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

Transcription

1 "1 October 3, 19 3 t i...release Hoi 630 u H13, Division of international Finance. SUtUtlcal & Data Management Unit / V SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM

2 H. 13 October 3, 1973 Release No. 630 V TABLE OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES Chart 1A, IB, & 1C 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 B 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.S.Germany 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, The changes in the format and order of the charts are explained in the Supplement to the series, wrfiich accompanied issue dated January 1, All series and their sources are fully described in a Supplement dated January 1, 1972.

3 9 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent GERMAN I MARK Nfi BELGIAN FRANC / NC SWISS FRANC 20 JAPANESE YEN CANADIAN DOLLAR Per cent above or below parity eec.y averages (week ending on Friday) of daily offered rates in the New York market as per cent above or below Smithsonian i n trai rates

4 X A SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent FRENCH FRANC; / DUTCH GUILDER J U ITALIAN LIRA r. / : /U.K. POUND 1! 1 ' 1, I i! Weekly averages (week ending on Friday) ot daily offered rates in the New York market as per cent a cove or below Smithsonian central rates.

5 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averager 30 GERMAN MARK SWISS FRANC 20 JAPANESE YEN FRENCH FRANC BELGIUM FRANC DUTCH GUILDER CANADIAN DOLLAR Per cent above or below parity ITALIAN LIRA Central U.K. POUND MAY JUNE AUG 1973 : E FT WeeHy averages (week ending on Friday) of daily offered rate' m the New York market as iv hmm it \.e heivw S "!h<vni.v

6 v 3MONTH FORWARD EXCHANGE MAJOR CURRENCES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM CANADIAN DOLLAR U.K. POUND DISCOUNT PREMIUM GERMAN MARK! DISCOUNT DUTCH GUILDER DISCOUNT M j S * Canadian Dollar Rale not supported t, Bank of Canada See DESCRIPTION AND SOURCES OF DATA January pp 2 3.

7 Chart 2B 1 3MONTH FORWARD EXCHANGE MAJOR CURRENCES AGAINST U.S. DOLLAR Weekly averages i i i i I I : I 1 1! 1 1 1! PREMIUM + Per cent per annum FRENCH FRANC DISCOUNT SWISS FRANC PREMIUM + / DISCOUNT I 1 1 t 1 1 f 1 I l 1 I i i i I : M t J S D M j M J 3 D M J S D See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 23.

8 Chart 3A 3MONTH FORWARD EXCHANGE MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNT I I I I i 1 I I I I I I I 1 I I I I I i I II 1 I I I I I I 11 i I I I I I i 1! I I I I I I J s See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, p. 3.

9 Chart 3B 3MONTH FORWARD EXCHANGE MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREf AIUM + Per cent per annum 16 M 1 h jw SWISS FRAP IC A 1 Au ftj 1 \ ~ V FRENCH FRANC DISCOI II 1 II 1 1 II! ' : l, 1! 1 1 II 1 JNT M h i 1 M! M ii i ii 1 i i 1 i i M J S D M J S D J S See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, p. 3.

10 1 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 120 I I 1 I I t 1 I 1 I I M I 1 I I I M 1 I I 1! I I I I I 1 I 1 1 I 1 30 M J S J S D M S D D M J See DESCRIPTION AND SOURCES of DATA, January I, 1973, p. 4.

11 " Chart 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum CALL EURODOLLAR DEPOSITS OVERNIGHT EURODOLLAR DEPOSITS 10 FEDERAL FUNDS EURODOLLAR OVER FEDERAL FUNDS FAVOR EURODOLLAR FAVORMEIKRAL FUNDS EUROCURRENCIES Weekly averages Per cent per annum EURODM EUROSWISS FRANC J S D M J S D S J s D * Changed from CALL tc OVERNIGHT Euro dollar deposits, May 10, See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 46.

12 Chart 58 CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per ai 12 8 FRANCE 4 ii I i i I ii 1 i NETHERLANDS i i ii i i ii I i i I i i i M i i r i i i ue. Day to day Money. Netherlands, Call Money, weekly average; Japan, Unconditional Money; ada. Day :o day Loanv weekly average; Germany, Call Money; U.K., 2day Local Authority Deposits. DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 46.

13 LONDON: EURODOLLAR DEPOSIT RATES Friday figures ]5 00 Per cent per annum V 7DAY i\. n J \ yvi y r ' i V \ 1MONTH ^» W M 1 l 1 l l 1 ; l 1 l l 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. p M J S D M J S D M J S D * May 12/71changed to Overnight EuroDollar Deposits # e July 1changed to 7Day EuroDollar See DESCRIPTION AND SOURCES OF DATA, January , p 6. Digitized for FRASER

14 Chart 6B V* LONDON: EURODOLLAR DEPOSIT RATES Friday figures Per cent per annum vv \ A y i ^ I / v U 3MONTH [y / A i i 1 i i! i i 1 i i i i I i i I i i I i i Aw, X f \ J 6MONTH f i i 1 i i 1 i i 1 i i i i l l i 1 i i 1 i i See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, p. 6.

15 NEW YORKLONDON: YIELDS ON U.S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATESSECONDARY MARKET Wednesday figures Per cent per annum EURODOLLAR DEPOSIT j U.S. CERTIFICATE OF DEPOSIT DIFFERENTIAL FAVOR EURODOLLAR j A K ANV " EURODOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ; 1,1111! 1, 1!! m I m I m I m M j 5 D M J S D M J S D cee LESCRiPTiCN ANUSCURCESC ' DATA, January I. I 973. pp 67 M J Digitized for FRASER

16 NEW YORKLONDON: COST OF U.S. DOLLAR FUNDS 3MONTH DOLLAR DEPOSIT RATESPRIMARY MARKET Wednesday figures nt per annum EURO DOLLAR DEPOSIT <\ ADJUSTED 1 U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR DEPOSIT w EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT S D S D J s D M * v= ec 'or Reseve Recu cement **: s:e; 'or i " Waga Reserve Re:^ rement * * *. ; e c 'cr 2 r Vsrga Rese'.e ^ecuirement S D

17 Chart 8A london: covered yields on u.s. dollar funds HIRE PURCHASE/STERLING CD's vs EURODOLLAR RATES Friday figures Per cent per annum 12 EURODOLLAR DEPOSIT 8 HIRE PURCHASE COVERED STERLING CD's 4 0. DIFFERENTIAL FAVOR STERLING CD's \ ia A A y \A M + 0 h f 1 4 FAVOR EURO DOLLAR l l 1 I I 1 l I 1 I I I I I I I I M J S D M J S D M J S D M J S *Hire Purchase suspended August 11, 1972 and Sterling Certificates of Deposit begin August 11^1972. See DESCRIPTION AND SOURCES OF DATA, January 1, pp. 7

18 Chart 8B london: covered yields on u.s. dollar funds LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED i I i i I i i 1 i i 1 i i i i i 1 i i 1 i i 1 i i 1 i i 1 ii DIFFERENTIAL I i.) 1 i i 1 i i 1 i i 1 i i 1 o FAVOR LOCAL AUTHORITY Ay V# FAVOR furo DOUAR l 1 l 1 II I I I I I.I I I I I I i l I I 1 I 1 M J S O M J S D M J S D J S o M See DESCRIPTION AND SOIJRMS 01 UAIA. January I. l«f/l.i». /H

19 interest arbitrage: united kingdom and united states Per cent pe annum 3MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED NEW YORK NEW YORK * P'r.tted for comparison purposes Se: DESCRIPTION AND SOURCES OF DMA anuary 1, 1973, pp 89

20 > 0 Chart 9B interest arbitrage: united kingdom and united states Friday figures Per cent per annum RATE DIFFERENTIAL AND 3MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON FORWARD RATE DISCOUNT RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER FAVOR LONDON FAVOR NEW YORK S D J S D M J S M S D See DESCRIPTION AND SOURCES OF DATA January 1, 1973, pp.89.

21 3month funds interest arbitrage: eurodollargerman mark FRANKFURT INTERBANK LOAN RATE VS. LONDON EURODOLLAR RATE Wednesday rates :; I I I I I 1 I I I I I I I I I : p 12 GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO DOLLAR I I I I I I I I I 1 1 I I I I I I I I I I I 1 I I I I I 1 I I I M 1 I i i I I 1 I I 1 II I See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp No quotation

22 /p/ 3month funds interest arbitrage: euro dollar swiss franc ZURICH DEPOSIT RATE VS. LONDON EURODOLLAR RATE Wednesday rates Per cent per annum I I I M I I I I 1 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 12 SWISS DEPOSIT RATE EURODOLLAR COVERED DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR M I I I I I I 1 M I I I I I I M I I I I 1 I I I I I I 1 M I I I I I I I I \ See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 910.

23 3month interest arbitrage: canada united states Friday figures BILL RATES Per ce't per annum 1 1 II!!!! I I I I I l l l /r A * AAT UNITED STATES TREASURY BILLS dfy CAN. FIN. CO. PAPER v 1 J 1 1 BILL RATE DIFFERENTIA \L AND FORWARD CANADA in DOLLAR FORWARD RATE /rvvvvv", k/^v TREASURY BILLS 1 1 PREMIUM /\A : v J h A ya/vy/ vx,\j : GROSS SPREAD IN FAVOR OF C/ INADA DISCOUNT. i COVERED RATE DIFFERI ENTIALS FAVOR CANADA. PRIME FINANCE PAPEF K V x / V \y TREASURY! BILLS ^ / Vv : < i i l M l i i l i i I I FAVOR U.S M : J S D M J S D M J S D M J S D See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp

24 Chart 1 2A selected shortterm interest rates* J ' w i v VI r XAW \ \ r GERMANY i i ( i j r J A r Z / i p / i Per cent per annum vy u.s. I I 1 II1II1II II 1 I I 1 II 1 I I I I 1 II 1 I I 1 I I L 1 L i 1 K \ t V' A L f\ r^ U.K. 1 J r ' ' 1 f f.. i n / /' Aj U.S ! I 1 1 I II II 1 11 II 1 II 1 II JAPAN MONTHLY. : : : 1 1 i II, i! m ; I i II 11 1 I 1 1 II 1 1 II ! 1 II * 3 month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany (interbank loan rate) See DESCRIPTION AND SOURCES OF DATA, January pp

25 0> z selected shortterm interest rates Per cent per annum 12 \,A 1 EURO DOLLAR LONDON r 1 / \ \ fs v i f L/v \ \ j j * \ A V i, 1 1! 1,! I : h 1 1! i i n i i L'V \_ i V,J"LJ U A, 1 1 SWITZERLAND > ' y i i J r V J i; 1111! i 1 i i i 1 i i i imi i i i j 1 i i! j i! i I V \ /* va \t X /W\ > i 11 i I i I 1 I i 1 i I U.S. M/ ^CANADA See DESCRIPTION AND SOURCES OF DATA. January 1, pp r i i 1 i i! i i 1 i i t 1 J It M

26 longterm bond yields Weekly figures Per cent per _ w K/V NETHERLANDS U.S. SWITZERLAND II! 1 1! II l.l.j II 1 II /Sj U ' K " aatv I \ J / \ \ X GERMANY/^ II 1 i 1 i 11 i i 1 i i 1 i i Monthly figures \ U.S. CORPORATE: y CANADA I I 1 I I 1 l i 1 i 1 i i 1 i i 1 i i.i i 1 i i 1 i i 1 i i DOLLAR EUROBON IDS v Aaa BONDS x.. DM EUROBONDS i i 1 i i 1 i i h i II II I II II 1 M I I 1 t See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp

27 4TV industrial stock indexes Ratic scale, 195? UNITED STATES Fat.G scale. :95 = 1Cl I, i I 1 ', ',11 1, i : ; i ! " 1 i 1 i JAPAN 960 SWITZERLAND SWITZERLAND' J V \ v ^ " v 640 / UNITED KINGDOM 480 A yqj JAPAN i GERMANY 1 CANADA 320 r V ' CANADA GERMANY 240 lli, i, i,. 1 1, 1 1,, ; i i 1 i I i i,

28 October 3, 1973 H.13 IV. SELECTED CENTRAL BANK DISCOUNT RATES Release No. 630 Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium France 6.5 August 2, July 5, Sept. 20, August 2, 1973 Germany 7.0 June 1, May 3, 1973 Italy 4.0 April 10, Oct. 14, 1972 Netherlands 6.5 August 7, July 18, 1973 **United Kingdom July 27, July 20, 1973 Switzerland 4.5 Jan. 1, Sept. 15, 1973 Canada 6.75 August 7, June 10, 1973 Japan 7.0 Aug. 29, July 2, 1973 United States 7.5 Aug. 14, July 1, 1973 ^Effective October 13, 1972, the Bank of England replaced its traditional Bank Rate with a fluctuating "minimum lending rate" based on average Treasury bill tender rate.

29 i\ LATEST FIGURES PLOTTED ON THE CHARTS October 3, 1973 Release No. 630 Chart Panel Series Date Rate 1 1A & 1C Swiss franc Sept IB & 1C U.K. pound 7.17 IB & 1C French franc " A & 1C Japanese yen " A & 1C Belgian franc IB & 1C Italian lire " A & 1C Canadian dollar " A & 1C German mark " IB & 1C Dutch guilder " A German mark ii 4.36 Swiss franc " 4.97 U.K. pound " B Upper Dutch guilder " 0.41 Canadian dollar " 1.42 French franc " A German mark U.S. dollar Swiss franc 5.56 French franc 2,18 4 Gold price, U.S. dollar per ounce A Upper Overnight Euro S deposits Sept Federal Funds Middle Differential " 0.59 Lower Eurocurrencies: Euro DM! Sept. 28 0,00 Euro Swiss Fr B Upper Japan, Unconditional Money < Sept U.K., 2day Local Author. Deps. < >ept r Canada, Daytoday Loans 6.40 Lower France, DaytoDay Money c >ept Germany, Call Money i. NA Netherlands. Call Money lept

30 Lower Net Incentive (+= favor London) 0.67 H.13 IV 3 October 3, 1973 Release No. 630 Chart Panel Series Date Rate 6A Euro$ Overnight Rate Sept Euro$ 1month Rate B Euro$ 3month Rate Euro$ 6month Rate A Upper Euro$ 3month Deposits Sept U.S. Certificate of Deposits 9.80 Lower Differential B Upper Euro $ 3month Deposits Euro ) 3month Deposits (Adj.) U.S. Certificate of Deposits (Adj.) Lower Differential: on Adj. Euro* Deposits on Unadj. Euro$ Deposits 8A Upper EuroS 3month Deposits Sterling CD's (covered) Lower Differential 8B Upper Euro$ 3month 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) 3month Forward Pound Sept Sept it Sept Sept I

31 H. 13 IV 4 October 3, 1973 Release No. 630 Chart Panel Series Date Rate 10A Upper Euro* Deposits (covered) Sept German Interbank Loan rate " Lower Differential» B Upper EuroS Deposits (covered) " 5.76 Swiss Deposit rate Lower Differential ii Upper Canadian Finance Paper Sept U.S. Treasury Bill rate ii 6.94 Canadian Treasury Bill rate ii 6.29 U.S. Prime Finance paper (not plotted) ii 8.50 Second Bill rate differential i Forward Canadian dollar n Third Net incentive on bills Sept c Sept Bottom Net incentive on Finance Paper Sept A Upper U.K. Treasury Bill rate U.S. Treasury Bill rate if 6.94 German Interbank Loan rate ii Lower Japanese Average rate July Canadian Treasury Bill rate Sept U.S. Treasury Bill rate ii B Euro$ Deposits h Swiss 3month Deposit rate ii 4.50 U.S. Treasury Bill rate ii 6.94

32 3 ^ ' H. 13 IV 5 October 3, 1973 Release No. 630 Chart Panel Series Date Rate 13 Upper Netherlands Sept Canada *United States r Middle Switzerland Germany United Kingdom Sept Sept i Lower U.S. Corp. Dollar Eurobonc^^^ ^ Aug U.S. Corp. DM Eurobonds Series G Aug U.S. Corp. Aaa bonds 14 Upper Switzerland Aug Sept Middle Germany United States United Kingdom Canada Sept Sept Sept Sept Lower ** Japan United States Sept Sept * New Average yield on selected 10 year constant maturity bonds due or callable in 10 years. ** 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.