Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : November 24, 1986

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Selected Interest &
Exchange Rates
Weekly Series of Charts

November 24,1986

DIVISION OF
INTERNATIONAL FINANCE

Prepared by the
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, D C 20551




Table of Contents

TABLES

SUBSCRIPTION RATES:

1. LATEST FIGURES PLOTTED

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, Division 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.

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




CHART 1

SPOT EXCHANGE INDICES
DOLLAR PRICES OF FOREIGN CURRENCIES AND WEIGHTED AVERAGE VALUES (THIN LINE)
AVERAGES FOR WEEK ENDING WEDNESDAY

HE

RATIO S CALE
MARCH 197: 1=100

73=100

200
180

SO

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

45

160

40

140

35

120

30

100

25

200

200
180

teo

JAPANESE YEN

160

160

140

140

120

120

100

100

80

80

140

140
DUTCH GUILDER

120

120

100

100

00

90

80

80

70

70

60

60

00
80

90
U K POUND

80

FRENCH FRANC

70
—

60

70

y

60
50

SO
nlnliilii

40

120
100

_

40

1 1 1

240
SWISS FRANC

BELGIAN FRANC

90

200
A /

Z

-

180

80

160

70

140

60

120
I

SO




1084

1086

I

II I I l l l l l l I

I
1084

1086

100

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

FRENCH FRANC

ITALIAN LRA

4

0
8

16

32




Illllllll11
1984

32
1986

1984

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. DC

U.S. DOLLARS PER FINE C

ARS PER FINE OUNCE

520

520

500

500

480

480

460

460

12.5 Kg BARS

440

440

AFTERNOON FIXING PRICE

420

420

400

400

380

380

360

360

340

340

320

320

300

300

280

280

260

260




1983

1984

1985

1986

CHART 4

CALL MONEY RATES
WEEKLY SERIES

PERCENT PER AT

:NT PER ANNUM

20

20

,16

16

FRANCE

U. S. FEDERAL FUNDS

12

12

8

8

4

4
JAPAN

0

0

20

20

16

SWITZERLAND

16

CANADA

12

12

8

8

4

4

0

0

20

20

16

16

UNITED KINGDOM

12

12

GERMANY

8

8
JW\/gw

4

4

NETHERLANDS

0




0
1984

1986

1984

1986

CHART 5

3 - MONTH INTEREST RATES
WEEKLY SERIES

PERC NT PER ANNUM

PERCENT PER AN

16

14

U.S. CD'S

CANADIAN FINANCE CO.
PAPER

12

10

8

14

L

-

10

WEIGHTED AVERAGE
FOREIGN RATE

6

4

-

M

i

l

l

12

11111111

I

I

I

I

I

I

8
6

16

14

IFRENCH INTERBANK RATE

U.K. INTERBANK STERLING
14

—

12

12

10

10

1

I

8

I

-

I

8
6

10

10
NETHERLANDS INTERBANK RATE

8

GERMAN INTERBANK RATE

8

6

6

4

4

2

I

I

II I I I I I I I I I I

2
8

8

7

SWISS INTERBANK RATE

JAPANESE GENSAKI RATE

-

6

4

5

-

1

4




6

1984

1986

1

2
0

1
1984

1986

CHART 6

EURO-DOLLAR DEPOSIT RATES

LONDON

AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER A!

ENT PER ANNUM

14

14
3-MONTH

OVERNIGHT

12

12

10

10

8

8

6

6

4

4

14

14
6-MONTH

7-DAY

12

12

10

10

8

8

6

6

4

4
14

14
1-MONTH

1-YEAR
12

12

10

I \

—

10

8

8

6

6

I

4




1984

1986

I

I

I

I
1984

I

4
1986

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

PERCENT PER ANNUM

16

16

14
FEDERAL FUNDS

3-MONTH

DASHED LINE

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

12

10

90-DAY CD' S
OVERNIGHT
E U R O - D O L L A R DEPOSITS

I

I

I

I

I

H I I I I I I I I I I I I I I I I1I 1I I

I

DIFFERENTIAL

II

II

DIFFERENTIAL

V^VZ^VAVV<V—

'
I

I

I

I

I

I

111111111111111111111111

1984
1 PERCENT ON D I F F E R E N T I A L S C A L E = 2 PERCENT ON RATE S C A L E




1986

I

I

I

I

I
1984

I

11111111111

»

I I I I I I I I I I I
1986

0

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS
DIFFERENTIAL: PLUS(+), INDICATES FAVOR DOLLAR ASSETS
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

18

18

CANADIAN FINANCE
CO. PAPER, COVERED

EURO-DOLLAR DEPOSITS

14

DASHED LINE

10

INTERBANK STERLING
COVERED LONDON

U. S. COMMERCIAL PAPER

DIFFERENTIAL

DIFFERENTIAL

2
18

INTERBANK DM
14

SWISS INTERBANK (SF) COVERED

COVERED FRANKFURT

14

10

10

EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

DASHED LINE

I I I I I I I I II I

I

I

I

I

I

I

I

I

I

ll

2

DIFFERENTIAL

I
1984

I

I
1986

1 PERCENT ON D I F F E R E N T I A L S C A L E = 2 PERCENT ON RATE S C A L E




I

2

DIFFERENTIAL

I

I

I

I

I
1984

I

LULL
1986

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES

PERCENT PER M

ENT PER ANNUM

16

16

—

CANADA

UNITED STATES
14

-

-

14

12

12

10

10

8

8
I

6

I

I

I

I

I

6
9

15

13

UNITED KINGDOM

7

SWITZERLAND

11

5

9

3

_L_L

7

_LL

1

10

10
GERMANY

8

JAPAN

-

8

-

6

6

I

4

I

I

I

I

I

I

I

I

I

I

I

4

17

17
U. S .

CORPORATE

MONTHLY

FRANCE

15

15

Aaa BONDS
.

13

11

-

-

13

11

-

NETHERLANDS

\

MONTHLY

9

9

7

7

5

I

I

I




I

I
1984

I

I
1986

I

I

I

I
1984

I

5
1986

CHART 10

INDUSTRIAL STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1969=100

RATIO SCALE
1969=100

450
400

—

—

450
400

350

-

-

350

300

-

250

200

300

~

UNITED STATES

UNITED KINGDOM

-

250

f
^

-

150

200
150

I

100

I

I

I

I

I

Illllllllll

100

450
400
350
300
250

200

NETHERLANDS

SWITZERLAND

150

100
450
400
350
300
250

200

FRANCE
GERMANY

150

100
450
400

450
400

350

350

300

300

250

JAPAN

250

200

-

200

150

-

150

100

100




1984

1986

1984

1986

LAST VALUE PLOTTED
DATE
VALUE

S E R I E S NAME
CHART 1 .

SPOT EXCHANGE BATES AMD I N D I C E S

WEEKLY AVERAGES, MOO8 BUYING RATES

(U.S.

CENTS)

GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U . K . POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN L I R A
SWEDISH KBONA
INDICES,

EARCH 1 9 7 3 BASE BATES =

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

CHART 2 .

19
19
19
19
19
19
19
19
19
19

419. 7 6
0. 6 1 7 0 2
4 4 . 05
142. 47
72. 25
1 5 . 20
5 9 . 87
2. 39258
0. 0 7 1 8 5
1 4 . 41

NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.

19
19
19
19
19
19
19
19
19

139.
161.
126.
57.
72.
68.
192.
94.
40.

98
55
45
62
01
47
61
28
82

19
19
19
19
19
19
19
19
19
19
19

107.
159.
182.
136.
57.
74.
69.
207.
99.
40.
66.

34
84
14
43
88
54
77
87
67
47
56

100

GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U . K . POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LI R A

U . S . DOLLAR
GERMAN MARK
JAPANESE YEN
DUTCH GUILDER
U . K . POUND
CANADIAN DOLLAR
FRENCH FRANC
SWISS FRANC
BELGIAN FRANC
ITALIAN LIRA
SWEDISH KBONA

NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.

MAR 1 9 7 3 =

100
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.

3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT

CANADIAN DOLLAR
U . K . POUND
GERMAN HARK
FRENCH FRANC
SWISS FRANC
DUTCH GUILDER
JAPANESE YEN
ITALIAN LIRA



NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.

19
19
19
19
19
19
19
19

-2.39
-5.03
1.38
- 2 . 28
2.20
0.55
1.48
-4.50

LAST VALUE PLOTTED
DATE
VALUE

S E R I E S MANE
CHART 3 .

GOLD PRICE I N LONDON, AFTEBNOON F I X I N G
NOV.

19

398.53

MOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.

19
19
19
19
19
19
19
19
19

6.13
5.95
10.07
7.75
4.42
3.75
7.33
5.54
1.00

NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.

19
19
19
19
19
19
19
19
19

5.81
4.71
4.37
8 . 38
11.18
3.88
7.55
5.50
6.65

NOV.
MOV.
NOV.
NOV.
NOV.
MOV.

19
19
19
19
19
19

5.95
5 . 96
5.96
5 . 98
5.95
6.06

OVEBNIGHT EURO-DOLLAR DEPOSITS
U . S . FEDERAL FUNDS
DIFFERENTIAL

NOV. 19
NOV. 19
MOV. 19

5.95
6.13
-0.18

3-MONTH EURO-DOLLAR DEPOSIT BATE
U . S . 90-DAY C D ' S , SECONDARY MARKET
DIFFERENTIAL

NOV. 19
MOV. 19
MOV. 19

5.98
5.81
0.17

U.S.
.

DOLLARS PER F I N E OUNCE

CALL MONEY RATES

U . S . FEDERAL FUNDS
OVERNIGHT EURO-DOLLAR DEPOSITS
U. K.
CANADA
GERMANY
JAPAN
FRANCE
NETHERLANDS
SWITZERLAND
CHART 5 .

3-MONTH INTEBEST BATES

U . S . 90-DAY C D ' S , SECONDARY MARKET
GERMAN INTERBANK LOAN
JAPANESE GENSAKI RATE
CANADIAN FINANCE PAPER
INTERBANK STERLING
SWISS INTERBANK LOAN
FRENCH INTERBANK BATE
NETHERLANDS INTERBANK BATE
WEIGHTED AVEBAGE FOREIGN INTEREST RATE
I G - 1 0 COUNTRIES PLUS SWITZERLAND)
CHART 6 .

EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT
7-DAY
1-MONTH
3-MONTH
6-MONTH
1-YEAR
CHART 7 .

SELECTED EURO-DOLLAR AND U . S .




HONEY MABKET RATES

S E R I E S NAME
CHART 8 .

LAST VALUE PLOTTED
DATE
VALUE

INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT
INTERBANK STERLING (LONDON), COVERED
DIFFERENTIAL

NOV. 19
NOV. 19
NOV. 1 9

5.98
6.00
-0.03

O . S . COMMERCIAL PAPER
CANADIAN FINANCE PAPER, COVERED
DIFFERENTIAL

NOV. 19
NOV. 1 9
NOV. 19

5.78
5.94
-0.16

EURO-DOLLAR DEPOSIT
INTERBANK DM (FRANKFURT), COVERED
DIFFERENTIAL

NOV. 19
NOV. 19
NOV. 19

5.98
6.11
-0.14

EURO-DOLLAR DEPOSIT
SWISS INTERBANK, COVERED
DIFFERENTIAL

NOV.
NOV.
NOV.

19
19
19

5.98
6.10
-0.12

NOV.
NOV.
NOV.
OCT.
NOV.
NOV.
AUG.
NOV.

14
14
14
31
7
7

7.34
6.07
4.82
4.17
9.46
8.97
6.03
10.31

CHART 9 .

LONG TERM GOVERMENT BOND YIELDS

UNITED STATES
GERMANY
JAPAN (MONTHLY)
SWITZERLAND
CANADA
FRANCE
NETHERLANDS (MONTHLY)
UNITED KINGDOM
U.S.

14

CORPORATE

AAA BONDS
CHART 1 0 .




9.13

STOCK I N D I C E S

UNITED STATES
UNITED KINGDOM
CANADA
GERMAN!
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN
I

JUNE

NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.
NOV.

12
12
12
12
12
12
12
12

253.81
286.93
305.91
283.71
188.13
340.50
382.27
381.39

FEDERAL RESERVE statistical release
H.10 (612)

't

BOVBBBBB 2 4 ,

1986

FOREIGN EXCHANGE RATES
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

*
^
;
m

•AOSTBALIA
AUSTBIA
BELGIUB
BRA2IL
CABADA
CHIMA,P.3.
DBBBABK
FINLAND
FRANCE
GEBBABY
GBEECB
HOBG KONG
INDIA
•IRELABD
ITALI
JAPAB
HALATSIA
BBTHEBLABDS
•NEB ZEALAND
BOBBAI
POBTUGAL
SIBGAPOBE
•SOUTH AFRICA
SOOTH KOREA
SPAIN
S B I LANKA
SBBDBB
SBIMBBLABD
TAIBAB
THAILAND
•UBITBD KINGDOfl
HBHO:
•UNITED STATES

BOBETABY
OBIT
DOLLAB
SCHILLING
FRANC
CBU2AD0
DOLLAR
YUAN
KBOBE
BABKKA
FRANC
D. HARK
DRACHHA
DOLLAR
BUPEE
POUND
LIBA
YBB
RINGGIT
GUILDER
DOLLAR
KBOBE
BSCUDO
DOLLAR
BABD
BOB
PESETA
BUPEE
KBOBA
FBABC
DOLLAR
BAHT
POUBD
DOLLAR

BOV. 17

(rflBPRiirV OITTS PBB nOLLlBJ
BOV. 19
BOV. 18

64.15
14.177
41.850
14.09
1.3852
3.7314
7.6100
4.9410
6.5940
2.0135
138.600
7.8005
13.1100
135.40
1393.00
162.82
2.6135
2.2750
51.350
7.5130
148.800
2.1940
44.75
871.50
135.400
28.467
6.9450
1.6750
36.420
26.270
142.80

6 4 . 28
14 1 6 5
41. 870
14. 0 9
1 3832
3. 7 3 1 4
7 6130
4. 9 4 0 0
6, 5 9 1 0
2, 0 1 3 0
138 750
7 ,8030
13 , 1 5 0 0
135 .27
1394 ,25
162 . 8 0
2 ,6060
2 ,2750
51, , 4 5 0
7 ,5220
149 ,000
2 .1945
44 . 6 7
8 7 2 .00
135 . 5 0 0
28 .467
6 .9490
1 .6750
36 .410
26 . 2 8 0
142 . 2 5

41
127
740
09
1. 3 8 3 6
3 . 7314
7. 5925
4 . 9450
6. 5 7 7 0
2. 0 0 8 3
138. 650
7 . 7920
13. 1500
135. 95
1 3 9 0 . 75
162. 40
2. 6 0 6 0
2. 2 6 8 5
5 1 . 680
7 . 5650
148. 800
2. 1 8 5 5
4 4 . 75
8 7 2 . 50
1 3 5 . 200
28. 4 6 5
6. 9 4 7 0
1. 6710
3 6 . 400
26. 2 7 0
1 4 1 . 80

107.51

107.55

107.39

64.
14.
41.
14.

iAWBAlUA VMUA
w.
—— •
COOHTB1ES. HABCH 1 9 7 3 = 1 0 0 . HEIGHTS ABB 1 9 7 2 - 7 6 GLOBAL TBADB OF
SBBIBS BEYISED AS OF AOGOST 1 9 7 8 . FOB DESCRIPTION AID BACK DATA,
HEIGHTED-AVBRAGB BXCHASGB fALOB OF THB D . S . DOLLAB: REVISION" OH
1 9 7 8 FEDERAL BESBBTB B0LLBT2H.
*fALDB I S O . S .

C




CBHIS

BOV. 2 0
36
130
740
09
3852
7314
5915
9500
5770
0090
700
7950
1500
70
50
162 7 5
2 6060
2, 2690
51 850
7 5820
148 900
2 1885
44 55
8 7 2 10
135 2 7 0
28 4 0 5
6 9530
1 ,6700
36 . 3 9 0
26 260
141 . 0 7

64.
14,
41.
14.
1
3,
7
4
6
2,
138
7
13
135
1390

107.51

BOV. 2 1
6 4 . 42
1 4 . 240
4 2 . 030
1 4 . 09
1. 3 8 7 0
3 . 7314
7 . 6350
4 . 9750
6. 6 1 5 0
2. 0 2 1 5
1 3 9 . 400
7 . 7940
1 3 . 1600
134. 78
1 4 0 0 . 00
164. 05
2. 6 0 6 5
2. 2 8 4 0
5 1 . 780
7. 6325
149. 950
2. 1920
4 4 . 60
8 7 2 . 30
135. 850
28. 4 7 5
6. 9 7 1 0
1. 6 9 2 5
3 6 . 380
26. 2 8 0
1 4 2 . 30
107.98

—
—
BACH OF THE 10 COOHIBXBS.
SBB " J l M I OF THE
PAGE 7 0 0 OF THE AOGOST