The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
September 17, 1969 No. 420 H-13 Division of International Finance Europe and British Commonwealth Section LIBRARY S E P 2 3 ,369 FEDERAL RESERVE » OF RICHMOND SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM TABLE OF CONTENTS PARTI. EXCHANGE RATES AND GOLD PRICES Chart 1A and IB - Spot Exchange Rates, M#|or Currencies against U.S. Dollar Chart 2 A & 2B . 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3 A & 3B - 3-Month Forward Exchange Rates, Major Currencies against U.K. Pound Chart 4 - Gold Price In London PART II. SHORT-TERM INTEREST RATES Charts - Call Money Rates Chart 6 A & 6B . 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 98 - 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. C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.6 SWISS FRANC Par U.S. GERMAN MARK U.K. POUND Below par Above par DUTCH GUILDER Par with «jUif JAPANESE YEN FRENCH FRANC Below par M J S D M 1967 * J S D 1968 D e v a l u a t i o n of t h e U.K. pound f r o m $2.80 to $ 2 . 4 0 . • ^ D e v a l u a t i o n of the French f r a n c f r o m 4.94 to 5.55 for $1.00. M J 1969 S D M J 1970 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent. Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA — Par U.S. dollar BELGIAN FRANC 1.2 Below par M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m I M+ PRE*41U cE i RMAtMAF / V-/ ^ j J < AL c W i ISS FRANC /I V\ V (V1, \ \ \ , V A V j 1 J.K. PC IUND z D 1 V DS I COU I NT1 1i i 1 11 11 1 M J S D 1967 M J 1968 S D M J S 1969 D M J 1 11 1 S 1970 D 3-MONTH FORWARD EXCHANGE RATES -MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per c e n t per a n n u m PREf ^ IUM + DUITCH GWILDER •y r i cz NADIA N DOl LAR D r • rA # I 1 FREN CH FR ANC (\ 1, r r i M l i J S I D l M 1967 I 1 J I 1 S DISCOlJNT— 1 1 1 1 1 I D 1968 * 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 t o 5.55 for $1.00. M 1 i i J 1969 i S i i D i M J i i S 1970 i i D i C h a r t 3A 3-MONTH FORWARD 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 24 PREMIUM 20 GERMAN MARK U S. DOLLAR DISCOUNT— M J S D 1967 J 1968 S D M J 1969 S D M J 1970 S D C h a r t 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per c e n t per a n n u m PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1967 M J S D 1968 * D e v a l u a t i o n of the French franc f r o m 4 . 9 4 t o 5.55 for $1.00 20 M J 1969 S D M J 1970 S D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of a f t e r n o o n f i x i n g s U.S. d o l l a r e q u i v a l e n t per fine ounce j K / if V u i; J S K w 1 1 M / 1 1 1 1 i i i i 1i i D M 1967 * Market c los ed M a r c h 15-April 1 , 1 9 6 8 J S 1968 D M J S 1969 D M i i i i J 1970 / CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly a v e r a g e s 14 12 * y Wf t A 10 CALL EURID-DOLILAR Dl •posn k v \r H r v xcXA T O v FFnFRAL iS -1 FUND 1 rJ Yv ~i I / lV s V W N FEDER/\ l FUN [ 11 11 11 11 11 i i i i 1 1 1 1 11 1 11 1 11 1 11 1 11 1 11 V EUIRODOILLARC)VER FOREIGN CURRENCIES* Per cent per a n n u m Friday's figures 12 FRAN CE y \ 1 L n 10 $ UK x Pf 7 y 11 11 M J S 11 11 D 1967 M J 1968 S 11 D z - >AN n r 11 A w i i M ' J 1 l I J 1 S 1969 1 1 D 1 1 M 1 1 1 J 1970 ' G e r m a n y , Call M o n e y ; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. 1 S 1 1 D 1 CHART 6A LONDON: EURO DOLLAR DEPOSIT RATES F r i d a y figures 13 12 11 10 9 8 1-MONTH 7 6 CALL 5 4 3 M J S D 1967 M J 1968 S D M J 1969 S D M 2 J 1970 S D CHART6B LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s 13 12 11 10 9 8 6-MONTH 7 6 3-MONTH 5 4 3 2 M J S D 1967 M J 1968 s D M J 1969 s D M J 1970 S D Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Wednesday figures sept io !i25 Per cent per a n n u m 9 K 8 EURO DOLLAR DEPOSIT CERTIFICATE OF DEPOSIT , - l 1 i i i H i i i T r EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT R7 11 1 i l l 1 l l 1 1 I I i I I 1 3 2 1 + 0 I I I I I 1 I I l l 1 l l I 1 I I I 1 1 l l M I M 1 1 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures sept io 11.25 Per c e n t per a n n u m J k \ jA L f/ El RO-IDC)LLAR DEPOi5 I T \ A J N J- S. CER TIFICA TE OF DEPOISIT adjusted]* I I I SEPT 10 4 87 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEP D M J 1969 A d j u s t e d for Reserve R e q u i r e m e n t S CHARTS LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday f i g u r e s Per c e n t per a n n u m EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED I 1 FAVOR HIRE PURCHASE DIFFERENTIAL FAVOR EUR 3 DOLLAR LOCAL AUTHORITY AND EURO-DOLLAR RATES AUG 22 11 oo p e r Friday figures c e n t per EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL 1966 FAVOR EURO DOLLAR 1967 1968 1969 an num VS CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures Per cent per a n n u m 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED I A LONDON NEW YORK M J S D 1966 ^ P l o t t e d f o r c o m p a r i s o n purposes. M J 1967 S D J 1968 12 S D M J 1969 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per c e n t p e r a n n u m - Friday figures . | | | | | | f~ RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING ^XJ SPREAD IN FAVOR OF LONDON V4 A V\ FORWARD RATE t i l l 1966 I l l I I I I 1 i 1 i 1 i i l 1 Chart 10 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE W e d n e s d a y rates Per c e n t per a n n u m 1INTEF(MS k J %V \ \ COVI[RED 1 \ f Jf'J EUF[O-DOLLAR - , 4 GEFiMAN INTERBAhIK LOA:N RATI V 1 MAiRKET COVER DIFF EREN1M OF: DM - OR FRANIKFURT Cj I - i/v! 1 1 1 i i 1 ! 1 1 1 ! I I ^ / I - V BUNI3ESBAINK COVER* I I 1 1 II 1 111 FAVOR EURO-DIDLLAR ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE P e r c e n t per a n n u m Wednesday rates IN TERMS/ SS FRANCS EURODOLLAR COVERED . - - S W I S S DEPOSIT RATE •AVOR ZURICH DIFFERENTIAL FAVARJURO-DOLLAR M J s D 1966 M J 1967 * For details see issue No. 3 9 8 dated April 16, 1969 s D M J 1968 S D M J 1969 S D CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per a n n u m 9 i J( CAN. FIN. 1 CO. PAPER f \ / A s-f - ^ - i H UNITED STATES FREASURY BILLS i - CANADIAN TREASIURY BIILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i i l I I I A n GROSS SPREAD IN FAVOR OF CANADA DISCOUNT FORWARD RATE i I i I AVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U.S.. VnM/V \AI j[ vA P r 1 - 1 J / PRIMIE FIN,tNCE 1»APER NADA FAVOFi U.S.. i i 1 M J S D 1966 M r J 1967 S D M J S 1968 D M J 1969 S D m tease SELECTED SHORT-TERM INTEREST RATES* Per c e n t - p e r a n n u m EURO DOLLAR - LONDON U.K. US. SWITZERLAND JAPAN CANADA, U.S. GERMANY 1965 1966 1967 1968 • 3 - m o n t h t r e a s u r y bill r a t e s f o r all countries except Japan (Average rate on bank loans and d i s c o u n t s ) Switzerland (3-month d e p o s i t rate) and Germany (Interbank Loan Rate) • • 3 - m o n t h rate for U.S. dollar d e p o s i t s in London. 1969 LONG-TERM BOND YIELDS Weekly figures Per c e n t per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND 10 GERMANY U.K. EURO DOLLAR BONDS M o n t h l y figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1965 1966 * New series for Switzerland s t a r t s 3:3-67. * * New series for S w i t z e r l a n d s t a r t s 8-2-68. 1967 1968 1969 58=100 INDUSTRIAL STOCK INDICES 420 360 SWITZERLAND 320 280 GERMANY 240 200 160 360 320 280 240- 200 160 380 32* 280 JAPAN* 240 200 f I I 1 I I I i VI I 11 1966 I M M 1967 M M I I I I M 1968 Japan index of 2 2 5 i n d u s t r i a l and o t h e r s t o c k s traded on the Tokyo exchange. I I I I I I I 1969 I I I I H. 1 3 No.420 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc German mark U.K. pound Dutch guilder French franc Japanese yen Sent. 12 Lower V IB 2 Belgian franc Italian lira Canadian dollar Upper Lower 3 Upper Lower » it it +1.78 +0.70 -0.62 +0.05 +0.11 it +0.40 it -0.73 -0.72 " v- German mark U.S. dollar Swiss franc French franc it +0.24 it +5.70 -0.23 -8.52 +0.11 +0.58 -2.64 it +13.20 +6.62 +6.29 ii +4.35 • Gold price, U.S. dollar per ounce 4 5 German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Upper Middle Lower Call Euro-$ deposits Federal Funds Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money * Switched t o Western s t y l e system. Rate 40.98 Sept. 10 » Sept. 5 Sept. 12 Sept. 5 " Se-pt. 12 9.65 8.57 +1.08 8. 25* s.nn 9.18 q.50 IV - 2 Chart Panel Series Date 6 Upper Eure-$ Call Rate Euro-$ 1-month Rate Eura'S 3-month Rate Euro-$ 6-month Rate Sept. Euro-$ 3-month Deposits U.S. Certificate of Deposits Differential Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) Differential Sept. Euro-$ 3-month Deposits Hire Purchase Deposits (covered) Differential Euro-$ 3-month Deposits Local Authority Deposits (covered) Differential Aug. 22 U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) Sent. 12 7.03 Sept. 5 9.94 Spread (+-= favor London) 3-month Forward Pound Net Incentive (+ = favor London) Sept. 12 +0.55 Euro-S Deposits (covered) German Interbank Loan rate Differential Euro-$ Deposits (covered) Swiss Deposit rate Differential Sept. Lower 7 Upper Second Third Fourth 8 Upper Second Third Fourth 9A 9B Upper Lower 10 Upper Second Third Fourth Rate 12 0-9S 10-62 ii.ift 11.30 10 V-2t 8.38 4.2-#7 11. 2S 6.38 +4.87 11.00 1-36 -9.64 n.oo 0.99 -10.01 7.58 ft -7.58 « -7.03 10 5.55 it 7.00 » +1.45 ft If 11.62 II. -6.62 5.00 lb IV-3 Chart Panel Series 11 Upper Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Bill rate differential Forward Canadian dollar Net incentive on bills Net incentive on Finance Paper S e n t . 12 it ii Euro-) Deposits U.K. Treasury Bill rate U.S. Treasury Bill rate Swiss 3-month Deposit rate Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate S e p t . 12 ii ii Middle Lower 12 Upper Lower 13 Upper Middle Lower ' Netherlands Canada United States Switzerland Germany United Kingdom Euro-dollar bonds U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Rate Date 8.25 7.03 7.48 „ ii ii 7.50 +0.45 +0.61 +1.06 „ + 1.36 « 11.18 7.58 7.03 5.00 7.35 ii June 30 S e p t . 12 7.48 7.03 ti 7.00 Aug. 29 S e p t . 10 7.84 7.80 6.19 5.27 6.75 9.46 7.16 7.44 6- 3n " Sept. » 5 Sept. 4 S e p t . 12 J u l v 31 ii Aug. 31 1 6,97 IV - 4 Chart Panel Series Date 14 Upper Switzerland Germany United States United Kingdom Japan Canada United States S e p t . 12 Sept. 5 S e p t . 12 Lower 11 Rate 5 4 375.5 293.8 209.8 212.8 344.5 219.2 Sept, 12 209.8 Sept. Sect.
@FedFRASER