May 7, 1969 No. 401 H-13 Division of International Finance Europe and British Commonwealth Section LIBRARY OF HCSBSGXD SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. 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 2-3-Month Forward Exchange Rates, Major Currencies against, U.S. Dollar Chart 3-3-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.
Chart 1A 3 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above pai SWISS FRANC 1.6 GERMAN MARK U.K. POUND T Below pai Above par DUTCH GUILDER FRENCH FRANC N A' JAPANESE YEN Below pai M S D M S J S D S D * 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 Percent Above par 1.2 BELGIAN FRANC ITALIAN LIRA CANADIAN DOLLAR 1.2 M S D J M J D J S M S D M S D i Below par
Chart 2 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages PREMIUM GERMAN MARK ~\ /\ SWISS FRANC 1 1 PREIV IIUM + DUTCH GUILDER, '.v CANADIAN DOLLAR FREN ICH FRANC., ^ - i, -t --- I : DISCOl jnt L ^ r D M M J S D M J S J S D M J S D '
Chart 3 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM! GERMAN MARK U.S. DOLLAR DISCOUNT- PREMIUM* SWISS FRANC FRENCH FRANC 11 \ V \ s S D s D M S
Chart 4 1 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 45.0 43.0 35.3 41.0 35.2 39.0 35.1 35.0 L M S D s D M J S D s *Market closed March 15-April 1, 1968
s CHART 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS T EURO-DOLLAR OVER FEDERAL FUNDS FOREIGN CURRENCIES * Friday's figures JAPAN U.K. FRANCE] GERMANY 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.
I CHART 6 <\ LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 1-MONTH CALL 10 3-MONTH 6-MONTH J S D M D J S M S D M J S 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 1 1 : 1 1! -1 : r EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED* I! EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT! 1 ADJUSTED" M S D D M S D J * Adjusted for Reserve Requirement S D
CHARTS LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED 1 V L - 1 FAVOR HIRE PURCHASE s T V l, DIFFERENTIAL 1 1 I M i! 1, I : ; i ' : 1 ; i, ( FAVOR EURO DOLLAR LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures EURO DOLLAR DEPOSIT. KTR / A A 11 : - LOCAL AUTHORITY DEP( - COVERED,F' V V - : FAVOR LOCAL AUTHORITY - DIFFERENTIAL 1V AA n FAVOR o EURO-DOLLAR' M J S D M J S D M J S D M J S D
CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS*! LONDON NEW YORK J M S M J S D D M J S D * Plotted for comparison purposes. M J S D
I \3 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) S D J J J M S D M S M J S M D
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!! _ DIFF "ERENl rial ' '!!.! I l MARKET COVEF! J n ry i A..A BUNDESBANK COVER* FAVC )RFRANKFURT 1 ' FAVOR EURO-DOLLAR 1! 1! ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates ERMS/pF SWISS FRANCS EURO-DOLLAR COVERED. f - SWISS DEPOSIT RATE^ DIFFERENTIAL j FAVOR ZURICH I FAVOR EURO-DOLLAR J S D M S D J S D M J S D * For details see issue No. 398 dated April 16, 1969
CHART 11 3-MOINTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR GROSS SPREAD IN FAVOR OF CANADA ( ^Vv PREMIUM FORWARD RATE DISCOUNT COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS PRIME FINANCE PAPER FAVOR CANADA 2 M J S D J S D J S M J S D
SELECTED SHORT-TERM INTEREST RATES* EURO DOLLAR - LONDON U.K. US. SWITZERLAND 9 JAPAN CANADA U.S. GERMANY 1965 * 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) i * * 3-month rate for U.S. dollar deposits in London.
Chart 13 LONG-TERM BOND YIELDS Weekly figures NETHERLANDS CANADA U.S. SWITZERLAND 10 GERMANY U.K. EURO-DOLLAR BONDS U.S. CORP. DOLLAR EURO-BONDS 8 U.S. CORP. DM EURO-BONDS 6 U.S. CORP. Aaa BONDS 1965 IJ 4 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68
CHART 14 INDUSTRIAL STOCK INDICES 1958=100 Ratio scale ~1 420 360 SWITZERLAND 320 280 GERMANY 240 200 160 360 U.K. 320 280 240 CANADA 200 160 380 320 280 JAPAN 240 U.S. 200 160 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange.
H. 13 No. 401 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc May 2 + 1.38 German mark ii +0. 61 U.K. pound -0. 62 Lower Dutch guilder -n.62 French franc ii -0.71 Japanese yen +0.48 IB Belgian franc,, -0.54 Italian lira H -n.m Canadian dollar r< +0.49 2 Upper German mark + 5.61 Swiss franc ii +2-6A U.K. pound n -5.71 Lower Dutch guilder 'I + 1.34 Canadian dollar it +n. RO French franc 3 Upper German mark,,,i -26.42 + 12. OS U.S. dollar.. +5.54 1 Lower Swiss franc ii + 7.77 : French franc -17.98 4 Gold price, U.S. dollar per ounce! 5 Upper "! 41. S8 Call Euro-S deposits April 30 8.15 Federal Funds 7. 7Q Middle Differential.. +0. 36 Lower Japanese Unconditional Money April 25 7.30 German Call Money May 2 4.00 1 U.K. 2-day Local Authority Deposits " 8.38 French Day-to-day Money i " 1! " 9,00 i
"A IV- 2 Chart Panel Series Date Rate 6 Upper Euro-S Call Rate Mav 2 8.62 Euro-S 1-month Rate n 8.94 Lower Euro-S 3-month Rate 8.75 Euro-S 6-month Rate 8.75 7 Upper Euro-S 3-month Deposits April 30 8.44 U.S. Certificate of Deposits it 6.95 Second Differential +1.49 Third Euro-S 3-month Deposits " 8.44 U.S. Certificate of Deposits (Adj.) M 6.38 Fourth Differential +2.06 j 8 Upper Euro-S 3-month Deposits April 25 8.44 Hire Purchase Deposits (covered).. 5. 58 Second Differential m -2.86 Third Euro-S 3-month Deposits ii 8.44 Local Authority Deposits (covered) " 5.40 Fourth Differential -3.04 9A U.S. Treasury Bill rate Mav 2 5. 91 U.K. Treasury Bill rate " 7.63 Local Authority Deposit (uncovered) 8. 69 9B Upper Spread (+ = favor London) If + 1. 72 3-month Forward Pound -6.02 j Lower Net Incentive (~ = favor London) II -4.30 10 Upper Euro-S Deposits (covered) April 30 2.80 i German Interbank Loan rate " 4.44 i Second 1 Differential " + 1.64 Third! Euro-S Deposits (covered) II 5.77 Swiss Deposit rate " 4.75 Fourth Differential -1.0? i
IV- 3 Chart Panel Series Date Rate 11 Upper Canadian Finance Paper Mflv 2 I 7.00 U.S. Treasury Bill rate I 5.91 Canadian Treasury Bill rate " 6.62 U.S. Prime Finance paper j (not plotted)» 6.87 Middle Bill rate differential ii 4-0.71 j Forward Canadian dollar " +0.86 Lower Net incentive on bills " +1.57 12 Upper Euro-$ Deposits Net incentive on Finance Paper ii j, +0.99... U.K. Treasury Bill rate 1 7.63 j 8.75 : U.S. Treasury Bill rate i 5.91! Swiss 3-month Deposit rate Lower Japanese Average rate Feb. 28 7.36 Canadian Treasury Bill rate Mav 2 6.62 M 4.75 ; U.S. Treasury Bill rate ' 5 Q1! German Interbank Loan rate i 4.44 13 Upper Netherlands April 25 7.44 Canada April 30 7.44 United States 5.86 Switzerland April 25 [ 4.67 Middle Germany 1 6,38 United Kingdom Mav 1 8.93 Euro-dollar bonds May 2 t! 7.06 Lower U.S. Corp. Dollar Euro-bonds March 31 ZJ_34 U.S. Corp. DM Euro-bonds " 6_._19 U.S. Corp. Aaa bonds! April. 30...1 6.89
)> IV-4 Chart Panel Series Date Rate 14 Upper Switzerland Mav 2 435.8 Germany April 25 267.4 United States Mav 2 224.2 United Kingdom 253.0 Lower Japan April 2% 113. 2 Gafftda 230.5 United States May 2 224.2