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(516/517)
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.
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
CHART 2
3-MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR ( - )
AVERAGES FOR WEEK ENDING WEDNESDAY
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
CHART 7
SELECTED EURO-DOLLAR AND U. S.MONEY MARKET RATES DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U. S.
AVERAGES FOR WEEK ENDING WEDNESDAY
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
AVERAGES FOR WEEK ENDING WEDNESDAY
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
EURO-DOLLAR DEPOSITS DASHED LINE
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
EURO-DOLLAR DEPOSITS DASHED LINE
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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
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SERIES NAME LAST VALUE PLOTTED
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
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SERIES NAME LAST VALUE PLOTTED
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
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis
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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