The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
x (&y£)oJ nnojJcjci December 9, 1970 No. 483 H-13 Division of International Finance Evropa and British Commonwealth Section 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 Chart 6A and B Chart 7A and B Chart 8A and B Chart 9A and B Chart 10A and B Chart 11 Chart 12A and B - Call Money Rates s London: Euro-$ Deposit Rates New York - London: Yields on U.S.:Dollar Funds London: Covered Yields on U.S. Dollar Funds Interest Arbitrage: United States-United Kingdom Interest Arbitrage: U.S.-Germany arid U.S.-Switzerland Interest Arbitrage: United States-Canada Selected Short-term Interest Rates PART III. LONG-TERM INTEREST RATES AND STOCK INDICES Chart 13 Chart 14 PARTiV. - Long-Term Bond Yields - Industrial Stock Indices 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 exnlained in the Supplement to the series, which accompanied issue dated January 1, 1%9. 3" " C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par U.S. Below par Above par JAPANESE YEN FRENCH FRANC- Par U.S. DUTCH GUILDER Below par 1968 1969 Devaluation of the French franc from 4 . 9 4 to 5.55 for $ 1 0 0 DM rate not supported by the Bundesbank Revaluation of the DM from 2 5 . 0 0 to 2 7 . 3 2 in U S cents 1970 1971 Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR I r BELGIAN FRANC Par U.S. ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. $ rate not supported by Bank of Canada. S D J 1970 S D M J 1971 S D ^ h a r t 2A 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 DISCOUNTM J S D M 1968 J 1969 S' D M J 1970 S D M J 1971 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT,- M S D 1968 M S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * Can. % rate not supported by Bank of Canada. D 32 M J 1970 S D M J 1971 S D Chart 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM + GERMAN MARK U.S. DOLLAR DISCOUNT— J S D 1968 S 1969 D M J 1970 S D M J 1971 S D Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per a n n u m PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1968 M J S 1969 * Devaluation of the French franc from 4,94 to 5.55 for $ 1 . 0 0 D M J 1970 S D M J 1971 S D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce Week's average of afternoon fixings j z1 / x 42 V i A [f 40 38 36 m j i i s i i •i d i i i m 1968 j i i s i i d i i m i i s i i j 1969 1970 MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce I 1 I I I I 1 I I I I 1 I I M * M a r k e t closed March 15 April 1, 1 9 6 8 J 1967 S D M 1S6S 1 ! d 1 1 m l I j s 1971 I 1 d 34 CHART 5A CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly averages - — : 12 CA LL EUlRO-DOI.LAR C>EPOSITS 1 h - y FEi3ERAL FUND!S ^ w v T i i L_ VM EUR O-DOLLAR OVER FEIDERAIL FUNIDS y x v . / ) jv/V VIA 1 1 ViL/ Vl Vn lw / \ a / \ i i i 1 1 ! 1 I 1 1 11 I i 11 1 1 - i i . i i i i i i EURO-CURRENCIES Per c e n t per a n n u m Weekly averages 12 EURO DM EURODOLLAR 1 1 1 EURO-SWISS FRANC i i l i i M J S D i i M 1968 i i J 1969 i S i i D 1 I M J $ 1970 I 1 D M J S 1971 D \X C h a r t 5B CALL MONEY RATES FOREIGN CURRENCIES* Friday figures Per cent per a n n u m - 1 i 1 ! ,Vx 5M C °! " X NADA I ! 1 . 1 1 V- w \ - . i 1 I APAN f vv X - i , ! , , i i. i I I I 1 1 1 1 i i i i i i i i i i SELECTED EEC CURRENCIES* Per cent per a n n u m Friday figures FRANCE GERMANY NETHERLANDS 1968 1969 1970 * Japan, U n c o n d i t i o n a l Money; U.K., 2 day Local Authority Deposits; Canada, Day-to day Loans, w e e k l y average. * * G e r m a n y , Call Money; France, Day-to day M o n e y ; N e t h e r l a n d s , Call Money, weekly average. 1971 I? LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per annum Friday f i g u r e s 13 12 10 CALL Chart 6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m I1! Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 6 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT, J s s D 1967 1968 s 1969 D S 1970 D Chart 76 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per ai Wednesday f i g u r e s 14 EURO DOLLAR DEPOSIT 13 ADJUSTED 12 11 10 EURO-DOLLAR DEPOSIT 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT ADJUSTED 5 4 3 7 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I ADJUSTED 5 4 3 2 y jh I M J 1967 S 0 i Li ri D M J 1968 Adjusted for Reserve R e q u i r e m e n t * Adjusted for 10% Marginal Reserve Requirement ' * Adjusted for 20% M a r g i n a l Reserve R e q u i r e m e n t 1 + S D N J 1969 S M J 1970 Li S 1 I D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per a n n u m EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED I T 1 FAVOR HIRE PURCHASE DIFFERENTIAL j S I FAVOR EURO-DOLLAR D 1968 S 1969 D M D 1970 D 1971 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Per cent per aiinnum Friday figures 14 12 EURO DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT COVERED 4 2 0 T FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL 10 FAVOR EURO-DOLLAR S D 1968 M S 1969 D M J 1970 S D M J 1971 S D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m 1 12 3-MONTH TREASURY BZLTRATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED LONDON NEW YORK Plotted for c o m p a r i s o n purposes INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 2 SPREAD IN FAVOR OF LONDON + PREMIUM 0 DISCOUNT FORWARD RATE 2 4 6 8 10 12 T 2 IN FAVOR OF LONDON + 0 2 4 IN FAVOR OF NEW YORK 6 8 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) J s D 1968 D 1969 S 1970 D M S 1971 D //V r Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per c e n t per a n n u IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT MARKET COVER; FAVOR EURO DOLLAR S D 1968 S 1969 D J 1970 S S 1971 D 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE W e d n e s d a y rates Per cent per a n n u m IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR S D M 1968 J 1969 S J 1970 s D M J 1971 S D 2 3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA Friday f i g u r e s Per c e n t per a n n u m 1 -| CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM GROSS SPREAD IN FAVOR OF CANADA J J I T ! , - FORWARD RATE 1 L 7 COVERED RATE DIFFERENTIALS -- ; DISCOUNT 4- - FAVOR CANADA + TREASURY BILLS FAVOR U S 1 FAVOR CANADA PRIME FINANCE PAPER ^ = w v FAVOR U S i 10 Chart 12A SELECTED SHORT-TERM INTEREST RATES GERMANY U.K. GERMANY 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 except Japan (Average rate on bank loans and d i s c o u n t s ) and Germany ( I n t e r b a n k Loan Rate) 1970 ,Mv\ r Chart 128 SELECTED SHORT-TERM INTEREST RATES * Per c e n t per a n n u m EURO-DOLLAR - LONDON U.S. SWITZERLAND 1966 1967 1968 * 3 - m o n t h t r e a s u r y bill rate for 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. dollar d e p o s i t s in L o n d o n . 1969 1970 r £ LONG-TERM BOND YIELDS Weekly figures Per cent per annum 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. Aaa BONDS 1966 * 1967 New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. * * * New-Aver age yield of all German PA Bonds begins 9-4 70. 1968 1969 1970 f V CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 460 ' A . v / / \ A - 400 W v SWITZERLAND " 360 320 ' i / A . r_^J y ^ / V \ ' i 280 Y G E R M A N Y / - / V \ 240 200 A 1 i 1 1 1 I 1 1 1 1 ! i i 1 i i 1 I i ; -! i 1 1 ! i I 1 1 1 ! i 1 1 1 160 320 U.K. 280 240 r \ CANADA i l l ! i i ! ii 1 i i ! : i 1 1 I 1 1 1 I 1 I 1 1 /IV7! ^ ! 4 200 11 1 1 1 1 1 1 1 160 380 - 320 JAPAN * 280 240 200 r ~ i i i i i I I i I i i i i I i i i i i i i i 1967 1968 i i ! M I M ! i i 1969 * Japan index 'of 2 2 5 i n d u s t r i a l and other stocks t r a d e d on the Tokyo exchange * * Japan index of all i n d u s t r i a l and other stocks t r a d e d on the first section of the Tokyo Stock Exchange 1970 H. 13 No. 483 IV. L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series Date 1A Upper Swiss franc Dec. 1 Rate 4 Lower U.K. pound " -0.473 Dutch guilder " 40.515 French franc " 40. 602 +0.643 Japanese yen IB Belgian franc " +0.735 Italian lira " +0.309 Canadian dollar German mark 2A Dec. L 3B 4 U.K. pound " Dutch guilder " 40. 72 Canadian dollar " +0. 60 11 -0.52 German mark " +1.26 U.S. dollar " +0. 62 Swiss franc " Gold price, U.S. dollar per ounce 5 Upper Middle * * * * * ** Euro-Currencies Euro $ Euro DM Euro Swiss Fr. Add Canada Netherlands I 40.30 37.55 " Call k£uro-$ deposits •• 6.91 Federal Funds " 5.50 " +1.41 Differential Lower J +1. 18 French franc 4 +0.25 40.59 -0.83 " French franc 3A i - - Swiss franc 2B +1.412 +0.562 German mark Japanese Unconditional Money Nov. 27 7. 75 German Call Money Dec. 7.50 4 U.K. 2-day Local Authority Deposits " 6.88 French Day-to-day Money " 7.62 4 '6.98 6.98 6.95 Nov. 27 Nov. 6 4.38 6.90 Dec. i i IV - 2 Chart Panel 6A Series Date Euro-$ Call Rate Dec. Euro-$ 1-month Rate 6B 7A Upper Lower 7B Upper Lower Upper Euro-S 3-month Rate " 7.31 " 7.31 Euro-$ 3-month Deposits Dec. 2 7.50 U.S. Certificate of Deposits " 5.68 Differential " +1.82 Euro-$ 3-month Deposits " 7.50 Euro-) 3-month Deposits (Adj.) " 9.38**.* U.S. Certificate of Deposits (Adj.) " 6.12 Differential: on Adj. Euro-$ Deposits Euro-$ 3-month Deposits " 3.26 " 1.38 Nov. 20 6.94 " 6.67 Lower Differential " - 0 . 27 Euro-$ 3-month Deposits " 6.94 Local Authority Deposits (covered) " 6.11 Lower Differential Upper Lower *** 7. 75 Upper 9A 9B 6. 75 Euro-$ 6-month Rate Hire Purchase Deposits (covered) 8B 4 " on Unadj. Euro-$ Deposits 8A Rate Dec. U.K. Treasury Bill rate " 4 4.87 6.69 Local Authority Deposit (uncovered) Nov. 27 7.19 Spread (+= favor London) Dec. 4 +1.82 3-month Forward Pound " - 0 . 71 Net Incentive (+= favor London) " +1.11 Adjusted for 2.70 Marginal Reserve Requirement. -0.83 " U.S. Treasury Bill rate >1 IV- 3 Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) Dec. German Interbank Loan rate 10B 11 4 7.52 8.25 " Lower Differential " Upper Euro-$ Deposits (covered) " 6.99 Swiss Deposit rate +0. 75 " 5.25 Lower Differential " -1. 74 Upper Canadian Finance Paper " 6.00 U.S. Treasury Bill rate " Second 12A Rate 4.87 Canadian Treasury Bill rate 4.36 U.S. Prime Finance paper (not plotted) 5.50 Bill rate differential " -0.51 Forward Canadian dollar " 40. 65 Third Net incentive on bills " +0. 14 Bottom Net incentive on Finance Paper " +1. 15 Upper Lower 12B U.K. Treasury Bill rate " 6.69 U.S. Treasury Bill rate " 4.87 German Interbank Loan rate " 8.25 Japanese Average rate Sept. 30 7.693 Canadian Treasury Bill rate Dec. 4. 36 4 U.S. Treasury Bill rate " 4.87 Euro-S Deposits " 7.31 Swiss 3-month Deposit rate " 5.25 U.S. Treasury Bill rate " 4.87 3P IV- 4 Chart 13 Panel = Upper ** Middle Lower Series Date Netherlands Nov. 6 8.07 Canada Nov. 25 7.16 Rate United States Dec. 4 5.99 Switzerland Nov. 27 5.68 Germany Nov. 23 8.63 United Kingdom Nov. 27 9.95 * Euro-dollar bonds Dec. 7. 72 U.S. Corp. Dollar Euro-bonds Oct. 31 U.S. Corp. DM Euro-bonds 4 7.93 " U.S. Corp. Aaa bonds 14 Upper Dec. Germany Nov. 23 United States Dec. Canada Lower ** * Nevv - - * 8.03 Switzerland United Kingdom Middle 8.56 4 4 345.4; 235.0 196.73 " 185.68 Nov. 26 203.38 Japan Nov. 27 342.29 United States Dec. 196.73 4 Average yield of ALL German Public Authorities bonds made as of banking key days. Beginning week 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.
@FedFRASER