The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
a April 29, 1970 No. 452 H-13 Division of Intemotionel Finance Europe end British Commonwealth Section r % \ M ^ ^ p ^ SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES O F CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM / \ . 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. 3 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly a v e r a g e s — P e r cent ] Above par 1.6 SWISS FRANC U.S. GERMAN MARK! U.K. POUND * * * * , , Below par Above par DUTCH GUILDER Par U.S. FRENCH FRANC ; i Below par J S D M 1967 * J S D 1968 Devaluation of t h e U.K. pound f r o m $2.80 to $2.40. ^ D e v a l u a t i o n of t h e French f r a n c f r o m 4.94 to 5.55 for $1.00. * * * DM rate not supported by the Bundesbank • Revaluation of the DM f r o m 2 5 . 0 0 t o 27.32 in U.S. c e n t s . M J 1969 S D M J 1970 S D v Chart I B 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 -4- Below par M J S D 1967 S 1968 D S S 1969 1970 0 \ l h a r t 2A " - 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLL# Veekly averages Per cent per at 16 12 8 4 SWISS FRANC + 0 4 U.K. POUND 8 12 DISCOUNT— 1 I I 1 I 1 I 1 I I I 16 C h a r t 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per a n n u m | PREMIUM* 1 DUTCH GUILDER CANADIAN DOLLAR , FRENCH FRANC 24 28 DISCOUNTM 1967 1968 * D e v a l u a t i o n of the French franc f r o m 4 . 9 4 to 5.55 for $1.00 S S S 1969 D M S 1970 D C h a r t 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per c e n t per a n n u m PREMIUM* 20 GERMAN MARK U.S. DOLLAR DISCOUNT — S D 1967 J 1968 S D J 1969 S D M J 1970 S D C h a r t 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AlGAINST U.K. POUND Friday figures Per c e n t per a n n u m ! PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— J s D M 1967 J S D 1968 * D e v a l u a t i o n of the French franc f r o m 4 9 4 to 5.55 for $1.00 20 J 1969 S D M J 1970 S D GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. d o l l a r e q u i v a l e n t per fine ounce Week's average of a f t e r n o o n f i x i n g s 1 I i- ! j ; ! ! j I / ' ! ! I : 1 1 i ! 1 1 ! ' ! 1 1967 * M a r k e t c los ed M a r c h 15 April 1, 1968 1 | j i A 11 1 ! i i ! i i I , i ,,! 1 1 1969 I X - 1 I 1 I 1970 CALL M O N E Y RATES DOLLAR FUNDS Per cent per a n n u m Weekly a v e r a g e s 14 FEDERAL FUNDS 1 Vv W i ' V ' 1 *i aaaJ i ! I V EURO DOLLAR ()VER FEDERAL FUNDS M ! II 1 1 I i 1 i 1 i i i 1 i 1 1 1 . ! ; ! 1 1 ! 1 1 1 1 1 1 ! IMIM 1 1 " 1 1 FOREIGN CURRENCIES * Friday figures Per cent per a n n u m I ! ! ! 1 1 . FRAN • i . .1 \ ! , hi A Cr VyT 1 i 1 1 i M I V / ; . A /X i V 10 \ U.K JAIRAN ! 12 T I 1 V | 1 1 1 1 ! J S 1 i D 1 1 M 1967 J S 1968 D M 1 J 1969 S 1 D 1 1 M 1 1 J 1970 ' G e r m a n y , Call M o n e y , U.K., 2-day Local Athority Deposits; Japan, U n c o n d i t i o n a l Money; France, Day to day Money. 1 S 1 1 D 1 V\ CHART6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per c e n t per a n n u m 1-MONTH CALL 2 M J S D M 1967 S 1968 D M J 1969 S D M J 1970 S D LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m Chart 7A N E W Y O R K - L O N D O N : Y I E L D S O N U.S. D O L L A R F U N D S 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT / I U.S. CERTIFICATE OF DEPOSIT T 6 T j EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J s S D 1967 1968 S 1969 S 1970 D \li Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET ^ e r cent per a n n u m Wednesday figures EURO DOLLAR DEPOSIT ~t— ADJUSTED EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT | i ADJUSTED* 7 1 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT S S 1967 1968 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% Marginal Reserve Requirement D J 1969 s D M J 1970 S D CHART 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED f — I j - 4 .FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1967 J 1968 S D S 1969 0 M J 1970 S D + CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per a n n u m EURO-DOLLAR DEPOSIT V I LOCAL AUTHORITY DEPOSIT ? m DIFFERENTIAL FAVOR EURO DOLLAR S D 1967 J 1968 S D S 1969 D J 1970 S D C h a r t 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday f i g u r e s 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED NEW YORK M J S D 1967 * P l o t t e d for c o m p a r i s o n purposes f Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT V \ FORWARD RATE 2 IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D - M O N T H I N T E R E S T ARBITRAGE: U.S. - G E R M A N Y RANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE 14 IN TERMS OF DM 12 10 8 GERMAN INTERBANK LOAN RATE 6 4 EURODOLLAR COVERED | 2 0 FAVOR FRANKFURT DIFFERENTIAL 4 (MARKET COVER 2 + 0 FAVOR EURO-DOLLAR 1967 1968 1969 1970 2 C h a r t 10B 3 - M O N T H I N T E R E S T A R B I T R A G E : U.S. - S W I T Z E R L A N D ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per c e n t per 14 IN TERMS OF SWISS FRANCS 12 10 EURODOLLAR 8 6 4 SWISS DEPOSIT RATE 2 FAVOR ZURICH DIFFERENTIAL 2 + 0 2 4 6 FAVOR EURO DOLLAR M J S D 1967 M J 1968 S D M S 1969 D J 1970 S 8 D 3 - M O N T H INTEREST ARBITRAGE: U N I T E D STATES • CANADA Friday figures Per c e n t per a n n u m CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS I BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM GROSS SPREAD IN FAVOR OF CANADA FORWARD RATE DISCOUNT r COVERED^ATE DIFFERENTIALS TREASURY BILLS FAVOR U.S. FAVOR CANADA M/ PRIME FINANCE PAPER "iW r FAVOR U S S D 1967 J 1968 D M J 1969 S D M J 1970 S D SELECTED SHORT-TERM INTEREST RATES Per cent per a n n u m U.S., GERMANY 9 JAPAN \CANADA U.S. 1966 1967 1968 1969 * 3 - m o n t h t r e a s u r y b i l l rates for all c o u n t r i e s e x c e p t Japan (Average rate on bank loans a n d d i s c o u n t s ) and Germany ( I n t e r b a n k Loan Rate) 1970 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per c e n t p e r a n n u m EURO DOLLAR - LONDON US. SWITZERLAND 1966 1967 1968 * 3 - m o n t h t r e a s u r y bill rate f o r U.S., S w i t z e r l a n d - 3 m o n t h deposit rate. * * 3 - m o n t h rate for U. S. d o l l a r d e p o s i t s in L o n d o n . 1969 1970 /jA Chart 13 LONG-TERM BOND YIELDS Weekly f i g u r e s Per c e n t per a n n u m CANADA .NETHERLANDS U.S. SWITZERLAND 10 U.K. GERMANY EURO-DOLLAR BONDS Monthly figures U S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U S. CORP. Aas BONDS 1966 * 1967 New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1968 1969 1970 z v CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale SWITZERLAND H 240 CANADA , 111 380 - 320 JAPAN * 280 240 200 Xyv^ i i ! i i 1 ii 1 ii 1 i i 1 i i 1 i i 1 i i 1967 1968 1 1 1 I! * Japan index of 2 2 5 i n d u s t r i a l and other s t o c k s t r a d e d on the Tokyo exchange 1 1 1 1 1 1 1969 i i i i i i i i i M 1970 H. 13 No. 452 IV. Chart Panel 1A Upper L A T E S T FIGURES P L O T T E D ON T H E CHARTS Series Date Swiss franc April 24 German mark Lower U.K. pound " Dutch guilder || French franc » Belgian franc +0.781 „ U.K. pound " -0.36 Dutch guilder " +0.51 April 24 Canadian dollar French franc German mark U.S. dollar Swiss franc 3B French franc 4 5 Gold price, .U.S. dollar per ounce Upper +0.660 Swiss franc German mark 3A -0.346 +0.492 -0.661 Canadian dollar 2B +0.271 +0.487 n Italian lira 2A +1.694 +0.689 Japanese yen IB Rate Call Euro-$ deposits Federal Funds -1.44 -0.03 +0.19 " April 17 .. u -0.65 -1.14 +0.71 „ +0.62 April 24 35.86 April 22 M 8.21 -0.47 7.58 Middle Differential ii -0.63 Lower Japanese Unconditional Money April 17 8.25 German Call Money April 24 9.688 U.K. 2-day Local Authority Deposits April 17 7.38 April 24 8.875 French Day-to-day Money IV-2 Chart Panel 6A Series Euro-$ Call Rate 6B Rate Date April 24 Euro-$ 1-month Rate „ Euro-S 3-month Rate it Euro-S 6-month Rate 7A Upper Euro-$ 3-month Deposits 7B Differential Upper Euro-) 3-month Deposits April 22 Lower „ U.S. Certificate of Deposits (Adj.) „ „ Differential: on Adj. Euro-$ Deposits ii Euro-$ 3-month Deposits (Adj.) on Unadj. Euro-$ Deposits 8A 8B Upper Euro-$ 3-month Deposits 8.19 7.39 +0.80 8.19 9.10 7.18 +1.92 +1.01 April 10 8.31 Hire Purchase Deposits (covered) „ Lower Differential n +0.02 Upper Euro-$ 3-month Deposits n 8.31 Local Authority Deposits (covered) ii Lower 9A Differential U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B 8.50 8.438 U.S. Certificate of Deposits Lower 8.50 8.50 Upper Spread (+= favor London) „ April 24 „ Net Incentive (+= favor London) 7.95 -0.36 6.47 6.70 April 17 7.81 April 24 +0.23 3-month Forward Pound Lower 8.33 „ -0.28 -0.05 IV- 3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Date April 22 German Interbank Loan rate 10B Lower Differential Upper Euro-$ Deposits (covered) 11 Differential Upper Canadian Finance Paper -0.03 8.22 5.50 -2.72 April 24 U.S. Treasury Bill rate 6.52 U.S. Prime Finance paper (not plotted) 7.25 Bill rate differential +0. 05 Forward Canadian dollar 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate +0.22 +0.27 + 1.01 6.70 U.S. Treasury Bill rate 6.47 German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate 12B Euro-$ Deposits Swiss 3-month Deposit rate 8.00 6.47 Canadian Treasury Bill rate Second 9.59 9.56 Swiss Deposit rate Lower Rate 9.56 Feb. 27 April 24 7.62 6.52 6.47 8.50 5.50 U.S. Treasury Bill rate 6.47 IV- 4 Chart Panel Series 13 Upper Netherlands Canada United States Switzerland Middle Germany United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds Date Rate April 17 8.48 April 22 7.84 April 24 6.70 April 17 5.84 April 24 7.65 April 9 8.65 April 10 7.32 March 27 U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower Japan 8.10 8.02 .. 7.92 April 24 354.0 April 23 284.4 April 24 187.32 April 17 218.84 April 16 228.16 April 17 435.53 April 24 187.32 United States
@FedFRASER