h13_19810914.pdf

(516/517) ~U''3

Selected Interest & Exchange Rates Weekly Series of Charts

September 14,1981

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 Reservfe System in a form collectible at par in U.S. Currency.


+

RATIO SCALE MARCH 1973=100

120

100

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

U.K. POUND

RATIO SCALE MARCH 1973=100

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

GERMAN MARK FRENCH FRANC

JAPANESE YEN

I I III!I I

DUTCH GUILDER

: A -Aa / / V

/ W " SWISS FRANC

I I l I I I h | | ~

100

80

60

40

CANADIAN DOLLAR

1979 1981

BELGIAN FRANC

~ I I I ' I I I

ITALIAN LIRA -

I I v \

11! 111 m I m 11 Inhilii 1979 1981

160

140

120

160

140

120

100

100

80

60

40


rtf 6

+ 0

6

6

+ 0

6

12

12

6

+ 0

12

6

+ 0

6

12

24

+ 0

24

12

6

+ 0

6 18

12

6

0

12

6

+ 0

6

+ CHART 2

3-MONTH FORWARD EXCHANGE RATES PREMIUM OR (-)

AVERAGES FOR WEEK ENDING WEDNESDAY ENT PER ANNUM PERCENT PER Ah

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

FRENCH FRANC

-

- ITALIAN LIRA -

C 7 ill ii hili i DUTCH GUILDER

- Aj

SWISS FRANC

A -

-

-

JAPANESE YEN

1979 1981 1979 1981 Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

U.S. D

800

750

700

650

600

550

500

450

400

350

300

250

200

150

100

000

750

700

650

600

550

500

450

400

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 I I I 1978 1979 1980 1981


PERC

28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

24

20

16

12

8

4

0

4UM

28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

24

20

16

1c

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

[NT PER ANNUM PERCENT PER Af

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

CANADA

EURO-SWISS FRANC

NETHERLANDS

FRANCE

GERMANY

JAPAN EURO-DM

1979 1981 1979 1981


PER(

20

16

12

8

4 26

22

18

14

10

6 16

12

8

4

20

t6

12

8

4 20

16

12

8

4

0

12

8

4

0

CHART 5

3-M0NTH INTEREST RATES WEEKLY SERIES

NT PER ANNUM PERCENT PER Ah

U.S. CD'S V*

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

+ 3 /19 /81 Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

24

20

16

12

8

4 24

20

16

12

8

4 24

20

16

12

8

4

NUM

24

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

3-MONTH OVERNIGHT

6-MONTH 7-DAY

1-MONTH

-

1-YEAR

11111111111 i l l u h i l l i

1979 1981 1979 1981


PERCENT PER ANNUM

26

22

18

14

10

6 3

2

1

CHART 7

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


- -

,\ A U i

FEDERAL FUNDS \ / i/i i \ I I x

i j 'if

M u J

n

CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUSM, INDICATES FAVOR DOLLAR ASSETS


PERCENT PER ANNUM

28

EURO-DOLLAR DEPOSITS

INTERBANK STERLING COVERED LONDON

PERCENT PER ANNUM

28

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

- |X fx J L DIFFERENTIAL

-

~ l 1 1 II 1 II 1 1 1 1 II-

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

- DIFFERENTIAL

i i i i

I V W I

SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

v\^Ayv^AVyV \ A V X A /

" i l l 1 1 1111111111111 11111111 1979 1981

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1979 1981


17

t5

13

11

9

7 12

10

8

6

4

13

11

9

7

5 19

17

15

13

11

9

7

4UM

t6

14

12

10

8

6 9

7

5

3

1

15

1 3

11

9

7 18

16

14

12

10

8

6

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERES

[NT PER ANNUM PERCENT PER AH

U. S. CORPORATE MONTHLY

UNITED STATES Aaa BONDS

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

SWITZERLAND

GERMANY

MONTHLY

UNITED KINGDOM JAPAN

FRANCE CANADA

NETHERLANDS

1979 1981 1979 1981 Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

+ + CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

180 160 -

UNITED STATES - -

JAPAN z\ -

140 Jf \J\a* A -

120 A r - - A -

100 - Jf\j W - -

80 I I I I I | I I | I I | I I | | | LILLLLLLLLL LILLLLLLLLL 140

120

100

80

60 140

120

100

80

60

UNITED KINGDOM

FRANCE

140

120 - -

100 - fV V -

80 -\ V W V

j\f -

NETHERLANDS 60

45 I I I I . I I I I I I I M

RATIO SCALE 1969=100

180

160

140

120

100

SWITZERLAND

GERMANY

CANADA

1979 1981 1979 1981


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1. SPOT EXCHANGE RATES AND INDICES

WEEKLY AVERAGES, NOON BUYING RASES (U.S. CENTS) GERMAN MARK SEPT. 9 41.22 JAPANESE YEN SEPT. 9 0.43180 DUTCH GUILDER SEPT. 9 37.19 U.K. POUND SEPT. 9 181.55 CANADIAN DOLLAR SEPT. 9 83.30 FRENCH FRANC SEPT. 9 17.18 SWISS FRANC SEPT. 9 47.49 BELGIAN FRANC SEPT. 9 2.51243 ITALIAN LIRA SEPT. 9 0.08224

INDICES, MARCH 1973 BASE RATES = 100 GERMAN MARK SEPT. 9 115.97 JAPANESE YEN SEPT. 9 113.06 DUTCH GUILDER SEPT. 9 106.77 U.K. POUND SEPT. 9 73.43 CANADIAN DOLLAR SEPT. 9 83.02 FRENCH FRANC SEPT. 9 77.40 SWISS FRANC SEPT. 9 152.78 BELGIAN FRANC SEPT. 9 99.00 ITALIAN LIRA SEPT. 9 46.72

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

U.S. DOLLAR SEPT. 9 110.03 GERMAN MASK SEPT. 9 130.63 JAPANESE YEN SEPT. 9 124.82 DUTCH GUILDER SEPT. 9 116.24 U.K. POUND SEPT. 9 77.27 CANADIAN DOLLAR SEPT. 9 88.74 FRENCH FRANC SEPT- 9 81.73 SWISS FRANC SEPT. 9 167.10 BELGIAN FRANC SEPT. 9 107.10 ITALIAN LIRA SEPT.. 9 47.79 SWEDISH KRONA SEPT. 9 91.20

CHART 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OS DISCOUNT CANADIAN DOLLAR U.K. POUND GERMAN MARK FRENCH FRANC SWISS FRANC DUTCH GUILDER JAPANESE YEN ITALIAN LIRA

SEPT. 9 -3.04 SEPT. 9 4.71 SEPT. 9 6.07 SEPT. 9 -6.57 SEPT. 9 7.80 SEPT. 9 4.60 SEPT. 9 11.03 SEPT. 9 -11.35



DATE VALUE

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

CHART 4. CALL MONEY RATES U.S. FEDERAL FUNDS OVERNIGHT EURO-DOLLAR DEPOSITS U.K. 2-DAY LOCAL AUTHORITY DEPOSITS CANADA GERMANY EORO-DM JAPAN FRANCE NETHERLANDS EURO-SWISS FRANC

SEPT. 9 437. 65

SEPT. 9 16. 50 SEPT. 9 17. 06 SEPT. 4 12. 38 AUG. 21 20. 29

SEPT. 4 12. 00 AUG. 28 11. 92

SEPT. 4 7. 56 SEPT. 4 17. 38 AUG. 21 11. 50 AUG. 28 26. 00

CHART 5. 3-MONTH INTEREST RATES U.S. 90-DAY CD'S, SECONDARY MARKET SEPT. 9 17.78 GERMAN INTERBANK LOAN SEPT. 9 12.71 JAPANESE BANK LOANS & DISCOUNTS SEPT. 9 7.38 CANADIAN FINANCE PAPER SEPT. 9 21.45 INTERBANK STERLING SEPT. 9 13.65 SWISS INTERBANK LOAN SEPT. 9 10.15 WEIGHTED AVERAGE FOREIGN INTEREST RATE SEPT. 9 13.75

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6. EURO-DOLLAR DEPOSIT RATES: LONDON OVERNIGHT SEPT. 9 17.06 7-DAY SEPT. 9 17.27 1-MONTH SEPT. 9 17.75 3-MONTH SEPT. 9 18.48 6-MONTH SEPT. 9 18.63 1-YEAR SEPT. 9 17.94

M CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES OVERNIGHT EURO-DOLLAR DEPOSITS SEPT. 9 17.06 U.S. FEDERAL FUNDS SEPT. 9 16.50 DIFFERENTIAL ADJ. FOR RESERVE REQUIREMENTS SEPT. 9 0.56 3-MONTH EURO-DOLLAR DEPOSIT RATE SEPT. 9 18. 48 U.S. 90-DAY CD'S, SECONDARY MARKET SEPT. 9 17.78 DIFFERENTIAL SEPT. 9 0.70



DATE VALUE

CHA&T 8. INTEREST ARBITRAGE, 3-MONTH FUNDS EURO-DOLLAR DEPOSIT SEPT. 9 18.48 INTERBANK STERLING (LONDON), COVERED SEPT. 9 18.52 DIFFERENTIAL SEPT. 9 -0.04 U.S. COMMERCIAL PAPER SEPT. 9 16.97 CANADIAN FINANCE PAPER, COVERED SEPT. 9 18.25 DIFFERENTIAL SEPT. 9 -1.28 EURO-DOLLAR DEPOSIT SEPT. 9 18.48 INTERBANK DM (FRANKFURT), COVERED SEPT. 9 18.98 DIFFERENTIAL SEPT. 9 -0.50 EURO-DOLLAR DEPOSIT SEPT. 9 18.48 SWISS INTERBANK, COVERED SEPT. 9 18.15 DIFFERENTIAL SEPT. 9 0.33

CHART 9. LONG TERM GOVEflMENT BOND YIELDS UNITED STATES GERMANY JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS UNITED KINGDOM

SEPT. 4 15. 44 AUG. 28 11. 36 JULY 8. 93 AUG. 21 5. 67 AUG. 21 16. 20 JUNE 12 17. 44 AUG. 21 11. 54 AUG. 28 13. 01

U.S. CORPORATE AAA BONDS JULY 14.38 EURO-DOLLAR BONDS JULY 12.67

CHART 10. STOCK INDICES UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

SEPT. 2 128. 32 SEPT. 2 124. 94 SEPT. 2 218. 21 SEPT. 2 99. 66 SEPT. 2 92. 83 SEPT. 2 85. 03 SEPT. 2 93. 88 SEPT. 2 153. 01


m* * 4t

FEDERAL RESERVE statistical release m

H.10 (512) FOREIGN EXCHANGE RATES SEPTEMBEB 14, 1981

FOB THE WEEK ENDING SEPTEMBEB 11, 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:

CODNTBY MONETARY

UNIT SEP. SEP. 8 'BATE D.S. CENTS)

SEP. SEP. 10 SEP. 11

AUSTRALIA DOLLAB AUSTRIA SCHILLING BELGIUM FBANC CANADA DOLLAB H DENMABK KBONE FINLAND MABKKA FBANCE FBANC 0 GERMANY D. MABK INDIA RUPEE IBELAND POUND L ITALY LIBA JAPAN YEN MALAYSIA DOLLAB I MEXICO PESO NETHEBLANDS GUILDEB NEW ZEALAND DOLLAB D NOBHAY KBONE PORTUGAL ESCUDO SOUTH AFBICA RAND A SPAIN PESETA SBI LANKA BUPEE SWEDEN KBONA Y SWITZEBLAND FBANC UNITED KINGDOM POUND

114.3800 5.86166 2.50313

83.2778 13.1492 22.0264 17.1116 41.0425 10.9051

149.8000 0.08207 0.43011

42.1763 3.9920

37.0645 82.1000 16.4474 1.5152

104.7400 1.0204 5.1391 19.0840 47.2144

179.3500

114. 5. 2. 82.

.1.3-21. 17. 41. 10.

149. 0. 0 .

42. 3.

37. 81. 16. 1.

104. 1. 5.

19. 47.

178.

0900 85138 51193 7404 1796 9418 1747 1523 8932 9000 08214 42772 1053 9904 1747 9000 5016 5129 2200 0178 1391 1113 6531 1000

114* 4000 5.88928 2.53936

83,2155 13.3111 22.0216 17.3611 41.6840 10.9290

152.0000 0.08268 0.43309

42.1585 3.9880

37.6648 82.4400 16.6251 1.5163

104.7800 1.0211 5.1391 19.3050 48.4731 180.4000

114.2500 5.93296 2.53872

83.0358 13.2802 22.0872 17.3611 41.6493 10.9409

151.5000 0.08271 0,43225

42.1763 3.9761

37.5516 82.2000 16.6945 1.5186

105.0000 ,1.0251 5.0163

19.2493 48.7330 177.9000

4


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