h13_19860106.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

if *

i JANUARY 6, 1986 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

I

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.


CHART 1

SPOT EXCHANGE INDICES DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE)

AVERAGES FOR WEEK ENDING WEDNESDAY

RATIO SCALE MARCH 1973= 100

I 200 180 - FOREIGN CURRENCY PRICE OF U.S. DOLLAR -

160 - -%

140

120

100 I I I I I I I I I I I I I I I I I

RATIO SCALE MARCH 1973=100

- 50 ITALIAN LIRA

- 45

- 40

- 35

- - 30

I I I I i l l I l l l l l I 25

GERMAN MARK JAPANESE YEN

DUTCH GUILDER CANADIAN DOLLAR

UK. POUND ** 90

FRENCH FRANC - 80

- 70

- * - 60

- 50

I I I I I | I I | I I | I I 40

120

BELGIAN FRANC 100

90 - -

80 -

70 - ^ -

60 - -

50 I I I I I I L l n l i i l i i I l l l l l I I I I I 50

1984 1986

SWISS FRANC

1984 1986


CHART 2

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


PERCENT PER ANNUM PERCENT PER ANNUM

DUTCH GUILDER

12

SWISS FRANC

CANADIAN DOLLAR

4 U. K. POUND

0

4

8

8 GERMAN MARK

4

0

8

FRENCH FRANC

24 -

32

1986 1984

JAPANESE YEN

ITALIAN LIRA

24

32

1986


U.S. D

520

500

4 8 0

460

440

420

4 0 0

380

360

340

320

300

280

260

520

500

4 8 0

460

440

420

4 0 0

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 <

a

12.S Kg BARS AFTERNOON FIXING PRICE

I I I I I I M 1 I I I I I I I I I M 1 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 Af

U. S. FEDERAL FUNDS

UNITED KINGDOM

NETHERLANDS

I I I

1984

FRANCE

JAPAN

SWITZERLAND CANADA

GERMANY

-

V X ^ " * U W w w

M M /

I I I I I I i . h . l n l i .

1986 1984 1986


14

12

10

8

6

4

16

14

12

10

8

10

8

6

4

2

9

8

7

6

5

16

14

12

10

8

6

16

14

12

10

8

10

8

6

4

2

8

6

4

2

0

CHART 5

3-MONTH INTEREST RATES WEEKLY SERIES

' PER ANNUM PERCENT PER ANI

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

CANADIAN FINANCE CO. PAPER

I I I I I I

UK. INTERBANK STERLING FRENCH INTERBANK RATE

I I I I

GERMAN INTERBANK RATE NETHERLANDS INTERBANK RATE

-

I I I I I I 11111111111

JAPANESE GENSAKI RATE

SWISS INTERBANK RATE

A v j i / V V .

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

[NT PER ANNUM PERCENT PER At

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-YEAR 1-MONTH

1984 1986 1984 1986


CHART 7

SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES DIFFERENTIAL: PLUSM, FAVORS BORROWING IN U. S.


PERCENT PER ANNUM PERCENT PER ANNUM

EURO-DOLLAR DEPOSITS 3-MONTH

A /

90-DAY CD' S

16

14 FEDERAL FUNDS DASHED LINE

12

10

8 OVERNIGHT EURO-DOLLAR DEPOSITS

6

4

DIFFERENTIAL

1984 1986

2

DIFFERENTIAL

1

0

1

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE


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

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

I I I I I I

DIFFERENTIAL

J L L

INTERBANK DM COVERED FRANKFURT


PERCENT PER AN

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

i _ L

DIFFERENTIAL

I I I I I I I I

SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

v VA

I I

1984 1986

I PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1984

M l l l l l

DIFFERENTIAL

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

IT PER ANNUM PERCENT PER Ah

UNITED STATES CANADA

I I I I I I I I I I I

UNITED KINGDOM

I I l u l l

- JAPAN

I I 1 1 1 11111111111 11111111111

SWITZERLAND

I I I

GERMANY

I I I I I I

U. S. CORPORATE MONTHLY

Aaa BONDS , FRANCE

-

I NETHERLANDS

I

I I I

MONTHLY

-

1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

UNITED STATES

NETHERLANDS

GERMANY

FRANCE

SWITZERLAND


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE BATES AND INDICES

WEEKLY AVERAGES, NOON BUYING BATES ( U . S . CENTS)

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

JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN.

4 0 . 45 0 . 4 9 6 1 0

3 5 . 92 1 4 3 . 7 2

7 1 . 4 4 1 3 . 19 4 8 . 0 3

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

1 3 . 11

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

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

U . S . DOLLAR GERMAN MARK JAPANESE YEN DUTCH GUILDER U . K . POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA

JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN.

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

JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN.

1 1 3 . 7 8 1 2 9 . 9 0 1 0 3 . 11

5 8 . 13 7 1 . 2 0 5 9 . 4 2

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

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

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

1 8 7 . 0 0 9 2 . 3 8 3 7 . 3 6 6 8 . 19

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

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

JAN. JAN. JAN. JAN. JAN. JAN. JAN. JAN.

- 1 . 4 0 - 3 . 5 5

3 . 0 2 - 5 . 2 5

3 . 6 8 2. 11 1.02

- 8 . 5 0


S E R I E S S A M E LAST VALUE PLOTTED

DATE VALUE

CHART 3 . GOLD PRICE IN LONDON, AFTERNOON FIXING

U . S . DOLLARS PER FINE OUNCE JAN. 1 3 2 6 . 8 2

CHART 4 . CALL MONEY RATES

U . S . FEDEfiAL FUNDS OVERNIGHT BUBO-DOLLAR DEPOSITS U. K. CANADA GERMANY JAPAN FRANCE NETHERLANDS SWITZERLAND


9 . 5 5 9 . 0 5

1 1 . 3 3 9 . 50 4 . 9 3 7 . 8 9 9 . 0 6 5 . 7 9

10.00

CHART 5 . 3MONTH INTEREST RATES

0 . S . 90DAI C D ' S , SECONDARY MARKET GERMAN INTERBANK LOAN JAPANESE GENSAKI RATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTERBANK RATE NETHERLANDS INTERBANK RATE WEIGHTED AVERAGE FOREIGN INTEREST RATE

( G - 1 0 COUNTRIES PLUS SWITZERLAND)


7 . 77 4 . 80 7 . 0 7 9 . 4 0

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

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT 7-DAY 1-MONTH 3-MONTH 6-MONTH 1-YEAR

JAN. JAN. JAN. JAN. JAM. JAN.

9 . 0 5 8.58 8 . 1 4 7 . 9 5 7 . 9 5 7 . 9 7

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

OVERNIGHT EURO-DOLLAR DEPOSITS JAN. 1 9 . 0 5 9 . S . FEDERAL FUNDS JAN. 1 9 . 5 5 DIFFERENTIAL JAN. 1 - 0 . 5 0

3-MONTH EURO-DOLLAR DEPOSIT RATE JAN. 1 7 . 9 5 U . S . 90-DAY C D ' S , SECONDARY MARKET JAM. 1 7 . 7 7 DIFFERENTIAL J A N . 1 0 . 1 8


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON), COVERED DIFFERENTIAL

U . S . COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL

EURO-DOLLAR DEPOSIT INTERBANK DM (FRANKFURT) , COVERED DIFFERENTIAL

EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL

JAM. JAM. JAN.

JAN. JAM. JAM.

JAN. JAN. JAM.

JAN. JAN. JAN.

7 . 9 5 8 . 1 4

- 0 . 1 9

7 . 75 7 . 9 7

-0. 22

7 . 9 5 7 . 8 5 0.10

7 . 9 5 7 . 8 0 0 . 15

CHART 9 . LONG TERM GOVERMENT BOND YIELDS

UNITED STATES GERMANY JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM

U . S . CORPORATE

AAA BONDS

DEC. 2 7 DEC. 2 7 JAN. DEC. 2 7 DEC. 13 DEC. 2 0 OCT. DEC. 2 7

NOV.

9 . 0 5 6 . ^ 2 6 . 2 9 4 . 5 3

1 0 . 0 9 1 1 . 3 5

7 . 0 3 9 . 9 7

1 0 . 5 5

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

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


M

FEDERAL RESERVE statistical release -

H - 1 0 (512> - JANIMBi j , 19U6

FOREIGN EXCHANGE RATES FOh THE WEEK ENDING JANUAHK 3 , 1 9 8 b

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 UNI] :s PER DOLLAR)

COUNTRY MONETARY

UNIT DEC. 30 DEC. 31 J A N . 1 J A N . 2 JAN. 3

AUSTRALIA DOLLAR 6 8 . 1 0 6 8 . 1 8 6 8 . 2 0 6 8 . 10 AUSTRIA SCHILLING 1 7 . 3 4 0 1 7 . 2 0 9 1 7 . 2 0 0 1 7 . 3 1 0 BELGIUM FRANC 5 0 . 4 0 0 6 0 . 0 5 0 4 9 . 9 1 0 5 0 . 3 5 0 BRAZIL CRUZEIRO 1 0 4 9 0 . 0 0 1 0 4 9 0 . 0 0 1 0 5 6 0 . 0 0 NA CANADA DOLLAR 1 . 3 9 9 b 1 . 3 9 8 5 1 . 4 0 1 0 1 . 4 0 3 5 C H I N A , P . R . YUAN 3 . 2 0 9 5 3 . 2 0 9 5 3 . 2 0 9 b 3 . 2 0 9 5 DENMARK KRONE 8 . 9 8 7 5 8 . 9 3 5 0 8 . 9 0 6 0 8 . 9 7 0 0 FINLAND MARKKA 5 . 4 3 5 0 5 . 4 0 4 0 5 . 3 9 6 5 5 . 4 2 3 5 FRANCE FRANC 7 . 5 5 5 0 7 . 5 0 7 5 7 . 4 8 6 5 7 . 5 5 2 5 GERMANY D. MARK 2 . 4 6 5 0 2 . 4 4 7 0 2 . 4 3 8 0 2 . 4 6 1 3 GREECE DRACHMA 1 4 8 . 7 0 0 1 4 8 . 0 0 0 1 4 7 . 5 0 0 1 4 9 . 0 0 0 HONG KONG DOLLAR 7 . 8 1 0 0 7 . 8 0 7 5 7 . 8 0 9 0 7 . 8 1 1 5 INDIA RUPEE 1 2 . 1 0 0 0 1 2 . 1 1 0 0 H 1 2 . 0 3 0 0 1 2 . 1 2 0 0

IRELAND POUND 1 2 4 . 0 5 1 2 4 . 7 0 1 2 4 . 2 0 1 2 3 . 6 0 ITALY LIRA 1 * 8 1 . 0 0 1 6 6 8 . 0 0 1 6 6 5 . 0 0 1 6 8 2 . 0 0 JAPAN YEN 2 0 1 . 0 5 2 0 0 . 2 5 0 1 9 9 . 1 5 2 0 2 . 5 3 MALAYSIA RINGGIT 2 . 4 3 5 0 2 . 4 2 0 0 2 . 4 1 8 0 2 . 4 2 9 5 MEXICO PESO NA NA NA NA NETHERLANDS GUILDER 2 . 7 7 7 0 2 . 7 5 4 0 L 2 . 7 4 9 5 2 . 7 7 1 5

NEW ZEALAND DOLLAR 5 0 . 0 5 0 5 0 . 0 5 0 5 0 . 2 0 0 5 0 . 0 5 0 NORWAY KRONE 7 . 5 9 5 0 7 . 5 8 0 0 7 . 5 5 1 0 7 . 5 8 0 0 PORTUGAL ESCUDO 1 5 9 . 0 0 0 1 5 8 . 7 0 0 I 1 5 8 . 0 0 0 1 5 9 . 0 0 0 SINGAPORE DOLLAR 2 . 1 1 0 0 2 . 1 0 5 0 2 - 1 1 4 0 2 . 1 2 J 5

SOUTH AFRICA RAND 3 8 . 5 0 3 8 . 9 0 3 9 . 5 0 3 9 . 10 SOUTH KOREA WON 8 9 2 . 9 0 8 9 2 . 5 0 D 8 9 2 . 5 0 8 9 2 . 5 0 SPAIN PESETA 1 5 4 . 2 0 0 1 5 3 . 9 0 0 1 5 3 . 2 0 0 1 5 3 . 9 5 0 S R I LANKA RUPEE 2 7 . 4 2 3 2 7 . 4 2 3 2 7 . 4 2 8 2 7 . 4 3 0 SWEDEN KRONA 7 . 6 0 0 0 7 . 5 7 5 0 A 7 . 5 7 1 0 7 . 5 9 5 0 SWITZERLAND FRANC 2 . 0 8 1 0 2 . 0 6 0 0 2 . 0 5 0 0 2 . 0 t o 9 5 TAIWAN DOLLAR 3 9 . 9 0 0 3 9 . 9 0 0 NA NA THAILAND BAfiT 2 6 . 7 0 0 2 6 . 7 0 0 Y 2 6 . 6 0 0 2 6 . 6 4 0

UNITED KINGDOM POUND 1 4 3 . 9 0 1 4 4 . 5 0 1 4 5 . 0 5 1 4 3 . 8 0

MEMO: 1 2 3 . 2 7 1 2 4 . 4 1 UNITED STATES DOLLAR 1 2 4 . 3 3 1 2 3 . 6 2 0 . 2 5 1 2 3 . 2 7 1 2 4 . 4 1

INDEX OF WEIGHTED AVERAGE EXCHANGE VALUE OF U . S . DOLLAR AGAINST CURRENCIES OF OTHER G - 1 0 COUNTRIES. MARCH 1 9 7 3 = 100* HEIGHTS ARE 197276 GLOBAL TRADE OF EACH OF THE 10 COUNTRIES* S E R I E S REVISED AS OF AUGUST 1 9 7 8 . FOR DESCRIPTION AND BACK DATA, SEE "INDEX OF THE WEIGHTED-AVER AGE EXCHANGE VALUE OF THE U . S . DOLLAR: R E V I S I O N " ON PAGE 7 0 0 OF THE AUGUST 1 9 7 8 FEDERAL RESERVE BULLETIN.

VALUE I S U . S . CENTS


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