The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
March 25, 1970 No. 447 H-13 Division of International Finance Europe and British Commonwealth Section \ \ ^ SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM T A B L E 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. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per Weekly averages cent Above par 1.6 SWISS FRANC j with 1 U.S. GERMAN MARK U.K. P O U N D Below par Above par DUTCH GUILDER Par JAPANESE YEN FRENCH FRANC Below pai M S S D 1967 D 1968 * 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. * * * DM rate not supported by the Bundesbank * * * * R e v a l u a t i o n of the DM from 25.00 to 27.32 in U.S. cents. J 1969 S D M J 1970 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA — U.S. BELGIAN FRANC 1.2 , Below par M S D 1967 J 1968 S D M J 1969 S S D 1970 D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S-DOLLAR Weekly averages PREMIUM* GERMAN MARK j VvN SWISS FRANC U.K. POUND DISCOUNT- 1967 1968 1969 1970 Chert 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum PREMIUM* DUTCH GUILDER i C A N A D I A N DOLLAR FRENCH FRANC 20 24 28 J M J S D M 1967 S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. M J 1969 S D M S 1970 0 32 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNTM J S D M 1967 S 1968 D J 1969 S D M J 1970 S 0 Chart 3 1 3-MONTN FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Par cent per annum PREMIUM- SWISS FRANC FRENCH FRANC DISCOUNT— M J S D M 1H7 J S D 1968 • Deiahiettefl §1 #W French franc from 4.S4 to 5.55 for 11.00 M J 1999 S D M J 1970 S D Chert 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce H T 47.0 45.0 43.0 35.3 41.0 35.2 39.0 35.1 37.0 35.0 35.0 1967 * Market closed March 15-April 1, 1968 1968 1969 1970 \ CALL MONEY RATES DOLLAR F U N D S Weekly average* Per cent per annum CALL EURO-DOLLAR D FEDERAL F U N D S E U R O DOLLAR O V E R F E D E R A L F U N 1 1 I I 1 1 I I 1 I I 1 11 1 I I I I I FOREIGN C U R R E N C I E S ' Friday figures Per cent per annum JAPAN i i 1 I M i 1 M J S 1 i D i 1 i I M Iff7 I I I J 1 i S 1968 i I i i 1 I D I I I M J I I I I, I S IMS i I 1 l D I M I I l J S 1S70 'Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to day Money. I I l I l D l LONDON. EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum i j ;! , I L / J/ yi11 r 1k J ! L t 1 J 11 f uJ f Ji YM w/1V -j 12 A i' i 10 to V \ \ 1-MONTH / .Vm i j 13 CALL | I ! | ! I M . M J . I 1 I S I D 1 1. . M i 1 1 1 1 J 1968 S I" 1 D I i M 1 1 J 11 S l W f i D i i M J . i J .! 1 i S 1S70 1 1 O CHARTM LONDON: EURO DOLLAR DEPOSIT RATES Friday figwres Fer cent per 13 12 11 10 9 8 6-MONTH 7 6 3 MONTH 5 4 3 2 M J s D 1*7 M J 19M s D M S IMS M S 1*70 0 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 6 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT, M J s D 19*7 M S 1968 D M S 1SSS D M J 1970 S 0 Chart 78 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H D O L L A R DEPOSIT R A T E S - P R I M A R Y M A R K E T Wednesday figures Per cent per annum EURO DOLLAR D E P O S I T ADJUSTED EURO DOLLAR D E P O S I T U.S. C E R T I F I C A T E O F D E P O S I T T 7 EURO DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T | ! ! ! I ADJUSTED M J S D 1967 M J 1968 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement S D M J 1969 S D M J 1970 S D CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS H I R E PURCHASE A N D EURO-DOLLAR RATES Friday figures Per cent per annum 14 EURO-DOLLAR D E P O S I T HIRE PURCHASE COVERED 4 FAVOR HIRE PURCHASE 1 f \ ^ nT N \ r A ift/i L v - - m v \j /i - J 11 - J - - ~ DIFF ERENT IAL 1 1 1 1 1 1 1 1 M J S i i M i l l D M 1967 1 1 1 1 S D J 1968 11 M i i 11 J 1 1 S 1969 D 1 1 M FAVOR EURO DC)LLAR 1 1 1 1 1 1 1 1 J S 1970 D 10 CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L AUTHORITY A N D E U R O - D O L L A R RATES Friday figures Per cent per annum 14 EURO-DOLLAR D E P O S I T LOCAL A U T H O R I T Y D E P O S I T COVERED 1 Z1 rh J v f ! M - 1 ! FAVOR LOCAL AUTHORITY : i 1 ./ i | r - ; i : : - i | DIFFERENTIAL j I I 1 ! 1 1 ! 1 1 I I M J S 1 1 ! I D 1967 1 i J 1968 I 1 : 1 1 S M i l ! | i 111 D l 1 l S 1969 1 1 i D M FAVOR EURO-DOLLAR 1 1 1 1 1 1 1 1 J 1970 S D 10 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures I I I 3 - M O N T H TREASURY B I L L RATES U.K. LOCAL A U T H O R I T Y D E P O S I T S UNCOVERED 1970 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 DISCOUNT V \ FORWARD RATE T 2 IN FAVOR OF LONDON 4- IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) ! . I ! I I ! I I I I I I I ! I ! I I I I I i I I ! ! ! ! I I I I I M J S D 1967 S 1968 D J 1969 S D M S 1970 D V?x Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates IN TERMS OF DM 1 ! : GERMAN d T INTERBANK LOAN R A T E M . X \ Z \ rrK^J jPs/K }f\ I / E U R O DOLLAR^ I ! DIFFERENTIAL 1 ! M A R K E T COVER 1 I FAVOR FRANKFURT 1 . FAVOR EURO DOLLAR j 1967 1968 s J 1969 1970 / ' : 0 r 3 MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND Z U R I C H DEPOSIT RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cent per annum IN T E R M S OF S W I S S FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH I FAVOR EURO DOLLAR L i i i i i i i 1970 Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA Friday figures CAN. FIN. CO. PAPER CANADIAN i TREASURY BILLS UNITED STATES TREASURY BILLS 1J ^ j ^ ^ A T ^ M F F E l R E N T i A l ^ N ^ T o R W A R D ^ A N A D I A N DOLLAR GROSS SPREAD IN FAVOR OF CANADA v JTj./T V PREMIUM " -E DISCOUNT FORWARD RATE FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S 1967 1968 1969 1970 j a: Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum GERMANY Ii ! I! 1 I H 1966 i | 1 1 1 I i 1 i 1 1 1 1 1 ! ! ! ! ; I 1 1 1 1 ! 1 1 ! I 1 M 1967 1968 1 1 1 1 1 1 1 1 1 1 1969 * 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate) 1 1 1 1 1 1 1 ! 1 II 1970 Chart 12B SELECTED SHORT-TERM INTEREST RATES # Per cent per annum EURO DOLLAR - L O N D O N US. SWITZERLAND 1966 1967 1968 * 3-month treasury bill rate for U.S., Switzerland-3-month deposit rate. * * 3-month rate for U. S. dollar deposits in London. 1969 1970 z LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS M i l l M i l l EURO DOLLAR BONDS Monthly figures ^ U S . C O R P . D O L L A R EUlRO B O N D S • U . S . C O R P . D M 1E U R O - B O N D S 1 U.S. C O R P . A s a B O N D S II M M ! M 1966 II i • i : i : i i i 1967 New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1 i U 1 1 1 l 111:11968 i 1 i 1 i ; ; 1969 1 1 ii M l 1 M M 1970 M ' CHART 14 INDUSTRIAL STOCK INDICES 460 400 360 SWITZERLAND 320 1 280 GERMANY 240 U.S. i 200 160 320 280 i 240 CANADA 200 160 380 320 z JAPAN 280 240 | U S. 200 160 1967 1968 1969 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange 1970 /> H. 13 No. 447 I f IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Lower M U.K. pound M Dutch guilder French franc Belgian franc Italian lira Canadian dollar 2A 2B M .. it „ German mark „ Swiss franc ii U.K. pound " -0.67 +0.89 -0.55 Dutch guilder " Canadian dollar " German mark March 13 3B U.S. dollar Swiss franc Gold price, U.S. dollar per ounce Call Euro-$ deposits Federal Funds Middle Differential Lower Japanese Unconditional Money +0.689 +0.695 -0.632 3A Upper +0.208 -0.248 +0.190 +0.772 „ 5 +1.458 -0.194 n French franc 4 Rate it French franc i March 20 German mark Japanese yen IB Date German Call Money U.K. 2-day Local Authority Deposits +0.24 -0.02 -0.77 0. +0.36 „ +1.14 March 20 35. 12 II March 18 II ». -0.25 8.20 7.82 +0.38 March 6 March 20 March 6 8.50 9.375 8.69 March 20 8.750 French Day-to-day Money IV- 2 Chart Panel 6A 7B Date Euro-$ Call Rate 6B 7A Series Upper 11 Euro-$ 3-month Rate II Euro-$ 6-month Rate „ Euro-$ 3-month Deposits 8.63 March 18 8. .38 Lower Differential it +0.13 Upper Euro-$ 3-month Deposits it 9.31 Upper ; „ „ Euro-$ 3-month Deposits Differential Upper Euro-$ 3-month Deposits Local Authority Deposits (covered) 9A Differential U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) Upper Spread (+= favor London) 3-month Forward Pound Lower „ Differential: on Adj. Euro-S Deposits Lower Lower 8.25 U.S. Certificate of Deposits (Adj.) Hire Purchase Deposits (covered) 9B 8.88 8.56 n on Unadj. Euro-$ Deposits j 8.13 U.S. Certificate of Deposits Lower 86 March 20 Euro-$ 1-month Rate Euro-$ 3-month Deposits (Adj.) 8A Rate Net Incentive (+= favor London) 7. 18 +2.13 it Jan. 8.38 +1.20 23 „ M ,, „ || March 20 9.69 8.53 -1.16 9. 69 8. IS -1.54 6. 56 If 7.15 March 13 9.06 „ March 20 „ +0.59 -0.54 +0.05 IV- 3 Chart Panel Series 10A Upper Euro-S Deposits (covered) German Interbank Loan rate Lower 10B Upper Differential Euro-$ Deposits (covered) Date March 18 „ March 11 Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate ft „ 12A Upper U.K. Treasury Bill rate U.S. Treasury Bill rate 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 7.09 7. 62 „ Net incentive on Finance Paper -2.88 8.00 Forward Canadian dollar Bottom 8.38 6.56 || Net incentive on bills 9.56 +0.30 March 20 Bill rate differential Third 9.26 5.50 U.S. Prime Finance paper (not plotted) Second Rate „ „ March 20 „ +0.53 0. +0.53 +0.38 7.15 6.56 9.56 Dec. 26 7.61 March 20 7.09 „ 8.38 March 13 5.50 March 20 6.56 6.56 U.S. Treasury Bill rate 'y\ 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 U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower Japan Date Rate March 6 8.28 March 20 8.14 March 18 6.58 March 13 5.70 March 13 7. 61 Feb. 27 8. 50 March 13 7.34 Jan. 8. 14 30 Jan. 30 7.85 Feb. 27 7.83 March 13 384.8 March 284.0 6 March 20 193.84 March 13 222.9 March 234. 5 5 Mflrnh 20 ATV March 20 193.84 United States
@FedFRASER