SELECTED INTEREST & EXCHANGE RATES FOR MAJOR …

fk6%du\ I-October 1, 1969 No. 422 f \ ~ f j H-13 Division of Intemotiond Finance Europe and British Commonweolth Section' ^ JA-.V-j

SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS

BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

TABLE OF CONTENTS

PART I. EXCHANGE RATES AND GOLD PRICES

Chart 1A and IB - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2k & 2B - 3-Month Forward Exchange Rates, Major Currencies against

U.S. Dollar Chart 3A & 3B - 3-Month Forward Exchange Rates, Major Currencies against

U.K. Pound Chart 4 - Gold Price in London

PART II. SHORT-TERM IN fEREST RATES

Chart 5 - Call Money Rates Chart 6A & 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 9B - 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 - Long-Term Bond Yields Chart 14 - 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, \Miich accompanied issue dated January 1,1969.


3 Chart 1A

SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent

Above par

1.6 SWISS FRANC

Par

. M .

-GERMAN MARK!

U.K. POUND.

Below par

j Above par

DUTCH GUILDER)

- i far l with

dollar

JAPANESE YEN FRENCH FRANC

IBelow par

1970 1968 1969 1967 * Devaluation of the UJ(. pound from $2.80 to $2.40.

"^•Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * D M rate not supported by the Bundesbank


M SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages

t •f

Above par

AN DOLLAR

BELGIA H FRA

Below par


16

12

8

4

+ 0

4

8

12

16

3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOI Weekly averages Per cent per

PREMIUM*

GERMAN MARK

M X SWISS FRANC

U.K. POUND

DISCOUNT—

D M J S M J S D M J S D S M J D

1967 1968 1969 1970


Chart 2B

3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum

PREMIUM*

DUTCH GUILDER

rrr

CANADIAN DOLLAR

FRENCH FRANC

20

24

28

DISCOUNT— 32 M S D M S D J J S D M J M S D J

1967 1968 1969 1970 * Devaluation of the French franc from 4.94 to 5.55 for $1,00.


n Chart 3A

3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum

24 PREMIUM*

GERMAN MARK

U.S. DOLLAR

DISCOUNT —

M S D M J S D M S D M J J S D

1967 1968 1969 1970


Chart 3B

3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday f igures Per cent per annum

PREMIUM*

SWISS FRANC

FRENCH FRANC

DISCOUNT— 20 D J S D M S D M S D M J S M J J

1967 1968 1969 1970 * Devaluation1 of the French franc from 4.94 to 5.55 for $1.00


GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings

35.3

35.2

35.1

U.S. dollar equivalent per fine ounce

47.0

+T\

1 N / / Ki

i V J | i/

1 1 1 ! 1 1 1 ! 1 1 1 11 i i i i i i i I l i i i i 1 ! 1 1 M J S D M J S

1967 1968 * Market closed March 15 April 1,1968

1969

45.0

43.0

41.0

39.0

37.0

j s 1970


Chart 5

CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum

14

A \ k

C A L L EURl D - D O L I .AR D l •POSIT / r ,

d r. 7 k k : w J

1 / ^

D F R A l

V O v

F U N D l.Q Y v V 1 1 1

- v ^ Vv n juAl \ > .r\ I T W i

-

~ i i i i

V i i , f u , ' RO-DOI

1 1 1

\ A A L L A R C 1 1 1 I V E R 1 1 1 1 E O E R , I L F U M 1 I T ,oV 1 1 1 1 1 1 -

12

10

FOREIGN C U R R E N C I E S * Friday's figures Per cent per annum

12

F R A N \

CE U . K

j J A ' A N

r J v<V

1 v

1 1 1, 1 1 i i ,

w 1 1 1 1

"11 i i

\

1 1 . i i 1 1 1 1 , 1 1, 1 1, M J S D M J S D M J S D M J S D

1967 1968 1969 1970 ••Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money.


w .

CHART 6A

LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per annum

1-MONTH

CALL

D S D M J S D J S M J S D M M J

1967 1968 1969 1970


CHART 68

LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum

V\

( 5-MON TH

V [/ w 3-MON v \ j

TH

V

1 1 11 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 I I 1 1 1 1 1 1 1 1 1 1 M J S D M J S D M J S D M J S D

1967 1968 1969 1970


Chart 7

NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES - S E C O N D A R Y MARKET Wednesday figures SEPT. 24 10.62 Per cent per annum

J r

EURC l-DOLL AR DEI POSIT » V K \ j V £ L; f j

w i f J r Vi r

CER" FIFICA FE OF DEPO! SIT

i •URO-C 1 >OLLAF

1 * OVEF

1 t U S. 1

A

1 CERTIF ICATE OF Dl j:

(Nv>V Vi V /

> u y v v \ / \ /

1 1 I I I I I I 1 1 1 1 1 1 I I 1 1 I I 1 1 M M I I I I I I I

3 - M O N T H DOLLAR DEPOSIT RATES - P R I M A R Y MARKET Wednesday figures sept 24 10.62 Per cent per annum

T

El RO-IDC ILLAR DEP05 S I T . j

\ b \ / / \ b \ / f 1

1 f f J - V Y1 ^ \

1 5. CER TIFICA TE OF DEPO! SIT ADJUSTED]* | | |

SEPT. 24 4.24"

EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED

M J S

1966 F Adjusted for Reserve Requirement


CHART 8

LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO DOLLAR RATES Friday figures Per cent per annum

EURO DOLLAR DEPOSIT

/ n HIRE PURCHASE COVERED

+ FAVOR HIRE PURCHASE

DIFFERENTIAL FAVOR EUR 3-DOLLAR

LOCAL AUTHORITY A N D EURO DOLLAR RATES Friday figures SEPT S 'J 30 p e r c e n t per annum

EURO DOLLAR DEPOSIT

LOCAL AUTHORITY DEPOSIT COVERED

FAVOR LOCAL AUTHORITY

DIFFERENTIAL FAVOR EUR< -DOLLAR

1968 1969 1966 1967


INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures Per cent per annum

10 3 - M O N T H TREASURY B ILL RATES

U.K. LOCAL A UNCOVERED

NEW YORK

i i - i i i i i i i i i i I I i i I i i l I l I i I i i i i I I i i I 2

M J S D M J S D M J S D M' J S D

1 9 6 6 1 9 6 7 1 9 6 8 1 9 6 9

""Plotted for comparison purposes.


Chart 9B

INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum

RATE DIFFERENTIAL A N D 3 - M O N T H FORWARD STERLING

SPREAD IN FAVOR OF LONDON PREMIUM

DISCOUNT

V X

FORWARD RATE

IN FAVOR OF LONDON

IN FAVOR OF NEW YORK

. . R A T E D IFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)

1 9 6 9 1 9 6 8 1 9 6 7 1 9 6 6


\1 Chart 10

3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND

Per cent per annum FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates

IN TERMS OF DM

GERMAN INTERBANK LOAN RATE

EURODOLLA COVERED

FAVOR FRANKFURT DIFFERENTIAL MARKET COVER

BUNDESBANK COVER

I I I I I I I I 1 I I FAVOR EURO-DOLLAR

I I I ! I

ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates SEPT. 24 9.22 P e r c e n t annum

SWISS DEPOSIT RATE

EURODOLLAR COVERED

£ /

I N T

VI RMS/DF SWISS FRANCS

DIFF

I l riAL

A

1 FAVOR Z

1 URICH

'H

l I i i

A I I

V l I I I

v V z

1 l

h i I i i i i

IV 1 1

1A 1 1

yw i i

\| i i

\ FAV&R

1 11 1 EURO-D(

1 1 1 DLLAR

1 1

1966 1967

* For details see issue No. 398 dated April 16,1969

1968 1969


9

7

5

3 2

0 <

2 2

+ 0

2 2

CHART 11

3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per

CAN. FIN. CO. PAPER

UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS

B I L L RATE DIFFERENTIAL A N D FORWARD CANADIAN DOLLAR T T I I I V y X .

GROSS SPREAD IN FAVOR OF CANADA f

.DISCOUNT FORWARD RATE

COVERED RATE DIFFERENTIALS " VAVOR CANADA

TREASURY BILLS

FAVOR U S.

f AMOR CANADA PRIME FINANCE PAPER

FAVOR U.S..

S M J S D M J D J S M D M J S D

1966 1967 1968 1969


Y A

Chart 12

SELECTED SHORT-TERM INTEREST RATES* Per cent per annum

EURO DOLLAR - LONDON

U.K.

- U S ,

SWITZERLAND

9

JAPAN

CANADA,

U.S.

GERMANY

1 9 6 5 1 9 6 6 1 9 6 7 1 9 6 8 1 9 6 9

• 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts). Switzerland (3-month deposit rate) and Germany (Interbank Loan Rate)

* * 3-month rate for U.S. dollar deposits irTLondon!


/ p

Chart 13

LONG-TERM BOND YIELDS Weekly figures Per cent per annum

- NETHERLANDS Z "

"'CANADA

u s -^

V

1 1 1 1 1 I I I I 1 1

SWITZERLAND

1 I I I 1 j 1 1 1 1 i i i i i i i i i i i i 1 1 1 M I I 1 ! I I i 1 1 1 1 1 I I 1 1 I I

- GERMANY

[ / " I — X _ _ _ 2 ^

EURO DOLLAR BONDS

Monthly figures

- U.S. CORP. DM E

U.S. CORP. D(

URO-BONDS y

)LLAR EURO-BONDS

1 1 1 1 1 I I 1 1 I I I I 1 I I I I 1 ! I I

U.S. CORP. Aa

I 1 I I 1 I 1 I I I I 1

ia BONDS

1 I I I I 1 I I 1 1 1 1 1 1 I I I I 1 1 1 1

1 9 6 5 1 9 6 6 1 9 6 7 1 9 6 8 1 9 6 9

* New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68.


CHART 14

1958=100 Ratio scale


H. 13 No. 422 IV. LATEST FIGURES PLOTTED ON THE CHARTS

Chart Panel Series Date Rate

1A Upper Swiss franc Sept . 26 + 1 . 7 6 1A Upper German mark

1A Upper

U.K. pound .. - 0 . 74

1A

Lower Dutch guilder 4 0 . 2 2

1A

Lower French franc - 0 . 1 6

1A

Lower

Japanese yen " 4 0 . 5 9

IB Belgian franc „ - 0 . 5 7 IB Italian lira ii - 0 . 73

IB

Canadian dollar " + 0 . 2 4

2 Upper German mark „ +5. 75 2 Upper Swiss franc i. + 1 . 0 5

2 Upper

U.K. pound " - 6 . 0 7

2

Lower Dutch guilder II 4 0 . 1 2

2

Lower Canadian dollar » 4 0 . 4 0

2

Lower

French franc " - 4 . 8 0

3 Upper German mark II + 1 0 . 2 2 3 Upper U.S. dollar II +4. 3ft

3

Lower Swiss franc " + 5 . 7 2

3

Lower French franc " + 1 . 3 1

4 Gold price, U.S. dollar per ounce " 4 0 . 8 1

5 Upper Call Euro-) deposits Sept . 24 9 . 0 0 5 Upper Federal Funds I, Q.fil

5

Middle Differential ii - 0 . 6 1

5

Lower Japanese Unconditional Money Sept . 19 8 . 2 5

5

Lower German Call Money Sept . 26 1 . 2 5

5

Lower

U.K. 2-day Local Authority Deposits ii 9 . 6 2

5

Lower

French Day-to-day Money " 9 . 6 2

*DM r a t e not supported by the Bundesbank.


IV - 2


6 Upper Euro-$ Call Rate Sept . 26 10.50 Euro-) 1-month Rate »' 10.94

Lower Euro-$ 3-month Rate i. 10.62 Euro-) 6-month Rate " 11.25

7 Upper Euro-) 3-month Deposits Sept . 24 10.62 U.S. Certificate of Deposits » 8.69

Second Differential " +1.93 Third Euro-$ 3-month Deposits it 10.62

U.S. Certificate of Deposits (Adj.) •i 6.38 Fourth Differential " +4.24

8 Upper Euro-S 3-month Deposits Sept. 5 11.50 Hire Purchase Deposits (covered) » 1.46

Second Differential i. -10 .04 Third Euro-$ 3-month Deposits " 11.50

Local Authority Deposits (covered) " 0.96 Fourth Differential " -10 .54

9A U.S. Treasury Bill rate Sept. 26 7.03 U.K. Treasury Bill rate » 7. 64 Local Authority Deposit (uncovered) " 9.94

9B Upper Spread (+ = favor London) ii +0.61 3-month Forward Pound ii -A. 92

Lower Net Incentive (+ = favor London) " - 4 . 3 1

10 Upper Euro-$ Deposits (covered) Sept. 24 4. 72 German Interbank Loan rate ii 6. 75

Second Differential ii +2.03 Third Euro-) Deposits (covered) 9.22

Swiss Deposit rate " 5.00 Fourth Differential " - 4 . 22


IV - 3


11 Upper Canadian Finance Paper Sept . 26 8 . 3 8 11 Upper U.S. Treasury Bill rate " 7-03

11 Upper

Canadian Treasury Bill rate | | 7 . 5 3 __

11 Upper

U.S. Prime Finance paper (not plotted)

11 7 .69

11

Middle Bill rate differential H 4 0 . 5 0

11

Middle Forward Canadian dollar ii 4 0 . 3 9

11

Lower Net incentive on bills ii 4 0 . 8 9

11

Lower Net incentive on Finance Paper " 4-1.08

12 Upper Euro-) Deposits „ 1 0 . 6 2 12 Upper U.K. Treasury Bill rate n 7 . 6 6

12 Upper

U.S. Treasury Bill rate II 7 -03

12 Upper

Swiss 3-month Deposit rate » 5 . 0 0

12

Lower Japanese Average rate Julv 31 7. 35

12

Lower Canadian Treasury Bill rate Sept . 26 7 . 5 3

12

Lower

U.S. Treasury Bill rate H 7-03

12

Lower

German Interbank Loan rate " 6. 75

13 Upper Netherlands Sept . 12 7-90 13 Upper Canada Sept . 24 7 .98

13 Upper

United States it 6 . 3 5

13 Upper

Switzerland Sent . 19 5 -36

13

Middle Germany ii 7 . m

13

Middle United Kingdom Sept . 18 9 . 1 7

13

Middle

Euro-dollar bonds Sept . 26 7 .19

13

Lower U.S. Corp. Dollar Euro-bonds A U K . 3 1 7 .48

13

Lower U.S. Corp. DM Euro-bonds N 6 . 2 3

13

Lower

U.S. Corp. Aaa bonds " 6 . 9 7


I

IV - 4


14 Upper Switzerland Sept. 26 379.3 14 Upper Germany Sept. 12 2A7,n

14 Upper

United States Sepfr 96 i l l 9

14 Upper

United Kingdom 217.1

14

Lower Japan 349.6

14

Lower Canada Sent. 18 2 2 6 . 6

14

Lower

United States Sept. 26 212.9


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SELECTED INTEREST & EXCHANGE RATES FOR MAJOR …