The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
V October 7, 1970 No. 475 H-13 Division of International Finance Europe end British Commonwealth Section LIBRARY. OCT rj/0 . j . .WE ...i.T.lOKD INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. 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 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 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 and 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 - 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 cent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND U.S. I | Below par Above par FRENCH FRANC- JAPANESE YEN U.S. DUTCH GUILDER B e l o w par S D 1968 M J 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 supported by the Bundesbank. * * * Revaluation of the DM from 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 Above par 1.2 CANADIAN DOLLAR BELGIAN FRANC__ ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. $ rate not s u p p o r t e d by Bank of Canada. S D M S 1970 D M J 1971 S D Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t per a n n u m PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND V \ DISCOUNTM J S D 1968 M J 1969 S D 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 DISCOUNTM J s D 1968 M J 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 S 1971 D 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 24 PREMIUM* 20 GERMAN MARK U.S. DOLLAR DISCOUNT — S 1968 M S 1969 D M J 1970 S D M J 1971 S D f Chart 3B 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— M J S D 1968 M J S 1969 ' D e v a l u a t i o n 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 W e e k ' s a v e r a g e of a f t e r n o o n fixings U.S. d o l l a r e q u i v a l e n t per fine ounce 44 40 38 36 M 34 J S D 1968 M J S D M J 1969 S 1970 MARKET SUPPORTED BY GOLD POOL U S. dollar equivalent per fine ounce 1 1 I I 1 I I I I I 1 I I I I M * M a r k e t closed M ar c h 15 A p r i l 1, 1 9 6 8 J 1967 S D M 1968 D M J 1971 S D Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages 14 I - - f wH CAL LEUR O-DOL LAR Dl - p o s n S A - £ 7 / X X J r " \ A ERAL FUNDS 10 K - EURO DOLLAR OVER FEDERAL FUNDS i I 1 i i 1 i i 1 i i I i i I i i 1 i i I i i 1 i i I i i 1 i i I i i FOREIGN CURRENCIES' Per cent per annum Friday's figures FRANCE M J S D 1968 M J S 1969 D M J S 1970 D M J S 1971 * Germany, Call Money; U.K., 2-day Local Authority Deposits; Japan, Unconditional Money; France, Day-to-day Money D Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a n n u m Friday f i g u r e s 13 1968 1969 1970 1971 r LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m \ - 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 "I EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s D 1967 S 1968 D J 1969 S D M J 1970 S D 6 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures : r ! T EURO-DOLLAR DEPOSIT t f ADJUSTEP** EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED 1 ! ; r\ 1 I V : >V 1967 /V 1 1 T n 1968 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% Marginal Reserve Requirement i i 11 i i i Per cent per a n n u m ! 1 14 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 j HIRE PURCHASE COVERED ! FAVOR HIRE PURCHASE DIFFERENTIAL s D 1968 M S 1969 D S 1970 D S 1971 Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Per cent per a n n u m Friday f i g u r e s EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT ! COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL FAVOR EURO-DOLLAR 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 12 T • ; | 1 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* NEW YORK 1968 * Plotted for c o m p a r i s o n purposes 1969 1970 1971 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 2 —SPREAD IN FAVOR OF LONDON + 0 DISCOUNT FORWARD RATE 2 4 6 8 10 12 T 2 IN FAVOR OF LONDON + 0 2 4 flN FAVOR OF NEW YORK j 6 8 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M S D 1968 M J 1969 S D S 1970 D M S 1971 Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY 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 EURODOLLAR DIFFERENTIAL MARKET COVER FAVOR EURO DOLLAR I I J S 1968 J 1969 s s D 1970 J 1971 s D 2 Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Per cent per a n n u m W e d n e s d a y rates 1 ERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR D M J 1970 S 1 14 V 1 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 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS i BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR 1 : I I I I I GROSS SPREAD IN FAVOR OF CANADA ^ T PREMIUM DISCOUNT ^ FORWARD RATE r r i i i COVERED RATE DIFFERENTIALS FAVORCANADA W- TREASURY BILLS M - FAVOR CANADA 'V\ PRIME FINANCE PAI \ r V t FAVOR U.S. M M J S D 1967 M J 1968 D M J 1969 S D i M l I 111 l J 1970 S I 1 2 D ;> Chart 12A SELECTED SHORT-TERM INTEREST RATES GERMANY GERMANY 9 JAPAN CANADA U.S. 1M7 rates 1968 1969 * 3 - m o n t h treasury bill for *11 countries except Japan (Average rate on bank loans a n d d i s c o u n t s ) and Germany (Interbank Loan Rate) 1970 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per cent 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. d o l l a r d e p o s i t s in L o n d o n . 1969 1970 LONG-TERM BONO YIELDS Weekly f i g u r e s Per cent 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. 1968 1969 1970 CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale . j 460 - 400 - « 360 SWITZERLAND * 320 A M - 280 GERMANY / 240 — 200 1 i 1 M i m i m i m i ! I ! ! ! II ! 1 ! M i l i 240 1 200 1967 1968 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 o t h e r 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. 475 IV. LATEST FIGURES P L O T T E D ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Lower IB 2A 2B I 3A 3B 4 5 + 1. 130 " U.K. pound " - Dutch guilder " + 0.568 French franc " ' + 0.558 Japanese yen + 0.744 0.557 " Belgian franc „ + 0.584 + 0.716 Italian lira " + 0.281 Canadian dollar German mark „ + 0.07 Swiss franc ii + 2.48 U.K. pound if Dutch guilder " - 1.07 + 0.67 Canadian dollar " + 0.87 French franc 0.93 German mark „ + 1.04 U.S. dollar " + 0.80 ! - - " Swiss franc " + 2.98 French franc " + 0.07 Call Euro-$ deposits Federal Funds Middle Differential Lower Japanese Unconditional Money Oct 2 German mark Gold price, U.S. dollar per ounce Upper Rate Date German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money Oct 2 36.30 Sept 30 7.88 6.05 " + " 1.83 Oct 2 8.25 M 9.25 6.75 2 Sept 25 Oct 2 8.38 IV - 2 Chart Panel 6A Series Date Euro-$ Call Rate Oct 2 8. 12 « 8.44 Euro-$ 1-month Rate 6B 7A 7B Upper Euro-$ 3-month Rate " 8.44 Euro-$ 6-month Rate " 8.44 Euro-$ 3-month Deposits Sept 30 " 7.10 Lower Differential " + 1.34 Upper Euro-$ 3-month Deposits " 8.44 Euro-$ 3-month Deposits (Adj.) " 9.38 U.S. Certificate of Deposits (Adj.) " 7.18 " + 2.20 " + 1.50 Differential: on Adj. Euro-$ Deposits on Unadj. Euro-$ Deposits 8B Upper Euro-S 3-month Deposits Sept 25 8.06 Hire Purchase Deposits (covered) " Lower Differential •» Upper Euro-S 3-month Deposits " 8.06 Local Authority Deposits (covered) " 6.21 Lower Differential " - 1.85 U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B 8.44 U.S. Certificate of Deposits Lower 8A Rate Upper Lower Spread (+= favor London) Oct 2 6.56 - 1.50 5.80 " 6.69 Sept 25 7.34 Oct 2 + 0.89 3-month Forward Pound " - 0.92 Net Incentive (+= favor London) " - 0.03 IV - 3 Chart Panel Series Date 10A Upper Euro-S Deposits (covered) S e p t 30 8.45 German Interbank Loan rate " 9.25 Differential " + 0.80 Lower 10B Upper 11 " 5.99 Sept 23 5.50 Euro-S Deposits (covered) Swiss Deposit rate Lower Differential Upper Canadian Finance Paper Rate - - - - 6.88 Oct 2 U.S. Treasury Bill rate " 5.80 Canadian Treasury Bill rate " 5.26 U.S. Prime Finance paper (not plotted) " 6.75 Second Bill rate differential Third Net incentive on bills | Forward Canadian dollar 12A Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate + 0.94 ! ! Oct 2 U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 12B -0.54 August Oct + 1.07 6.69 | 1 " + 0.40 5.80 9.25 31 7/449 2 5.26 U.S. Treasury Bill rate " 5.80 Euro-S Deposits " 8.44 Swiss 3-month Deposit rate U.S. Treasury Bill rate Sept 25 Oct 2 5.50 5.80 >r IV-4 Chart Panel Series Date 13 Upper Netherlands Sept Canada United States Switzerland Middle 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 11 7.93 " 23 7.65 Oct Sept Germany United Kingdom Rate 7 6.43 18 5.86 s u s p e nded Oct .. 2 9.37 2 7.74 August 8.89 8.01 " September 8.09 Oct 2 354.6 Sept 7 256.20 Oct 2 188.44 Oct 2 206.73 24 203.38 Sept Japan Oct 2 349.99 * United States Oct 2 188.44 * B e g i n n i n g week ended S e p t . 5 , 1 9 7 0 , t h e J a p a n e s e i n d e x p l o t t e d t h a t o f 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 t h e F i r s t S e c t i o n of the Tokyo S t o c k Exchange. is
@FedFRASER