h13_19860804.pdf

( 5 1 6 / 5 1 7 )

Selected Interest & Exchange Rates Weekly Series of Charts

11

August 4, 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

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

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.


RATIO J 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

4 0

120

100

90

80

70

' 6 0

50

1=100

50

4 5

4 0

35

30

25

200 180

160

140

120

100

80

140

120

100

90

80

70

60

90

80

70

60

50

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 RATIO 973=100 MARCH 197V

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

ITALIAN LIRA

s

GERMAN MARK

CANADIAN DOLLAR

U.K. POUND

JAPANESE YEN ~p V ~~

I I I

DUTCH GUILDER

- FRENCH FRANC

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

SWISS FRANC B E L G I A N F R A N C

1984 1986 1984 1986


CHART 2

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


PERCENT PER ANNUM

4

CANADIAN DOLLAR

+ 0

4

8

4 U. K. POUND

+ 0

4

8

8 GERMAN MARK

4

0

8

FRENCH FRANC

+ 0

8

16

24

32

1984 1986

JAPANESE YEN

12

SWISS FRANC

DUTCH GUILDER

ITALIAN LIRA

32

1984 1986


CHART 3

PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. DOLLARS PER FINE OUNCE

I 520

U.S. DOLLARS PER FINE OUNCE

520 r ~

500 500

4 8 0 4 8 0

4 6 0 4 6 0

12.5 Kg BARS AFTERNOON FIXING PRICE

4 4 0 4 4 0

4 2 0 4 2 0

4 0 0 4 0 0

3 8 0 3 8 0

360 3 6 0

3 4 0 3 4 0

3 2 0 3 2 0

3 0 0 3 0 0

280 280

260 260 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 A t

U. S. FEDERAL FUNDS FRANCE

JAPAN

S W I T Z E R L A N D CANADA

UNITED KINGDOM

NETHERLANDS

I I

GERMANY

" \ r AW/Vwv

1984 1986 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 Ah

U . S . CD 'S

WEIGHTED AVERAGE FOREIGN RATE

U.K. INTERBANK STERLING

CANADIAN FINANCE CO. PAPER

L -

/A ' FRENCH INTERBANK RATE

-

I I I

h -

GERMAN INTERBANK RATE NETHERLANDS INTERBANK RATE

SWISS INTERBANK RATE JAPANESE GENSAKIRATE

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 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 A

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

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

3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD' S

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

DIFFERENTIAL

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

DIFFERENTIAL

/ w y \ A A v x

1 1 1 1 1 1 1 1 11 I I I I I I I I I I I I 1984

PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986 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: F L U S H , 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

INTERBANK DM COVERED FRANKFURT


SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

1984 1986

DIFFERENTIAL

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

1 0 '

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 -

-

UNITED KINGDOM SWITZERLAND

GERMANY

JAPAN

U. S . CORPORATE MONTHLY

Aaa BONDS

1984 1986

v FRANCE

-

- I NETHERLANDS

I

I I I

MONTHLY

MISVRRL I I I I I

1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

3 5 0 3 5 0

3 0 0 - - - A v x - 3 0 0

2 5 0 2 5 0 UNITED KINGDOM f

UNITED STATES y 2 0 0 2 0 0

150 - 7 " a / V / / Y ^ -150

100 I | | I I I I I I M 1111 M I M 100

3 5 0 ZX 2 4 5

3 0 0 f y W - - - 2 1 0

2 5 0 - r - - / \ - 1 7 5

NETHERLANDS SWITZERLAND j "

2 0 0 1 4 0

150 J - - 1 0 5

100 / \ | |

I I I I I I I I I u l i i h i l i i 7 0

FRANCE

GERMANY

CANADA

JAPAN

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


S E R I E S NAME LAST VALUE PLOTTED

DATS VALUE

CHART 1 . SPOT EXCHANGE BATES AMD INDICES

MEEKLY AVERAGES, NOON BUYING KATES ( U . S . CENTS)

GERMAN MARK JULY 30 4 7 . 07 JAPANESE IEN JULY 30 0. 6 3 9 2 8 DUTCH GUILDER JULY 30 4 1 . 77 O.K. POUND JULY 30 148 . 68 CANADIAN DOLLAR JULY 3 0 7 2 . 10 FRENCH FRANC JULY 30 1 4 . 54 SWISS FRANC JULY 30 5 8 . 50 BELGIAN FRANC JULY 30 2 . 2 7 9 8 6 ITALIAN LIRA JULY 30 0. 0 6 8 5 1 SWEDISH KRONA JULY 3 0 1 4 . 20

INDICES, MARCH 1973 BASE BATES = 100

GERMAN MARK JULY 30 132 . 40 JAPANESE YEN JULY 30 1 6 7 . 3 8 DUTCH GUILDER JULY 3 0 1 1 9 . 9 1 O.K. POUND JULY 30 6 0 . 14 CANADIAN DOLLAR JULY 30 7 1 . 8 6 FRENCH FRANC JULY 30 6 5 . 5 2 SWISS FRANC JULY 30 1 8 8 . 2 1 BELGIAN FRANC JULY 3 0 8 9 . 8 4 ITALIAN LISA JULY 30 3 8 . 92

WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100 (G-10 COUNTRIES PLUS SWITZERLAND)

BUS. DOLLAR JULY 3 0 1 0 9 . 6 0 GERMAN HARK JULY 3 0 1 5 2 . 5 1 JAPANESE YEN JULY 30 1 9 3 . 0 3 DUTCH GUILDER JUL* 30 13 1. 18 0- K. POUND JULY 30 6 1 . 77 CANADIAN DOLLAR JULY 30 7 5 . 7 0 FRENCH FRANC JULY 30 6 7 . 6 4 S 8 I S S FRANC JULY 3 0 2 0 6 . 44 BELGIAN FRANC JULY 3 0 9 6 . 3 8 ITALIAN LIRA JULY 30 3 9 . 1 3 SWEDISH KRONA JULY 3 0 6 6 . 7 1

IT 2 . 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT

CANADIAN DOLLAR JULY 3 0 - 2 . 2 8 I L K . POUND JULY 3 0 - 3 . 2 8 GERMAN BARK JULY 3 0 1 . 9 0 FRENCH FRANC JULY 3 0 - 0 . 7 7 SWISS FRANC J U L I 3 0 1 . 6 2 DUTCH GUILDER JULY 30 1 . 0 1 JAPANESE YEN JULY 30 1 . 8 3 ITALIAN LIRA JULY 30 - 4 . 9 0


LAST VALUE PLOTTED SERIES NAME DATE VALUE

CHART 3 . GOLD PRICE IN LONDON, AFTERNOON FIXING

U . S . DOLLARS PER FINE OUNCE JULY 3 0 3 5 0 . 9 1

CHARl 4 . CALL MONEY RATES

D . S . FEDERAL FUNDS JULY 30 6 . 3 2 OVERNIGHT EURO-DOLLAR DEPOSITS JULY 30 6 . 3 4 U.K. JULY 3 0 9 . 6 7 CANADA JULY 3 0 8 . 2 5 GERMANY JULY 3 0 4 . 7 8 JAPAN JULY 3 0 4 . 6 0 FRANCE JULY 30 7 . 42 NETHERLANDS JULY 30 5 . 60 SWITZERLAND JULY 30 4 . 4 0

CHART 5 . 3MONTH INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET JULY 30 6 . 3 1 GERMAN INTERBANK LOAN JULY 3 0 4 . 6 2 JAPANESE GENSAKI RATE JULY 30 4 . 6 1 CANADIAN FINANCE PAPER JULY 30 8 . 6 2 INTERBANK STERLING JULY 3 0 9 . 9 1 SWISS INTERBANK LOAN JULY 3 0 4 . 9 0 FRENCH INTERBANK RATE JULY 30 7 . 13 NETHERLANDS INTERBANK RATE JULY 30 5 . 5 0 WEIGHTED AVERAGE FOREIGN INTEREST RATE JULY 30 6 . 64

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT JULY 30 6 . 3 4 7-DAY JULY 30 6 . 4 1 1-MONTH JULY 3 0 6 . 4 9 3-MONTH JULY 30 6 . 4 9 6-MONTH JULY 30 6 . 4 9 1-YEAR JULY 30 6 . 6 0

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

JULY 3 0 6 . 3 4 JULY 30 6 . 32 JULY 3 0 a . 02

OVERNIGHT EURO-DOLLAR DEPOSITS I L S . FEDERAL FUNDS DIFFERENTIAL

3-MONTH EURO-DOLLAH DEPOSIT SATS I L S . 90-DAY C D ' S , SECONDARY MARKET DIFFERENTIAL

JULY 30 JULY 30 JULY 3 0

6 . 4 9 6 . 3 1 0.18


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART ti. INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT J U L I 30 6 . 4 9 INTERBANK STERLING (LONDON), COVERED J U L I 30 6 . 5 5 DIFFERENTIAL J U L I 30 - 0 . 06

CLS. COMMERCIAL PAPER J U L I 3 0 6 . 1 7 CANADIAN FINANCE PAPER, COVERED JULI 30 6 . 2 9 DIFFERENTIAL J U L I 30 - Q . 12

EURO-DOLLAR DEPOSIT JULY 30 6 . 49 INTERBANK DM (FRANKFORT) , COVERED JULY 3 0 6 . 5 5 DIFFERENTIAL JULI 30 0. 06

EURO-DOLLAR DEPOSIT JULY 30 6 . 4 9 SWISS INTERBANK, COVERED JULY 30 6 . 5 4 DIFFERENTIAL JULI 30 - 0 . 0 5

CHART 9 . LONG TERM GOVEfiMENT BOND YIELDS

UNITED STATES JULY 2 5 7 . 2 6 GERMANY JULY 2 5 5 . 7 4 JAPAN (MONTHLY) JULY 2 5 4 . 9 8 SWITZERLAND JULY 11 4 . 0 5 CANADA JULY 18 9 . 2 4 FRANCE JULY 18 8 . 5 4 NETHERLANDS (MONTHLY) JUNE 6 . 3 8 UNITED KINGDOM JULI 2 5 9 . 1 8

. CORPORATE

AAA BONDS JUNE 9 . 13

CHART 10 . STOCK INDICES

JUL? 2 3 2 4 3 . 6 0 JULY 2 3 2 8 2 . 9 1 JUL J 2 3 2 9 3 . 8 1 JUL I 2 3 2 5 5 . 6 4 JULY 2 3 1 6 8 . 2 2 JOLT 2 3 3 4 1 . 5 8 JULX 2 3 3 6 9 . 3 9 JULI 2 3 3 7 6 . 9 3

UNITED STATES UNITED KINGDOM CANADA GBBflANY SMITZERLAMD METHERLABDS PRANCE JAPAN


FEDERAL RESERVE statistical release

H.10 (512)

FOREIGN EXCHANGE RATES FOB THJB NBEK 3 * 0 1 * 6 AOGOST 1 , 1986

r^n&y AUG OS 1' 1 , 1966

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 (CURRENCY UNITS PER DOLLAf n

COUNTRY MONETARY

UNIT JULY 2 8 JULY 29 JULY 3 0 JULY 31 AUG. 1

AUSTRALIA DOLLAR 6 1 . 0 5 6 0 . 9 3 6 1 . 04 5 9 . 5 9 6 0 . 5 2 AUSTRIA SCHILLING 1 4 . 9 3 0 1 4 . 8 5 0 1 4 . 8 7 0 1 4 . 3 7 5 1 4 . 670 BELGIUM FRANC 4 3 . 6 3 0 4 3 . 6 1 0 4 3 . 7 1 0 4 3 . 3 5 0 4 3 . 180 BRAZIL CBUZADO 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 CANADA DOLLAR 1 . 3 8 8 0 1 . 3 8 7 5 1 . 3 8 3 9 1 . 3 7 9 5 1 . 3 8 0 7 CHINA, P . R . IUAN 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 DENMARK KRONE 7 . 9 8 3 0 7 . 9 6 9 0 7 . 9 6 0 0 7 . 9 0 6 0 7 . 8 7 5 0 FINLAND MARKKA 5 . 0 3 5 5 5 . 0 2 9 5 5 . 0 2 7 0 5 . 0 1 5 0 4 . 9 8 7 5 FRANCE FRANC 6 . 8 4 0 0 6 . 8 4 2 5 6 . 8 5 4 0 6 . 8 1 0 0 6 . 7 8 2 0 GERMANY D . MARK 2 . 1 1 4 0 2 . 1 1 1 5 2 . 1 1 4 0 2 . 0 9 3 5 2 . 0 8 40 GREECE DRACHMA 1 3 7 . 5 0 0 1 3 6 . 3 0 0 1 3 7 . 2 5 0 1 3 5 . 6 5 0 1 3 5 . 5 0 0 HONG KONG DOLLAR 7 . 8 0 8 5 7 . 8 0 8 5 7 . 8 0 9 0 7 . 8 0 8 0 7 . 8 0 7 5 IBDIA RUPEE 1 2 . 5 8 0 0 1 2 . 5 6 0 0 1 2 . 5 7 0 0 1 2 . 5 8 0 0 1 2 . 5 8 0 0

IRELAND POUND 1 4 0 . 2 3 1 4 0 . 4 2 1 4 0 . 4 5 1 4 1 . 3 8 1 4 1 . 7 5 ITALY LIRA 1 4 5 2 . 0 0 1451 .OQ 1 4 5 4 . 0 0 1 4 3 9 . 0 0 1 4 3 2 . 0 0 JAPAN TEN 1 5 5 . 9 5 1 5 5 . 7 0 1 5 6 . 10 1 5 3 . 8 5 1 5 3 . 8 5 MALAYSIA RINGGIT 2 . 6 4 3 0 2 . 6 3 8 5 2 . 6 3 0 0 2 . 6 2 3 0 2 . 6 3 2 5 NETHEBLANDS GUILDER 2 . 3 8 3 0 2 . 3 7 9 5 2 . 3 8 3 5 2 . 3 5 9 0 2 . 3 4 9 5

HER ZEALAND DOLLAR 5 2 . 7 0 0 5 2 . 9 0 0 5 1 . 8 0 0 5 2 . 0 5 0 5 1 . 9 0 0 NOfiNAI KRONE 7 . 4 6 5 0 7 . 4 4 9 0 7 . 4 4 8 0 7 . 4 1 9 0 7 . 4 0 5 0 PORTUGAL ESCUDO 1 4 8 . 3 0 0 1 4 8 . 0 0 0 1 4 7 . 3 0 0 1 4 7 . 3 0 0 1 4 6 . 9 0 0 SINGAPORE DOLLAR 2 . 1 8 2 5 2 . 1 7 9 5 2 . 1 7 8 5 2 . 1 7 4 5 2 . 1745

SOUTH AFRICA RAND 3 8 . 8 0 3 9 . 1 5 3 8 . 3 0 3 9 . 0 5 3 9 . 8 3 SOOTH KOREA ROM 8 8 9 . 6 0 8 8 9 . 0 0 8 8 9 . 4 0 8 8 9 . 0 0 8 8 8 . 4 0 SPAIN PESETA 1 3 6 . 2 0 0 1 3 5 . 8 3 0 1 3 5 . 9 5 0 1 3 5 . 6 5 0 1 3 5 . 2 5 0 SRI LANKA RUPEE 2 8 . 1 1 5 2 8 . 1 1 7 2 8 . 1 1 5 2 8 . 1 1 3 2 8 . 1 1 5 SNBDEN KRONA 7 . 0 3 3 0 7 . 0 1 8 0 7 . 0 1 0 0 6 . 9 7 6 0 6 . 9 7 5 0 SWITZERLAND FRANC 1 . 7 0 2 5 1 . 6 9 1 5 1 . 6 9 7 0 1 . 6 7 8 0 1 . 6 7 0 5 TAINAN DOLLAR 3 8 . 1 2 0 3 8 . 1 2 0 3 8 . 1 1 0 3 8 . 1 0 0 3 8 . 0 6 0 THAILAND BAHT 2 6 . 2 3 0 2 6 . 1 5 0 2 6 . 1 7 0 2 6 . 1 3 0 2 6 . 1 2 0

UNITED KINGDOM POUND 1 4 8 . 0 5 1 4 8 . 8 0 1 4 8 . 9 5 1 4 9 . 1 5 1 4 8 . 5 0

HEEO: #UNITED STATES DOLLAR 1 0 9 . 2 7 1 0 9 . 1 0 1 0 9 . 2 1 1 0 8 . 3 2 1 0 8 . 0 9

INDEX OF HEIGH TED AVERAGE EXCHANGE VALUE OF U . S . DC ULLAK AGAXN5T CUHKSMLJLJSS U1 F OTHER G - 1 0 COUNTRIES. B ASCII 1 9 7 3 = 1 0 0 . HEIGHTS ABB 1 9 7 2 - 7 6 GLOBAL MADB OF EACH OF THE 10 COO HI BIBS . SEBIES BEVISED AS CUT ACCOST 1 9 7 8 . FOB DBSCM PTION AMD BACK DATA, SEE "INDEX Of THE HEIGHTED-AtZBAGB EXCHANGE fALOE Of THE 0 . S . DOLLAH2 BBVISION" OH PAGE 7 0 0 OF THE AUGUST 1 9 7 8 FEDEBAL BBSEBTB BULLETIN.

*VALU. I S O . S . CENTS


Date post:	24-Sep-2015
Category:	Documents
Upload:	fedfraser
View:	215 times
Download:	1 times

h13_19860804.pdf

Documents