fme&r v September 3, 1969 No. 418 H-13 Division of International Finance Europe and British Commonwealth Section OLi' V c^y 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 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, 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.
3 I SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages, Per cent Above par SWISS FRANC n u.s U.K. POUND Below par Above par DUTCH GUILDER JAPANESE 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.
V) Chart IB SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN rlira U.S. BELGIA N FRANC 1.2 Below par M J S D M J S D M J S D M J S D 1967 1968 1969 1970
X 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT M J S D 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 US. DOLL Weekly averages ' Per cent per PREMIUM* DUTCH GUILDER + 0 CANADIAN DOLLAR 4 8 FRENCH FRANC 12 16 20 24 28 M J S D M S DISCOUNT D 1967 1968 1969 1970 S D M J S D 32 Devaluation of the French franc from 4.94 to 5.55 for $1.00.
1 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM- 20 12 GERMAN MARK U S. DOLLAR M J S D M J DISCOUNT S D M J S D M J S D 1967 1968 1969 1970
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 M J S D M S D M J S D M J S D 1967 1968 1969 1970 Devaluation of the French.franc from 4.94 to 5.55 for $1.00 20
4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 47.0 j N - ) 45.0 43.0 35.3 35.2 35.1 s\/! m / / f\ y 1 \f\ hi! W 41.0 39.0 37.0 35.0 1! 1 1 1! i 11 i i i i 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 Market closed March 15 April 1, 1968
Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 14 12 W w J T v 'V CAL L EURI 3-DOLI.AR Di POSIT i v. DERAL. FUND IS f j s z A 10 - Vy n > IT V WN RO-DOI LLARC )VER F EDER/ M. FUh ~ i i 1 1 i i i i 1 1 1 1 1 1 1 1 1 1 1 1 I l 74, i i i i.i i i i i i ~ FOREIGN CURRENCIES* Friday's figures Per cent per annum 12 r 1 i i i i 11 7 JA CE/V A U.K r y 1 h y PAN j - z w, w 1 1 1 1 I l 1 1, 1 1, 1 1 1 1 M J S D M J S D M J S D M J S 1967 1968 1969 1970 Germany, Call Money; U.K., 2-day Local Athori.ty Deposits; Japan, Unconditional Money; France, Day-to-day Money. 10
LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per annum o 1-MOI VTH/1 1 l 1 / i J 1 J V 1 t Vs / CALL \Ji y VI - 1 *1 i i i i 1 1 1 1 1 1 1 l I I, i 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 Z
. X* CHART6B 1 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum -1 V - \ J V if 1 [/ & / V ( 5-MON TH V B-MON TH f i i 1 1 1 L 1 1 1 1 1 "I 1 1 1 1 I I - 1 1 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 1069 1970
Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKETJ Wednesday figures uvj $1 X ~ [VV EURO DOLL AR DEI POSIT J V \ 1 A 5^ w y- Li / j r Kr. r J % CER1 FIFICA FE OF DEPO!»IT V 1 1 EURO-C 1 >OLLAF \ 1 OVEF \ 1 U S. CERTIF 1 1 ICATE 1 OF DEPOSIT 1 1 r As ~r AUG 27 10 88 PERCENT per annum > w V \ ^ 1 1 1 1 1! 1 i 1! 1 1 1 1. 1 1 1 1 1 i 1 1 II 1 II 1 1 1 1 1 1 1 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures AUG. 27 10.88 Per cent per annum EUROIDOLLARDEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED' 1 M J 1966 S D M J 1967 D M S D M J S 1969 D * Adjusted for Reserve Requirement
V CHART 8. LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR.RATES Friday figures AUG is to 9i per Cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE + DIFFERENTIAL FAVOR EUR 3-DOLLAR LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures AUG is io9i Per cent per annum EURO DOLLAR DEPOSIT \T) LOCAL AUTHORITY DEPOSIT COVERED ] FAVOR LOCAL AUTHORITY DIFFERENTIAL I FAVOR EUR( -DOLLAR "" If AUG 15-9.26 1966, 1967 Digitized for FRASER :..c 1968 1969
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures i i i i r 3-MONTH TREASURY BILL RATES Per cent per annum U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED NEW YORK Plotted for comparison purposes.
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 IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) 1966 1967 1968 1969 Digitized for FRASER rs
VI 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum 1 1 1 IN TERMS OF DM 8 w 5 ^ GERMAN INTERBANK LOAN RATE ft EURODOLLAR COVERED DIFFERENTIAL M i l l L± V A-Av ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates DIFF 1 EREN1 1 rial 1 1 1 1 1 1 SWISS DEPOSIT RATE V 1 1 i i v V z 1 1 h i i i i I 1 1 11 EURODOLLAR COVERED / \ i i r i r MARKET COVER BUNDESBANK COVER* Y 1 1 K A i i 1 I,FAVOR FRANKFURT t FAVOR EURO-DOLLAR I I 11 I I I II I II Per cent per annum IN TERMS/pF SfoMSS FRANCS '* >kug. 27 10.88 VI y w i i \ \ i i! : AVOR Z URICH FAVOR EURO-D< 3LLAR 1 II 1.-.AUG. 2< > -i.su M 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 8
CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures T Per cent per annum CAN. FIN. CO. PAPER T p v A L CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i i i i i i y v x ^ GROSS SPREAD IN FAVOR OF CANADA C ^ PREMIUM' FORWARD RATE DISCOUNT COVERED RATE DIFFERENTIALS CANADA TREASURY BILLS FAVOR U S. PRIME^FINANCE PAPER 'V'AMOR CA FAVOR U.S. M J S D M J S D M J S D M J S D 1966 1967 1968 196
' \ A ' > Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO-DOLLAR - LONDON U.K. US. SWITZERLAND 9 JAPAN CANADA/ US. GERMANY 1965 1966 1967 1968 1969 * 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.
Chart 13 LONG-TERM BOND YIELDS Weekly figures - Per cent per annum NETHERLANDS j CANADA U.S. SWITZERLAND T 10 GERMANY U.K. EURO DOLLAR BONDS Monthly figures T U.S. CORP. DM EURO-BONDS U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. Aaa BONDS 1965 1966 1967 1968 1969 * New series for Switzerland starts 3 3 67. ** New series for Switzerland starts 8-2-68.
CHART 14 INDUSTRIAl^TOCK INDICES 1958=100 Ratio scale ~~ 420 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 360 U.K. 320 280 240 CANADA 200 1160 380 320 280 JAPAN 240 US. 1200 1966 1967 1968 1969 l60 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange.
H. 13 No. 4X8 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc AUK. 29 +1.65* German mark +0. S3 U.K. pound n -0.76 Lower Dutch guilder ii +0.08 French franc ii +0.19 Japanese yen +0.15 IB Belgian franc -0.64 Italian lira II -0.41 Canadian dollar II +0.38 2 Upper German mark +5.49 Swiss franc +0.24 U.K. pound it -8.13 Lower Dutch guilder +0.40 Canadian dollar +0.57 French franc -1.04 II 3 Upper German mark n +13.82 U.S. dollar +7.14 - Lower Swiss franc ii +7.52 French franc +5.95 4 Gold price, U.S. dollar per ounce 40. 92 5 Upper Call Euro-$ deposits Aug. 27 8.93 Federal Funds 8. 82 Middle Differential +0.11 Lower Japanese Unconditional Money Aug. 22 8.03 German Call Money 6.00 U.K. 2-day Local Authority Deposits 11 8.94 French Day-to-day Money ' Aug. 29 8.75
IV - 2 Chart Panel Series Date Rate 6 Upper Euro-$ Call Rate Aug. 29 10.75 Euro-$ 1-month Rate I. 11.31 Lower Euro-$ 3-month Rate IT 11.25 Euro-$ 6-month Rate I 11.44 7 Upper Euro-$ 3-month Deposits Aug. 27 10.88 U.S. Certificate of Deposits 8.25 Second Differential II 2.63 Third Euro-$ 3-month Deposits Aug. 20 10. 62 U.S. Certificate of Deposits (Adj.) 6.38 Fourth Differential 4.24 8 Upper Euro-$ 3-month Deposits Aug. 15 10.91 Hire Purchase Deposits (covered) 1.96 Second Differential IT -8.95 Third Euro-$ 3-month Deposits II 10.91 Fourth Local Authority Deposits (covered) II 1.65 Differential II -9.26 9A U.S. Treasury Bill rate AUK. 29 6.99 U.K. Treasury Bill rate / 7.64 Local Authority Deposit (uncovered) Aug. 22 9.62 9B Upper Spread (.+ = favor London) Aug. 29 +0.65 3-month Forward Pound II -8.33 Lower Net Incentive (+ = favor London) M -7.68 10 Upper Euro-$ Deposits (covered) Aug. 27 5.43 German Interbank Loan rate II 6. 50 Second Differential.«+1.07 Third Euro-$ Deposits (covered) Aug. 20 10.51 * Swiss Deposit rate 5.00 Fourth Differential -5.51
IV - 3 Chart Panel Series Date Rate 11 Upper Canadian Finance Paper Aug. 29 A.38 U.S. Treasury Bill rate 6.99 Canadian Treasury Bill rate 7.42 U.S. Prime Finance paper (not plotted) 7.50 Middle Bill rate differential " +0.43 Lower Forward Canadian dollar n +0.48 Net Incentive on bills M +0.91 Net incentive on Finance Paper +1.36 12 Upper Euro-$ Deposits 11.25 U.K. Treasury Bill rate 7.64 U.S. Treasury Bill rate II 6.99 Swiss 3-month Deposit rate Aug. 15 5.00 Lower Japanese Average rate June 30 7.35 Canadian Treasury Bill rate Aug. 29 7.42 U.S. Treasury Bill rate 6.99 N German Interban^txuan rate 6.50 13 Upper Netherlands Aug. 15 7.91 Canada Aug. 20 7.49 United States Aug. 27 6.03 Switzerland Aug. 15 5.11 Middle Germany AUK. 22 6.77 United Kingdom Aug. 21 9.41 Euro-dollar bonds Aug. 29 7.10 Lower U.S. Corp. Dollar Euro-bonds Tuly 31 7.44 U.S. Corp. DM Euro-bonds it 6.30 U.S. Corp. Aaa bonds - 7.08
IV - 4 Chart Panel Series Date Rate 14 Upper Switzerland * Aug. 29 385. 5 Germany Aug. 22 238.4 United States Aug. 29 211.7 United Kingdom 210.0 Lower Japan Aug. 22 230.1 Canada Aug. 21 216.0 United States Aug. 29 211.7