JumZI. 1972 NO. M3 (3i% - FRASER · jumzi. 1972 no. m3 h-13 mitmhkcmm—lthdh» (3i% selected...

JumZI. 1972 NO. M3

H-13 m i t M h k C m m — l t h d h »

(3i% SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS

I MMD OF fiOWnOB OF tME FEBQUL K K M mTEH

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

TABLE OF CONTEXTS

PARTI. EXCHANGE KATES AMD GOLD PRICES

Chart 1A and B - Spot Exchange Bates, R*or Currencies lgaiart U.S. Dollar Chart 2A and B - 3-Ronth Forward Exchange Rates, Rafrr Cunendes against

U.S. Dollar Chart 3A and B - 3-Ronth Forward Exchange Rates, Ra#or Cunendes against

O X P M d Chart 4 - Gold Price to London

PART II. SHORT-TERR INTEREST RATES

Chart 5 - Call Honey Rates Chart 6A and B - London: Euro-$ Deposit Rates Chart 7A andB -New Yort- London: Yields on U S. Dollar Funds Chart 8A and B - London: Covered Yields on U.S. Dollar Funds Chart 9A andB - Interest Arbitrage: United States-United Kingdom Chart 10A and B - Interest Arbitrage: U.S.-Ge*any and U.S.-Switzerland Chart 11 - Interest Arbitrage; United States-Canada Chart 12A and B- Selected Short-ten Interest Rates

PART III. LORG-TERR INTEREST RATES ARC STOCK RIOICES

Chart 13 - Long-Tern Bond Yields Chart 14 - Industrial Stock Indices

PART IV. SELECTED CENTRAL BANK DISCOUNT RATES AND LATEST FIGURES PLOTTED OR THE CHARTS

NOTE: This series is a continuation of the CAPITAL MARKETS DEVELOPRERTS ABROAD, which was published under that title through December 31,1968. The changes in the format and order of the charts are explained in the ̂ upplwiit to the series, which accompanied issue dated January 1, MM. All series and their sources are hilly described in a Supplement dated January 1,1172.


Chart 1A

SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent

GERMAN MARK

UJ(. POUND

SWISS FRANC

1 DUTCH GUILDER

FRENCH FRANC

Central

US JAPANESE YEN

s 0 M J J s D

1972 1973


Chart IB

SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U3. DOLLAR Weekly averages Far cent

BELGIAN FRANC

I T A U A N

s s 0 M J D M J

1972 1973

Ratio scale, U.S. cents 102

100

9€

94

92 o s 0 M J s D M J S M J

1970 1971 1972


SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11. 1971 - Dec 17 1971

GERMANY

NETHERLANDS

FRANCE JAPAN

us. dollar

DEC. JUNE JULY AUG SEPT OCT NOV

1971 * financial franc


Chart ID

SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR 11. 1971- Dec. 17, 1971

BELGIUM

UK.

SWITZ.

ITALY

DEC. OCT. NOV. SEPT AUG. JULY JUNE MAY 1971

•For clarity the vertical scale is double that used in 1C


X Chart 2A

3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum

PREMIUM

CANADIAN DOLLAR

U.K. POUND

DISCOUNT-

PREMIUM

GERMAN MARK

DISCOUNT-

PREMIUM

DUTCH GUILDER

DISCOUNT—

M S D M J S D S D S D J J M J

1969 1970 1971 1972 * Canadian Dollar Rate not supported by Bank of Canada * * No quotation.


<&>

3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent per annum

1 1 1 1 1 1 1 I 1 1 1 ' ' 1 ' ' 1 ' ' 1 1 ' ' I " 1

4

1 1 1 1 1 | M | 1 1 | I I

V x A SW

7

ISS FRANC 1

K

K /

1/1/ FR

I I I N I I I I m

ENCH FRANC

U F T - 1 . . 1 . - 1 . -

v v

i i 1 i i 1 i i 1 i i M J S O M J S D M J S O

1970 1971 1972

12

18

24

I I I I I I 11 I I I M J S 0

1969 • Devaluation of the French franc from 4.94 to 5.55 for $1.00. * • No quotation


3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum

-

PRE U i IIUM +

-

-

1 -

-

\ -

V j u 1 1

GERMAN MARK

-

V i

4 1 1 A J -

U

i

F T U S. D O L U

11/ u

kR

1 1 1 . 1 1 1 1 1 1 1 1 I I I M I I > I I T F T i 1 i i 1 i i 1 i i 1 1 1 1 1 I 1 1 1 1 1 1

1969 h No quotation.

J S D M J S D M J S D

1970 1971 1972


Chart 38

3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST UK. POUND Friday figures f t r cent per #m**m

PREMIUM*

SWISS FRANC

FRENCH FRANC

DISCOUNT—

S 0 s D M J S D M J D M S J J M 1969 1970 1971 1972

•Devaluation of the French franc from 4.94 to 555 for $1.00


Chart 4

GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce

80

60

40

s D M S D S M J J M D M S D J

1969 1970 1971 1972


CHART 5A

CALL MONEY RATES DOLLAR F U N D S Weekly averages Per cent per

E U W O - O O U X D E P O S I T S

FEDERAL F U N D S

EURO-CURRENCIES Weekly averages

EURO-SWISS F R A N C

1 9 7 2 1 9 7 1 1 9 7 0 1 9 6 9

* May 10, 1971 - Changed to Overnight Euro $ Deposits.


12

8

4

0

8

4

0

12

8

4

0

:ALL MONEY RATES •ELECTED FOREIGN AND EEC CURRENCIES riday figures Per cent per an

•A NETHERLANDS i i i i i 1 i i I i i I i i

I I I I I I I

ince, Day-to-day Money; Netherlands, Call Money, weekly average. Japan, Unconditional Money; nada, Day-to-day Loans, weekly average; Germany, Call Money;U.K., 2-day Local Authority Deposits


Chert 6A

LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Fur cent per emewm

25.50

1-MONTH

CALL

7-DAY

s D M S D J S 0 M J M S D J M J

1969 1970 1971 1972 #May 12/71-changed to Overnight Euro-Dollar Deposits # #July- l -changed to 7 Day Euro-Dollar


% O

LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum

k & A M / 1 / r \ *

w H JJ \ IH-L 1 K P J \J\ A v M a - W O W T H

V V

i i 1 i i 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 I I i i 1 i i 1 i i 1 i i 1

12

10

M J S D M J S D M J S O M J S D 1969 1970 1971 1972


Chert 7A

NEW YORK LONDON: YIELDS ON U*. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures

US. CERTIFICATE OF DEPOSIT

DIFFERENTIAL FAVOR EURO-DOLLAR

EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT

0 s D J S D S M J D M J S M J

1969 1970 1971 1972


NEW YORK-LONDON: COST OF U.5. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per annum

EURO DOLLAR DEPOSIT ADJUSTED *

EURO DOLLAR DEPOSIT

U.S. CERTIFICATE OF DEPOSIT ADJUSTED

EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT

ADJUSTED

*Ad|usted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement •••Adjusted for 20% Marginal ftnerve Requirement


Chert 8A

LONDON: COVERED YIELDS ON U.8. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures N r ceet per emmwrn

EURO DOLLAR DEPOSIT

MWE PURCHASE COVERED

T FAVOR HIRE PURCHASE

—

EURO-OOUAR

M J 1 9 6 9 1 9 7 2 1 9 7 1 1 9 7 0


Chart 88

LONDON: COVERED YIELDS ON U.8. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per annum

EURO DOLLAR DEPOSIT

, LOCAL AUTHORITY DEPOSIT

fCOVERED

FAVOR LOCAL AUTHORITY +

FAVOR EUROtXJLLAH DIFFERENTIAL

1970 1971 1972


Chart 9A

INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Par cant par annum

3-MONTH TREASURY BILL RATES

AUTHORITY DEPOSITS U.K. LOCA UNCOVERED

S M 0 S D J J S D M J D M S J M 1 9 6 9 1 9 7 0 1 9 7 1 1 9 7 2

# Plotted for comparison purposes


E$° Chart 9B

INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum

PREMIUM, RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I

SPREAD M FAVOR OF

FORWARD RATE

DISCOUNT

4 FAVOR LONDON DIFFERENTIAL

i "FAVOR NEW YORK

M S D S M S D S J M D M J D J J

1969 1970 1971 1972


3 MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per wmim

IN TERMS OF DM

GERMAN INTERBANK LOAN RATE

EURODOLLAR COVERED

i — L i i

4 DIFFERENTIAL FAVOR FRANKFURT

FAVOR EURO-DOLLAR _.1_1 J 1 I 1 -1

M J D S 0 s D S M J S M J D M J

1969 1970 1971 1972


Chart 10B

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

EURODOLLAR COVERED

SWISS DEPOSIT RATE

2 FAVOR ZURICH DIFFERENTIAL

FAVOR EURO-DOLLAR

M S J 0 M J S 0 M s D M J S J D 1969 1970 1971 1972

——— No quotation


10

8

6

4

2

2

+ 0

2

2

+ 0

2

2

+ 0

Chart 11

3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent peri

- BILL RATES

-CAN. FIN. CO. PAPER

UNITED STATES TREASURY BILLS CANADIAN \

TREASURY BILLS

PREMIUM BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR AV1 | a FORWARD RATE 7

GROSS SPREAD IN FAVOR OF CANADA DISCOUNT

COVERED RATE DIFFERENTIALS FAVOR CANADA

TREASURY BILLS

FAVOR U S.

FAVOR CANADA

PRIME FINANCE PAPER

FAVOR U S

S 0 M D J S M J S D 0 M J S J J S D M J S D M J S D M J 1969 197C 1971 1972


Chart 12A

SELECTED SHORT-TERM INTEREST RATES* Per cent per annum

GERMANY

U.K.

US.

JAPAN

U.S.

CANADA!

1968 1970 1972 * 3-month treasury bill rates for all countries except Japen(Average rate on bank loans and discounts)

. and Germanyflnterbenk Loan Rata)


Chart 128

SELECTED SHORT-TERM INTEREST RATES*

EURO-DOLLAR - LONDON

US.

SWITZERLAND

1972 1970 1968 * 3-month treasury bill rate for U.S., Switzerland-3 month deposit rate. • • 3-month rate for U S. dollar deposits in London.


Chart 13

LONG-TERM BOND YIELDS Weekly figures Per cent per annum

NETHERLANDS

CANADA

U.S. US. SWITZERLAND

I I

U.K.

GERMANY

U S. CORP. DOLLAR EURO-BONDS Monthly figures

U S. CORP. Aaa BONDS

U S. CORP. DM EURO-BONDS

1969 1970 1968 1971 1972 *New series for Switzerland starts 8-2-68, U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro-Bonds starts 12-70. # # New Average yield of all German PA. Bonds begins 1 7 69

* * " New series F starts 12-71.


CHART 14

INDUSTRIAL STOCK INDEXES

UNITED STATES

/ V v 1 1 1 1 1 1 1 1 1 1 1 l I 1 i V r l I 1 I I 1 1 1 1 1 1 1 1 1 1 1 i i 1 i t 1 i i 1 i i

- A ~ A SWITZERLAND :

k j

r XT

UNITED KINGDOM /

-

I I I I I I I I I I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 I I 1 I I 1 I I 1 I I

: - 1

J A P A N / 1 J

- * 613 12

r :

X R ^ ^ V \ _

GERMANY

X " -

1 1 1 1 1 1 1 I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1

" I C A N A D A ^ ^

I L 1 L L 1 1 1 1 I 1 I 1 1 1 L 1 1 1 1 1 1

1969 1970 1971 1972 * Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange.


CHART 14

INDUSTRIAL STOCK INDEXES 280

UNITED STATES

200

480 SWITZERLAND

360

UNITED KINGDOM 240

480 JAPAN

360

GERMANY

240

CANADA

160 1970 1969 1971 1972

* Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange.


CHART 14


UNITED STATES ^ z * Z N Y '

1 1 1 1 1 1 1 1 1 1 1 i i 1 i N r i i l i i 1 I 1 I I 1 1 1 1 1 1 111 M i M 111

- A w -

SWITZERLAND

K v ,

w ^ / v

UNITED KINGDOM /

-

1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 M 111

: f 613 12

r : V " ^ v x /

GERMANY

/ ^ X z Z " -

— r

1 1 1 1 1 1 1 1 I 1 1

V A / Z V " X " ^

V ^ '

i i I I i I i i 1 i i

. 1 ^ - V ^ n A V V / \ / CANADA \ J

1 1 1 1 1 1 1 1 1 I I I I 1 I I 1 1 1 1 1 I

1958=100 Ratio scale

280

200

360

240

480

360

240

1969 1970 1971 1972 # Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange.


CHART 14


UNITED STATES

SWITZERLAND

UNITED KINGDOM

1969 * Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange.


H. 13 No. 563

IV. SELECTED CENTRAL BANK DISCOUNT RATES

Country Current Rate In Effect Since Previous Rate In Effect Since

E.E.C.:

Belgium

E.E.C.:

Belgium 4 n M a r c h 2 . 1 9 7 2 6 . 5 Feb. 5 r 1972 France

S 7S Anr t l 6 . 1972 6 .0 J a n . 1 3 . 1 9 7 2 Germany 3.0 Feb. 25. 197: 4 .0 D e c . 2 3 . 1 9 7 1 Italy 4 . 0 A ri-n i n i o : ? A s I n f 1A, 1 0 7 1

Netherlands L n March 1 r 197: 4 . 5 Ten. 6. 1972

Switzerland 3.75 Sept . 15 r 19< 3.0 .Tulv 10. 1967 United Kingdom S . n Sept . 3. 1971 6 .0 Anr. 1 . 1971

Canada 4.75 nn«- 1071 5.25 Feb. 26. 1971

Japan 4.75 Dec. 29. 1971 5 . 2 5 J u l y 2 8 , 1 9 7 1

United States 4.50 4.75 HOY. 11. 1971


I V - 2

L A T E S T F I G U R E S P L O T T E D O N T H E C H A R T S

Char t Pane l Ser ies D a t e Ra te

1A Upper S w i s s f ranc June 16 + 0 . 5 8 U . K . pound .. -0 .110

L o w e r F r e n c h f ranc ii +2.140 J a p a n e s e y e n ii +1.270

I B Upper B e l g i a n f ranc „ +1.980 I t a l i a n l i r e n 40.190

L o w e r C a n a d i a n d o l l a r A c t u a l Rate 102.430 German mark ii +1.800 Dutch g u i l d e r II +1.450

2 A German mark June 16 +1.55 S w i s s f ranc +1.75 U . K . pound II - 0 . 6 9

2 B Upper Du tch gu i lde r ii +2 .36 C a n a d i a n do l l a r " - 1 . 0 4 F r e n c h f ranc n +0 .31

L o w e r J a p a n e s e yen n .a .

3 A German mark June 16 +3.34 U . S . do l l a r +1.23

3 B S w i s s f ranc n +2.73 F r e n c h f ranc II +1.74

4 Gold pr ice , U .S . do l la r per ounce June 16 61.35

i 5A Upper O v e r n i g h t Euro -$ d e p o s i t s June 14 4 .15

F e d e r a l F u n d s „ A £6 Midd le D i f f e r e n t i a l I I - 0 . 3 1 Lower E u r o - c u r r e n c i e s :

Euro DM June 16 3.38 Euro Swiss F r . 1.19

5B Upper Japan , U n c o n d i t i o n a l Money .Tune 9 4 .75 U . K . , 2 - d a y L o c a l Author . D e p s . 4 . 3 1 C a n a d a , D a y - t o - d a y L o a n s June 7 3.75

Lower F r a n c e , D a y - t o - D a y Money June 16 3.62 i ' ! Germany, C a l l Money II 3.06

• 1 1 N e t h e r l a n d s C a l l Money June 2 1 2.65


I V - 3

Chart Panel Series D a t e Rate

6 A Euro-S 7 - D a y Rate J u n e 1 6 4 . 2 5

Euro-S 1-month Rate it 4 . 6 9 6 B Euro-S 3-month Rate H 4 . 8 8

Euro-S 6-month Rate I I 5 . 2 5 7A Upper Euro-S 3-month Deposi ts J u n e 1 4 4 . 75

U.S. Cer t i f i ca te of Deposi ts i i 4 . 6 0 Lower Di f ferent ia l „ 4 0 . 1 5

7 6 Upper Euro-S 3-month Deposi ts „ 4 . 75 Euro-S 3-month Deposi ts ( A d j . ) ii 5 . 9 4

U.S. Cer t i f i ca te of Deposi ts ( A d j . ) I I 4 . 7 4 Lower Di f ferent ia l : on Ad j . Euro-S Deposits „ + 1 . 2 0

on Unadj . Euro-S Deposits I I + 1 . 2 7

8A Upper Euro-S 3-month Deposi ts J u n e 2 4 . 7 2

Hire Purchase Deposi ts (covered) 4 . 5 7 Lower Di f ferent ia l H - 0 . 1 5

8 6 Upper Euro-S 3-month Deposi ts „ 4 . 7 2 Loca l Authority Deposi ts (covered) i i 4 . 4 5

Lower Di f ferent ia l i i - 0 . 2 7

9A U.S. Treasury B i l l rate J u n e 1 6 3 . 8 5

U .K . Treasury B i l l rate „ 5 . 4 6 Local Authority Deposi t (uncovered)

J u n e 9 5 . 9 4 9 6 Upper Spread (+= favor London)

+ 1 - 6 1 3-month Forward Pound I I - 1 . 6 2

Lower Net Incent ive (+= favor London) I I - 0 . 0 1 |


I V - 4

Chart Panel Series Date Rate

10A Upper Euro-S Deposits (covered) J u n e 1 4 3 . 1 8

German Interbank Loan rate 4 . 6 2

Lower Differential + 1 . 4 4

1 0 B Upper Euro-S Deposits (covered) 2 . 8 8 Swiss Deposit rate 1 . 5 0

Lower Differential - 1 . 3 8

1 1 Upper Canadian Finance Paper ' J u n e 1 6 5 . 7 5 U.S. Treasury Bill rate 3 . 8 5

Canadian Treasury Bill rate 3 . 4 9

U.S. Prime Finance paper (not plotted) 4 . 3 7

Second Bill rate differential 1

- 0 . 3 6

Forward Canadian dollar - 0 . 7 2

Third Net incentive on bills - 1 . 0 8

Bottom Net incentive on Finance Paper + 0 . 5 2

1 2 A Upper U.K. Treasury Bill rate J u n e 1 6 5 . 4 6

U.S. Treasury Bill rate 3 . 8 5

German Interbank Loan rate J u n e 1 4 4 . 6 2

Lower Japanese Average rate A p r i l 7 . 2 3 6

Canadian Treasury Bill rate J u n e 1 6 3 . 4 9 U.S. Treasury Bill rate „ 3 - 8 5

1 2 B Euro-$ Deposits 6 A8

Swiss 3-month Deposit rate „ I S O *

U.S. Treasury Bill rate " 3 . 8 5


I V - 5

Chart Panel Series Date Rate

13 Upper Nether lands J u n e 2 7 . 0 4

Canada J u n e 7 7 . 2 2 Uni ted States J u n e 1 4 5 . 4 6 Swi tzer land J u n e 2 4 . 9 3

Middle * Germany J u n e 7 7 . 8 2 Un i ted Kingdom J u n e 9 9 . 5 2 Euro-dol lar bonds

Lower U.S. Corp. Do l la r Euro-bonds S e r i e s F A p r i l 8 . 1 1 U.S. Corp. DM Euro-bonds „ 6 . 9 7 U.S. Corp. Aaa bonds M a y 7 . 3 0

14 Upper Swi tzer land J u n e 1 6 4 5 2 . 6

Germany J u n e 7 3 0 7 . 0 Uni ted States J u n e 1 6 2 4 5 . 3 9

Middle Uni ted Kingdom «• 2 7 6 . 78 Canada J u n e 8 2 5 5 . 9 1

Lower * " Japan J u n e 1 0 6 1 3 . 1 2 Uni ted States

J u n e 1 6 2 4 5 . 3 9 * New - Average y ie ld of A L L German Publ ic Author i t ies bonds made as of banking key days .

* * Beginning week ended September 5, 1970, the Japanese index plotted is that of a l l industr ia l and other stocks on the F i r s t Section of the Tokyo Stock Exchange.


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Transcript of JumZI. 1972 NO. M3 (3i% - FRASER · jumzi. 1972 no. m3 h-13 mitmhkcmm—lthdh» (3i% selected...