SEcicTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S.

Transcription

1 June 2, 1971 No. 508 t H-13 Division of international Finance Europe and British Commonwealth Section ' / (bei % 6"" i JU, \ f O & p i - b - t. n - w j J u i /V/3 SEcicTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM

2 z 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-S 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 11 - 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 has been published under that title through December 31, The changes in the format and order of the charts are fully explained in the Supplement to the series, which accompanied issue dated January 1; 1969.

3 3 Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above pai SWISS FRANC 1.6 GERMAN MARK U.K. POUND Above par JAPANESE YEN FRENCH FRANC- with DUTCH GUILDER S M J D M J S D S J D M J S D * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * Rate not supported by Central Bank. * * * Revaluation of the DM from to in U.S. cents. * * * * May 10, Swiss franc revalued; new par U.S. cents. Below par

4 u Chart IB SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR TSpPr M BELGIAN FRANC ITALIAN LIRA 1.2 Below par M J S D M J S D M J S D M J S D * Can. $ rate not supported by Bank of Canada.

5 Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages V V x to J A PRE* AIUM + 1ERM/ kn MA RK C V / A \ ASW nss fi RANG A A V \ z lz & x V! j! '! i! i! j ; 1 I! ; /,»: r i J ) J z U.K. POUNI ' V / j 1 i :! I I I II I! I! 1 1 i i DISCO! UNT- 1 I I I I,, I i i i ii iii M J S D M J S D M J S D M J S D

6 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC i DISCOUNT- M S D M J S D J M S S * Devaluation of the French franc from 4.94 to 5.55 for $ ** Can. $ rate not supported by Bank of Canada. *** No quotation

7 Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures' PREMIUM GERMAN MARK V U.S. DOLLAR DISCOUNT J S D M S D S D S M M J D *No quotation.

8 Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT M J S D M S D M J S D M J S D Devaluation of the French franc from 4.94 to 5.55 for $1.00

9 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce M J S D M J S D M J S D M s D 34 MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce 35.0 M J S D * Market closed March 15-April 1, 1968

10 CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages OVERNIGHT EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FE ideral FUNDS < v v v 1 yl/v V iwv \Af\f\i J [ f y A AJ w I/V \ i y j t ; ;.. i i :..,. ; EURO-CURRENCIES Weekly averages EURO DM EURO-DOLLAR 1 EURO-SWISS FRANC M J S D M J S D M J S D M J S D h May 10, Changed to Overnight Euro $ Deposits.

11 CALL MONEY RATES FOREIGN CURRENCIES* CANADA LECTED EEC CURRENCIES Friday figures FRANCE GERMANY NETHERLANDS * Japan, Unconditional Money; U.K., 2-day Local Authority Deposits; Canada, Day-to day Loans, weekly average. ** Germany, Call Money; France, Day-to-day Money;Netherlands, Call Money, weekly average.

12 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 10 CALL OVERNIGHT * May 12/71 -changed to Overnight Euro-Dollar Deposits

13 Chart 6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures,6 MONTH 3 MONTH J s ud " J S D D M J S D D M J S

14 Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures H 14 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT S D s s D

15 Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures EURO DOLLAR DEPOSIT ADJUSTED' - 12 EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED' 1 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT D S S D S D * Adjusted for Reserve Requirement ** Adjusted for 10% Marginal Reserve Requirement ***Adjusted for 20% Marginal Reserve Requirement

16 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures Per cent per 14 EURO DOLLAR DEPOSIT ^ iw= HIRE PURCHASE COVERED I FAVOR HIRE PURCHASE DIFFERENTIAL! FAVOR EURO DOLLAR S D S D M S D M S D

17 Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per 14 EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL M J S D M S 0 M S S D

18 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY UNCOVERED! DEPOSITS LONDON NEW YORK M S D s D S D S * Plotted for comparison purposes

19 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON I PREMIUM DISCOUNT! FORWARD RATE IN FAVOR OF LONDON IIN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M S M S S D J D D S D

20 Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE ^ EURO-DOLLAR DIFFERENTIAL FAVOR FRANKFURT, 4 FAVOR EURO DOLLAR S D s D S D S

21 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 -I EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH 2, FAVOR EURO DOLLAR M S D M J S D M S D S D

22 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per a ILL RATES CAN. FIN. CO. PAPER 'A UNITED STATES TREASURY BILLS CANADIAN > TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS PRIME FINANCE PAPER M S D J S D J S s D

23 SELECTED SHORT-TERM INTEREST RATES* GERMANY U.K. U.S. 9 JAPAN U.S. CANADA * 3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germanyllnterbank Loan Rate)

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

25 LONG-TERM BOND YIELDS Weekly figures NETHERLANDS CANADA U.S. SWITZERLAND 11 U.K. GERMANY k 7 * - EURO-DOLLAR BONDS Monthly figures 10 U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. Aaa BONDS U.S. CORP. DM EURO-BONDS 1967 * New series for Switzerland starts , U.S. Corp. Dollar Euro-Bonds and U S. Corp. DM Euro- Bonds starts 12-70, Euro Dollar Bonds starts ** New-Average yield of all German P A Bonds begins

26 i i! CHART 14 INDUSTRIAL STOCK INDICES U.K SWITZERLAND GERMANY 240 U.S. 160 [- ^JAPAN L - * r * "VXCANADA I 1 : 1 I I 1!! 1 1 I ' I 1 1 I! 1 I I! I 1 II! II 1 1 I * Japan index of 225 industrial and other stocks traded on the Tokyo exchange. ** Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. Digitized for FRASER

27 H. 13 No. 508 IV. SELECTED CENTRAL BANK DISCOUNT RATES Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 6.0 Mar. 25, Dec. 10, 1970 France 6.75 May 13, Jan. 8, 1971 Germany 5.0 Apr. 1, Dec. 3, 1970 Italy 5.0 Apr. 5, Mar. 9, 1970 Netherlands 5.5 Apr. 5, Aug. 4, 1969 Switzerland 3.75 Sept.15, July 10, 1967 United Kingdom 6.0 Apr. 1, Apr. 15, 1970 Canada Feb. 24, Feb. 15, 1971 Japan 5.5 May 8, Jan. 20, 1971 United States 4.75 Feb. 13, Jan. 19, 19 71

28 * May- 7/21 -- changed to Overnight Euro $ Digitized for FRASER IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc May German mark U.K. pound May Lower Dutch guilder French franc May Japanese yen " IB Belgian franc May Italian lire " Canadian dollar A German mark May Swiss franc " U.K. pound " B Dutch guilder ii Canadian dollar " French franc " A German mark Mav U.S. dollar " B Swiss franc M French franc " Gold price, U.S. dollar per ounce May A. Upper * Overnight Euro-$ deposits May Federal Funds " 4.68 Middle Differential " Lower Euro-currencies: Euro $ May Euro DM " 0.84 Euro Swiss Fr. " B Upper Japan, Unconditional Money May U.K., 2-day Local Author. Deps. " 6.50 Canada, Day-to-day Loans " Lower France, Day-to-Day Money " Germany, Call Money " Netherlands, Call Money "

29 IV-3 Chart Panel Series Date Rate 6A * Euro-$ Overnight Rate May Euro-$ 1-month Rate " B Euro-$ 3-month Rate " 7.50 Euro-$ 6-month Rate " A Upper Euro-$ 3-month Deposits May U.S. Certificate of Deposits " 5.25 Lower Differential " B Upper Euro-$ 3-month Deposits " 7.06 Euro-$ 3-month Deposits (Adj.)» 8.82 U.S. Certificate of Deposits (Adj.)» Lower Differential: on Adj. Euro-$ Deposits " on Unadj. Euro-$ Deposits " A Upper Euro-$ 3-month Deposits May Hire Purchase Deposits (covered) " 5.30 Lower Differential " B Upper Euro-$ 3-month Deposits May Local Authority Deposits (covered)» 5.24 Lower Differential» A U.S. Treasury Bill rate May U.K. Treasury Bill rate Local Authority Deposit (uncovered) May B Upper Spread (+= favor London) " month Forward Pound " Lower Net Incentive (+= favor London) " * May 7/21 -- changed to Overnight Euro-$

30 IV-4 Chart Panel Series Date Rate 10A Upper Euro-$ Deposits (covered) May German Interbank Loan rate " 6.12 Lower Differential " B * Upper Euro-$ Deposits (covered) " 4.10 Swiss Deposit rate " 3. 50p Lower Differential " Upper Canadian Finance Paper May U.S. Treasury Bill rate " 4.26 Canadian Treasury Bill rate " 2.97 U.S. Prime Finance paper (not plotted) May Second Bill rate differential Forward Canadian dollar " Third Net incentive on bills " Bottom Net incentive on Finance Paper " A Upper U.K. Treasury Bill rate May # U.S. Treasury Bill rate " 4.26 German Interbank Loan rate " 6.12 Lower Japanese Average rate March Canadian Treasury Bill rate May U.S. Treasury Bill rate " B Euro-$ Deposits " 7.50 Swiss 3-month Deposit rate " 3. 50p U.S. Treasury Bill rate " 4.26

31 IV-5 Chart Panel Series Date Rate 13 Upper Netherlands May Canada May United States May Switzerland May Middle * Germany May United Kingdom " 9.26 Euro-dollar bonds May Lower U.S. Corp. Dollar Euro-bonds April U.S. Corp. DM Euro-bonds " U.S. Corp. Aaa bonds " Upper Switzerland May Germany " United States " Middle United Kingdom " Canada " Lower ** Japan " United States " ,89 * 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.