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Selected Interest & Exchange Rates Weekly Series of Charts

P a h r n n u 0 1QR1 DIVISION OF February 2 , 1 9 8 1 INTERNATIONAL FINANCE

Prepared by the BOARD OF .GOVERNORS FINANCIAL MARKETS FEDERAL RESERVE SYSTEM SECTION 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

140

120

100

CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY

- -

-

FOREIGN CURRENCY

/ -

PRICE OF U.S. DOLLAR

I I I ~

-

V JAPANESE YEN / -

I I I I I I

RATIO SCALE MARCH 1973=100

CANADIAN DOLLAR

FRENCH FRANC

GERMAN MARK

- 120

- 100

: A

SWISS FRANC

\

i i i

200

160

BELGIAN FRANC

DUTCH GUILDER

ITALIAN LIRA

U.K. POUND

1979 1981 1979 1981


CHART 2

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


PERCENT PER ANNUM

12

__ CANADIAN DOLLAR -

I I I

U. K. POUND I / : I I I

vVv

1 1 1

V

- ITALIAN LIRA -

1 1 1 I I I

y 11111111111 i i i i i i i i i i i

PERCENT PER ANNUM

24

GERMAN MARK

DUTCH GUILDER

- Aj SWISS FRANC 1

t -

I I I I I 1

24

12

- 6

6

18

12

?

12

:

FRENCH FRANC A

I -

1 1 1 1 1 1

-

1979 1981

JAPANESE YEN 12

- 6

1979 1981


U.S. D

800

750

700

650

600

5 5 0

5 0 0

450

400

350

300

250

200

150

HJNCE

800

750

700

650

600

550

500

Aid

400

350

300

250

200

150

100

CHART 3

PRICE OF GOLD IN LONDON AVERAGES FOR WEEK ENDING WEDNESDAY

i PER FINE OUNCE ' U.S. DOLLARS PER FINE

12.5 Kg BARS AFTERNOON FIXING PRICE

1980 1979


P(ERCt

#

24

vcT"

20

16

w

0%

4

Occ. 24

W

12

8

4

0

16 Ocx

12

8

r

28

24

20

16

12

8

4

24

20

16

12

8

4

. +

0

m .

12

#

4

0

CHART 4

CALL MONEY RATES WEEKLY SERES

NT. PER ANNUM PERCENT PER Al

U. S. FEDERAL FUNDS

I I I I I I 11* r l i 1111 l i i l 11 h 11 i l l 11

U. K. 2-DAY LOCAL AUTHORITY

I I I I I I I I l l l l I I I I I 111 I 11 I I I I I

EURO-SWISS FRANC CANADA

NETHERLANDS

1 I I I I I I I I I I I I I I I I I I I I I I M 11 1 I I I I 11 I

FRANCE

JAPAN

I i l l 11 I l l l l I I I I I I I I 11

GERMANY -

: I I r

yfEURO-DM

I I 111 I I i l l I i i l u l l i l n 197 1979 W


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

J

CHART 5

3-MONTH INTEREST RATES WEEKLY SERIES

:NT PER ANNUM PERCENT PER AN

U.S. CD'S

WEIGHTED AVERAGE FOREIGN RATE

U.K. INTERBANK STERLING

CANADIAN FINANCE CO. PAPER

LOANS AND DISCOUNTS JAPANESE BANK

GERMAN INTERBANK RATE

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

SWISS INTERBANK RATE

-

V"IVJ../VI 1 1 1 1 1 1 1 1 1 1 1 I ! 1 1 1 1 1 1 1 1 1 1979 1981 1979 1981


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 AL

OVERNIGHT 3-MONTH

7-DAY

1-MONTH

I I I I I I I I I

6-MONTH

-

I I I I I I

-

-

1-YEAR

/ -

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 1979 1981


PERCENT PER ANNUM

26

CHART 7

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


PERCENT PER ANNUM

26

- 2 2

FEDERAL FUNDS

3-MONTH EURO-DOLLAR DEPOSITS

OVERNIGHT EURO-DOLLAR DEPOSITS

DIFFERENTIAL DIFFERENTIAL

I I I 111 I I I I I I I I I I 1 I I I I I 11111

18

- 14

10

6

3

- 2

- 1

+ 0

- 1

- 2

- 3

1979

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON MATE SCALE

1981 1979 1981


CHART 8

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


PERCENT PER ANNUM

28

EURO-DOLLAR DEPOSITS

INTERBANK STERLING COVERED LONDON

PERCENT PE* ANNUM

29

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

M i l

- J V \

DIFFERENTIAL

-

~ l I I ' -

DIFFERENTIAL

1

I I M i l l

V

l l l l l l l l l l l l l 1979 1981

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE

DIFFERENTIAL

J I I 11111; 111111111111

- DIFFER ENTIAL ~

~ 1 I I

V :

INTERBANK DM COVERED FRANKFURT

EURO-DOLLAR DEPOSITS EURO-DOLLAR DEPOSITS

1979 1981


15

13

11

9

7

10

8

a

4

16

14

12

10

8

6

14

12

10

8

6

15

13

11

9

7

7

5

3

1

17

15

13

11

9

7

13

11

9

7

5

CHART 9

LONG-TERM GOVERNMENT BOND YIELDS WEEKLY SERIES

ENT PER ANNUM PERCENT PER M

CANADA

UNITED STATES

GERMANY

FRANCE

NETHERLANDS

111 n i l I 11

U . S . CORPORATE MONTHLY

Aaa BONDS

EURO-DOLLAR BONDS

- SWITZERLAND

I I I H I M I I I I M

UNITED KINGDOM

MONTHLY

JAPAN

I I I I I I I 1979 1981 1979 1981


CHART 10

RATIO SCALE 1969=100

INDUSTRIAL STOCK INDICES WEEKLY SERIES

-UNITED STATES j N *

1 -

f y wV -

RATIO SCALE 1969=100

-

A

GERMANY -

1 1 1 Vv Az^v ,

JAPAN

FRANCE GENERAL INDEX

SWITZERLAND

- -

A

UNITED KINGDOM -

vA fvT If

1 ! 1 1 1 1 1979 1981 1979 1981


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, NCON BUYING RATES ( U . S . CENTS)

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

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

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

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

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

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

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



DATE VALUE

CHART 3 . GCLD P R I C E I N LONDON, AFTERNCON q F1CJNG

U . S . DOLLARS PER F I N E OUNCE J A N . 2 8 5 3 8 . 6 0

CHART 4 . CALL MONEY RATES

U . S . F E D E R A L FUNDS O V E R N I G H T EURO-DOLLAR D E P O S I T S U . K . 2 - D A Y LOCAL AUTHORITY D E P O S I T S CANADA GERMANY EURC-DM J A P A N FRANCE NETHERLANDS E U R C - S W I S S FRANC

J A N . 2 8 J A N . 2 8 J A N . 2 3 J A N . 16 J A N . 2 3 J A N . 1 6 J A N . 2 3 J A N . 2 3 J A N . 9 J A N . 1 6

18.12 1 9 . 0 1 1 4 . 1 3 1 7 . 0 0

9 . 0 0 8 . 6 9 9 . 0 6

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

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

U . S . 9 0 - D A Y C D ' S , SECONDARY MARKET GERMAN I N T E R B A N K LOAN J A P A N E S E BANK LOANS & D I S C O U N T S CANADIAN F I N A N C E PAPER I N T E R B A N K S T E R L I N G S W I S S I N T E R B A N K LCAN WEIGHTED AVERAGE FOREIGN I N T E R E S T RATE

( G - 1 0 C O U N T R I E S P L U S SWITZERLAND)

J A N . 2 8 J A N . 2 8 J A N . 2 8 J A N . 2 8 J A N . 2 8 J A N . 2 8 J A N . 2 8

1 7 . 4 7 9 . 4 0 8.88

1 7 . 0 8 1 4 . 1 1

5 . 9 0 1 1 . 3 4

CHART 6 . E U R O - D O L L A R D E P O S I T R A T E S : LONDON

O V E R N I G H T 7 - D A Y 1 - M C N T H 3 - M C N T H 6 - M C N T H 1 - Y E A R

J A N . 2 8 J A N . 2 8 J A N . 2 8 J A N . 2 8 J A N . 2 8 J A N . 2 8

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

CHART 7 . S E L E C T E D EURO-DOLLAR AND U . S . MONEY MARKET R A T E S

OVERNIGHT EURO-DOLLAR D E P O S I T S U . S . FEDERAL FUNDS D I F F E R E N T I A L A D J . FOR RESERVE REQUIREMENTS

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

J A N . J A N . J A N .

28 28 28

J A N . 2 8 J A N . 2 8 J A N . 2 8

1 9 . 0 1 18.12

0 . 8 9

1 8 . 5 6 1 7 . 4 7

1 . 0 9



DATE VALUE

CHART 8 . I N T E R E S T A R B I T R A G E , 3 - M O N I H FUNDS

EURC-DCLLAR D E P O S I T J A N . 2 8 1 8 . 5 6 INTERBANK S T E R L I N G ( L O N D O N ) , COVERED J A N . 2 8 1 8 . 7 1 D I F F E R E N T I A L J A N . 2 8 - 0 . 1 5

U . S . COMMERCIAL PAPER JAN. 2 8 1 6 . 8 4 CANADIAN F I N A N C E P A P E R , COVEEED J A N . 2 8 1 8 . 3 7 D I F F E R E N T I A L J A N . 2 8 - 1 . 5 3

EURC-DOLLAR D E P O S I T J A N . 2 8 1 8 , , 5 6 INTERBANK CM ( F R A N K F U R T ) , COVERED J A N . 2 8 1 8 . . 8 1 D I F F E R E N T I A L J A N . 2 8 - 0 , . 2 5

EURO-DOLLAR D E P O S I T J A N . 2 8 1 8 . . 5 6 S W I S S I N T E R B A N K , COVERED J A N . 2 8 1 8 , . 5 2 D I F F E R E N T I A L J A N . 2 8 0 . . 0 5

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

UNITED S T A T E S J A N . 2 3 1 2 . . 7 2 GERMANY J A N . 1 6 8 , , 9 9 J A P A N (MONTHLY) NOV. 9 . . 5 2 SWITZERLAND J A N . 9 4 . . 5 8 CANADA J A N . 1 6 1 2 . . 7 3 FRANCE NOV. 2 8 1 4 . . 2 4 NETHERLANDS J A N . 9 9 . . 9 8 UNITED KINGDOM J A N . 1 6 1 1 . . 5 5

U . S . CORPORATE

AAA BONDS EURO-DM BONDS E U R O D O L L A R BONDS

DEC. 1 3 . 2 1 DEC. 6 . 6 3 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

U N H I D STATES JAPAN FRANCE UNITED KINGDOM SWITZERLAND GERMANY

J A N . 2 3 1 3 8 . 10 J A N . 2 3 3 3 6 . 7 7 J A N . 9 1 4 3 . 5 0 J A N . 2 3 1 0 9 . 9 8 J A N . 2 3 7 4 . 3 4 J A N . 1 6 9 4 . 6 8


FEDERAL RESERVE statistical release

H. 10 ( 5 1 2 ) FOREIGN EXCHANGE RATES

JANUARY 3 0 1 9 8 1

FOR THE WEEK ENDING JANUARY 3 0 , 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 J A N . 2 6 J A N . 2 7 J A N . 2 8 J A N . 2 9 J A N . 30

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


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