h13_19810511.pdf

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_ _ 2 l i Z L .

MAY 21 198)

FEDERAL REUE,WE BANK OF BOSTON

Selected Inte Exchange Rates Weekly Series of Charts

May 11,1981

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.


CHART 1

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

AVERAGES FOR WEEK ENDING WEDNESDAY RATIO SCALE MARCH 1973=100

120

100

80

RATIO SCALE MARCH 1973=100

Y 1 " -A ,-J

yvV

FOREIGN CURRENCY PRICE OF U.S. DOLLAR

100

80

60

40

CANADIAN DOLLAR

11

GERMAN MARK

JAPANESE YEN

DUTCH GUILDER

120 U.K. POUND 100 T s

" d ' X r 80

I I I I I I l n lull" 60

FRENCH FRANC 120

K 100 " I I I I I I , 11111,, I ,T

80

SWISS FRANC

160 BELGIAN FRANC

A 140

\ - 120

" i l l I I I -100

100

- ITALIAN LIRA 80

. I I ' 60 60

-

I I I I I I I ill I lull I ill 11 hili i 40 1979 1981 1979 1981


6

+ 0

6

6

+ 0

6

12

12

6

+ 0

12

6

+ 0

6

2 4

0

2 4

12

6

> 0

6 18

12

6

0

12

6

+ 0

6

CHART 2

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

AVERAGES FOR WEEK ENDING WEDNESDAY :en t p e r annum PERCENT PER Ah

CANADIAN DOLLAR

U. K. POUND

GERMAN MARK

y FRENCH FRANC

- ITALIAN LIRA -

I I I I I I V V

DUTCH GUILDER

- 4/ SWISS FRANC I

A -

I I I I I I

-

JAPANESE YEN

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


U.S. D<

800

750

700

650

600

550

500

450

400

350

300

250

200

150

100

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

-LARS 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

1978 1979 1980 1981


28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

16

12

8

4

0

28

24

20

16

12

8

4

24

20

16

12

8

4

+ 0

16

12

8

4

0

CHART 4

CALL MONEY RATES WEEKLY SERIES

PERCENT PER

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

CANADA

NETHERLANDS

EURO-SWISS FRANC

GERMANY

EURO-DM

1981 1979

FRANCE

JAPAN

1981 1979


20

16

12

8

4

22

18

1 4

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

PER ANNUM PERCENT PER

U.K. INTERBANK STERLING

U. S. CD' S

WEIGHTED AVERAGE FOREIGN RATE

GERMAN INTERBANK RATE CANADIAN FINANCE CO. PAPER

JAPANESE BANK LOANS AND DISCOUNTS

1 9 8 1 1 9 7 9

SWISS INTERBANK RATE

1 9 7 9 1 9 8 1


24

20

16

12

8

4 24

20

16

12

8

4 24

20

16

12

8

4

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 M

OVERNIGHT 3-MONTH

7-DAY 6-MONTH

1-MONTH 1-YEAR

1979 1981 1979 1981


PERCENT PER ANNUM

' , / CHART 7

EURO-DOLLAR AND U. S. MONEY MARKET RATES l/:V - v i DIFFERENTIAL: PLUS(+), FAVORS BORROWING IN U. S. '/,> > < ' AVERAGES FOR WEEK ENDING WEDNESDAY

26

22 - -

18 - FEDERAL FUNDS \ If \ -

A (ft V J 14

- I

II\ A

\ -

10 - tyll ju J -- OVERNIGHT T E U R O - D O L L A R DEPOSITS -

6 | | I I I 1 1 1 1 1 1 I l I I I I I l I I I

PERCENT PER ANNUM

26

22

3-MONTH E U R O - D O L L A R DEPOSITS

DAY CD

DIFFERENTIAL DIFFERENTIAL

- 1 8

14

- 1 0

- 2

- 2

- 3

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

1981 1979 1981


CHART 8

INTEREST ARBITRAGE: 3-MONTH FUNDS DIFFERENTIAL: PLUSW, INDICATES FAVOR DOLLAR ASSETS

AVERAGES FOR WEEK ENDING WEDNESDAY PERCENT PER ANNUM

28

20

12

EURO-DOLLAR DEPOSITS

INTERBANK STERLING COVERED LONDON

DIFFERENTIAL

INTERBANK DM COVERED FRANKFURT


PERCENT PER ANNUM

28

CANADIAN FINANCE CO. PAPER, COVERED

U. S. COMMERCIAL PAPER

DIFFERENTIAL -

Y~ W V ^

I I I

y x iV :

SWISS INTERBANK (SF) COVERED


DIFFERENTIAL

| A ^ A / V V I ^

I I I ! 1 I I I I I I I I I I I Y V . I -

DIFFERENTIAL

1 9 7 9 1 9 8 1 1 9 7 9 1981

1 PERCENT ON DIFFERENTIAL SCALE = 2 PERCENT ON RATE SCALE


1 5

1 3

11

9

7

12

10

8

6

4

16

1 4

12

10

8

6 1 4

12

10

8

6

1 5

1 3

11

9

7

9

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

ENT PER ANNUM PERCENT PER Ah

UNITED STATES

l l l l 111

GERMANY

FRANCE

NETHERLANDS

U. S. CORPORATE MONTHLY

Aaa BONDS 1 ^

E U R O - D O L L A R BONDS

-

CAN ADA

r -

~ l I i !I I III I I I I I

SWITZERLAND

I i ! -

I i i I i I I I I I i i i i i I !

UNITED KINGDOM

MONTHLY

JAPAN

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


CHART 10

INDUSTRIAL STOCK INDICES WEEKLY SERIES

RATIO SCALE 1969=100

UNITED STATES

FRANCE G E N E R A L INDEX

JAPAN

GERMANY

RATIO SQALE 1969=100

180

160

- 140

120

- 1 0 0

80

1979 1981

I 100 90

SWITZERLAND

A f V \ A A v 80 f V V 70 - - 60

I I I 11,11111,111 50 160

- UNITED KINGDOM 140

- pIV /w ~ 120

- - 100

I I I I L I ii I ill nil i i, 111111111 80 1979 1981

80


SERIES NAME LAST VALUE PLOTTED

DATE VALUE

CHART 1. SPOT EXCHANGE RATES AND INDICES

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

GERMAN MARK MAY 6 44. ,72 JAPANESE YEN MAY 6 0. ,46155 DUTCH GUILDER MAY 6 40. ,25 U.K. POUND MAY 6 212. ,62 CANADIAN DOLLAR MAY 6 83. ,40 FRENCH FRANC MAY 6 18. ,81 SWISS FRANC MAY 6 48. ,94 BELGIAN FRANC MAY 6 2. ,74511 ITALIAN LIRA MAY 6 0. ,08992

INDICES, MARCH 1973 BASE RATES = 100

GERMAN MARK MAY 6 125.80 JAPANESE YEN MAY 6 120.85 DUTCH GUILDER MAY 6 115.55 U.K. POUND MAY 6 86.00 CANADIAN DOLLAR MAY 6 83.13 FRENCH FRANC MAY 6 84.75 SWISS FRANC MAY 6 157.44 BELGIAN FRANC MAY 6 108.17 ITALIAN LIRA MAY 6 51.08

WEIGHTED AVERAGE EXCHANGE VALUE INDICES, MAR 1973 = 100 (G-10 COUNTRIES PLUS SWITZERLAND)

U.S. DOLLAR GERMAN MARK JAPANESE YEN DUTCH GUILDER U.K. POUND CANADIAN DOLLAR FRENCH FRANC SWISS FRANC BELGIAN FRANC ITALIAN LIRA SWEDISH KRONA

CHART 2. 3-MONTH FORWARD EXCHANGE RATES, PREMIUM OR DISCOUNT CANADIAN DOLLAR MAY 6 -0.37 U.K. POUND MAY 6 6.02 GERMAN MARK MAY 6 5.52 FRENCH FRANC MAY 6 1.77 SWISS FRANC MAY 6 9.09 DUTCH GUILDER MAY 6 3.82 JAPANESE YEN MAY 6 10.93 ITALIAN LIRA MAY 6 -1.24

MAY 6 101. 41 MAY 6 133. 34 MAY 6 125. 15 MAY 6 118. 09 MAY 6 85. 69 MAY 6 82. 92 MAY 6 84. 18 MAY 6 161. 33 MAY 6 109. 88 MAY 6 49. 10 MAY 6 92. 94



DATE VALUE

CHART 3. GOLD PRICE IN LONDON, AFTERNOON FIXING U.S. DOLLARS PER FINE OUNCE SAY 6 482.12

CHART 4. CALL MONEY RATES U.S. FEDERAL FUNDS MAY 6 18. ,91 OVERNIGHT EURO-DOLLAR DEPOSITS MAY 6 19. .25 U.K. 2-DAY LOCAL AUTHORITY DEPOSITS MAY 1 12. ,00 CANADA MAY 1 17. ,00 GERMANY MAY 1 11. ,00 EURO-DM APRIL 10 11. ,45 JAPAN MAY 1 7. ,06 FRANCE MAY 1 12. ,25 NETHERLANDS APRIL 3 9. .05 EURO-SWISS FRANC APRIL 10 6. 73

CHART 5. 3-MONTH INTEREST RATES

U.S. 90-DAY CD'S, SECONDARY MARKET MAY 6 17. 44 GERMAN INTERBANK LOAN MAY 6 12. 96 JAPANESE BANK LOANS S DISCOUNTS MAY 6 7. 25 CANADIAN FINANCE PAPER MAY 6 18. 15 INTERBANK STERLING MAY 6 12. 50 SWISS INTERBANK LOAN MAY 6 9. 56 WEIGHTED AVERAGE FOREIGN INTEREST RATE MAY 6 12. 71

(G-10 COUNTRIES PLUS SWITZERLAND)

CHART 6. EURO-DOLLAB DEPOSIT RATES:

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

LONDON

MAY 6 19. 25 MAY 6 18. 42 MAY 6 18. 48 MAY 6 18. 39 MAY 6 18. 24 MAY 6 17. 46

CHART 7. SELECTED EURO-DOLLAR AND U.S. MONEY MARKET RATES OVERNIGHT EURO-DOLLAR DEPOSITS MAY 6 19. 25 U.S. FEDERAL FUNDS MAY 6 18. 91 DIFFERENTIAL ADJ. FOR RESERVE REQUIREMENTS MAY 6 0. 34 3-MONTH EURO-DOLLAR DEPOSIT RATE MAY 6 18. 39 U.S. 90-DAY CD'S, SECONDARY MARKET MAY 6 17. 44 DIFFERENTIAL MAY 6 0. 95



DATE VALUE

CHART 8. INTEREST ARBITRAGE, 3-MONTH FUNDS

EURO-DOLLAR DEPOSIT MAY 6 18.39 INTERBANK STERLING (LONDON), COVERED MAY 6 18.70 DIFFERENTIAL MAY 6 -0.32

U.S. COMMERCIAL PAPER MAY 6 16.84 CANADIAN FINANCE PAPER, COVERED MAY 6 17.77 DIFFERENTIAL MAY 6 -0.67 EURO-DOLLAR DEPOSIT MAY 6 18.39 INTERBANK DM (FRANKFURT), COVERED MAY 6 18.66 DIFFERENTIAL MAY 6 -0.27 EURO-DOLLAR DEPOSIT MAY 6 18.39 SWISS INTERBANK, COVERED MAY 6 18.87 DIFFERENTIAL MAY 6 -0.48

CHART 9. LONG TERM GOVERMENT BOND YIELDS UNITED STATES MAY 1 14.01 GERMANY APRIL 24 ' 10.23 JAPAN (MONTHLY) APRIL 7.90 SWITZERLAND APRIL 17 5. 44 CANADA MAY 1 15.07 FRANCE MARCH 13 15. 09 NETHERLANDS APRIL 3 10.66 UNITED KINGDOM APRIL 17 11.44

U.S. CORPORATE AAA BONDS EURO-DM BONDS EURO-DOLLAR BONDS

MARCH 13.33 DEC. 6.63 FEB. 12.17

CHART 10. INDUSTRIAL STOCK INDICES UNITED STATES APRIL 17 142.37 JAPAN APRIL 10 360.36 FRANCE APRIL 3 148.80 UNITED KINGDOM APRIL 10 128.49 SWITZERLAND APRIL 10 75.59 GERMANY APRIL 24 99.51


FEDERAL RESERVE statistical release :$(

H. 10 (512) FOREIGN EXCHANGE RATES MAY 12, 1981

FOE THE WEEK ENDING MAY 8, 1981

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 MAY 4 MAY 5 MAY 6 MAY 7 MAY 8

AUSTRALIA DOLLAR 114.5100 114.2000 114.2800 114.1000 1 14.3500 AUSTRIA SCHILLING 6.31313 6.23247 6.29525 6.21504 6.28931 BELGIUM FRANC 2.73523 2.70563 2.71444 2.69760 2.72480 CANADA DOLLAR 83.2778 83.1532 83.4029 83.3820 83.3577 DENMARK KRONE 14.1343 14.0056 1^.0805 \ 13.9626 14.0696 FINLAND MARKKA 23.5849 23.4028 23.4962 * 23.3973 23.3618 FRANCE FRANC 18.6672 18.5322 18.7073 18.6081 18.7266 GERMANY D. MARK 44.5514 44.1306 44.2870 43.9657 44.3459 INDIA RUPEE 11.9400 11.9400 12.0048 11.9904 12.0048 IRELAND POUND 163.0000 161.2000 162.0000 160.7500 162.4000 ITALY LIRA 0.08969 0.08857 0,08885 0.08838 0.08889 JAPAN YEN 0.46062 0.45914 0.46104 0.45893 0.45956 MALAYSIA DOLLAR 42.9000 42.7168 42.9461 42.7991 43.0849 MEXICO PESO 4.1580 4.1597 4.1658 4.1615 4.1580 NETHERLANDS GUILDER 40.0480 39.6825 40.0160 39.6040 39.9122 NEW ZEALAND DOLLAR 89.0000 88.7800 88.8500 88.6500 88.8800 NORWAY KRONE 17.8380 17.7778 17.9436 17.8094 17.7999 PORTUGAL ESCUDO 1.6835 1.6584 1.6667 1.6584 1.6667 SOUTH AFRICA RAND 121.2200 120.5300 120.8800 120.4200 120.3000 SPAIN PESETA 1.1101 1.0971 1.1101 1.1046 1.1111 SBI LANKA RUPEE 5.4437 5.4437 5.4437 5.4437 5.4437 SWEDEN KRONA 20.6911 20.5761 20.6718 20.5550 20.6271 SWITZERLAND FRANC 48.7567 48.3676 48.5319 48.1812 48.6855 UNITED KINGDOM POUND 211.8000 211.3500 211.6800 210.3500 211.5500 Digitized for FRASER

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