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

Transcription

1 Jpril 11, 1973 flo* *65 hs - - -TT^Trim aimii {kojza /-"S- V' )f/3 D INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US.

2 TABLE OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES Chart 1A and 8 - Spot Exchange Rates, Mayor Currencies against U.S. Dollar Chart 2A and B - 3 Nonih Forward Exchange Rales, Major Currencies against U.S. Dollar Chart 3Aand8-3 Nonlh Forward Exchange Rates, Major Currencies against UX Pound Chart 4 - Gold Price in London PART II. SHORT-TERN INTEREST RATES Chart 5 -Call Chart 6A and 8 - London: Euro-$ Deposit Rates Chart 7A and 8 - New York - Londot: Yields on U.S. Dollar Ftmds Chart 8A and 8 - London: Covered Yields on U.S. Dollar Funds Chart 9A and 8 - Interest Arbitrage: United States United Kingdom Chart loa and B - Interest AAitrage: U.S.-Gemany and U.S.-Switzerland Chart 11 - Interest AAitrage: United StNf t fwadi Chart 12A and 8- Selected Short-tent Interest Rates PART III. LONG-TERN INTEREST RATES AND STOCK INDICES Chart 13 Chart 14 - Long-Ten Bond Yields - Industrial Stock Indices PART IV. SELECTED CENTRAL BANK DISCOUNT RATES AND LATEST AGURES PLOTTED ON THE CHARTS NOTE: This series is a amtimnikm ef the CAPITAL NARKETS DEVELOPMENTS ABROAD, hidi was paiisw wader that title flm# DfiwNw 31, WIS. Thedhanges iafcefai«atand ordered*charts are nrpiainad in the Siwpifwt to the series, rntk* arronipinir l issue dated Iwuary 1,1W. All series and their sources axe Mly described is a S#pte#eat dated January 1,1972.

3 SPOT EXCHANGE RATES MAJOR CUMCMCCS AGAINST US- DOLLAR SWISS FRANC GHMUW (MM 2 fcelo* DUTCH GUILDER - 2 ' FRENCH FRANC JAPAWESC V W JAPANESE YEN T.s' fftfmch fltaftc DUTCH 6U1L0E* - 2 Below M S D I* J S D * Pound floated June /2 ** Swiss Franc floated January See separate chart ***Japanese Yen floated February **f' Based on new Central Rate Digitized for FRASER

4 SPOT BtCHAUCE HATE MAJOR CUMEMOES AGAWST US. DOHA* Wee*u* averages ITALIA* LIRA BtLClAW fumtc Ratic sca.e U S ce^" Ratio stale U v CAHADVMH DOLLAR UJ( POUII *** Italian Lira floated February 13, 1973 **** Based on new Central Rate

5 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U3 DOLLAR May Dec Weekly averages 12 GEftMAMY/ J WETHEHUWOs/ V 1 / 1 / j JAP A* FRANCE / : US dollar I I ' ' MAY JUNE JULY AUG SEPT 1971 * Financial franc OCT I I 1 i I 1 I NOV

6 Chart ID w SPOT EXCHAWOF HATES - MAJOR CUMENCIES ACAWST U J OOUAIK Dec UJL UJL J MAY for clafity the werucel scale is double thet used w 1C AUG isn OCT DEC

7 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCES AGAINST US. DOLLAR Per cent per annua CANADIAN DOLLAR K POUND GERMAN MARK PRLMIUV DUTCH GUILDER * Canaaia r Dona- -c supporlec L» See DLSLHlPi,0N ANL SOURCES OF DAU

8 / 3-MOUTH FORWARD EXCHANGE - MAJOR CURREWCES AtiAWST US. OOiiAflt Weekly averages ceoi pet PREMIUM HEUCM FfwHC DISCOUNT PREMIUM W J S D M J S D See DESCRIPTION AND SOURCES OF DATA. January pp

9 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST UX POUND Per cent per annum PREMIUM - GERMAN MARK U.S. DOLLAR DISCOUNT - D S:RIP t IVN ANL suur:^ O : DA-U

10 Chart 36 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST UK. POUND Frulay figures p f cent ^ PREMIUM * SWISS FRAttC FRENCH FRANC DISCOUNT - S M S D S M S See DESCRIPTION AND SOURCES Of DATA January p 3

11 Wee* s average of afternoon tuing: See DE.SCRIPTlOfl AND SOURCES Of DATA Jsr.oai

12 Chart 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum CALL EURO-DOLLAR DEPOSITS OVERNIGHT EURO-DOLLAR DEI FEDERAL riwds 2 DIFFERENT EURO DOLLAR FAVOR HUtRAt FUNDS EURO-CURRENCIES EURO-SWISS FRAWC r D D D * Changec from CALL tc OVERNIGHT Euro adia^ oeposilt Mdv H See DESCRIPTION AND SOURCES OF DATA. Januar> pp 4-6 Digitized for FRASER

13 Chart 56 CALL HOMEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday Itgures V. n m Per cent per annum! : '! ' V L m HUHCEa/V^ j 12 J i 4 - "W! EiMMUWeS U la / K i 1,, ; :,, ; i i France. Day to-day Money. Netherlands. Call Money, weekly average; Japan, Unconditional Money; Canada, Day-to-day Loans, weekly average. Germany, Call Money. U*. 2-day Local Authority Deposits. See DESCRIPTION AND SOURCES OF DATA. January 1, pp *-6

14 Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures ;5 QC Per cent per annum OVERNIGHT 10 CALL 7-DAY 12 1-MONTH M J S D M J S D M J S D M J * May 12/71 changed to Overnight Euro-Dollar Deposits * July 1 changed to 7-Day Euro-Dollar See DESCRIPTION AND SOURCES OF DATA. January p 6. s D

15 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum - : ' - \ J \ /I IL ~ v l / V Y i l 3-MOMTH ^ / I ! 1 1 1! l! ' I ' l l 1 I _ - V\ 64KWTH f - - 1! I I 1 1 I I 1 II 1 J 1 1 J i J i 1 J I I i J 1 J i See DESCRIPTION AND SOURCES OF DATA, January p 6

16 Chart 7A NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum / t u 1 / \ - \ V \ A \ EURODOLLAR DEPOSIT > Ivy! - y i US. CERTIFICATE OF DEPOSIT 1 I i > 1! 1 i 1 I ; i.. i. i ; ; 1 1 : I ; : i 1 i I i 1! 1 i DIFFERENTIAL FAVOR EURO-DOLLAR 1 W\(\ V ^r\ /vxna,[a - V v \qi, j x / w EURO DOLLAR OVER US. CERTIFIC iate OF DEPOSIT! i 1 i i 1 M 1 ii 1 i i 1 i i 1 i i 1 J J i i 1 i i 1 i i 1 i i M J S D M J S D M J S D See DESCRIPTION ANDSOURCESOF DATA, January 1, pp 6 7 I l 1 I l 1 l l 1 l i J S D 1973

17 Chart 78 NEW YORK-LONDON: COST OF US. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures M Per cent per annum 12 EURO-DOLLAR DEPOSIT ADJUSTED UJ. CERTIFICATE Of DEPOSIT ADJUSTED I i \*s - i a r - _ V i _ \ J l f V v A U M U W U f W V UJ- CERTFICA1 ft OF DEPOSIT ADJUSTED i i i i i! it 1 i i i i 1 i i 1 i i 1 i i II i i ' i i 1 i i i i i M J S D M J S O M J S D M J S D 1070 If * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement ***Adjusted for 20% Marginal Reserve Requirement See DESCRIPTION AND SOURCES OF DATA, January 1, pp 6 7

18 LONDON: COVERED YIELDS ON U S. DOLLAR* FUNDS HIRE PURCHASE/STERLING CD's vs EURO-DOLLAR RATES Friday figures Per cent per annum V ka EURO-DOLLAR DEPOSIT [! HIRE PURCHASE W COVERED j STERLING CD's - COVERED j 1 : : :! ' ; :,.,! 1 i ; DIFFERENTIAL FAVOR STERLING CD's FAVOR EURO DOLLAR!_!.! i i! 1 l i m! M!! I 1 8 W l j S D V J S D M J S D W J S *Hire Purchase suspended August and Sterling Certificates of Deposit begin August See DESCRIPTION AND SOURCES OF DATA January : t

19 Chart 88 LONDON: COVERED YIELDS ON US. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Y\ Per cent per annum 12 EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED M i l l 1 DIFFERENTIAL Ay v/ 1 ifl A f y v FAVOR LOCAL AUTHORITY 1 1 i i i 1 i i 1 i i 1 ii i i 1 i i 1 i i 1 i i W J S D W J S D M J S 1* See DESCRIPTION AND SOURCES OF DATA. January pp 7 8 FAVOR EURO DOLLAR J S 1973

20 Chart 9A INTEREST ARBITRAGE: UNITED KINGDOM AND UNITED STATES Friday figures Per cent per annum! 3-MONTH TREASURY BILL RATES 14 U*. LOCAL AUTHORITY DEPOSITS UNCOVERED MEW YORK LONDON, NEW YORK M J S D M J S D M s D J S D * Plotted for comparison purposes See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp 8-9

21 INTEREST ARBITRAGE: UNITED KINGDOM AND UNITED STATES Friday figures RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING Per cent per annum PREMIUM SPREAD W FAVOR OF FORWARD RATE DISCOUNT RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER FAVOR LONDON FAVOR NEW YORK M S D M J S D M S D M J S D See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp 8-9

22 y Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR i COVERED DIFFERENTIAL J FAVOR EURO DOLLAR. - J I -1 L J i 1_.i_J L._L I - D D S D M J S D No quotation See DESCRIPTION AND SOURCES OF DATA. January pp 9 10

23 Chart 106 T / 3-MONTH 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 COVERED RATE DIFFERENTIAL FAVOR ZURICH 2 FAVOR EURO DOLLAR S S M J D M S D M J D J S No quotation See DESCRIPTION AND SOURCES OF DATA, January , pp 9 10

24 3-MONTH INTEREST AtttTRAGE: UWTEO STATES - CANADA fnday figures Per cent pe< annum I BILL RATES, **. FM. CO. UWTEO STATES TREASURY MLli 8 ILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE COVERED RATE DIFFERENTIALS TREASURY FAVOR CANADA PAPER 1970 See DESCRIPTION AND SOURCES OF DATA, January , pp

25 z Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum 10 Mill 1 I 1 1 I 1 1 I I I I I I I I JAPAN 3 > ( l l I I l I I I 1 1 i 1 i i! i *3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany(tnterbank Loan Rate) See DESCRIPTION AND SOURCES OF DATA, January pp Digitized for FRASER 1 I I 1 I ' 1 I I 1972

26 Chart 128 SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LOMDOM month treasury bill rate for U.S.. Switzerland - 3-month deposit rate. * 3-month rate for U S dollar deposits in London See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp 11 12

27 LONG-TERM BOND YIELDS Weekly figures q NETHERLANDS US SWITZERLAND : ~ 11 3 UK GERMANY, A CANADA -I " ~ " ~ - ~ " 11 US CORPORATE: DOLLAR EURO-BONDS Aaa BONDS DM EURO-BONDS ULb'. kl p "'0N ANL bourclb Of DAI A jc".u : Li- :/ ::

28 n i / CHART 14 INDUSTRIAL STOCK INDEXES 1958=100 Ratio scale / \! m m m j m \ x j_ W " ^! i UWTE0 KWC00H / - MO \ w v.,,, i 1 1 ; i!! I 1 I! 1 1 i 1 i 1 1 i i 1 i i 1 1 ii 1 I I i «I i i I i 1 i i, i i! i i 1 i i i MO ' 1 1 r ' i t e m / \ / s ' - ^ \ 7 ^ W S* ' \ - / J [ 1 G0HUMV 240 CMMO* V i M i M i i 1 i i i i I i i 1 i i! i i ii!,i i I i i 1 i i II * Japan mde* of 225 industrial and other stocks traded on Tokyo exchange ** Japan wide* of all industrial and other stocks traded on the first section of the Tokyo Stock «cfaaflflr See DESCRIPTION AND SOURCES OF DATA. January pp 15 16

29 April 11, 1973 H. 13 IV. SELECTED CENTRAL BAStK DISCOUHT RATES No. 605 Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Seigim France fiewny 5,0 Dec. 21, Nov. 22, ,50 Nov, 30, ,50 Now, 2, , 00 Jaa. 12, ,5 Nov, 30, 1972 Italy 4.0 April 10, ,5 Oct, 14, 1972 Netherlands 4.0 Nov. 3, ,0 Sept, 8, 1972 **United Kingdom 8.75 Jan. 19, Dec. 22, 1972 Switzerland 4.50 Jan. 1, ,75 Sept, 15, 1972 Canada 4.75 Oct. 25, Feb. 24, 1971 Japan 5.0 April 2, June 24, 1972 United Stales 5,00 Jan. 15, ,50 Dec. 13, 1971 ** ffective October 13, 1972, the Bank of England replaced its traditional Bank Bate with a fluctuating "minimum lending rate" based on average Treasury bill tender rate. January 19,

30 LATEST FIGURES PLOTTED ON THE CHARTS April 11, 1973 Mo. 605 Chart Panel Series Date Rate 1A Upper Swiss franc* Apr, 6 30, U.K. pound* « Lower French franc * " 21,9800 Japanese yen *" ", Upper Belgian franc* M 2,4925 Italian lire * «.16*720 Lower Canadian dollar* « Gemanmadt* «35,1800 Dutch guildei* 33,9620 2A German mark +7,42 Swiss franc 44,95 U.K. pound, -2,46 28 Upper Dutch guilder I Canadian dollar +2,26 French franc +1, 33 Lower Japanese yen 3A German mark 48,66 U.S. dollar +2,21 38 Swiss franc 44,74 French franc +3,11 4 Gold price, U.S. dollar per ounce,, 90,38 5A Uflper 1 Overnight Euro-S deposits Apr, 4 15,05 Federal Funds " 7,18 Middle Differential +7,87 Lower Euro-currencies j Euro OK Apr, Euro Swiss Fr " 1,70 36 Upper! Japan, Unconditional Honey Mar, 30 5,50 UK, 2-day Local Author. Deps. Mar, 30 9,625! Canada, Day-to-day Loans Mar. 28 4,38 Lower France, Day-to-Day Money Apr# 6 7,50 - Germany Call Money APT, 6 12,50 Netherlands. Call Money Mar *lfeekly average of daily certified oooc rate* by the Federal Beaerve Baek of Hew York, lheae rates ere not plotted.

31 IV -3 April 11, 197 No. 605 Chart Pane! Series Date Rate oa Euro-S Overnight Rate Mar- 30 Apr. 6 Euro-S 1-month Rate Mar. 30 Apr Euro-S 3-month Rate Mar. Apr Euro-S 6-month Rate Mar. Apr A Upper Euro-S 3-month Deposits Mar. 26 Aur. 4 U.S. Certificate of Deposits Mar. Apr : Lower Differential Mar. 28 Apr Upper Euro-S 3-month Deposits Mar. 26 Apr. 6 Euro-S 3-month Deposits (Adj.) Mar. 28 Apr. 4 U.S. Certificate of Deposits (Adj.) Mar. 28 Apr. 6 Lower Differential: on Adj. Euro-S Deposits Mar. on Unadj. Euro-S Deposits I Mar. Apr Apr. T +3: A Upper Euro-S 3-month Deposits Mar Sterling CD's (covered) Mar Lower Differential Mar Upper Euro-S 3-month Deposits Mar Local Authority Deposits (covered) Mar Lower j Differential i 9A U.S. Treasury Bill rate U.K. Treasury Bill rate Mar Mar Apr Mar Apr Local Authority Deposit (uncovered) Mar Upper Spread (+= favor London) Mar. 30 Apr. 6 3-month Forward Pound Mar. 30 Apr. 6 Lower Net Incentive (+- favor London) Mar. 30 Apr. 6 i

32 April 11, 1*73 9 Wo, 605 IV-4 Chart Panel Series Me tale IDA Uflper Bmd-$ Deposits (coweeed) Her, 28 40,04 GeMjn Inteibank Loan We " N,A, Lower Diffwtial Mar ,88 10B Upper iwo-$ OeposHs (cowed) Mer, 28 Aor. 4 Swiss Deposit r*e Mer, 28 Apr. 4 Lower OHIewlial Mer, 28 Apr Uflper Canadta Finance P*per Mer, 30 Aor, 6 U.S. Treasury Sill ale Mer, 30 Apr. 6 Canadian Treasury Mer, 30 Bill ate Apr, 6 U.S. Prime Finance paper (not plotted) Mer, 30 Apr, 6 4,55 3,57 4,00 p 4,00 p -0,55 *0,43 5,13 5,25 6, ,39 4,37 6,63 6,75 1 Second Sill We diffamntial Mer, 30 Apr. 6-1, Forward Canadian dollar Mer, 30 42, Third llet incentive en tolls Mer. 30 fpr. 6 Mom Met incentive on Finance Paper Mer, 30 Aor. 6 Mer, 30 12A Upper U K. Treasury Bill cale Aor, 6 Mer, 30 U.S. Treasury Bill rate Aor. 6 Mer, 30 German Meitunk Loan rate Aor, 6 40,49 40, 19-4, ,83 7,77 6, N.A, ALA, Lower Japanese Average rale Jenuery 6,710 Canadian Treasury Bill rafce 328 Euro-S Deposes 2K:I U-S- Treasury Bill rale 2&l 1:12 Swiss 3-worrth Deposit rate U.S. Treasury Bill rate Mer, 30 Apr, 6 Mer, 30 Apr, 6 Mer, 30 Apr, 6 8,62 8, 19 4,00 p 4,00 p 6,22 6,34

33 IV-5 April 11, 1973 No. 605 Chart Panel Series Dale Rale 13 Upper Netherlands Mar Canada Mar * United States Apr Switzerland Mar Middle Germany Mar United Kingdom Euro-dollar bonds Mar Lower U.S. Corp. Dollar Euro-bonds Series C Jan U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland G Jan Feb Mar Germany Mar , 40 United States Apr Middle United Kingdom Canada Mar Mar Lower ** Japan Mar United States Apr ** 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. * Average yield on selected bonds due or callable in 10 years or more. See attached table for 1973 figures.