selected interest & exchange rates for major … · \ u s. certi1 f 1 icate 1 1 1 as of deposit...

$: SELECTED INTEREST & EXCHANGE RATES FOR MAJOR … · \ u s. certi1 f 1 icate 1 1 1 as of deposit r [vv w v\^ > v 1 1 1 11 !i . i i 3-month dollar deposit rates -primary market wednesday$
fME&r v September 3, 1969 No. 418

H-13 Division of International Finance Europe and British Commonwealth Section

O L i ' V c^y 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 2A & 2B - 3-Month Forward Exchange Rates, Major Currencies against

U.S. Dollar Chart 3 A & 3 B - 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 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, which accompanied issue dated January 1,1969.


3 I

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

Above par

SWISS FRANC n

u.s

U.K. POUND

Below par

Above par

DUTCH GUILDER

JAPANESE YEN FRENCH FRANC

Below par

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.


V) Chart IB

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

Above par

1.2

CANADIAN DOLLAR

ITALIAN rLIRA —

U.S.

BELGIA N FRANC

1.2

Below par

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

1967 1968 1969 1970


X

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

PREMIUM*

GERMAN MARK

SWISS FRANC

U.K. POUND

DISCOUNT—

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

1967 1968 1969 1970


+ 0

4

8

12

16

2 0

2 4

28

3 2

Chart 2B

3-MONTH FORWARD EXCHANGE RATES -MAJOR CURRENCIES AGAINST US. DOLL Weekly averages ' Per cent per

PREMIUM*

D U T C H G U I L D E R

C A N A D I A N DOLLAR

F R E N C H F R A N C

DISCOUNT—

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

1 9 6 7 1 9 6 8 1 9 6 9 1 9 7 0

Devaluation of the French franc from 4.94 to 5.55 for $1.00.


1

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

PREMIUM-

20

12

G E R M A N M A R K

U S. DOLLAR

DISCOUNT—

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

1 9 6 7 1 9 6 8 1 9 6 9 1 9 7 0


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

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

1967 1968 1969 1970 # Devaluation of the French.franc from 4.94 to 5.55 for $1.00


4

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

35.3

35.2

35.1

35.0

U.S. dollar equivalent per fine ounce

47.0 j N -)

! m / / f\

\f\ hi y 1

s\/ ! W

1 ! 1 1 1 ! i 11 i i i i i i i i i i I i i i i i

45.0

43.0

41.0

39.0

37.0

M J S D M J S D M

1967 1968

•Market closed March 15 April 1, 1968

J S D M J S D

1969 1970


Chart 5

CALL MONEY RATES D O L L A R FUNDS Weekly averages Per cent per annum

1 4

A A

CAL L EURI 3 - D O L I .AR D i •POSIT i v . f j s z

W w J DERAL . F U N D IS

T v ' V DERAL . F U N D

Vy n > IT -

~ i i 1 1 i i

V

i i RO-DOI

1 1 1

WN L L A R C

1 1 1 )VER F

1 1 1 E D E R /

1 1 1 M. FUh

I l 7 4, i i i i . i i i i i i ~

12

10

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

12

-

r 1

C E / V U.K •

7 JA h—y PAN

z A j

w

r y 1

i i i i 11 , w

1 1 1 1 I l 1 1, 1 1, 1 1 1 1 „

10

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

1 9 6 7 1 9 6 8 1 9 6 9 1 9 7 0

•Germany, Call Money; U.K., 2-day Local Athori.ty Deposits; Japan, Unconditional Money; France, Day-to-day Money.


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

o

1 l 1

i / 1 J J 1

1-MOI VTH/1

V

1 t Vs / \Ji CALL

-

y VI

1 *1 i i i i 1 1 1 1 1 1 1 l I I , i 1 1 1 1 1 1 1' 1 1 1- 1 1 1 1 M J S D M J S D M J S

1967 1968 1969 D M J S D

1970

Z


• . X*

CHART6B

LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1

- 1

V -

( 5-MON TH

\ J1 i f f V [/ & V B-MON TH / V

-

1 1 L i i 1 1 1 1 1 1 "I 1 1 1 I 1 1 I 1 1 1 1 1 1 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 1069 1970


Chart 7

NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKETJ Wednesday figures AUG 27 10 88 PERCENT per annum ~r

EURO • DOLL AR DEI POSIT J V $1 \ 1 A £ L i / j

uVj 5 ^ w y - Kr. r r J

% CER1 FIFICA FE OF DEPO! »IT

1 1

X ~

1 EURO-C

1 >OLLAF

1 \ OVEF

1 \ U S. 1 CERTIF

1 ICATE

1 1 1 As OF DEPOSIT r

[ V V w

V \ ^

> V 1 1 1 1 1 ! 1 i 1 ! 1 1 1 1. 1 1 1 1 1 i 1 1 I I 1 I I 1 1 1 1 1 1

3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures AUG. 27 10.88 Per cent per annum

EUROIDOLLARDEPOSIT

— — U.S. CERTIFICATE OF DEPOSIT

EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED'1

S M M J

1966 D J

1967 D M S D M S J

1969 D

* Adjusted for Reserve Requirement


V

CHART 8 .

L O N D O N : C O V E R E D Y I E L D S O N U . S . D O L L A R F U N D S

HIRE PURCHASE A N D EURO-DOLLAR.RATES AUG is to 9i p e r Cent per annum Friday figures

EURO D O L L A R D E P O S I T

H I R E P U R C H A S E COVERED

+ FAVOR HIRE PURCHASE

D I F F E R E N T I A L FAVOR EUR 3-DOLLAR

L O C A L AUTHORITY A N D EURO-DOLLAR RATES Friday figures AUG is io9i Per cent per annum

EURO DOLLAR D E P O S I T

\T)

L O C A L A U T H O R I T Y D E P O S I T COVERED | ]

FAVOR LOCAL AUTHORITY

D IFFERENTIAL I FAVOR EUR( -DOLLAR

"" I f AUG 15 -9.26

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

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

INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures

i i i i — r 3-MONTH TREASURY BILL RATES

Per cent per annum

U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED

NEW YORK

•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 PREMIUM

DISCOUNT

FORWARD RATE

IN FAVOR OF LONDON

IN FAVOR OF NEW YORK

RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)

1966 1967 1968 1969

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

VI

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

1 1 1 IN TERMS OF DM

8

w 5 ^

GERMAN INTERBANK LOAN RATE

f t EURODOLLAR COVERED

r i r MARKET COVER DIFFERENTIAL

V A-Av

,FAVOR FRANKFURT

t M i l l L ±

BUNDESBANK COVER*

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

ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum

8

SWISS DEPOSIT RATE

EURODOLLAR COVERED

£ /

IN TERMS/pF SfoMSS FRANCS ' * >kUG. 27 10.88

VI

DIFF 1 EREN1

1 riAL

K

! :AVOR Z URICH

1 1 1 1 1 1

V 1 1 i i

v V z

1 1

h i i i i

\ i i

Y 1 1

A i i

y w

i i

\ i i

\ FAVOR 1 II 1

EURO-D< .-.AUG. 2<

3LLAR > -i.su—

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

1966 1967 1968 1969

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


CHART 11

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

CAN. FIN. CO. PAPER T p v A L

CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS

BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i i i i i i y v x ^

GROSS SPREAD IN FAVOR OF CANADA C ^ PREMIUM'

DISCOUNT FORWARD RATE

CANADA COVERED RATE DIFFERENTIALS

TREASURY BILLS

FAVOR U S.

'V'AMOR CA PRIME F̂INANCE PAPER

FAVOR U.S.

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

1966 1967 1968 196


' \ A ' >

Chart 12

SELECTED SHORT-TERM INTEREST RATES* Per cent per annum

EURO-DOLLAR - LONDON

U.K.

US.

SWITZERLAND

9

JAPAN

CANADA/

US.

GERMANY

1965 1966 1967 1968 1969

* 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 in London.


Chart 13

LONG-TERM BOND YIELDS Weekly figures - Per cent per annum

NETHERLANDS j

CANADA

U.S.

SWITZERLAND

T 10

GERMANY

U.K.

EURO DOLLAR BONDS

T Monthly figures

U.S. CORP. DOLLAR EURO-BONDS

U.S. CORP. DM EURO-BONDS

U.S. CORP. Aaa BONDS

1965 1966 1967 1968 1969

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


CHART 14

1958=100 Ratio scale

~ ~ 420

INDUSTRIAl^TOCK INDICES

360

320 SWITZERLAND

280

GERMANY 2 4 0

U.S. 200

160 360

320 U.K.

280

240

200 CANADA

1160 380

320

280

JAPAN 240

US. 1200

| l60 1967 1966 1968 1969

* Japan index of 225 industrial and other stocks traded on the Tokyo exchange.


H. 13 No. 4X8 IV. LATEST FIGURES PLOTTED ON THE CHARTS

Chart Panel Series Date Rate

1A Upper Swiss franc AUK. 29 +1.65* German mark +0. S3 U.K. pound n - 0 . 7 6

Lower Dutch guilder ii +0.08 French franc ii +0.19 Japanese yen „ +0.15

IB Belgian franc „ - 0 . 6 4 Italian lira I I - 0 . 4 1 Canadian dollar

I I +0.38

2 Upper German mark +5.49 Swiss franc +0.24 U.K. pound it - 8 . 1 3

Lower Dutch guilder +0.40 Canadian dollar +0.57 French franc

I I - 1 . 0 4

3 Upper German mark n +13.82 U.S. dollar +7.14 -

Lower Swiss franc ii +7.52 French franc

+5.95

4 Gold price, U.S. dollar per ounce 40. 92

5 Upper Call Euro-$ deposits Aug. 27 8.93 Federal Funds 8. 82

Middle Differential + 0 . 1 1 Lower Japanese Unconditional Money Aug. 22 8.03

German Call Money 6.00 U.K. 2-day Local Authority Deposits 11 8.94

' | French Day-to-day Money

Aug. 29 8.75


IV - 2


6 Upper Euro-$ Call Rate Aug. 29 10.75 Euro-$ 1-month Rate I . 11.31

Lower Euro-$ 3-month Rate IT 11.25 Euro-$ 6-month Rate

• I 11.44

7 Upper Euro-$ 3-month Deposits Aug. 27 10.88 U.S. Certificate of Deposits 8.25

Second Differential I I 2.63 Third Euro-$ 3-month Deposits Aug. 20 10. 62

U.S. Certificate of Deposits (Adj.) 6.38 Fourth Differential „ 4.24

8 Upper Euro-$ 3-month Deposits Aug. 15 10.91 Hire Purchase Deposits (covered) 1.96

Second Differential IT - 8 .95 Third Euro-$ 3-month Deposits I I 10.91

Local Authority Deposits (covered) I I 1.65 Fourth Differential

I I - 9 . 2 6

9A U.S. Treasury Bill rate AUK. 29 6.99 U.K. Treasury Bill rate „ / 7.64 Local Authority Deposit (uncovered)

Aug. 22 9.62

9B Upper Spread (.+ = favor London) Aug. 29 +0.65 3-month Forward Pound I I - 8 .33

Lower Net Incentive (+ = favor London) M - 7 . 6 8

10 Upper Euro-$ Deposits (covered) Aug. 27 5.43 German Interbank Loan rate I I 6. 50

Second Differential .« +1.07 Third Euro-$ Deposits (covered) Aug. 20 10.51 *

Swiss Deposit rate 5.00 Fourth Differential „ - 5 . 5 1


IV - 3


11 Upper Canadian Finance Paper Aug. 29 A.38 11 Upper U.S. Treasury Bill rate 6.99

11 Upper

Canadian Treasury Bill rate „ 7.42

11 Upper

U.S. Prime Finance paper (not plotted) 7.50

11

Middle Bill rate differential " +0.43

11

Middle Forward Canadian dollar n +0.48

11

Lower Net Incentive on bills M +0 .91

11

Lower Net incentive on Finance Paper „ +1.36

12 Upper Euro-$ Deposits „ 11.25 12 Upper U.K. Treasury Bill rate 7.64

12 Upper

U.S. Treasury Bill rate II 6.99

12 Upper

Swiss 3-month Deposit rate Aug. 15 5.00

12

Lower Japanese Average rate June 30 7.35

12

Lower Canadian Treasury Bill rate Aug. 29 7.42

12

Lower

U.S. Treasury Bill rate N 6.99

12

Lower

German Interban^txuan rate „ 6.50

13 Upper Netherlands Aug. 15 7.91 13 Upper Canada Aug. 20 7.49

13 Upper

United States Aug. 27 6.03

13 Upper

Switzerland Aug. 15 5 .11

13

Middle Germany AUK. 22 6.77

13

Middle United Kingdom Aug. 21 9.41

13

Middle

Euro-dollar bonds Aug. 29 7.10

13

Lower U.S. Corp. Dollar Euro-bonds Tuly 31 7.44

13

Lower U.S. Corp. DM Euro-bonds it 6.30

• U.S. Corp. Aaa bonds

- 7 . 0 8


IV - 4


14 Upper Switzerland * Aug. 29 385. 5 14 Upper Germany Aug. 22 238.4

14 Upper


14 Upper

United Kingdom 210.0

14

Lower Japan Aug. 22 230.1

14

Lower Canada Aug. 21 216.0

14

Lower



selected interest & exchange rates for major … · \ u s. certi1 f 1 icate 1 1 1 as of deposit...

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