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

Transcription

1 October 15, 1969 No. 424 H-13 Division of Intemgiieml Finonce Europe and British Commonwealth Section SELECTED 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 2A & 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 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 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 Chart 1A SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par AW 1.6 SWISS FRANC V Par dollar GERMAN MARK U.K. POUND Below par Above par DUTCH GUILDER Par with US. dollar, / n u v r JAPANESETYEN ^ FRENCH FRANC M J S D M J S D M J S D M J S * 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 Below par

4 Chart IB H SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN rlira BELGIAN FRANC 1.2 i Below par M J S D M J S D M ' J S D M J S D

5 Dhart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLA IR Weekly averages Per cent per ar N MAR 4 SWISS U.K. POUND 8 12 DISCOUNT I I 1 I 1 I 1 I I I 1 I I I I I 1 I 1 I I I 1 I

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

7 1 Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM* GERMAN MARK U.S. DOLLAR J S D M J S D M J s D M J S D

8 Chart 3B 3-MONTH FORWARD EXCHANGE RATES MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT M D M S J S S D M J D M S D * Devaluation of the French franc from 4.94 to 5.55 for $1.00

9 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings 1! U.S. dollar equivalent per fine ounce i 1!! 1 I 1,! 1 ft I i N! :! V 1 ' j / Ki / \ r] W i : 1 1 i 1 1 i! ' i i i i. i i i i 1! 1 I M J S D N * Market closed March 15-April 1,

10 Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages 14 i k % W l J 4 Y v V //i A i CAL L EUR( D-DOLI -AR 01 -POSIT X X 1/ v nfrai FUND IS 1 1 J s Pv 7 j ^kr 1 V v jvai V WN IT- Vli mv RO-DOI LLARC )VER F EDER/ IL FIM i i 1 1 i i 1 1 i U i FOREIGN CURRENCIES * Friday's figures 12 FRAN CE A \ n, u.t 10 r JA PAN I I y V 1 \i nr 1 i M J S D M J S D M J. S D M J S D * 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 Per cent per per annum u 1 A 1 yi \ ) ja CALL A f 1-MOI mth/7 /v Lr J 1 If l\ ft fl 1 L 1 I V i i i i i i \ i \ i i i i i i i i i i i i M J S D M J S

12 yv CHART6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures 6-MONTH 3 MONTH M J S D M J S D M J ' S D M J- S D

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

14 Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures V) El JRO-DC )LLAR DEPOS Wlj \ ti \ A A I ti \ A / FICATE : OF D EPOSI V: L JX y - US. CERTII FICATE : OF D EPOSI w T \DJUSTE D* I I 1 1 I I 1 I i i i EURO DOHA R OVE R U.S. CERTIFICAl E OF DEPOS 1 ADJUST i 1 i f / V "" 1 \A 1 / V./ \ ^ > v/ J^ J^,, 1 1 V i I M J S D M J S D M J S D M J S D * Adjusted for Reserve Requirement

15 K.. ' ' CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures EURO DOLLAR DEPOSIT HIRE PURCHASE FAVOR HIRE PURCHASE 4 DIFFERENTIAL FAVOR EURO DOLLAR M J M J S S D M J S D M S D D

16 CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT -COVERED 2 FAVOR LOCAL AUTHORITY /In DIFFERENTIAL FAVOR EURO-DOLLAR S D M J S M J J D M S

17 n INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures 10 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED NEW YORK 1966 *Plotted for comparison purposes.

18 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT Y \ FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)

19 Chart 10 3-MONTH INTEREST ARBITRAGE: U S - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED DIFFERENTIAL MARKET COVER FAVOR FRANKFURT BUNDESBANK COVER FAVOR EURO-DOLLAR ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates i IN T ERMSflOF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOS T RATE DIFFERENTIAL FAVOR ZURICH V FAVOR EURO-DOLLAR M J S D M J S D M J S D M J S D * For details see issue No. 398 dated April 16, 1969

20 V 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures 9 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS BILL RATE DIFFERENT!/ \L AND FORWARD C :ANADI AN DOLLAR i l 1!! 1 1 ywl PRE MIUM GROSS SPREAD IN 1 FAVOR OF CANAC )A 'CK ' 1 / FORWARD RA1 FE 1 i! i COVERED RATE DIFFERI ENTIALS / : ' 1 1 1! 1 1 i V f k! S/! M/V\ TRE/ \SURY BILLS r^jj \ v\r I! ' V r - i! / r W \ A/vJ f fj! 1 : 1! PRIM E FINANCE 1 PAPER iji 1 : XJ r W 1 I,. 1,,! :,,,,,! t i l l! M J S D M J S D M J S D M J! 1 1 i i i DISCI DUNT i I r VAVOR CANADA S FAVOR U.S. 1 i i 1 ImoRw NADA FAVOF I U.S.! 1 I 1, 1

21 SELECTED SHORT TER^ INTEREST RATES* OCT EURO-DOLLAR LONDON l7 SWITZERLAND CANADA GERMANY * 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.

22 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per 8 NETHERLANDS j 6 CANADA U.S. SWITZERLAND 4 10 GERMANY 8 U.K. EURO-DOLLAR BONDS 6 Monthly figures U.S. CORP. DOLLAR EURO-BONDS I 8 U.S. CORP. DM EURO-BONDS 6 U.S. CORP. Aaa BONDS 1 i i H ' M I N I New series for Switzerland starts New series for Switzerland starts

23 93 INDUSTRIAL STOCK INDICES SWITZERLAND GERMANY 240 U.S. 200 T U.K CANADA JAPAN 240 U.S * Japan index of 225 industrial and other stocks traded on the Tokyo exchange.

24 yt H. 13 No. 424 IV. LATEST FIGURES PLOTTED ON THE CHARTS % Chart Panel Series Date Rate 1A Upper Swiss franc Oct A German mark ii > U.K. pound ii Lower Dutch guilder ii French franc II Japanese yen i IB Belgian franc Italian lira it * Canadian dollar i Upper German mark M i. Swiss franc II +2.40, j U.K. pound II # Lower Dutch guilder Canadian dollar II '/ French franc Upper German mark H U.S. dollar If Lower Swiss franc II French franc II Gold price, U.S. dollar per ounce Upper Call Euro-$ deposits Oct < Federal Funds II 9.43 Middle Differential " Lower Japanese Unconditional Money Oct German Call Money Oct U.K. 2-day Local Authority Deposits Oct French Day-to-day Money II 9.50

25 IV - 2 Chart Panel Series Date Rate 6 Upper Euro-$ Call Rate Oct Euro-$ 1-month Rate Lower Euro-$ 3-month Rate Euro-$ 6-month Rate ir Upper Euro-S 3-month Deposits Oct U.S. Certificate of Deposits M 8.70 Second Differential " Third Euro-$ 3-month Deposits it U.S. Certificate of Deposits (Adj.) " 6.38 Fourth Differential Upper Euro-$ 3-month Deposits Sept Hire Purchase Deposits (covered) 5.29 Second Differential it Third Euro-S 3-month Deposits " Local Authority Deposits (covered) " 4.79 Fourth Differential A U.S. Treasury Bill rate M 6.98 U.K. Treasury Bill rate «7.55 Local Authority Deposit (uncovered) Oct B Upper Spread (+ = favor London) Oct Lower 3-month Forward Pound» Net Incentive (+ = favor London) Upper Euro-$ Deposits (covered) Oct German Interbank Loan rate ii 7.44 Second Differential H Third Euro-$ Deposits (covered) ii 8.08 Swiss Deposit rate ii 5.00 Fourth Differential " -3.08

26 IV- 3 Chart Panel Series Date Rate 11 Upper Canadian Finance Paper Oct U.S. Treasury Bill rate it 6.98 _4 Canadian Treasury Bill rate " 7.45 I U.S. Prime Finance paper (not plotted) 7.81 Middle Bill rate differential " Forward Canadian dollar " Lower Net incentive on bills Net incentive on Finance Paper it Upper Euro-$ Deposits 1., U.K. Treasury Bill rate " 7.55 U.S. Treasury Bill rate ii 6.98 Swiss 3-month Deposit rate " 5.00 Lower Japanese Average rate Aug Canadian Treasury Bill rate Oct U.S. Treasury Bill rate II 6.98 German Interbank Loan rate If Upper Netherlands Oct Canada Oct United States 6.22 ' Switzerland Oct Middle Germany " 7.13 United Kingdom Oct Euro-dollar bonds ii 7.24 Lower U.S. Corp. Dollar Euro-bonds Aug U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Sept

27 71 IV-4 Chart Panel Series Date Rate 14 Upper Switzerland Oct Germany» United States " United Kingdom " Lower Japan Oct Canada Oct United States Oct