A>gu«<, 1969 No. 414 H-13 Division of International Finance Europe and British Commonwealth Section LIBRARY rnwg 111963 FEDERAL RESERVE OF RICHMOHi) SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM
( 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 3 A & 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 6 - 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 31,1968. 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.
9 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC m 1.6 with GERMAN MARK! U.K. POUND Below par Above par DUTCH GUILDER JAPANESE YEN FRENCH FRANC Below par M J S D M J S D M J S D M J S D 1967 1968 1969 1970 * Devaluation of the U.K. pound from $2.80 to $2.40.
Chart IB SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA BELGIAN FRANC 1.2 M J. J S D M S D M J S D M J S D 1967 1968 1969 1970 Below par
Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages PREMIUM* GERMAN MAR V v ' X SWISS FRANC U.K. POUND DISCOUNT M J S D M J S D M J S D M J S D 1967 1968 1969 1970
Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 DISCOUNT J D M J S D M S S D M J S D 1967 1968 1969 1970 32
A Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM 20 GERMAN MARK w U.S. DOLLAR DISCOUNT M J S D S M J S D M J S D 1967 1968 1969 1970
Chart 3B 5-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POM SID Per cent per a annum 12 va IV SWISS FRANC 8 4 >A, + 0 4 FRENCH FRANC 8 12 16 20 M J S D M J S D M J S D M J S D 1967 1968 1969 1970
GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 47.0 45.0 35.3 35.2 35.1 h i K f\ if v iv 1 W i 1 1 1 I 1 1 1! i 11 i I i i 1 1 1 1 i i i i i i i i i I i i M J S D M J S J s 1967 1968 1969 1970 * Market closed March 15-April 1, 1968 A 43.0 41.0 39.0 37.0
\b Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages 14 k w / h I 1 CAL L EURI O-DOLI.AR D1 -POSIT A % 7 J w W V rv nfrai FUND s Y v V 1 1 12 10 Vv n v i \ ~\ i 1 1 i i I I FOREIGN CURRENCIES* Friday's figures > y x / A A \ A A RO-DOI LLARC IVER F EDER/ \L FUN IDS l I 1 I l 1 I l 1 I I 1 1 1 1 1 1 i i 1 1 1 1 i i 1 1 12 FRAN CE V n. J 1 I I l l I 1 i i I l i- i Uv U.K X p- / "i f JA PAN "V V i i 1 1 V 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 1969 1970 10 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money.
CHART6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per 13 12 11 10 9 8 1-MONTH 7 6 CALL 5 4 3 M J s D M S D M J S D M J S D 1967 1968 1969 1970 2
LONDON: EURO DOLLAR DEPOSIT RATES Friday figures K \ < 3-MON TH 1 V V \r\j V 3-MON TH Xj 11 11 i i i i i i 1 1 1 1 I I I I "l 1 i i i i i i i i i i i i M J S D M J S D M J S D M J S D 1967 1968 1969 1970
Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Wednesday figures I EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT l 1! i i r T T 2 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures EL IRO-iDC >LLAR DEPOi SIT \ V \ / A / r i /y IV r 1 S. CERTIFICA TE OF DEPO! SIT ADJUSTED!* I I I J j JUIY 30 10.38 Z EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED 1 M J S D M J D M J S D M J S 1966 1967 1968 1969 D * Adjusted for Reserve Requirement
CHART 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED T FAVOR HIRE PURCHASE + DIFFERENTIAL FAVOR EURO DOLLAR LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED I FAVOR LOCAL AUTHORITY DIFFERENTIAL j FAVOR EURO-DOLLAR 1966 1967 1968 1969
CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED I A LONDON NEW YORK M J S D M J S D M J S D M J S D 1966 1967 1968 1969 * Plotted for comparison purposes.
Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures 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
\1 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 EURO-DOLLAR COVERED I. DIFFERENT rial i i 1 1!! MARKET COVEF t OR FRAf JKFURT 1 n 1 r - BUN DESBANK COVER * 1! 1 1 M M i i! i i i ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates J J FAVOR 1 1 M1 EURO-D i l PL;UR IN TERMS/pF SWISS FRANCS EURODOLLAR COVERED, SWISS DEPOSIT RATE T T T FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR 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
Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per 9 EURO-DOLLAR - LONDONf 8 U.K. 7 6 US. 5 4 3 SWITZERLAND 2 9 8 JAPAN 7 CANADA 6 U.S. 5 4 GERMANY 3 1965 1966 1967 1968 1969 Switzerland (3-month deposit rate) and Germany (Interbank Loan Rate) month rate for U.S. dollar deposits in London.
v\ CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS f UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN GROSS SPREAD IN FAVOR OF CANADA ( LLAR PREMIUM FORWARD RATE DISCOUNT COVERED RATE DIFFERENTIALS f AVQR CANADA TREASURY BILLS FAVOR U.S. PRIME FINANCE PAPER V OR CANADA 12 FAVOR U.S. M J S D M J S D M J S D M J S D 1966 1967 1968 1969
> b LONG-TERM BOND YIELDS Weekly figures NETHERLANDS ' X CANADA i I M II 1 SWITZERLAND M ii I I 1, I I 11 11 I I I I I 1 10 ^ GERMANY EURO-DOLLAR BONDS x > S V I K i i Monthly figures 1 U.S. CORP. DOLLAR EURO-BONDS - U.S. CORP. DM El URO BONDS X! U.S. CORP. Aaa BONDS i! 1 I 1 1 1 II 1 1 I I I 1 1 1 1 1 1 I'- 1 1! 1 I M l I M I l 1 1 1 1 1 1 1 1 1 1 1 1965 1966 1967 1968 1969 New series for Switzerland starts 3-3-67. * New series for Switzerland starts 8-2-68.
CHART 14 INDUSTRIAL STOCK INDICES 58=100 Ra io scale 420 360 SWITZERLAND 320 280 240 200 160 360 320 280 240 CANADA 200 160 380 320 280 JAPAN 240 200 1966 1967 1968 Japan index of 225 industrial and other stocks traded on the Tokyo exchange. 1969 160
IV - 2 Chart Panel Series Date Rate 6 Upper- Euro-$ Call Rate Aug. 1 8.88 Euro-$ 1 month Rate 9.94 ' Lower Euro-$ 3-month Rate 10.38 Euro-$ 6-month Rate 10.56 7 Upper Euro-$ 3-month Deposits July 30 10.38 U.S. Certificate of Deposits 8.68 I Second Differential Third Euro-$ 3-month Deposits 10.38 U.S. Certificate of Deposits (Adj.) 6.38 Fourth Differential +4.00 8 Upper Euro-$ 3-month Deposits July, 18, -10.94 Hire Purchase Deposits (covered) 6.95 Second Differential -3.99 Third Euro-$ 3-month Deposits 10.94 Local Authority Deposits (covered) 6.48 Fourth Differential -4.46 9A U.S. Treasury Bill rate Aug. 1 7.01 U.K. Treasury Bill rate 7.64 Local Authority Deposit (uncovered) 9.38 9B Upper Spread (+ = favor London) 40.63 3-month Forward Pound -2.60 Lower Net Incentive (+ - favor London) -1.97 10 Upper Euro-S Deposits (covered) July 30 5.58 - German Interbank Loan rate 6.38 Second Differential 40.80 Third uro-$ Deposits (covered) 9.86 Swiss Deposit rate 5.00 Fourth Differential -4.86 1
& H. 13 No. 414 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc Aug. 1 +1.45 German mark H -0.07 U.K. pound M -0.39 Lower Dutch guilder ii -0.34 French franc I, -0.69 Japanese yen +0.07 IB Belgian franc -0.46 Italian lira ii -0.62 Canadian dollar 40.13 2 Upper German mark H +4.59 Swiss franc I 40.44 U.K. pound n -2.58 Lower Dutch guilder ii -0.20 Canadian dollar n +0.90 French franc -3.70 3 Upper German mark ii +6.95 U.S. dollar ii +2.23 Lower Swiss franc I, +2.58 French franc -1.16 4 Gold price, U.S. dollar per ounce 41.52 5 Upper Call Euro-$ deposits July 30 9,05 Federal Funds ii 8.05 Middle Differential ii +1.00 Lower Japanese Unconditional Money.Tulv 25 7.66 German Call Money Aug. 1 6.12 U.K. 2-day Local Authority Deposits 8.88 French Day-to-day Money 8.88
IV- 3 Chart Panel Series Date Rate 11 Upper Canadian Finance Paper AUB. 1 8.12 U.S. Treasury Bill rate 7.01 Canadian Treasury Bill rate it 7.36 U.S. Prime Finance paper (not plotted) ' 8.00 # Middle Bill rate differential ii 40.35 Forward Canadian dollar i 40.82 1 Lower Net incentive on bills II 4-1-17 Net incentive on Finance Paper ii 40 f 94_. I 1 12 Upper Euro-$ Deposits 10.38 U.K. Treasury Bill rate.. 7.64 w 1 U.S. Treasury Bill rate " 7.01 Swiss 3-month Deposit rate i. 5.00 Lower Japanese Average rate May 30 1 7.36 Canadian Treasury Bill rate Aug. 1 7.36 U.S. Treasury Bill rate 7.01 - - German Interbank Loan rate 6.38 13 Upper Netherlands July 25 7.74 J' Canada Julv 30 7.53 * f -u ' United States 6.00 Switzerland.Tulv 25 4.98 Middle Germany 6. 73 United Kingdom Julv 17 9.28 Euro-dollar bonds Aug. 1 7.10 Lower U.S. Corp. Dollar Euro-bonds June 30 7.52 U.S. Corp. DM Euro-bonds H 6.17 U.S. Corp. Aaa bonds Jviy 31 7.08
IV-4 Chart Panel Series Date Rate 14 Upper Switzerland July 25 370.4 Germany H 277.2 United States AUK. 1 202.2 United Kingdom II 205.0 Lower Japan Julv 25 332.5 Canada July 26 21 n. L United States Aug. 1 202.2