The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
July 29, 1970 No. 465 / x. H-)3 Division of International Finance Europe and British Commonwealth Section /y ^ELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. W E E K L Y SERIES O F C H A R T S i) BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM T A B L E OF CONTENTS P A R T I. E X C H A N G E R A T E S AND GOLD PRICES Chart 1A and B - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2A and B Chart 3A and B - 3-Month Forward Exchange Rates, Major Currencies against U.S. D o l l a r - 3-Month Forward Exchange Rates, Major Currencies against Chart 4 U.K. Pound - Gold Price in London P A R T II. SHORT-TERM I N T E R E S T R A T E S Chart 5 - C a l l Money Rates Chart 6A and B - London: Euro-$ Deposit Rates Chart 7A and B - New York - London: Y i e l d s on U.S. Dollar Funds Chart 8A and B - London: Chart 9A and B - Interest A r b i t r a g e : Covered Y i e l d s on U.S. Dollar Funds United States-United Kingdom Chart 10A and B - Interest A r b i t r a g e : U.S.-Germany and U.S.-Switzerland Chart 11 United States-Canada - Interest Arbitrage: Chart 12A and B - Selected Short-term Interest Rates P A R T III. L O N G - T E R M I N T E R E S T R A T E S AND STOCK INDICES Chart 13 Chart 14 P A R T IV. NOTE: - Long-Term Bond Y i e l d s - Industrial Stock Indices L A T E S T FIGURES P L O T T E D ON T H E CHARTS T h i s series is a continuation of the C A P I T A L MARKETS D E V E L O P M E N T S A B R O A D , which has been p u b l i s h e d under that t i t l e through December 31, 1968. The changes in the format and order of the charts are f u l l y e x p l a i n e d in the Supplement to the series, which accompanied issue dated January 1, 1969. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent 1 I T Above par SWISS FRANC GERMAN MARK U.K. POUND Below par Above pa JAPANESE FRENCH DUTCH GUILDER Below par * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00 * * DM rate not supported by the Bundesbank. * * Revaluation of the DM from 25 00 to 2 7 . 3 2 in U S cents. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above pa / M r BELGIAN FRANC ITALIAN LIRA Below pa 1968 * Can $ rate not s u p p o r t e d by Bank of Can, Chart 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 s s D 1967 1968 1969 1970 D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM DUTCH GU LDER DUTCH GUILDER A/ CANADIAN DOLLAR FRENCH FRANC 28 I 32 1967 1968 Devaluation of the French franc from 4 94 to 5 55 for Can $ rate not supported by Bank of Canada 1969 1970 Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum ! PREMIUM* 20 4 1 GERMAN MARK U.S. DOLLAR DISCOUNTS 1967 1968 1969 . D M J 1970 S D Chart 3R 3 MONTH FORWARD EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per cent per a n n u m PREMIUM* ~ T SWISS FRANC FRENCH FRANC DISCOUNT - s 1967 s D 1968 * Devaluation of the French franc from 4.94 to 5 55 for $1.00 20 M S 1969 D S 1970 D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce I 1969 Market closed March 15-April 1, 1968 i ! 1 47.0 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages " ! 14 10 FEDERAL FUNDS : r L . ! i - A • ' l I i j . . J - t ' : ! I ; i ! ! i 1 1 v V v N 11 yvv EURO DOLLAR OVER F EDERAL FUNDS | i i | i I i i i i i | 1 1 ; 1 ! 1 ! ! 1 1 ! FOREIGN CURRENCIES Friday figures Per cent per annum 12 GERMANY FRANCE i M J S D M 1967 J S 1968 D M J S 1969 D M J 1970 * Germany, Call Money; U K , 2 day Local Athority Deposits, Japan, Unconditional Money; France, Day-to-day Money LONDON: EURO DOLLAR DEPOSIT RATES Friday figures CALL Per cent per annum 13 12 Chart 7A 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 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT J s D 1967 J 1968 S D M J 1969 S D M J 1970 S D 6 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per annum Wednesday figures 14 EURO-DOLLAR DEPOSIT 13 ADJUSTED* 12 11 10 EURO-DOLLAR DEPOSIT 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT I ADJUSTED* 5 4 1967 1968 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement 1969 1970 CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Per cent per annum Friday figures EURO-DOLLAR DEPOSIT I HIRE PURCHASE V - COVERED FAVOR HIRE PURCHASE FAVOR EURO-DOLLAR DIFFERENTIAL 1967 1968 1969 1970 L CHART8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT • COVERED 1 FAVOR LOCAL AUTHORITY /in i DIFFERENTIAL FAVOR EURO-DOLLAR S 1967 M S 1968 D M S 1969 D M J 1970 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3 MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS NEW YORK S D 1967 l ! e d for comparison purposes J 1968 S D S 1969 D S 1970 D \ Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum ~T" RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM H—SPREAD IN FAVOR OF LONDON I J FORWARD RATE t~' ~j T T 1 10 T 2 IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) ' i 1 ! 1 i I ! I i I 1 I I ; i ! i I ' M i I i i I ! 1 I I I I I I J S D 1967 S 1968 D M S 1969 D S 1970 D C h a r t 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM GERMAN INTERBANK LOAN RATE f EURO-DOLLAR COVERED U FAVOR FRANKFURT DIFFERENTIAL J [MARKET COVER s S D 1967 1968 D S 1969 D M J 1970 S j 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE | FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR S 1967 S 1968 S D 1969 J S 1970 / D / \ z • 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Per cent per annum Friday figures 10 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS TREASURY BILLS i BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I I I I I GROSS SPREAD IN FAVOR OF C A N A D A — Xi 4 & FORWARD RATE 1 I I L N I I 1 ! T ~ COVERED RATE DIFFERENTIALS T FAVOR CANADA 4 2 f TREASURY BILLS FAVOR CANADA V PRIME FINANCE PAF r^~s\ j FAVOR U.S. I l l : M J S D M J 1968 j 1969 s J 1970 S 1 2 D Chart 12A SELECTED SHORT-TERM INTEREST RATES Per cent per annum GERMANY U.K. U.S. GERMANY JAPAN CANADA U.S. r 1966 1967 1968 1969 * 3 month treasury bill rates (or all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate) 1970 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LONDON US. SWITZERLAND 1966 1967 1969 1968 * 3-month treasury 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 deposits in London. \ 1970 LONG-TERM BOND YIELDS Weekly figures Per cent per annum CANADA NETHERLANDS US. SWITZERLAND 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. 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES Ratio scale 460 400 360 SWITZERLAND - 320 i 280 GERMANY 240 U.S. 200 J 160 1 320 U.K. 280 240 CANADA 200 160 380 320 JAPAN 280 240 U.S. 200 160 1967 1968 1969 * Japan index of 2 2 5 industrial and other stocks traded on t h e Tokyo exchange 1970 H. 13 No. 465 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc J u l y 24 + 1.697 " + 0.806 German mark 1 U.K. pound Lower IB Dutch g u i l d e r ' " " + 0.139 Belgian franc M Italian lira " + 0.738 - 0.660 - - J u l y 24 5 Upper - 0.41 Dutch guilder Canadian d o l l a r + 0.99 + 1.02 French franc - 1.98 J u l y 24 + 0.35 " Swiss franc " + 0.27 + 1.06 French franc " - 0.69 Gold price, U.S. dollar per ounce J u l y 24 Call Euro-$ deposits J u l y 22 Federal Funds Middle Differential Lower Japanese Unconditional Money - 0.24 + 0.93 U . K . pound U.S. d o l l a r 4 ! Japanese yen German mark 3B 1 + 0.674 German mark 3A - 0.480 + 0.505 " Swiss franc 2B 1 French franc Canadian d o l l a r 2A Rate German C a l l Money U.K. 2-day L o c a l A u t h o r i t y Deposits French Day-to-day Money 35.31 7.08 " 7. 16 " - 0.08 J u l y 17 " 24 " 17 " 24 ! 8.50 8.88 6. 75 8.12 ' IV - 2 Chart Panel 6A Series Date Rate Euro-$ C a l l Rate J u l y 24 Euro-$ 1-month Rate 6B 7A 7B Upper Euro-$ 3-month Rate " 8. 38 Euro-$ 6-month Rate " 8.94 J u l y 22 8.31 Euro-$ 3-month Deposits U.S. C e r t i f i c a t e of D e p o s i t s " 7.94 Lower Differential " + 0.37 Upper Euro-$ 3-month D e p o s i t s » 8.31 Lower Euro-$ 3-month D e p o s i t s ( A d j . ) " 8.93 U.S. C e r t i f i c a t e of D e p o s i t s ( A d j . ) " 7.18 D i f f e r e n t i a l : on A d j . Euro-$ Deposits on Unadj. E u r o - ) Deposits 8A 8B Upper Euro-$ 3-month D e p o s i t s " + 1.75 " + 1.13 J u l y 10 9.09 Hire Purchase Deposits (covered) " 8.64 Lower Differential " - 0.45 Upper Euro-S 3-month Deposits Lower " 9.09 L o c a l Authority Deposits (covered) " 8. 14 Differential " - 0.95 U.S. Treasury B i l l rate J u l y 24 6.23 U.K. Treasury B i l l rate " 24 6. 66 L o c a l A u t h o r i t y Deposit (uncovered) " 17 7.75 Upper Spread (+= favor London) " 24 + 0.43 3-month Forward Pound " 24 - 0.39 Lower Net Incentive (+= favor London) " 24 + 0.04 9A 96 " 7.00 8.38 i t IV - 3 Chart Pane! 1 j 10A Upper | Lower 10 B Lower 11 Date Euro-S Deposits (covered) July German Interbank Loan rate " Differential " Euro-$ Deposits (covered) Upper Upper Rate Series 8.56 24 9.38 + 0.82 July 17 7.71 Swiss Deposit rate " 17 5.50 Differential " 17 - 2.21 Canadian Finance Paper " 24 7.88 U.S. Treasury B i l l rate " 24 6.23 Canadian Treasury B i l l rate " 24 5.47 " 24 7.81 " 24 U.S. Prime Finance paper (not plotted) B i l l rate d i f f e r e n t i a l Second Forward Canadian dollar 12A 0.76 + 0.93 Third Net i n c e n t i v e on b i l l s + 0.17 Bottom Net i n c e n t i v e on Finance Paper + 1.14 Upper | U . K . Treasury B i l l rate U.S. Treasury B i l l rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury B i l l rate 12B 24 6.66 6 . 23 " 9.38 " May 30 7.647 July 24 5.47 6.23 Euro-S Deposits 8.38 U.S. Treasury B i l l rate July U.S. Treasury B i l l rate Swiss 3-month Deposit rate I - July 17 5.50 " 24 6.23 IV- 4 Chart Panel Series Date 13 Upper Netherlands J u l y 17 Middle Lower Canada " 15 7.81 " 22 6.51 Switzerland " 17 6.06 Germany " 24 7.91 U n i t e d Kingdom " 10 9.37 Euro-dollar bonds " 24 7. 73 U.S. Corp. Dollar Euro-bonds U.S. Corp. Aaa bonds Upper Middle Lower 1 8.44 United States U.S. Corp. DM Euro-bonds 14 Rate Switzerland June 30 9.38 " " 8.27 8.48 J u l y 24 347.7 Germany " 7 240.0 United States .. 24 172.59 United Kingdom " 24 190.35 Canada " 16 187.41 Japan " 18 368.84 United States " 24 172.59
@FedFRASER