h13_19810526.pdf

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J U N S 1 S 6 !

FEDERAL RiSlRVl BANK

Selected Interest & Exchange Rates Weekly Series of Charts

, e - 0 0 1 DIVISION OF May 26,1981 INTERNATIONAL FINANCE

Prepared by the BOARD OF GOVERNORS FINANCIAL MARKETS FEDERAL RESERVE SYSTEM SECTION 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

RATIO SCALE MARCH 1 9 7 3 = 1 0 0

- -

FOREIGN CURRENCY

/ -

PRICE OF U.S. DOLLAR

~ l I I I I I "

100

80

60

40

GERMAN MARK

JAPANESE YEN

DUTCH GUILDER

CANADIAN DOLLAR

120

U.K. POUND

100

80

" l I I I I I i i l n l n l i i 60

FRENCH FRANC 120

- \ - 100

i i i 11111111111 111111111 i T 80

SWISS FRANC

BELGIAN FRANC

I

ITALIAN LIRA

\ I X#

I

I I I I I I I I I I I

100

80

60

40

1979 1981 1979 1981


CHART 2

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


PERCENT PER ANNUM

6 _ CANADIAN DOLLAR -

- -

- ITALIAN LIRA -

*- -

PERCENT PER ANNUM

24

24

12

U. K. POUND

\ ~

VVv J -

DUTCH GUILDER

GERMAN MARK

FRENCH FRANC

- 1 2

- 6

-

SWISS FRANC 1

A -

-

1 1 1 1 1 1 1 I 1 1 1

6 18

12

JAPANESE YEN 12

1979 1981 1979 1981


U.S. D

800

750

700

650

600

550

500

4 5 0

4 0 0

350

300

250

200

150

100

800

750

700

650

600

550

500

4 5 0

4 0 0

350

300

250

200

150

100

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 M i l 1978 1979 1980 1981


28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

16

12

8

4

0

28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

NT PER ANNUM PERCENT PER AN

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

EURO-SWISS FRANC CANADA

NETHERLANDS

FRANCE

GERMANY

JAPAN

EURO-DM

1979 1981 1979 1981


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

CANADIAN FINANCE CO. PAPER GERMAN INTERBANK RATE

JAPANESE BANK LOANS AND DISCOUNTS

SWISS INTERBANK RATE

1979 1981 1979 1981


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

24

20

16

12

8

4

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM PERCENT PER AH

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-MONTH

-

1-YEAR

J U -

-

1979 1981 1979 1981


s #

PERCENT PER ANNUM

CHART 7

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


2 6

2 2 -

/ L

18 FEDERAL FUNDS l \

l/l \ f --

A n v -14 jfl X J V I

I i J 10 - rJ' i J - OVERNIGHT V EURO-DOLLAR DEPOSITS

6 I I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

PERCENT PER ANNUM

26

- 22

3-MONTH EURO-DOLLAR DEPOSITS

I I I I I I I I I I M M M M

18

14

DIFFERENTIAL DIFFERENTIAL

I I I I l l I I I I

- 10

- 2

- 1

- 1

1979

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE 1981 1979

M I M I M I M I M I M I 4 1981


CHART 8

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


PERCENT PER ANNUM

28

20

12

EURO-DOLLAR DEPOSITS

INTERBANK STERLING COVERED LONDON

PERCENT PER ANNUM

28

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

- r w J L DIFFERENTIAL

" i , , I i ! ' "

DIFFERENTIAL

f\/i I

INTERBANK DM COVERED FRANKFURT

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS

DIFFERENTIAL DIFFERENTIAL

1979 1981 1979 1981 1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE Digitized for FRASER

http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

17

15

13

11

9

7

12

10

8

6

4

16

14

12

10

8

6 16

14

12

10

8

6

WM

17

15

13

11

9

7

9

7

5

3

1

17

15

13

11

9

7

15

13

11

9

7

5

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

ENT PER ANNUM PERCENT PER Ah

UNITED STATES

CANADA

SWITZERLAND

GERMANY

FRANCE

UNITED KINGDOM

NETHERLANDS

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

U. S . CORPORATE MONTHLY MONTHLY

JAPAN Aaa BONDS

EURO-DOLLAR BONDS

1979 1981 1979 1981


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

RATIO SCALE 1969=100

UNITED STATES

FRANCE GENERAL INDEX

SWITZERLAND JAPAN

GERMANY

160

- UNITED KINGDOM h - 140

r\ f 1 . /\ A J - 120

- - 100

i i i 1 1 1 i l l i i h i l l i 8 0 1979 1981 1979 1981


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1. SPOT EXCHANGE RATES AND INDICES

WEEKLY AVERAGES, NOON BUYING RATES (U.S. CENTS) GERMAN MARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA

MAY 20 43.36 MAY 20 0.45079 MAY 20 39.00 MAY 20 207.73 MAY 20 83.26 MAY 20 17.99 MAY 20 48.50 MAY 20 2.66005 MAY 20 0.08709

INDICES, MARCH 1973 BASE RATES = 100 GERMAN MARK MAY 20 121.97 JAPANESE YEN MAY 20 118.03 DUTCH GUILDER MAY 20 111.96 U.K. POUND MAY 20 84.02 CANADIAN DOLLAR MAY 20 82.98 FRENCH FRANC MAY 20 81.06 SWISS FRANC MAY 20 156.04 BELGIAN FRANC MAY 20 104.82 ITALIAN LIRA MAY 20 49.47

WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100 (G-10 COUNTRIES PLUS SWITZERLAND)

U.S. DOLLAR MAY 20 104.19 GERMAN MARK MAY 20 131.82 JAPANESE YEN MAY 20 124.84 DUTCH GUILDER MAY 20 116.81 U.K. POUND MAY 20 85.51 CANADIAN DOLLAR MAY 20 84.69 FRENCH FRANC MAY 20 82.03 SWISS FRANC MAY 20 163.39 BELGIAN FRANC MAY 20 108.72 ITALIAN LIRA MAY 20 48.54 SWEDISH KRONA MAY 20 92.99

CHART 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT CANADIAN DOLLAR MAY 20 0.50 U.K. POUND MAY 20 7.10 GERMAN MARK MAY 20 6.40 FRENCH FRANC MAY 20 0.71 SWISS FRANC MAY 20 9.21 DUTCH GUILDER MAY 20 7.39 JAPANESE YEN MAY 20 11.71 ITALIAN LIRA MAY 20 -2.65



DATE VALUE

CHART 3. GOLD PRICE IN LONDON, AFTERNOON FIXING U.S. DOLLARS PER FINE OUNCE MAY 20 480.90

CHART 4. CALL MONEY RATES U.S. FEDERAL FUNDS MAY 20 18. .89 OVERNIGHT EURO-DOLLAR DEPOSITS MAY 20 18. .48 U.K. 2-DAY LOCAL AUTHORITY DEPOSITS MAY 15 11. .25 CANADA MAY 8 16. .70 GERMANY MAY 15 11. ,80 EURO-DM MAY 8 10. , 66 JAPAN MAY 15 7. 06 FRANCE MAY 15 16. 00 NETHERLANDS APRIL 24 9. ,90 EURO-SWISS FRANC MAY 8 4. 15

CHART 5. 3-MONTH INTEREST RATES U.S. 90-DAY CD'S, SECONDARY MARKET MAY 20 18. 56 GERMAN INTERBANK LOAN MAY 20 13. 10 JAPANESE BANK LOANS & DISCOUNTS MAY 20 7. 34 CANADIAN FINANCE PAPER MAY 20 19. 20 INTERBANK STERLING MAY 20 12. 26 SWISS INTERBANK LOAN MAY 20 9. 90 WEIGHTED AVERAGE FOREIGN INTEREST RATE MAY 20 13. 35

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6. EURO-DOLLAR DEPOSIT RATES: LONDON OVERNIGHT MAY 20 18.48 7-DAY MAY 20 18.02 1-MONTH MAY 20 18.94 3-MONTH MAY 20 19.08 6-MONTH MAY 20 18.28 1-YEAR MAY 20 17.31

CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES OVERNIGHT EURO-DOLLAR DEPOSITS MAY 20 18. 48 U.S. FEDERAL FUNDS MAY 20 18. 89 DIFFERENTIAL ADJ. FOR RESERVE REQUIREMENTS MAY 20 -0. 41 3-MONTH EURO-DOLLAR DEPOSIT RATE U.S. 90-DAY CD'S, SECONDARY MARKET DIFFERENTIAL

MAY 20 MAY 20 MAY 20

19.08 18. 56 0.52



DATE VALUE

CHART 6. INTEREST ARBITRAGE, 3-MONTH FUNDS EURO-DOLLAR DEPOSIT MAY 20 19. 08 INTERBANK STERLING (LONDON), COVERED MAY 20 19. 58 DIFFERENTIAL MAY 20 -0. 51

U.S. COMMERCIAL PAPER MAY 20 17. 80 CANADIAN FINANCE PAPER, COVERED MAY 20 19. ,72 DIFFERENTIAL MAY 20 -1. ,92

EURO-DOLLAR DEPOSIT MAY 20 19. ,08 INTERBANK DM (FRANKFURT) , COVERED MAY 20 19. ,71 DIFFERENTIAL MAY 20 -0. .64

EURO-DOLLAR DEPOSIT MAY 20 19, .08 SWISS INTERBANK, COVERED MAY 20 19. .34 DIFFERENTIAL MAY 20 -0. .26

CHART 9. LONG TERM GOVERMENT BOND YIELDS UNITED STATES MAY 15 14. 32 GERMANY MAY 8 10. ,72 JAPAN (MONTHLY) APRIL 7. ,90 SWITZERLAND MAY 8 5. 75 CANADA MAY 8 15. 47 FRANCE MARCH 13 15. ,09 NETHERLANDS APRIL 24 10. .91 UNITED KINGDOM MAY 15 12. ,03

U.S. CORPORATE AAA BONDS EURO-DM BONDS EURO-DOLLAR BONDS

APRIL 13.88 DEC. 6.63 FEB. 12.17

CHART 10. INDUSTRIAL STOCK INDICES UNITED STATES MAY 15 139.54 JAPAN MAY 15 364.99 FRANCE APRIL 3 148.80 UNITED KINGDOM MAY 15 131.33 SWITZERLAND MAY 15 73.54 GERMANY MAY 8 98.11


FEDERAL RESERVE statistical release A t

H. 10 (512) FOREIGN EXCHANGE RATES MAY 26, 1981

FOR THE WEEK ENDING HAY 22, 1981

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:

COUNTRY MONETABI UNIT

fRAI PB U.S. CENTS! COUNTRY

MONETABI UNIT MAY 18 BAY 19 MAY 20 MAY 21 MAY 22

AUSTRALIA DOLLAR 113.8300 114.0200 114.2500 114.1900 114.0800 AUSTRIA SCHILLING 6.15764 6.15385 6.16903 6.08643 6.10128 BELGIUM FRANC *2.66738 2.66667 2.67165 2.64480 2.65041 CANADA DOLLAR 83.4029 83.2293 83.2224 83.1947 83.2570 DENMARK KRONE 13.7931 13.7931 13.8581 13.7325 13.7599 FINLAND MARKKA 23.1107 23.1615 23.2099 22.9885 23.0150 FRANCE FRANC 18.0261 17.9856 18,0083 17.8221 17.9211 GERMANY D. MARK- 43.3934 43.3088 43.5161 43.0478 43.1872 INDIA RUPEE 11.9190 11.9048 11.8765 11.8906 11.8624 IRELAND POUND 158.8000 158.5500 159.5500 157.1700 157.2000 ITALY LIRA 0.08726 0.08711 0.08760 0.08701 0.08681 JAPAN YEN 0.45051 0.45249 0.45290 0.44944 0.44944 MALAYSIA DOLLAR 42.8266 42.6439 42.8082 42.7168 42.5713 MEXICO PESO 4.1511 4.1434 4.1434 4.1477 4.1425 NETHERLANDS GUILDER 39.0472 38.9560 39.1389 38.6997 38.8954 NEW ZEALAND DOLLAR 87.9200 87.9800 87.8400 87.7800 87.6800 NORWAY KRONE 17.5840 17.5778 17.6211 17.5070 17.5254 PORTUGAL ESCUDO 1.6420 1.6461 1.6461 1.6064 1.6340 SOUTH AFRICA RAND 119.2800 119.0000 118.6500 118.4500 118.1800 SPAIN PESETA 1.0959 1.0945 1.0954 1.0840 1.0823 SRI LANKA RUPEE 5.4437 5.4437 5.4437 5.4437 5.4437 SWEDEN KRONA 20.4394 20.3915 20.4373 20.3169 20.3087 SWITZERLAND FRANC 48,7021 48.5909 48.8281 48.1696 48.2393 UNITED KINGDOM POUND 208.8200 207.6500 208.1000 206.8000 207.2500


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