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April 8, 1970 No. 449 / H-13 Division of International Financa Europa and British Commonwealth Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES O F CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM T A B L E 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, Wiich accompanied issue dated January 1, 1969. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par 1.6 SWISS FRANC GERMAN MARK U.K. POUND * * *!* Below par Above par DUTCH GUILDER Par U.S. JAPANESE YEN j FRENCH FRANC , Below par M J S D M 1967 J 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 t h e DM f r o m 2 5 . 0 0 to 27.32 in U.S. c e n t s . M J 1969 S D S 1970 D ' • . ll Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN 001 ITALIAN [LIRA — BELGIAN FRANC Below par S D M 1967 J 1968 S D S 1969 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 GERMAN MARK U.K. POUND DISCOUNT — S D 1967 J 1968 S D M S 1969 D S 1970 D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per a n n u m DUTCH GUILDER V CANADIAN DOLLAR ^! A FRENCH FRANC 20 24 DISCOUNT — J S D 1967 J s 1968 * D e v a l u a t i o n of the French franc f r o m 4 . 9 4 to 5 55 for $1 00 32 s D 1969 S 1970 D 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 1 i 1 PRFMILJM + DISCOUNT- ; i i l l M J S D M 1967 J 1968 S D M | 1 i J S 1969 D M J S 1970 D 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 S D M 1967 J S D 1968 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00 20 M J 1969 S D M J 1970 S D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce — Market c l o s e d M a r c h 15-April 1, 1968 47.0 Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUND I I I I I I 1 I II I I I I I I I I I I M I i I I I I I 1 I I I 1 1 11 1 1 I FOREIGN CURRENCIES Friday figures Per cent per a n n u m FRANCE M J S D M 1967 J 1968 S D M J S 1969 D M J S 1970 ' G e r m a n y , Call Money; U.K., 2 day Local Athority Deposits; Japan, Unconditional Money; France, Day-to day Money. D LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per c e n t per a n n u m 1 MONTH CALL 2 M J S D 1967 M J 1968 S D D 19S9 S 1970 D CHART 6 6 LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s r Per cent per annum t 1 | i 1 '! 1 ! j | i I / 1 / ! If f Si 1 - j II ! r I T /| / i i ! <) MONTH J M i - h ! A Hz \\rj,w ! v X j 3 MONTH | J V o l : r • i i i — t : j ! ! ! i : . ! i 1 ! M J S D 1H7 II M i l l J IMS S ! ! i D . . I M II II J i i S IKS D M i i J i i S 1970 i i i D • Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT, J s D 1967 S 1968 D M S 1969 D M S 1970 D Chart 78 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per 14 EURO DOLLAR DEPOSIT — t 1 13 ADJUSTED 12 11 10 EURO-DOLLAR DEPOSIT 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT I i ADJUSTED' 5 4 H 3 7 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I | | ADJUSTED 5 4 3 2 1 + 0 M J S 1967 J 1968 Adjusted for Reserve Requirement Adjusted for 10% Marginal Reserve Requirement s D M J 1969 S D M J 1970 S D LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 HIRE PURCHASE COVERED —f 2 *• + 0 .FAVOR HIRE PURCHASE 4 0 2 4 6 8 DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1967 J 1968 S D M J IMS S D S 1970 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 + FAVOR LOCAL AUTHORITY DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1967 J 1968 S 0 M J 1969 S D M J 1970 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures 12 F — ! I I 1 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED NEW YORK 1970 P l o t t e d for c o m p a r i s o n purposes Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE l IN FAVOR OF LONDON I IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) s D 1967 M S 1968 S 1969 D M , S 1970 D 2 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE ; EURO DOLLAR COVERED FAVOR FRANKFURT (MARKET COVER DIFFERENTIAL FAVOR EURO DOLLAR 1967 1968 1969 1970 j Chart 10B / >" V 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURODOLLAR COVERED W s w i s s DEPOSIT RATE T DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR M J S D 1967 M S 1968 D J 1969 S D S 1970 D 2 C h a r t 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per c e n t per a n n u m CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS i F B I L L RATE DIFFE RENTI,AL AND FORWARD <CANAD IAN DOLLAR ! I ! I 1 | k r GROSS SPREAD IN FAVOR OF CANADAt " : ,/A_ ,V L. : i vN 1 i PREMIUM V r , ' ' J'"" ! I 1 DISCOUNT FOIiWARD RATE 1 | 1 1 1 COVERED RATE DIFFERENTIALS i . . ...+ i | _ l ' 1 FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S U SELECTED SHORT-TERM INTEREST RATES Per cent per a n n u m U.K. U.S. GERMANY r 1 9 JAPAN CANADA U.S. 1 : i 11 1 1 . 1 ! I i i i 1 1 i i ! : ; 1 1 ; I : j 1 M 1 : ! 1 I I 1966 1967 1968 1 I I I 1 1 ! I ! 11 1 I I I 1 I 1 1 1969 * 3 m o n t h t r e a s u r y b i l l rates for all c o u n t r i e s e x c e p t Japan (Average rate on bank loans a n d d i s c o u n t s ) and Germany ( I n t e r b a n k Loan Rate) 1970 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES # EURO-DOLLAR - LONDON US. SWITZERLAND 1966 1967 1968 * 3 m o n t h t r e a s u r y 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 - m o n t h rate for U. S dollar d e p o s i t s in L o n d o n . 1969 1970 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum CANADA NETHERLANDS 3 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 r CHART 14 INDUSTRIAL STOCK INDICES 460 400 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 320 U.K. 280 240 CANADA v 200 160 380 320 JAPAN 280 240 200 160 1967 1968 1969 * Japan index of 2 2 5 i n d u s t r i a l and other stocks t r a d e d on the Tokyo exchange 1970 H. 13 No. 449 IV. L A T E S T FIGURES P L O T T E D ON T H E CHARTS Rate Chart Panel Series Date 1A Upper Swiss franc April 3 German mark April 3 -0.001 U.K. pound Dutch guilder April 3 April 3 +0.279 -0.241 French franc April 3 +0.220 April 3 +0.638 Belgian franc April 3 +0.659 Italian lira April 3 -0.647 April 3 +0.772 Lower + 1.529 Japanese yen IB. Canadian dollar 2A 2B German mark April 3 -0.90 Swiss franc April 3 +0.36 U.K. pound April 3 -0.49 Dutch guilder April 3 +0.37 Canadian dollar April 3 +0.07 French franc 3A , 3B April 3 -0.79 German mark April 3 -0.60 U.S. dollar April 3 +0.36 Swiss franc April 3 +0.81 April 3 -0.29 French franc Gold price, U.S. dollar per ounce 4 5 April 3 35.24 Call Euro-$ deposits April 3 8.71 Federal Funds April 3 Middle Differential April 3 7.93 +0.78 Lower Japanese Unconditional Money German Call Money March 20 April 3 8.50 9.75 U.K. 2-day Local Authority Deposits March 20 8.50 April 3 9.375 Upper French Day-to-day Money z IV - 2 Chart Panel 6A Date Series Euro-$ Call Rate Euro-$ 1-month Rate 66 Euro-$ 3-month Rate Euro-$ 6-month Rate 7A Upper Euro-$ 3-month Deposits Lower Differential Upper Euro-$ 3-month Deposits U.S. Certificate of Deposits 7B Euro-S 3-month Deposits (Adj.) Lower Upper + 1.37 April 3 8.56 +2.33 April 3 + 1.38 Euro-$ 3-month Deposits Differential U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) Spread (+= favor London) 3-month Forward Pound 7.19 April 3 April 3 Euro-S 3-month Deposits Lower April 3 Differential: on Adj. Euro-S Deposits Upper Upper 8.62 8.56 9.51 Local Authority Deposits (covered) 9B April 3 April 3 7.18 Differential 9A 8.75 8.62 April 3 Lower Lower April 3 April 3 U.S. Certificate of Deposits (Adj.) Hire Purchase Deposits (covered) 8B 8.88 April 3 on Unadj. Euro-$ Deposits 8A April 3 Rate March 20 8.63 March 20 8.70 March 20 +0.07 March 20 8.63 March 20 8.51 March 20 -0.12 April 3 6.30 April 3 6.96 March 20 9.06 April 3 +0. 66 April 3 -0.42 April 3 +0.24 Net Incentive (+= favor London) IV-3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Lower Differential Upper Euro-$ Deposits (covered) German Interbank Loan rate 10 B Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Second Bill rate differential Forward Canadian dollar 12A 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 Euro-$ Deposits Swiss 3-month Deposit rate Date Rate April 1 9.37 April 1 9.56 April 1 +0.19 April 1 9.37 March 25 5.50 March 25 -2.60 April 3 7.75 April 3 6.30 April 3 6.76 April 3 7.25 April 3 +0.46 April 3 +0.04 April 3 +0.50 April 3 +0.54 April 3 6.96 April 3 6.30 April 3 9.56 Jan. 30 7.62 April 3 6.76 April 3 6.30 April 3 8.62 March 27 5.50 April 3 6.30 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 March 6 8.28 April 1 7.80 April 1 6.27 March 27 5.88 March 27 7.68 March 26 8.55 April 3 7.32 Feb. 27 8.20 Feb. 27 7.73 March 27 7.92 March 26 377.6 March 31 286.0 April 3 199.37 April 3 221.65 March 26 233.68 March 27 435.74 April 3 199.37 United States
@FedFRASER