h13_19861020.pdf

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I i

Selected Interest & Exchange Rates Weekly Series of Charts

v

*

October 20,1986 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-HI.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 S C A L E 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

JAPANESE YEN GERMAN MARK

DUTCH GUILDER CANADIAN DOLLAR

U.K. POUND 90

- FRENCH FRANC 80

y s - 70

Vx J y v - 60

- - 50

11111111111 40

100 90

80

70

60

50

BELGIAN FRANC

-

I I I

-

SWISS FRANC

1984 1986 1984 1986


CHART 2

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


PERCENT PER ANNUM PERCENT PER ANNUM

JAPANESE YEN CANADIAN DOLLAR

4 12 U. K. POUND

SWISS FRANC

+ 0

4

8

8 GERMAN MARK DUTCH GUILDER

4

0

8

FRENCH FRANC ITALIAN LIRA

0

8

16

24

32

1984 1986 1984 1986


CHART 3

PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. D O L L A R S PER FINE OUNCE

| 520 U.S. D O L L A R S PER FINE OUNCE

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 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

T PER ANNUM PERCENT PER AN

U. S. FEDERAL FUNDS

SWITZERLAND

UNITED KINGDOM

NETHERLANDS

I FRANCE

-

-

JAPAN

-

I I I I I I I 11111111111

GERMANY

CANADA

/v 1 1 1 1 1 1

r -/Www

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 CANADIAN FINANCE CO. PAPER

WEIGHTED AVERAGE FOREIGN RATE

I I I III I I I

U.K. INTERBANK STERLING

GERMAN INTERBANK RATE

l l l l l I I I

- v

FRENCH INTERBANK RATE

-

I I I I I I I I I I I I I I I I I l l l l l l u l u

l NETHERLANDS INTERBANK RATE

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

JAPANESE GENSAKI RATE SWISS INTERBANK RATE

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

I I I I I I I I I I II

6-MONTH 7-DAY

1-YEAR 1-MONTH

I I I I III I I I I I I

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

~ \ |

pP u

u/^ I

OVERNIGHT EURO-DOLLAR DEPOSITS 1

1 1 1 1 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 1 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 I

PERCENT PER ANNUM

16

14 3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD S

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

12

10

1984

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986

DIFFERENTIAL

V^V/YV/AAAV

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

i

1 1 1 1 1 1 1 1 1 1 1

1984 1986

4

2

+ 0


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: FLUSH, INDICATES FAVOR DOLLAR ASSETS


NT PER ANNUM PERCENT PER Ah

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

DIFFERENTIAL

J _ 1

INTERBANK DM COVERED FRANKFURT

l i i i


I I I

DIFFERENTIAL

I I I I

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

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

SWISS INTERBANK (SF) COVERED


I I I t i l l

DIFFERENTIAL

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

1984 1986

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

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

ENT PER ANNUM PERCENT PER AL

UNITED STATES CANADA

SWITZERLAND UNITED KINGDOM

JAPAN

GERMANY

I I I I I I

\ -

U. S. CORPORATE MONTHLY

Aaa BONDS

^ I FRANCE

I NETHERLANDS \ __ MONTHLY X

I I I 1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE RATIO SCALE 1 9 6 9 = 1 0 0 1 9 6 9 = 1 0 0

UNITED KINGDOM UNITED STATES

450 400

350

300

250

200

150

100

450 400

NETHERLANDS -

M I I I I I

SWITZERLAND

FRANCE GERMANY

450 450 400 Av ~~ 400 350 - - - - 350

300 f - CANADA 300

250 JAPAN y VZ V ' Z ^ * Z X V ^ - - - 250

200 - - - 200

150 - - - - 150

100 I I I I I I I I I I I 11 I I I I 111111II111 I I I I I I l l h l l l l l l l I I | I I | I I | I I 100 100 1984 1986 1984 1986

100


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE BATES AND INDICES

WEEKLY AVERAGES, NOON BOXING

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

( U . S . CENTS)

OCT. 1 5 5 0 . 3 8 OCT. 15 0 . 6 4 7 7 0 OCT. 15 4 4 . 5 9 OCT. 15 1 4 3 . 2 9 OCT. 15 7 2 . 0 5 OCT. 15 1 5 . 3 8 OCT. 1 5 6 1 . 7 3 OCT. 15 2 . 4 2 4 6 0 OCT. 1 5 0 . 0 7 2 7 6 OCT. 1 5 1 4 . 6 3

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

GERMAN MARK OCT. 15 1 4 1 . 7 2 JAPANESE IBM OCT. 1 5 1 6 9 . 5 9 DUTCH GUILDER OCT. 15 1 2 8 . 00 U .K. POUND OCT. 1 5 5 7 . 9 5 CANADIAN DOLLAR OCT. 15 7 1 . 8 1 FRENCH FRANC OCT. 1 5 6 9 . 3 0 SWISS FRANC OCT. 1 5 1 9 8 . 5 9 BELGIAN FRANC OCT. 1 5 9 5 . 5 4 ITALIAN LIRA OCT. 1 5 4 1 . 3 3

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

U . S . DOLLAR OCT. 15 1 0 5 . 6 5 GERMAN MARK OCT. 1 5 1 5 9 . 82 JAPANESE YEN OCT. 1 5 1 8 9 . 64 DUTCH GUILDER OCT. 1 5 1 3 6 . 3 8 U.K. POUND OCT. 1 5 5 7 . 4 5 CANADIAN DOLLAR OCT. 1 5 7 3 . 3 3 FRENCH FRANC OCT. 15 6 9 . 72 SWISS FRANC OCT. 1 5 2 1 1 . 7 8 BELGIAN FRANC OCT. 1 5 9 9 . 7 6 ITALIAN LIRA OCT. 15 4 0 . 47 SWEDISH KRONA OCT. 15 6 6 . 74

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

CANADIAN DOLLAR OCT. 15 - 2 . 5 9 U.K. POUND OCT. 1 5 - 5 . 0 8 GERMAN MARK OCT. 1 5 1 . 3 6 FRENCH FRANC OCT. 1 5 - 3 . 16 SWISS FRANC OCT. 1 5 1 . 9 8 DUTCH GUILDER OCT. 15 0 . 5 1 JAPANESE YEN OCT. 1 5 0 . 9 5 ITALIAN LIRA OCT. 1 5 - 4 . 9 5



DATE VALUE

CHART J . GOLD PRICE IN LONDON, AFTERNOON FIXING

U . S . DOLLARS PER FINE OUNCE OCT. 15 4 2 9 . 9 8

CHART 4 . CALL MONEY RATES

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

OCT. OCT. OCT. OCT. OCT. OCT. OCT. OCT-OCT.

1 5 15 15 1 5 15 1 5 1 5 1 5 1 5

5 . 8 3 5 . 7 9 8 . 97 7 . 7 5 4 . 19 4 . 3 1 7 . 3 8 5 . 3 5 1.00

CHART 5 . 3-MONTH INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET OCT. 1 5 5 . 6 3 GERMAN INTERBANK LOAN OCT. 15 4 . 54 JAPANESE GENSAKI RATE OCT. 15 4 . 7 5 CANADIAN FINANCE PAPER OCT. 15 8 . 4 0 INTERBANK STERLING OCT. 15 1 1 . 0 1 SWISS INTERBANK LOAN OCT. 15 3 . 9 2 FRENCH INTERBANK RATE OCT. 15 7 . 3 4 NETHERLANDS INTERBANK RATE OCT. 15 5 . 2 6 WEIGHTED AVERAGE FOREIGN INTEREST RATE OCT. 15 6 . 5 8

( G - 1 0 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT OCT. 1 5 5 . 7 9 7-DAY OCT. 1 5 5 . 7 6 1-MONTH OCT. 15 5 . 7 9 3-MONTH OCT. 15 5 . 7 9 6-MONTH OCT. 1 5 5 . 7 9 1-YEAR OCT. 1 5 5 . 9 1

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

OVERNIGHT EURO-DOLLAR DEPOSITS OCT. 15 5 . 7 9 U . S . FEDERAL FUNDS OCT. 1 5 5 . 8 3 DIFFERENTIAL OCT. 15 - 0 . 04

3-MONTH EURO-DOLLAR DEPOSIT RATE OCT. 15 5 . 79 U . S . 90-DAY C D ' S , SECONDARY MARKET OCT. 1 5 5 . 6 3 DIFFERENTIAL OCT. 1 5 0 . 16



DATE VALUE

CHART 8 . INTEEEST ARBITRAGE, 3-MONTH FUNDS

EU410-DOLLAR DEPOSIT OCT. 15 5 . 7 9 INTERBANK STERLING (LONDON), COVERED OCT. 15 5 . 80 DIFFERENTIAL OCT. 15 - 0 . 0 1

U . S . COMMERCIAL PAPER OCT. 15 5 . 6 3 CANADIAN FINANCE PAPEE, COVERED OCT. 15 5 . 76 DIFFERENTIAL OCT. 15 - 0 . 13

EURO-DOLLAR DEPOSIT OCT. 15 5 . 7 9 INTERBANK DM (FRANKFURT), COVERED OCT. 15 5 . 92 DIFFERENTIAL OCT. 15 - 0 . 13

EURO-DOLLAR DEPOSIT OCT. 15 5 . 79 SWISS INTERBANK, COVERED OCT. 15 5 . 9 2 DIFFERENTIAL OCT. 15 - 0 . 13

CHART 9 . LONG TERM GOVERMENT BOND YIELDS

UNITED STATES OCT. 10 7 . 3 1 GERMANY OCT. 10 5 . 9 4 JAPAN (MONTHLY) OCT. 10 4 . 89 SWITZERLAND SEPT. 19 4 . 2 5 CANADA OCT. 3 9 . 4 4 FRANCE S E P T . 2 6 8 . 4 7 NETHERLANDS (MONTHLY) AUG. 6 . 0 3 UNITED KINGDOM OCT. 10 9 . 9 3

U . S . CORPORATE

AAA BONDS JUNE 9 . 13

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOfl CANADA GERMANY S8ITZEBLAND NETHERLANDS FRANCE JAPAN

OCT. 8 2 4 2 . 1 3 OCT. 8 2 7 4 . 4 0 OCT. 8 3 0 1 . 2 6 OCT. 8 2 9 1 . 0 4 OCX. 8 1 8 8 . 6 7 OCT. 8 3 3 8 . 3 4 OCT. 8 3 8 9 . 4 1 OCT. 8 3 8 9 . 6 5


FEDERAL RESERVE statistical release

H.10 (512)

FOREIGN EXCHANGE RATES

f^ALKBS*.

OCTOBER 1 7 , 1986

fOB THE HEK ENDING OCTOBER 1 7 , 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:

COUNTBI BONBTABX

UNIT / r i lHRRMrV UN TTS PER M I . L 1 1 it

COUNTBI BONBTABX

UNIT OCT. 13 OCT. 14 OCT. 15 OCT. 16 OCT. 17

AUSTBALIA DOLLAR 6 3 . 5 7 6 4 . 09 6 4 . 0 0 6 3 . 78 AUSTRIA SCHILLING 1 3 . 9 0 0 1 3 . 8 9 0 1 3 . 8 8 7 1 3 . 890 BBLGIUH f BANC 4 1 . 0 4 0 4 1 . 1 0 0 4 1 . 0 6 0 4 1 . 030 BRAZIL CBUZADO 1 3 . 8 4 1 3 . 84 1 4 . 0 9 1 4 . 09 CANADA DOLLAR 1 . 3 8 8 7 1. 3 8 9 3 1 . 3B93 1 . 3 9 0 3 C H I N A . P . B . XOAN 3 . 7 2 4 0 3 . 7 2 4 0 3 . 7 2 4 0 3 . 7240 DBNBABX KBOBB H 7 . 4 4 9 0 7 . 4 4 7 0 7 . 4 4 7 0 7 . 4490 fINLAND EABKKA 4 9 1 3 0 4 . 87 QO 4 . 8 3 6 0 4 . 8450 fBANCB fBANC 6 . 4 6 8 0 6 . 4 6 7 0 b . 4 6 9 0 6 . 4700 GEBHANI D. BABK 0 1 . 9 7 5 0 1 . 9 7 4 0 1 . 9 7 5 5 1 . 9750 GBEECB DRACHHA 1 3 3 . 6 0 0 1 3 3 . 3 5 0 1 3 3 . 4 5 0 1 3 3 . 700 HONG KOBG DOLLAR 7 . 7 9 9 5 7 . 7 9 8 5 7 . 8 0 0 0 7 . 7 9 7 5 INDIA RUPEE L 1 2 . 7 6 0 0 1 2 . 7 9 0 0 1 2 . 8 1 0 0 1 2 . 8400

IBBLABD POOBD 1 3 7 . 5 0 1 3 7 . 8 0 1 3 7 . 7 0 1 3 7 . 75 ITALX LIBA 1 3 6 7 . 0 0 1 3 6 7 . 0 0 1 3 6 7 . 0 0 1 3 6 8 . 00 JAPAB IBB I 1 5 3 . 9 7 1 5 4 . 2 0 1 5 4 . 2 5 1 5 4 . 23 MALAYSIA RINGGIT 2 . 6 2 3 0 2 . 6 1 9 0 2 . 6 2 0 0 2 . 6200 NETHERLANDS GUILDEB 2 . 2 3 2 5 2 . 2 3 1 0 2 . 2JJ0 2 . 2 3 2 0

* I W ZEALAND DOLLAB D 5 0 . 3 0 0 5 0 . 1 0 0 5 0 . 150 4 9 . 700 NOBBAX KBOBB 7 . 2 7 4 0 7 . 2 7 4 0 7 . 2 8 4 0 7 . 2 9 5 0 PORTUGAL BSCUDO 1 4 5 . 3 5 0 1 4 5 . 150 1 4 5 . 2 5 0 1 4 5 . 800 SINGAPOBB DOLLAB A 2 . 1720 2 . 1 7 2 5 2 . 1725 2 . 1735

SOUTH Affi lCA BAND 4 4 . 6 0 4 4 . 4 0 4 4 . 6 0 4 4 . 6 5 SOUTH KOBBA BOB 8 7 8 . 3 0 8 7 8 . 0 0 8 7 8 . 10 8 8 7 . 60 SPAIN PESETA X 1 3 1 . 0 0 0 1 3 1 . 0 0 0 1 3 1 . 190 1 3 1 . 480 S B I LANKA BUPBB 2 8 . 3 8 3 2 8 . 3 8 7 2 8 . 3 8 7 2 8 . 387 SBBDBS KBOBA 6 . 8 1 5 5 6 . 8 1 6 0 6 . 8 2 0 0 6 . 8 2 7 0 SHITZBBLAND fBANC 1 . 6 1 5 5 1 . 6 1 5 0 1 . 6 1 9 0 1 . 6210 TAIWAN DOLLAB 3 6 . 6 7 0 3 6 . 6 6 0 3 6 . 6 5 0 3 6 . 640 THAILAND BABT 2 6 . 100 2 6 . 9 6 0 2 6 . 0 6 0 2 6 . 9 8 0

UNITED KINGDOM POOBD 1 * 3 . 7 0 1 4 3 . 9 5 1 4 3 . 7 5 1 4 3 . 15

BBEOl fONITED STATES DOLLAB 1 0 5 . 2 5 1 0 5 . 2 4 1 0 5 . 3 0 1 0 5 . 3 6

IBDBZ Of HEIGH TED ATBBAG1 BICBANGB VALUE Of U . S . DC LLAB AGAINST CURRENCIES 01 OTHBB 6 - 1 0 C O M M I E S . .BABCH 1 9 7 3 * 1 0 0 . HEIGHTS ARE 1 9 7 2 - 7 6 GLOBAL TBADB OF EACH Of TBS 10 COBNIBIES. SEBIES BBVISED AS 0 7 AUGUST 1 9 7 8 . fOB DESCRIPTION AID BACK DATA, SEE " fMDBI Of THE MEIGBTBD-AfEBAGB BXCBAB6B iALUB Of THB U . S . DOLLABS R E U S I O N " OB PAGE 7 0 0 Of THE AUGUST 1978 fBDBBAL BBSBBTB BULLETIN.

fALUB I S U . S . CENTS


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