h13_19810810.pdf

(516/517) - 7 / . Z 3

Selected Interest & Exchange Rates Weekly Series of Charts

August 10, 1981 DIVISION OF 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

RATIO SCALE MARCH 1973=100

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

RATIO SCALE MARCH 1973=100

U.K. POUND

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

FRENCH FRANC

GERMAN MARK

120

100

-

JAPANESE YEN

I I I

SWISS FRANC

BELGIAN FRANC

DUTCH GUILDER

ITALIAN LIRA

CANADIAN DOLLAR

1 9 7 9 1 9 8 1 1 9 7 9 1 9 8 1


CHART 2

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

AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER ANNUM

6

CANADIAN DOLLAR A A -

I I I I I I I I I I I

-ITALIAN LIRA

-

-

PERCENT PER ANNUM

2 4

2 4

12

-

U. K. POUND II

V -

I I I

GERMAN MARK

FRENCH FRANC

DUTCH GUILDER - 12

- AJ

SWISS FRANC |

A -

I I I I I I

-

6

18

12

JAPANESE YEN - 12

+ 0

1 9 7 9 1 9 8 1 1 9 7 9 1 9 8 1


U.S. DI

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 I I I I I I I

1978 1979 1980 1981


28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

24

20

16

12

8

4

0

28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

24

20

16

12

8

4

0

CHART A

CALL MONEY RATES WEEKLY SERIES

:NT PER ANNUM

U. S. FEDERAL FUNDS

PERCENT PER

U. K. 2-DAY LOCAL AUTHORITY

CANADA

EURO-SWISS FRANC

NETHERLANDS

I I I I I I I

FRANCE

JAPAN

1979 1981

GERMANY

EURO-DM

1979 1981


20

16

12

8

4

22

18

1 4

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 v U.K. INTERBANK STERLING

WEIGHTED AVERAGE FOREIGN RATE

M i l l I

CANADIAN FINANCE CO. PAPER GERMAN INTERBANK RATE

JAPANESE BANK LOANS AND DISCOUNTS

-

SWISS INTERBANK RATE

IV -

V i V , j I I 11111111111 1 9 7 9 1 9 8 1 1 9 7 9 1 9 8 1


24

20

16

12

8

4

24

20

16

12

8

4

24

20

16

12

8

4

24

20

16

12

8

4

24

2 0

16

12

8

4

24

20

16

12

8

A

CHART 6

EURO-DOLLAR DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM PERCENT PER M

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-MONTH 1-YEAR

AT

I I I

-

1979 1981 1979 1981


PERCENT PER ANNUM

26

CHART 7

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


FEDERAL FUNDS

OVERNIGHT 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

DIFFERENTIAL

M M

PERCENT PER ANNUM

26

- 2 2

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

DAY CD

M M M M M I

1979

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

1981

DIFFERENTIAL

w ^ \ A V V z A N v y v

m ! I I I I I I I I I I I I I I I I I I I

1979 1981

18

- 14

- 10


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

I I II I I I I

A V I

DIFFERENTIAL

-

" i l l 11 l i i h i l l i

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

PERCENT PER ANNUM

28

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

y x i l l i i h i l l i

i W :

SWISS INTERBANK (SF) COVERED


II

DIFFERENTIAL

1 9 7 9 1 9 8 1 1 9 7 9 1 9 8 1

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE


1 7

1 5

1 3

11

9

7

12

10

8

6

4

1 3

11

9

7

5

18

16

1 4

12

10

8

6

1 7

1 5

1 3

11

9

7

9

7

5

3

1

1 5

1 3

11

9

7

18

16

1 4

12

10

8

6

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

INT PER ANNUM PERCENT PER AN

CANADA

UNITED STATES

SWITZERLAND

GERMANY

MONTHLY

UNITED KINGDOM JAPAN

U . S . C O R P O R A T E MONTHLY

FRANCE

Aaa BONDS

E U R O - D O L L A R B O N D S NETHERLANDS

1 9 7 9 1 9 8 1 1 9 7 9 1 9 8 1


CHART 10

STOCK INDICES WEEKLY SERIES

RATIO SCALE RATIO SCALE 1977=100 1977=100

160

1 4 0 UNITED STATES

120

100

80

1 4 0

UNITED KINGDOM 120

100

80

60

160

1 4 0

120

JAPAN 100

80

1 4 0

SWITZERLAND 120

100

60

1 4 0

GERMANY 120

100

80

60

280

2 4 0

200

160

CANADA

120

9 0

1 9 7 9 1 9 8 1

1 4 0

FRANCE 120

100

80

60

1 4 0

120

100

80

NETHERLANDS

60

4 5

1 9 7 9 1 9 8 1


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

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

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

WEIGHTED 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 P L U S SWITZERLAND)

U . S . DOLLAR GERMAN MARK J A P A N E S E YEN DUTCH GUILDER U . K . POUND CANADIAN DOLLAR FRENCH FRANC S W I S S FRANC BELGIAN FRANC I T A L I A N L I R A SWEDISH KRONA

AUG. 5 1 1 2 . 8 4 AUG. 5 1 2 9 . 0 6 AUG. 5 1 2 1 . 3 3 AUG. 5 1 1 4 . 8 0 AUG. 5 7 9 . 1 8 AUG. 5 8 7 . 7 6 AUG. 5 8 1 . 6 9 AUG. 5 1 6 5 . 17 AUG. 5 1 0 6 . 2 5 AUG. 5 4 7 . 8 6 AUG. 5 9 1 . 8 2

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

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


S E R I E S NAMF LAST VALUE PLOTTED

DATE VALUE

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

U . S . DOLLARS PER F I N E OUNCE

CHART 4 . CALL HONEY RATES

U . S . FEDERAL FUNDS OVERNIGHT EURO-DOLLAR D E P O S I T S U . K . 2 - D A Y LOCAL AUTHORITY D E P O S I T S CANADA GERMANY EURO-DM JAPAN FRANCE NETHERLANDS E U R O - S W I S S FRANC

AUG. 5 3 9 6 . 8 8

AUG. 5 1 8 . 2 5 AUG. 5 1 8 . 9 0 JULY 3 1 1 2 . 8 8 JUNE 2 6 1 8 . 8 5 JULY 3 1 1 1 . 9 5 J U L Y 1 7 1 1 . 7 7 JULY 3 1 7 . 3 1 JULY 3 1 1 7 . 7 5 J U L Y 2 4 1 2 . 6 0 J U L Y 1 7 1 . 0 0

CHART 5 . 3-MONTH I N T E R E S T RATES

U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET AUG. 5 1 7 . 9 4 GERMAN INTERBANK LOAN AUG. 5 1 2 . 9 5 J A P A N E S E BANK LOANS & DISCOUNTS AUG. 5 7 . 4 6 CANADIAN F I N A N C E PAPER AUG. 5 2 1 . 9 1 INTERBANK S T E R L I N G AUG. 5 1 4 . 5 4 S W I S S INTERBANK LOAN AUG. 5 9 . 3 0 WEIGHTED AVERAGE FOREIGN I N T E R E S T RATE J U L Y 2 9 1 3 . 8 5

( 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

OVERNIGHT AUG. 5 1 8 . 9 0 7 - D A Y AUG. 5 1 8 . 7 2 1-MONTH AUG. 5 1 9 . 0 6 3-MONTH AUG. 5 1 8 . 8 4 6-MONTH AUG. 5 1 8 . 9 0 1 - Y E A R AUG. 5 1 7 . 7 6

CHART 7 . SELECTED EURO-DOLLAR AND U . S . MONEY MARKET RATES

OVERNIGHT EURO-DOLLAR D E P O S I T S AUG. 5 1 8 . 9 0 U . S . FEDERAL FUNDS AUG. 5 1 8 . 2 5 D I F F E R E N T I A L A D J . FOR RESERVE REQUIREMENTS AUG. 5 0 . 6 5

3-MONTH EURO-DOLLAR D E P O S I T RATE AUG. 5 1 8 . 8 4 U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET AUG. 5 1 7 . 9 4 D I F F E R E N T I A L AUG. 5 0 . 9 0


S E R I E S NAME LAST 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

EUEO-DOLLAR D E P O S I T AUG. 5 1 8 . 8 4 INTERBANK S T E R L I N G ( L O N D O N ) , COVERED AUG. 5 1 9 . 3 6 D I F F E R E N T I A L AUG. 5 - 0 . 5 2

U . S . COMMERCIAL PAPER AUG. 5 1 7 . 2 2 CANADIAN F I N A N C E P A P E R , COVERED AUG. 5 1 9 . 1 0 D I F F E R E N T I A L AUG. 5 - 1 . 8 8

EURO-DOLLAR D E P O S I T AUG. 5 1 8 . 8 4 INTERBANK DM ( F R A N K F U R T ) , COVERED AUG. 5 1 9 . 6 5 D I F F E R E N T I A L AUG. 5 - 0 . 8 2

EURO-DOLLAR D E P O S I T AUG. 5 1 8 . 8 4 S W I S S I N T E R B A N K , COVERED AUG. 5 1 9 . 3 1 D I F F E R E N T I A L AUG, 5 - 0 . 4 7

. LONG TERM GOVERMENT BOND Y I E L D S

UNITED S T A T E S J U L Y 3 1 1 4 . 5 9 GERMANY J U L Y 2 4 1 1 . 1 2 JAPAN (MONTHLY) MAY 8 . 8 1 SWITZERLAND J U L Y 1 0 5 . 5 4 CANADA J U N E 2 6 1 5 . 0 3 FRANCE J U N E 1 2 1 7 . 4 4 NETHERLANDS J U L Y 2 4 1 1 . 1 1 UNITED KINGDOM J U L Y 2 4 1 2 . 8 6

. CORPORATE

AAA BONDS J U N E 1 3 . 7 5 EURO-DOLLAR BONDS MAY 1 2 . 6 4

CHART 1 0 . STOCK I N D I C E S

UNITED S T A T E S UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS

| FRANCE JAPAN

JULY 2 2 1 3 2 . 3 1 J U L Y 2 2 1 1 3 , 6 6 J U L Y 2 2 2 3 3 . 1 3 J U L Y 2 2 1 0 2 . 4 3 J U L Y 2 2 9 5 . 9 4 J U L Y 2 2 8 5 . 7 6 J U L Y 2 2 8 7 . 4 4 J U L Y 2 2 1 5 5 . 8 5


FEDERAL RESERVE statistical release f*41

H . 1 0 ( 5 1 2 ) FOREIGN EXCHANGE RATES AUGUST 1 0 , 1 9 8 1

FOR THE WEEK ENDING AUGUST 7 , 1 9 8 1

The Board of Governors of the Federal Reserve System is advised that the Federal Reserve Bank of New York has certif ied for customs purposes the following noon buying rate in New York City for cable transfers payable in foreign currencies:

COUNTRY MONETARY

UNIT (Rkl CE U . S . CENTSl

COUNTRY MONETARY

UNIT AUG. 3 AUG. 4 AUG. 5 AUG. 6 AUG. 7

AUSTRALIA DOLLAR 1 1 2 . 6 3 0 0 1 1 2 . 2 5 0 0 1 1 2 . 7 8 0 0 1 1 3 . 0 0 0 0 1 1 3 . 4 3 0 0 AUSTRIA S C H I L L I N G 5 . 6 7 2 1 5 5 . 6 4 0 1 6 5 . 6 7 2 1 5 5 . 6 4 6 5 3 5 . 6 1 4 8 2 BELGIUM FRANC ' 2 . 4 2 0 7 2 2 . 4 1 0 8 0 2 . 4 3 2 5 0 2 . 4 2 0 7 2 2 . 4 0 7 9 0 CANADA DOLLAR 8 0 . 4 7 6 4 8 0 . 4 8 2 9 8 0 . 4 8 2 9 8 0 . 7 5 5 9 8 0 . 5 0 8 8 DENMARK KRONE 1 2 . 5 8 1 8 1 2 . 5 9 9 2 1 2 . 6 5 1 8 1 2 . 5 9 7 6 1 2 . 5 1 9 6 FINLAND MARKKA 2 1 . 5 9 8 3 2 1 . 5 7 5 0 2 1 . 5 8 4 3 2 1 . 4 9 6 1 2 1 . 4 5 9 2 FRANCE FRANC 1 6 . 6 3 6 2 1 6 . 5 9 7 5 1 6 . 7 2 5 2 1 6 . 6 5 2 8 1 6 . 4 4 7 4 GERMANY D. MARK 3 9 . 5 7 2 6 3 9 . 4 4 7 7 3 9 . 8 4 8 6 3 9 . 6 5 8 9 3 9 . 5 0 2 3 I N D I A RUPEE 1 1 . 0 2 5 4 1 1 . 0 0 1 1 1 1 . 0 0 1 1 1 0 . 9 8 9 0 1 0 . 9 1 7 0 I R E L A N D POUND 1 4 5 . 1 0 0 0 1 4 5 . 2 0 0 0 1 4 5 . 5 0 0 0 1 4 4 . 6 2 0 0 1 4 3 . 6 0 0 0 ITALY LIRA 0 . 0 7 9 7 4 0 . 0 8 0 1 9 0 . 0 8 0 1 9 0 . 0 8 0 2 2 0 . 0 7 9 6 2 JAPAN YEN 0 . 4 0 7 5 0 0 . 4 0 6 3 4 0 . 4 1 5 1 1 0 . 4 1 6 8 4 0 . 4 2 5 7 1 MALAYSIA DOLLAR 4 1 . 9 2 8 7 4 2 . 0 1 6 8 4 2 . 0 8 7 5 4 2 . 0 5 2 2 4 2 . 0 6 9 8 MEXICO PESO 4 . 0 5 3 5 4 . 0 5 3 5 4 . 0 5 1 9 4 . 0 4 8 6 4 . 0 3 2 3 NETHERLANDS GUILDER 3 5 . 6 5 4 4 3 5 . 5 8 7 2 3 5 . 9 1 3 1 3 5 . 7 4 6 2 3 5 . 5 4 9 2 NEW ZEALAND DOLLAR 8 2 . 0 5 0 0 8 1 . 5 2 0 0 8 1 . 6 7 0 0 8 1 . 7 0 0 0 8 1 . 9 0 0 0 NORWAY KRONE 1 6 . 0 1 9 2 1 6 . 0 6 1 7 1 6 . 0 9 5 3 1 6 . 0 7 2 0 1 6 . 0 5 1 4 PORTUGAL ESCUDO 1 . 5 0 8 3 1 . 5 0 3 8 1 . 5 0 3 8 1 . 5 0 2 6 1 . 4 8 8 1 SOUTH AFRICA RAND 1 0 4 . 2 8 0 0 1 0 4 . 0 5 0 0 1 0 5 . 0 0 0 0 1 0 4 . 2 0 0 0 1 0 4 . 3 5 0 0 S P A I N PESETA . 1 . 0 0 1 3 0 . 9 9 5 0 0 . 9 9 8 7 0 . 9 9 5 5 0 . 9 8 9 1 S R I LANKA RUPEE 5 . 3 5 0 2 5 . 3 5 0 2 5 . 3 5 0 2 5 . 3 5 0 2 5 . 3 5 0 2 SWEDEN KRONA 1 8 . 7 6 1 7 1 8 . 7 4 5 9 1 8 . 8 1 8 2 1 8 . 7 1 6 1 1 8 . 6 4 6 3 SWITZERLAND FRANC 4 5 . 4 9 5 9 4 5 . 3 7 2 1 4 5 . 8 5 0 5 4 5 . 6 8 5 0 4 5 . 7 6 6 6 UNITED KINGDOM POUND 1 8 0 . 1 5 0 0 1 7 9 . 3 5 0 0 1 8 0 . 5 5 0 0 1 7 9 . 8 0 0 0 1 7 9 . 0 5 0 0


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