selected interest & exchange rates for major … · \ u s. certi1 f 1 icate 1 1 1 as of deposit...
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fME&r v September 3, 1969 No. 418
H-13 Division of International Finance Europe and British Commonwealth Section
O L i ' V c^y SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS
BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM
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TABLE OF CONTENTS
PART I. EXCHANGE RATES AND GOLD PRICES
Chart 1A and IB - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2A & 2B - 3-Month Forward Exchange Rates, Major Currencies against
U.S. Dollar Chart 3 A & 3 B - 3-Month Forward Exchange Rates, Major Currencies against
U.K. Pound Chart 4 - Gold Price in London
PART II. SHORT-TERM INTEREST RATES
Charts - Call Money Rates Chart 6A & 6B - London: Euro-$ Deposit Rates Chart 7 - New York - London: Yields on U.S. Dollar Funds Chart 8 - London: Covered Yields on U.S. Dollar Funds Chart 9A and 9B - Interest Arbitrage: United States-United Kingdom Chart 10 - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Chart 11 - Interest Arbitrage: United States-Canada Chart 12 - Selected Short-term Interest Rates
PART III. LONG-TERM INTEREST RATES AND STOCK INDICES
Chart 13 - Long-Term Bond Yields Chart 14 - Industrial Stock Indices
PART IV. 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, 1968. 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.
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3 I
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages , Per cent
Above par
SWISS FRANC n
u.s
U.K. POUND
Below par
Above par
DUTCH GUILDER
JAPANESE YEN FRENCH FRANC
Below par
Devaluation of the U.K. pound from $2.80 to $2.40. ""Devaluation of the French franc from 4.94 to 5.55 for $1.00.
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V) Chart IB
SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent
Above par
1.2
CANADIAN DOLLAR
ITALIAN rLIRA —
U.S.
BELGIA N FRANC
1.2
Below par
M J D M S S D M J D M J S D J S
1967 1968 1969 1970
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X
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum
PREMIUM*
GERMAN MARK
SWISS FRANC
U.K. POUND
DISCOUNT—
M J S D S D J M S J D M J S D
1967 1968 1969 1970
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+ 0
4
8
12
16
2 0
2 4
28
3 2
Chart 2B
3-MONTH FORWARD EXCHANGE RATES -MAJOR CURRENCIES AGAINST US. DOLL Weekly averages ' Per cent per
PREMIUM*
D U T C H G U I L D E R
C A N A D I A N DOLLAR
F R E N C H F R A N C
DISCOUNT—
M J S D S D D M S M S D J
1 9 6 7 1 9 6 8 1 9 6 9 1 9 7 0
Devaluation of the French franc from 4.94 to 5.55 for $1.00.
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1
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum
PREMIUM-
20
12
G E R M A N M A R K
U S. DOLLAR
DISCOUNT—
M S D D S D J M J S M S D M J J
1 9 6 7 1 9 6 8 1 9 6 9 1 9 7 0
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Chart 3B
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday f igures „ Per cent per annum
PREMIUM-
SWISS FRANC
FRENCH FRANC
DISCOUNT— 20
M S D J M S D M J S D M J S D
1967 1968 1969 1970 # Devaluation of the French.franc from 4.94 to 5.55 for $1.00
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4
GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings
35.3
35.2
35.1
35.0
U.S. dollar equivalent per fine ounce
47.0 j N -)
! m / / f\
\f\ hi y 1
s\/ ! W
1 ! 1 1 1 ! i 11 i i i i i i i i i i I i i i i i
45.0
43.0
41.0
39.0
37.0
M J S D M J S D M
1967 1968
•Market closed March 15 April 1, 1968
J S D M J S D
1969 1970
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Chart 5
CALL MONEY RATES D O L L A R FUNDS Weekly averages Per cent per annum
1 4
A A
CAL L EURI 3 - D O L I .AR D i •POSIT i v . f j s z
W w J DERAL . F U N D IS
T v ' V DERAL . F U N D
Vy n > IT -
~ i i 1 1 i i
V
i i RO-DOI
1 1 1
WN L L A R C
1 1 1 )VER F
1 1 1 E D E R /
1 1 1 M. FUh
I l 7 4, i i i i . i i i i i i ~
12
10
FOREIGN C U R R E N C I E S * Friday's figures Per cent per annum
12
-
r 1
C E / V U.K •
7 JA h—y PAN
z A j
w
r y 1
i i i i 11 , w
1 1 1 1 I l 1 1, 1 1, 1 1 1 1 „
10
M J S D M J S D M J S D M J S
1 9 6 7 1 9 6 8 1 9 6 9 1 9 7 0
•Germany, Call Money; U.K., 2-day Local Athori.ty Deposits; Japan, Unconditional Money; France, Day-to-day Money.
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LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per annum
o
1 l 1
i / 1 J J 1
1-MOI VTH/1
V
1 t Vs / \Ji CALL
-
y VI
1 *1 i i i i 1 1 1 1 1 1 1 l I I , i 1 1 1 1 1 1 1' 1 1 1- 1 1 1 1 M J S D M J S D M J S
1967 1968 1969 D M J S D
1970
Z
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• . X*
CHART6B
LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1
- 1
V -
( 5-MON TH
\ J1 i f f V [/ & V B-MON TH / V
-
1 1 L i i 1 1 1 1 1 1 "I 1 1 1 I 1 1 I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 M J S D M J S D M J S D M J S D
1967 1968 1069 1970
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Chart 7
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKETJ Wednesday figures AUG 27 10 88 PERCENT per annum ~r
EURO • DOLL AR DEI POSIT J V $1 \ 1 A £ L i / j
uVj 5 ^ w y - Kr. r r J
% CER1 FIFICA FE OF DEPO! »IT
1 1
X ~
1 EURO-C
1 >OLLAF
1 \ OVEF
1 \ U S. 1 CERTIF
1 ICATE
1 1 1 As OF DEPOSIT r
[ V V w
V \ ^
> V 1 1 1 1 1 ! 1 i 1 ! 1 1 1 1. 1 1 1 1 1 i 1 1 I I 1 I I 1 1 1 1 1 1
3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures AUG. 27 10.88 Per cent per annum
EUROIDOLLARDEPOSIT
— — U.S. CERTIFICATE OF DEPOSIT
EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED'1
S M M J
1966 D J
1967 D M S D M S J
1969 D
* Adjusted for Reserve Requirement
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V
CHART 8 .
L O N D O N : C O V E R E D Y I E L D S O N U . S . D O L L A R F U N D S
HIRE PURCHASE A N D EURO-DOLLAR.RATES AUG is to 9i p e r Cent per annum Friday figures
EURO D O L L A R D E P O S I T
H I R E P U R C H A S E COVERED
+ FAVOR HIRE PURCHASE
D I F F E R E N T I A L FAVOR EUR 3-DOLLAR
L O C A L AUTHORITY A N D EURO-DOLLAR RATES Friday figures AUG is io9i Per cent per annum
EURO DOLLAR D E P O S I T
\T)
L O C A L A U T H O R I T Y D E P O S I T COVERED | ]
FAVOR LOCAL AUTHORITY
D IFFERENTIAL I FAVOR EUR( -DOLLAR
"" I f AUG 15 -9.26
1 9 6 8 1 9 6 9 1 9 6 6 , 1 9 6 7
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INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures
i i i i — r 3-MONTH TREASURY BILL RATES
Per cent per annum
U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED
NEW YORK
•Plotted for comparison purposes.
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INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
SPREAD IN FAVOR OF LONDON PREMIUM
DISCOUNT
FORWARD RATE
IN FAVOR OF LONDON
IN FAVOR OF NEW YORK
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
1966 1967 1968 1969
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VI
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND
Per cent per annum FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates
1 1 1 IN TERMS OF DM
8
w 5 ^
GERMAN INTERBANK LOAN RATE
f t EURODOLLAR COVERED
r i r MARKET COVER DIFFERENTIAL
V A-Av
,FAVOR FRANKFURT
t M i l l L ±
BUNDESBANK COVER*
I 1 1 1 1 1 I I I I I FAVOR EURO-DOLLAR 1 1 I I I I I I
ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum
8
SWISS DEPOSIT RATE
EURODOLLAR COVERED
£ /
IN TERMS/pF SfoMSS FRANCS ' * >kUG. 27 10.88
VI
DIFF 1 EREN1
1 riAL
K
! :AVOR Z URICH
1 1 1 1 1 1
V 1 1 i i
v V z
1 1
h i i i i
\ i i
Y 1 1
A i i
y w
i i
\ i i
\ FAVOR 1 II 1
EURO-D< .-.AUG. 2<
3LLAR > -i.su—
M J S D M J S D M J S D M J S D
1966 1967 1968 1969
* For details see issue No. 398 dated April 16, 1969
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CHART 11
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures T Per cent per annum
CAN. FIN. CO. PAPER T p v A L
CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS
BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i i i i i i y v x ^
GROSS SPREAD IN FAVOR OF CANADA C ^ PREMIUM'
DISCOUNT FORWARD RATE
CANADA COVERED RATE DIFFERENTIALS
TREASURY BILLS
FAVOR U S.
'V'AMOR CA PRIME F̂INANCE PAPER
FAVOR U.S.
S D M J S D S M J M J D M J S D
1966 1967 1968 196
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' \ A ' >
Chart 12
SELECTED SHORT-TERM INTEREST RATES* Per cent per annum
EURO-DOLLAR - LONDON
U.K.
US.
SWITZERLAND
9
JAPAN
CANADA/
US.
GERMANY
1965 1966 1967 1968 1969
* 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) Switzerland (3-month deposit rate) and Germany (Interbank Loan Rate)
* * 3-month rate for U.S. dollar deposits in London.
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Chart 13
LONG-TERM BOND YIELDS Weekly figures - Per cent per annum
NETHERLANDS j
CANADA
U.S.
SWITZERLAND
T 10
GERMANY
U.K.
EURO DOLLAR BONDS
T Monthly figures
U.S. CORP. DOLLAR EURO-BONDS
U.S. CORP. DM EURO-BONDS
U.S. CORP. Aaa BONDS
1965 1966 1967 1968 1969
* New series for Switzerland starts 3 3 67. * * New series for Switzerland starts 8-2-68.
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CHART 14
1958=100 Ratio scale
~ ~ 420
INDUSTRIAl^TOCK INDICES
360
320 SWITZERLAND
280
GERMANY 2 4 0
U.S. 200
160 360
320 U.K.
280
240
200 CANADA
1160 380
320
280
JAPAN 240
US. 1200
| l60 1967 1966 1968 1969
* Japan index of 225 industrial and other stocks traded on the Tokyo exchange.
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H. 13 No. 4X8 IV. LATEST FIGURES PLOTTED ON THE CHARTS
Chart Panel Series Date Rate
1A Upper Swiss franc AUK. 29 +1.65* German mark +0. S3 U.K. pound n - 0 . 7 6
Lower Dutch guilder ii +0.08 French franc ii +0.19 Japanese yen „ +0.15
IB Belgian franc „ - 0 . 6 4 Italian lira I I - 0 . 4 1 Canadian dollar
I I +0.38
2 Upper German mark +5.49 Swiss franc +0.24 U.K. pound it - 8 . 1 3
Lower Dutch guilder +0.40 Canadian dollar +0.57 French franc
I I - 1 . 0 4
3 Upper German mark n +13.82 U.S. dollar +7.14 -
Lower Swiss franc ii +7.52 French franc
+5.95
4 Gold price, U.S. dollar per ounce 40. 92
5 Upper Call Euro-$ deposits Aug. 27 8.93 Federal Funds 8. 82
Middle Differential + 0 . 1 1 Lower Japanese Unconditional Money Aug. 22 8.03
German Call Money 6.00 U.K. 2-day Local Authority Deposits 11 8.94
' | French Day-to-day Money
Aug. 29 8.75
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IV - 2
Chart Panel Series Date Rate
6 Upper Euro-$ Call Rate Aug. 29 10.75 Euro-$ 1-month Rate I . 11.31
Lower Euro-$ 3-month Rate IT 11.25 Euro-$ 6-month Rate
• I 11.44
7 Upper Euro-$ 3-month Deposits Aug. 27 10.88 U.S. Certificate of Deposits 8.25
Second Differential I I 2.63 Third Euro-$ 3-month Deposits Aug. 20 10. 62
U.S. Certificate of Deposits (Adj.) 6.38 Fourth Differential „ 4.24
8 Upper Euro-$ 3-month Deposits Aug. 15 10.91 Hire Purchase Deposits (covered) 1.96
Second Differential IT - 8 .95 Third Euro-$ 3-month Deposits I I 10.91
Local Authority Deposits (covered) I I 1.65 Fourth Differential
I I - 9 . 2 6
9A U.S. Treasury Bill rate AUK. 29 6.99 U.K. Treasury Bill rate „ / 7.64 Local Authority Deposit (uncovered)
Aug. 22 9.62
9B Upper Spread (.+ = favor London) Aug. 29 +0.65 3-month Forward Pound I I - 8 .33
Lower Net Incentive (+ = favor London) M - 7 . 6 8
10 Upper Euro-$ Deposits (covered) Aug. 27 5.43 German Interbank Loan rate I I 6. 50
Second Differential .« +1.07 Third Euro-$ Deposits (covered) Aug. 20 10.51 *
Swiss Deposit rate 5.00 Fourth Differential „ - 5 . 5 1
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IV - 3
Chart Panel Series Date Rate
11 Upper Canadian Finance Paper Aug. 29 A.38 11 Upper U.S. Treasury Bill rate 6.99
11 Upper
Canadian Treasury Bill rate „ 7.42
11 Upper
U.S. Prime Finance paper (not plotted) 7.50
11
Middle Bill rate differential " +0.43
11
Middle Forward Canadian dollar n +0.48
11
Lower Net Incentive on bills M +0 .91
11
Lower Net incentive on Finance Paper „ +1.36
12 Upper Euro-$ Deposits „ 11.25 12 Upper U.K. Treasury Bill rate 7.64
12 Upper
U.S. Treasury Bill rate II 6.99
12 Upper
Swiss 3-month Deposit rate Aug. 15 5.00
12
Lower Japanese Average rate June 30 7.35
12
Lower Canadian Treasury Bill rate Aug. 29 7.42
12
Lower
U.S. Treasury Bill rate N 6.99
12
Lower
German Interban^txuan rate „ 6.50
13 Upper Netherlands Aug. 15 7.91 13 Upper Canada Aug. 20 7.49
13 Upper
United States Aug. 27 6.03
13 Upper
Switzerland Aug. 15 5 .11
13
Middle Germany AUK. 22 6.77
13
Middle United Kingdom Aug. 21 9.41
13
Middle
Euro-dollar bonds Aug. 29 7.10
13
Lower U.S. Corp. Dollar Euro-bonds Tuly 31 7.44
13
Lower U.S. Corp. DM Euro-bonds it 6.30
• U.S. Corp. Aaa bonds
- 7 . 0 8
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IV - 4
Chart Panel Series Date Rate
14 Upper Switzerland * Aug. 29 385. 5 14 Upper Germany Aug. 22 238.4
14 Upper
United States Aug. 29 211.7
14 Upper
United Kingdom 210.0
14
Lower Japan Aug. 22 230.1
14
Lower Canada Aug. 21 216.0
14
Lower
United States Aug. 29 211.7
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