h13_19810908.pdf

( 5 1 6 / 5 T 7 )

7J./3

Selected Interest & Exchange Rates Weekly Series of Charts

September 8,1981

Prepared by the FINANCIAL MARKETS SECTION

D U f i i l O N O F I N T E R N A T I O N A L F I N A N C E

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.


RATIO SCALE MARCH 1973=100

120

100

80

60

100

80

60

40

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

- A -

- ^ \ / \

FOREIGN CURRENCY

PRICE OF US. DOLLAR

I I I I I I

CANADIAN DOLLAR

u

180

160 - A / V v , -

140 \ -

120 GERMAI 4 MARK V

100 I I I I I I I I I I I I I i l l I 11111111111

JAPANESE YEN

160 -

140 - y v

120 -

DUTCH< WILDER V *"

100

~ i 1 1

-

UK POUND -

i i i I I I

-

RATIO SCALE MARCH 1973=100

120

100

80

FRENCH FRANC

SWISS FRANC

ITALIAN LIRA

1979 1981 1979 1981


CHART 2

3 - M O N t # E X 6 H A W S E RATES : U - - - 5 - f W M # ( 4 0R ^


PERCENT PER ANNUM

6

CANADIAN DOLLAR

1 I I I 1 I 1 1 I 1 1 I 1 I 1 I I I I I I I I

12

-

U, K. POUND A

I I I I J U i i I i i l i i I i i in I n l u l u

GERMAN MARK

n I n I n 11t 11 I n h i I n

FRENCH FRANC

I I I l l l l l l I I I I I I l l l l l I I

-ITALIAN LIRA -

I I I M i l i i l l i l i i l i i i i l i i h i l i i

PERCENT PER ANNUM

24

DUTCH GUILDER

M i l l 1- 1- I n I n h i l i i l n l i i l M i n i e

SWISS FRANC

M i l M i l l 1 1 1 l l l l l 1 1 1

JAPANESE YEN

l l l l l l l l l l I I I ' l l ' I I I I 1979 1981 1979 1981


U.S. [

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

PER FINE OUNCE U.S. DOLLARS PER FINE

12.5 Kg BARS AFTERNOON FIXING PRICE

J L 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

NUM

28

24

20

16

12

8

4

24

20

16

12

8

4

0

24

20

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

NT PER ANNUM PERCENT PER AL

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

CANADA

EURO-SWISS FRANC

NETHERLANDS

FRANCE

GERMANY

EURO-DM

1979 1981 1979 1981


20

16

12

8

4

26

22

18

1 4

10

6

16

12

8

4

20

16

12

8

4

20

16

12

8

4

0

12

8

4

0

CHART 5

3-MONTH INTEREST RATES WEEKLY SERES

I J PER ANNUM PERCENT PER ANI

U.S. CD S

UK. INTERBANK STERLING

WEIGHTED AVERAGE FOREIGN RATE

GERMAN INTERBANK RATI CANADIAN FINANCE CO. PAPER

I ( I I I 111 1 1 l i i l I I

JAPANESE BANK LOANS AND DISCOUNTS SWISS INTERBANK RATI

n M i i l i i

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


PEP

24

20

16

12

8

4

24

20

16

12

8

4

24

20

16

12

8

4

NNUM

24

20

16

12

8

4

24

20

16

12

8

4

24

20

16

12

8

4

V

ENT PER ANNUM

CHART 6

EURO*00 tm iEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

PERCENT PER AL

OVERNIGHT 3-MONTH

1 1 , 1 , 1 1 1 1 l l l l l l l l l l l l l u l u l u l l l 1 1 1 1 I I l i t 11111 l u l u 111111

7-DAY 6-MONTH

I I 1 I 1 1 I 1 1 M 1 M I M 1 M 1 1 1 1 111 I I I I I I I I I I I I I I I I I I I

1-MONTH

L L J ii I u I ii In 1 1 l u l u 111

1-YEAR -

-

I I J I I I i i I i i I i i I i i i i l u l i i 111 1079 1981 1979 1981


PERCENT PER ANNUM

26

22

18

14

10

CHART 7

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


FEDERAL FUNDS

OVERNIGHT EURO-DOLLAR DEPOSITS

t t l l I I I I I f I

DIFFERENTIAL

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

PERCENT PER ANNUM

26

3-MONTH EURO-DOLLAR DEPOSITS

DAY CD

n h t I M

;

kjsf

DIFFERENTIAL

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

|

I I I I I I I I I I I

2

t

+ 0

1

2

3

1979

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1981 1979 1981

? 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


PERCENT PER ANNUM

28 : ...

EURO-DOLLAR DEPOSITS I 20

12

V I

ftz/ A / INTERBANK STERLING ^ y V V W COVERED LONDON . | , , -

4 ,1 1 1 1 M i l l I n I n I n I n i l l 1111 i 111

28

20

12

PERCENT PER ANNUM

28

CANADIAN FINANCE CO. PAPER, COVERED

"

DIFFERENTIAL

-

f i i i I I I \

INTERBANK DM COVERED FRANKFURT

hi m V

Vvv

EURO-DOLLAR DEPOSITS -

1 1 1 1 1 1 i , h , 1 1 J 111 . . I n I n I n

U. S. COMMERCIAL PAPER

DIFFERENTIAL -

" i r j i 1 1 1 I l l l l l l 1111

SWISS INTERBANK (F) V1H60

DIFFERENTIAL

I I I I

EURO-DOLLAR DEPOSITS

DIFFERENTIAL

I I I :l I - I 1979 1981

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

1979 1981


tin

7

15

13

11

>

7

2

10

8

6

4

13

11

g

7

5

19

17

15

13

11

9

7

16

14

12

10

8

6

9

7

5

3

1

15

13

11

a

7

18

16

14

12

10

a

6

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

ENT PER ANNUM PERCENT PER AH

UNITED STATES

U. 5. CORPORATE MONTHLY

A a a BONDS

EURO-DOLLAR BONDS

SWITZERLAND

FRANCE

CANADA

NETHERLANDS

l l i l l I

1979 1981 1979 1981


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE U N A e a T A # S D K A K O X a - RAT,0 SCALE

180

160 UNITED STATES

1 4 0

120

100

80

1 4 0

120

100

UNITED KINGDOM 80

60

180

160 JAPAN

1 4 0

120

100

80

1 4 0

120

100

SWITZERLAND 80

60

1 4 0

120

100

GERMANY 80

60

1 4 0

120

100

FRANCE 80

60

1 4 0

120

100

80

NETHERLANDS

60

i l l 1 1 1 i l l 1 1 4 5

1 9 7 9 1 9 8 1

280

2 4 0

200

160

CANADA

120

9 0

1 9 7 9 1 9 8 1


SERIES NAflE LAST VALUE PLOITBD

DATE VAIU2

CHART 1 . SPOT EXCHANGE BATES AND INDICES

WEEKLY AVERAGES, NOON BUYING RATES ( U . S . CEBTSf

GERMAN MARK S E P T . 2 4 0 . 7 5 JAPANESE YEN SEPT. 2 0 . 4 3 4 3 3 DUTCH GUILDER S E Z . 2 3 6 . 6 9 U . K . POUND S E P T . 2 1 8 4 . 2 0 CANADIAN DOLLAR S E P T . 2 8 3 . 1 2 FRENCH FRANC S E P T . 2 1 7 . 0 1 SWISS FRANC S E P T . 2 4 6 . 5 9 BELGIAN FRANC SEPT- 2 ' 2 . 4 8 8 5 1 ITALIAN LIRA S E P T . 2 0 . 0 8 1 6 0

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

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

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , BAR 1 9 7 3 = 100 ( G - 1 0 COUNTRIES PLUS SWITZERLAND)

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

CHART 2 . 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT

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


: ' 0 11 ,5 itilAV T^ ' i J LAST VALUE PLOT3 V ' ' ^ " Vx v - -i SERIES NAME DATE VALUE

CHART 3 . GOLD PRICE IN LONDON, AFTEB#%#)#%%IN%o ;*TVt

0 . S . DOLLARS PER FINE OUNCE . :i v : - - -

SEPT. 2 4 2 2 . 0 6

C#A#P 4 . JCALL MONEY RATES

' it. j L U . S . FEDERAL FUNDS SEPT. 2 1 6 . 8 9 OVERNlSHi EURO-DOLLAR DEPOSITS S E P T . 2 1 7 . 3 3

i.i U U . K . 24DAY LOCAL AUTHORITY DEPOSITS SEPT. 4 1 2 . 3 8 , o.. v r CANADA : AUG . 2 1 2 0 . 2 9

GERMANS :: SEPT . : 4 1 2 . 0 a ki ; . x EBRO^DM: AUG. 2 8 1 1 . 9 2 I -v , -i JAPAN S E P T . 4 7 . 5 6

FRANCE SEPT. 4 1 7 . 3 8 NETHERLANDS AUG. 2 1 1 1 . 5 0 EURO-SWISS FRANC AUG. 2 8 2 6 . 0 0

CHART-.t ''

5 . 3-MONTH INTEREST RATES

U l S . - 9 0 * D A Y C D ' S , SECONDARY MARKET S E P T . 2 1 7 . 7 7 ' A ..M GERMAN 'INTERBANK LOAN S E P T . 2 1 2 . 8 2 -C> JAPANESE BANK LOANS 6 DISCOUNTS S E P T . 2 7 . 4 1 a, c, CANADIAN FINANCE PAPER SEPT. 2 2 1 . 7 7 : C :n? INTERBANK STERLING S E P T . 2 1 3 . 9 5

SWISS INTERBANK LOAN SEPT. 2 9 . 0 1 WEIGHTED AVERAGE FOREIGN INTEREST RATE S E P T . 2 1 3 . 8 2

(G-10 COUNTRIES PLUS SWITZERLAND)

CHARTi 6 . ,EUB0^B6LLAB DEPOSIT RATES: LONDON : - v , r

' OVERNIGHT S E P T . 2 1 7 . 3 3 74DAY SEPT. 2 1 7 . 2 7

K * y iv 1*MONTH S E P T . 2 1 7 . 8 1 i 5 ,'i 3^MONTH S E P T . 2 1 8 . 5 5

s 6-MONTH S E P T . 2 1 8 . 6 4 !' , ; ij; . HYEAHIS- ' S E P T . 2 1 8 . 0 0

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

OVERNIGHTEURO-DOLLAR DEPOSITS SEPT. 2 1 7 . 3 3 U . S . FEDERAL FUNDS SEPT. 2 1 6 . 8 9 DIFFERENTIAL ADJ. FOR RESERVE REQUIREMENTS SEPT. 2 0 . 4 1

it * V# 3-MONTH EURO-DOLLAR DEPOSIT RATE S E P T . 2 1 8 . 5 5 .. t- y. - U . S . 90HDAY C D ' S , SECONDARY MARKET SEPT. 2 1 7 . 7 7 x DIFFERENTIAL S E P T . 2 0 . 7 8


SBBIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 8 . INTEREST A R B I T R A G E ^ W ^ l c i i W F U K D S

EURO-DOLLAR DEPOSIT SEPT. 2 1 8 . 5 5 INTERBANK STERLING (LONDON) , COVERED SEPT,. 2 1 8 . 9 2 DIFFERENTIAL S E P T . 2 - 0 . 3 7

U . S . COMMERCIAL PAPER SEPT. 2 1 6 . 9 7 CANADIAN FINANCE PAPER, COVERED SEPT. 2 1 8 . 4 7 DIFFERENTIAL SEPT. 2 - 1 . 5 0

EURO-DOLLAR DEPOSIT SEPT. 2 1 8 . 5 5 INTERBANK DM (FRANKFURT), COVERED S E P T . 2 1 9 . 0 2 DIFFERENTIAL S E P T . 2 - 0 . 4 7

EURO-DOLLAR DEPOSIT SEPT. 2 1 8 . 5 5 SWISS INTERBANK, COVERED S E P T . 2 1 8 . 5 9 DIFFERENTIAL SEPT. 2 - 0 . 0 4

CHART 9 . LONG TERM GOVERMENT BOND YIELDS

UNITED STATES GERMANY JAPAN (MONTHLY) SWITZERLAND CANADA FRANCE NETHERLANDS UNITED KINGDOM

U . S . CORPORATE

AAA BONDS EURO-DOLLAR BONDS

CHART 1 0 . STOCK INDICES

UNITED STATES UNITED KINGDOM CANADA GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

SEPT. 4 1 5 . 4 4 AUG. 2 8 1 1 . 3 6 JULY 8 . 9 3 AUG. 2 1 5 . 6 7 AUG. 2 1 1 6 . 2 0 JUNE 12 1 7 . 4 4 AUG. 2 1 1 1 . 5 4 AUG. 28 1 3 . 0 1

JULY 1 4 . 3 8 JULY 1 2 . 6 7

AUG. 2 6 1 2 9 . 94 AUG. 2 6 1 2 2 . 79 AUG. 2 6 2 1 5 . 81 AUG. 2 6 1 0 1 . 52 AUG. 2 6 9 5 . 47 AUG. 2 6 8 7 . 3 2 AUG. 2 6 9 3 . 18 AUG. 2 6 1 5 7 . 26


FEDERAL RESERVE statistical release

H . 1 0 (512 ) FOREIGN EXCHANGE RATES

FOR THE WEEK ENDING SEPTEMBER 4 , 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 (RATE U . S . CENTS]

COUNTRY MONETARY

UNIT AUG. 31 S E P , 1 SEP . 2 SEP. 3 S E P . 4

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

:S|

SEPTEMBER 1 0 , 1981


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