICE

I i l l i t I I I I I I I I I I I I t 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

NUM

20

16

12

6

4

0

20

16

12

6

4

0

20

16

12

8

4

q

CHART 4

CALL MONEY RATES WEEKLY SERIES

•NT PER ANNUM PERCENT PER Al

U. S. FEDERAL FUNDS

SWIIZERLAND

FRANCE

JAPAN

I I I I I I I n i l H i l l I I 11 III III 111

CANADA

I I I

UNITED KINGDOM

NETHERLANDS

1 1 1 1 1 1 1 1

GERMANY

\ r

1984 1986 1984 19*6


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

r PER ANNUM PERCENT PER AN

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE.

I I I I I

CANADIAN FINANCE CO. PAPER

L —

I I I I I I

-

U.K. INTERBANK STERLING

—

/A ' FRENCH INTERBANK RATE

-

I I I I I I

1 -

GERMAN INTERBANK RATE

SWISS INTERBANK RATE JAPANESE GENSAKI RATE

1984 1986 1984 1986


PER

14

12

10

8

6

4

14

12

10

8

6

4

14

12

10

8

6

4

1UM

14

12

10

8

6

4

14

12

10

8

6

4

14

12

10

8

6

4

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM PERCENT PER Ah

3-MONTH OVERNIGHT

6-MONTH 7-DAY

I I I I I I I l u l l

1-YEAR 1-MONTH

1984 1986 1984 i e e e


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: PLUSM, FAVORS BORROWING IN U. S.


NT PER ANNUM PERCENT PER A

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

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 1 1 I L _ l I I I I I 1 1 1 1 1 1 1 1

3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD' S

1 1 1 1 1 1 1

DIFFERENTIAL

1984 1986

I PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

DIFFERENTIAL

I i I I I I I I I I I I I I I I I

' I

1 1 1 1 1 1 1 1 1 1 1

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

1 _ L DIFFERENTIAL

J _ L

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

SWISS INTERBANK (SF) COVERED


I I I I I I

DIFFERENTIAL

I I I l i i l 11

1984 1986

PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1984 1986


PERC

16

14

12

10

8

6

15

13

11

9

7

10

8

6

4

17

15

13

11

9

7

5

16

14

12

10

8

6

9

7

5

3

1

10

8

6

4

17

15

13

11

9

7

5

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

T PER ANNUM PERCENT PER AN

UNITED STATES

UNITED KINGDOM

—

-

CANADA

-

I I I I I I

X ~~

SWITZERLAND

M M i

GERMANY

I I I I I I

U. S. CORPORATE MONTHLY

Aaa BONDS FRANCE

NETHERLANDS MONTHLY

1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

4 5 0 4 0 0

RATIO SCALE 1969=100

UNITED KINGDOM UNITED STATES

SWITZERLAND NETHERLANDS

FRANCE GERMANY

4 5 0 — — 45C* 4 0 0 — A v — — — 4 0 0

3 5 0 - /S \ - - - 3 5 0

3 0 0 - J - CANADA 3 0 0

250 __ JAPAN - - 2 5 0

2 0 0 - - - 2 0 0

150 - - - 150

100 I I I I I I l l l l l l l l l l l i i i i i i i i h i i i i i i i l l l l l l l l l l l 100 100

1984 1986 1984 1986

100


SERIES NAME LAS I VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE HATES AMD INDICES

WEJtiKLI AVERAGES, NOON BUYING RATES ( U . S . CENTS)

GERMAN HARK JAPANESE YEN DUTCH GUILDER U.S . POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH XRONA

OCT. 29 OCT. 29 OCT. 29 OCT. 29 OCT. 2 9 OCT. 29 OCT. 29 OCT. 2 9 OCT. 29 OCT. 29

4 9 . 3 3 0 . 6 2 4 4 2

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

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

1 4 . 3 9

INDICES, MARCH 1973 BASE BATES = 100

GERMAN MARK JAPANESE IBM DUTCH GUILDER O.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA

OCT. 29 OCT. 29 OCT. 2 9 OCT. 29 OCT. 29 OCT. 29 OCT. 29 OCT. 29 OCT. 29

1 3 8 . 7 6 1 6 3 . 4 9 1 2 5 . 3 1 5 7 . 19 7 1 . 7 9 6 7 . 99

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

WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100 iG-10 COUNTBIBS PLUS SWITZERLAND)

U.S . DOLLAR GERMAN MARK JAPANESE IEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LISA SWEDISH XRONA

OCT. 2 9 OCT. 2 9 OCT. 2 9 OCT. 2 9 OCT. 29 OCT. 29 OCT. 2 9 OCT. 29 OCT. 29 OCT. 29 OCT. 29

107 . 79 1 5 8 . 8 0 1 8 5 . 2 7 1 3 5 . 6 0 5 7 . 6 1 7 4 . 5 7 6 9 . 4 7

208.32 9 9 . 3 2 4 0 . 3 3 6 6 . 6 9

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

CANADIAN DOLLAR U.K. POUND GERMAN MARK FRENCH FRANC SWISS FRANC DUTCH GUILDER JAPANESE IBM ITALIAN LIRA

OCT. OCT. OCT. OCT. OCT. OCT. OCT-OCT.

29 2 9 2 9 29 29 2 9 2 9 29

- 2 . 5 2 - 5 . 1 3

1. 40 - 2 . 1 3

1 . 9 2 0 . 5 3 1 . 0 4

- 4 . 7 5


SERIES NAHE LAST IAL08 PLOTTED

DATE VALUE

CHABT 3 . GOLD PRICE 18 LONDON, AFTEBNOON FIXING

IL S . DOLLARS PES FINE OUNCE OCT. 29 4 1 2 . 9 3

CHABT 4 . CALL MONEY BATES

U.S . FEDERAL FUNDS OVERNIGHT EURO-DOLLAE DEPOSITS U.K. CANADA GEBHANY JAPAN FRANCE NETHERLANDS SNIT2ERLAND

OCT. 29 OCT. 2 9 OCT. 29 OCT. 29 OCT. 29 OCT. 2 9 OCT. 29 OCT. 2 9 OCT. 29

5 . 8 6 s

5 . 8 0 10 . 13

7 . 7 5 4 . 5 6 A. 35 7 . 2 4 5 . 4 9 3 . 8 0

CHART 5 . 3-MONTH INTEREST BATES

U . S . 90—DAI CD'S* SECONDARY MARKET GEBHAH INTERBANK LOAN JAPANESE GENSAKI BATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTERBANK BATE NETHERLANDS INTERBANK RATE WEIGHTED AVERAGE FOREIGN INTEREST BATE

( 6 - 1 0 COUNTRIES PLUS SWITZERLAND)

OCT. 29 OCT. 29 OCT. 29 OCT. 29 OCT. 2 9 OCT. 29 OCT. 29 OCT. 29 OCT. 29

5 . 7 4 4 . 6 3 4 . 7 7 8 . 5 0

11 .19 4 . 0 2 7 . 3 8 5 . 4 1 6 . 6 9

CHART 6 . EUBO-DOLLAB DEPOSIT BATES: LONDON

OVERNIGHT OCT. 29 5 . 8 0 7-DAY OCT. 29 5 . 8 9 1—MONTH OCT. 29 5 . 9 3 ' 3-HONTH OCT. 29 5 . 9 4 6-MONTH OCT. 29 5 . 9 4 4 1-YEAR OCT. 29 6 . 0 8

. SELECTED EURO-DOLLAR AND U . S . HONEY HABKET BATES

OV EBNIGHT EURO-DOLLAR DEPOSITS OCT. 29 5 . 8 0 U.S. FEDERAL FUNDS OCT. 2 9 5 . 8 6 DIFFERENTIAL OCT. 29 —0.06

3-MONTH EURO-DOLLAR DEPOSIT BATE OCT. 29 5 . 9 4 U . S . 90-DAY CD'S , SECONDABY HABKET OCT. 29 5 . 7 4 DIFFERENTIAL OCT. 29 - 6 . 2 0


SERIES NAME LAST VALUE PLOTTED

i)Ai'E VALUE

CHART d . INTEREST ARBITRAGE, J-MONTif FUNDS

EURO-DOLLAR DEPOSIT OCT. 29 5 . 9 4 INTERBANK STERLING (LONDON) , COVERED OCT. 29 5 . 9 1 DIFFERENTIAL OCT. 29 0 . 0 3

U.S . COMMERCIAL PAPER OCT. 29 5 . 7 3 CANADIAN FINANCE PAPER, COVERED OCT. 29 5 . 9 2 DIFFERENTIAL OCT. 29 - 0 . 1 9

EURO-DOLLAR DEPOSIT OCT. 29 5 . 9 4 INTERBANK Dfl (FRANKFORT), COVERED OCT. 29 6 . 0 5 DIFFERENTIAL OCT. 29 - 0 . 1 1

EURO-DOLLAR DEPOSIT OCT. 29 5 . 9 4 SWISS INTERBANK, COVERED OCT. 29 5 . 9 6 DIFFERENTIAL OCT. 29 - 0 . 0 3

CHART 9 . LONG TERM GOVEBMENT BOND YIELDS

UNITED STATES OCT. 24 7 . 5 2 GERMANY OCT. 24 5 . 9 9 JAPAN (MONTHLY) OCT. 2 4 5 . 0 8 SWITZERLAND OCT. 17 4 . 1 8 CANADA OCT. 17 9 . 6 0 FRANCE OCT. 2 4 9 . 2 3 NETHERLANDS (MONTHLY) AUG. 6 . 0 3 UNITED KINGDOM OCT. 2 4 1 0 . 1 4

U . S . CORPORATE

AAA BONDS JUNE 9 . 1 3

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

OCX. 2 2 2 4 2 . 2 5 OCT. 22 2 7 7 . 5 4 OCT. 22 2 9 9 . 2 7 OCT. 2 2 2 7 9 . 0 4 OCT. 2 2 1 8 1 . 2 6 OCT. 2 2 3 2 4 . 4 1 OCX. 2 2 3 7 2 . 9 1 OCT. 22 3 5 0 . 0 6


FEDERAL RESERVE statistical release

H.10 (612)

FOREIGN EXCHANGE RATES * 0 8 m e MEEK JSNDIMG OCXOBilK J l , 198*

1 The Board of Governors of the Federal Hesswe System is advleed tfn purposes the foNovring noon buying ratee In New York City for cable

QCXUQEH 31, 1986

H the Federal Reaerve transfers payable In

of New York has certified for customs currencies

COUNTRY MONETARY

UNIT OCT. 27 imRBRUCY OMITS PER DOLLAR,

OCT. 2 8 OCT, 2 9 OCT. 3 0 OCT. 3 1

•AUSTRALIA AUSTRIA BELGIUM BRAZIL CANADA CHINA, P . ft. DENMARK FINLAND FRANCE GEBHANY GREECE HONG KONG INDIA

•IRELAND ITALX JAPAN MALAYSIA NETHERLANDS

•NB1 ZEALAND NORMA! PORTUGAL SINGAPOSB

•SOUTH AFRICA SOOTS KOREA SPAIN SRI LANKA SHBDEM SWITZERLAND TAINAN

"THAILAND •UNITED KINGDOM

IEHOX #UNITED STATES

DOLLAB SCHILLING FRANC CBDZADO DOLLAR YUAN KRONE MARKKA FRANC D . MARK DRACHMA DOLLAB RUPEE POOMD LIEA TEN RINGGIT GUILDER DOLLAR KRONE ESCUDO DOLLAR RAND 1 0 1 PESETA RUPEE KBOMA FBANC DOLLAR BAHX POUND

DOLLAR

6 4 . 1 4 . 4 2 . 1 4 .

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

1 3 8 . 7 .

12. 1 3 3 .

1 4 1 3 . 160.

2. 2. 5 0 .

7 . 1 5 0 .

2. 4 3 .

8 7 8 . 1 3 6 . 28. 6. 1.

3 6 . 26.

1 4 0 .

12 4 1 0 5 1 0 0 9 3 8 7 8 7 3 1 4 7 1 2 0 9 8 1 0 6880 0 4 7 5 3 0 0 8 0 3 5 9 7 0 0 10 2 5 7 0 6 2 5 5 3 1 3 8 7 0 0 4 6 0 0 500 1 8 4 5 6 5 * 0 8 5 0 4 7 7 9 9 8 0 6 9 3 0 5 7 0 2 7 0 6 5

1 0 8 . 5 8

6 4 . 3 1 1 4 . 3 1 3 4 2 . 2 1 0 1 4 . 0 9

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

1 3 7 . 7 0 0 7 . 7 9 9 0

1 2 . 9 2 0 0 1 3 4 - 4 5

1 4 0 5 . 0 0 160.10

2 . 6 2 2 5 2 . 2 9 6 5

5 0 . 6 5 0 7 . 4 2 1 0

1 4 9 . 1 5 0 2 . 1 8 4 5

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

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

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

1 4 1 . 5 5

1 0 7 . 9 7

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

1.3886 3 . 7 3 1 4 7 . * 4 1 5 4 . 9 5 0 5 6 . 6 2 6 5 2 . 0 2 9 5

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

1 2 . 9 3 0 0 1 3 4 . 2 8

1 4 0 3 . 0 0 160.50

2 . * 2 2 5 2 . 2 9 4 0

5 0 . * 0 0 7 . 4 2 4 0

1 4 9 . 0 0 0 2 . 1 8 5 0

4 3 . 7 5 8 7 7 . J O 1 3 6 . 0 0 0 2 8 . 4 6 0

6 . 9 6 5 0 1 . * 7 6 0

3 6 . 5 5 0 26.320

1 4 1 . | S %

1 0 7 . 9 2

64, 14 42, 14,

1 3. 7. 5. 6 2,

1 3 9 7,

12, 132 .

1421 , 161.

2, 2 .

50 , 7.

150 . 2 .

4 3 . 8 7 7 . 137 . 28.

7 . 1.

3 6 . 26,

1 3 9 .

18 , 4 4 5 * 6 3 0 , 0 9 >3884 7 3 1 4

, 7 3 3 0 , 0 0 8 0 , 7 0 0 0 0 5 2 5 000 8000 9 5 0 0 5 8 00 7 8 6 2 3 0 3 1 9 5 5 5 0 5 0 2 0 5 0 0 1 9 0 0 60 10 4 5 0 4 6 5 0 3 1 0 7 0 3 5 5 4 0 200 7 3

1 0 8 . 9 9

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

1 . 3 9 0 5 3 . 7 3 1 4 7 . 7 7 1 0 5 . 0 2 0 0 6 . 7 1 7 5 2.0610

1 4 0 . 2 0 0 7 . 7 9 9 5

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

1 4 2 6 . 0 0 1 6 3 . 4 0

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

5 0 . 7 0 0 7 . 5 1 9 0

1 5 1 . 7 5 0 2.2000

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

7 . 0 3 8 0 1 . 7 1 1 0 NA

26.260 1 4 0 . 5 5

1 0 9 . 3 3

#U&BZ OF VBI6BfBD AVBfMUSB VAIUS OF U . S . D o i U l U l I U ! CDBlBMCIJs OF OTHBB G-10 COUNTRIES. MARCH 1 9 ? ) * 1 0 0 . HEIGHTS A EE 1 9 7 2 - 7 6 GLOBAL T E A M OF EACH OF THE 10 COUNTRIES. SERIES HEFLSED AS OF AUGUST 1 9 7 8 . FOB DESCRIPTION AND BACK DATA, SEE » I # D E I OF THE SBIGHTBD-AVEBAGB EXCHANGE VALUE OF THE U . S . DOLLAR: REVISION41 OH PAGE 7 0 0 OP THE AUGUST 1 9 7 8 FEDERAL RESERVE BULLETIN.

•VALUE I S O . S . CENTS


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h13_19861103.pdf