December 16, 1970 No. 484 H-13 Division of International Finance Europe and British Commonwealth Section zy Q0tU rwotj SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS
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, 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.
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR "Weekly averages Percent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND U.S. I Below par Above par JAPA tnese YEN FRENCH FRANC- U.S. DUTCH GUILDER Below par J S D M J S D M J S D M J S D 1968 1969 1970 1971 * 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 25.00 to 27.32 in U.S. cents.
V Chart IB SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 CANADIAN DOLLAR 1 BELGIAN FRANC A ITALIAN LIRA 1.2 M S D M J S D J S D M J S D 1968 1969 1970 1971 * Can. $ rate not supported by Bank of Canada.
Chart 2A X 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages GERMAN MARK SWISS FRANC U.K. POUND PREMIUM- DISCOUNT- S D M J S D M J S D M J S D 1968 1969 1970 1971
V Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages I PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT- S D J S D M J S D M J S D 1968 1969 1970 1971 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. 32 ** Can. $ rate not supported by Bank of Canada.
Chart 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures ' PREMIUM 20 GERMAN MARK U.S. DOLLAR D S S D J M J S D M J S D 1968 1969 1970 1971
44 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures SWISS FRANC FRENCH FRANC 12 DISCOUNT M J S D J M S D M J S D M J S D 1968 1969 1970 1971 * Devaluation of the French franc from 4.94 to 5.55 for $1.00
A Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce * Market closed March 15 April 1, 1968
CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FE [DERAL FUNDS^ f r ; 1 ; : 1. 1 : i : 1,. : 1 i : 1 1 : M J. l-l-l - EURO-CURRENCIES Weekly averages ' 12 EURO DM EURO-DOLLAR EURO-SWISS FRANC
Chart 56 CALL MONEY RATES FOREIGN CURRENCIES* Friday figures APAN UK. CANADA SELECTED EEC CURRENCIES** Friday figures 12 ^ FRANCE GERMANY 8 NETHERLANDS 4 0 M J S D M J S D M J S D M J S u 1968 1969 1970 1971 * Japan, Unconditional Money; U.K., 2-day Local Authority Deposits; Canada, Day-to day Loans, weekly average. * * Germany, Call Money; France, Day-to-day Money; Netherlands, Call Money, weekly average. Digitized for FRASER
LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 13 12 11 10 CALL M J S M j M J S 1968 1969 1970 1971
Chart 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures. -,6 MONTH 3 MONTH s D S D S D M J S 1968 1969 1970 1971 D
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 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
z Chart 7B NEW YORK LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures- EURO-DOLLAR DEPOSIT 1 ADJUSTED* EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT - i ADJUSTED' T 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT J s D M J S D M J S D M S D 1967 1968 1969 1970 * Adjusted for Reserve Requirement ** Adjusted for 10% Marginal Reserve Requirement *** Adjusted for 20% Marginal Reserve Requirement Digitized for FRASER
Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED i FAVOR HIRE PURCHASE DIFFERENTIAL j FAVOR EURO-DOLLAR M J S D S D M J S D M S 1968 1969 1970 1971 D
n Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures EURO-DOLLAR DEPOSIT I LOCAL AUTHORITY DEPOSIT COVERED I FAVOR LOCAL AUTHORITY DIFFERENTIAL FAVOR EURO DOLLAR M J S D M S,D M S D M J S D 1968 1969 1970 1971 Digitized for FRASER
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM 3-MONTH TREASURY BILL RATES 1 12 U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED, NEW YORK Plotted for comparison purposes
A Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE I i T, I IN FAVOR OF LONDON!, J aav 2 10. RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D M J S D M J S D M J S D 1968 1969 1970 1971
p 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE ^ EURO-DOLLAR COVERED DIFFERENTIAL 1,1 FAVOR FRANKFURT LV\.A V i i 1 i i 1 I i 1 I i! 1! 1 I!!! 1 1 V J ^ FAVOR EURO DOLLAR I I I!!! M 1 i!! 1 I 1 1 M J S D M J S D M J S D M J S D 1968 1969 1970 1971
Chart 10B 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 a A A ' v hjl, J \ y FAVOR ZURICH n N V, FAVOR EURO DOLLAR l 1 1 1 1 1 1 1! 1 1 1 i i i i i i 1 1 1 1 1 1 1 1 1 1 1 M i j s D M J S D 1968 1970 1971
3-MONTH INTEREST ARBITRAGE: UNITED STATES CANADA Friday figures 1 CANADIAN TREASURY BILLS CAN. FIN. CO. PAPER STATES TREASURY BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR! I GROSS SPREAD IN FAVOR OF CANADA PREMIUM FORWARD RATE, ' L 1 DISCOUNT COVERED RATE DIFFERENTIALS FAVOR CANADA, 4 2 TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPiR FAVOR U S u
Chart 12A SELECTED SHORT-TERM INTEREST RATES 9 8 7 6 5 4 3 2 9 8 7 6 5 4 3 I M 1 M I! 11 I, 1 1 I I I I 1966 1967 1968 1969 1970 1 I i 2 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate)
% Chart 12B SELECTED SHORT-TERM INTEREST RATES * EURO-DOLLAR - LONDON U.S. SWITZERLAND 1966 1967 1968 1969 1970 # 3-month treasury bill rate for U.S., Switzerland-3 month deposit rate. # # 3-month rate for U. S. dollar deposits in London.
Chart 13 s LONG-TERM BOND YIELDS Weekly figures CANADA NETHERLANDS US. SWITZERLAND 10 U.K. EUAO DOLLAR BONDS GERMANY Monthly figures U S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1966 1967 1968 1969 1970 * New series for Switzerland starts 3-3-67. ** New series for Switzerland starts 8-2-68. ***New Average yield of all German P A Bonds begins 9-4 70.
CHART 14 INDUSTRIAL STOCK INDICES - / K / /.. A A - J SWITZERLAND W ' V GERMANY 1958=100 Ratio scale 460 400 360 320 280 240 200 i i I i i 1 i i 1 i r 1! 1 1 1 1 1 i 1 1 1 1 1 160 320 U.K. 280 240 CANADA hc\ A A V 200 - i i 1 i i 1 i i 1 i i! 1! 1 1 1 1 1 1 1 1 i i 1 i i 1 i i 1 i i / Wn 11 i 1 i i 1 i i - 160 380 ^JAPAN * 320 280 240 200 1 1 I 1 1 1 1 1 1 1 1 I- 1 1 I 1 1 II 1 II 1 1 1 II I II 1 II 1967 1968 1969 1970 160 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange.
H. 13 No. 484 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc Dec. 11 +1.381 German mark " +0.438 U.K. pound " -0.435 Lower Dutch guilder " +0.467 French franc " +0.560 Japanese yen " 40.648. IB. Belgian franc II +0.712 Italian lira " +0.254 Canadian dollar -- 2A German mark Dec. 11 +0.31 Swiss franc " 40.64 U.K. pound " -0.70 2B Dutch guilder 40.63 3A Canadian dollar +0.69 French franc -0.50 German mark M i +1.38 U.S. dollar 40.62 3B Swiss franc +1.27 French franc +0.40 4 Gold price, U.S. dollar per ounce 37.24 5 Upper Call Euro-$ deposits Dec. 9 6.75 Federal Funds 4.91 Middle Differential 1.84 Lower * Japanese Unconditional Money * Dec. 4 8.00 German Call Money Dec. 11 7.38 U.K. 2-day Local Authority Deposits Dec. 4 6.56 ** French Day-to-day Money Dec. 11 7.38 * Euro-Currencies Euro $ Euro DM Euro Swiss Fr. Dec. 11 7.00 6.98 5.28 ** Add Canada Netherlands Dec. 4 Nov. 6 4.80 6.90
f. IV- 2 Chart Panel Series Date Rate 6A Euro-$ Call Rate Dec. 11 7.00 Euro-$ 1-month Rate " 7.94 6B Euro-$ 3-month Rate " 7.44 Euro-$ 6-month Rate " 7.44 7A Upper Euro-$ 3-month Deposits Dec. 9 7.25 U.S. Certificate of Deposits " 5.69 Lower Differential " +1.56 76 Upper Euro-$ 3-month Deposits " 7.25 ***Euro-$ 3-month Deposits (Adj.) " 9.06*** U.S. Certificate of Deposits (Adj.) " 5.98 Lower Differential: on Adj. Euro-$ Deposits " +3.08 on Unadj. Euro-$ Deposits " +1.27 8A Upper Euro-$ 3-month Deposits Nov. 27 7.25 Hire Purchase Deposits (covered) 6. 69 Lower Differential -0.56 8B Upper Euro-$ 3-month Deposits " 7.25 Local Authority Deposits.(covered) " 6.19 Lower Differential " -1.06 9A U.S. Treasury Bill rate Dec. 11 4.80 U.K. Treasury Bill rate " 6.69 Local Authority Deposit (uncovered) Dec. 4 7.19 9B Upper Spread (+= favor London) Dec. 11 +1.89 3-month Forward Pound " -0.80 Lower Net Incentive (+= favor Londoh) " +1.09 *** Adjusted for 20 per cent M.R.R.
IV - 3 Chart Panel Series Date Rate 10A Upper Euro-S Deposits (covered) Dec. 9 7.25 German Interbank Loan rate 8.12 Lower Differential +1. 15 10B Upper Euro-S Deposits (covered) 6.63 Swiss Deposit rate 5.25 Lower Differential -1.38 11 Upper Canadian Finance Paper Dec. 11 5. 75 U.S. Treasury Bill rate 4.80 Canadian Treasury Bill rate 4.42 U.S. Prime Finance paper (not plotted) 5.50 Second Bill rate differential -0.38 Forward Canadian dollar -K). 61 Third Net incentive on bills 40.23 Bottom Net incentive on Finance Paper +0.86 12A Upper U.K. Treasury Bill rate " 6. 69 U.S. Treasury Bill rate " 4.80 German Interbank Loan rate " 8.12 Lower Japanese Average rate Oct. 30 7. 700 Canadian Treasury Bill rate Dec. 11 4.42 U.S. Treasury Bill rate " 4.80 12B Euro-S Deposits " 7.44 Swiss 3-month Deposit rate " 5.25 U.S. Treasury Bill rate " 4.80
3 Digitized for FRASER IV - 4 Chart Panel Series Date Rate 13 Upper Netherlands Dec. 4 7. 68 Canada Dec. 2 6.90 United States Dec. 9 5.99 Switzerland Dec. 4 5. 66 Middle ** Germany Nov. 30 8.50 United Kingdom Dec. 4 9.79 Euro-dollar bonds * Dec. 11. 7.72 Lower U.S. Corp. Dollar Euro-bonds Oct. 31 8.5.6 U.S. Corp. DM Euro-bonds " 7.93 U.S. Corp. Aaa bonds " 8.03 14 Upper Switzerland Dec. 11 341.8 Germany Dec. 9 237.2 United States Dec. 11 200.2 Middle United Kingdom " 179.19 Canada Dec. 3 208.98 Lower * Japan Nov. 27 342.29 United States Dec. 11 200.20 Ne\v -- Average yield of ALL German Public Authorities bonds made as of banking key days. Beginning veek ended September 5, 1970, the Japanese index plotted is that of all industrial and other stocks on the First Section of the Tokyo Stock Exchange.