h13_19860428.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

April 28, 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

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.


RATIO MARO

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

;=ioo

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

12

SWISS FRANC

CANADIAN DOLLAR

8

4 U. K. POUND

+ 0

4

8

8 GERMAN MARK

4

0

8

FRENCH FRANC

32

1984 1986

DUTCH GUILDER

ITALIAN LIRA

24

32

1984 1986


U.S. D

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

12.5 Kg BARS AFTERNOON FIXING PRICE

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

MUM

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

i l l i i I i i l l i

SWITZERLAND

UNITED KINGDOM

NETHERLANDS

I I I I I

FRANCE

JAPAN

CANADA

GERMANY

-

V V V _ J A.. . U W w v .

I I I I I I i l l i i l l i I n

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

i i l i i l i i l i i I

U.K. INTERBANK STERLING

CANADIAN FINANCE CO. PAPER

k -

I I I

i FRENCH INTERBANK RATE

-

i i i I I I

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

NUM

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 A!

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

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

12

10

FEDERAL FUNDS DASHED LINE

OVERNIGHT E U R O - D O L L A R DEPOSITS

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

PERCENT PER ANNUM

16

14 3-MONTH E U R O - D O L L A R DEPOSITS

90-DAY CD' S

I I l 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

DIFFERENTIAL

I l l 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

DIFFERENTIAL

I I I I I I I I I M I I I I I I I I I I I I

4

2

1984

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986 1984 1986


PER

18

14

10

6

2

2

+ 0

2

18

14

10

6

2

2

0

2

IUM

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

DIFFERENTIAL

I L L

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

1111111 H 1111111111

DIFFERENTIAL

I I I I I I

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

:NT PER ANNUM PERCENT PER Ah

UNITED STATES

UNITED KINGDOM

JAPAN

U. S. CORPORATE MONTHLY

Aaa BONDS

I I II

CANADA

-

I I I ii l i i h i l i i

SWITZERLAND

GERMANY

1984 1986

v i FRANCE

-

- i NETHERLANDS

I I I

MONTHLY

I I I l l l l l l l l l l l l l I I I I I I I I I I I

1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

UNITED KINGDOM

UNITED STATES

NETHERLANDS

GERMANY

FRANCE SWITZERLAND

CANADA

JAPAN

1984 1986 1984 1986


S E R I E S NAME LAST VALUE PLOTTED

DATE VALUE

> CHART 1 . SPOT EXCHANGE RATES ADD I N D I C E S

WEEKLY AVERAGES, NOON BUYING RATES {U.S. CENfS)

GERMAN MARK JAPANESE YEN DUTCH GUILDER 0 . K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LISA SWEDISH KROSA

APRIL 23 APRIL 2 3 APRIL 23 APRIL 2 3 APRIL 2 3 APRIL 23 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 23

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

4 0 . 12 1 5 2 . 0 5

7 1 . 9 7 14. 20 5 4 . 14

2 . 2 1 6 3 6 0.06601

1 4 . 0 4

INDICES, HARCH 1973 BASE RATES - 100

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

APRIL 2 3 APRIL 23 APRIL 2 3 APRIL 23 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 23 APRIL 2 3

127 .39 152 .17 115. 17 61.50 7 1 . 73 6 4 . 0 0

174 . 16 8 7 . 3 4 3 7 . 5 0

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

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

APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 23 APRIL 2 3 APRIL 23 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 2 3

1 1 3 . 3 1 150 .27 1 7 8 . 6 5 1 2 9 . 2 1 6 5 . 18 7 7 . 7 2 6 7 . 8 4

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

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

APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 23

-2 .80 - 3 . 2 6

2 . 19 - 0 . 7 3

2 . 5 0 1 .41 2.00

- 5 . 72


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 3 . GOLD PRICE 18 LONDON, AFTERNOON FIXING

0- S . DOLLARS PES FINE OUNCE APRIL 2 3 3 4 2 . 6 4

CHART 4 . CALL HONEY RATES

0. S. FEDERAL FUNDS OVERNIGHT EURO-DOLLAR DEPOSITS U. K. CANADA GERMANY JAPAN FRANCE NETHERLANDS SWITZERLAND

APRIL 23 APRIL 2 3 APRIL 23 APRIL 2 3 APRIL 23 APRIL 2 3 APRIL 23 APRIL 23 APRIL 23

6 . 9 2 6 . 9 5

1 1 . 4 7 10. 40

4 . 6 1 4 . 3 3 7 . 8 0 5 . 5 2 1.00

CHART 5 . 3-MONTH INTEREST RATES

O.S . 90-DAY CD'S , SECONDARY MARKET GERMAN INTERBANK LOAN JAPANESE GENSAKI RATE CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN FRENCH INTERBANK BATE NETHERLANDS INTERBANK RATE WEIGHTED AVERAGE FOREIGN INTEREST RATE

(G10 COUNTRIES PLUS SWITZERLAND)

APRIL 2 3 APRIL 23 APRIL 23 APRIL 2 3 APRIL 23 APRIL 23 APRIL 23 APRIL 2 3 APRIL 2 3

6 . 4 2 4. 45 4 . 6 9 9 . 40

10.01 4 . 1 0 7 . 3 8 5 . 13 6 . 76

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

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

APRIL 23 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 2 3 APRIL 2 3

6 . 9 5 6 . 7 5 fa-68 6 . 5 6 6 . 5 5 6 . 5 8

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

OVERNIGHT EURO-DOLLAR DEPOSITS 8 . S . FEDERAL FUNDS DIFFERENTIAL

APRIL 2 3 APRIL 2 3 APRIL 2 3

6 . 9 5 6 . 9 2 0 . 0 3

3-MONTH EURO-DOLLAR DEPOSIT RATE 8 * S . 90-DAI CD 'S , SECONDARY MARKET DIFFERENTIAL

APRIL 23 APRIL 23 APRIL 23

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


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . 1STBREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT APRIL 2 3 6 . 5 6 INTERBANK STERLING (LONDON), COVERED APRIL 23 6 . 67 DIFFERENTI AL APRIL 23 - 0 . 11

O.S . COMMERCIAL PAPER APRIL 23 6 . 36 CANADIAN FINANCE PAPEE, COVERED APRIL 2 3 6 . 54 DIFFERENTIAL APRIL 23 - 0 . 18

EURO-DOLLAR DEPOSIT APRIL 2 3 6. 56 INTERBANK DM (FRANKFURT) , COVERED APRIL 23 6 . 6 6 DIFFERENTIAL APRIL 23 - 0 . 10

EURO-DOLLAR DEPOSIT APRIL 2 3 6 . 56 SWISS INTERBANK, COVERED APRIL 23 6 . 6 3 DIFFERENTIAL APRIL 23 - 0 . 07

CHART 9 . LONG TERM GOVERMENT BOND YIELDS

UNITED STATES APRIL 18 7 . 10 GERMANY APRIL 18 5 . 3 6 JAPAN (MONTHLY) JAN. 6 . 2 9 SWITZERLAND MARCH 2 1 4 . 2 3 CANADA APRIL 11 9 . 2 1 FRANCE APRIL 11 8 . 9 2 NETHERLANDS (MONTHLY) FEB. 6 . 8 4 UNITED KINGDOM APRIL 18 8 . 3 3

U . S . CORPORATE

AAA BONDS FEB. 9 . 6 7

CHABT 10, STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

APRIL 16 2 4 8 . 0 6 APRIL 16 3 0 3 . 2 6 APRIL 16 3 0 8 . 8 9 APRIL 16 3 2 1 . 1 8 APRIL 16 2 0 1 . 6 0 APRIL 16 3 0 7 . 4 7 APRIL 16 3 7 0 . 8 0 APRIL 16 3 2 4 . 3 2


FEDERAL RESERVE statistical release

H.10 (512)

FOREIGN EXCHANGE RATES FOB THB H2EK BNDISG APBIL 2 5 , 1986

APEIL 2 5 , 19tio

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 ICDflfiEMCT OMITS PER DOLLAR!

COUNTRY MONETARY

UNIT APR. 21 APR. 22 APR. 2 3 APR. 2 4 APR. 2 5

AUSTRALIA DOLLAB 7 2 . 0 5 7 2 . 9 7 7 3 . 0 0 7 3 . 0 b 7 3 . 0 7 AUSTRIA SCHILLING 1 5 , 490 15 . 449 1 5 . 4 3 7 1 5 . 480 1 5 . 2 6 5 BELGIUM FBANC 4 5 . 170 4 4 . 980 4 4 . 830 4 4 . 900 4 4 . 4 2 0 BRAZIL CBUZADO 1 3 . 84 1 3 . 8 4 1 3 . 8 4 1 3 . 84 1 3 . 8 4 CANADA DOLLAB 1 . 3 8 5 2 1 . 3 8 9 5 1 . 3 9 5 2 1 . 3 8 7 1 1 . 3 * 4 0 CHINA# P . R. YUAN 3 . 2 0 9 5 3 . 2 0 3 1 3 . 2 0 3 1 3 . 1999 3 . 19*9 DBNflA&K KRONE 6 . 1650 8 . 1425 8 , 1 2 7 0 8 . 1440 8 . 0 5 0 0 FINLAND MARKKA 5 . 0 1 5 0 4 . 9 8 0 0 5 . 0 0 0 0 4 . 9 8 7 0 4 . 9b00 PRANCE FRANC 7 . 0 3 5 0 7 . 0 2 5 0 7 . 0 1 0 0 7 . 0 2 0 0 6 . 9 4 5 0 GERSANY D. HARK 2 . 2 0 6 5 2 . 2 0 2 5 2 . 1 9 6 0 2 . 2 0 1 0 2 . , 17b0 GRRBCB DRACHMA 1 4 0 . 100 1 3 8 . 5 0 0 1 3 8 . 4 0 0 1 3 9 . 0 0 0 1 3 8 . 8 5 0 HONG SONG DOLLAR 7 . 7 8 1 0 7 . 7 8 0 5 7 . 7 8 0 0 7 . 7 7 1 0 7 . , 7 6 7 5 INDIA RUPEE 1 2 . 3 6 0 0 1 2 . 3 0 0 0 1 2 . 2 9 0 0 1 2 . 2 2 0 0 1 2 . 2 8 0 0

IRELAND POUND 1 3 7 . 7 5 1 3 7 . 7 5 1 3 7 . 9 5 1 3 7 . 90 1 3 9 . 9 0 ITALY LIRA 1 5 1 5 . 00 1 5 1 1 . 0 0 1 5 0 6 . 00 1 5 1 1 . 0 0 1 4 9 4 . 00 JAPAN YEN 1 7 2 . 0 0 1 7 0 . 1 5 1 6 9 . 3 5 1 6 9 . 0 0 168 . 10 MALAYSIA RINGGIT 2 . 5 4 3 0 2 . 5 4 7 5 2 . 5 5 0 0 2 . 5 6 4 0 2 . 5 8 5 0 NETHERLANDS GUILDER 2 . 4 9 1 5 2 . 4 8 7 0 2 . 4 7 8 5 2 . 4 8 4 0 2 . 4560

NEW ZEALAND DOLLAR 5 7 . 3 0 0 5 6 . 9 5 0 5 7 . 6 0 0 5 6 . 3 2 0 5 7 . 9 5 0 NORWAY KRONE- 7 . 0 5 4 0 7 . 0 2 0 0 7 . 0 1 0 0 6 . 9 7 0 0 6 . 9500 PORTUGAL ESCUDO 1 4 7 . 8 5 0 1 4 6 . 9 0 0 1 4 6 . 9 5 0 1 4 7 . 100 1 4 6 . 500 SINGAPORE DOLLAR 2 . 1800 2 . 1790 2 . 1 9 0 0 2 . 1980 2 . 1925

SOUTH AFRICA RAND 5 0 . 0 0 4 9 . 90 4 9 . 50 4 8 . 4 5 4 8 . >80 SOUTH KOREA WON 8 8 7 . 6 0 8 8 7 . 2 0 8 8 6 . 8 0 8 8 6 . 4 0 8 8 6 . 80 SPAIN PESETA 1 4 0 . 350 1 4 0 . 0 0 0 1 3 9 . 4 5 0 1 4 0 . 2 5 0 1 3 9 . 100 SBI LANKA RUPEE 2 7 . 8 3 0 2 7 . 8 2 7 2 7 . 8 4 8 2 7 . 8 4 8 2 7 . 867 SWEDEN KRONA 7 . 1360 7 . 1050 7 . 0 9 5 0 7 . 0 8 0 0 7 . 0450 SWITZERLAND FRANC 1 . 8500 1 . * 4 5 0 1 . 8 3 7 0 1 . 8 4 1 0 1 . 8180 TAIWAN DOLLAR 3 8 . 6 2 0 3 8 . 6 2 0 3 8 . 6 2 0 3 8 . 6 2 0 3 8 . 620 THAILAND BAHT 2 6 . 370 2 6 . 3 2 0 2 6 . 2 7 0 2 b . 2 7 0 2 b . 310

UNITED KINGDOM POUND 1 5 1 . 12 1 5 2 . 15 1 5 2 . 3 5 1 5 3 . 3 8 154 . 40

NEMO: #UNITED STATES DOLLAR 1 1 3 . 3 4 1 1 2 . 9 5 1 1 2 . 6 9 1 1 2 . 64 1 1 1 . 65

#INDEX OF WEIGHS rU Af VA(ifi EXCHANGE ?AL WE OF 9 . 5 . DOi Li*A AltAlBdT u u a a a a u i a s u r OTHER ti-TU COO TOMBS. BABCH 1 9 7 3 = 1 0 0 . 8B16BTS ABB 1 9 7 2 - 7 6 GLOBAL T&ADS OF BACH OF M B 10 COUHTklSS. SBBIBS BBt lSBO AS OF AUGUST 1 9 7 8 . FOB DESCRIPTION AID BACK DATA, SBE "IHti-EX OF THB IEIGHTBD-AVBBAGS EXCHANGE VALUE OF TBJt U . S . DOLLAB; REVISION" OS PAGE 700 OF THE AUGUST 1978 FBDEBAL BBSBBFB BULLETIN.

*TAJ.0E I S O . S . CENTS


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