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//AL/ A p r i l 22, 1970 N o . 451 H-13 f ' Division of International Finance Europe and British Commonwealth Section n r <*&»* SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM I 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, tiiich accompanied issue dated January 1, 1969. SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.6 SWISS FRANC GERMAN MARKl MJ U.K. POUND Below par Above par DUTCH GUILDER Par JAPANESE YEN FRENCH FRANC Below par 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 j 0 n of the DM from 2 5 . 0 0 to 27.32 in U S. cents. S 1969 D S 1970 D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages CANADIAN DOLLAR A ITALIAN hLIRA BELGIAN FRANC S D M 1967 S 1968 S 1969 D 1970 < 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum GERMAN MARK SWISS FRANC U.K. POUND DISCOUNTS M 1967 S 1968 D S 1969 S 1970 Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 28 S s D 1967 1968 * Devaluation of the French franc from 4 94 to 5 55 for $1 00 s 1969 M s 1970 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per annum PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNT- C h a r t 3B 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 PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT — M J S D 1967 M S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 20 M S 1969 D S 1970 D GOLD PRICE IN LONDON, 12.5 Kg BARS 47.0 Week's average of afternoon fixings 45.0 43.0 35.3 ij 39.0 35.2 i 35.1 135.0 35.0 1967 * Market closed M a r c h 15 April 1. 1968 1968 1969 1970 Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS ' i 1 I 1 I ! ! I I 1 I ! . 1 ' ; FOREIGN CURRENCIES Friday figures 12 10 FRANCE GERMANY M J S D M 1967 J S 1968 D M J S 1969 D M J 1970 * Germany, Call Money; U K , 2-day Local Athority Deposits; Japan, Unconditional Money, France, Day-to-day Money LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures CALL \y CHART 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 6-MONTH 3-MONTH s D 1967 s M 1968 D S 1969 S 1970 D : YIELDS ON U.S. DOLLAR FUNDS IT RATES-SECONDARY MARKET Per cent per ar 14 13 12 11 EURO-DOLLAR DEPOSIT -4 10 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT 5 4 3 6 5 4 3 R U.S. CERTIFICATE OF DEPOSIT 2 1 0 1 W ) NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR Wednesday figures DEPOSIT R A T E S - P R I M A R Y MARKET Per cent per a n n u m EURO-DOLLAR DEPOSIT ADJUSTED ~ 1 1 14 - : j 13 12 11 10 EURO DOLLAR DEPOSIT 9 U.S. C E R T I F I C A T E OF DEPOSIT ADJUSTED 3 7 EURO DOLLAR OVER U.S. C E R T I F I C A T E 1967 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% Marginal Reserve Requirement OF DEPOSIT ADJUSTED* 1970 CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per annum EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED 1 .FAVOR HIRE PURCHASE DIFFERENTIAL S 1967 1968 1969 J 1970 S D CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND Friday figures EURO-DOLLAR RATES Per cent per annum EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT + FAVOR LOCAL AUTHORITY iFAVOR EURO-DOLLAR DIFFERENTIAL J S D 1967 J 1968 S D S M 1969 D J 1970 S D r\ INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL UNCOVERED AUTHORITY DEPOSITS 1 LONDON NEW s 1967 * Plotted for comparison purposes s 1968 D M YORK J 1969 S D M J 1970 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE T T 2 IN FAVOR OF LONDON -4-IN FAVOR OF NEW YORK 10 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) j ; — J !—I—1—I—i—,— i :. M J S D M 1967 J S 1968 D M J S 1969 D | _ L _ li _ L _ L _ l .l _ L _ i .J 12 M j 1970 S D 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 H 12 10 GERMAN INTERBANK L O A N RATE A/V N EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFUR M A R K E T COVER FAVOR EURO DOLLAR ^0 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per a n n u m | 14 IN TERMS OF SWISS FRANCS EURO DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL F A V O R E U R O D O L L AR M J S D 1967 M J 1968 S ' D M j 1969 J 1970 S D 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Per c e n t per a n n u m Friday f i g u r e s T | 10 PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS ! i B I L L RATE DIFFERENT!.AL AND FORWARD CANADIAN D O L L A R ^ ' i GROSS SPREAD IN FAVOR OF CANADA t i 1 , i ' -T . , / ! . 1 _ i ' ! : 1 PREMIUM v j j .. i , FORWARD RATE ' -1. . l J i COVERED RATE DIFFERENTIALS : -L- DISCOUNT ; ... J i 1. 1 FAVOR CANADA TREASURY BILLS - 0 FAVOR U S .... I FAVOR CANADA PRIME FINANCE PAPER FAVOR U S . 2 Chart 12A SELECTED SHORT-TERM INTEREST RATES Per cent per annum U.K.—t U.S. GERMANY 2 9 JAPAN " CANADA U.S. L_. , 1966 1967 1968 m : : . . 1969 * 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate) 1970 ; J 2 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LONDON SWITZERLAND 1966 1967 1968 * 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 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. 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 INDUSTRIAL STOCK INDICES 460 400 360 T SWITZERLAND 320 280 GERMANY 240 200 160 280 240 CANADA ' 200 160 — 380 320 JAPAN 280 240 U.S. 200 160 1967 1968 1969 * Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange 1970 No. 451 IV. L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series Date 1A Upper Swiss franc April 17 Lower Rate +1.665 German mark " +0.585 U.K. pound " +0.262 " +0.389 Dutch guilder -0.391 French franc Japanese yen +0.560 Belgian franc IB +0.643 Italian lira " Canadian dollar 2A German mark „ April 17 Swiss franc 26 -0.659 +0.754 -1.52 +0. 16 U.K. pound M Dutch guilder " +0.54 " +0.11 Canadian dollar French franc II -0.47 -1.00 3A German mark U.S. dollar April 10 +0.45 3B Swiss franc April 10 +0.69 April 10 -0.47 April 17 35.65 „ 8.02 April 10 -0.56 French franc 4 5 Gold price, U.S. dollar per ounce Upper Call Euro-$ deposits Federal Funds Middle Differential Lower Japanese Unconditional Money April 15 i; 7.30 -0.72 German Call Money April 10 April 17 8.25 9.688 U.K. 2-day Local Authority Deposits April 10 8.25 April 17 8.625 French Day-to-day Money /- I IV-2 Chart Panel 6A Series Euro-$ Call Rate April 17 Euro-S 1-month Rate 6B 7A Upper 8.00 Euro-$ 3-month Rate H 8.00 Euro-$ 6-month Rate II 8.00 Euro-S 3-month Deposits Lower Differential Upper Euro-$ 3-month Deposits Lower Upper April 15 8.06 April 15 7.25 April 15 +0.81 April 15 8.06 Euro-$ 3-month Deposits (Adj.) H U.S. Certificate of Deposits (Adj.) II Differential: on Adj. Euro-$ Deposits on Unadj. Euro-$ Deposits 8A Euro-$ 3-month Deposits 8.96 7.18 II +1.78 „ April +0.88 3 , Hire Purchase Deposits (covered) 8B Differential If Upper Euro-S 3-month Deposits If Local Authority Deposits (covered) II Differential || 9A U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 3-month Forward Pound Lower 8.75 8.61 Lower Lower 7.50 i; U.S. Certificate of Deposits 7B Rate Date April 17 If -0.14 8.75 8.30 -0.45 6.34 6.60 April 10 8.53 April 17 +0.26 April 17 -0.39 April 17 -0.13 Net Incentive (+= favor London) IV-3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) German Interbank Loan rate 10B Lower Differential Upper Euro-) Deposits (covered) Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper Date April 15 April 15 9.56 -0.08 April 15 7.98 April 15 5.50 April 15 -2.48 April 17 II 6.34 Canadian Treasury Bill rate If 6.40 Bill rate differential Third 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 Lower Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate 12B 8. 00 U.S. Treasury Bill rate Forward Canadian dollar 12A 9.64 April 15 U.S. Prime Finance paper (not plotted) Second Rate Euro-$ Deposits Swiss 3-month Deposit rate 7.25 II „ II „ April 17 „ +0.06 +0. 11 +0. 17 +0.86 6.60 6.34 II 9.56 Feb. 27 7.62 April 17 6.40 „ 8.00 „ 6.34 II 5.50 II 6.34 U.S. Treasury Bill rate IV- 4 Chart Panel Series 13 Upper Netherlands Canada — U n i t e d 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 Rate Date March 6 8.28 April 15 7.68 April 15 6.41 April 10 5.80 April 17 7.63 April 8.65 9 April 10 7.32 Feb. 8.20 27 ff 7.73 March 27 April 17 April 7,92 369.1 7 289.80 April 17 192.10 April 10 216.26 April 9 234.57 April 10 440. 90 April 17 192.10 United States 1
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