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

Transcription

1 Mmqr 1. Wf% W. W 1 / A# /V/3 i 4 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WBBCtr «BMESOFCHARTS

2 TABLE OF CONTENTS PARTI. EXCHANGE RATES AM) GOLD PRICES Chart 1A and B Sfxxt Exchange Rales, Major Currencies against U.S. Dollar Chart 2A and B 3Month Fonarard Exchange Rates, Ifajor Currencies against U.S. Dollar Chart 3A and 8 3Honlh Forward Exchange Rates, Major Currencies against U.K. Pound Chart 4 Gold Price HI London PART 11. SHORTTERM INTEREST RATES Charts Call Money Rales Chart 6A and 8 London: EuroS Deposit Rates Chart 7A and 8 Mew York London: Yields on U.S. Dollar Funds Chart 8A and 8 London: Covered Yields on U.S. Dollar Funds Chart 9A and 8 Interest Arbitrage: United StatesUnited Kingdom Chart 10A and 8 Interest Arbitrage: U.S.Geieany and U.S.Switzerland Chart 11 Interest Arbitrage: United StilesCanada Chart 12A and 8 Selected Shortterm Merest Rates PART III LONGTERM INTEREST RATES AMD STOCK IMDICES Chart 13 Chart 14 LongTem Bwd Yields Industrial Slock Indices PART IV. SELECTED CENTRAL BANK DISCOUNT RATES AMD LATEST Flames PLOTTED ON THE CHARTS MOTE: This series is a continuation 4 the CAPITAL MARKETS DEVELOPMENTS AMflOAD, Ak* uas ^Wished under that title Nhou#i Decoder 31,ISM. The changes in She low* and omder «f *e charts m* nfjdainod in the S*##ement lo #e series, Wwd# irrn^uif d issue dated ianuaiy 1, WW All series and their sources ame tutly described in a S*g#l#uont dated January 1, 1*72.

3 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST US DOLLAR Weekly averages Per cent GERMAN MARK I.K. POUND SWISS FRANC DUTCH GUILDER FRENCH FRANC JAPANESE YEN Below S D J * Pound floated June ** Swiss Franc floated January 23, 1973 S D

4 V\ Chart 18 SPOT EXCHANGE RATE MAJOR CURRENCIES AGAINST US. Weekly averages ITALIAN LIRA Below Ratio scale, U S cents Ratio scale. U S cents 100 CANADIAN DOLLAR I 96 UJC. POUND

5 Ctort 1C EXCHANGE RATES May Dec 17, 1971 AGAWST US. DOLLAR JAPAN MAY JUNE JULY AUG 1971 SEPT. OCT. NOV DEC * Financial franc

6 Ctwf ID SPOT ttchmgf RATES MAJOft CUMFMCIES AfiAWST US. DOHA* Dec UJL ITALY UJL ITALY mm swrrz. MAY JULY AUG SEPT. OCT DEC for clarity the vertical scale is double that wed HI 1C If71

7 3MONTH FORWARD EXCHANGE MAJOR CURREMCES AGAINST VS. DOLLAR Weekly averages CANADIAN DOLLAR U*. POUND DISCOUNT PREMIUM DISCOUNT PREMIUM DUTCH GUILDER DISCOUNT * Canadian Dollar Rate not supported by Bank of Canada

8 Chart 28 3MONTH FORWARD EXCHANGE MAJOR CUMENCE8 AGAINST US. Weekly averages II! 1! M! ' 1 1 '! 1! '!! L M M J II 1 1 ***** * FflEflCM FMHC I 1 ] T 1 T T J V V X DISCOUNT / PKMUtf Vx/Vl XT " v \ l l 1 l i I i l 1 i 1 J S 1170 i i 1 i i 1 i I 1 i i «J s lt71 DISCOUNT 1 I 1 i I i LI J s wn wn

9 Chart 3A 3MONTH FORWARD EXCHANGE MAJOR CURRENCIES AGAINST UJC. POUND Friday figures 1 PREMIUM * Per cent per an i I. I \ 1 GERMAN MASK US. DOLUS II II otscot»t II i! i ; i ;. 1 I. i., 1 I 1 ; I 1 I I M J S D M J S D M J S D M J S D *71 1*72 1*73

10 Chart 3B 3MONTH FORWARD EXCHANGE MAJOR CURRENCIES AGAINST UX POUND Friday figures Per cent per annum SWISS FRANC " FRENCH FRANC DISCOUNT W S72 lfts J j S s D w J S D W J S D U M J s 0

11 Chart 4 GOLD MICE HI LONDON. 125 Kg BASS Week's ewarjge of aflemoee Ami#gs w U S doll** equivalent per 1 me ounce 00 so 40 M J S D M J s D M J S 0 M J s o

12 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 14 CALL EURODOLLAR DEPOSITS OVERNIGHT EURODOLLAR DEPOSITS FEDERAL FUNDS DIFFERENTIAL EURODOLLAR OVER FEDERAL FUNDS FAVOR EURODOLLAR U M U J L ^ FAVOR FEDERAL FUNDS EUROCURRENCIES Weekly averages Per cent per annum 8 EUROSWISS FRANC M ' J S D M J S D M J S D M J S D * Changed from CALL to OVERNIGHT Lure dollar deposits. Way

13 Chart 56 CAU HONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Pet cent per UJ(. GERMANY M S D M S D M J S D M J S France. Daytoday Money. Netherlands, Call Money, weekly average; Japan, Unconditional Money; Canada, Daytoday Loans, weekly average; Germany, Call Money; U K, 2 day Local Authority Deposits o

14 Chart6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 12 OVERNIGHT 10 CALL r V L. Pi v hi 1MONTH ^ J V v iicfp 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 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 * May 12/71 changed to Overnight EuroDollar Deposits ** July 1changed to 7Day EuroDollar

15 i i i LONDON: EURODOLLAR DEPOSIT RATES Friday figures \ v\. \ V h 1 M#oem# / i i 1 i i i i i i i i i i i i i L i 1 1 i li.l \ V \ A v/v f v MtOMTM / Jl i i 1 i i 1 i i 1 I I i i 1 i i 1 i i 1 i i 1111 i.l.i 1111 J I llj I I

16 NEW YORKLONDON: YIELDS ON US. DOLLAR FUNDS 3MONTH DOLLAR DEPOSIT RATESSECONDARY MARKET Wednesday figures Per cent per an EURO DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT DIFFERENTIAL FAVOR EURO DOLLAR ~ \faj. l\! J 1 \ EURODOL LLAR OVER US. CERTIFK :ATE OF DEPOSIT A J 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 i I l i i I i i I i i M J S D M J S D M J S D * J S D

17 I Chart 78 NEW YORKLOUDON: COST OF US. DOLLAR FUNDS 3MONTH DOLLAR DEPOSIT RATESPR WARY MARKET Wednesday figures Per cent pet annum f EURODOLLAR DEPi A j Vw a ADA r" XM't nl 1 mt J f t w U.S. CERTI TCATE Of DEPOSIT ADJUSTED* V / EURODOLLAR DE V i i I i i 1 i i 1 i i l I 1 i l 1 l l 1 l l i I j kflj'i yj4jw V\A. PA/V /\jm ^XA\/VV U J. CERTFICA1 re OF DEPOSIT ADJUSTED* J L i i 1 i i 1 i i 1 i i 1 M J s o M J s I I 1 I I 1 i I 1 I l I 1 1 M J S J S D * Adjusted for Reserve li»irw> **Ad##sted for 10% Wwpaal Reserve Reqvireweet Adjusted for 20% Mwgwal Reserve Requirement

18 Chart 8A LONDON: COVERED YIELDS ON U S. DOLLAR FUNDS HIRE PURCHASE/STERLING CD's vs EURO DOLLAR RATES Friday figures Per cent per annum 12 EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED STERLING CD s COVERED DIFFERENTIAL p v y \ y i 1 1 FAVOR STERLING CD s! V I i 1 i i i :! 1 1 i II 1 II II M J * Hire Purchase suspended August 11, 1972 and Sterling Certificates of Deposit begin August 11, 1972 FAVOR EURO DOLLAR II 1 II J 1973 s

19 LONDON: COVERED YIELDS ON US. DOLLAR FUNDS LOCAL AUTHORITY AND EURODOLLAR RATES Friday figures : 1 Per CMt per wwium 12 1 A I V V\ EURODOLLAR DEPOSIT XAA 1 /li 1/VV, : LUvAL Ml FLNOIOTT DEPOSIT COVERED J ' I 1 : I ; 1 ' I! 1 1!! 1! i I 1 i i 1 i i 1 i i DIFFERENTIAL FAVOR LOCAL AUTHORITY A y V / IA A 1 Vv V! 1 ; 1. :! i 1 1!, 1 l FAVOR EURODOLLAR II I 1 11 J S D M J S

20 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures I j 3MONTH TREASURY Bl LL RATES Per cent per! UJC. LOCAL AUTHORITY DEPOSITS UNCOVERED J * Plotted for comparison purposes

21 Owt9S INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures IN Per cent per eiuivm RATE DIFFERENTIAL AND 3MONTH FORWARD STERLING I OF FAVOR LOW DO* 4 FAVOR NEW YORK «J s D «J S 0 M J S D M J S D LMF LF70 IF

22 /' Chart 10A 3MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURODOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM GERMAN INTERBANK, LOAN RATE EURODOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO DOLLAR S D D S D M J No quotation S D

23 Chart 106 3MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL 2 FAVOR EUROOOliAR M J S D M J S D M J S D M J S D Wo quotation

24 vn * 1 11 Digitized for FRASER AS! hs«q 3MONTH INTEREST ARBITRAGE: UNn&StAlB^iiMMMi* 7 rfl OH2 Q3T03J32?'T"! ' fktmjm, I I I I ] I I j M BILL RATES & UNITED STATES TREASURY BILLS COPAPE. BILL RATE Dlf FERENTIALiANP FORWARD CANADIAN DOLLAR ^ ^ r 4 r *. W 4 FORWARD RATE PCOVERED RATE DIFFERENTIALS GROSS SPREAD IN FAVOR OF CANADA HA9A TREASURY 1 BILLS /wvvo j v J \ r \ / FINANCE PAPER FAVOR US I 1 I I I 1 I I I I I

25 : # Owt 12* SELECTED SHORTTERM INTEREST RATES* Per cent per annum UJL 9 JAPi 1968 * 3 mma* treasury Ml rates tar e* caw aad towiiu'liiti* Law #aw) 1970

26 Chart 128 SELECTED SHORTTERM INTEREST RATES* Per cent per anevm EUBODOUAH 1S72 * 1 Birth freeswry bill rate for U S. Seet*erteed3mo«ilii deceit rate * IWHI rale lor U S dotiw <tapowte m London.

27 Per cent per annurr 10 NETHERLANDS CANADA, i. fn V\ SWITZERLAND 4 11 A 4 p / GfRMANt V J \, J *. / V ^ ' 1 H U.S. CORP DOLLAR EUROBOWDS ^ I : i!. i! 5 10 US. COW Aaa >. DM EUH04KM0S * Ne* series lot Switzerland starts U S Corp Dollar utobonds and U S Cwp OH CitroteMts starts ** Ne* Averse yieici ol all German P.A Bonds begins *** Me* ifc'itri f starts 12 "I

28 y 4 CHART 14 MDUSTRIAL STOCK WOEXES UNITED STATES V ^ X 200 II I I i i 1 i V v i i 1 i i i i 1 i i 1 i i 1 i i 1 1 I ^ v SWITZERLAND f XT ^A/^V 360 UNITED KINGDOM / 240 r i i i i i i! i i i i I i, I 1, ; I b r 1 /s y v X 1 1! 1 i i! i ; 1 ; : L ! 1 J 160 JAPANy^ 1 I GERMANY / ^X/ 1 / CANADA V / ! 1! ! i ! II 1 J, Japan mde* of 225 industrial ant, other stocks traded on Tokyo exchange. * Japan ir.ae* of all industrial and other stocks traded on the first section of the Tokyo Stock Luchange

29 February 7, 1973 H. 13 IV SELECTED CENTRAL 8ASIK DISCOUNT RATES Wo.596 Country Current Rate In Effect Since P*e*mMS#We ftn Effect Saace E.E.C.: Belgium 5.0 Dec. 21, Sov. 22, 1972 France 7.50 Sov. 30, Sov. 2, 1972 Germany 5.00 Jan 12, Sov Italy 4.0 April 10, Oct. 14, 1972 Netherlands 4.0 November 3, * Sept. 8, 1972 **United Kingd m 8.75 Jan. 19, Dec. 22, 1972 Switzerland 4.50 Jan Sept. 15, 1972 Canada 4.75 Oct. 25, Feb. 24, 1971 Japan 4.25 June 24, April 29, 1971 United States 5.00 Jan. 15, Dec, 13, 1971 **Effective October 13, 1972, the Bank of England replaced its traditional Bank Rate with a fluctuating "mini** lending rate" based on average Treasury bill tender rate. January 19, 1973.,.8.75

30 IV2 LATEST FIGURES PLOTTED OH THE CHARTS i f J J Chart Panel Series Date Rale j 1 i 1A Upper Swiss franc 4 fff i U.K. pound ^ Lower French franc " 41,066 1 Japanese yen " Upper Belgian franc «*2.192 Italian lire " Lower Canadian dollar Actual Kate " 11 99*7 Gemtanetaric 42,0f«Dutch guilder» *7 (^0 2A German mark H Swiss franc «4165 U.K. pound " 3,00 28 Upper Dutch guilder 42,25 ' Canadian dollar 003 French franc ««MA. Lower Japanese yen 3A German mark Jan ,12 U.S. dollar " +3,15 38 Swiss franc " 43,19 French franc " 42. IS 4 Gold price, U.S. dollar per ounce Feb, 2 66,66 5A Upper Overnight Euro S deposits Jan, 31 5,08 ' Federal Funds " 6.3$ Middle Differential " 0.47 Lower Eurocurrencies: Euro DM Fab, Euro Swiss Fr. " Upper Japan, Unconditional Money Jan U.K., 2day Local Author. Deps. Fab, Canada, Daytoday Loans Jm ? Lower France, DaytoDay Money Fab, / Germany, Call Money * 6.13 Netherlands. Call Money Jan

31 IV3 Chart Panel Series Date Rate 6A EuroS Overnight Rate Euro ) 1month Rale SB EuroS 3month Rale EuroS 6month Rate 7A Upper EuroS 3month Deposits U.S. Certificate of Deposits Feb OP 7.00 Jan Lower Differential " Upper EuroS 3month Deposits " 6.69 EuroS 3month Deposits (Adj.) " 8.36 Lower U.S. Certificate of Deposits (Adj.) 6.32 Differential: on Adj. EuroS Deposits *7 rv. on Unadj. EuroS Deposits " A Upper EuroS 3month Deposits Sfcesfidmg CD' e (covered) Jan Lower Differential B Upper EuroS 3month Deposits II 6.16 Local Authority Deposits (covered) 5 64 Lower Differential n 9A U.S. Treasury Bill rate U.K. Treasury Bill rate Feb Ron Local Authority Deposit (uncovered) 0*1 96 Upper Spread (+= favor London) 3month Forward Pound Lower Net Incentive (+= favor London) " 1.73

32 IV 4 Chart Panel Series Me tale 10A Upper swps Deposits (coweead) Jam Wn# la#a##dr Uw We «* 8.00 Lower OHWWW > Upper Ewo$ Deposits (coiwad) «Swiss Deposit ate M # Lower Pillpwtijl M Upper CanadUm Finance Nper S M U S. T«enaiiy Bill ale 5.6# Canadun T«e*wy Bill We U.S. Pnwe Finance paper (not plotted) «H Second Bill We diffwwrtial 1.85 rorwadcanatodaltar " THM let incentive en tells «0.48 Sottas Met incentive en Finance Paper " A Upper U.K. T«easuty Bill We «U.S. Treasury Bill We w Geonaa Interbank Loam We W Lower Japanese Awerape We maniti Canadian Treasury Bill We Feb U.S. Treasury Bill We EinoS Deposits w 7.00 Swiss3 wonti Deposit We 4.00* U.S. Treasury Bill We 5.69

33 IV5 Chart Panel Series Date Rate 13 Upper Netherlands Canada United States Switzerland Middle Germany United Kingdom 7.16 Jan. 5 Jan. 11 i TW < 77 r r* ff 57 Jan Lower U.S. Corp. Dollar Ewotonds^^^ p U.S. Cocp. DM Eurobonds ^ U.S. Corp. Aaa bonds 14 Upper Switzerland Middle Lower * Germany United States United Kingdom Canada ** Japan United States p * 7.15 Jan Jan Feb Jan Jan Jan Feb * Mew 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 Slock Exchange.