INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US.

Transcription

1 December 3, 1969 No. 431 H-13 Division of International Finance Europe end British Commonwealth Section ' rrw^w" INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM

2 TABLE OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES Chart 1A and IB - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2 A & 2B - 3-Month Forward Exchange Rates, Major Currencies against * U.S. Dollar Chart 3A & 3B - 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 & 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 10A & KB - Interest Arbitrage: U.S.-Germany and U&-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 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, which accompanied issue dated January 1, 1969.

3 3 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages SWISS FRANC GERMAN MARK U.K. POUND Below par Above par DUTCH GUILDER JAPANESE l&dakic 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. *** DM rate not supported by the Bundesbank ****Revaluation 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 Percent Above par 1.2 CANADIAN DOLLAR ITALIAN ;LIRA BELGIAN FRANC 1.2 j, Below par S D M S D M S D S D

5 Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM- GERMAN MARK IYCW SWISS FRANC U.K. POUND DISCOUNT M J S M J S D S D J S D

6 Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* DUTCH GUILDER j CANADIAN DOLLAR FRENCH FRANC D M J S M J S D M D S J S D * Devaluation of the French franc from 4.94 to 5.55 for $1.00.

7 1 I Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM + Per cent per annum 24 GERMAN MARK U.S. DOLLAR DISCOUNT M J S D M S D J S D M J S D

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

9 4 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce M D J S D M S D M J S D * Market closed March 15 April 1,1968

10 Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum CAL L EUR( D-DOLI.AR Dl EPOSIT J 7 O \ A M 10 y FE DERAL FUND IS 1 I Vy n 1 ~ I I- I I \ A A IT EU RODOI LLARC )VER F EDER> Kl FUN,oV I I 1 I I 1 Vi w W I I.J I.. FOREIGN CURRENCIES* Friday's figures Per cent per annum 12 1 A FRAN CE UK rjj 10 X JAI PAN. 1 I I y N 1 11 N R 1 M J S D M J S D M J S D M J S 'Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money.

11 n LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per annum 1-MONTH CALL M J S D M J S D M J S D J S

12 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per at MONTH

13 Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 6 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s D S J S D J S D o

14 Chart 76 ll NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per annum " EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED' 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED' M J S D M J S D J S D S D * Adjusted for Reserve Requirement

15 CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures 14 EURO DOLLAR DEPOSIT HIRE PURCHASE T FAVOR HIRE PURCHASE + 0 rt\ DIFFERENTIAL FAVOR EURO DOLLAR M S D S D M J S D M J S D

16 CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT T FAVOR LOCAL AUTHORITY + rt\ DIFFERENTIAL FAVOR EURO-DOLLAR M J S D J S D J S D M J S D

17 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures I I I I 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED NEW YORK 1967 * Plotted for comparison purposes JL

18 Chart 9B 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 1 M IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J s D S D M J S D M S D

19 11 Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM GERMAN INTERBA NK LOAN RATEf< MS x / v ^ T / EURO-DOLLAR / COVERED 1 1 M 1 I I I II I II 1 ll 1 M I II DIFFERENTIAL [MARKET COVER FAVOR FRANKFURT FAVOR EURO DOLLAR M J S D M J S D M J S D M J S D *

20 <0-6 Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum. i} IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE- DIFFERENTIAL T 2 FAVOR ZURICH FAVOR EURO DOLLAR S D M J S D M S D M S D

21 \ 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum CAN. FIN. C :o. PAI,E > /J \r - x 3ANAD 1 RREASL JRY BL LLS i A- Y UN ITED S STATES TR EASUR!Y BILL S - - I I 11 I 1 i I I i 1 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR!! I i I I I [GROSS SPREAD IN FAVOR OF CANADA \y FORWARD RATE I I I T ~ COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS FAVOR CANADA Mi PRIME FINANCE PAF K J S D M J S D M J 1969 s FAVOR U.S. I I 111 I I 2 J s 1970

22 Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per anr 9 EURO-DOLLAR - LONDON n SWITZERLAND JAPAN 7 CANADA GERMANY nil; 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.

23 33. Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum 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

24 CHART 14 INDUSTRIAL STOCK INDICES 1958=100 Ratio scale SWITZERLAND GERMANY 240 U.S. 200 U.K CANADA JAPAN U.S * Japan index of 225 industrial and other stocks traded on the Tokyo exchange

25 H. 13 No. 431 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc Nov German mark U.K. pound II Lower Dutch guilder II French franc» Japanese yen B Belgian franc Italian lira Canadian dollar» Upper German mark " Swiss franc U.K. pound II Lower Dutch guilder " Canadian dollar French franc Upper German mark II U.S. dollar II Lower Swiss franc M French franc II Gold price, U.S. dollar per ounce Upper Call Euro-) deposits Nov Federal Funds " 8.32 Middle Differential II Lower Japanese Unconditional Money Nov German Call Money Nov U.K. 2-day Local Authority Deposits IF 7.94 French Day-to-day Money " 9.75

26 IV- 2 Chart Panel Series Date Rate 6 Upper Euro-$ Call Rate Nov Euro-S 1-month Rate M Lower Euro-$ 3-month Rate II Euro-$ 6-month Rate Upper Euro-$ 3-month Deposits Nov U.S. Certificate of Deposits " 8.69 Second Differential n Third Euro-S 3-month Deposits " Fourth U.S. Certificate of Deposits (Adj.) n 6.38 Differential 8 Upper Euro-$ 3-month Deposits Nov. 7 Nov. 14 Hire Purchase Deposits (covered) fj8v: 14 Second Differential n II Third Euro-$ 3-month Deposits Bovl? U Local Authority Deposits (covered) (4 S: io Fourth Differential Nov. 7 Nov A U.S. Treasury Bill rate Nov U.K. Treasury Bill rate " 7.58 Local Authority Deposit (uncovered) II B Upper Spread (+ = favor London) month Forward Pound " Lower Net Incentive (+ = favor London) " Upper Euro-$ Deposits (covered) Nov German Interbank Loan rate ir 7.88 Second Differential " Third Euro-$ Deposits (covered) Nov Swiss Deposit rate 5.00 Fourth Differential "

27 IV - 3 Chart Panel Series Date Rate 11 Upper Canadian Finance Paper Nov U.S. Treasury Bill rate ir 7.49 Canadian Treasury Bill rate II 7.50 U.S. Prime Finance paper (not plotted) II 7.93 Middle Bill rate differential Forward Canadian dollar II Lower Net incentive on bills ir +FLTIO Net incentive on Finance Paper it Upper Euro-$ Deposits U.K. Treasury Bill rate ii 7.58 U.S. Treasury Bill rate ii 7.49 Swiss 3-month Deposit rate Nov Lower Japanese Average rate Sept Canadian Treasury Bill rate Nov U.S. Treasury Bill rate II 7.49 German Interbank Loan rate II Upper Netherlands Nov Canada Nov United States " 6.55 Switzerland Nov Middle Germany Nov United Kingdom Nov j Euro-dollar bonds Nov j Lower U.S. Corp. Dollar Euro-bonds Oct U.S. Corp. DM Euro-bonds " 7.06 i U.S. Corp. Aaa bonds Nov g

28 $ IV- 4 Chart Panel Series Date Rate. 14 Upper. Switzerland Nov Germany Nov United States Nov United Kingdom " Lower Japan Nov Canada it United States Nov