h13_19811019.pdf

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Selected Interest & Exchange Rates Weekly Series of Charts

October 19,1981

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-HI. 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.


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

RATIO SCALE MARCH 1 9 7 3 = 1 0 0

U.K. POUND

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

GERMAN MARK FRENCH FRANC

JAPANESE YEN

SWISS FRANC

BELGIAN FRANC

DUTCH GUILDER

ITALIAN LIRA

CANADIAN DOLLAR

1979 1981 1979 1981

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

CHART 2

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


PERCENT PER ANNUM

6 PERCENT PER ANNUM

CANADIAN DOLLAR

2 4

ITALIAN LIRA

< + 0

< + 0

I I I I I I u i i i b f i u ^

t

24

12

U. K. POUND \ I -

\nA V

11111111111

GERMAN MARK

FRENCH FRANC

f

DUTCH GUILDER

SWISS FRANC

JAPANESE YEN

1979 1981 1979 1981


U.S. [

800

750

700

650

600

550

500

4 5 0

400

350

300

250

200

150

100

OUNCE

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

LLARS PER FINE OUNCE U.S. DOLLARS PER FINE

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 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

2Q

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

INT PER ANNUM PERCENT PER M

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

CANADA

EURO-SWISS FRANC

NETHERLANDS

V FRANCE

GERMANY

EURO-DM

1979 1981 1979 1981


20

16

12

8

4

26

22

18

14

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 o J i WEEKLY SERIES

U.K. INTERBANK STERLING

WEIGHTED AVERAGE FOREIGN RATE

GERMAN INTERBANK RATE CANADIAN FINANCE CO. PAPER

JAPANESE BANK LOANS AND DISCOUNTS SWISS INTERBANK RATE

1981 1979 1981 1979


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

3-MONTH OVERNIGHT

6-MONTH 7-DAY

1-MONTH 1-YEAR

1979 1981 1979 1981


0+ t

PERCENT PER ANNUM

26

22

18

14

10

CHART 7

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


- -

A n \ A " FEDERAL FUNDS i / n \ -1/ 1 \

1 -

il . iV lly I

- I

J -

r x

OVERNIGHT I E U R O - D O L L A R DEPOSITS r I 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

DIFFERENTIAL

I I I I I

PERCENT PER ANNUM

26

22

DAY CD

I I I I I I I I I I I

3 - M O N T H E U R O - D O L L A R D E P O S I T S

18

r- 14

- 1 0

DIFFERENTIAL

/ i N r y v w A -

1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 i i

1 9 7 9

1 PERCENT ON D I F F E R E N T I A L S C A L E = 2 PERCENT ON RATE S C A L E

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


CHART 8

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


PERCENT PER ANNUM

28

EURO-DOLLAR DEPOSITS

INTERBANK STERLING COVERED LONDON

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


DIFFERENTIAL

PERCENT PER ANNUM

28

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL

-l y W v _

DIFFERENTIAL

SWISS INTERBANK (SF) COVERED


1 9 7 9 1981

1 PERCENT ON D I F F E R E N T I A L S C A L E = 2 PERCENT ON RATE S C A L E

1 9 7 9 1981


19

17

15

13

11

9

7

12

10

8

6

4

13

11

9

7

5

19

17

15

13

11

9

7

19

17

15

13

11

9

7

9

7

5

3

1

15

13

11

9

7

18

16

14

12

10

8

6

C H A R T 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

ENT PER ANNUM PERCENT PER AL

UNITED STATES

U. S. CORPORATE MONTHLY

A a a B O N D S

V

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

SWITZERLAND

GERMANY

MONTHLY

JAPAN

CANADA

UNITED \ KINGDOM prf

: i I I i i i I I I I I I I I I I I

FRANCE

NETHERLANDS

1 9 7 9 1981 1 9 7 9 1981


CHART 10

RATIO SCALE 1 9 6 9 = 1 0 0

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1 9 6 9 = 1 0 0

1 8 0 1 8 0

1 6 0 -UNITED STATES

- -JAPAN

y\ - 1 6 0

1 4 0 J Y \y\yVx A J -H 1 4 0

1 2 0 - A / v - - A - 1 2 0

1 0 0 - Jl\j Vy - - 1 0 0

8 0 | | | | | | | | | | I | | | I I I 80

UNITED KINGDOM SWITZERLAND

FRANCE GERMANY

1 4 0

1 2 0 - -

1 0 0 A / A | iVr, -8 0

I I W Y \ -

| V NETHERLANDS

6 0

4 5 I I I M I M I M I M

CANADA

2 4 0 t

- 2 0 0

- 1 6 0

120

9 0

1 9 7 9 1981 1 9 7 9 1981


S E R I E S NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1 . SPOT EXCHANGE BATES AND I N D I C E S

WEEKLY AVERAGES, NOON BUYING RATES ( U . S . CENTS)

* GERMAN MARK OCT. 14 4 5 . 2 5 JAPANESE YEN OCT. 14 0 . 4 3 8 4 8

I DU1CH GUILDER OCT. 14 4 0 . 9 4 I U . K . POUND OCT. 14 1 8 7 . 6 9 CANADIAN DOLLAR OCT. 14 8 3 . 4 1 FRENCH FRANC OCT. 14 1 8 . 0 4 SWISS FRANC OCT. 14 5 3 . 8 5 BELGIAN FRANC OCT. 14 2 . 6 9 2 5 3 ITALIAN LIRA OCT. 14 0 . 0 8 4 8 3

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

GERMAN MARK OCT. 14 1 2 7 . , 2 9 JAPANESE YEN OCT. 14 1 1 4 . , 8 1 DUTCH GUILDER OCT. 14 1 1 7 . , 5 4 U . K . POUND OCT. 1 4 7 5 . 9 1 CANADIAN DOLLAR OCT. 14 8 3 . 1 3 FRENCH FRANC OCT. 14 8 1 . 3 0 SWISS FRANC OCT. 14 1 7 3 . 2 5 BELGIAN FRANC OCT. 14 1 0 6 . 10 ITALIAN LIRA OCT. 14 4 8 . 19

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 OCT. 14 1 0 4 . , 7 0 GERMAN MARK OCT. 14 1 3 9 . . 3 5 JAPANESE YEN OCT. 14 1 2 1 . . 5 4 DUTCH GUILDER OCT. 14 1 2 3 . . 5 5 U . K . POUND OCT. 14 7 6 . 7 7 CANADIAN DOLLAR OCT. 14 8 5 . . 2 0 FRENCH FRANC OCT. 14 8 2 . 6 5 SWISS FRANC OCT. 14 1 8 2 . , 6 7 BELGIAN FRANC OCT. 14 1 1 0 . , 5 5 ITALIAN LIRA OCT. 14 4 7 . , 3 8 SWEDISH KRONA OCT. 1 4 8 3 . , 5 1

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

CANADIAN DOLLAR OCT. 14 - 2 . 6 7 U . K . POUND OCT. 14 0 . , 5 0 GERMAN MARK OCT. 14 4 . , 9 3 FRENCH FRANC OCT. 14 - 2 . , 6 5 SWISS FRANC OCT. 1 4 5 . , 6 3 DUTCH GUILDER OCT. 14 3 . , 6 5 JAPANESE YEN OCT. 14 8 . , 9 0 ITALIAN LIRA OCT. 1 4 6 . , 6 2



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 OUNCE

CHART 4 . CALL MONEY BATES

U . S . FEDERAL FUNDS OVERNIGHT EUBO-DOLLAB DEPOSITS U . K . 2-DAY LOCAL AUTHORITY DEPOSITS CANADA GEBMANY EURO-DM JAPAN FRANCE NETHERLANDS EURO-SWISS FRANC

OCT. 14 4 4 6 . 7 5

OCT. 14 1 4 . 9 3 OCT. 14 1 4 . 7 8 OCT. 9 1 5 . 50

S E P T . 2 5 1 8 . 9 3 OCT. 9 1 1 . 0 0 OCT. 2 1 1 . 3 1 OCX. 9 7 . 1 3 OCT. 9 1 7 . 7 5

S E P T . 4 1 3 . 7 0 OCT. 2 7 . 1 3

CHART 5 . 3-MONTH INTEREST RATES

U . S . 90-DAY C D ' S , SECONDARY MARKET OCT. 14 1 5 . 2 1 GERMAN INTEBBANK LOAN OCT. 14 1 1 . 5 6 JAPANESE BANK LOANS & DISCOUNTS OCT. 1 4 7 . 2 7 CANADIAN FINANCE PAPEB OCT. 14 1 8 . 9 4 INTEBBANK STERLING OCT. 14 1 5 . 7 6 SWISS INTEBBANK LOAN OCT. 14 1 0 . 3 5 WEIGHTED AVEBAGE FOBEIGN INTEBEST RATE OCT. 14 1 3 . 3 0

( G - 1 0 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAB DEPOSIT BATES: LONDON

OVEBNIGHT OCT. 14 1 4 . 7 8 7-DAY OCT. 14 1 4 . 7 0 1-MONTH OCT. 14 1 5 . 1 5 3-MONTH OCT1. 14 1 5 . 9 6 6-MONTH OCT. 14 1 6 . 14 1 -YEAB OCT. 14 1 6 . 0 0

CHABT 7 . SELECTED EURO-DOLLAB AND U . S . MONEY MARKET BATES '

OVEBNIGHT EUBO-DOLLAB DEPOSITS OCT. 14 1 4 . 7 8 U . S . FEDERAL FUNDS OCT. 14 1 4 . 9 3 DIFFERENTIAL A D J . FOB BESEBVE REQUIREMENTS OCT. 14 - 0 . 1 5

3-MONTH EUBO-DOLLAB DEPOSIT BATE OCT. 14 1 5 . 9 6 U . S . 90 -DAY C D ' S , SECONDARY MABKET OCT. 14 1 5 . 21 DIFFERENTIAL OCT. 14 0. 7 5



DATS VALUE

CHART 8 . INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT INTERBANK STERLING (LONDON) , COVERED DIFFERENTIAL

U . S . COMMERCIAL PAPER CANADIAN FINANCE PAPER, COVERED DIFFERENTIAL

EURO-DOLLAR DEPOSIT INTERBANK DM (FRANKFURT), COVERED DIFFERENTIAL

EURO-DOLLAR DEPOSIT SWISS INTERBANK, COVERED DIFFERENTIAL

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 I N D I C E S

v UNITED STATES UNITED KINGDOM CANADA

t GERMANY SWITZERLAND NETHERLANDS FRANCE JAPAN

OCT. 1 4 1 5 . 9 6 OCT. 14 1 6 . 2 8 OCT. 14 - 0 . 3 2

OCT. 14 1 4 . 6 7 O C x . 14 1 6 . 14 OCT. 14 - 1 . 4 7

OCT. 14 1 5 . 9 6 OCT. 14 1 6 . 6 3 OCX. 14 - 0 . 6 7

OCT. 14 1 5 . 9 6 OCT. 14 1 6 . 12 OCT. 14 - 0 . 16

OCT. 9 1 5 . 0 2 OCT. 9 1 0 . 3 5

S E P T . 9 . 0 3 S E P T . 11 6 . 18 S E P T . 2 5 1 7 . 10

AUG. 14 1 7 . 0 5 S E P T . 4 1 1 . 9 8

OCT. 2 1 4 . 2 6

S E P T . 1 6 . 9 2 AUG. 1 3 . 3 3

OCT. 7 1 2 5 . 4 8 OCT. 7 1 0 7 . 0 0 OCT. 7 1 9 2 . 0 1 OCT. 7 9 7 . 7 9 OCT. 7 8 5 . 4 9 OCT. 7 7 8 . 6 7 OCT. 7 9 1 . 7 7 OCT. 7 1 4 7 . 2 5


FEDERAL RESERVE statistical release : "

H - , 0 t 5 1 2 ' F O R E I G N E X C H A N G E R A T E S 2 " "

FOR THE MEEK ENDING OCTOBER 1 6 , 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:

MONETARY IRkl CE U . S . CENTS! COUNTRY UNIT OCT. 12 OCT.. 1 3 OCT.. 14 OCT. 1 5 OCT. 1 6

AUSTRALIA DOLLAR 1 1 5 . 2 0 0 0 1 1 4 . 9 3 0 0 1 1 4 . 6 0 0 0 1 1 4 . 2 1 0 0 AUSTRIA SCHILLING 6 . 4 6 4 1 2 6 . 4 1 0 2 6 6 . 4 6 8 3 1 6 . 4 0 6 1 5 BELGIUM FRANC 2 . 6 9 0 3 4 2 . 6 8 2 4 0 2 . 6 7 3 8 0 2 . 6 6 3 1 2 CANADA DOLLAR H 8 3 . 4 8 6 4 83.. 2 5 7 0 8 3 . 3 1 2 5 8 3 . 1 1 8 7 DENMARK KRONE 1 4 . 0 4 9 9 . 1 ^ . 9 9 0 9 1 3 . 9 5 1 9 1 3 . 9 0 8 2 FINLAND MARKKA 2 2 . 8 9 6 4 2 2 . 8 3 6 3 2 2 . 8 0 5 0 2 2 . 7 1 6 9

FRANCE FRANC 0 1 7 . 9 4 6 9 1 7 . 9 3 7 2 1 7 . 8 8 7 5 1 7 . 8 4 1 2 GERMANY D . MARK 4 5 . 0 1 4 6 4 4 . 9 9 4 4 4 4 . 8 5 3 1 4 4 . 6 8 2 7 INDIA RUPEE 1 0 . 8 9 3 2 1 0 . 9 0 5 1 1 0 . 9 8 9 0 1 0 . 8 9 3 2 IRELAND POUND L 1 5 9 . 6 0 0 0 1 5 9 . 9 0 0 0 1 5 9 . 0 0 0 0 1 5 8 . 2 0 0 0 ITALY LIRA 0 . 0 8 4 6 0 0 . 0 8 4 4 2 0 , 0 8 4 5 0 0 . 0 8 3 9 6 JAPAN YEN 0 . 4 3 7 4 5 0 . 4 3 7 1 6 0 . 4 3 3 6 5 0 . 4 3 3 6 5

MALAYSIA DOLLAR I 4 3 . 8 0 2 0 4 3 . 7 7 3 3 4 3 . 8 7 8 9 4 3 . 7 2 5 4 MEXICO PESO 3 . 9 4 4 8 3 . 9 4 0 1 3 . 9 3 7 8 3 . 9 3 5 5 NETHERLANDS GUILDER 4 0 . 8 1 6 3 4 0 . 7 7 4 7 4 0 . 6 0 9 1 4 0 . 4 8 5 8 NEW ZEALAND DOLLAR D 8 3 . 1 0 0 0 8 2 . 9 5 0 0 8 2 . 7 1 0 0 8 2 . 2 8 0 0 NORWAY KRONE 1 7 . 2 2 6 5 1 6 . 9 9 2 4 1 6 . 9 2 7 6 1 6 . 8 2 7 9 PORTUGAL ESCUDO 1 . 5 7 2 3 1 . 5 6 2 5 1 . 5 6 4 9 1 . 5 5 0 4 SOUTH AFRICA BAND A 1 0 6 . 1 2 0 0 1 0 5 . 0 7 0 0 1 0 5 . 4 2 0 0 1 0 4 . 5 5 0 0 SPAIN PESETA 1 . 0 6 1 8 1 . 0 5 1 5 1 . 0 6 1 7 1 . 0 4 1 7

S R I LANKA RUPEE 4 . 8 2 0 4 4 . 8 2 0 4 4 . 8 2 0 4 4 . 8 2 0 4

SWEDEN KRONA Y 1 8 . 2 6 4 8 1 8 . 2 1 4 9 1 8 . 1 4 8 8 1 8 . 0 6 3 6

SWITZERLAND FRANC 5 3 . 7 6 3 4 5 3 . 7 0 5 7 5 3 . 4 7 5 9 5 3 . 4 7 5 9

UNITED KINGDOM POUND 1 8 5 . 5 0 0 0 1 8 5 . 3 0 0 0 1 8 4 . 7 0 0 0 ' 1 8 3 . 1 0 0 0


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h13_19811019.pdf