h13_19810615.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

June 15, 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 a 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 a 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.

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

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

RATIO SCALE RATIO SCALE MARCH 1973=100 MARCH 1973=100

120

100

80 FOREIGN CURRENCY PRICE OF U.S. DOLLAR

60

180

160

140

GERMAN MARK 120

100

160

140 JAPANESE YEN

120

100

80

120

U.K. POUND 100

80

60

FRENCH FRANC 120

100

80

240

200

160

SWISS FRANC 140

120

160

140

120

DUTCH GUILDER 100

100

80

60 CANADIAN DOLLAR

40

1981 1979

160 BELGIAN FRANC

140

120

100

100

ITALIAN LIRA 80

60

40

1979 1981

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

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

-ITALIAN LIRA

-

I I I I I I , v 11111111111

PERCENT PER ANNUM

24

24

12

K

U. K. POUND ; 7 : I I I

\TLA V

GERMAN MARK

FRENCH FRANC

DUTCH GUILDER

SWISS FRANC

n l n l n l i

\ JAPANESE YEN 1 \/ " -

-

I I I 1 1 1

12

+ 0

1979 1981 1979 1981

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

U.S. c 800

750

700

650

600

550

500

450

400

350

300

250

200

150

100

OUNCE

800

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

LLARS PER FINE OUNCE U.S. DOLLARS PER FINE

12.5 Kg BARS AFTERNOON FIXING PRICE

1978 1979 1980 1981

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

28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

24

20

16

12

8

4

0

26

24

20

16

12

8

4

24

20

16

12

a

4

0

24

20

16

12

8

4

a

CHART 4

CALL MONEY RATES WEEKLY SERES

:NT PER ANNUM PERCENT PER A1

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

EURO-SWISS FRANC

NETHERLANDS

FRANCE

GERMANY

JAPAN

EURO-DM

1979 1981 1979 1981

3 / 1 9 / 8 1 4 Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

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

T PER ANNUM PERCENT PER ANN

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 -

J I I 1 1 1 1 1 1 1 1 1 1 1 1979 1981 1979 1981

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 A r

3-MONTH OVERNIGHT

6-MONTH 7-DAY

1-MONTH

-

1-YEAR

aAV J -

I I I i I i

!

i

l i i i i l l i i i l l 11 i 11 i i i i 11 1979 1981 1979 1981

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

PERCENT PER ANNUM

26

CHART 7

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

AVERAGES FOR WEEK ENDMG WEDNESDAY

PERCENT PER ANNUM

26

FEDERAL FUNDS '

3-MONTH EURO-DOLLAR DEPOSITS IJ

90-DAY CD' S OVERNIGHT

EURO-DOLLAR DEPOSITS

I I n h 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

DIFFERENTIAL

1979

PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1961

DIFFERENTIAL

/ A N V >

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

1979 1981

2

1

0

1

2

3

4

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

CHART 8

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

AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER ANNUM

28

EURO-DOLLAR DEPOSITS

INTERBANK STERLING COVERED LONDON

DIFFERENTIAL

20

12

PERCENT PER ANNUM

28

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

I I I l<

-

INTERBANK DM -

-

COVERED FRANKFURT

K -

-

v r - k} .

EURO-DOLLAR DEPOSITS

1 1 1 1 1 1

DIFFERENTIAL

SWISS INTERBANK (SF) COVERED

EURO-DOLLAR DEPOSITS

I I I I I DIFFERENTIAL

I I I I I I

- DIFFERENTIAL

- ^ v A A V YAA

" l 1 1 1 1 1

y * u j l A I

i i h i l i l l l l

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

1970 1961 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

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 P E R C E N T P E R Af

UNITED STATES

GERMANY

FRANCE

NETHERLANDS

U. S. CORPORATE MONTHLY

Aaa BONDS

EURO-DOLLAR BONDS

CANADA

- SWITZERLAND

-

UNITED 1

V CINGDOM

l/V/v V A / : itf Vr 1

1 1 1 i l l ii h i l l i

MONTHLY

- JAPAN -

- -

M i l ii l i i h i l l i 11 h i h i h i 1979 1981 1979 1981

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

CHART 10

STOCK INDICES WEEKLY SERIES

RATIO SCALE 1977=100

RATIO SCALE 1 9 7 7 = 1 0 0

UNITED STATES

JAPAN

SWITZERLAND UNITED KINGDOM

FRANCE GERMANY

NETHERLANDS

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

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 JUNE 10 4 1 . , 6 5 JAPANESE YEN JUNE 10 0 . 4 4 0 2 9 DUTCH GUILDER JUNE 10 3 7 . , 3 8 U . K . POUND JUNE 10 1 9 4 . 4 2 CANADIAN DOLLAR JUNE 10 8 2 . 8 9 FRENCH FRANC JUNE 10 1 7 . , 6 1 SWISS FRANC JUNE 10 4 7 . . 2 0 BELGIAN FRANC JUNE 1 0 2 . . 5 5 2 5 4 I T A L I A N LIRA JUNE 10 0 . , 0 8 3 3 0

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

GERMAN MARK JUNE 10 1 1 7 . 1 7 JAPANESE YEN JUNE 10 1 1 5 . 2 8 DUTCH GUILDER JUNE 10 1 0 7 . 3 0 U . K . POUND JUNE 1 0 7 8 . 6 4 CANADIAN DOLLAR JUNE 10 8 2 . 6 2 FRENCH FRANC JUNE 10 7 9 . 3 5 SWISS FRANC JUNE 10 1 5 1 . 8 5 BELGIAN FRANC JUNE 10 1 0 0 . 5 8 ITALIAN LIRA JUNE 10 4 7 . 3 2

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAR 1 9 7 3 = 1 0 0 ( G - 1 0 COUNTRIES PLUS SWITZERLAND)

U . S . DOLLAR JUNE 10 1 0 7 . 9 3 GERMAN MARK JUNE 10 1 2 9 . 8 7 JAPANESE YEN JUNE 10 1 2 5 . 4 2 DUTCH GUILDER JUNE 10 1 1 4 . 9 8 U . K . POUND JUNE 10 8 1 . 9 6 CANADIAN DOLLAR JUNE 10 8 6 . 8 5 FRENCH FRANC JUNE 10 8 2 . 6 2 SWISS FRANC JUNE 10 1 6 3 . 4 9 BELGIAN FRANC JUNE 10 1 0 7 . 1 8 ITALIAN LIRA JUNE 10 4 7 . 6 8 SWEDISH KRONA JUNE 10 9 2 . 2 5

IT 2 . 3-HONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT

CANADIAN DOLLAR JUNE 10 - 0 . 9 7 U . K . POUND JUNE 10 5 . 0 9 GERMAN MARK JUNE 10 5 . 1 8 FRENCH FRANC JUNE 10 - 6 . 7 3 SWISS FRANC JUNE 10 7 . 7 2 DUTCH GUILDER JUNE 10 5 . 8 5 JAPANESE YEN JUNE 10 1 0 . 6 6 ITALIAN LIRA JUNE 10 - 4 . 3 5

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S E R I E S NAME LAST VALUE PLOTTED

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 OUNCti JUNE 10 4 6 4 . 3 5

CHART 4 . CALL HONEY RATES

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

JUNE 1 0 JUNE 10 JUNE 5

MAY 2 9 JUNE 5

MAY 2 9 JUNE 5 JUNE 5

A P R I L 2 4 MAY 2 9

1 9 . 3 3 1 9 . 2 1 1 2 . 8 8 1 7 . 1 0 1 1 . 9 0 1 0 . 9 5

7 . 0 0 20.00

9 . 9 0 6 . 3 5

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

U . S . 90 -DAY C D ' S , SECONDARY MARKET GERMAN INTERBANK LOAN JAPANESE BANK LOANS & DISCOUNTS CANADIAN FINANCE PAPER INTERBANK STERLING SWISS INTERBANK LOAN WEIGHTED AVERAGE FOREIGN INTEREST RATE

( G - 1 0 COUNTRIES PLUS SWITZERLAND)

JUNE 10 JUNE 10 JUNE 1 0 JUNE 10 JUNE 10 JUNE 10 JUNE 10

1 6 . 8 7 1 3 . 1 9

7 . 4 4 1 9 . 3 8 1 2 . 9 0 10.28 1 3 . 8 7

CHART 6 . EURO-DOLLAR DEPOSIT RATES: LONDON

OVERNIGHT 7-DAY 1-MONTH 3-MONTH 6-MONTH 1-YEAR

JUNE 10 JUNE 10 JUNE 10 JUNE 10 JUNE 10 JUNE 10

1 9 . 2 1 1 8 . 7 7 1 8 . 6 9 1 8 . 0 4 1 7 . 0 8 1 6 . 3 0

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

OVERNIGHT EURO-DOLLAR DEPOSITS JUNE 10 1 9 . 2 1 U . S . FEDERAL FUNDS JUNE 10 1 9 . 3 3 D I F F E R E N T I A L A D J . FOR RESERVE REQUIREMENTS JUNE 10 - 0 . 1 2

3-MONTH EURO-DOLLAR DEPOSIT RATE U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET D I F F E R E N T I A L

JUNE 10 JUNE 10 JUNE 10

1 8 . 0 4 1 6 . 8 7

0 . 9 1

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S E R I E S NAME LAST T I L D E PLOTTED

DATE VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

EUEO-DOLLAR D E P O S I T JONE 1 0 1 8 . 0 4 INTERBANK STERLING (LONDON), COVERED JUNE 10 1 8 . 1 6 DIFFERENTIAL JONE 1 0 - 0 . 1 2

U . S . COMMERCIAL PAPER JOKE 1 0 1 6 . , 6 8 CANADIAN FINANCE PAPER, COVERED JONE 1 0 1 8 . 3 6 DIFFERENTIAL JONE 1 0 - 1 . , 6 8

EOhO-DOLLAR DEPOSIT JONE 10 1 8 . , 0 4 INTERBANK DM (FRANKFORT) , COVERED JONE 10 1 8 . 5 4 DIFFERENTIAL JUNE 10 - 0 . , 5 0

EORO-DOLLAR D E P O S I T JONE 10 1 8 . 0 4 SWISS INTERBANK, COVERED JONE 10 1 8 . 20 DIFFERENTIAL JUNE 1 0 - 0 . , 1 6

CHART 9 . LONG TERM GOVERMENT BOND YIELDS

ONITED STATES JONE 5 1 3 . , 5 3 GERMANY MAY 2 9 1 1 . 2 2 JAPAN (MONTHLY) A P R I L 7 . , 9 0 SWITZERLAND MAY 1 5 5 . 8 2 CANADA MAY 2 9 1 4 . , 9 6 FRANCE A P R I L 10 1 4 . 7 6 NETHERLANDS A P R I L 2 4 1 0 . , 9 1 ONITED KINGDOM MAY 2 9 1 1 . , 8 1

U . S . CORPOBATE

AAA BONDS A P R I L 1 3 . 8 8 BUEO-DOLLAB BONDS A P R I L 1 2 . 5 1

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

ONITED STATES JONE 3 1 3 6 . 2 7 ONITED KINGDOM JONE 3 1 2 0 . 1 9 CANADA JOVE 3 2 3 J . 4 0 GERMANY JONE 3 9 9 . 2 2 SWITZERLAND JONE 3 9 5 . 6 4 NETHERLANDS JONE 3 8 5 . 6 8 FRANCE JONE 3 8 0 . 4 0 JAPAN JONE 3 1 4 7 . 7 8

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

FEDERAL RESERVE statistical release i

H - 1 0 ( 5 1 2 ) FOREIGN EXCHANGE RATES 1 9 9 1

FOR THE WEEK B S D I 0 3 JUNE 1 2 , 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:

COUNTRY MONETARY

UNIT IRATE U . S . CENTS

COUNTRY MONETARY

UNIT JUNE 8 JUNE 9 JUNE 10 JUNE 1 1 JUNE 1 2

AUSTRALIA DOLLAR 1 1 2 . 7 0 0 0 1 1 2 . 7 0 0 0 1 1 3 . 2 5 0 0 1 1 3 . 2 3 0 0 1 1 3 . 5 0 0 0 AUSTRIA SCHILLING 5 . 8 4 4 5 4 5 . 9 1 3 6 6 5 . 9 3 8 2 4 5 . 8 7 5 4 4 5 . 8 8 9 2 8 BELGIUM FRANC 2 . 5 5 2 3 2 2 . 5 4 9 0 7 2 . 5 7 9 9 8 2 . 5 4 7 1 2 2 . 5 5 5 5 8 CANADA DOLLAR 8 2 . 9 3 9 4 8 2 . 9 0 5 0 8 3 . 1 5 3 2 8 2 . 9 6 0 0 8 3 . 0 0 3 2 DENMARK KRONE 1 3 . 1 6 6 6 1 3 . 2 3 6 3 1 3 - 4 1 3 8 1 3 . 2 3 8 0 1 3 . 2 6 7 0 FINLAND MARKKA 2 2 . 1 6 3 1 2 2 . 3 1 6 4 2 2 . 4 7 4 4 2 2 . 3 2 6 4 2 2 . 2 8 4 1 FRANCE FRANC 1 7 . 6 3 6 7 1 7 . 5 0 3 9 1 7 . 7 7 1 5 1 7 . 5 3 3 1 1 7 . 4 8 2 5 GERMANY D. MARK 4 1 . 5 8 0 0 4 1 . 6 1 4 6 4 2 . 1 5 8 5 4 1 . 5 8 8 7 4 1 . 7 5 3 6 INDIA RUPEE 1 1 . 6 2 7 9 1 1 . 6 0 0 9 1 1 . 6 2 7 9 1 1 . 6 5 5 0 1 1 . 6 1 4 4 IRELAND POUND 1 5 1 . 7 0 0 0 1 5 1 . 6 0 0 0 1 5 3 . 8 5 0 0 1 5 1 . 9 0 0 0 1 5 2 . 3 0 0 0 ITALY LIRA 0 . 0 8 2 9 9 0 . 0 8 3 5 4 0 . 0 8 4 4 8 0 . 0 8 3 5 1 0 . 0 8 3 7 2 JAPAN YEN 0 . 4 3 8 7 9 0 . 4 3 8 4 0 0 - 4 4 3 5 6 0 . 4 4 2 2 8 0 . 4 4 6 1 3 MALAYSIA DOLLAR 4 2 . 1 7 6 3 4 2 . 1 5 8 5 4 2 . 3 8 1 9 4 2 . 3 1 9 1 4 2 . 3 5 4 9 MEXICO PESO 4 . 1 1 6 9 4 . 1 1 5 2 4 . 1 1 5 7 4 . 1 1 3 5 4 . 1 1 3 5 NETHERLANDS GUILDER 3 7 . 2 1 6 2 3 7 . 4 1 1 1 3 7 . 8 9 3 1 3 7 . 3 9 7 2 3 7 . 5 2 3 4 NEW ZEALANL DOLLAR 8 5 . 1 6 0 0 8 5 . 2 6 0 0 8 5 . 5 5 0 0 8 5 . 3 0 0 0 8 5 . 3 1 0 0 NORWAY KRONE 1 6 . 7 5 0 4 1 6 . 7 9 9 7 1 6 . 9 7 2 2 1 6 . 7 8 5 6 1 6 . 8 1 3 8 PORTUGAL ESCODO 1 . 5 7 2 3 1 . 5 8 4 8 1 . 5 8 3 5 1 . 5 7 9 8 1 . 5 7 3 5 SOUTH AFRICA RAND 1 1 4 . 6 0 0 0 1 1 4 . 7 8 0 0 1 1 5 . 2 7 0 0 1 1 4 . 9 3 0 0 1 1 4 . 7 0 0 0 SPAIN PESETA 1 . 0 4 4 4 1 . 0 4 7 9 1 . 0 5 3 0 1 . 0 4 5 4 1 . 0 4 7 1 S R I LANKA RUPEE 5 . 4 1 4 2 5 . 4 1 4 2 5 . 4 1 4 2 5 . 4 1 4 2 5 . 3 8 5 0 SWEDEN KRONA 1 9 . 6 6 5 7 1 9 . 6 4 6 4 1 9 . 8 2 1 6 1 9 . 5 8 8 6 1 9 . 6 3 4 3 SWITZERLAND FRANC 4 7 . 2 8 1 3 4 7 . 3 4 8 5 4 7 . 8 9 2 7 4 7 . 2 8 1 3 4 7 . 7 0 9 * UNITED KINGDOM POUND 1 9 4 . 0 0 0 0 1 9 4 . 0 5 0 0 1 9 7 . 0 5 0 0 1 9 4 . 9 0 0 0 1 9 5 . 7 0 0 0

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