Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : March 27, 1968 : Special Supplement: Description and Sources of Data

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No. 343-S

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— J C A C I I A L J ^ | < E T DEVELOPMENTS ABROAD

BOARD OF 8 OV BRNOM

March 27, 1968.

SPECIAL SUPPLEMENT
DESCRIPTION A N D SOURCES OF D A T A

This supplement contains a detailed description
of the data used in the weekly series of charts on foreign
financial markets and the sources from which they are collected.
The Special Supplement to H. 13 No. 239, dated
March 16, 1966, is superceded by this issue and should be discarded.

Europe and British Commonwealth Section




NOT FOR PUBLICATION

DECONTROLLED AFTER SIX MOlfTFS '

WEEKLY CHARTS ON FINANCIAL MARKETS ABROAD:
DESCRIPTION AND SOURCES OF DATA

CHART 1

New York, London: Yields on U.S. Dollar Funds
(all figures per cent per annum)

Euro-dollar Deposit
The rate of interest paid (bid rate) on three-month, U. S. dollardenominated time deposits with banking institutions in London.
Wednesday figures.
Source:

Market data obtained from the Foreign Department, Federal
Reserve Bank of New York.

U.S. Certificate of Deposit
The yield calculated from secondary market offering prices for
three-month time certificates of deposit of major New York City
banks.
Wednesday figures.
~
Source:

Market data obtained from the Market Statistics Department,<
Federal Reserve Bank of New York.

Call Euro-dollar Deposits
Weekly averages
Source:

(Thursday-Wednesday) of brokers * bid rates in London.

Market data obtained from the Foreign Department, Federal
Reserve Bank of New York.

Federal Funds
Weekly averages (Thursday-Wednesday) of overnight inter-bank loans
in Nej York City. Rates used are those at which transactions took
place.
Source: Money Market Perspectives, Government Finance Section, Board
of Governors of the Federal Reserve System.




1

-

2

-

CHART 2
London:

Yields for U.S. Dollar Investors on 3-month Funds
(all figures per cent per annum)

Euro-dollar Deposit Rates
The rate of interest paid (bid) on call, 30-day, 90-day and
180-day U.S* dollar-denominated time deposits by banking institutions
in London. Friday figures.
Source:

Market data obtained from the Foreign Department, Federal
Reserve Bank of New York.

Hire-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.
dollar-denominated time deposits in banking institutions in
London. As of close of business Friday.
Source:

Bank of England.




CHART 3

I.

Interest Arbitrage; Frankfurt/London, Zurich/London
(all figures per cent per annum)

German Interbank Lona Rate
The rate of interest in the German interbank loan market for threemonth funds. The rate charted is the average of the mid-points of
daily rates quoted by Frankfurt banks on business days in the periods
ending on the reporting dates: 7th, 15th, 23rd, and final day of
month.
Sources

Frankfurter Allgecaeirie

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 is the arithmetic average of the rates quoted on
business days in the periods ending on the 7th, 15th, 23rd, and final
day of month. The three-month forward DM quotation used to compute
the cost of cover is the average of Frankfurt market, quotations for
the corresponding days.
Source:

Market data obtained from the Eoreign Department, Federal
Reserve Bank of New York.

Swiss Deposit Rate
The mid-point of the range of rates of interest paid (bid rates) on
three-month deposits by large banks in Zurich on the 7th, 15th,
23rd, and last day of each month.
Source:

Swiss National Bank, Monthly Bulletin.

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
rates charted are for the 7th, 15th, 23rd, and final day of each
month. The three-month forward Swiss franc quotation used to compute
the cost of cover is the Zurich market quotation for the corresponding
days.
Source:

Market data obtained from the Foreign Department, Federal
Reserve Bank of New York.
II.

Price • of Gold in London

U.S. dollar equivalent of the price in sterling per fine ounce as
of close of business Friday.
Effective Friday, April 5, 1968, the price of gold on the private
market will be charted.
Source:

Bank of England. -




CHART 4
Interest Arbitrager United States/Canada
(all figures per cent per annum)

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 U.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, 1 9 6 2 — 1 1 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 for1 90-day Treasury bills.
Source:

Market data obtained from the Securities Department, Federal
Reserve Bank of New York.

Canadian Finance Paper (uncovered)
The yield calculated from offering prices for three-month notes
issued by prime Canadian finance companies. Thursday figures, j
Source:

Equitable Securities Canada, Ltd.

Premium/Discoun.t 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 annum tm 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.m. 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 U.S. and Canadian finance company paper*




CHART 5

Interest Arbitrage: New York/London
(all figures per cent per annum)

U.K. Treasury Bill
January 2, 1959. through June 24,1960 — Average Friday tender
rate for 90-day Treasury bills adjusted to a New York quotation
basis.
Source:

The Economisti

July 1, 1960 to date--Prior 11 a.m. Friday market offer rate in
London for 90-day treasury bills adjusted to a New York quotation
basis. (The U.K. Treasury bill, which is quoted in London on a
365-day discount basis, is adjusted to a 360-day discount basis,
the quotation basis of the U.S. Treasury bill in New York, by
multiplying the London quotations by the ratio 360 .)
'• 365
Source:

Market data obtained from the Foreign Department, Federal
Reserve Bank of New York.

U.S. Treasury Bill
January 2, 1959 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.

U.K. Local Authority Deposits (uncovered)
The rate of interest paid on three-month time deposits made with
British local authorities. Friday figures.
Source:

The Financial Times (London).

Premium/Discount on the Forward Pound Sterling
January 2, 1959 through December 27, 1963 -- Premium/discount in
cent per annum on forward pound, 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
forward pound, computed on the basis of mid-rates for both spot and
forward quotations at 11 a.m. on Friday in New York.
Source:

Market data obtained from the Foreign Department, Federal
Reserve Bank of New York.




CHART 6

Short-term Interest Rates
(all figures per cent per annum)
Euro-dollar Rate (London)
90-day rate, Friday figures.

See notes to Chart 2.

U.S. Treasury Bill Rate
See notes to Chart 5.
U.K. Treasury Bill Rate
See notes to Chart 5.
Canadian Treasury Bill Rate
See notes to Chart 4.
- 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 Statistics Monthly.

German Three-month Interbank Loan Rate
See notes to Chart 3.
Switzerland:

Three-month Deposit Rate

See notes to Chart 3.




CHART 7

Long-term Bond Yields
(all figures per cent per annum)

U.K.;

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.

U.S.:

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 week.
Source:

Switzerland:

Market data obtained from the Securities Department, Federal
Reserve Bank of New York.
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.

Canada

>
December 12, 1957 to December 31, 1964:
per cent (1975-78).

Government of Canada 3-3/4

January 1, 1965 to date: Government of Canada 4-1/2 per cent (1983).
Yield to maturity computed from closing mid-market prices for
Wednesday of each week.
Source:

Bank of Canada, Weekly Financial Statistics.




- 9 -

Netherlands
January 15, 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 March 13, 1968; Yield computed from quotations for
the 3 per cent Netherlands perpetual bond for Friday of each week.
Mrrch 14, 1966 to date: ^ Average yield on three 4.25 to 4.50 per
cent State Loans, Frida^Kfigures.
'
Source:
Germany

The Netherlands Bank.

January 3, 1958 to July 9, 1965:
per cent (1958-83).

Source:

German Federal Railway, 5-1/2

International Bank for Reconstruction and Development.

July 9, 1965 to date Federcl Government (Public Authority), 6 per
cent ( 1 970).
Weekly average of daily yields to maturity computed from an average
of daily market quotations.
Source:

Frankfurter Allgemeine Zeitung.

U.S. Corporate Euro-bond Yields
Average for the month of yields to maturity on ten most recent
outstanding long-term (10 - 20 years) U.S. dollar-denominated bonds,
issued by U.S. corporations in markets outside the United States
(mainly European markets).
Source:

Morgan Guaranty Trust Co.

(N.Y.), 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




—

10 —

CHART 8

Spot Exchange Rates -- Major Currencies Against U.S. Dollar

Belgian franc, Canadian dollar, French franc, German mark, Italian lira,
Japanese yen, Netherlands guilder, Swiss franc, and British pound.
Quotations used are certified* noon buying rates in New York in
U.S. cents per unit of foreign currency. In the chart these have
been expressed as a percentage above or below their par values with
the U.S. dollar. Friday figures.
Source:

Federal Reserve Bank of New York.

CHART 9
Three-month Forward Exchange Rates
-(all figures per cent per annum)
'Swiss franc
Premium/discount in per cent per annum on the three-month forward
Swiss franc vis-a-vis the U.S. dollar calculated on the basis of
quotations in the Zurich foreign exchange market for Friday of
each week.
Source:

Federal Reserve Bank of New York

German mark
Premium/discount in per cent per anfium on the three-month forward
mark vis-a-vis the U.S. dollar calculated on the basis of quotations
in the Frankfurt foreign exchange market for Friday of each week.
Source:

Federal Reserve Bank of New York.

Pound sterling
See notes to Chart 5.
Swiss franc, German DM, U.S. dollar, Netherlands guilder, French franc,
and Belgian franc.

W

Premium/discount in per cent per annum on three-month delivery of
each of these currencies vis-a-vis sterling 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).

^Certified rates are rates certified to the Secretary of the Treasury by the
Federal Reserve Bank of New York for purposes of converting foreign currency
dollars for customs valuation.
for into
FRASER

Digitized


-

11 -

CHART 10
Industrial Stock Indices
' (1958 = 100)

U.S.
Weekly average of daily indices of the prices of 425 industrial
stocks.
Source:

Standard and Poor *s, Inc.

Japan
Weekly average of daily indices of the prices of 225 industrial
and other stocks traded on the Tokyo exchange.
Source:

Japan Journal, Inc., Japan Stock Journal.

U.K.
Industrial Ordinary stock index.
Source:

Closing Friday figures.

The Financial Times (London).

Switzerland
Index of the prices of 39 industrial stocks.
Source:

Closing Friday figures.

Swiss Bank Corporation.

Germany
Index of the prices of German industrial stocks calculated for the
7th, l5th, 23rd and final day of each month. Effective March 22, 1968
new German index, based on 1965, will be used. This index is converted
to 1958 base.
Source:

Deutsche Bundesbank.

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).