Selected Interest & Exchange Rates...1986/07/21 · SELECTED EURO-DOLLAR AND U. S. MONEY MARKET...

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Selected Interest & Exchange Rates Weekly Series of Charts

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July 21, 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.


RATIO £ MARCH

200 180

160

140

120

100

200 180

160

140

120

100

80

140

120

100

90

80

70

60

90

80

70

60

50

40

120

100

90

80

70

60

50

1=100

50 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

CALE 1973=100

RATIO MARCH 197

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

ITALIAN LIRA

JAPANESE YEN GERMAN MARK

DUTCH GUILDER CANADIAN DOLLAR

J I 111111111111111111111111

U.K. POUND

BELGIAN FRANC

- FRENCH FRANC

-

SWISS FRANC

1984 1986 1984 1986


4

+ 0

4

8

4

+ 0

4

8

8

4

0

8

0

8

16

24

32

8

4

+ 0

4

12

8

4

0

8

4

0

8

0

8

16

24

32

CHART 2

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


:ENT PER ANNUM PERCENT PER M

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

JAPANESE YEN

— A —

SWISS FRANC

I I I I I I

DUTCH GUILDER

FRENCH FRANC ITALIAN LIRA

A

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 C

12.5 Kg BARS AFTERNOON FIXING PRICE

I I I i i I i. i I i i I i i i I i i

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 AT

U. S. FEDERAL FUNDS FRANCE

JAPAN

SWITZERLAND CANADA

UNITED KINGDOM

GERMANY

NETHERLANDS

vWvs/v

1984 1986 1984 1986


PERC

14

12

10

8

6

4

16

14

12

10

8

10

8

6

4

2 8

7

6

5

4

UM

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

h -

I I I I I I

-

U.K. INTERBANK STERLING ' I FRENCH INTERBANK RATE

-

I I I I I I

\ -

GERMAN INTERBANK RATE

l l l i

NETHERLANDS INTERBANK RATE

I I I I I I I

JAPANESE GENSAKI RATE SWISS INTERBANK RATE

-

I I I I I I

-

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

-

I I I I I I i i l l H i i l l i

6-MONTH 7-DAY

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

1-MONTH 1-YEAR

1984 1986 1984 1986


CHART 7

SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES DEFERENTIAL: PLUS(+), FAVORS BORROWING IN U. S.


PERCENT PER ANNUM

16

14

12

10

FEDERAL FUNDS DASHED LINE

OVERNIGHT EURO-DOLLAR DEPOSITS

1L

DIFFERENTIAL

I I I

I I I I I I

PERCENT PER ANNUM

16

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

3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD' S

I I I I I I 4

DIFFERENTIAL

V ^ V V V V x A v —

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

+ 0

1984 1986

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

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

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

J J J

CANADIAN FINANCE CO. PAPER, COVERED

PERCENT PER ANNUM

18

- 14

U. S. COMMERCIAL PAPER

DIFFERENTIAL

I I I I I

SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

I l I 1984 1986

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1984

- 1 0

2

18

14

10

2 2

0

1986


CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

PERCENT PER ANNUM

1? r ~ PERCENT PER ANNUM

UNITED STATES CANADA 15

13

11

9

7

15

13 SWITZERLAND UNITED KINGDOM

11

9

7

10 GERMANY

JAPAN 8

6

4

18 U. S. CORPORATE MONTHLY

16 FRANCE

Aaa BONDS 14

12

NETHERLANDS MONTHLY

10

8

6 1986 1984 1986 1984


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

UNITED STATES

NETHERLANDS

FRANCE

350

300 - J -250 __ JAPAN

—

200 - V -

150 s V M I I I I I 11111111111

RATIO SCALE 1969=100

— 350

- / X v * - 300

250 UNITED KINGDOM Z

- r* - 200

- 150

I I I 11 I n h i l l i 100

— 245

- i - 210

- / - 175

SWITZERLAND 140

y v V - 105

I I I I I I | , , i i l l M i i l l i 70

GERMANY

1984 1986 1984 1986


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CBAfiT 1 . SPOT EXCHANGE BATES AND INDICES

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

GERMAN MARK JULY 16 4 6 . 0 4 JAPANESE YEN JULY 16 0 . 6 2 5 0 2 DUTCH GUILDER JULY 16 4 0 . 8 6 II. K- POUND JULY 16 1 5 0 . 16

t CANADIAN DOLLAR JULY 16 7 2 . 64 FRENCH FRANC JULY 16 1 4 . 3 0 SWISS FRANC JULY 16 5 6 . 5 0 BELGIAN FRANC JULY 16 2 . 2 3 5 8 0 ITALIAN LIRA JULY 16 0 . 0 6 7 0 1 SWEDISH KRONA JULY 16 1 4 . 0 5

I N D I C E S , 8ARCH 1 9 7 3 BASE BATES = 100

GERMAN MARK JULY 16 1 2 9 . 5 1 JAPANESE YEN JULY 16 1 6 3 . 6 5 DUTCH GUILDER JULY 16 1 1 7 . 3 1 U .K. POUND JULY 16 6 0 . 7 3 CANADIAN DOLLAR JULY 16 7 2 . 4 0 FRENCH FRANC JULY 16 6 4 . 4 5 SWISS FRANC JULY 16 1 8 1 . 76 BELGIAN FRANC JULY 16 8 8 . 10 ITALIAN LIRA JULY 16 3 8 . 07

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , HAS 15173 = 100 ( G - 1 0 COUNTRIES PLUS SWITZERLAND)

U . S . DOLLAR JULY 16 1 1 1 . 2 2 GERMAN MARK JULY 16 1 5 0 . 61 JAPANESE YEN JULY 1 6 1 9 0 . 6 6 DUTCH GUILDER JULY 16 1 2 9 . 7 3 U . K . POUND JULY 16 6 3 . 2 6 CANADIAN DOLLAR JULY 16 7 7 . 2 7 FRENCH FRANC JULY 1 6 6 7 . 2 7 SWISS FRANC JULY 16 2 0 1 . 5 4 BELGIAN FRANC JULY 16 9 5 . 5 8 ITALIAN LIRA JULY 16 3 8 . 6 9 SWEDISH KRONA JULY 16 6 6 . 7 8

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

CANADIAN DOLLAR JULY 16 - 1 . 7 9 8 . K . POUND JULY 16 - 3 . 3 0 GE&HAM MARK JULY 16 2 . 0 7 FRENCH FRANC JULY 16 - 0 . 6 8 SWISS FRANC JULY 16 1 . 7 2 DUTCH GUILDER JULY 16 0 . 9 3 JAPANESE YEN JULY 16 2 . 0 2 ITALIAN LIRA JULY 16 - 4 . 7 0


S E R I E S NAME LAST VALUE PLOTTED

DATE VALUE

CHART 3 . GOLD PRICE IM LOSDON, AFTERNOON FIXING

U . S . DOLLARS PER F I N E OUNCE JULY 16 3 4 6 . 8 5

CHART 4 . CALL MONEY RATES

U . S . FEDERAL FUNDS JULY 16 6 . 5 1 OVERNIGHT EURO-DOLLAJB DEPOSITS JULY 16 6 . 5 6 U. K_ JULY 16 9 . 9 5 CANADA JULY 16 8 . 4 7 GERMANY JULY 16 4 . 49 JAPAN JULY 16 4 . 4 1 FRANCE JULY 16 7 . 14 NETHERLANDS JULY 16 5 . 9 7 SWITZERLAND JULY 16 1 . 9 0

CHART 5 . J-MONTH INTEREST BATES

U.S. 90-DAY C D ' S , SECONDARY MARKET JULY 16 6 . 3 6 GE&8AN INTERBANK LOAN JULY 16 4 . 5 8 JAPANESE GENSAKI RATI JULY 16 4 . 6 1 CANADIAN FINANCE PAPER JULY 16 8 . 3 6 INTERBANK STERLING JULY 16 9 . 9 1 S i I S S INTERBANK LOAN JULY 16 4 . 7 5 FRENCH INTERBANK RATE JULY 16 7 . 14 NETHERLANDS INTERBANK HATE JULY 16 5 . 5 9 HEIGHTED AVERAGE FOREIGN INTEREST RATE JULY 16 6 . 6 2

( G - 1 0 COUNTRIES PLUS SSITZESLAND)

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT JULY 16 6 . 5 6 7-DAY JULY 16 6 . 5 9 1-MONTH JULY 16 6 . 5 6 3-MONTH JULY 16 6 . 5 4 6-MONTH JULY 16 6 . 5 5 1-YEAR JULY 16 6 . 6 0

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

OVERNIGHT EURO-DOLLAR DEPOSITS JULY 16 6 . 5 6 U . S . FEDERAL FUNDS JULY 16 6 . 5 1 DIFFERENTIAL JULY 1 6 0 . 0 5

3-MONTH EURO-DOLLAR DEPOSIT RATE JULY 16 6 . 5 4 U . S . 90-DAY C D ' S , SECONDARY MARKET JULY 16 6 . 3 6 DIFFERENTIAL JULY 16 0 . 18


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT JULY 16 6 . 5 4 INTERBANK STERLING (LONDON) , COVERED JULY 16 6 . 5 3 DIFFERENTIAL JULY 16 0 . 0 1

U . S . COMMERCIAL PAPER JULY 16 6 . 3 1 CANADIAN FINANCE PAPER, COVERED JULY 16 6 . 5 4 DIFFERENTIAL JULY 16 - 0 . 2 3

EURO-DOLLAR DEPOSIT JULY 16 6 . 5 4 INTERBANK DM (FRANKFURT), COVERED JULY 16 6 . 6 8 DIFFERENTIAL JULY 16 - 0 . 14

EURO-DOLLAR DEPOSIT JULY 16 6 . 5 4 SWISS INTERBANK, COVERED JULY 16 6 . 4 9 DIFFERENTIAL J U L * 16 0 . 05

CHART 9 . LONG TERM GOVEfiM£NT BOND YIELDS

UNITED STATES JULY 11 7 . 3 3 GERMANY JULY 11 5 . 8 4 JAPAN (MONTHLY) JULY 11 5 . 0 1 SWITZERLAND JUNE 2 7 4 . 1 7 CANADA JULY 4 9 . 75 FRANCE JULY 4 8 . 6 5 NETHERLANDS (MONTHLY) MAY 6 . 39 UNITED KINGDOM JULY 11 9 . 0 6

U . S . CORPORATE

AAA BONDS JUNE 9 . 1 3

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS PRANCE JAPAN

J U L ! 9 2 4 9 . 7 1 JULY 9 2 9 2 - 7 3 JULY 9 2 9 8 . 4 1 JULY 9 2 6 0 . 5 9 JULY 9 1 8 2 . 7 4 JULY 9 3 4 7 . 2 3 JULY 9 3 7 0 . 5 0 JULY 9 3 5 9 . 4 2


FEDERAL RESERVE statistical release

H.10 (512) J U L ! 1 6 , 19tib

FOREIGN EXCHANGE RATES FOR THE WEEK ENDING JUL I 1 8 , 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:

COUNTRY MONETARY /niRHKiirT nnTT_q PRO n n n i B i

COUNTRY UNIT JULY 14 JULY 15 JULY 16 JULY 17 JULY 18

•AUSTRALIA DOLLAR 6 4 . 1 9 6 4 . 1 0 6 3 . 7 1 6 3 . 6 8 6 3 . 8 2 AUSTRIA SCHILLING 1 5 . 3 4 7 1 5 . 2 4 0 15 . 106 1 5 . 0 8 5 1 4 . 9 9 0 BELG1UH FRANC 4 4 . 9 2 0 4 4 . 6 4 0 4 4 , 3 3 0 4 4 . 3 5 0 4 3 . 9 9 0 BRAZIL CRUZADO 1 3 . 8 4 1 3 . 8 4 1 3 - 8 4 1 3 . 8 4 1 3 . 8 4 CANADA DOLLAR 1 . 3 7 6 9 1 . 3 7 4 5 1 . 3 7 6 0 1 . 3 7 5 0 1 . 3 7 5 3 CHINA,P .R , YUAN 3 . 7 1 2 9 3 . 7 1 2 9 3 . 7 1 2 9 3 . 7 1 2 9 3 . 7 1 2 9 DENHARK KRONE 8 . 1660 8 . 1 2 3 5 8 . 0 5 8 5 8 . 0 4 8 0 8 . 0 0 7 0 FINLAND HARKKA 5 . 1 2 9 0 5 . 1 0 1 0 5 . 0 6 4 0 5 . 0 5 9 0 5 . 0 4 0 5 FRANCS FRANC 7 . 0 1 5 0 6 . 9 9 5 0 6 . 9 4 3 0 6 . 9 3 5 0 6 . 8 8 7 5 GERJLANY D. HARK 2 . 1 8 0 5 2 . 1 6 6 0 2 . 1 5 0 0 2 . 1 4 7 5 2 . 1310 GREECE DRACHHA 1 4 0 . 0 0 0 1 4 0 . 5 0 0 1 3 8 . 150 1 3 8 . 2 5 0 1 3 8 . 0 0 0 HONG KONG DOLLAR 7 . 8 1 3 0 7 . 8 1 4 8 7 . 8 1 3 5 7 . 8 1 4 5 7 . 8 1 3 0 INDIA RUPEE 1 2 . 6 2 0 0 12*5400 1 2 . 4 7 0 0 1 2 , 5 3 0 0 1 2 . 5 9 0 0

•IRELAND POUND 1 3 7 . 4 2 1 3 8 . 2 8 1 3 8 . 8 8 1 3 8 . 9 0 1 3 9 . 45 ITALY LIRA 1 4 9 8 . 0 0 1 4 8 9 . 0 0 1 4 7 7 . 0 0 1 4 7 5 . 0 0 1 4 6 4 . 0 0 JAPAN YEN 1 6 0 . 2 5 1 5 9 . 5 0 1 5 8 . 4 0 1 5 7 . 3 5 1 5 6 . 4 5 MALAYSIA RINGGIT 2 . 6 7 0 0 2 . 6 7 0 0 2 . 6 4 9 0 2 . 6 5 0 0 2 . 6 6 5 0 NETHERLANDS GUILDER 2 . 4 5 7 0 2 . 4 4 0 5 2 . 4 2 4 0 2 . 4 2 1 5 2 . 4 0 1 0

•NEW ZEALAND DOLLAR 5 3 . 2 5 0 5 3 . 2 0 0 5 3 . 3 0 0 5 3 , 4 0 0 5 3 . 4 0 0 NORWAY KRONE 7 . 6 4 8 0 7 . 5 2 7 0 7 . 4 7 3 5 7 . 4 5 7 0 7 . 4 3 2 0 PORTUGAL SSCUDO 1 5 0 . 2 0 0 1 4 9 . 3 0 0 1 4 8 . 3 5 0 1 4 8 . 0 0 0 1 4 7 . 7 5 0 SINGAPORE DOLLAR 2 . 1 9 3 5 2 . 1 8 7 0 2 . 1 8 5 0 2 . 1 8 3 5 2 . 1 8 3 0

•SOUTH AFRICA RAND 3 8 . 0 0 3 8 . 2 5 3 8 . 5 0 3 8 . 7 5 3 8 . 7 5 SOUTH KOREA HON 8 8 9 . 7 0 8 8 9 . 6 0 8 8 9 . 10 8 8 9 . 1 0 8 8 8 . 6 0 SPAIN PESETA 1 3 8 . 9 8 0 1 3 7 . 9 5 0 1 3 6 . 9 5 0 1 3 6 . 8 0 0 1 3 5 . 9 0 0 SRI LANKA RUPEE 2 8 . 0 6 8 2 8 . 0 6 8 2 8 . 0 6 5 2 8 . 0 6 8 2 8 . 0 7 7 SWEDEN KRONA 7 . 1 5 3 0 7 . 1 0 8 0 7 , 0 5 6 0 7 . 0 5 0 0 7 . 0 2 2 0 SWITZERLAND FRANC 1 . 7 8 1 0 1 . 7 5 9 5 1 . 7 4 2 5 1 . 7 4 4 7 1 . 7 2 4 0 TAIWAN DOLLAR 3 8 . 1 2 0 3 8 , 1 2 0 3 8 . 120 3 8 . 1 2 0 3 8 . 1 2 0 THAILAND BAHT 2 6 . 3 0 0 2 6 . 2 4 0 2 6 . 1 9 0 2 6 . 1 6 0 2 6 . 160

•UNITED KINGDON POUND 1 4 8 . 0 5 1 4 9 . 4 0 1 5 1 . 4 0 1 5 1 . 5 0 1 5 0 . 4 5

HERO: 1 0 9 . 5 5 •UNITED STATES DOLLAR 1 1 1 . 7 3 1 1 1 . 0 8 1 1 0 . 2 7

I r . n

1 1 0 . 0 9

"•ncneu^r oc nil

1 0 9 . 5 5

COO Mills. HARCfl 1 9 7 3 = 1 0 0 . S U S H I S A M 1 9 7 2 - 7 6 GLOBAL TRADE OF BACH OF 1H1 10 COIMT1IBS. S 1 1 I S S IBWISSD AS o r AOG0ST 1 9 7 8 . FOR DESCRIPTION AMD .BACK DATA, S I S "INDJtf Of THE •1XGHT1D—AYBRAGB EXCHANGE VALUE OF THE O . S . DOLLAR: REVISION" 0 1 PAGE 7 0 0 OF THE AUGUST 1 9 7 8 FEDERAL RESERVE BULLETIN.

*VAL0E I S O . S . C U T S


Selected Interest & Exchange Rates...1986/07/21 · SELECTED EURO-DOLLAR AND U. S. MONEY MARKET...

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Transcript of Selected Interest & Exchange Rates...1986/07/21 · SELECTED EURO-DOLLAR AND U. S. MONEY MARKET...