Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : September 17, 1984

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s

(516/517)

Data

Free

LIBRARY

x

f D E R A L RESERVE BANK
Q£ CHICAGO

I

Selected Interest &
Exchange Rates
Weekly Series of Charts

I:"

•| September 1 7 , 1 9 8 4

DIVISION OF
INTERNATIONAL FINANCE

Prepared by t h e
FINANCIAL MARKETS
SECTION

BOARD OF GOVERNORS
FEDERAL RESERVE SYSTEM
Washington, D C. 20551




-

w

o

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 t o one address, $13.50 per
year or $ . 3 5 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
RATIO SCALE
MARCH 1973--100

RATIO SCALE
MARCH 1 9 7 3 = 1 0 0

160
140

—

FOREIGN CURRENCY
PRICE OF U.S. DOLLAR

-

—

JAPANESE YEN

-

^

120

140

120

-

100

- /

Xz-N

-

100

-

|

80

|

|

160

m I M I M I I 7

I

~

I

|

I

|

|

, , |

,

80
240

CANADIAN DOLLAR

SWISS FRANC

200
-

K s f

160

120
180
160

180
—
-

GERMAN MARK
140
120

-

-

\ v

140

iDUTCH GUILDER

120

-

J

100
I

r

I

I

I

I

v

V

160

-

100

I

I

I

l

u m f n l i i

120
—

—

100
FRENCH FRANC

U.K. POUND

-

80

60
50
"

i

l

l

160
$

140

80
—

BELGIAN FRANC

~

120
100

Vv/zv"v

-

—

|

80

I

I

I

I

I
1982

•




-

—

60

-

-

50

-

40

-

I

-

^

I
1984

70

ITALIAN LIRA

I

I

I

I
1982

I

11111111111111111 m
1984

111

30

CHART 2

3-MONTH FORWARD EXCHANGE RATES
PREMIUM (+) OR ( - )
AVERAGES FOR WEEK ENDING WEDNESDAY
PERCENT PER ANNUM

PERCENT PER ANNUM

24

6
-

CANADIAN DOLLAR

ITALIAN LIRA

-

24

/VL J

V*\




-

I

I

I

N /V

DUTCH GUILDER

IU. K. POUND

ii I i i h i l i i

i

i

^ :
11111111111

i

6

15
SWISS FRANC

-

GERMAN MARK

-

I

I

I

I

I

I

FRENCH FRANC

JAPANESE YEN

1982

1984

1982

1984

CHART 3

PRICE OF GOLD IN LONDON
AVERAGES FOR WEEK ENDING WEDNESDAY

U.S. DOLLARS PER FINE OUNCE

U.S. DOLLARS PER FINE OUNCE

600 I—

—| 600

550

12.5 Kg BARS
AFTERNOON FIXING PRICE

500

500

450

450

400

400

350

350

300

300

250




250
1981

1982

1983

1984

CHART 4

CALL MONEY RATES
WEEKLY SERIES

PERCENT PER ANNUM

PERCENT PER ANNUM

24

28
24
X

20

A

v

fL

20

—

16

-

12

-

8

FRANCE

-

V"

—

U. S. FEDERAL FUNDS

16

W N V y

—

I f

12
JAPAN

4

-

I

I

I

I

| |

0

24

CANADA

A

EURO-SWISS
FRANC

20

A

16

J ;

-

|

U. K. 2 - D A Y LOCAL AUTHORITY




|

|

i

i

i

Hill h i l l I

i l l ii h i l l i

GERMANY

EURO-DM

1982

1984

1982

1984

12

CHART 5

3-MONTH INTEREST RATES
WEEKLY SERIES

PERCENT PER ANh

IT PER ANNUM

22

24

18

20
U. S. CD S

CANADIAN FINANCE CO.
PAPER

16

14

12

10
WEIGHTED AVERAGE
FOREIGN RATE

6

8

20

16

U.K. INTERBANK STERLING

16

12

GERMAN INTERBANK RATE

12

8

8

4
12

11

SWISS INTERBANK RATE

8

9
JAPANESE BANK
LOANS AND DISCOUNTS

4

7

0

5




1982

1984

1982

1984

CHART 6

EURO-DOLLAR DEPOSIT RATES london
AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER ANNUM

PERCENT PER ANNUM

24

20

24

t-

A

t

—

V

—

OVERNIGHT

3-MONTH

16

12

8

4

-

V

-

-

-

1

1




1

1

1

1

11111111111

I l l l l l l l l l l

7-DAY

6-MONTH

1-MONTH

1-YEAR

1982

1984

1982

1984

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

26

26

FEDERAL FUNDS

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

OVERNIGHT

9 0 - D A Y CD S

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




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 I I I I I I

IDIFFERENTIAL

-

DIFFERENTIAL

+
0

I
1982

1984

I

I

I I I I I I I I I I I
1982

I I I I I I I I I I I
1984

CHART 8

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

PERCENT PER ANNUM

28

20

28

EURO-DOLLAR DEPOSITS

-

DASHED LINE

20
CANADIAN FINANCE
CO. PAPER, COVERED

12

-

12
INTERBANK STERLING
COVERED LONDON

U. S. COMMERCIAL PAPER

"X'V V

—

DIFFERENTIAL

—

DIFFERENTIAL

r f

/ V

2

W

1

A

—

x / V

v

1

- ^ v y -

-

1

28

20

SWISS INTERBANK (SF) COVERED

INTERBANK DM
COVERED FRANKFURT

12
EURO-DOLLAR DEPOSITS

EURO-DOLLAR DEPOSITS

DASHED LINE

—DASHED LINE

DIFFERENTIAL

~h
( u

w

r

DIFFERENTIAL

I

I
1982

I

~ I

1984

1 PERCENT ON DIFFERENTIAL S C A L E = 2 PERCENT ON RATE S C A L E




L

/Aa/M AA
.

\/yy\rxWvAyVA'X

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1982

i

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1984

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS
WEEKLY SERIES

4

^

PEI

19

19
CANADA

15

UNITED STATES

15

11

11

7

7

15

9
UNITED KINGDOM
SWITZERLAND

11

5

1

13
GERMANY

JAPAN

9

9

5

22

5
S. CORPORATE

22

MONTHLY

18

FRANCE
Aaa BONDS

14

18

14

10
NETHERLANDS

10

MONTHLY

6




6

CHART 10

INDUSTRIAL STOCK INDICES
WEEKLY SERIES
RATIO SCALE
1969=100

RATIO SCAL
1969=101

240

-

200

160

—

«vJ

_

-

-

-

-

—

—

UNITED STATES

.

_

240
JAPAN

P

—

VX

200

160

120

~

120

-

i

i

i

I

i

r

I

i

I

1

1

1

—

210
—
170

I

j \ h

-

r*

V

tJ

210

~~

—

170

—

UNITED KINGDOM

FRANCE

—

130

-

90

-

70

.

I

I

I

I

I

-

-

-

—

I I I II I I II I I

I

j

y/

-

130

-

90

l l l l l l l l l l l

70

1 j

1

1

1

1

1

1

lllllllllll

190
—

150

GERMANY

/

y /

—

__

-

-

—

1 9 0 ^

150

SWITZERLAND
.

-

110

110
"

I

70

I

I

I

I

I

1 1 1

70

—

180

-

—

-

NETHERLANDS

Jf V y A

r

~

-

~

-

CANADA

140

100

y

-

80

60

i

i

i




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I
1982

I

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-

-

-

ill ii h i l i i
1984

\

I

I

AT

I

I

I
1982

360

I

-

280

-

200

-

160

120
1984

t

LAST VALUE PLOTTED
DATE
VAIOE

S E E J E S NAME
CHABT 1.

SPOT EXCHANGE BATES AND I N D I C E S

WEEKLY AVERAGES,

NOON BUYING BATES

(O.S.

CENTS)

GEBBAN MARK
JAPANESE YEN
DUTCH GUXLDEB
U . K . POUND
CANADIAN DOLLAB
FBENCH FBANC
SWISS FBANC
BELGIAN FBANC
ITALIAN LIBA
SWEDISH KBONA
INDICES,

MABCH 1 9 7 3 BASE BATES =

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPI.
SEPT.
SEPT.
SEPT.
SEPT.

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S ,
(G—10 COUNTBIES PLUS SWITZERLAND)

CHABT 2 .

33.49
0.40783
29.69
127.77
7 6 . 17
10.91
40.23
1.66428
0.05440
11.76

100

GEBBAN MASK
JAPANESE YEN
DUTCH GUXLDEB
U . K . POUND
CANADIAN DOLXAB
FBENCH FBANC
SWISS FBANC
BELGIAN FBANC
ITALIAN LIBA

U . S . DOLLAB
GEBBAN MASK
JAPANESE YEN
DUTCH GUILDEB
U . K . POUND
CANADIAN DOLLAB
FBENCH FBANC
SWISS FBANC
BELGIAN FBANC
I T A L I A N LIBA
SWEDISH KBONA

12
12
12
12
12
12
12
12
12
12

SEP3C. 12
S E P T . 12
S E P T . 12
S E P T . 12
S E P T . 12
S E P T . 12
S E P T . 12
S E P T . 12
S E P T . 12
MAE 1 9 7 3 =

94.
106.
85.
51.
75.
49.
129.
65.
30.

20
78
23
68
92
18
42
58
90

143.
131.
148.
114.
66.
101.
62.
175.
86.
38.
68.

99
22
41
56
24
24
42
16
76
47
51

100

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

12
12
12
12
12
12
12
12
12
12
12

3-HONTH FOBWABD EXCHANGE B A T E S , PBEBIUM OB DISCOUNT

CANADIAN DOLLAB
U . K . POUND
GEBBAN MARK
FBENCH FBANC
SWISS FBANC
DUTCH GUILDEB
JAPANESE YEN
ITALIAN LIBA




SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

12
12
12
12
12
12
12
12

- 0 . 32
1. 2 1
6. 32
0 . 55
7 . 03
5 . 51
5 . 60
- 3 . 01

LASH VALUE PLOTTED
DATE
VALUE

S E R I E S NAME
CHART 3 .

GOLD PRICE I N LONDON, AFTERNOON F I X I N G

U.S.
4.

DOLLARS PER F I N E OUNCE

SEPT.

11.52
11.46
10.50
12.14
5.50
5.26
6.25
11.00
10.30
3.32

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

12
12
12
12
12
12
12

11.49
5.80
6.25
12.27
10.81
4.77
8.79

SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

12
12
12
12
12
12

1 1.46
11.59
11.73
11.85
1 2 . 13
12.60

EURO-DOLLAR DEPOSIT RATES: LONDON

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

S E P T - 12
S E P T . 12
S E P T . 14
AUG. 2 4
S E P T . 14
S E P T . 14
S E P T . 14
S E P T . 14
JAN1
S E P T . 14

3-MONTH INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET
GERMAN INTERBANK LOAN
JAPANESE BANK LOANS 6 DISCOUNTS
CANADIAN FINANCE PAPER
INTERBANK STERLING
SWISS INTERBANK LOAN
WEIGHTED AVERAGE FOREIGN INTEREST RATE
(G—10 COUNTRIES PLUS SWITZERLAND)
6.

339.50

CALL MONEY BATES

U . S . FEDERAL FUNDS
OVEENIGHT EURO-DOLLAR DEPOSITS
U. K.
CANADA
GERMANY
EURO-DM
JAPAN
FRANCE
NETHERLANDS
EURO-SWISS FRANC
5.

12

SELECTED EURO-DOLLAR AND U . S .

MONEY MARKET BATES

OVERNIGHT EURO-DOLLAR DEPOSITS
ti. S , FEDERAL FUNDS
DIFFERENTIAL ADJ. FOR RESERVE REQUIREMENTS

SEPT.
SEPT.
SEPT.

12
12
12

11.46
11.52
- 0 . 06

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

SEPT.
SEPT.
SEPT.

12
12
12

11.85
11.49
0.36




S E B I E S NAME
CHART 8 .

INTEREST ARBITRAGE, 3—MONTH FUNDS

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

SEPT.
SEPT.
SEPT.

12
12
12

11. 85
12. 05
- 0 . 20

U . S . COMMERCIAL PAPER
CANADIAN FINANCE PAPER, COVERED
DIFFERSNTJAL

SEPT.
SEPT.
SEPT.

12
12
12

11. 25
1 1 . 94
- 0 . 70

EURODOLLAR DEPOSIT
INTERBANK DM (FRANKFORT), COVERED
DIFFERENTIAL

SEPT.
SEPT.
SEPT.

12
12
12

11. 85
12. 22
- 0 . 37

EURO-DOLLAR DEPOSIT
SWISS INTERBANK, COVERED
DIFFERENTIA!

SEPT.
SEPT.
SEPT.

12
12
12

11. 85
1 1 . 88
- 0 . 03

SEPT.
AUG.
MARCH
AUG.
AUG.
JUNE

7
31
31
24
29

12.83
7.71
6.64
4.77
12.63
13.90

AUG. 3 1

10.26

JULY
NOV.

13.44
10.29

CHART 9 .

LONG TERM GOVERMENT BOND YIELDS

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

t CHART 1 0 .

MAY

£.52

CORPORATE

AAA BONDS
EURO-DOLLAR BONDS
STOCK I N D I C E S

UNITED STATES
UNITED KINGDOM
CANADA
GERMANY
SWITZERLAND
NETHERLANDS
FRANCE
JAPAN

#

LAST VALUE PLOTTED
DATE
VAJ.UE




SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.
SEPT.

5
5
5
5
5
5
5
5

172.60
184.65
234.34
147.92
125.93
1 5 7 . 10
174.28
214.97

FEDERAL RESERVE statistical release
H.10 (512)

SEPTEMBER

14,

1964

FOREIGN EXCHANGE RATES
FOB THE WEEK ENDING SEPTEMBER

14,

1984

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:

COUBTBY

MONETABI
UNIT

•AOSTBALIA
AOSIBIA
BELGIUB
BBAZIL
CANADA
CBINA,P.B.
DENBABK
FINLAND
FJBANCB
GEBBANY
GREECE
BONG KONG
INDIA
•IBELAND
1SBABL
HALT
JAPAN
. BALAISIA
ft flEXICO
NETBEBLANDS
• N E B ZEALAND
NOBBAY
PHILIPPINES
PORTUGAL
SINGAPOBE
• S O U T B AFBICA
SOOTH KOBEA
SPAIN
S B I LANKA
SWEDEN
SBITZEBLAND
JAIBAN
THAILAND
• U N I T E D KINGDOM
VENEZUELA

DOLLAB
SCHILLING
FBANC
CBUZEIBO
DOLLAB
YUAN
KBONE
BABKKA
FBANC
D . AABK
DBACHBA
DOLLAB
BOPEE
POUND
SHEKEL
LIBA
YEN
BINGGIT
PESO
GUILDBB
DOLLAB
KBONE
PESO
ESCUDO
DOLLAB
BAND
RON
PESETA
BOPEE
KBONA
FBANC
DOLLAB
BAHT
POUND
BOLIYAB

BE BO:
•UNITED STATES

DOLLAB

SEP.

10

83*00
21.000
60.260
2241.00
1.3125
2.5216
10.6450
6.2200
9.1750
2.9920
117.950
7.8650
11.7900
1 0 3 . 50
NA
1842.00
245.60
2.3460
197.0000
3.3740
49.100
8.4980
NA
155.750
2.1600
60.35
814.70
168.600
25.450
8.5220
2.4920
NA
23.020
127.60
BA

144.23

SEP.

11

83.35
21.060
60.370
2177.00
1.3163
2.5342
10.8675
6.2350
9.2275
3.0080
118.500
7.8635
11.8000
103.25
NA
1846.00
245.55
2.3500
197.0000
3.3912
49.180
8.5010
NA
156.120
2.1635
60.20
815.60
168.600
25.450
8.5120
2.4990
39.080
23.020
127.50
NA

144.65

SEP.

12

83.31
21*055
60.310
2177.00
1.3141
2.5190
10.8675
6.2300
9.1990
2.9980
118.150
7.8545
11.7800
103.35
NA
1844.00
244.95
2.3490
197.0000
3.3800
49.210
8.5150
NA
155.900
2.1625
60.75
815.50
168.650
25.500
8.5300
2.4900
39.090
23.020
127.95
NA

144.30

SEP.

13

83.05
21.350
61.050
2177.00
1.3161
2.5341
11.0100
6.2750
9.3275
3.0400
119.150
7.8630
11.7900
101.97
NA
1870.00
245.80
2.3500
197.2500
3.4240
49.050
8.5875
NA
157.200
2. 1635
59.65
815.20
170.050
25.555
8.6000
2.5130
39.110
23.020
126.75
NA

145.78

SEP.

14

8 3 . 15
21.320
61.000
2177.00
1.3142
2.5494
10.9875
6.2550
9.3100
3.0335
119.050
7.8560
11.8200
102.15
NA
1865.50
245.65
2.3495
198.0000
3.4195
49.030
8.5750
NA
157.100
2.1630
60.10
816.20
169.750
25.550
8.5825
2.5050
39.120
23.020
126.60
NA

145.58

t I N D E X OF WEIGHTED AVEBAGE EXCHANGE VALUE OF U . S . DOLLAE A G A I N S T C 0 B B E N C 2 B S OF OIHEB G—11
C O U N T R I E S . MARCH 1 9 7 3 = 1 0 0 . WEIGHTS ARB 1 9 7 2 - 7 6 G 1 0 B A 1 TRADE OF EACH
OF THE 1 0 C C 0 8 T B I E S .
S E B I B S R E V I S E D AS OF ADGDST 1 9 7 8 . FOB D E S C R I P T I O N AND BACK D A T A , SEE " I N D E X OF THE
WEIGHTED-AVERAGE EXCHANGE V A 1 0 E OF THE 0 . S . DOLLAR: R E V I S I O N " ON PAGE 7 0 0 OF THE AUGUST
1 S 7 8 FEDERAL RESERVE B U L L E T I N .
•VALUE I S

U.S.




CENTS