h13_19810105.pdf

Selected Interest & Exchange Rates Weekly Series of Charts

January 5 ,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 Reserve System in a form collectible at par in U.S. Currency.


RATIO S C A L E MARCH 1 9 7 3 = 1 0 0

120

100

80

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

r -

- V x A

FOREIGN CURRENCY

-

PRICE OF U.S. DOLLAR

I I I I I I I I I I I

GERMAN MARK

160

140 __ A / V V JAPANESE YEN

120 - p f

100 -

80 I I I 1 1 1 l l l l l l l l l l ! I l l u l l l l "

160

140 -

120

DUTCH ( BUILDER

100

1 1 1 i l l u l i i h i i l l l i i l l l l i

100

80

U.K. PC )UND 60

1 1 I l l l l l l l l l l 1

RATIO SCALE MARCH 1 9 7 3 = 1 0 0

CANADIAN DOLLAR

FRENCH FRANC

1 1 1 i i l n l i i l i i i i i i i i i i i i "

BELGIAN FRANC

n l n h i l i i

SWISS FRANC

- ITALIAN LIRA -

1 ^ 1

1 1 1

-

120

100

80

240

200

- 160

120

160

140

120

100

100

80

60

1979 1981 1979 1981


6

0

6

6

0

6

12

12

6

0

12

6

+ 0

6

24

0

24

12

6

0

6

18

12

6

0

12

6

0

6

C H A R T 2

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


:ENT PER ANNUM PERCENT PER AF

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

FRENCH FRANC

-ITALIAN LIRA

-

DUTCH GUILDER

- A /

SWISS FRANC 1

-

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

JAPANESE YEN

1979 1981 1979 1981


U.S. D

800

750

700

650

600

550

500

450

400

350

300

250

200

150

100

UNCE

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

- L A R S PER FINE OUNCE U.S. D O L L A R S PER FINE '

12.5 Kg BARS AFTERNOON FIXING PRICE

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

1978 1979 1980 1981


28

24

20

16

12

8

4

28

24

20

16

12

8

4

0

16

12

8

4

0

28

24

20

16

12

8

4

28

24

20

16

12

8

4

0

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

ENT PER ANNUM PERCENT PER AL

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

EURO-SWISS FRANC CANADA

NETHERLANDS

FRANCE

JAPAN

- GERMANY

f ^ I T W E U R O - D M

M I ' I i I I

l

i i 1 i i 1 i i l l i

1979 1981 1979 1981


PER<

20

16

12

8

4

22

18

14

10

6 16

12

6

4

4UM

20

16

12

8

4

16

12

8

4

0

12

8

4

0

CHART 5

3-MONTH INTEREST RATES WEEKLY SERES

NT PER ANNdfr PERCENT PER At

U.S. CD'S

UK. INTERBANK STERLING

WEIGHTED AVERAGE FOREIGN RATE

CANADIAN FINANCE CO. PAPER GERMAN INTERBANK RATE

LOANS AND DISCOUNTS JAPANESE BANK

-

SWISS INTERBANK RATE

-

1979 1981 1979 1981


PEF

24

20

16

12

8

4

24

20

16

12

8

4

24

20

16

12

6

4

24

20

16

12

8

4

24

20

16

12

8

4

24

20

16

12

8

4

CHART 6

E U R O - D O L L A R DEPOSIT RATES LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

ENT PER ANNUM PERCENT PER At

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-MONTH 1-YEAR

1979 1981 1979 1981


, CHART 7 '

SELECTED EURO-DOtLWR AND U. S. MONEY MARKET RATES DIFFERENTIAL: PLUSM, FAVORS BORROWING IN U. S.


PERCENT PER ANNUM f PERCENT PER ANNUM

26

22

3-MONTH EURO-DOLLAR DEPOSITS

90-DAY CD* S

2

DIFFERENTIAL

1979 1981

26

22

FEDERAL FUNDS

OVERNIGHT I EURO-DOLLAR DEPOSITS

1981 1979

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE


CHART 8

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


PERCENT PER ANNUM

28

EURO-DOLLAR DEPOSITS

INTERBANK STERLING COVERED LONDON

2

28

12

~ A/ V I

DIFFERENTIAL

j I I i 1 1 1 1 1 i 11111111

-

INTERBANK DM -

-

COVERED FRANKFURT

-

-

fc -

- -

J - M J V* EURO-DOLLAR DEPOSITS

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

-DIFFERENTIAL

-

1979 1981

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

PERCENT PER ANNUM

28

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

- 12

- DIFFER ENTIAL . -

-

" I I I

A r V U v

i i I n k i l l r 11 I n l u l l i

4

2

SWISS INTERBANK CSF) COVERED - 20

EURO-DOLLAR DEPOSITS

I I I I I I I I I

4

26

- 12

DIFFERENTIAL

4

2

1979 1981


1 5

1 3

11

9

7

10

8

6

4

16

1 4

12

10

8

6

1 4

12

10

8

6

1 5

1 3

11

9

7

7

5

3

1

1 7

1 5

1 3

11

9

7

1 3

11

9

7

5

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

PER ANNUM ; PERCENT PER

CANADA

UNITED STATES a n

- - -

- r

-

SWITZERLAND

GERMANY

UNITED KINGDOM

FRANCE

NETHERLANDS

l i i h

U. S. CORPORATE MONTHLY

Aaa BONDS

EURO-DOLLAR BONDS

1 9 7 9 1 9 8 1

MONTHLY

JAPAN

1 9 7 9 1 9 8 1


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1 9 6 9 = 1 0 0

180

160 -

140 140 UNITED STATES /VV '

120 -

100 - AJ V / V -

80 I I I I I I I I I I I I I I I I I I l l I I l u l l I 400

360 - -

JAPAN 320

280 - A / -

240 -

200 I I I 1 1 I I I h i l l i

SWITZERLAND

RATIO SCALE 1 9 6 9 = 1 0 0

- -

- GERMANY -

X x I I I

FRANCE GENERAL INDEX

UNITED KINGDOM

1979 1981 1979 1981


LAST VALUE PLOTTED S E R I E S NAME 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 DEC. 3 1 5 1 . 1 3 , J A P A N E S E YEN DEC. 3 1 0 . 4 8 7 1 2 * DUTCH GUILDER DEC. 3 1 4 6 . 9 3

U . K . POUND DEC. 3 1 2 3 8 . 1 0 \ CANADIAN DOLLAR DEC. 3 1 8 3 . 9 8

FRENCH FRANC DEC. 3 1 2 2 . 0 6 S W I S S FRANC DEC. 3 1 5 6 . 3 2 BELGIAN FRANC DEC. 3 1 3 . 1 7 2 1 5 I T A L I A N L I R A , DEC. 3 1 0 . 1 0 7 8 9

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

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

WEIGHTED AVERAGE EXCHANGE VALUE I N D I C E S , MAR 1 9 7 3 = 1 0 0 ( 5 - 1 0 COUNTRIES PLUS SWI TZERLAND)

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

1 SWEDISH KRONA DEC. 3 1 9 3 . 2 2

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

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


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 OUNCE DEC. 3 1 5 9 1 . 0 0

CHART 4 . CALL HONEY RATES

U . S . FEDERAL FUNDS DEC. 3 1 1 8 . 4 5 OVERNIGHT EURO-DOLLAR D E P O S I T S DEC. 3 1 2 1 . 1 1 U . K . 2 - D A Y LOCAL AUTHORITY D E P O S I T S DEC. 2 6 1 4 . 2 5 CANADA DEC. 1 9 1 5 . 6 0 GERMANY DEC. 2 6 9 . 0 0 EURO-DM DEC. 1 9 8 . 1 1 JAPAN DEC. 2 6 9 . 5 0 FRANCE DEC. 2 6 1 0 . 7 5 NETHERLANDS DEC. 1 2 7 . 8 5 E U R O - S W I S S FRANC DEC. 1 9 0 . 2 5

i . 3 -MONTH I N T E R E S T RATES

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

( G - 1 0 COUNTRIES PLUS SWITZERLAND)

CHART 6 . EURO-DOLLAR D E P O S I T R A T E S : LONDON

OVERNIGHT 7 - DAY 1-MONTH 3-MCNTH 6-MONTH 1 - Y E A R

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

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

OVERNIGHT EURO-DOLLAR D E P O S I T S DEC. 3 1 2 1 . 11 U . S . FEDERAL FUNDS DEC. 3 1 1 8 . 4 5 D I F F E R E N T I A L A D J . FOR RESERVE REQUIREMENTS DEC. 3 1 2 . 6 6

3-MONTH EURO-DOLLAR D E P O S I T RATE DEC. 3 1 1 7 . 7 9 U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET DEC. 3 1 1 7 . 2 1 D I F F E R E N T I A L DEC. 3 1 0 . 5 8


S E P 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

EURO-DCLLAR D E P O S I T DEC. 3 1 1 7 . 7 9 INTERBANK S T E R L I N G (LONDON) , COVERED DEC. 3 1 1 8 . 1 2 D I F F E R E N T I A L DEC. 3 1 - 0 . 3 3

U . S . COMMERCIAL PAPER DEC. 3 1 1 6 . 6 0 CANADIAN FINANCE P A P E R , COVERED DEC. 3 1 1 8 . 4 3 D I F F E R E N T I A L DEC. 3 1 - 1 . 8 3

EURO-DOLLAR D E P O S I T DEC. 3 1 1 7 . 7 9 INTERBANK DM (FRANKFURT) , COVERED DEC. 3 1 1 8 . 5 7 D I F F E R E N T I A L DEC. 3 1 - 0 . 7 8

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

CHART 9 . LONG TERM GOVERMENT BOND Y I E L D S

UNITED STATES DEC. 2 6 1 2 . 2 9 GERMANY DEC. 1 2 9 . 0 2 JAPAN (MONTHLY) NOV. 9 . 5 2 SWITZERLAND DEC. 1 9 4 . 7 3 CANADA DEC. 19 1 3 . 1 4 FRANCE NOV. 1 4 1 4 . 2 3 NETHERLANDS DEC. 1 2 1 0 . 3 6 U N I T E D KINGDOM DEC. 1 9 1 1 . 5 9

I. CORPORATE

AAA BONDS NOV. 1 2 . 9 7 EURC-DM BONDS DEC. 6 . 6 3 EURO-DOLLAR BONDS OCT. 1 1 . 2 7

CHART 1 0 . I N D U S T R I A L STOCK I N D I C E S

UNITED STATES J A P A N FRANCE U N I T E D KINGDOM SWITZERLAND GERMANY

DEC. 2 6 1 4 4 . 9 8 DEC. 1 9 3 2 2 . 9 4 DEC. 1 2 1 5 2 . 8 0 DEC. 1 9 1 1 1 . 1 2 DEC. 1 9 7 4 . 7 9 DEC. 1 2 9 3 . 7 7


FEDERAL RESERVE statistical release

H 1 0 ( 5 1 2 ) FOREIGN EXCHANGE RATES

FOR THE WEEK ENDING JANUARY 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 (RATE U . S . CENTS]

COUNTRY MONETARY

UNIT DEC. 2 9 DEC. 3 0 DEC. 31 JAN. 1 J A N . 2

AUSTRALIA DOLLAR 1 1 7 . 5 0 0 0 1 1 8 . 0 0 0 0 1 1 8 . 1 4 0 0 1 1 8 . 0 2 0 0 AUSTRIA SCHILLING 7 . 1 9 9 4 2 7 . 2 3 5 8 9 7 . 1 8 6 4 9 7 . 1 2 2 5 1 BELGIUM FRANC 3 . 1 6 6 5 6 3 . 1 8 1 6 7 3 . 1 5 1 5 9 3 . 1 4 8 6 1 CANADA DOLLAR 8 4 . 1 6 8 0 8 4 . 1 2 5 5 8 3 . 7 1 7 0 H 8 3 . 6 9 6 0 DENMARK KRONE 1 6 . 6 5 2 8 1 6 . 7 0 7 0 1 6 . 6 3 8 9 1 6 . 4 9 0 8 FINLAND MARKKA 2 6 . 0 2 1 3 2 6 . 0 1 4 6 2 6 . 0 0 7 8 2 5 . 9 4 0 3 FRANCE FRANC 2 2 . 0 2 8 9 2 2 . 1 0 9 2 . 2 1 . 9 9 0 1 O 2 1 . 9 0 5 8 GERMANY D. MARK 5 1 . 1 5 0 9 5 1 . 2 2 9 5 5 0 . 6 7 1 4 5 0 . 6 3 2 9 I N D I A RUPEE 1 2 . 5 9 0 0 1 2 . 5 9 0 0 1 2 . 5 9 0 0 1 2 . 6 7 0 0 IRELAND POUND 1 8 9 . 5 0 0 0 1 9 0 . 5 0 0 0 1 8 9 . 3 0 0 0 L 1 8 7 . 8 5 0 0 ITALY LIRA 0 . 1 0 7 8 7 0 . 1 0 7 9 3 0 . 1 0 7 5 3 0 . 1 0 6 8 4 JAPAN YEN 0 . 4 8 3 9 1 0 . 4 9 2 3 7 0 . 4 9 2 3 7 0 . 4 9 3 8 3 MALAYSIA DOLLAR 4 7 . 2 8 1 3 4 5 . 0 4 5 0 4 5 . 0 4 5 0 I 4 5 . 1 0 6 0 MEXICO PESO 4 . 3 0 1 1 4 . 3 0 2 9 4 . 3 0 2 9 4 . 2 3 4 5 NETHERLANDS GUILDER 4 6 . 8 8 2 3 4 7 . 1 0 3 2 4 6 . 5 1 1 6 4 6 . 5 6 5 8 NEW ZEALAND DOLLAR 9 5 . 7 5 0 0 9 6 . 1 0 0 0 9 6 . 1 8 0 0 D 9 6 . 1 5 0 0 NORWAY KRONE 1 9 . 3 1 4 3 1 9 . 3 6 8 6 1 9 . 2 9 5 7 1 9 . 2 4 9 3 PORTUGAL ESCUDO 1 . 8 8 1 5 1 . 8 8 6 8 1 . 8 7 9 7 1 . 8 7 4 4 SOUTH AFRICA RAND 1 3 3 . 6 0 0 0 1 3 3 . 9 0 0 0 1 3 4 . 1 0 0 0 A 1 3 4 . 1 0 0 0 SPAIN PESETA 1 . 2 5 7 9 1 . 2 6 1 8 1 . 2 6 1 8 1 . 2 5 1 6 S R I LANKA RUPEE 5 . 6 4 0 2 5 . 6 4 02 5 . 9 7 0 1 5 . 9 7 0 1 SWEDEN KRONA 2 2 . 8 7 8 1 2 2 . 8 0 5 0 2 2 . 8 1 8 0 Y 2 2 . 7 2 7 3 SWITZERLAND FRANC 5 6 . 3 3 8 0 5 6 . 5 9 3 1 5 5 . 9 4 4 1 5 5 . 8 6 5 9 UNITED KINGDOM POUND 2 3 6 . 6 0 0 0 2 3 9 . 0 0 0 0 2 3 8 . 9 0 0 0 2 3 8 . 2 0 0 0

JANUARY 7 , 1 9 8 1


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h13_19810105.pdf