Selected Interest & Exchange Rates

Transcription

1 5"41+0 (516/517)» * Selected Interest & Exchange Rates Weekly Series of Charts I May 29, 1984 Prepared by the FINANCIAL MARKETS SECTION DIVISION OF INTERNATIONAL FINANCE BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM Washington, D C

2 Table of Contents TABLES 1. LATEST FIGURES PLOTTED 2. DAILY CERTIFIED SPOT EXCHANGE RATES H.10 RELEASE CHARTS 1. SPOT EXCHANGE RATE INDICES 2. 3MONTH FORWARD EXCHANGE RATES 3. GOLD PRICELONDON 4. CALL MONEY RATES 5. 3MONTH INTEREST RATES 6. EURODOLLAR DEPOSIT RATES 7. SELECTED EURODOLLAR AND U.S. MONEY MARKET RATES 8. INTEREST ARBITRAGE: 3MONTH FUNDS 9. LONGTERM 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, 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.

3 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= FOREIGN CURRENCY PRICE OF U.S. DOLLAR ~ JAPANESE YEN ^ I I I I I " "i i I I I I I I I I 80 I I I _ CANADIAN DOLLAR 80 SWISS FRANC wf W /V ^ ^ x, I I I I I I I I I I I I I I I I I I I i I I i i GERMAN MARK r DUTCH i GUILDER I I I I I I I 0 I I I I U.K. POUND 80 i i i : i FRENCH FRANC I I I I I I I xfu,i,,i,7 I I I I I A i " i l l I I I illiihill i 140 "" I BELGIAN FRANC "l I I I I I ITALIAN LIRA i I I I I I I MIMIMIM

4 CHART 2 3MONTH FORWARD EXCHANGE RATES PREMIUM (+) OR () AVERAGES FOR WEEK ENDING WEDNESDAY PER 6 NT PER ANNUM PERCENT PER AN + 0 CANADIAN DOLLAR ITALIAN LIRA 6 I I I I Th.lMlM 6 0 U. K.POUND DUTCH GUILDER I /V v : \ n GERMAN MARK Av / : I I I iiininiii I I I I I I MlululM SWISS FRANC 0 FRENCH FRANC JAPANESE YEN

5 CHART 3 PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY U.S. DOLLARS PER FINE OUNCE 600 U.S. DOLLARS PER FINE OUNCE Kg BARS AFTERNOON FIXING PRICE

6 CHART 4 CALL MONEY RATES WEEKLY SERIES PER 28 [NT PER ANNUM PERCENT PER Al 24 \ n FRANCE 20 U. S. FEDERAL FUNDS 16 zr 8 JAPAN 4 i I I I I I CANADA 16 EUROSWISS FRANC 8 NETHERLANDS I I I I I I U. K. 2DAY LOCAL AUTHORITY GERMANY i EURODM * 8 4 i i i

7 CHART 5 3MONTH INTEREST RATES WEEKLY SERIES 22 JT PER ANNUM PERCENT PER ANI 18 U.S. CD S CANADIAN FINANCE CO. PAPER WEIGHTED AVERAGE FOREIGN RATE UK INTERBANK STERLING GERMAN INTERBANK RATE 8 11 SWISS INTERBANK RATE 9 jy ' \ JAPANESE BANK \ LOANS AND DISCOUNTS 7 5 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

8 CHART 6 EURODOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 24 PERCENT PER ANNUM 24 OVERNIGHT 3MONTH 7DAY 6MONTH 1MONTH 1YEAR

9 CHART 7 SELECTED EURODOLLAR AND U. S. MONEY MARKET RATES DIFFERENTIAL:PLUS(+), FAVORS BORROWING INU. S. AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 26 PERCENT PER ANNUM FEDERAL FUNDS 3MONTH EURODOLLAR DEPOSITS OVERNIGHT EURODOLLAR DEPOSITS 90DAY CD S 10 IIIII I I I II III I I I I II I I I I II II I I I II II II I I I DIFFERENTIAL DIFFERENTIAL J I I I I I PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

10 CHART 8 INTEREST ARBITRAGE: 3MONTH FUNDS DIFFERENTIAL:PLUSM,INDICATES FAVOR DOLLAR ASSETS AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM 28 PERCENT PER ANNUM EURODOLLAR DEPOSITS DASHED LINE CANADIAN FINANCE CO.PAPER, COVERED 20 INTERBANK STERLING COVERED LONDON X'X x/ U. S. COMMERCIAL PAPER I I I I I I 1_1 J_L 4 2 fv s/ V x yv u V^/x/ A/ DIFFERENTIAL A DIFFERENTIAL ^ 2 " i l l I I I INTERBANK DM COVERED FRANKFURT SWISS INTERBANK (SF) COVERED 20 EURODOLLAR DEPOSITS DASHED LINE I v\ EURODOLLAR DEPOSITS^, DASHED LINE» J_1 U 11 I I I I I I. i l i i l n h i DIFFERENTIAL ' A y / f xy X_/vAv,A DIFFERENTIAL A ^ A I A. 1 A AA ^ JL " I I I ~ i i PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

11 CHART 9 LONGTERM GOVERNMENT BOND YIELDS WEEKLY SERIES PER ENT PER ANNUM 19 PERCENT PER Af 19»jh CANADA I 15 UNITED STATES I I I 7 15 I 9 UNITED KINGDOM SWITZERLAND I I l I I I ill,ii,,i,i iiliiln" 1 13 MONTHLY 13 JAPAN GERMANY l l l I I I U. S. CORPORATE MONTHLY FRANCE 18 Aaa BONDS EURODOLLAR BONDS V NETHERLANDS MONTHLY 10 6 ill lllillllllllllll

12 CHART 10 INDUSTRIAL STOCK INDICES WEEKLY SERIES 1969= UNITED STATES JAPAN UNITED KINGDOM FRANCE GERMANY SWITZERLAND w A I I I I I I I I I I I I I I I I! NETHERLANDS CANADA l I I I I I

13 SERIES NAME LAST VALUE PLOTTED DATE VALUE CHART 1. SPOT EXCHANGE RATES AND INDICES WEEKLY AVERAGES, NOON BUYING RATES (U.S. CENTS) GERMAN MARK MAY JAPANESE YEN MAY DUTCH GUILDER MAY U.K. POUND MAY CANADIAN DOLLAR MAY FRENCH FRANC HAY SWISS FRANC MAY BELGIAN FRANC MAT ITALIAN LISA MAY SWEDISH KRONA MAY INDICES, MARCH 1973 BASE RATES = 100 GERMAN MARK MAY JAPANESE YEN MAY 23 1.,44 DUTCH GUILDER MAY U.K. POUND MAY 23 56, 11 CANADIAN DOLLAR MAY FRENCH FRANC MAY , 14 SWISS FRANC MAY BELGIAN FRANC MAY ITALIAN LIRA MAY ,43 WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100 (G10 COUNTRIES PLUS SWITZERLAND) U.S. DOLLAR MAY GERMAN MARK MAY ,30 JAPANESE YEN MAY ,06 DUTCH GUILDER MAY ,07 U.K. POUND MAY CANADIAN DCLLAR MAY FRENCH FRANC MAY ,09 SWISS FRANC MAY BELGIAN FRANC MAY ,25 ITALIAN LIRA MAY SWEDISH KRONA MAY CHART 2. 3MONTH FORWARD EXCHANGE CANADIAN DCLLAR U.K. POUND GERflAN MARK FRENCH FRANC SWISS FRANC DUTCH GUILDER JAPANESE YEN ITALIAN LIRA, PREMIUM OR DISCOUNT MAY MAY MAY MAY MAY MAY MAY MAY

14 SERIES NAME LAST VALUE PLOTTED DATE VALUE # CHART 3. GOLD PRICE IN LONDON, AFTERNOON FIXING U.S. DOLLARS PER FINE OUNCE MAY CHART 4. CALL MONEY RATES U.S. FEDERAL FUNDS MAY 23 S.,75 OVERNIGHT EURODOLLAR DEPOSITS HAY 23 9.,77 U.K. MAY 18 8.,75 CANADA APRIL ,43 GERMANY MAY 18 5.,50 EURODM MAY 25 5.,23 JAPAN MAY FRANCE MAY NETHERLANDS JAN ft EUROSWISS FRANC MAY CHART 5. 3MONTH INTEREST RATES U.S. 90DAY CD'S, SECONDARY MARKET MAY GERMAN INTERBANK LOAN MAY JAPANESE EANK LOANS 6 DISCOUNTS MAY CANADIAN FINANCE PAPER MAY INTERBANK STERLING MAY SUSS INTERBANK LOAN MAY WEIGHTED AVERAGE FOREIGN INTEREST RATE MAY (G10 COUNTRIES PIUS SWITZERLAND) CHART 6. EURODOLLAR DEPOSIT RATES; LONDON OVERNIGHT MAY DAY MAY MONTH MAY MONTH MAY MONTH MAY YEAR MAY CHART 7. SELECTED EURODOLLAR AND U.S. MONEY MARKET RATES OVERNIGHT EUROCOLLAR DEPOSITS U.S. FEDERAL FUNDS DIFFERENTIAL ADJ. FOB RESERVE REQUIREMENTS 3MONTH EURODOLLAR DEPOSIT BATE U.S. 90DAY CD'S, SECONDARY MARKET DIFFERENTIAL MAY MAY MAY MAY MAY MAY

15 SERIES NAME LAST VALUE PLOTTED DATE VALOE CHART 8. INTEREST ARBITRAGE, 3MONTH FUNDS EURODOLLAR DEPOSIT HAY INTERBANK STERLING (LONDON), COVERED MAX DIFFERENTIAL MAY U.S. COMMERCIAL PAPER MAY CANADIAN FINANCE PAPER, COVERED MAY DIFFERENTIAL HAY EURODOLLAR DEPOSIT HAY INTERBANK DM (FRANKFURT), COVERED HAY DIFFERENTIAL EURODOLLAR DEPOSIT HAY SWISS INTERBANK, COVERED MAY DIFFERENTIAL HAY CHART 9. LONG TERM GOVERMENT BOND YIELDS UNITED STATES GERMANY JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS (MONTHLY) UNITED KINGDOM MAY MAY MARCH MAY APRIL MARCH FEB. MAY U.S. CORPORATE AAA BONDS EURODOLLAR BONDS APRIL NOV CHART 10. STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN MAY 16 MAY 16 MAY 16 MAY 16 MAY 16 MAY 16 MAY 16 MAY

16 FEDERAL RESERVE statistical release H.K> 0) FOREIGN EXCHANGE RATES BAT 25, 1984 FOB TBI UEEK ENDING HAT 25, 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: COUNTRY MONETARY IPTIRRRNCV I!MT«rs PEP DOLLAB) UNIT MAY 21 MAY 22 MAY 23 MAY 24 MAI 25 AUSTRALIA DOLLAR AUSTRIA SCHILLING BELGIUfl FRANC BRAZIL CRUZEIRO CANADA DOLLAR CHINA,PR. YUAN DENflARK KRONE FINLAND MARKKA FRANCE FRANC GERMANY D. MARK GREECE DRACHMA HONG KONG DOLLAR INDIA RUPEE IRELAND POUND ISRAEL SHEKEL ITALY LIRA JAPAN YEN MALAYSIA RINGGIT MEXICO PESO NETHERLANDS GUILDER HEM ZEALAND DOLLAR NORWAY KRONE PHILIPPINES PESO PORTUGAL ESCUDO SINGAPORE DOLLAR SOUTH AFRICA RAND SOUTH KOREA WON SPAIN PESETA SRI LANKA RUPEE SWEDEN KRONA SWITZERLAND FRANC TAIWAN DOLLAR THAILAND BAHT UNITED KINGDOM POUND VENEZUELA BOLIVAR MEMO: UNITED STATES DOLLAR IINDBI OF HEIGHTED AVBBAGB EXCHANGE VALUE OF 0.S. DOLLAS AGAISST CUBBBNCIBS OF OTHER G11 CCOMTBIBS. HABCH 1973 «100. HEIGHTS ARB GLOBAL TBADB OF EACH OF THE 10 COUNTRIES. SBBIBS HBtlSBD AS OF AUGUST FOB DBSCBIPTION AND BACK DATA, SEE "INDEX OF THE BBIGHTBDAVBBAGB EXCHANGE VALOE OF THE U.S. DOLLAB: BBVISION" ON PAGE 700 OF THE AUGUST 1978 FEDZBA1 BBSBBTB BULLETIN. VALUE IS O.S. CENTS