SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US.

Transcription

1 April 22, 1970 No. 451 H-13 Division of International Finance Europe and British Commonwealth Section //A L / f ' nr <*&»* SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM I

2 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-) 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. 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, tiiich accompanied issue dated January 1, 1969.

3 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC 1.6 GERMAN MARKl U.K. POUND MJ Below par Above par DUTCH GUILDER Par JAPANESE YEN FRENCH FRANC Below par S D S D S D S D * 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. *** DM rate not supported by the Bundesbank ****RevalUatj0n of the DM from to in U S. cents. Digitized for FRASER

4 Chart IB SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages CANADIAN DOLLAR A ITALIAN hlira BELGIAN FRANC D M S S S D

5 < 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT- S M S D S S

6 Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC S D s s M s * Devaluation of the French franc from 4 94 to 5 55 for $1 00

7 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNT-

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

9 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings i- j i * Market closed March 15 April

10 Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS ' i 1 I 1 I!! I I 1 I!. 1 ' ; FOREIGN CURRENCIES Friday figures 12 FRANCE 10 GERMANY M J S D M J S D M J S D M J * Germany, Call Money; U K, 2-day Local Athority Deposits; Japan, Unconditional Money, France, Day-to-day Money

11 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures CALL

12 \y CHART 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 6-MONTH 3-MONTH s D M s D S S D

13 : YIELDS ON U.S. DOLLAR FUNDS IT RATES-SECONDARY MARKET Per cent per ar EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT R U.S. CERTIFICATE OF DEPOSIT

14 W ) NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures ~ EURO-DOLLAR DEPOSIT ADJUSTED - : j EURO DOLLAR DEPOSIT 9 U.S. CERTIFICATE OF DEPOSIT ADJUSTED 3 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED* * Adjusted for Reserve Requirement ** Adjusted for 10% Marginal Reserve Requirement

15 CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED 1.FAVOR HIRE PURCHASE DIFFERENTIAL S J S D

16 CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT FAVOR LOCAL AUTHORITY + DIFFERENTIAL ifavor EURO-DOLLAR J S D J S D M J S D S D

17 r\ INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED 1 LONDON NEW YORK S J S s s D M J D M D * Plotted for comparison purposes

18 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE T T 2 IN FAVOR OF LONDON -4-IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) j ; J! I 1 I i, i :. _L-l_i_L_L.l_l_L.i_J 12 M J S D M J S D M J S D M j S D

19 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates IN TERMS OF DM H GERMAN INTERBANK LOAN RATE N A/V EURO-DOLLAR COVERED DIFFERENTIAL MARKET COVER FAVOR FRANKFUR FAVOR EURO DOLLAR

20 ^0 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF SWISS FRANCS 14 EURO DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR EURO DOLL AR M J S D M J S ' D M j J S D 1970

21 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures T 10 CANADIAN TREASURY BILLS PAPER UNITED STATES TREASURY BILLS ibill RATE DIFFERENT!. AL AND FORWARD CANADIAN DOLLAR^ ' i GROSS SPREAD IN FAVOR OF CANADA t i 1, i ' -T., /! _ i v! 1 PREMIUM.1 '! : j j, FORWARD RATE :.. i ' -1.. l J i -L- ;... J i DISCOUNT 1. 1 COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS - 0 FAVOR U S... I. 2 FAVOR CANADA PRIME FINANCE PAPER FAVOR US

22 Chart 12A SELECTED SHORT-TERM INTEREST RATES U.K. t U.S. GERMANY 2 9 JAPAN " CANADA U.S. L_., - m::.. ; J * 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate)

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

24 LONG-TERM BOND YIELDS Weekly figures CANADA NETHERLANDS US. SWITZERLAND 10 U.K. EURO-DOLLAR BONDS GERMANY Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS * New series for Switzerland starts ** New series for Switzerland starts

25 CHART 14 INDUSTRIAL STOCK INDICES T SWITZERLAND GERMANY CANADA ' JAPAN U.S * Japan index of 225 industrial and other stocks traded on the Tokyo exchange

26 No. 451 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc April German mark " U.K. pound " Lower Dutch guilder French franc " Japanese yen IB Belgian franc Italian lira " Canadian dollar A German mark April Swiss franc U.K. pound M Dutch guilder " Canadian dollar " French franc II A German mark April U.S. dollar April B Swiss franc April French franc April Gold price, U.S. dollar per ounce April Upper Call Euro-$ deposits April Federal Funds 8.02 Middle Differential i; Lower Japanese Unconditional Money April German Call Money April U.K. 2-day Local Authority Deposits April French Day-to-day Money April

27 /- I IV-2 Chart Panel Series Date Rate 6A Euro-$ Call Rate April Euro-S 1-month Rate i; B Euro-$ 3-month Rate H 8.00 Euro-$ 6-month Rate II A Upper Euro-S 3-month Deposits April U.S. Certificate of Deposits April Lower Differential April B Upper Euro-$ 3-month Deposits April Euro-$ 3-month Deposits (Adj.) H 8.96 U.S. Certificate of Deposits (Adj.) II 7.18 Lower Differential: on Adj. Euro-$ Deposits II on Unadj. Euro-$ Deposits A Upper Euro-$ 3-month Deposits April , Hire Purchase Deposits (covered) 8.61 Lower Differential If B Upper Euro-S 3-month Deposits If Local Authority Deposits (covered) II Lower Differential A U.S. Treasury Bill rate April U.K. Treasury Bill rate If 6.60 Local Authority Deposit (uncovered) April B Upper Spread (+= favor London) April month Forward Pound April Lower Net Incentive (+= favor London) April

28 IV-3 Chart Panel Series Date Rate 10A Upper Euro-$ Deposits (covered) Lower German Interbank Loan rate Differential 10B Upper Euro-) Deposits (covered) Lower Swiss Deposit rate Differential 11 Upper Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) April April April April April April April II 6.34 If Second Bill rate differential II Forward Canadian dollar Third Net incentive on bills II Bottom Net incentive on Finance Paper A Upper U.K. Treasury Bill rate April U.S. Treasury Bill rate 6.34 Lower German Interbank Loan rate Japanese Average rate Canadian Treasury Bill rate II 9.56 Feb April U.S. Treasury Bill rate B Euro-$ Deposits 8.00 Swiss 3-month Deposit rate U.S. Treasury Bill rate II II

29 IV- 4 Chart Panel Series Date Rate 13 Upper Netherlands Canada United States Switzerland ' Middle Germany United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower Japan United States March April April April April April April Feb ff 7.73 March 27 7,92 April April April April April April April