SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US.

Transcription

1 . <7 Mochl, 1972 No. 547 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS MMO OF 6QVEM0M OF THE noeul REIBM SmeH

2 TABLE OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES Chart 1A and B - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2A and B - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3A and B - 3-Month Forward Exchange Rates, Major Currencies against U.K. Pound Chart 4 - Gold Price in London PART II. SHORT-TERM INTEREST RATES Chart 5 - Call Money Rates Chart 6A and B - London: Euro-) Deposit Rates Chart 7A and B - New York - London: Yields on U.S. Dollar Funds Chart 8A and B - London: Covered Yields on U.S. Dollar Funds Chart 9A and B - Interest Arbitrage: United States-United Kingdom Chart 10A and B - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Chart II - Interest Arbitrage: United States-Canada Chart 12A and B- Selected Short-term Interest Rates PART III. LONG-TERM INTEREST RATES AND STOCK INDICES Chart 13 Chart 14 - Long-Term Bond Yields - Industrial Stock Indices PART IV. SELECTED CENTRAL BANK DISCOUNT RATES AND LATEST FIGURES PLOTTED ON THE CHARTS NOTE: This series is a continuation of the CAPITAL MARKETS DEVELOPMENTS ABROAD, which was published under that title through December 31, The changes in the format and order of the charts are explained in the Supplement to the series, which accompanied issue dated January 1,1969. All series and their sources are fully described in a Supplement dated January 1, 1972.

3 z SPOT EXCHANGE RATES Weekly averages MAJOR CURRENCIES AGAINST U.S. DOLLAR Abo e GERMAN MARK U.K. POUND SWISS FRANC _i_j W /- DUTCH GUILDER f, j / JAPANESE YEN AJ! IJ FRENCH FRANC / i i 1 i i 1 i i 1 i J i i 1 i i 1 i i i i i Be / 1972 J 1973

4 SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages 2 BELGIAN FRANC rate US ITALIAN URA 2 j i I i i I i i I i i I i i i i i I i i i i J s Ratio scale, U.S. cents 102 CANADIAN DOLLAR w 100 / V A J V r i 1 I I i i 1 i i i i 1 i i 1 i i 1 i i J s M J S

5 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR May Dec. 17, 1971 Weekly averages Per cent Above par GERMANY NETHERLANDS JAPAN FRANCE Par U.S. MAY JUNE JULY AUG SEPT. OCT NOV. DEC * Financial franc

6 Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Dec 17, 1971 Weekly BELGIUM U.K. swnx ITALY Par US. MAY JUNE JULY AUG SEPT OCT NOV. DEC For clarity the vertical scale is double thrt used in 1C 1971

7 Chart j.t 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages PREMIUM* CANADIAN DOLLAR U.K. POUND GERMAN MARK DISCOUNT- DISCOUNT- PREMIUM DUTCH GUILDER DISCOUNT M S S D M J S D M J S D * Canadian Dollar Rate not supported by Bank of Canada. ** No quotation.

8 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages - l I ^ 12 SWISS FRANC FRENCH FRANC I I I I 1 1 I» i,, 1 I, I 1 i I 1 6 JAPANESE YEN I I I l I I I I I I I * Devaluation of the French franc from 4.94 to 5.55 for $1.00. ** No quotation

9 o f Ch.*» 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM* GERMAN MARK U S. DOLLAR DISCOUNT M J S D M J s D M J S D M J S D * No quotation

10 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures y>\ SWISS FRANC FRENCH FRANC DtSCqoWT- M J S D M J S D M J S 0 m j s 0 im im itzo 1971 * Devaluation of the French franc from 4*4 to 5.55 for $

11 Chart A GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce / > 1 AJ V 4 r r A - Anr , i i 1 i i i i i i i i 11 i i i i i i

12 CALL MONEY RATES DOLLAR FUNDS Weekly averages EURO-DOLLAR DEPOSITS CALL OVERNIGHT Per cer* per ar'-urr 16 EURO-DOLLAR OVER FEDERAL FUNDS i I I i i I I i EURO-CURRENCIES Weekly averages 11 i ' I i i I Jk 1 I I I I I I I I 1 i I 12 EURO-SWISS FRANC i i 1 i i 1 i i I i i 1 i i I [ i 1 i i I i M J S D M J S D M J S D M J S D * May Changed to Overnight Euro $ Deposits

13 :ALL MONEY RATES IELECTED FOREIGN AND EEC CURRENCIES riday figures Per cent per an 12 FRANCE 8 4 NETHERLANDS 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 i i I i i i I i i i i i i i i i I i i 1 i i I i i 1 i i I i i I Day-to-day Money; Netherlands. Call Money, weekly average. Japan, Unconditional Money; a, Day-to-day Loans, weekly average; Germany, Call Money; U.K., 2 day Local Authority Deposits

14 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 1-MONTH 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 I I I I I I I I I I I I I I I I I I I I 2 *May 12/71-changed to Overnight Euro-Dollar Deposits **July 1 -changed to 7-Day Euro-Dollar

15 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures \ J V\ 6-MONTK i i VK/fa-MONTH 1 1 t II II M J S D M J S D M J S D M J S D

16 i NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures 3>7 r\ A rj ' J rx j i EURO DOLLAR DEPOSIT 0 -\v\ - 1. '! -i \ ^. U S. c ERTIFICATE OF DEPOSIT X II II I I ! DIFFERENTIAL A a m A!\ J r 1 v wvx/l A / V V El IRO DOLLAR OVER U.S. CI ERTIFICATE OF DEPOSIT FAVOR EURO DOLLAR - i i 1 i i 1 i i 1 i i i i 1 i i 1 i i 1 i i l I 1 II 1 l I 1 l I i i 1 i i 1 ii! i I M J S D M J S D M J S D M J S D

17 Chart 7B NEW YORK-LONDON: COST OF U.S. DOLLAR FUNDS 3-month dollar deposit rates-primary market Wednesday figures EURO DOLLAR DEPOSIT ADJUSTED EURO DOLLAR DEPOSIT MS. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER V U S. CERTIFICATE OF DEPOSIT ADJUSTED 1 M J S D M S D S D M S D * Adjusted for Reserve Requirement ** Adjusted for 10% Marginal Reserve Requirement ***Adjusted for 20% Marginal Reserve Requirement

18 y>\ Chart 8A - LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS hire purchase and euro dollar rates Friday figures EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE 3 differential FAVOR EURO DOLLAR M J S D M J S D M J S D M J S D

19 Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures 12 YV i EUI RO DOLLAR DEPOSIT ~tf n r V / x r w A vr r LOCAL AUTHORITY DEPOSIT COVERED V ; M i M ii 1111 M i ii II II - Ay J V If A A V FAVOR LOCAL AUTHORITY - / FAVOR EURO DOLLAR - differi ential i i i m i m m i i i i i i i m i i 1 i i 1 i i 1 i i M J S D M J S D M J S D M J S D

20 3<l INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures 3-MONTH TREASURY B 1 LL RATES rfa, ik N J \ UX. LOCAL AU THORITY DEPOSITS* \ UNCOVERED Z.J v**- \ X i A / I I 1 I I 1 II 1 I I M J S D M J S D M J S D M J S O im S71 IS 72 Plotted for comparison purposes

21 , / Char» 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures 1 rate differential and 3-month forward sterling PREMIUM, FAVOR OF tonoony^ / I 1 I i FORWARD RATI e \a/ i DISCOUNT ii i i! ii! i i 1 i i i i 1 ii 1 i i 1 i i / ' differential ( KJ\ A * f[ J v v ^ y v A \ Vi^V ^ j v x / r f m il I FAVOR LONDON l 1 I l 1 l l ii i 1 l 1 1! i 1 1 ii 1 i i 1 ii 1 i i FAVOR NEW YORK

22 3 e> Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURODOLLAR RATE Wednesday rates 1 14 LOAN RATE tv differential FAVOR FRANKFURT FAVOR CURO-OOLLAR l-i i 1 i i i i I i i I i J- I i ill i I i i I i i I nj 2 J S D M J S O M J S O S71 IS72 No quotation

23 Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC zurich deposit rate vs. london euro-dollar rate Wednesday rates in terms of swiss francs EURODOLLAR COVERED differential SWISS DEPOSIT RATE i i I i i I i i I i i 1 i i I i i I i i I i FAVOR ZURICH FAVOR EURO-DOLLAR I i i I i i I i i 1 i i I» i I ' ' I i i I i i I i i 1 i i I I I I I I 1 I I I I» M I No quotation

24 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Percent - bill rates CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS bill rate differential and forward canadian dollar aa/"\ I A FORWARD RATE T PREMIUM GROSS SPREAD IN FAVOR OF CANADA DISCOUNT covered rate differentials FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S. S D M J s D M J S >0 M J S D

25 3/7 Chart 12A SELECTED SHORT-TERM INTEREST RATES* 10 I I I I I I I I I I I I I I I I I I I I I I I I III II I I I I fyl I II 1 I I - {M v \\ l'tj Vi camaoa\ j# pan w j. i \ - - V a! % i i 1 1 i 1 i i 1 1 i ii i i l i i l i i l i i i! ii 1*6# 1S70 lf71 # 3-month treasury bill rales far am countries eacept Uoai>(«woraf rate on bank leans and discounts) and Garmany(fi*erbaafc Lean Rale)

26 Chart 12B SELECTED SHORT-TERM INTEREST RATES* 12 EURO DOLLAR - LONDON 10 6 US. 6 SWITZERLAND * 3-month treasury bill rate for U.S., Switzerland-3 month deposit rate. * 3-month rate for U S dollar deposits in London.

27 J/4 Chart 13 LONG-TERM BOND YIELDS Weekly figures NETHERLANDS us CANADA vvt SWITZERLAND US II U.K. GERMANY EURO DOLLAR BONDS Monthly figures U S. CORP. DOLLAR EURO-BONDS 10 U S. CORP. AN BONDS U.S. CORP. DM EURO-BONDS * New series for Switzerland starts , U S Corp. Dollar Euro-Bonds and U S Corp DM Euro-Bonds starts # # New Average yield of all German PA Bonds begins 1 7*9 # # # New series F starts 12 71

28 CHART 14 INDUSTRIAL STOCK INDEXES I 1 1 UNITED STATES 1958=100 Ratio scale I i i 1 imvi i 1 i i I l 1 I I 1 KVA ^ - SWITZERLAND Z - / V (SJ i UNITED KINGDOM J I I I I l I I 1 l I 1 l l 1 I I - / : ~ JAPAN/ 1 J y N. V " ^ v - x GERMANY s X v v \ ' \T r ^ C A N A D A ^ ^ \ ^ z 240 I 1 I ! I i i 1 i i 1 i i 1 i i i i 1 i i 1 i i 1 i i i i 1 i i 1 i i 1 i i *972 Japan index of 225 industrial and other stocks traded on Tokyo exchange. * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange.

29 H. 13 IV. SELECTED CENTRAL BANK DISCOUNT RATES No. 5*7 Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium France Germany Italy Netherlands 4.5 Feb. 5, Jan Jan CVt Feb Dec. 23, Oct s.n kp, S, Jan. 6, lent Switzerland United Kingdom 3.75 Sept. 15, Fulv Sent Anr Canada 4.75 Oct. 25, Feb Japan 4.75 Dec. 29, Julv United States 4.50 Dec. 13, Nov. 11, 1971

30 IV 2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc Feb U.K. pound Lower French franc " Japanese yen " IB Upper Belgian franc Italian lire " Lower Canadian dollar Actual Rate " German mark " Dutch guilder i A German mark Feb Swiss franc i U.K. pound H B Upper Dutch guilder " Canadian dollar " French franc " Lower Japanese yen H A German mark Feb U.S. dollar B Swiss franc ii French franc " Gold price, U.S. dollar per ounce Feb A Upper Overnight Euro ) deposits Feb Federal Funds " 3.34 Middle Differential " 0.58 Lower Euro-currencies: Euro $ Euro DM Feb Euro Swiss Fr. i Upper Japan, Unconditional Money Jan U.K., 2-day Local Author. Deps. Feb Canada, Day-to-day Loans Feb I J Lower France, Day-to-Day Money Feb Germany. Call Money Feb I i Netherlands. Call Money Feb

31 IV - 3 Chart Panel Series Date Rate 6A Euro-* 7 Day Rate Feb Euro-$ 1-month Rate «i B Euro-S 3-month Rate ii 5.00 Euro-$ 6-month Rate ii A Upper Euro-S 3-month Deposits Feb U.S. Certificate of Deposits ii 3.61 Lower Differential ii B Upper Euro-$ 3-month Deposits ii 5.00 Euro-$ 3-month Deposits (Adj.) ii 6.25 U.S. Certificate of Deposits (Adj.) ii 3.81 Lower Differential: on Adj. Euro-$ Deposits " on Unadj. Euro-$ Deposits A Upper Euro-$ 3-month Deposits Feb Hire Purchase Deposits (covered) 4.52 Lower Differential ii B Upper Euro-$ 3-month Deposits Local Authority Deposits (covered) Lower Differential 9A U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 5.06 ii Feb Feb Feb month Forward Pound Lower Net Incentive (+- favor London) " +0.72!

32 IV-4 Chart Panel Series Date Rate 10A Upper Euro-* Deposits (covered) Lower German Interbank Loan rate Differential 10B Upper Euro-$ Deposits (covered) Lower Swiss Deposit rate Differential 11 Upper Canadian Finance Paper Second U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Bill rate differential Feb p Feb Forward Canadian dollar ii i Third Net incentive on bills ' Bottom Net incentive on Finance Paper 12A Upper U.K. Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate December Canadian Treasury Bill rate Feb U.S. Treasury Bill rate II B Euro-J Deposits It 5.00 Swiss 3-month Deposit rate 0.50 D. U.S. Treasury Bill rate ii 3.22

33 2 IV-5 Chart Panel Series Date Rate 13 Upper Netherlands Feb Middle Lower Canada United States Switzerland * Germany United Kingdom Euro-dollar bonds U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom II Lower Canada * Japan United States Feb Feb Feb Feb Feb January r January 7.19 Feb Feb Feb Feb Feb Feb Feb Feb * New - Average yield of ALL German Public Authorities bonds made as of banking key days. * Beginning week ended September 5, 1970, the Japanese index plotted is that of all Industrial and other stocks on the First Section of the Tokyo Stock Exchange.