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

Transcription

1 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS KMMDOF OF THE f WMI lotif lwai

2 TABLE OF CONTENTS PART I. EXCHANGE RATES AMD GOLD PRICES Chart 1A and 8 Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2A and B 3Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3A and 6 3Month Forward Exchange Rates, Major Currencies against U.K. Pound Chart 4 Gold Price in London PART II. SHORTTERM 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 StatesUnited Kingdom Chart 10A and B Interest Arbitrage: U SGermany and U.S.Switzerland Chart 11 Interest Arbitrage: United StatesCanada Chart 12 A and B Selected Shortterm Interest Rates PART III. LONGTERM INTEREST RATES AND STOCK INDICES Chart 13 Chart 14 LongTerm 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 31,1%8. 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 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages GERMAN MARK ZX J i AJ \_>X VV_J 1UC. POUND \ rx f / X A ^ P 'W SWISS FRANC DUTCH GUILDER :. 1 :! L!, I 1 1 ^ 1 1 1! FRENCH FRANC JAPANESE YEN * Pound floated June

4 Chart IB V SPOT EXCHANGE RATE MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Fee cent FRANC against US ITALIMI M S D «J s D Ratio scale, U S cents Ratio scale. U S cents 100 CANADIAN DOLLAR : i n i

5 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST US. DOLLAR May 11, 1971 Dec 17, 1971 Weekly averages Per cent JAPAN U.S. MAY JUNE JULY AUG SEPT OCT. NOV. DEC * Financial franc 1971

6 Chart ID SPOT EXCHANGE RATES MAJOR CURRENCIES AGAWST U. DOUAR 11. i»/i Dec 1/ iy/i ux SMflTZ. ITALY UJC. ITALY swrrz US MAY JUNE JULY AUG. SEPT. OCT NOV DEC. *For clarity the vertical scale is double that used in 1C

7 3MONTH FORWARD EXCHANGE MAJOR CURRENCES AGAINST US. DOLLAR Weekly averages Per PREMIUM CANADIAN DOLLAR UJC. POUND DISCOUNT GERMAN PREMIUM DISCOUNT PREMIUM DUTCH GUILDER DISCOUNT S D S D J S D M J S D * Canadian Dollar Rate not supported by Bank of Canada

8 Chart 2B % 3MONTH FORWARD EXCHANGE MAJOR CURRENCES AGAINST US. DOLLAR Weekly awe, ages Pefcefltpefennum ! ' ' : ' ' M! I j 1! 1 1 J 1 1 I PREMIUM FRENCH FRANC X/ x DISCOUNT PREMIUM Vx/VY vy T SWISS FRANC ~ v \ I I i i i M i i i i M DISCOUNT M 1 I i 1 I I M J S D M J S D M J S 0 M J S D

9 3MONTH FORWARD EXCHANGE MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM + :! 1 GERMAN MARK j li V 1 Vv I U S DOLLAR! 1 i! i 1 i! I 1 i i U DISCOUNT I I i i 1 i! i! i, U I I, i i i i I i! i i 1 i i M J S D M J S D M J S D M J S D

10 Chart 38 3MONTH FORWARD EXCHANGE MAJOR CURRENCIES AGAINST U K. POUND Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC s s D S 0 M S o

11 GOLD PRICE IN LONDON Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per 6mm ounce SO S D S D J S 0 M J s o

12 Chart 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 14 OVERNIGHT EURODOLLAR DEPOSITS FEDERAL FUNDS DIFFERENTIAL EURODOLLAR OVER FEDERAL FUNDS FAVOR EURODOLLAR VV 1/V v v w m j l i i i 1 i i I i i 1 i i ii 1 i i 1 ii 1 ii EUROCURRENCIES Weekly averages \ FAVOR FEDERAL FUNDS II f Per cent per annum EUROSWISS FRANC I I I I I I I I I I M J S D M J S D M J S D M J S D * Changed from CALL to OVERNIGHT Euro dollar deposits, May 10, 1971

13 Chart CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per annum nn 11 i i 1 i i 1 I i 1 i *THER I 1 l LAI I TLrv\ FRANCE. / f v yuj l i i ii I T T1 i i i i! i i 1 i i 1 i i 1 JAPAN CANADA i i 1! i 1 i r i i i i M ; M i I i i i i i i i i i i ii., : i. i T : : i! 1 : 1 11 i I I i I 1 i! I I 1 I 1 I I i I I 0 M J S D M J S D M J S D M J S D f France, Daytoday Money, Netherlands, Call Money, weekly average; Japan, Unconditional Money; Canada. D*y to day Leans, weekly average; Germany. Call Money; UK, 2 day Local Authority Deposits

14 Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures M S D M J S D M J S D M J s D *May 12, 71changed to Overnight EuroDollar Deposits ** July 1 changed to 7Day EuroDollar

15 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures P«r ceetperww* M J S D M J S D M J S O M J S O

16 NEW YORKLONDON: YIELDS ON U S. DOLLAR FUNDS 3MONTH DOLLAR DEPOSIT RATESSECONDARY MARKET Wednesday figures Per cent per annum 1 Ky i yj /XrV V u \! EURO DOLLAR DEPOSIT 10 U S. CI RTIFICATE OF DEPOSIT V i!! : ! 1 I 1! i i! i i i i i i i i i i! i i 1 i ill DIFFERENTIAL! FAVOR EURO DOLLAR r A Am t w El A A \J\JV Z IRO DOLLAR OVER U.S. 0 ERTIFICATE OF DEPOSIT I i i 1 i i! i i 1 i i i i 1 i i 1 i i 1 i i 1 1 1! 1! II II M J S D M J S D M J S D M J S O

17 Chart 78 NEW YORKLONDON: COST OF US. DOLLAR FUNDS 3MONTH DOLLAR DEPOSIT RATESPRIMARY MARKET WtdMiday figures Per cent per EURODOLLAR DEPOSIT US. CERTIFICATE Of DEPOSIT ADJUSTED ** n 1 V V / v j / k VV\ * A EIMMOUMOW vj* US. CERTTICATE ADJUSTED 1 t/yv V \ J K j v \ ^ J K / V v, 1. l i 1 1 I M II 1 II i i 1 i i 1 i i 1 i i i i 1 i i J i i 1 j i. m j s o m j s d m j s d m j 0 IMS * Adjusted for Reserve R***ir«m#m* ** Adjusted for 10% Marginal ««** Reqwreweot * # *Adiusted for 20% Marginal Reserve Requirement

18 \y; LONDON: COVERED YIELDS ON US. DOLLAR FUNDS hire purchase and eurodollar Friday figures rates EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED STERUNG CD s I 1 1 I I FAVOR STERLING CD's i differential I I I I I I I I I I W J S D M J S D M J S D W J S D *72 * Hire Purchase temporarily suspended as of August 11 ** Sterling Certificates of Deposit started as of August 11

19 Chart 88 LONDON: COVERED YIELDS ON U S. DOLLAR FUNDS LOCAL AUTHORITY AND EURODOLLAR RATES Friday figures 1 12 / / : y w y Em OOOLUUI DEPOSIT LOCAL AUTMOWTY DEPOSIT COVtRtD i i 1 ii 1 i i 1 i l l _j.i_lu.lu 1 i i i i 1 i i 1 i i 1 i i favor local authority DIFFERENTIAL 1 I 1 I I 1 I I I I 1 II I I I 1 I 1 I I 1 fawwbuwmoum I I I I I I I I I I I

20 Chart 9A WTEREST ARBITRAGE: UWTED STATES AMD UMTEO KMCOO# Friday figures 3month treasury b 1 ll rates Per cent per 1, / A. a N * J ^ ^ j \ ujl local all 1 uwcovered ~ k " a l * n x v i A tmoofty defoots* V v \ h \ A v \ 7 % vcwrow J I\ Jl ii i 1 1 ii ii ii ii i 1 1 i j 1 i l 1 i i * Plotted for comparison purposes

21 OhwtSB i i E K I I MMflME: IWIBD STATES AMD IMPED KMCOOM fiiill " fferctatpar 34I0MTM fofsmm) STGRUHG >1 4 + # 2 4 * OtSCOUMT favo* LOWOOW J# FAVOR * W YORK M J S 0 a# J S o M J $ 0 M i $

22 Chart 10A 3MONTH FUNDS INTEREST ARBITRAGE; EURODOLLAR GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURODOLLAR RATE Wednesday rates Fer CMt per a W TERMS OF EURODOLLAR differential FAVOR FRANKFURT No quotation S D J s D M J S D «J S D

23 Chart 106 3MONTH FUNDS INTEREST ARBITRAGE: EURODOLLAR SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Per cent per ewhwi M TERMS OF SWISS FRANCS DIFFERENTIAL SWISS DEPOSIT BATE i i i i i i i i i i i i i i i i J i i i i i h r i i i i i i i i i I I I i I I I I 1 I I I M favor eu«odollar 1 I I 1 I I I I I 1 I I I I I 1 I I I I I 1 M.1 I I I I I I No quotation

24 Chart 11 3MONTH INTEREST ARBITRAGE: UWTED STATES CANADA Friday figures Pwceetper* P ~ T M 1 I I I I j l! ] I l 1 I i I I I i M i i ] I i 11 I J bill rates UWTED STATES TREASURY mus bill rate differential and forward canadian dollar FORWARD RATE GROSS SPREAD W FAVOR OF CANADA I covered rate differentials FAKWCAilAOA TREASURY BILLS FAVW U S PRIME FWAWCE PAPER 0 i i J l i_li i i 11_. j i J i lij l L l FAVOR U S 1 I I I I 1 I I I I I W J S D M J S O W J S D W J S D c

25 Chart 12A SELECTED SHORTTERM INTEREST RATES* Per cent per annum UJL VT J# JPAN " ~~ rxj \\ u s. Z\ t CANAOA\ Va! I I 1 I I! I I 1 M I I 1 I I 1 I I 1 I 11 I M 11 1 I I 1 I I 1 M J * 3month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany!Interbank Loan Rate)

26 Chart 128 SELECTED SHORTTERM INTEREST RATES * Pef cent per annum EURODOLLAR * Smontti treasury Ml rate for U.S., SwiizertandB montti deposit rate 3montti rate for U S dollar deposits m London 1970 IS72

27 LONGTERM BOND YIELDS Weekly figures i! jst WDS switzerl A N D " y\ I! ' 1! ;. ; ; i 1 i i 1 l!! i 1 i i 1 i ; 1 I i i : 1 1 i I 1 1 ~ t [ 11 UJK. if \ T \ yu ; v a T L v j 1 " " i ; I I M! I! 1 I I 1 I 1 1 II 1 M 1 I I 1 I 1 1 I I 1 II i I 1 1 i 1 I I Monthly figures U.S. CORP. Aaa BONDS I U S. CORP. DM EUROBONDS i 1 i i 1 i i I i i 1 i i I i i 1 I i i i 1 l I 1 i i I l l l I I 1 I I l I I 1 I * New series for Switzerland starts , U S Corp Dollar Euro Bonds and U S Corp DM EuroBonds starts ** New Average yield of all German P A Bonds begins *** New series F starts

28 **#=**) I I 1 I I 1 I I,1 I I I I I 1 I V r I I l l l l l l l i ll <il l l i l l l i j j l l l i l 1 Japan rodee of 225 industrial and other stocks traded on Tokyo each*** **J*pan widex of all industrial end ehw stocks traded on the Wst section of fee Tokyo Stack Ltcton

29 January 17, 1973 H. 13 No. 593 IV. SELECTED CENTRAL BANK DISCOUNT RATES Country Current Rate In Effect Since Previous Rate In Effect Since EEC.: Belgium France Germany 5.0 Dec. 21, Nov. 22, lov. 30, Hov. 2, Jan 12, Nov Italy 4.0 April 10, Oct. 14, 1972 Netherlands 4.0 November 3, * Sept. 8, 1972 **United Kingd nn 9.0 Dec. 22, Dec. 8, 1972 Switzerland 3.75 Sept. 15, July 10,1072 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. December 22,

30 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1 1A Upper Swiss franc Jan U.K. pound Actual Rate " Lower French franc " Japanese yen " IB Upper Belgian franc kalian lire " Lower Canadian dollar Actual Rate " German mark " Dutch guilder " German mark 2A Swiss franc " U.K. pound 3.43 ZB Upper Dutch guilder " Canadian dollar " French franc " 1.82 Lower Japanese yen " N.A. 3A German mark H U.S. dollar " B Swiss franc " French franc " Gold price, U.S. dollar per ounce M A Upper Overnight EuroS deposits Jan Federal Funds " 5.66 Middle Differential " 0.23 Lower j Eurocurrencies i Euro DM Jan j Euro Swiss Fr Upper Japan, Unconditional Money Dec U.K., 2day Local Author. Deps. Dec j Canada, Daytoday Loans Jan Lower Trance, Dayto Day Money Jan Germany, Call Money 6.19 Netherlands. Call Money Jan,

31 V IV 3 Chart Panel Series Date Rate 6A Eiw>S Overnight Rate EuroS 1month Rate Jan EuroS 3month Rate M 6.00 EuroS 6month Rate 7A Upper Euro) 3month Deposits 6.19 Jan U.S. Certificate of Deposits 5.70 Lower Differential It Upper Euro) 3month Deposits II EuroS 3month Deposits (Adj.) U.S. Certificate of Deposits (Adj.) 5.92 Lower Differential: on Adj. EuroS Deposits " on Unadj. EuroS Deposits II A Upper EuroS 3month Deposits Dec Dec Hire Purchase Deposits (covered) Dec Dec Lower Differential Dec » Dec Upper EuroS 3month Deposits Dec Dec Local Authority Deposits (covered) Dec Dec. 29 S.1Q Lower Differential Dec iw 9Q A U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 96 Upper Spread (+= favor London) Lower 3month Forward Pound Net Incentive (+= favor London) Jan Jan J : P 8:84 Jan Tan

32 IV4 Chart Panel Series Dale Rate 10A Upper uro$ Deposits (coveted) Jan German interbank Loan rate» 8.25 Lower Differential " 44, Upper BufoS Deposits (covered) 5,70 Swiss Deposit rale M 4.00, Lower Differential Upper Canadian Finance Paper Jan. 17 U.S. Treasury Bill rale < ip Canadian Treasury Bill rate " 3,66 U.S. Prime Finance paper (not pkitted) «5.38 Second Bill rate differential «1.53 ) t Forward Canadian dollar " 40,68 Third Net incentive on bills " 0.85 Bottom Net incentive on Finance Paper " A Upper U.K. Treasury Bill rate " 8.15 U.S. Treasury Bill rate " 5.19 German Interbank Loan rate Jan Lower Japanese Average rate November Canadian Treasury Bill rate U.S. Treasury Bill rate Jan < io 126 Euro* Deposits «6.00 Swiss 3month Deposit rate " 4.00p U.S. Treasury Bill rate 5.19

33 IV 5 Chut Panel Series Da* Me 13 Upper Metherlands Jan Canada Dec United Stales Dec Middle SwitzeHand Germany United King** Dec Dec T*n Lower U.S. Coip. Dollar Euro h ond^^ F November 7.68 U.S. Corp. 00 Euro i gargg p «6.94 U.S. Corp. Aaa bonds 14 Upper Switzerland Middle Lower * Germany United Stales United Kingdom Canada ** Japan United States December 7.08 Jan Jan Jan Jan Jan Jan Jan Jan Jan Jan * New Average yield of ALL German Public Authorities bonds made as off 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.