h13_19860902.pdf

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4 i '

Selected Interest & Exchange Rates Weekly Series of Charts

i

&

September 2, 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.


CHART 1

SPOT EXCHANGE INDICES

RATIO SCALE MARCH 1973=100

100 90

80

70

60

50

DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE) AVERAGES FOR WEEK ENDING WEDNESDAY

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

RATIO SCALE MARCH 1973=100

ITALIAN LIRA

JAPANESE YEN GERMAN MARK

DUTCH GUILDER CANADIAN DOLLAR

UK. POUND - FRENCH FRANC

-

I I I

-

BELGIAN FRANC

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

SWISS FRANC

1984 1986 1984 1986


CHART 2

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

AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER ANNUM PERCENT PER ANNUM

JAPANESE YEN

12

SWISS FRANC

CANADIAN DOLLAR

4 U. K. POUND

+ 0

4

8

8 GERMAN MARK

4

0

8

FRENCH FRANC

0

8

16

24

32 1984 1986

DUTCH GUILDER

ITALIAN LIRA

24

32 1984 1986


U.S. DC

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

ARS PER FINE OUNCE U.S. DOLLARS PER FINE C

Jl

12.5 Kg BARS AFTERNOON FIXING PRICE

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 Af

FRANCE U. S. FEDERAL FUNDS

JAPAN

I I I I

SWITZERLAND

UNITED KINGDOM

NETHERLANDS

; , CANADA

A

I I I I I I

h v

GERMANY

r

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 AN

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

CANADIAN FINANCE CO. PAPER

L -

I I I I I I

-

UK. INTERBANK STERLING /A 1 FRENCH INTERBANK RATE

-

1 1 1 1 1 1

1 -

. GERMAN INTERBANK RATE

I I I

NETHERLANDS INTERBANK RATE

1 1 1 1 1 1

-

JAPANESE GENSAKI RATE ( \ i -

1 1 1 1 1 1

\ -

SWISS INTERBANK RATE

. w v

I I I 1 1 1 11111111111

1984 1986 1984 1986


14

12

10

8

6

4

14

12

10

8

6

4

14

12

10

8

6

4

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 Al

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

I I 1 Li I

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 ^ L J I 1111111111111111111111111 I L_1

DIFFERENTIAL

3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD S

J I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

J 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 ' I L _ 1

1984

PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986

/ V v v z

DIFFERENTIAL

I I I I I I 111 11111111

1

11111111111

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: PLUSM, INDICATES FAVOR DOLLAR ASSETS


NT PER ANNUM PERCENT PER Ah

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

I I I I I

DIFFERENTIAL

1 _ !

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


I I I I I I I i l l

__ SWISS INTERBANK (SF) COVERED


I I 1 1 1

DIFFERENTIAL

J _ L M i l l

DIFFERENTIAL

I I I I

1984 1986 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1984 1906


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 AJ

- CANADA

I I I I I I

-

UNITED STATES

UNITED KINGDOM SWITZERLAND

GERMANY

U. S. CORPORATE MONTHLY

Aaa BONDS v FRANCE

-

- I NETHERLANDS

MONTHLY

I I I I I I I I I I I I I I I I I I I h > U r l l ,

1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE RATIO SCALE 1969=100 1969=100

450 400 t -

UNITED STATES

SWITZERLAND NETHERLANDS

FRANCE

450 400 J 350 - /S -

300 - J -250 JAPAN -

200 -

150 -

100 I I I I I I l l l l l l l l l l l JLL

450 400

350

300

250

200

H 150

100

1984 1986 1984 1986


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE RATES AND INDICES

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

GERMAN MARK AUG. 2 7 4 8 . 9 0 JAPANESE YEN AUG. 27 0 . 6 4 9 2 2 DUTCH GUILDER AUG. 2 7 4 J . 38 U.K. POUND AUG. 2 7 1 4 8 . 6 0 CANADIAN DOLLAR AUG. 27 7 1 . 7 6 FRENCH FRANC AUG. 27 1 4 . 92 SWISS FRANC AUG. 27 6 0 .


DATE VALUE

CHART 3 . GOLD PRICE IN LONDON, AFTERNOON FIXING

U . S . DOLLARS PBS FINE OUNCE AUG. 27 3 8 2 . 0 5

CHART 4 . CALL MONEY RATES

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

AUG. 2 7 AUG. 27 AUG. 2 7 AUG. 27 AUG. 27 AUG. 27 AUG. 27 AUG. 27 AUG. 27

5 . 8 7 5 . 8 9

10.22 8 . 0 7 S . 4 4 4 . 4 6 7 . 0 0 4 . 7 0 6 . 7 5

CHART 5 . 3-MONTH INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET AUG. 2 7 5 . 6 4 GERMAN INTERBANK LOAN AUG. 27 4 . 4 6 JAPANESE GENSAKI SATE AUG. 27 4 . 6 8 CANADIAN FINANCE PAPER AUG. 27 8 . 4 9 INTERBANK STERLING AUG. 27 9 . 7 2 SSISS INTERBANK LOAN AUG. 27 4 . 1 4 FRENCH INTERBANK RATE AUG. 27 7 . 0 5 NETHERLANDS INTERBANK RATE AUG. 27 5 . 0 5 WEIGHTED AVERAGE FOREIGN INTEREST RATE AUG. 27 6 . 4 5

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT AUG. 27 5 . 89 7-DAY AUG. 27 5 . 9 0 1-MONTH AUG. 27 5 . 8 5 3-MONTH AUG. 27 5 . 7 9 6-MONTH AUG. 27 5 . 7 9 1-YEAR AUG. 27 5 . 8 6

. SELECTED EURO-DOLLAR AND U . S . HONEX MARKET SATES

OVERNIGHT EURO-DOLLAR DEPOSITS AUG. 27 5 . 8 9 O . S . FEDERAL FUNDS AUG. 27 5 . 8 7 DIFFERENTIAL AUG. 27 0 . 02

3-MONTH EURO-DOLLAR DEPOSIT RATE AUG. 27 5 . 79 U . S . 90-DAY C D ' S , SECONDARY MARKET AUG. 2 7 5 . 6 4 DIFFERENTIAL AUG. 27 0 . 15



DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

EURODOLLAR DEPOSIT AUG. 27 5 . 7 9 INTERBANK STEELING (LONDON) , COVERED AUG- 2 7 5 . 7 4 DIFFERENTIAL AUG. 27 0 . 0 5

O . S . COMMERCIAL PAP EE AUG. 27 5 . 6 1 CANADIAN FINANCE PAPER, COVERED AUG. 27 5 . 8 6 DIFFERENTIAL AUG. 27 - 0 . 2 5

EURO-DOLLAR DEPOSIT AUG. 27 5 . 7 9 INTERBANK DM (FRANKFORT), COVERED AUG. 27 6 . 0 3 DIFFERENTIAL AUG. 27 - 0 . 2 4

EURO-DOLLAR DEPOSIT AUG. 27 5 . 7 9 SWISS INTERBANK, COVERED AUG. 27 5 . 8 5 DIFFERENTIAL AUG. 27 - 0 . 0 6

CHART 9 . LONG TERM COVERMENT BOND YIELDS

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

U . S . CORPORATE

AAA BONDS

AUG. 2 2 AUG. 22 AUG. 22 JULY 11 AUG. 15 AUG. 15 JUNE AUG. 2 2

JUNE

7.0,4 5 . 5 6 4 . 8 3 * . 0 5 9 . 16 8 . 42 6 . 3 8 9 . 15

9 . 1 3

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

AUG. 2 0 2 5 3 . 8 8 AUG. 2 0 2 7 8 . 8 6 AUG. 20 2 9 9 . 0 3 AUG. 2 0 2 9 5 . 2 0 AUG. 2 0 1 8 2 . 8 4 AUG. 2 0 3 6 3 . 0 8 AUG. 20 3 9 6 . 6 6 AUG. 2 0 4 1 9 . 8 4


FEDERAL RESERVE statistical release

H.10 (512) AUGUST 2 9 , 1986

FOREIGN EXCHANGE RATES FOB THE MEEK ENDIMG AUGUST 2 9 , 1 9 8 6

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:

COUNTBY flONETABY

OBIT AUG. 2 5 CURRENCY OMITS PER DOLLAR!

AUG. 2 6 JUIG. 2 7 AUG. 2 8 AUG. 2 9

AUSTRALIA AUSTRIA BELGIUM BRAZIL CANADA CHINA, P . R . DENMARK FINLAND FRANCE GERMANY GREECE BONG KONG I I D I A

IRELAND I T A LI JAPAN MALAYSIA NETHERLANDS

NEW ZEALAND NORWAY PORTUGAL SINGAPORE

SOUTH AFRICA SOUTH KOREA SPAIN SRI LANKA SUBT>EU SWITZERLAND TAINAN THAILAND

UNITED KINGDOM

MEMO: tUNITED STATES

DOLLAR SCHILLING FRANC CBUZADO DOLLAR IUAN KRONE MARKKA [FRANC D. MARK DRACHMA DOLLAR RUPEE POUND LIRA TEN BINGGIT GUILDER DOLLAR KRONE ESCUDO DOLLAR RAND HON PESETA RUPEE KRONA FRANC DOLLAR BAH? POUND

DOLLAB

60, 14, 42, 13

1 3 7 4, 6, 2

134 7

12. 134,

1409, 153,

2 2

48, 7,

1+6. 2

38. 884 . 133,

28, 6 1

3 7 26

147

, 5 2 3 7 0

, 2 9 0 . 8 4 . 3 9 4 0 , 7 1 2 9 . 7 3 2 5 , 9 1 1 0 , 6 9 7 0 . 0 4 2 5 . 1 5 0 . 8 0 3 0 . 5 7 0 0 5 5 ,00 , 8 4 .6080 .3060 . 5 5 0 , 3 1 8 0 .000 . 1 5 2 5 . 0 5 ,20 . 6 5 0 .202 , 9 0 5 5 . 6 4 5 5 , 0 7 0 , 0 7 0 . 7 8

1 0 7 . 0 5

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

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

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

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

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

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

4 9 . 0 0 , 0 7 . 3 2 5 0

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

3 8 . 0 6 8 8 4 . 5 0 1 3 4 . 2 0 0 28.202

6 . 9 2 0 0 1 . 6 5 2 0

3 7 . 0 5 0 2 6 . 0 9 0

1 4 8 . 3 5

1 0 7 . 3 0

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

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

1 3 4 . 7 0 0 7 . 3 0 6 0

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

1*413.00 1 5 4 . 6 8

2 . 6 0 0 5 2 . 3 0 8 0

4 9 . A 5 0 7 . 3 2 1 0

1 4 * . 1 5 0 2 . 1 5 8 5

3 8 . 2 5 6 8 4 . 5 0 1 3 3 . 7 5 Q 28.208

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

3 7 . 0 4 0 26. 120

1 4 8 . 4 0

1 0 7 . 2 0

60. 14, 42 . 13

1 3. 7. 4 . 6. 2.

133. 7.

12, 134 .

1415 . 156 .

2. 2.

4 9 . 7,

146 . 2.

38 . # 8 5 . 134 . 28.

6. 1.

3 7 . 26.

1 4 8 .

8 5 4 2 0

. 4 3 0 , 8 4 3 9 2 5 7 1 2 9 7 5 2 5 9 1 5 0 7 1 9 0 0 5 0 0 9 5 0 8 0 5 0 5 5 0 0 14 00 0 5 6 0 6 5 3 1 3 0 500 3 3 0 0 200 1 5 9 5 5 5 00 0 5 0 2 0 5 9 3 1 0 6 5 1 5 0 3 0 110 0 5

1 0 7 . 4 7

60. 90 1 4 . 3 2 5 4 2 . 1 3 0 1 3 . 8 4

1 . 3 8 8 1 3 . 7 1 2 9 7 . 7000 4 . 8 9 5 0 6 . 6 7 0 0 2 . 0 3 5 5

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

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

1 4 0 5 . 0 0 1 5 4 . 5 5

2 . 6 0 5 0 2 . 2 9 * 0

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

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

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

6 . 8 9 0 0 1 . 6 4 1 0

3 7 . 0 2 0 26. 160

1 4 8 . 80

1 0 6 . 7 4

IMPBX OF BBIGHTBD A>BBAGE BICflABGt VAi.0S Of O . S . OdLLAl A C A I l S f C M B M C I B S Of OIEE* fl-10 COOMTBIBS. SABCB 1 9 7 3 - 1 0 0 . MIGHTS A HZ 1 9 7 2 - 7 6 GLOBA1 TBA0E Of BACH Of TAB 10 C08MTBIBS. SERIES BBVISBD AS Of AOGOSI 1 9 7 8 . fOB D5CBlPTIOI AMD SACK DATA, SBS " l i D E i Of THE BIGHTBD-ATBBAGE EXCHANGE VALOB Of M B U . S . DOlLABi BKVISIOI a OB PAGE 7 0 0 Of TAB ACCOST 1 9 7 8 fBDBBAl BBSBBVB BDLLBTIH.

MA10B I S U . S . C2MTS


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