h13_19861124.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

November 24,1986

Prepared by the FINANCIAL MARKETS SECTION

DIVISION OF INTERNATIONAL FINANCE

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.


200 180

160

140

120

100

200 teo 160

140

120

100

80

140

120

100 00

80

70

60

00 80

70

60

SO

40

120

100 90

80

70

60

SO

CALE 1=100

SO 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

HE 73=100

RATIO S MARCH 197:

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

JAPANESE YEN

DUTCH GUILDER

U K POUND

n l n l i i l i i

BELGIAN FRANC

FRENCH FRANC

1 1 1

y

1084 1086

_ SWISS FRANC

A / Z -

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

1084 1086


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 LRA

16

I l l l l l l l l 1 1 32 32 1984 1986 1984


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

12.5 Kg BARS AFTERNOON FIXING PRICE

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

C H A R T 4

CALL MONEY RATES WEEKLY SERIES

:NT PER ANNUM PERCENT PER AT

FRANCE U. S. FEDERAL FUNDS

JAPAN

SWITZERLAND CANADA

UNITED KINGDOM

GERMANY

JW\/gw

NETHERLANDS

1 9 8 4 1 9 8 6 1 9 8 4 1 9 8 6


PERC

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

3 -CHART 5

MONTH INTEREST RATES WEEKLY SERIES

NT PER ANNUM PERCENT PER AN

U . S . CD'S

WEIGHTED AVERAGE FOREIGN RATE

M i l l 11111111

CANADIAN FINANCE CO. PAPER

L -

I I I I I I

-

U.K. INTERBANK STERLING I FRENCH INTERBANK RATE

I I I

1 -

GERMAN INTERBANK RATE

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

NETHERLANDS INTERBANK RATE

JAPANESE GENSAKI RATE SWISS INTERBANK RATE

-

1 1 1

-

1 9 8 4 1 9 8 6 1 9 8 4 1 9 8 6


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 A!

3-MONTH OVERNIGHT

7-DAY 6-MONTH

1-MONTH 1-YEAR

I \

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

OVERNIGHT EURO-DOLLAR DEPOSITS

I I I I I H I I I I I I I I I I I I I I I I 1 I 1 I I

DIFFERENTIAL

I I I I 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

1984

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1986

PERCENT PER ANNUM

16

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

90-DAY CD' S

I I I I I

DIFFERENTIAL

V ^ V Z ^ V A V V < V

I I I I I I 1 1 1 1 1 1 1 1 1 1 1

'

I I I I I I I I I I I

0

1984 1986


CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS


PERCENT PER ANNUM

18

1 4

10

2

18

1 4

10

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

I I I I I I I

I I I I I I I I II I

CANADIAN FINANCE CO. PAPER, COVERED

SWISS INTERBANK (SF) COVERED


I I I I I I I ll

DIFFERENTIAL

I I I I I

PERCENT PER ANNUM

18

U. S. COMMERCIAL PAPER

DIFFERENTIAL

LULL

1 4

10

2

2

1 9 8 4 1 9 8 6

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1 9 8 4 1 9 8 6


16

14

12

10

8

6

15

13

11

9

7

10

8

6

4

17

15

13

11

9

7

5

16

14

12

10

8

6

9

7

5

3

1

10

8

6

4

17

15

13

11

9

7

5

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

ENT PER ANNUM PERCENT PER M

UNITED STATES

UNITED KINGDOM

-

CANADA

-

I I I I I I

SWITZERLAND

_L_L _LL

- JAPAN -

I I I I I I

GERMANY

I I I I I I

U. S. CORPORATE MONTHLY

FRANCE Aaa BONDS

.

- - -

NETHERLANDS \

I I I I I I I I I

MONTHLY

I I I

1984 1986 1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

450 400

350

300

250

UNITED STATES 200

150

100

450 400

350

300

250 NETHERLANDS

200

150

100

450 400 350

300

250

FRANCE 200

150

100

450 400

350

300

JAPAN 250

200

150

100 1986 1984

RATIO SCALE 1969=100

450 400 - - 350

- 300

250 ~ UNITED KINGDOM f

250

- ^ - 200

150

I I I I I I I l l l l l l l l l l 100

SWITZERLAND

GERMANY

450 400

350

300

250

- 2 0 0

- 150

100

1984 1986


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE BATES AMD INDICES

WEEKLY AVERAGES, MOO8 BUYING RATES ( U . S . CENTS)

GERMAN MARK NOV. 19 419. 7 6 JAPANESE YEN NOV. 19 0. 6 1 7 0 2 DUTCH GUILDER NOV. 19 4 4 . 0 5 U . K . POUND NOV. 19 1 4 2 . 4 7 CANADIAN DOLLAR NOV. 19 7 2 . 2 5 FRENCH FRANC NOV. 19 1 5 . 20 SWISS FRANC NOV. 19 5 9 . 87 BELGIAN FRANC NOV. 19 2 . 3 9 2 5 8 ITALIAN LIRA NOV. 19 0. 0 7 1 8 5 SWEDISH KBONA NOV. 19 1 4 . 41

I N D I C E S , EARCH 1 9 7 3 BASE BATES = 100

GERMAN MARK NOV. 19 1 3 9 . 98 JAPANESE YEN NOV. 19 1 6 1 . 5 5 DUTCH GUILDER NOV. 19 1 2 6 . 4 5 U . K . POUND NOV. 19 5 7 . 6 2 CANADIAN DOLLAR NOV. 19 7 2 . 01 FRENCH FRANC NOV. 19 6 8 . 47 SWISS FRANC NOV. 19 1 9 2 . 61 BELGIAN FRANC NOV. 19 9 4 . 28 ITALIAN LIRA NOV. 19 4 0 . 8 2

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

U . S . DOLLAR NOV. 19 1 0 7 . 34 GERMAN MARK NOV. 19 1 5 9 . 84 JAPANESE YEN NOV. 19 1 8 2 . 14 DUTCH GUILDER NOV. 19 1 3 6 . 43 U . K . POUND NOV. 19 5 7 . 8 8 CANADIAN DOLLAR NOV. 19 7 4 . 54 FRENCH FRANC NOV. 19 6 9 . 77 SWISS FRANC NOV. 19 2 0 7 . 8 7 BELGIAN FRANC NOV. 19 9 9 . 6 7 ITALIAN LIRA NOV. 19 4 0 . 47 SWEDISH KBONA NOV. 19 6 6 . 5 6

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

CANADIAN DOLLAR NOV. 19 - 2 . 3 9 U . K . POUND NOV. 19 - 5 . 0 3 GERMAN HARK NOV. 19 1 . 3 8 FRENCH FRANC NOV. 19 - 2 . 2 8 SWISS FRANC NOV. 19 2 . 2 0 DUTCH GUILDER NOV. 19 0 . 5 5 JAPANESE YEN NOV. 19 1 . 4 8 ITALIAN LIRA NOV. 19 - 4 . 5 0


SERIES MANE LAST VALUE PLOTTED

DATE VALUE

CHART 3 . GOLD PRICE I N LONDON, AFTEBNOON FIXING

U . S . DOLLARS PER F INE OUNCE NOV. 19 3 9 8 . 5 3

. CALL MONEY RATES

U . S . FEDERAL FUNDS MOV. 19 6 . 1 3 OVERNIGHT EURO-DOLLAR DEPOSITS NOV. 19 5 . 9 5 U. K. NOV. 19 1 0 . 0 7 CANADA NOV. 19 7 . 7 5 GERMANY NOV. 19 4 . 4 2 JAPAN NOV. 19 3 . 7 5 FRANCE NOV. 19 7 . 3 3 NETHERLANDS NOV. 19 5 . 5 4 SWITZERLAND NOV. 19 1 . 0 0

CHART 5 . 3-MONTH INTEBEST BATES

U . S . 90-DAY C D ' S , SECONDARY MARKET NOV. 19 5 . 8 1 GERMAN INTERBANK LOAN NOV. 19 4 . 7 1 JAPANESE GENSAKI RATE NOV. 19 4 . 3 7 CANADIAN FINANCE PAPER NOV. 19 8 . 38 INTERBANK STERLING NOV. 19 1 1 . 1 8 SWISS INTERBANK LOAN NOV. 19 3 . 8 8 FRENCH INTERBANK BATE NOV. 19 7 . 5 5 NETHERLANDS INTERBANK BATE NOV. 19 5 . 5 0 WEIGHTED AVEBAGE FOREIGN INTEREST RATE NOV. 19 6 . 6 5

I G - 1 0 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT NOV. 19 5 . 9 5 7-DAY MOV. 19 5 . 9 6 1-MONTH NOV. 19 5 . 9 6 3-MONTH NOV. 19 5 . 98 6-MONTH NOV. 19 5 . 9 5 1-YEAR MOV. 19 6 . 0 6

CHART 7 . SELECTED EURO-DOLLAR AND U . S . HONEY MABKET RATES

OVEBNIGHT EURO-DOLLAR DEPOSITS NOV. 19 5 . 9 5 U . S . FEDERAL FUNDS NOV. 19 6 . 1 3 DIFFERENTIAL MOV. 19 - 0 . 1 8

3-MONTH EURO-DOLLAR DEPOSIT BATE NOV. 19 5 . 9 8 U . S . 90-DAY C D ' S , SECONDARY MARKET MOV. 19 5 . 8 1 DIFFERENTIAL MOV. 19 0 . 1 7


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT NOV. 19 5 . 9 8 INTERBANK STERLING (LONDON), COVERED NOV. 19 6 . 0 0 DIFFERENTIAL NOV. 19 - 0 . 0 3

O . S . COMMERCIAL PAPER NOV. 19 5 . 7 8 CANADIAN FINANCE PAPER, COVERED NOV. 19 5 . 9 4 DIFFERENTIAL NOV. 19 - 0 . 1 6

EURO-DOLLAR DEPOSIT NOV. 19 5 . 9 8 INTERBANK DM (FRANKFURT), COVERED NOV. 19 6 . 1 1 DIFFERENTIAL NOV. 19 - 0 . 1 4

EURO-DOLLAR DEPOSIT NOV. 19 5 . 9 8 SWISS INTERBANK, COVERED NOV. 19 6 . 1 0 DIFFERENTIAL NOV. 19 - 0 . 1 2

CHART 9 . LONG TERM GOVERMENT BOND YIELDS

UNITED STATES NOV. 14 7 . 3 4 GERMANY NOV. 14 6 . 0 7 JAPAN (MONTHLY) NOV. 14 4 . 8 2 SWITZERLAND OCT. 3 1 4 . 1 7 CANADA NOV. 7 9 . 4 6 FRANCE NOV. 7 8 . 9 7 NETHERLANDS (MONTHLY) AUG. 6 . 0 3 UNITED KINGDOM NOV. 14 1 0 . 3 1

U . S . CORPORATE

AAA BONDS JUNE 9 . 1 3

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMAN! SWITZERLAND NETHERLANDS FRANCE JAPAN

NOV. 12 2 5 3 . 8 1 NOV. 12 2 8 6 . 9 3 NOV. 12 3 0 5 . 9 1 NOV. 12 2 8 3 . 7 1 NOV. 12 1 8 8 . 1 3 NOV. 12 3 4 0 . 5 0 NOV. 12 3 8 2 . 2 7 NOV. 12 3 8 1 . 3 9

I


FEDERAL RESERVE statistical release

H.10 (612)

FOREIGN EXCHANGE RATES

' t

BOVBBBBB 2 4 , 1986

FOB THE BBBK BNDIBG BOVEBBEB 2 1 , 1986

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:

COOBTBY BOBETABY

OBIT

AOSTBALIA DOLLAB 6 4 . 1 5 AUSTBIA SCHILLING 1 4 . 1 7 7

* BELGIUB FRANC 4 1 . 8 5 0 ^ BRA2IL CBU2AD0 1 4 . 0 9

CABADA DOLLAR 1 . 3 8 5 2 ; CHIMA,P .3 . YUAN 3 . 7 3 1 4

DBBBABK KBOBE 7 . 6 1 0 0 FINLAND BABKKA 4 . 9 4 1 0

m FRANCE FRANC 6 . 5 9 4 0 GEBBABY D. HARK 2 . 0 1 3 5 GBEECB DRACHHA 1 3 8 . 6 0 0 HOBG KONG DOLLAR 7 . 8 0 0 5 INDIA BUPEE 1 3 . 1 1 0 0

IRELABD POUND 1 3 5 . 4 0 ITALI LIBA 1 3 9 3 . 0 0 JAPAB YBB 1 6 2 . 8 2 HALATSIA RINGGIT 2 . 6 1 3 5 BBTHEBLABDS GUILDER 2 . 2 7 5 0

NEB ZEALAND DOLLAR 5 1 . 3 5 0 BOBBAI KBOBE 7 . 5 1 3 0 POBTUGAL BSCUDO 1 4 8 . 8 0 0 SIBGAPOBE DOLLAR 2 . 1 9 4 0

SOUTH AFRICA BABD 4 4 . 7 5 SOOTH KOREA BOB 8 7 1 . 5 0 SPAIN PESETA 1 3 5 . 4 0 0 SBI LANKA BUPEE 2 8 . 4 6 7 SBBDBB KBOBA 6 . 9 4 5 0 SBIMBBLABD FBABC 1 . 6 7 5 0 TAIBAB DOLLAR 3 6 . 4 2 0 THAILAND BAHT 2 6 . 2 7 0

UBITBD KINGDOfl POUBD 1 4 2 . 8 0

HBHO: UNITED STATES DOLLAR 1 0 7 . 5 1

BOV. 17 (rflBPRiirV OITTS PBB nOLLlBJ

BOV. 18

6 4 . 14 41 . 14.

1 3 . 7 4. 6, 2,

138 7

13 1 3 5

1394 162

2 2

51, 7

149 2

44 8 7 2 135

2 8 6 1

3 6 26

142

28 165 8 7 0 0 9 3 8 3 2 7 3 1 4 6 1 3 0 9 4 0 0 5 9 1 0 0 1 3 0 7 5 0

, 8 0 3 0 , 1 5 0 0 . 2 7 , 2 5 .80 , 6 0 6 0 , 2 7 5 0 , 4 5 0 , 5 2 2 0 ,000 . 1 9 4 5 . 6 7 .00 . 5 0 0 . 4 6 7 . 9 4 9 0 . 6 7 5 0 . 4 1 0 . 2 8 0 . 2 5

1 0 7 . 5 5

BOV. 19

6 4 . 1 4 . 4 1 . 1 4 . 1. 3 . 7 . 4 . 6. 2.

1 3 8 . 7 .

1 3 . 1 3 5 .

1 3 9 0 . 162.

2. 2.

5 1 . 7 .

1 4 8 . 2.

4 4 . 8 7 2 . 1 3 5 . 28. 6. 1 .

3 6 . 26.

1 4 1 .

41 127 740 09 3 8 3 6 7314 5 9 2 5 9 4 5 0 5 7 7 0 0 0 8 3 6 5 0 7 9 2 0 1500 9 5 75 40 6 0 6 0 2 6 8 5 6 8 0 5 6 5 0 8 0 0 1855 7 5 50 200 4 6 5 9 4 7 0 6 7 1 0 4 0 0 2 7 0 80

1 0 7 . 3 9

BOV. 2 0

64 . 14, 41 . 14.

1 3, 7 4 6 2,

138 7

13 1 3 5

1390 162

2 2 ,

51 7

148 2

4 4 8 7 2 135

28 6 1

3 6 26

141

3 6 130 740 09 3 8 5 2 7 3 1 4 5 9 1 5 9 5 0 0 5 7 7 0 0 0 9 0 7 0 0 7 9 5 0 1500 70 50 7 5 6060 2 6 9 0 8 5 0 5 8 2 0 9 0 0 1 8 8 5 5 5 10 2 7 0 4 0 5 9 5 3 0

, 6 7 0 0 . 3 9 0

260 . 0 7

1 0 7 . 5 1

BOV. 2 1

6 4 . 1 4 . 4 2 . 1 4 . 1. 3 . 7 . 4 . 6. 2.

1 3 9 . 7 .

1 3 . 1 3 4 .

1 4 0 0 . 1 6 4 .

2. 2.

5 1 . 7 .

1 4 9 . 2.

4 4 . 8 7 2 . 1 3 5 . 28.

6. 1.

3 6 . 26.

1 4 2 .

42 240 030 09 3 8 7 0 7314 6 3 5 0 9750 6150 0 2 1 5 400 7940 1600 78 00 05 6 0 6 5 2840 780 6 3 2 5 950 1920 60 30 850 4 7 5 9710 6 9 2 5 380 280 30

1 0 7 . 9 8

iAWBAlUA VMUA w. COOHTB1ES. HABCH 1 9 7 3 = 1 0 0 . HEIGHTS ABB 1 9 7 2 - 7 6 GLOBAL TBADB OF BACH OF THE 10 COOHIBXBS. SBBIBS BEYISED AS OF AOGOST 1 9 7 8 . FOB DESCRIPTION AID BACK DATA, SBB " J l M I OF THE HEIGHTED-AVBRAGB BXCHASGB fALOB OF THB D . S . DOLLAB: REVISION" OH PAGE 7 0 0 OF THE AOGOST 1978 FEDERAL BESBBTB B0LLBT2H.

*fALDB I S O . S . CBHIS

C


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