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Selected Interest & Exchange Rates Weekly Series of Charts

i

July 14, 1986 DIVISION OF I 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 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 SCALE MARCH 1 9 7 3 = 1 0 0

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY RATIO SCALE

MARCH 1 9 7 3 = 1 0 0

FOREIGN CURRENCY PRICE OF U.S. DOLLAR ITALIAN LIRA

GERMAN MARK

CANADIAN DOLLAR

90 80 U.K. POUND

70 -

60 -

50 -

40 I I I I I I I I I I I I I I

120

200 180

JAPANESE YEN 160

/ "" 140

- - 120

- - 100

I I I I I I i ill i hill i i ill i hill i 80

DUTCH GUILDER

- FRENCH FRANC

-

80 70

60

50

BELGIAN FRANC SWISS FRANC

1984 1986 1984 1986


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 (-)

AVERAGES FOR WEEK ENDING WEDNESDAY

:ENT PER ANNUM PERCENT PER M

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

FRENCH FRANC

JAPANESE YEN

A

I I I

ITALIAN LIRA

SWISS FRANC

I I I I I I I ill ill ill I

DUTCH GUILDER

1984 1986 1984 1986


CHART 3

PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. DOLLARS PER FINE OUNCE U.S. DOLLARS PER FINE OUNCE

520 520

500 500

480 480

460 460

12.5 Kg BARS AFTERNOON FIXING PRICE

440 440

420 420

400 400

380 380

360 360

340 340

320 320

300 300

280 280

260 260 1986 1985 1984 1983


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 AN

U. S. FEDERAL FUNDS

SWITZERLAND

UNITED KINGDOM

NETHERLANDS

I I I lull

FRANCE

-

JAPAN

I I I I I I I uli ihilli

V * -

CANADA

11111

GERMANY

WVww

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

II

U.K. INTERBANK STERLING

CANADIAN FINANCE CO PAPER

I FRENCH INTERBANK RATE

-

I I I I I I

1 -

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

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

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 EURO-DOLLAR DEPOSITS

I I I 111111111111

DIFFERENTIAL

PERCENT PER ANNUM

16

14 3-MONTH EURO-DOLLAR DEPOSITS

1 " , 90-DAY CD S

1 1 I I I I I I

12

10

J 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

DIFFERENTIAL

1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

4 2

1984 1 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: PLUS(+), INDICATES FAVOR DOLLAR ASSETS


[NT PER ANNUM PERCENT PER AK

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

DIFFERENTIAL

ML I I I I I I I '

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


SWISS INTERBANK (SF) COVERED


I I I I I

DIFFERENTIAL

I I I 1984 1986

I PERCENT ON D IFFERENTIAL S C A L E = 2 PERCENT ON RATE S C A L E

DIFFERENTIAL

1984 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

NT PER ANNUM PERCENT PER Ah

UNITED STATES

I I I ,

CANADA

I I I I I I

UNITED KINGDOM

JAPAN

U. S. CORPORATE MONTHLY

Aaa BONDS

SWITZERLAND

1984 1986

I GERMANY

I I I

, I FRANCE

NETHERLANDS

I I I

MONTHLY

I I I I I I I I I I I I I I I I I M N 111 l i i

1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1 9 6 9 = 1 0 0

RATIO SCALE 1 9 6 9 = 1 0 0

UNITED KINGDOM UNITED STATES

NETHERLANDS SWITZERLAND

FRANCE

GERMANY

CANADA

JAPAN

1984 1986 1984 1986


SERIES SAME LAST VALUE PLOTTED

DATE VALUE

CHART 1. SPOT EXCHANGE HATES AND INDICES

MEEKLY AVERAGES, MOON BUYING RATES (U.S. CENTS) GERMAN MARK JULY 9 4 5. 85 JAPANESE YEN JULY 9 0. 62095 DUTCH GUILDER JULY 9 40. 76 U. &. POUND JULY 9 153.37 CANADIAN DOLLAR JULY 9 72.45 FRENCH FRANC JULY 9 14.31 SWISS FRANC JULY 9 56.27 BELGIAN FRANC JULY 9 2.23554 ITALIAN LIRA JULY 9 0. 06677 SWEDISH KBONA JULY 9 14.08

INDICES, MARCH 1973 BASE SATES = 100 GERMAN MARK JULY 9 128.97 JAPANESE YEN JULY 9 162.58 DUTCH GUILDER JULY 9 117.03 0.8. POUND JULY 9 62.03 CANADIAN DOLLAR JULY 9 72.21 FRENCH FRANC JULY 9 6 4. 51 SWISS FRANC JULY 9 181.04 BELGIAN FRANC JULY 9 88.09 ITALIAN LIRA JULY 9 37.93

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

U.S. DOLLAR JULY 9 111.22 GERMAN MARK JULY 9 149.64 JAPANESE YEN JULY 9 189.26 DUTCH GUILDEB JULY 9 129. 39 U.K. POUND JULY 9 64.74 CANADIAN DOLLAR JULY 9 77.04 FRENCH FRANC JULY 9 67. 34 SWISS FRANC JULY 9 200.72 BELGIAN FRANC JULY 9 95.56 ITALIAN LIRA JULY 9 38.54 SWEDISH KRONA JULY 9 66.92

IT 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT CANADIAN DOLLAR JULY 9 -1.73 U. K. POUND JULY 9 -3. 19 GBRflAN MARK JULY 9 2. 14 FRENCH FRANC JULY 9 -0.63 SWISS FRANC JULY 9 1. 97 DUTCH GUILDER JULY 9 0.69 JAPANESE YEN JULY 9 2.29 ITALIAN LIRA JULY 9 -4.82


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 3. GOLD PRICE IN LONDON, AFTERNOON FIXING U.S. DOLLARS PER FINE OUNCE JULY 9 345.69

4. CALL MONEY RATES U.S. FEDERAL FUNDS JULY 9 6.87 OVERNIGHT EURO-DOLLAR DEPOSITS JULY 9 6.91 U. Km JULY 9 10.52 CANADA JULY 9 8.60 GERMANY JULY 9 4.52 JAPAN JULY 9 4.46 FRANCE JULY 9 7.24 NETHERLANDS JULY 9 6.36 SWITZERLAND JULY 9 1. 00

CHART 5. 3-MONTH INTEREST RATES U.S. 90-DAY CD'S, SECONDARY MARKET JULY 9 6.45 GERMAN INTERBANK LOAM JULY 9 4.61 JAPANESE GENSAKI RATE JULY 9 4.63 CANADIAN FINANCE PAPER JULY 9 8.55 INTERBANK STERLING JULY 9 9. 90 SWISS INTERBANK LOAN JULY 9 4. 72 FRENCH INTERBANK RATE JULY 9 7. 13 NETHERLANDS INTERBANK RATE JULY 9 6.00 WEIGHTED AVERAGE FOREIGN INTEREST RATE JULY 9 6.69

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6. EURO-DOLLAR DEPOSIT SATES: LOSDON OVERNIGHT JULY 9 6.91 7-DAY JULY 9 6. 93 1-MONTH JULY 9 6.84 3-MONTH JULY 9 6.65 6-MONTH JULY 9 6.65 1-YEAR JULY 9 6.73

CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET BASES OVERNIGHT EURODOLLAR DEPOSITS JULY 9 6.91 U.S. FEDERAL FUNDS JULY 9 6.87 DIFFERENTIAL JULY 9 0.04 3-MONTH EURO-DOLLAR DEPOSIT RATE JULY 9 6.65 U.S. 90-DAY CD'S, SECONDARY MARKET JULY 9 6.45 DIFFERENTIAL JULY 9 0.20


SERIES NAME L A S T 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

JULY 9 6.65 JULY 9 6.63 JULY 9 0.02 JULY 9 6.51 JULY 9 6. 78 JULY 9 -0.27 JULY 9 6.65 JULY 9 6. 78 JULY 9 -0. 13 JULY 9 6.65 JULY 9 6.72 JULY 9 -0. 06

CHART 9. LONG Ti.fiM GOVEMSENT BOND YIELDS UNITED STATES JULY 4 7.35 GERMANY JULY 4 5.83 JAPAN (MONTHLY) JULY 4 4. 99 SWITZERLAND JUNE 6 4. 48 CANADA JUNE 20 9. 49 FRANCE JULY 4 8. 65 NETHERLANDS (MONTHLY) MAY 6.39 UNITED KINGDOM JULY 4 8.80

U.S. CORPORATE AAA BONDS JUNE 9. 13

CHART 10. STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAH

JULY 2 26 0.78 JULY 2 300.45 JULY 2 306.03 JULY 2 273.08 JULY 2 187.63 JULY 2 344.10 JULY 2 359.83 JULY 2 359.97


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