h13_19810518.pdf

Selected Interest & Exchange Rates Weekly Series of Charts

May 18 ,1981

Prepared by the FINANCIAL MARKETS SECTION

DIVISION OF INTERNATIONAL FINANCE

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.


CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

RATIO SCALE MARCH 1 9 7 3 = 1 0 0

120

100

80

R A T I O SCALE MARCH 1 9 7 3 = 1 0 0

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

U.K. POUND

-FRENCH FRANC

- 120 : vv ^ V\ : 100

' I I I I I I 80

120

100 -

- A J j

\ JAPANESE YEN

I I I I I I

100

80

60

4 0

DUTCH GUILDER

CANADIAN DOLLAR

SWISS FRANC

BELGIAN FRANC

^ x :

" | M 1 1 1 1 1 1 1 1 1 1 1

|

ITALIAN LIRA

I I V

-

I I I I I I I ! I I I I I I 1 1 1 1 1 1 1 1 1 1 1

100

100

80

60

4 0

1 9 7 9 1981 1 9 7 9 1981


CHART 2

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


PERCENT PER ANNUM

6 PERCENT PER ANNUM

CANADIAN DOLLAR

~ ^ r \ _ / V \ l V V

U. K. POUND I V : I I I

v \ A V

I I I l l l l l l l l

24

ITALIAN LIRA _

4-

V V

4

i i i I I I i i V i 24

GERMAN MARK

i i n i l i l l i i

FRENCH FRANC

DUTCH GUILDER 12

1 9 7 9 1 9 8 1

l l l

SWISS

I I I

FRANC Jj A

\ JAPANE :SE YEN 1

l \ i -

I 1 1 11 t l 1 1 1 1 1 1 1 n U i l l i l l f

1979 1981

6

18

12

12

+ 0


U.S. [

800

750

700

650

600

550

500

450

400

350

300

250

200

150

100

800

750

700

650

600

550

500

450

400

350

300

250

200

150

100

C H A R T 3

PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

LLARS PER FINE OUNCE U.S. DOLLARS PER FINE

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 I I I I

1978 1979 1980 1981


28

2 4

20

16

12

8

4

2 4

20

16

12

8

4

0

16

12

8

4

0

28

2 4

20

16

12

8

4

2 4

20

16

12

8

4

0

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

:NT PER ANNUM PERCENT HER At

U. S . FEDERAL FUNDS U. K. 2-DAY LOCAL AUTHORITY

i l l l l l l l l l l

EURO-SWISS FRANC CANADA

NETHERLANDS

11 I I111111 l l l l I I I I I I I I I u l l l l l

FRANCE

ITV " - GERMANY I I I W E U R O - D M

I I I i l l l l l l l l l l I l l l l l l l l l l I l l l l l l l l l l

1 9 7 9 1981 1 9 7 9 1981


PERC

20

16

12

8

4

22

18

14

10

6

16

12

8

4

20

16

12

8

4

16

12

8

4

0

12

8

4

0

CHART 5

3-MONTH INTEREST RATES WEEKLY SERIES

NT PER ANNUM PERCENT PER AN

U. S. CD' S

U.K. INTERBANK STERLING

WEIGHTED AVERAGE FOREIGN RATE

GERMAN INTERBANK RATE CANADIAN FINANCE CO. PAPER

JAPANESE BANK LOANS AND DISCOUNTS

-

SWISS INTERBANK RATE

V -

v Z I ' W a J \ I 11111111111 1 9 7 9 1 9 8 1 1 9 7 9 1981


24

20

16

12

8

4

24

20

16

12

8

4

24

20

16

12

8

4

24

20

16

12

8

4

2 4

20

16

12

8

4

24

20

16

12

8

4

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM PERCENT PER Af

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-MONTH

-

1-YEAR

A J -

I I I I I I I I I I I I I I i i l i i l i i l n 1979 1981 1979 1981


26

22

18

14

10

6

3

2

1

+

0

1

2

3

4

IUM 26

22

18

14

10

6

3

2

1

0

1

2

3

4

CHART 7

SELECTED EURO-DOLLAR AND U. S. MONEY MARKET RATES DIFFERENTIAL: P L U S M , FAVORS BORROWING IN U. S.


INT PER ANNUM PERCENT P E R AN

- -

-

FEDERAL FUNDS l \ / \ 1 " Ijij \ J

l \

J V -- j

1 J p / OVERNIGHT

f T W *

EURO-DOLLAR DEPOSITS

I I 1 1 1 1 1 1 1 I I 1 1 1 l l 1 1 1 1 1 1 1 1 1 1 I I LLL t ! I I I i I

3-MONTH EURO-DOLLAR DEPOSITS

DIFFERENTIAL

i L _ i 11 i , U 11 n i l i i 1 1 1 1 1 1 1 1 1

DIFFERENTIAL

L J i I I I I I I I I I I I I I I I I I I I I I 1979 1981 1979 1981

I PERCENT ON DIFFERENTIAL SCfLE = 2 PERCENT ON RATE SCALE


CHART 8

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


PERCENT PER ANNUM

28

EURO-DOLLAR DEPOSITS 20

12 12

_ I I A / INTERBANK STERLING

COVERED LONDON ,

4 I I M i l l 11111111111 11111111111

INTERBANK DM COVERED FRANKFURT


1 I 1 I I I I I I I

PERCENT PER ANNUM

28

~ f \ A r m

DIFFERENTIAL "

~ I I I

DIFFERENTIAL

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL -

y A

" i l l

A " V V V

i i i

iv4 :


DIFFERENTIAL

I I I

1979 1981 1979 1981

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE


15

13

11

9

7

12

10

8

6

4 16

14

12

10

8

6

14

12

10

8

6

15

13

11

9

7

9

7

5

3

1

17

15

13

11

9

7

13

11

9

7

5

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

ANNUM PERCENT PER

CANADA

UNITED STATES

SWITZERLAND

GERMANY

UNITED KINGDOM

FRANCE

NETHERLANDS

MONTHLY

JAPAN

1981 1979

U. S. CORPORATE MONTHLY

Aaa BONDS

EURO-DOLLAR BONDS

1979 1981


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO S C A L E 1 9 6 9 = 1 0 0

RATIO S C A L E 1 9 6 9 = 1 0 0

UNITED STATES

FRANCE GENERAL INDEX

SWITZERLAND JAPAN

GERMANY

160

- UNITED KINGDOM

t ~ 140

l M, / ~ 120 - 100

i i i I , 80 1979 1981 1979 1981


S E R I E S NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE RATES AND I N D I C E S

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

GERMAN MARK MAY 1 3 4 3 . , 8 4 J A P A N E S E YEN MAY 1 3 0. , 4 5 7 2 0 DUTCH GUILDER MAY 1 3 3 9 . , 4 5 U . K . POUND MAY 1 3 2 0 9 . , 7 0 CANADIAN DOLLAR MAY 1 3 8 3 . , 2 9 FRENCH FRANC MAY 1 3 1 8 . . 3 3 S W I S S FRANC MAY 1 3 4 8 . , 2 7 BELGIAN FRANC MAY 1 3 2 . , 6 8 7 0 4 I T A L I A N L I R A MAY 1 3 0. , 0 8 8 1 6

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

GERMAN MARK MAY 1 3 1 2 3 . 3 3 J A P A N E S E YEN MAY 1 3 1 1 9 . 7 1 DUTCH GUILDER MAY 1 3 1 1 3 . 2 6 U . K . POUND MAY 1 3 8 4 . 8 2 CANADIAN DOLLAR MAY 1 3 8 3 . 0 1 FRENCH FRANC MAY 1 3 8 2 . 6 0 S W I S S FRANC MAY 1 3 1 5 5 . 2 9 BELGIAN FRANC MAY 1 3 1 0 5 . 8 8 I T A L I A N L I R A MAY 1 3 5 0 . 0 8

iGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAR 1 9 7 3 = 1 0 0 ( G - 1 0 C O U N T R I E S PLUS SWITZERLAND)

U . S . DOLLAR MAY 1 3 1 0 3 . 0 9 GERMAN MARK MAY 1 3 1 3 2 . 2 4 J A P A N E S E YEN MAY 1 3 1 2 5 . 6 4 DUTCH GUILDER MAY 1 3 1 1 7 . 2 1 U . K . POUND MAY 1 3 8 5 . 6 1 CANADIAN DOLLAR MAY 1 3 8 3 . 9 6 FRENCH FRANC MAY 1 3 8 2 . 9 9 S W I S S FRANC MAY 1 3 1 6 1 . 1 9 BELGIAN FRANC MAY 1 3 1 0 8 . 9 1 I T A L I A N L I R A MAY 1 3 4 8 . 7 4 SWEDISH KRONA MAY 1 3 9 2 . 8 3

CHART 2 . 3-MONTH FORWARD EXCHANGE R A T E S , PREMIUM OR DISCOUNT

CANADIAN DOLLAR MAY 1 3 0 . 4 0 U . K . POUND MAY 1 3 7 . 3 8 GERMAN MARK MAY 1 3 6 . 8 0 FRENCH FRANC MAY 1 3 3 . 0 4 S W I S S FRANC MAY 1 3 1 0 . 0 1 DUTCH GUILDER MAY 1 3 7 . 9 1 J A P A N E S E YEN MAY 1 3 1 2 . 2 8 I T A L I A N L I R A MAY 1 3 - 2 . 0 3


S E R I E S NAME L&ST VALUE P L O T T E D

DATE VALUE

CHART 3 . GOLD P R I C E I N LONDON, AFTERNOON F I X I N G

U . S . DOLLARS PER F I N E OUNCE BAY 1 3 4 8 4 . 9 5

CHART 4 . CALL MONEY R A T E S

U . S . F E D E R A L FUNDS MAY 1 3 1 8 . 2 1 O V E R N I G H T EURO-DOLLAR D E P O S I T S MAY 1 3 1 8 . , 2 2 U . K . 2 - D A Y LOCAL AUTHORITY D E P O S I T S MAY 8 1 0 . , 6 3 CANADA MAY 1 1 7 . . 0 0 GERMANY MAY 8 1 1 . , 8 0 EURO-DM MAY 1 1 1 . , 0 8 J A P A N MAY 8 7 . , 1 3 FRANCE MAY 8 1 2 . 2 5 NETHERLANDS A P R I L 2 4 9 . , 9 0 E U R O - S W I S S FRANC MAY 1 7 . , 0 0

CHART 5 . 3 - M O N T H I N T E R E S T R A T E S

U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET MAY 1 3 1 8 . 7 0 GERMAN I N T E R B A N K LOAN MAY 1 3 1 2 . 8 9 J A P A N E S E BANK LOANS & D I S C O U N T S MAY 1 3 7 . 2 5 CANADIAN F I N A N C E PAPER MAY 1 3 1 9 . 3 3 I N T E R B A N K S T E R L I N G MAY 1 3 1 2 . 2 6 S W I S S I N T E R B A N K LOAN MAY 1 3 9 . 6 0 WEIGHTED AVERAGE F O R E I G N I N T E R E S T RATE MAY 1 3 1 2 . 9 3

( G - 1 0 C O U N T R I E S P L U S SWITZERLAND)

CHART 6 . EURO-DOLLAR D E P O S I T R A T E S : LONDON

O V E R N I G H T MAY 1 3 1 8 . 2 2 7 - D A Y MAY 1 3 1 9 . 1 3 1 -MONTH MAY 1 3 1 9 . 3 9 3 -MONTH MAY 1 3 1 9 . 5 6 6 -MONTH MAY 1 3 1 8 . 8 8 1 - Y E A R MAY 1 3 1 7 . 7 2

CHART 7 . S E L E C T E D EURO-DOLLAR AND U . S . MONEY MARKET R A T E S

O V E R N I G H T EURO-DOLLAR D E P O S I T S MAY 1 3 1 8 . 2 2 U . S . FEDERAL FUNDS MAY 1 3 1 8 . 2 1 D I F F E R E N T I A L A D J . FOR RESERVE R E Q U I R E M E N T S MAY 1 3 0. 0 1 3 - M O N T H EURO-DOLLAR D E P O S I T RATE MAY 1 3 1 9 . 5 6 U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET MAY 1 3 1 8 . 7 0 D I F F E R E N T I A L MAY 1 3 0. 8 6


S E R I E S NAME L A S T VALUE PLOTTED

DATE VALUE

CHART 8 . I N T E R E S T A R B I T R A G E , 3-MONTH FUNDS

EURO-DOLLAR D E P O S I T INTERBANK S T E R L I N G ( L O N D O N ) , COVERED D I F F E R E N T I A L

MAY 1 3 1 9 . 5 6 MAY 1 3 1 9 . 8 6 MAY 1 3 - 0 . 4 1

U . S . COMMERCIAL PAPER MAY 1 3 1 8 . . 0 4 CANADIAN F I N A N C E P A P E R , COVERED MAY 1 3 1 9 . . 7 5 D I F F E R E N T I A L MAY 1 3 - 1 . . 7 1

EURO-DOLLAR D E P O S I T MAY 1 3 1 9 . . 5 6 INTERBANK DM ( F R A N K F U R T ) , COVERED MAY 1 3 1 9 . . 9 0 D I F F E R E N T I A L MAY 1 3 - 0 . . 4 5

EURO-DOLLAR D E P O S I T MAY 1 3 1 9 . 5 6 S W I S S I N T E R B A N K , COVERED MAY 1 3 1 9 . 8 5 D I F F E R E N T I A L MAY 1 3 - 0 . 4 0

CHART 9 . LONG TERM GOVERMENT BOND Y I E L D S

U N I T E D S T A T E S MAY 8 1 4 . 4 6 GERMANY MAY 1 1 0 . 3 6 J A P A N (MONTHLY) A P R I L 7 . 9 0 S W I T Z E R L A N D A P R I L 1 7 5 . 4 4 CANADA MAY 1 1 5 . 0 7 FRANCE MARCH 1 3 1 5 . 0 9 NETHERLANDS A P R I L 2 4 1 0 . 9 1 U N I T E D KINGDOM A P R I L 2 4 1 1 . 4 4

U . S . CORPORATE

AAA BONDS EURO-DM BONDS EURO-DOLLAR BONDS

MARCH 1 3 . 3 3 D E C . 6 . 6 3 F E B . 1 2 . 1 7

CHART 1 0 . I N D U S T R I A L STOCK I N D I C E S

U N I T E D S T A T E S MAY 8 1 3 9 . 4 2 J A P A N MAY 8 3 6 5 . 5 5 FRANCE A P R I L 3 1 4 8 . 8 0 U N I T E D KINGDOM MAY 8 1 3 5 . 9 2 SWITZERLAND MAY 8 7 4 . 0 4 GERMANY MAY 1 9 9 . , 1 6


FEDERAL RESERVE statistical release

H . 1 0 ( 5 1 2 ) FOREIGN EXCHANGE RATES

FOR THE WEEK ENDING H I T 1 5 , 1 9 8 1

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 rate in New York City for cable transfers payable in foreign currencies:

COUNTRT MONETARY

U N I T (RATE U . S . CENTS)

COUNTRT MONETARY

U N I T MAY 1 1 MAY 1 2 MAY 1 3 . MAY 1 4 MAY 1 5

AUSTRALIA DOLLAR 1 1 4 . 2 7 0 0 1 1 4 . 0 9 0 0 1 1 3 . 9 5 0 0 . 1 1 3 . 5 4 0 0 1 1 3 . 5 2 0 0 AUSTRIA S C H I L L I N G 6 . 2 0 3 4 7 6 . 1 7 6 6 6 6 . 1 8 8 1 2 6 . 1 2 3 7 0 6 . 1 5 0 0 6 BELGIUM FRANC ' 2 . 6 7 3 8 0 2 . 6 6 6 6 7 2 . 6 7 2 3 1 2 . 6 3 8 5 2 2 . 6 5 6 0 4 CANADA DOLLAR 8 3 . 2 4 3 2 8 3 . 2 0 1 6 8 3 . 2 4 3 2 8 3 . 2 0 8 6 8 3 . 2 1 5 5 DENHARK KRONE 1 3 . 9 1 3 0 1 3 . 8 6 5 8 1 & . 8 6 9 6 1 3 . 7 7 0 3 1 3 . 7 9 8 8 FINLAND MARKKA 2 3 . 3 1 0 0 2 3 . 2 3 6 9 2 3 . 2 7 2 0 2 3 . 0 7 8 7 2 3 . 0 4 1 5 FRANCE FRANC 1 8 . 1 6 8 6 1 8 . 0 7 0 1 1 8 . 0 7 5 0 1 7 . 9 5 8 1 1 7 . 9 6 1 4 GERHANT D . MARK 4 3 . 7 8 2 8 4 3 . 5 6 3 5 4 3 . 5 5 4 0 4 3 . 2 7 1 3 4 3 . 3 0 8 8 I N D I A RUPEE 1 1 . 9 9 0 4 1 1 . 9 6 1 7 1 1 . 9 4 7 4 1 1 . 8 6 2 4 1 1 . 8 3 4 3 IRELAND POUND 1 6 0 . 2 0 0 0 1 5 9 . 4 0 0 0 1 5 9 . 4 0 0 0 158. 2 5 0 0 1 5 8 . 2 0 0 0 I T A L Y L I R A 0 . 0 8 8 1 3 0 . 0 8 7 7 2 0 . 0 8 7 6 8 0 . 0 8 6 8 1 0 . 0 8 6 6 6 JAPAN YEN 0 . 4 5 8 8 2 0 . 4 5 5 0 6 0 . 4 5 3 6 2 0 . 4 4 9 7 4 0 . 4 4 6 3 3 MALAYSIA DOLLAR 4 2 . 9 5 5 3 4 2 . 8 0 8 2 4 2 . 7 5 3 3 4 2 . 6 0 7 6 4 2 . 7 4 4 2 MEXICO PESO 4 . 1 6 1 5 4 . 1 5 7 1 4 . 1 5 5 4 4 . 1 5 6 3 4 . 1 4 9 4 NETHERLANDS GUILDER 3 9 . 3 5 4 6 3 9 . 2 1 5 7 3 9 . 1 7 7 3 3 8 . 8 9 5 4 3 8 . 9 5 6 0 NEW ZEALAND DOLLAR 8 8 . 7 0 0 0 8 8 . 4 5 0 0 8 8 . 2 5 0 0 8 8 . 0 2 0 0 8 7 . 7 0 0 0 NORWAY KRONE 1 7 . 7 3 6 8 1 7 . 6 4 4 5 1 7 . 6 5 2 2 1 7 . 5 7 7 8 1 7 . 5 6 7 0 PORTUGAL ESCUDO 1 . 6 5 2 9 1 . 6 4 8 3 1 . 6 4 7 4 1 . 6 3 4 0 1 . 6 3 9 3 SOUTH AFRICA RAND 1 1 9 . 9 0 0 0 1 1 9 . 5 3 0 0 1 1 9 . 5 7 0 0 1 1 8 . 9 4 0 0 1 1 9 . 1 0 0 0 S P A I N PESETA 1 . 0 9 5 3 1 . 0 9 3 9 1 . 0 9 6 5 1 . 0 9 7 3 1 . 0 8 8 7 S R I LANKA RUPEE 5 . 4 4 3 7 5 . 4 4 3 7 5 . 4 4 3 7 5 . 4 4 3 7 5 . 4 4 3 7 SWEDEN KRONA 2 0 . 5 3 3 9 2 0 . 4 4 1 5 2 0 . 4 2 9 0 2 0 . 3 3 3 5 2 0 . 3 0 0 4 SWITZERLAND FRANC 4 8 . 1 8 1 2 4 8 . 1 8 1 2 4 8 . 1 2 3 2 4 8 . 0 5 3 8 4 8 . 3 3 2 5 UNITED KINGDOM POUND 2 1 0 . 1 0 0 0 2 0 8 . 7 5 0 0 2 0 7 . 7 5 0 0 2 0 6 . 6 3 0 0 2 0 7 . 4 5 0 0

f^ rSsv :

H I T 1 8 , 1 9 8 1


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