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D vis.on of International Finance. Europe and British Commonwealth Section January 1. 1S72 ft 4} SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. DESCRIPTION AND SOURCES OF DATA PLOTTED IN THE WEEKLY SERIES OF CHARTS B O A R D OF GOVERNORS OF T H E F E D E R A L RESERVE SYSTEM CHARTS 1A and IB Spot Exchangetotei—MijorCurrencies AttlMt 8. Dollar Belgian franc. Canadian dollar. French franc. German mark. Italian lira. Japaneae yen. Netherlanda guilder. Swias franc, and ILK, pound . Quotattone used are certified* noon buying ratea In New York In U. S. cents per unit of foreign currency. Rates are expressed as a percentage above or below their par values with the U.S. dollar. Through December 31, 1968, Friday figures plotted. Effective January 1, 1969, weekly average of dally noon rates. No rates plotted since August 16, 1971 (see Charts 1C and ID). / Sources Federal Reserve Bank of New York. * Certified ratea are rates certified to the Secretary of the Treasury by the Federal Reserve Bank of New York for purposes of converting foreign currency into dollars for customs valuation. BOTTOM PANEL OF CHART IB Canadian dollar The Canadian dollar rate plotted in actual rates In U.S. cents beginning June 1, 1970 -- date of float May 30, 1970, when rate was no longer supported by the Bank of Canada within Ilf margins* Weekly average of daily certified noon ratea in the Federal Reserve Bank of New York. Source: Federal Reserve Bank of New York. CHARTS 1C and 1C Spot Exchange Rates—Major Currencies Against P.S. Dollar German mark. Netherlands guilder. French franc f financial). Japanese yen. Belgian franc. O.K. pound. Swiss franc and Italian lira Beginning May 11, 1971, weekly averages of percentage deviations from parities with the D.S. dollar as of May 10, 1971, that is, after the revaluation of the Swiss franc on that day. _)-2The rate for the French "financial" franc la plotted; the "coe mercial" franc la supported by the Bank of France and has not risen above Its previously prescribed limits. Source: Federal Reserve Bank of lev York, CHARTS 2A and 2B Three-Month Forward Exchange—Ma jor Currencies Against P.S. Dollar (all figures In per cent per annua) Swiss franc Premium/discount In per cent per annum on the three-month forward Svlss franc vls-h-vls the U. S. dollar calculated on the basis of quotations on the Ztirich foreign exchange market, Through December 31, 1968, Friday figures. Effective January 1, 1969, weekly average of daily quotations. Source: Federal Reaerve Bank of Mew York, German mark Premium/discount In per cent per annum on the three-month forward mark vls-k-vis the U.S. dollar calculated on the basis of quotations on the Frankfurt foreign exchange market. Through December 31, 1968, Friday flgurea. Effective January 1, 1969, weekly average of dally quotations. Source: Federal Reaerve Bank of Hew York. P.K. pound sterling January 2, 1959. through December 27. 1963—Premium/discount in per cent per annum on forward pound, computed on the basis of •id-rates for both spot and forward quotations at noon on Friday in Hew York, January 3. 1964. through December 31. 1968—Premium/dlacount In per cent per annum on forward pound, computed on the basis of eld-rates for both spot and forward quotations at 11 a.*, on Friday in lew York, -3January 1, 1969, to date—As above except that the rate plotted la the average each week of dally 11 a«m. quotations. Source: Market data obtained free the Foreign Department, Federal Reserve Bank of Hew York, French franc, Dutch guilder and Canadian dollar Premium/discount In per cent per *nn»pi on three-month forward francs, guilders and Canadian dollars vis-*-vis the U. S. dollar calculated on the basis of quotations on the New York foreign exchange market; 2:30 p.m. rates. Through December 31, 1968, Friday figures. Effective January 1, 1969, weekly average of daily quotations. Source: Federal Reserve Bank of New York. BOTTOM PANEL OF CHART 2A Four-Month Forward Yen Against U.S. Dollar Japanese yen Weekly average of mid-points of Buy and Sell quotations on the Tokyo Exchange. Premium/discount plotted in per cent per annum above/below spot rate. Source: Japan Economic Journal. CHARTS 3A and 3B Three-Month Forward Exchange—Major Currencies Against U.K. Pound German mark, U.S. dollar. Swiss franc and French franc Premium/discount in per cent per annum on three-month delivery of each of these currencies vis-&-vis the U.K. pound, calculated on the basis of the mid-rates of the daily range of both spot and forward quotations in the London foreign exchange market. Source: The Financial Times (London). cam 4 Cold Price in London U.S. dollar equivalent of the price In ILK. pound per fine Troy ounce of gold In 12.5 Kg bare. Through March 15. 1968—Glome of business on Fridays. April 1. 1968. to date—Weekly average of afternoon fixings. Source: Bank of England. C M T 8 SA and 5B Call Money Bates Call Euro-Dollar Deposits Weekly averages (Thursday-Wednesday) of brokers' bid rates in London, up to May 7, 1971. Source: Market data obtained from the Foreign Department, Federal Reserve Bank of Hew York. Overnight Euro-Dollar Deposits Beginning May 14, 1971, weekly averages (Thursday-Wednesday) of brokers' bid ratee in London. Source: Market data obtained from the Foreign Department, Federal Reserve Bank of Hew York. International • Developments, International Finance. Federal Funds Weekly averages (Thursday-Wednesday) of overnight interbank loans in Hew York City. Bates used are those at which transactions took place. Source: Money and Capital Marketa. Government Finance Section, Board of Governors of the Federal Reserve Syetem. -5Euro-Currencies Weekly averages (Saturday-Friday) of 48-hours currencies for Euro-DM and Euro-Swiss franc, the rates are those for interbank loans in excess of $200 thousand. Source: Le Monde, Paris. Foreign Currencies Japanese Unconditional Money Bate Friday's rate on Japanese unconditional money rate in Tokyo, Unconditional money loans are repayable at 24-hour notice. Source: Japan Economic Journal. United Kingdom 2-Day Local Authority Deposits Friday's rates on 2-day uncovered Local Authority Deposits in London. Source: The Financial Times (London). . Canada * Weekly average of closing rates (Wednesday date) on Money Market Day-to-Day Loans. Source: Bank of Canada Weekly Financial Statistics. Selected EEC Currencies French Day-to-Day Money Rate Friday's market rate on interbank call money loans against private paper. Source: Le Monde. Paris. German Call Money Rate Mid-point of Friday's rate of German interbank call money loans. Source: Frankfurter Allgemelne Zeltung. -6- Netherlanda Weekly average (last date Friday) of dally market ratea. Source: Research Department, Nether land# Bank. c a m s 6A and 6B London; Euro-Dollar Pepoalt Rates The rate of Interest paid (bid) on 7-day, 1-month, 3-month and 6-month U.S. dollar-denominated time deposits by banking institutions in London. Friday noon figures. Through May 12, 1971, Call rate was plotted; in the period May 12 through M y 1. 1971, overnight rata was plotted and on Jbly 1« 1971, the 7-day rate mas subatituted as the rate moat typical of very abort maturities. Source: Market data obtained from Foreign Department, Federal Reserve Bank of Hew York. CHARTS 7A and 7B Mew York—London: Ylelda on D.S. Dollar Funds Euro-Dollar Deposit The rate of interest paid (bid rate) on three-month, Q.S. dollardenominated time deposits with banking institutions in London. Wednesday flgurea. Source: Market data obtained from the Foreign Department, Federal Reserve Bank of lew York. B.S. Certificates of Deposit The yield calculated from secondary market offering prices for three month time certificates of deposit of major lew York City banks. Wednesday figures. Source: Market data obtained from the Market Statistics Department, Federal Reserve Bank of Mm York. -7Euro-Dollar Deposit (Adlusted) Adjusted for Marginal Reserve Requirement. Source: Banking Section, Federal Reserve Bank of lew York. U.S. Certificate# of Deposit (Adjusted) Offering rates on new large denomination negotiable certificates of deposit, 90-179 days maturity, offered by seven Mew York banks with deposits of $1 billion or over. Adjusted for reserve requirements on these certificates to be comparable with Euro-dollar deposits (see above). Source: Banking Section, Board of Governors of the Federal Reserve System., CHARTS 8A and 8B London: Covered Yields on U.S. Dollar Funds Blre-Purchase Deposit (Covered) The rate of interest paid on three-month deposits with prime British finance houses covered against exchange risk by purchase of three-month forward U.S. dollars in London. As of close of business Friday. Source: Bank of England. Local Authority Deposit (Covered) The rate of interest paid on three-month time deposits with U.K. local authorities covered against exchange risk by purchase of three-month forward U.S. dollars in London. As of close of business Friday. Source: Bank of England. Euro-Dollar Deposit The rate of interest paid (bid rate) on three-month U.S. dollardenominated time deposits with banking institutions in London. As of close of business Friday. Source: Bank of England. rmwn m and n latttit Arbitrage: P d f d Stoti-Uritd llndw O.K. ttmuri BUI Jsnuary 2, W59, through J M 24, 1X0 Hingi Friday tMter rate for 80-day Traeeuij bills adjusted for a W m TUfc quotation basis. Sources the Ecootaltt, *ly 1, 1960t to date—trior 11 a. a. Friday market offer rate In London for 90-day Treasury bills adjusted to a W m York Quotation basis. (The U.K. Treasury bill, ehich is footed in London on a 365-day discount bssis, is adjusted to a 360-day discount basis, the quotation basis of the 0.5. treasury bill in lee York, by multiplying the London quotations by the ratio 360/365.) Source: Market data obtained from the Foreign Department, Federal Reserve Bank of lev York. B.S. Treasury Bill 11 s.su Friday market offer rate in lew York for 90-day Treasury bills. Source: Market data obtained from the Securities Department, Federal Reserve Bank of Van York. ILK. Local Authority Depoalta fltocovered) The rate of interest paid on three-month tine deposits mode with British local authorities. Friday figures. Source: The Financial Times (London). Premium/Discount on the Forward B.L Bound See notes to Chsrt 2. CHARTS 1QA and 10B Interest Arbitrage: Euro-Pol lar—Germaa Mark &#ia# Frame German Interbank Loan Bate Through December 31, 1968—The rate of Interest In the German interbank loan market for three-month funds. The rate charted is the average of the mid-points of daily rate quoted by Frankfurt banks on business days in the perixxk ending on the reporting dates: 7th, 15th, 23rd, and final day of the month. January 1. 1969. to date—Mid-point of the Wednesday rate quoted by Frankfurt banks for three-month loans. Source: Frankfurter Allgemeine Zeitung. Euro-Dollar Rate (Covered) The rate of interest paid (bid rate) on three-month, U.S. dollardenominated time deposits with banking institutions in London. The rate charted corresponds with time periods or days charted for German Interbank Loan Rate. The three-month forward DM quotations used to compute the cost of cover are the Frankfurt foreign exchange market rates for the corresponding Wednesday. Source: Market data obtained from the Foreign Department, Federal Reserve Bank of New York. Swiss Deposit Rate • Through October 7. 1968—The mid-point of the range of interest paid (bid rate) on three-month deposits by large banks in Ztirich on the 7th, 15th, 23rd, and last day of each month. Source: Swiss National Bank, Monthly Bulletin. October 9. 1968. to date—Mid-noint of Wednesday interest paid (bid rate) on three-month deposits by large banks in Ztirich. Source: U.S. Embassy, Bern. Euro-Dollar Rate (Covered) The rate of interest paid (bid rate) on three-month, U. S. dollardenominated time deposits with banking institutions in London. -10- The rate charted corresponds with day charted for Swiss deposit rate. The three-month forward Swiss fra& quotations used to compute the cost of cover are the Ztirlch foreign exchange market quotations for the corresponding Wednesday. Source: Market data obtained from the Foreign Department, Federal Reserve Bank of Hew York. CHART 11 Interest Arbitrage: Halted States—Canada , Canadian Treasury Bill January 2. 1959. through December 27. 1962—Average Thursday tender rate for 90-day Treasury bills adjusted to a New York quotation basis, as described below. Source: Bank of Canada, Weekly Financial Statistics. January 4. 1963. to date—11 a.m. Friday market offer rate In Canada for 90-day Treasury bills adjusted to a New York quotation basis. (The Canadian Treasury bill, which Is quoted in Canada on a 365-day true yield basis, is adjusted to a 360-day discount basis, which is the quotation basis of the D.S. Treasury bill in New York.) Source: Market data obtained from the Foreign Department, Federal Reserve Bank of New York. U. S. Treasury Bill January 2. 1959. through December 27, 1962—11 a.m. Thursday market offer rate in New York for 90-day Treasury bills. January 4, 1963. to date—11 a.m. Friday market offer rate in New York for 90-day Treasury bills. Source: Market data obtained from the Securities Department, Federal Reserve Bank of New York. Canadian Finance Paper (Uncbvered) The yield calculated from offering prices for three-month notes issued by prime Canadian finance companies. Friday figures. Source: Royal Bank of Canada. -11- Ptxaalun/Dlacount on the Forward Canadian Dollar January 2, 1959. through December 27. 1963—Premium/discount In per cent per annum on the three-month forward Canadian dollar, computed on the basis of mid-rates for both spot and forward quotations at noon on Thursday in New York. January 4. 1963. through December 27. 1963—Premium/discount in per cent per annua on the three-month forward Canadian dollar computed on the basis of mid-rates for both spot and forward quotations at noon on Friday in New York. January 3. 1964. to date—Premium/discount in per cent per annum on the three-month forward Canadian dollar computed on the basis of mid-rates for both spot and forward quotations at 11 a«au on Friday in New York. Source: Market data obtained from the Foreign Department, Federal Reserve Bank of New York. Prime Finance Paper (Differential) Differential computed from D.S. and Canadian finance company paper. CHARTS 12A and 12B Selected Short-Term Interest Rates German Three-Month Interbank Loan Rate See notes to Chart 10. U.K. Treasury Bill Rate See notes to Chart 9. U.S. Treasury Bill Rate See notes to Chart 9. Japan; Average Rate on Bank Loans and Discounts A weighted average of agreed interest rates and discounts charged by city banks, local banks, trust banks, and long-term credit banks. Monthly average. Source: Bank of Japan, Economic Journal. -12. Canadian Treasury >111 latt See notes to Chart 11. Euro-Dollar late (LondotO 3-month rate, Friday figures. See notes to Chart 6. Switzerland; Three-Month Deposit Rate See notes to Chart 10. c a m 13 Long-Term Bond Yields (all figures per cent per annual Netherlands January IS. 1960. to November 15. 1961—Weighted average of yields computed from quotations for* the 15th of each month for 2-1/2 per cent and 3 per cent government perpetual bonds. December 15. 1961. to end-1965—Weighted average of yields computed from quotations for Friday of each week. January 1966 to February 2. 1968—Yield computed from quotations for the 3 per cent Netherlands perpetual bond for Friday of each week. January 7. 1966. to date—Average yield on three 4.25 to 4.50 per cent State Loans, Friday figures. Source: The Netherlands Bank. Canada December 12. 1957. to December 31. 1964—Government of Canada 3-3/4 per cent (1975-76% January 1. 1965. to date—Covernmt nf of Canada 4-1/2 per cant (1983). Yield to maturity computed from closing mid market prices for Wednesday of each week. Source: Bank of Canada, Weekly Financial Statistics. -13United States: U.S. Government 3-1/2 Per Cent (1990) Yield to maturity computed on the average of closing bid prices quoted by five Government security dealers in New York City for Wednesday of each veek. Source: Market data obtained from the Securities Department, Federal Reserve Bank of New York. Switzerland Through May 24, 1968—3 Per Cent Swiss Confederation (1967-74). Yield to maturity calculated from transactions prices (or average of.bid offer quotations if no transactions occurred) for Friday of each week. Source: International Bank for Reconstruction and Development. Effective August 2. 1968. to date—Swiss Government Composite Bond Yield as computed by the Swiss National Bank. Source: American Embassy In Bern. United Kingdom: U.K. Government 3-1/2 Per Cent War Loan (1952) "Flat" yield calculated from the mean of market bid and offer quotations for Thursday of each week. Source: September 5, 1958, to December 8, 1961, Financial Times (London) . December 15, 1961, to date, Bank of England. Euro-Dollar Bonds Average yield (Friday date*) of 4 Issues through March 31, 1971: Austria, 79/84 Denmark, 70/84 Norway, /84 Norway, /85 - 6% 5-1/2% 5-1/2% 5-1/2% April 1, 1971—Friday date. Average yield to maturity of 6 bonds as follows: % -14Australia, 77 Denmark, 70/84 New Zealand, 85 Norway, 84 Norway, 83 Portugal, 70/84 - 6-1/2% 5-1/2% 5-3/4% 5-1/2% 5-1/2% 5-3/4% London Financial Times. Germany January 3, 1958, to Jbly 9, 1965—German Federal Railway. 5-1/2 — Per Cent (1958-83). — : Source; International Bank for Reconstruction and Developmint. July 9. 1965, to October 7. 1970—Federal Government (Public Authority). 6 Per Cent (1970). tieekly average of dally yields to maturity computed from an average of dally market quotations. Source: Frankfurter Allgemelne Zeltung. January 7, 1969. to date—-All Loans of Public Authorities—4 times a month on key banking days (7th, 15th, 23rd, and last day oftthe month). ( j Source: Deutsche Bundesbank. 0»St Corporate Dollar Euro-Bonds Average for the month (at or near* end of month) of yields to maturity on ten most recent outstanding long-term (10-20 years) O.S. dollardenominated bonds, Issued by U.S. corporations In markets outside the Halted States (mainly European markets). 1. Series D—based on Issues offered In 1968 or earlier and Is used for calculating yields for December 1968 through December 1970. 2. Series E—based on Issues offered in 1969 or earlier and Is used for calculating yields for December 1970 through December 1971. Source: Morgan Guaranty Trust Co. (New York), World Financial -y Markets. -15U.S. Corporate DM Euro-Bonds Average for the month (at or near end of month) of yields on the ten most recent outstanding (10-20 years) DM denominated Eurobonds of prime, well-known O.S. corporations. 1. Series D—based on Issues offered In 1968 or earlier and is used for calculating yields for December 1968 through December 1970. 2. Series E—based on issues offered in 1969 or earlier and is used for calculating yields for December 1970 through December 1971. Source: Morgan Guaranty Trust Co. (Hew York), World Financial Markets. U.S. Corporate Bonds Weekly average of daily figures of Aaa corporate bond yields. Note: effective from December 23, 1967, this series excludes Aaa railroad bonds. Source: Moody's Investor Service. CHART 14 Industrial Stock Indices (1958 = 100) United Kingdom Industrial ordinary stock index. Closing Friday figures. Source: The Financial Times (London). Switzerland Index of the prices of 39 industrial stocks. Closing Friday figures. Source: Swiss Bank Corporation. Germany Index of the prices of German industrial stocks calculated for the 7th, 15th, 23rd, and final day of each month. Effective March 22, -16- 1968 new Gerean index, based on 1965, will be used. This Index la converted to 1958 bait. Source: Deutsche Bundaahanfc. United Statea Beddy average of dally indlcea of the prices of 425 industrial stocks. Source; Standard and Boor*a. Inc. January 1958 to January 1970—Weekly average of daily Indlcea of the prices of 225 Industrial and other atocka traded on the Tokyo exchange, January 9. 1970. to date—Japanese index of all industrial and other stocks traded on the First Section of the Tokyo Stock Exchange. Weekly average (Friday date). Source: Japan Journal, Inc., Japan Stock Journal. Canada Weekly average of daily indices of the prices of 79 industrial stocks calculated for Friday through Thursday of each week. Source: Financial Post (Toronto). Mote: Current and preceding central bank discount rates for countriea covered by H.13 series are shown in e separate table. Sources are the central banka concerned. •
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