The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
I November 4, 1970 No. 479 H-13 Division of International Finance Europe 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 6 - 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 7 A 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. C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t Above par SWISS FRANC 1.6 i GERMAN MARK U.K. POUND U.S. Below par T T Above par FRENCH FRANC- JAPANESE YEN I DUTCH GUILDER Below par S D 1968 M S D 1969 * D e v a l u a t i o n of the French f r a n c f r o m 4 . 9 4 to 5.55 for $1.00. * * DM rate not s u p p o r t e d by the Bundesbank. * * * R e v a l u a t i o n of the DM f r o m 2 5 . 0 0 to 2 7 . 3 2 in U S cents. M J 1970 S D M J 1971 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent A b o v e par 1.2 CANADIAN DOLLAR r BELGIAN FRANC ITALIAN LIRA 1.2 Below par J S 1968 M D 1969 * Can. $ rate not s u p p o r t e d by Bank of Canada. M S 1970 D M J 1971 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t per a n n u m 1 PREK 1IUM + 1ERM/IN MAIRK / •/ j~rv' 1U Vx Art ' ' ri 1 : i h A V \ ASW/ISS FFtANC V I ! A| \Fl V / u C i POUND I ! jl ! A j : i i ! V ' i | ! . : . _.i i ! ! i ! : M ,i i.. 1 i ; i J i J S D 1968 i ; ; | discoi 1 1 ! 1 ! 1 1 1 1 1 1T l M J S D M 1969 ! J S 1970 D i i M i i i i i i J S D 1971 C h a r t 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR \AJ W e e kLl I.. y averages ' Per cent per a n n u m PREMIUM DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT - 1968 1969 * Devaluation of the French f r a n c f r o m 4.94 to 5.55 for $1.00. * * Can. $ rate not s u p p o r t e d by Bank of Canada. 1970 1971 C h a r t 3A 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 1 PREAAIUM + - - i i - - X - H I ! \ — f t -j ! | 1 - r / I - GERR/IAN M ARK ™ \h i 1 j \ V iti J.S. DOL.LAP VSJ Ar , | J - \ - ,, 1 M J S D 1968 M 1 J 1969 i S | DISCOtJ N T I I 1 1 D M i i J i S 1970 i i D M „ i 1 J 1 1 S 1971 D 1 Chart 38 3-MONTH FORWARD EXCHANGE 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* SWISS FRANC- FRENCH FRANC DISCOUNT— J s D 1968 M J S 1969 * Devaluation of t h e F r e n c h f r a n c f r o m 4.94 to 5.55 f o r $ 1 . 0 0 D M 20 J 1970 S D M J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 36 M 34 J S D 1968 M J S D M S J 1969 1970 U.S. dollar equivalent per fine ounce 35.3 35.2 35.1 35.0 S * M a r k e t closed March 15-April 1, 1 9 6 8 D M 1968 M J 1971 MARKET SUPPORTED BY GOLD POOL 1967 D S D CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 12 CALL EURO-DOLLAR DEPOSITS n ^ FEDERAL FUNDS EURO-DOLLAR OVER FEDERAL FUNDS \ J w v \ _L_ L i lJ EURO-CURRENCIES Weekly averages Per cent p e r a n n u EURO-DM EURO-DOLLAR EURO-SWISS FRANC J S D M 1968 J 1969 S D M J S 1970 D M J S 1971 2 CALL MONEY RATES FOREIGN CURRENCIES* Per cent per a n n u m Friday figures JAPAN CANADA SELECTED EEC CURRENCIES Per cent per a n n u m Friday figures ' FRANCE GERMANY NETHERLANDS 1968 c k 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, weekly average. * G e r m a n y , Call Money; France, Day-to-day Money; N e t h e r l a n d s , Call Money, weekly average. 1971 C h a r t 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m i 13 12 CALL 1969 1970 1971 Chart 6 6 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m 6-MONTH 3 MONTH M J S D M 1968 J S 1969 D M J S 1970 D M J S 1971 D 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 1 14 i 6 EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT T EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J s D 1967 M S 1968 D J 1969 S D S 1970 D Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday figures 14 EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED 1968 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% Marginal Reserve Requirement 1969 1970 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 — H HIRE PURCHASE COVERED r T FAVOR HIRE PURCHASE DIFFERENTIAL M FAVOR EURO DOLLAR S D 1968 S 1969 D M J 1970 S D M J 1971 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 j_. j LOCAL AUTHORITY I DEPOSIT DIFFERENTIAL S D 1968 S 1969 1970 S 1971 D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* ! UNCOVERED I LONDON NEW YORK M S D 1968 * Plotted for c o m p a r i s o n purposes M S 1969 D M S 1970 D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures 1 ' . Per < RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON FORWARD RATE IN FAVOR OF LONDON (IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) S 1968 1969 D S 1970 1 D 1971 7 Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURO DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT MARKET COVER FAVOR EURO DOLLAR —1 1 .— L---1—J. J 1969 1970 1971 S l ! L—I D 2 Chart 1 OB 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 Per cent per a n n u m W e d n e s d a y rates IN T E R M S O F S W I S S F R A N C S EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL , FAVOR EURO DOLLAR M J S D 1968 M J 1969 S D M J 1970 S D M J S D 1971 V 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS 4 1 UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM GROSS SPREAD IN FAVOR OF CANADA DISCOUNT FORWARD RATE r i i COVERED RATE DIFFERENTIALS r i FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S 1970 SELECTED SHORT-TERM INTEREST RATES* 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) ; ; ; j 2 1970 SELECTED SHORT-TERM INTEREST RATES * Per c e n t per a n n u m EURO-DOLLAR - LONDON 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 deposits in L o n d o n 1969 1970 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. Aaa BONDS 1966 * 1967 New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. * * * New-Average y i e l d of all German P A. Bonds begins 9-4-70. 1968 1969 1970 / /' CHART 14 INDUSTRIAL STOCK INDICES 460 ~ ~ T 400 - 360 SWITZERLAND 320 280 GERMANY 240 : U.S. 200 280 : CANADA 200 j 160 V 380 320 JAPAN 280 240 ! U.S. 1967 1968 1 200 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 * * J a p a n index of all 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 first section of the Tokyo Stock Exchange. 1970 H. 13 No. 479 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Oct 30 » German mark U.K. pound Dutch guilder French franc Lower ii Japanese yen IB 26 " " + 0 630 11 Italian lira Canadian dollar " + 0.732 + 0.367 - - Oct 30 - - 0.18 + 2.42 Swiss franc " U.K. pound " - 0.86 Dutch guilder Canadian dollar " + 0.47 » + 0.34 French franc " - 0. 66 3A German mark 3B U.S. dollar Swiss franc French franc 4 + 0.917 + 0.756 - 0.448 + 0.607 + 0.563 Belgian franc German mark 2A Rate Oct 30 .. " " .+ + + + P_.69 0.71 2.69 0.40 Gold price, U.S. dollar per ounce Oct 30 38.34 Call Euro-$ deposits Oct 28 .. «. 6.00 . j 1 1 Upper 5 Federal Funds Middle t Lower * Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits k* ** *Euro C u r r e n c i e s Euro $ Euro DM Euro S w i s s Fr. **Add Canada Netherlands French Day-to-day Money Oct 30 6.11 " 7. 75 2.50 " 6.69 " 7.62 Oct 30 " " 6.20 6.18 5.50, Oct 23 " 5.40 6.98 j ... . J 1 IV- 2 Series Date 6A Euro-$ Call Rate Oct 30 6B Euro-S 3-month Rate Chart Panel Euro-$ 1-month Rate Upper Euro-S 3-month Deposits 7B Upper Lower 8B Upper " 8.00 7. 69 6.25 Differential + Euro-$ 3-month Deposits 1.44 7.69 " Euro-S 3-month Deposits (Adj.) 8.54 U.S. Certificate of Deposits (Adj.) 7. 36 Differential: on Adj. Euro-$ Deposits Euro-$ 3-month Deposits " + 1.18 " + 0.33 Oct 16 8. 00 Hire Purchase Deposits (covered) " Lower Differential " Upper Euro-S 3-month Deposits " 8. 00 Local Authority Deposits (covered) " 6.02 Differential " Lower 9A ' U.S. Treasury Bill rate Oct 30 U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B 7. 12 " on Unadj. Euro-$ Deposits 8A " Oct 28 U.S. Certificate of Deposits Lower 6.38 7.62 Euro-$ 6-month Rate 7A Rate Upper Lower 6.18 - - 1.82 1.98 5. 79 6. 69 " Spread (+= favor London) 7.28 4- 0 . 9 0 3-month Forward Pound " - 0.83 Net Incentive (+= favor London) " + 0.07 IV-3 Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) Oct 28 " 9.50 Lower Differential " + 3.14 Upper Euro-S Deposits (covered) " 3.83 German Interbank Loan rate 106 Swiss Deposit rate Lower 11 Upper Second Third 12A Canadian Finance Paper " 30 6.75 5.79 Canadian Treasury Bill rate 4.84 U.S. Prime Finance paper (not plotted) 6. 63 Bill rate differential " - 0.95 Forward Canadian dollar " + 0.41 Net incentive on bills " - 0.54 Net incentive on Finance Paper U.K. Treasury Bill rate + 0.53 Oct 30 6.69 U.S. Treasury Bill rate " 5.79 German Interbank Loan rate " 9.50 Japanese Average rate Canadian Treasury Bill rate + 1.67 U.S. Treasury Bill rate 8ottom 126 6.36 5.50 Differential Upper Lower Rate August 31 Oct 30 7.682 4.84 U.S. Treasury Bill rate " 5. 79 Euro-$ Deposits " 7.62 Swiss 3-month Deposit rate " 5.50 U.S. Treasury Bill rate " 5. 79 _y v • IV-4 Chart Panel Series Date 13 Upper Netherlands Oct 23 Canada United States Switzerland Middle Lower 7.82 Oct 28 6.61 " 23 5.75 n 23 8. 70 " 23 9.31 Euro-dollar bonds " 30 7. 74 S e p t 30 8.60 U.S. Corp. Dollar Euro-bonds U.S. Corp. Aaa bonds Upper 8.09 United Kingdom * * Germany U.S. Corp. DM Euro-bonds 14 " Rate " 7.85 " 8.09 Switzerland Oct 30 354.3 Germany Oct 23 250.80 United States Oct 30 186.25 200.84 Middle United Kingdom Oct 22 202.66 Lower Japan Oct 23 351.50 United States Oct 30 186.25 Canada " * * New - - Average y i e l d of ALL German P u b l i c A u t h o r i t i e s bonds made as of banking key d a y s . * B e g i n n i n g week ended S e p t . 5 , 1970, the J a p a n e s e i n d e x p l o t t e d i s t h a t of a l l i n d u s t r i a l and o t h e r s t o c k s on the F i r s t S e c t i o n of the Tokyo S t o c k Exchange.
@FedFRASER