The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
QapifaJt ma*Acf~ \ July X 1969 No. 409 H-13 Division of Intemotionol Finance Europe and British Common wealth Section LIBRARY j un i i I tsod I qfibc^2» I ff 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 I B - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2 - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar - 3-Month Forward Exchange Rates, Major Currencies against Chart 3 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 96 - 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 SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par SWISS FRANC GERMAN MARK Below par Above par DUTCH GUILDER FRENCH FRANC + JAPANESE YEN Below par M J S D M 1966 J 1967 * Devaluation of the U.K. pound from $ 2 . 8 0 to $ 2 . 4 0 . Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 BELGIAN FRANC U.S. ITALIAN LIRA CANADIAN DOLLAR 1.2 I Below pai M J S D 1966 M S 1967 D M J 1968 S D M J 1969 S D Chart 2 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— PREMIUM* I i DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC I M J S D 1966 J 1967 S DISCOUNTD s S 1968 1969 D 3-MONTH FORWARD EXCHANGE RATES MAJOR CURRENCIES AGAINST U.K. POUND Per cent per annum Friday figures PREMIUM* i GERMAN MARK U.S. DOLLAR DISCOUNT- PREMIUM + SWISS FRANC FRENCH FRANC DISCOUNT 1966 1967 1968 1969 1 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce Week 's average of afternoon fixings 1 1 ; 45.0 43.0 41.0 35.3 39.0 35.2 37.0 35.1 35.0 35.0 1966 * M a r k e t closed March 15-April 1, 1 9 6 8 1967 1968 1969 CHART 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages FEDERAL FUNDS FOREIGN CURRENCIES * Friday's figures ! Per cent per annum ! 12 10 ! I ! ! 1 : Jfi KPAN & Pi " 1 FRIANCE : 8 6 4 •: i 1 M I L L M H , GEIRMANY WV : 0 I I I J S 2 + I 1 D ! M 1966 1 .1 1 J 1967 S D M 1 1 i i J I I S 1968 1 I D 1 M 1 1 1 J 1969 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. ! S 2 1 D 4 CHART 6 LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures 1-MONTH A\ CALL 3-MONTH 6 MONTH M J S D M 1966 J 1967 s D M J 1968 s D M J 1969 S D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 1 I | | | | | i 2 r EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED]* \ MAY 28 3 56 | 1 EU RO DO LLAR OVER 1J.S. CE[RTIFIC:ATE C>F DEPOSIT I 1 M 1 1 ,, 1 J S V D 1966 * Adjusted for Reserve Requirement ,, V r j ADJlJSTED* | 1 J\ V / X 1 M M M J 1968 1 S ,, ! 1 D M | J 1969 S • D )\ CHART 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE FAVOR HIRE PURCHASE DIFFERENTIAL ; + ! FAVOR EURO DOLLAR LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED i FAVOR LOCAL AUTHORITY DIFFERENTIAL 1966 1967 1968 1969 CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures Per cent per annum 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED A L A I I LONDON NEW YORK M J S D 1966 * Plotted for comparison purposes. M S 1967 D S 1968 D M S 1969 13 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT Y \ FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) 1966 1967 1968 1969 Chart 10 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 a n n u m IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURO DOLLAR ! DIFFERENTIAL " ! : 1 1 : ' 1 MARKET COVER ! |FAV OR FRANKFURT i ! | -i R-y /A -A BUNDESBANK COVER* j EURO-DOLLAR ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum IN TERMS/pF SWISS FRANCS EURO DOLLAR COVERED , ; •t- SWISS DEPOSIT RATE f FAVOR ZURICH DIFFERENTIAL M J s D 1966 M S 1967 * For details see issue No. 398 dated April 16, 1969 s D 1968 D M J 1969 S D K 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum 9 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS BILL RATE DIFFERENT!/ \L AND FORVVARDC:ANADI 1 1 I j GROSS SPREAD W1 FAVOR OF < CANAC)A 1 A l / \ LLAR Y* f " W -A-s^ J ~Z ? T — j i , W'\A FORWAFID RAT E i 1 ! ! ; 1 COVERED RATE DIFFER ENTIAI-S ! | j 1 J" ; 1 " r i ! I Y„ | 1 . 1 ! 1 , , i , . 1 , , J 1966 S M 1 ! ; 1 1 1 1 ! 1 1 1 < 1 J 1967 i i i ! 1 WOR CA NADA FAVOFI U.S. • 1 i ! ! ! I PRIMIE FINit N C E PAPER j I DISCC3UNT / | TRE/%SURY BILLS V PRE M1UM ff ! / 1 1 I , FAVOR CANADA V j • i j - | FAVOR U.S. 1 1 1 1 i J 1968 • •• 1 ! s . 1969 s ! i SELECTED SHORT-TERM INTEREST RATES* Per cent per 9 EURO-DOLLAR - LONDON 8 U.K. 7 6 US. 5 4 3 SWITZERLAND 2 9 8 JAPAN 7 CANADA 6 5 4 GERMANY 1965 1966 1967 3 1968 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 - m o n t h rate for U.S. dollar deposits in London. 1969 n Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS j CANADA U.S. SWITZERLAND 10 GERMANY U.K. EURO DOLLAR BONDS T Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1965 1966 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1967 1968 1969 CHART 14 INDUSTRIAL STOCK INDICES 420 360 320 SWITZERLAND 280 GERMANY 240 U.S. 200 160 360 320 U.K. 280 240 200 CANADA 160 380 320 280 JAPAN 240 U.S. 200 160 1966 1967 1968 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange. 1969 n H. 13 No.405 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc German mark Lower Date Mav 29 ii Dutch guilder -0.70 Belgian franc - 0 . 72 +0.44 „ Italian lira Lower +0.25 German mark Swiss franc +6.72 n -7.32 Dutch guilder +2.89 II French franc Upper Swiss franc French franc + 1 2 . 72 „ +5.09 + 7 . 68 -5.66 Gold price, U.S. dollar per ounce 4 5 +1.37 - 1 5 . 85 German mark U.S. dollar Lower +2.62 U.K. pound Canadian dollar 3 - 0 . 21 -0.64 Canadian dollar Upper -0.02 - 0 . 46 Japanese yen 2 +1.04 U.K. pound French franc IB Rate Mav 30 Upper Call Euro-$ deposits May 28 Federal Funds 43.28 9.66 8.93 Middle Differential Lower Japanese Unconditional Money Mav 23 6.94 German Call Money Mav 30 2.50 U.K. 2-day Local Authority Deposits +0.73 8- 88 French Day-to-day Money 9.00 2° IV- 2 Chart Panel 6 Upper Series Date Euro-$ Call Rate Mav 29 Euro-$ 1-month Rate Lower Euro-$ 3-month Rate Euro-$ 6-month Rate 7 Upper Euro-$ 3-month Deposits 10. 12 10. 18 n 10. 18 ii 10. 12 Second Differential „ Third Euro-$ 3-month Deposits it 9.94 U.S. Certificate of Deposits (Adj.) 11 6. 18 U.S. Certificate of Deposits 8 Rate Fourth Differential Upper Euro-$ 3-month Deposits Mav 28 „ Mav 23 Hire Purchase Deposits (covered) Second Third Fourth Differential +2.46 +3.56 9.81 2.18 M - 7 . 63 Euro-$ 3-month Deposits II 9.81 Local Authority Deposits (covered) II 2.18 Differential U.S. Treasury Bill rate 9A 9.94 7.48 U.K. Treasury Bill rate „ -7.63 Mav 29 it 7. 67 6.08 Mav 30 9. 75 May 29 + 1. 59 Local Authority Deposit (uncovered) 9B Upper Spread (+ = favor London) 3-month Forward Pound Lower 10 Upper -7.09 Net Incentive (+ = favor London) -5.50 Euro-$ Deposits (covered) May 28 German Interbank Loan rate Second Differential Third Euro-$ Deposits (covered) Swiss Deposit rate Fourth 3.29 4.38 + 1.09 Mav 21 7. 61 4 . 75 Differential -2.86 IV- 3 Chart Panel 11 Upper Series Date Canadian Finance Paper Mav 29 Rate U.S. Treasury Bill rate Canadian Treasury Bill rate 7.00 6.08 ii 6.50 U.S. Prime Finance paper (not plotted) Middle Bill rate differential Lower Net incentive on bills Forward Canadian dollar Net incentive on Finance Paper 12 Upper Euro-$ Deposits 6.88 +0.42 M + 1.38 „ „ +1.80 --JU.50 10.18 U.K. Treasury Bill rate U.S. Treasury Bill rate Swiss 3-month Deposit rate Lower 7. 67 .« 6.08 Mav 21 Japanese Average rate March 31 7. 16 Canadian Treasury Bill rate Mav 29 6.50 U.S. Treasury Bill rate German Interbank Loan rate 13 Upper 6.08 Mav 30 4.38 Netherlands Mav 23 7.33 Canada Mav 28 United States Middle Lower 4/75 7. 70 6.22 Switzerland Mav 16 Germany Mav 23 6.39 United Kingdom Mav 29 9.46 Euro-dollar bonds Mav 30 U.S. Corp. Dollar Euro-bonds April it U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds „ 4.60 7.01 30 7.22 6.21 . .6.89 1 IV- 4 Chart Panel Series 14 Upper Switzerland Mav 30 Germany Mav 23 287.6 United States Mav 29 230.6 United Kingdom Mav 30 M 344.4 Lower Japan Canada United States Rate Date May 22 May 29 438.7 233.4 ILL. 1 230.6
@FedFRASER