h13_19860602.pdf

(516/517)

Selected Interest & Exchange Rates Weekly Series of Charts

June 2,1986 DIVISION O F f 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

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.

9. LONG-TERM GOVERNMENT BOND YIELDS 10. INDUSTRIAL STOCK INDICES


CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

RATIO SCALE MARCH 1973=100

RATIO SCALE MARCH 1973=100

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

ITALIAN LIRA

JAPANESE YEN GERMAN MARK

DUTCH GUILDER CANADIAN DOLLAR

U.K. POUND FRENCH FRANC

BELGIAN FRANC SWISS FRANC

I I I I I I

1984 1986 1984 1986


CHART 2

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


PERCENT PER ANNUM

4

FRENCH FRANC

CANADIAN DOLLAR

V

U. K. POUND

I I I I I I

\ / f -

GERMAN MARK

I I I

PERCENT PER ANNUM

8 JAPANESE YEN

A

I I I I I I

ITALIAN LIRA

I I I

SWISS FRANC

I I I

(v\ -

DUTCH GUILDER

1984 1986 1984 1986


U.S. D<

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

.LARS PER FINE OUNCE U.S. DOLLARS PER FINE 0

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

CHART 4

CALL MONEY RATES WEEKLY SERIES

[NT PER ANNUM PERCENT PER M

U. S. FEDERAL FUNDS FRANCE

JAPAN

SWITZERLAND

UNITED KINGDOM

NETHERLANDS

CANADA

I I I I I I

GERMANY

r W w .

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 AF\

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

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

U.K. INTERBANK STERLING

CANADIAN FINANCE CO. - PAPER

h -

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

-

I FRENCH INTERBANK RATE

-

I I I

I

NETHERLANDS INTERBANK RATE 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

6-MONTH 7-DAY

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 L INE

OVERNIGHT E U R O - D O L L A R DEPOSITS

11 I I I I I I I I I I I

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

90-DAY CD' S

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

DIFFERENTIAL

J I I I I I I I I I I I I I I I I I I I I I I I I I I 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

1984

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

1986 1984 1986


CHART 8

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


PERCENT PER ANNUM

18

14

10

2

18

14

10

EURO-DOLLAR DEPOSITS DASHED LINE

INTERBANK STERLING COVERED LONDON

I I I I I I I nil

DIFFERENTIAL

I I I I I

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

I I

PERCENT PER ANNUM

18

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

\ A A "

SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

1984 1986 1984 1986

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE


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 Ah

UNITED STATES CANADA

UNITED KINGDOM SWITZERLAND

|

JAPAN

I I I

U. S. CORPORATE MONTHLY

Aaa BONDS -

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

1984 1986

I

I I I

GERMANY

I I I

-

. I FRANCE -

- I NETHERLANDS

MONTHLY

I I I I I I I I I I I I I M I M I h } | 11111111

1984 1986


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

UNITED KINGDOM UNITED STATES

NETHERLANDS SWITZERLAND

FRANCE

GERMANY

1984 1986

CANADA

I I I i l l 11 h i l l i

1 9 8 4 1 9 8 6

3 5 0

3 0 0

2 5 0

2 0 0

150


S E B I E S HAKE LAST VALUE PLOTTED

DATE VALUE

CHAitT 1 . SPOT EXCHANGE MATES AW I N D I C E S

MEEKLY AVEBAGES, MOO* BUYING BATES ( U . S . CENTS)

GERMAN MABK JAPANESE YEN DUTCH GUILDER O . K . POUND CANADIAN DOLLAR FRENCH FBANC SWISS FBANC BELGIAN FfiANC ITALIAN L I R A SWEDISH KBONA

MAX 2 8 43.92 MAY 2 8 0 . 5 9 0 7 6 MAY 2 8 3 9 . 0 5 MAY 2 8 1 4 9 . 8 6 MAY 2 8 7 2 - 9 6 MAY 2 8 1 3 . 7 9 MAY 2 8 5 3 . 0 5 MAY 2 8 2 . 1 5 0 1 9 MAY 2 8 0 - 0 6 4 0 0 MAY 2 8 1 3 . 7 6

I N D I C E S , MARCH 1 9 7 3 BASE BATES = 1 0 0

GERMAN MARK MAY 2 8 1 2 3 . 5 4 JAPANESE YEN MAY 2 8 1 5 4 . 6 8 DUTCH GUILDER MAY 2 8 1 1 2 . 1 1 0 . K . POUND MAY 2 8 6 0 . 6 1 CANADIAN DOLLAR MAY 2 8 7 2 . 7 2 FRENCH FRANC MAY 2 8 6 2 . 12 SWISS FRANC MAY 2 8 1 7 0 . 6 6 BELGIAN FfiANC MAY 2 8 8 4 . 7 3 ITALIAN L I S A MAY 2 8 3 6 . 3 6

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

0 . 5 . DOLLAR MAY 2 8 1 1 5 . 2 6 GERMAN MASK MAY 2 8 1 4 7 . 19 JAPANESE YEN MAY 2 8 1 8 4 . 7 1 DUTCH GUILDER MAY 2 8 1 2 7 . 3 4 fl.iL. POUND MAY 2 8 6 5 . 1 0 CANADIAN DOLLAR MAY 2 8 8 0 . 0 3 FRENCH FBANC MAY 2 8 6 6 . 6 2 SWISS FRANC MAY 2 8 1 9 4 . 4 3 BELGIAN FfiANC MAY 2 8 9 4 . 4 8 ITALIAN L I B A MAY 2 8 3 2 . 9 5 SWEDISH KBONA MAY 2 8 6 7 . 2 8

CHART 2 . 3-MONTti FORWARD EXCHANGE B A T E S , PREMIUM o a DISCOUNT

CANADIAN DOLLAR MAY 2 8 - 1 . 4 9 U . K . POUND MAY 2 8 - 2 - 8 9 GERMAN MARK MAY 2 8 2 . 4 4 FRENCH FBANC MAY 2 8 - 0 . 2 8 SWISS FBANC MAY 2 8 2 . 3 5 DUTCH GUILDEB MAY 2 8 1 . 1 1 JAPANESE YEN MAY 2 8 2 . 1 7 ITALIAN LIBA MAY 2 8 - 4 . 5 4


S E R I E S SAMS LAS I VALUE PLOTTED

DATE VALUE

CHART 3 . GOLD PRICE I S LONDON, AFTERNOON FIXING

CHART

CHART 6 .

U . S . DOLLARS PEE FIVE OUNCE MAY 2 8 34 1 . 16

4 . CALL MONEY HATES

0 . S . FEDERAL FUNDS MAY 2 8 6 . 8 5 OVERNIGHT EURO-DOLLAR DEPOSITS MAY 2 8 6 . 8 4 U.JU MAY 2 8 1 0 . 0 0 CANADA MAY 2 8 8 . 5 0 GERMANY MAY 2 8 4 . 0 8 JAPAN MAY 2 8 4 . 16 FRANCE MAY 2 8 7 . 3 1 NETHERLANDS MAY 2 8 6 . 5 9 SWITZERLAND MAY 2 8 5 . 6 0

5 . 3-MONTH INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET MAY 2 8 6 . 6 9 GERMAN INTERBANK LOAN MAY 2 6 4 . 5 9 JAPANESE GEMSAKI BATE MAY 2 8 6 . 6 3 CANADIAN FINANCE PAPER MAY 2 8 8 . 4 1 INTERBANK STERLING MAY 2 8 9 . 94 SWISS INTERBANK LOAN MAY 2 8 4 . 5 2 FRENCH INTERBANK RATE MAY 2 8 7 . 14 NETHERLANDS INTERBANK MATE MAY 2 8 5 * 8 4 WEIGHTED AVERAGE FOREIGN INTEREST RATE MAY 2 8 6 . 7 0

( G - 1 0 COUNTRIES PLUS SWITZERLAND)

6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT MAY 2 8 6 . 8 4 7-DAY MAY 2 8 6 . 8 9 1-MONTH MAY 2 8 6 . 9 1 J-MONTH MAY 2 8 6 . 9 1 6-MONTH MAY 2 8 6 . 9 1 1-YEAR MAY 2 8 7 . 09

CHART 7 . SELECTED EURO-DOLLAR AMD U . S . HONEY MARKET BATES

OVERNIGHT EURO-DOLLAR DEPOSITS MAY 2 8 6 . 8 4 U . S . FEDERAL FUNDS MAY 2 8 6 . 8 5 DIFFERENTIAL MAY 2 8 - 0 . 0 1

3-MONTH EURO-DOLLAR DEPOSIT RATE MAY 2 8 6 . 9 1 U . S . 90-DAY C D ' S , SECONDARY MARKET MAY 2 8 6 . 6 9 DIFFERENTIAL MAY 2 8 0 . 2 2


SERIES NAME L A S I VALUE PLOTTED

DATE VALUE

CHABT 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

BUBO-DOLLAB DEPOSIT MAX 2 8 6 . 9 1 INTERBANK STEELING (LONDON), COVERED MAX 2 8 6 . 9 7 DIFFERENTIAL MAX 2 8 - 0 . 0 7

U . S . COAAEBCIAL PAPEfi MAX 2 8 6 . 6 8 CANADIAN FINANCE PAPEfi , COVERED MAX 2 8 6 . 8 9 DIFFERENTIAL MAX 2 8 - 0 . 2 1

EUBODOLLAB DEPOSIT MAX 2 8 6 . 9 1 INTEBBANK DM (FBANKFUBT), COFEEED MAX 2 8 7 . 0 6 DIFFERENTIAL MAX 2 8 - 0 . 15

EUBODOLLAB DEPOSIT MAX 2 8 6 . 9 1 S S I S S INTEBBANK, COVERED MAX 2 8 6 . 9 0 DIFFERENTIAL MAX 2 8 0 . 0 0

CHABT 9 . LONG TERM GOVERMENT BOND IIBLDS

UNITED STATES GEBMANX JAPAN (HONTHLX) SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLX) UNITED KINGDOM

U . S . CORPORATE

AAA BONDS APRIL 8 . 7 9

CUA-tT 1 0 . STOCK I N D I C E S

UNITED STATES UNITED KISGDOfl CANADA GERMANY SHITZERLAND NETHERLANDS raises JAPAN

MAX 2 3 7 . 90 MAI 2 3 5 . 8 7 MAI 2 3 4 . 9 8 MAX 16 4 . 3 7 MAX 2 3 9 . 4 4 MAX 2 3 8 . 1 2

MARCH 6 . 4 4 MAX 2 3 8 . 6 2

MAX 2 1 . 2 4 3 . 2 0 MAX 2 1 2 8 8 . 4 6 MAX 21 299*25 MAX 2 1 2 7 5 . 8 0 MAX 2 1 . AA-7.96 MAX 2 1 3 8 9 . 9 9 MAY 2 1 4 0 7 . 8 3


FEDERAL RESERVE statistical release

H.10 (512)

FOREIGN EXCHANGE RATES

FOB THE HEEK E B D I I G MAK 3 0 , t 9 8 b

M

HAX -10 , 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:

COUMTRI BOMTART

OMIT tcaaamuzY nmrs per doLLASI

COUMTRI BOMTART

OMIT BA jf 2 6 BAT 2 7 BAI 2 8 BAI 2 9 BAX JO

AOSTRALIA DOLLAR 72.04 7 2 - 12 7 2 . 0 0 7 1 . 4 8 AUSTRIA S C H I L L I N G 1 5 . 9 9 8 1 6 . 0 1 0 1b.202 1 6 . 3 5 0 BELGlfJB PRAMC 4 4 . 4 8 0 4 6 . 5 8 0 4 7 . 0 * 0 4 7 . 4 8 0 8 R A 2 I L CROEADO 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 1 3 . 8 4 CAMADA DOLLAR 1 . 3 7 4 7 1 . 3 7 5 5 1 . 3 7 6 5 1 . 3 7 9 7 c a i i A, p. a . TOAM 3.2095 3 . 2 0 9 5 3 . 2 0 9 5 3 . 2 1 9 1 DEUARK KROME a 8 . 4 2 8 0 8 . 4 2 9 0 8 . 5 1 2 5 8 . 6 0 5 5 F I L L A I D BAREKA 5 . 2 5 5 0 5 . 2 6 2 5 5 . 2 9 1 0 5 . 3 5 1 5 PRAMC* PRABC 7 . 2 4 5 0 7 . 2 6 6 5 7 . 3 4 5 0 7 . 4 0 6 0 S M S AMY D . S A R I 0 2 . 2 7 4 0 2 . 2 7 9 5 2 . 3 0 5 5 2 . 3 2 5 0 GREECE DRACHMA 1 4 2 . 9 5 0 1 4 2 . 0 0 0 1 4 3 . 2 0 0 1 4 5 . 0 0 0 aoMG KOIG DOLLAR 7 . 8 1 3 0 7.8120 7 . 8 0 6 0 7 . 8 1 1 0 I B D I A ROPEE L 12,6900 12.6300 1 2 . 6 9 0 0 1 2 . 7 7 0 0

*IFLLALD POOMD 133*55 1 3 3 . 1 5 1 3 1 . 8 5 1 3 0 . 5 5 M A L I L I R A 1565.00 1 5 6 3 . 0 0 1 5 8 1 . 0 0 1 5 9 2 . 0 0 JAPAM TEE I 169.20 169.00 1 7 1 . 6 0 1 7 4 . 5 0 BALAISIA BIMGGIT 2.6350 2.6250 2 . 6 3 3 0 2 . 6 4 0 . 0 MSTEERLAMDS GUILDER 2.5580 2.5610 2 . 5 9 0 0 2 . 6 1 4 5

* I E ZEALAMD DOLLAR D 55.300 55 .500 5 6 . 0 5 0 5 6 . 3 0 0 MOBSA1 KROME 7.6950 7 . 6 9 5 0 7 . 7 5 9 0 7 . 8 4 0 0 PORTUGAL ESCODO 152.000 152.300 1 5 3 . 4 0 0 1 5 4 . 7 0 0 SIEGAPORE DOLLAR A 2.2270 2.2250 2 . 2 2 7 0 2 . 2 4 1 5

*SOUTH AFRICA RAID 4 2 . 9 5 4 3 . 9 0 4 2 . 9 5 4 2 . 3 5 SOOTH KOREA MOM 8 9 1 . 4 0 8 9 1 . 5 0 8 9 1 . 1 0 8 9 1 . 6 0 SPAIB PESETA I 1 4 4 . 7 5 0 1 4 5 . 2 2 0 1 4 6 . 8 0 0 1 4 8 . 3 0 0 S R I L A M A ROPEE 2 7 . 9 5 2 ^ 7 . 9 3 2 2 7 . 9 3 8 2 7 . 9 3 8 SEEDEB EROEA 7 . 2 6 3 0 7 . 2 6 9 0 7 . 3 1 7 5 7 . 3 9 0 5 SEITiERLAMD PRAMC 1.8*10 1.8835 1 . 9 0 8 8 1 . 9 3 3 5 TAI8AM DOLLAR 38.330 EA 3 8 . 2 8 0 3 8 . 2 4 0 THAXLAMD BART 2 6 . 4 4 0 2 6 . 4 1 0 2 6 . 4 3 0 2to.480

SOMITES KIMGDOM POOED 1 5 0 . 5 5 1 5 0 . 2 0 1 4 9 . 10 1 4 7 . 2 3

SBFLO: #011TED STATES DOLLAR 1 1 5 . 1 6 1 1 5 . 3 1 1 1 6 . 4 9 1 1 7 . 6 2

ilEl>2X OF 8BI6H! HD AVERAGE 1CHARGE VALUE OF U . S . DOLLAR AGAIEST CURRENCIES OH OTBEB G~10 CO08TBIBS. HABCH 1 9 7 3 = 1 0 0 . BEIGBTS IBB 1 9 7 2 - 7 6 GLOBAL TBADE Of BACH Of TUB 10 COUBTBISS. SEBIBS KBVISZD AS Of AUGUST 1 * 7 8 . fOB D E S C B I f T I O * ABO BACK DATA, SEE lHOBJt Of THE BEIGHTED-AfBBAGB BXCHAIGB fAi.DE Of THE U . S . DOLLAB: BJUTISIOB" 0 1 PAGE 700 Of THE A8GUST 1978 F&DBBAL BBSBBVB BULLETIN.

I A L 0 E I S U . S . CENTS


Documents

h13_19860602.pdf