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\« April 1, 1970 No. 448 H«13 Division of IntomotiMoiJxnyce Europe and British Common wealth Section y f / f A t£*^ SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM f , , j 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. • , r SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.6 SWISS FRANC U.S. GERMAN MARK U.K. POUND Below par i Above par DUTCH GUILDER U.S. JAPANESE YEN FRENCH FRANC Below par M S D 1967 * S D 1968 Devaluation of the U.K. pound from $2.80 to $2.40. • • D e v a l u a t i o n of the French franc from 4.94 to 5.55 for $1.00. * * * DM rate not supported by the Bundesbank • • • • R e v a l u a t i o n of the DM from 2 5 . 0 0 to 27.32 in U.S. cents. J 1969 S D M J 1970 S D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par CANADIAN DOLLAR ITALIAN [LIRA — BELGIAN FRANC 1.2 Below par M J S D 1967 M J 1968 S D M S 1969 D S 1970 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR w Par ront npr annu Weekly averages PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND ! DISCOUNT- 1967 1968 1969 1970 Chart 2 8 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m DUTCH GUILDER CANADIAN DOLLAR \ FRENCH FRANC ^ 20 24 DISCOUNT — M J S 1967 1968 * Devaluation of the French franc from 4.94 to 5.55 for $ 1 0 0 . 32 S S D 1969 D S 1970 D 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 20 GERMAN MARK DISCOUNT — M J S D 1967 S 1968 D M S 1969 D M J 1970 S D Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNTM J S D 1967 S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 20 M J 1969 S D M J 1970 S 0 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce — Market closed March 15 April 1, 1968 47.0 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages FOREIGN CURRENCIES* Per cent per annum Friday figures i i 1 i i I i I 1 I I I I I 1 I i 1 I i I I I 1 i I I I i I i I I i I I i I I i i I I I I I i I 0 M J S D M 1967 J S 1968 D M J S 1969 D M J ' G e r m a n y , Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. S 1970 D CHART 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per c e n t per 13 12 11 10 9 8 1 MONTH 7 6 CALL 5 4 3 J s 2 D M 1967 J 1968 S D M J 1969 S D J 1970 S D LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a n n u m Friday figures 1970 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per 14 13 12 11 EURO-DOLLAR DEPOSIT 10 9 8 7 6 jU.S. CERTIFICATE OF DEPOSIT 5 4 3 T 6 5 4 3 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 1 + 0 1 M J S D M 1967 J S 1968 D M J S 1969 D M J S 1970 D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday f i g u r e s 1 EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED * Adjusted for Reserve Requirement * Adjusted for 10% Marginal Reserve Requirement # " 1 14 CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 HIRE PURCHASE COVERED -f- 2 b + 0 FAVOR HIRE PURCHASE + 0 2 4 6 DIFFERENTIAL M J FAVOR EURO-DOLLAR S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT -COVERED I j-fl FAVOR LOCAL AUTHORITY DIFFERENTIAL M J ; S FAVOR EURO DOLLAR D 1967 M S 1968 D M S 1969 D M J 1970 S D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 3-MONTH TREASURY BILL RATES j U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED 1 i-LONDON NEW YORK M J S D 1967 * Plotted for comparison purposes M S 1968 D M J 1969 S D S 1970 D \ A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures I Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE T T 2 IN FAVOR OF LONDON i IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) • ! ; : ! ! i 1 M 1 1 I I i ! I i I I I I I I 1 I ! i i 1 I 1 I 1 M J s D 1967 J 1968 S D J 1969 S 0 M J 1970 S D Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM A GERMAN INTERBAiNK LOAN RATE/^ P — \ r : h I ! i 1 ! i i h i 1 i i 1 i ! ! i i 1 EURO DOLLAR \ j COVERED i i i i i ! ; i 1 I i i i 1 i i ! i i 1 i i FAVOR FRANKFURT DIFFERENTIAL [MARKET COVER FAVOR EURO-DOLLAR M J S D 1967 M S 1968 D J 1969 S D M J 1970 S D 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Per cent per annum Wednesday rates IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR V- 3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA Per cent per annum Friday f i g u r e s 10 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR ] GROSS SPREAD IN FAVOR OF CANADA DISCOUNT ( "I I 1 T COVERED RATE DIFFERENTIALS I FAVOR CANADA TREASURY BiLLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S II I I I I I 1 Chart 12A SELECTED SHORT-TERM INTEREST RATES Per cent per a n n u m U.S. HGERMANY JAPAN CANADA U.S. 1966 1967 1969 1969 * 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate) 1970 SELECTED SHORT-TERM INTEREST RATES # Per cent per annum EURO-DOLLAR - LONDON U.S. SWITZERLAND 1966 1967 * 3-month treasury 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-month rate for U. S. dollar deposits in London. 1969 1970 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum CANADA .NETHERLANDS US. SWITZERLAND 10 U.K. GERMANY EURO-DOLLAR BONDS Monthly figures U.S. CORP. DOLLAR EURO BONDS U.S. CORP. Aaa BONDS 1966 * 1967 New series for Switzerland starts 3-3-67. * " * New series for Switzerland starts 8-2-66. IBM 1969 1970 CI-imkT 14 INDUSTRIAL STOCK INDICES 460 400 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 320 U.K. 280 -1 2 4 0 CANADA 200 160 380 320 JAPAN 280 240 US. 200 160 1967 1968 * Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange 1970 H. 13 No. 4 4 8 IV. L A T E S T FIGURES P L O T T E D ON T H E C H A R T S Chart Panel Series Date 1A Upper Swiss franc M a r c h 27 Lower + 1.468 German mark -0.190 U.K. pound +0.230 Dutch guilder -0.310 French franc +0.200 Japanese yen IB Rate +0.650 Belgian franc +0.517 Italian lira -0.650 Canadian dollar +0.780 German mark 2A M a r c h 27 Swiss franc U.K. pound -0.50 Dutch guilder 2B . +0.48 Canadian dollar -0.01 French franc German mark 3A 3B 5 M a r c h 20 +0.45 Swiss franc + 1.43 Gold price, U.S. dollar per ounce Upper -0.77 + 1. U.S. dollar French franc 4 -0.62 +0.79 Call Euro-S deposits Federal Funds II -0.25 M a r c h 27 35.24 M a r c h 25 H 7.45 8.80 Middle Differential Lower Japanese Unconditional Money M a r c h 20 German Call Money M a r c h 26 9.625 U.K. 2-day Local Authority Deposits M a r c h 20 8.50 M a r c h 26 9.375 French Day-to-day Money || + 1.35 8.50 IV- 2 Chart Panel 6A Series Euro-$ Call Rate Euro-$ 1-month Rate 6B Euro-$ 3-month Rate 7B Upper 8.50 8.50 Euro-S 3-month Deposits March 25 8.75 U.S. Certificate of Deposits March 25 7.90 Differential Upper Euro-$ 3-month Deposits Euro-$ 3-month Deposits (Adj.) U.S. Certificate of Deposits (Adj.) Differential: on Adj. Euro-) Deposits on Unadj. Euro-$ Deposits 8A Upper 8.38 8.56 March 26 Lower Lower March 26 March 26 March 26 Euro-$ 6-month Rate 7A Rate Date Euro-$ 3-month Deposits March 25 +0.85 March 25 8.75 March 25 9.72 March 25 7.18 March 25 +2.54 March 25 + 1.57 Jan. 23 Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-S 3-month Deposits 8.53 -1.16 9.69 Local Authority Deposits (covered) Lower U.K. Treasury Bill rate Local Authority Deposit (uncovered) 96 Upper Spread (+= favor London) 3-month Forward Pound Lower 8.15 Differential U.S. Treasury Bill rate 9A 9.69 -1.54 March 26 6.11 March 26 7.06 March 20 9.06 March 26 +0.95 March 26 -0.53 March 26 +0.42 Net Incentive (+= favor London) IV- 3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Date March 25 German Interbank Loan rate Lower 10B Upper Lower 11 Upper March 25 8.10 5.50 Differential Canadian Finance Paper Bill rate differential Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate 12B +0.17 March 11 Forward Canadian dollar Lower 9.56 „ Euro-$ Deposits (covered) U.S. Prime Finance paper (not plotted) 12A 9.39 Swiss Deposit rate Canadian Treasury Bill rate Third || Differential U.S. Treasury Bill rate Second Rate March 26 7.88 March 27 6.11 March 26 6.76 March 26 7.44 March 27 +0.65 March 26 0 March 26 +0.65 March 26 +0.44 March 26 7.06 March 26 6.11 March 27 9.56 Dec. 26 7.61 March 26 6.76 March 26 6.11 Euro-$ Deposits March 27 8.75 Swiss 3-month Deposit rate March 13 5.50 March 27 6.11 U.S. Treasury Bill rate IV- 4 Chart Panel Series 13 Upper Netherlands Canada United States Switzerland Middle Germany United Kingdom 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 Japan Date Rate 6 8.28 M a r c h 20 8.14 M a r c h 25 6.29 M a r c h 13 5.70 M a r c h 27 7.68 March M a r c h 20 8.63 M a r c h 20 7.32 Feb. 27 8.20 Feb. 27 7.73 M a r c h 27 7.92 M a r c h 20 375.9 M a r c h 20 282.6 M a r c h 27 197.13 M a r c h 27 220.30 M a r c h 19 231.81 M a r c h 20 433.38 M a r c h 27 197.13 United States
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