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7 r r % ' f e e * jslA,« i " ' ' ^ gS c# August 19, 1970 No. 468 H-13 Division of International Finance Europe and British Commonwealth Section \ v ^SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM 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 - Call Money Rates Chart 6A and B - London: Euro-$ Deposit Rates Chart 7A and B - New York - London: Yields on U.S. Dollar Funds Chart 8A and B - London: Covered Yields on U.S. Dollar Funds Chart 9A and B - Interest Arbitrage: United States-United Kingdom Chart 10A and B - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Chart 11 - Interest Arbitrage: United States-Canada Chart 12A and B - 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. Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below par Above par FRENCH FRANC- 4JAPANESE YEN Par U.S. DUTCH GUILDER , M J S D 1968 ' V J S D 1969 * Devaluation of the Fre-'rh franc from 4 9J to 5 55 fcr SI 00 * * DM rate not supported by the Buncesbank * * * Revaluation of the DM from 25 00 to 27 32 m U S cents M Below par J 5 1970 D M J S 1971 D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n ! Above par 1.2 CANADIAN DOLLAR ^ (BELGIAN FRANC ITALIAN LIRA Below par S D 1968 M J 1969 * Can. $ rate not s u p p o r t e d by Bank of Canada S D J 1970 S D D 1971 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per anni Weekly averages 16 12 * GERMAN MARK SWISS FRANC U.K. POUND 12 16 J S 1968 D M J S 1969 D M J 1970 S D M J S 1971 D C h a r t 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m 8 PREMIUM- DUTCH GUILDER CANADIAN DOLLAR / FRENCH FRANC 8 12 20 24 M J S D 1968 M J S D 1969 * Devaluation of the French franc f r o m 4 94 to 5 55 for $1.00 * * Can. $ rate not s u p p o r t e d by Bank of Canada M J 1970 S D M J S 1971 D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per a n n u m Friday f i g u r e s 2 4 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 + ! , . , . 12 SWISS FRANC FRENCH FRANC 12 16 I : • M J S D 1968 M • J S D 1969 ^ D e v a l u a t i o n of the F r e n c h franc f r o m 4 94 to 5 55 for $ 1 . 0 0 1 ! M J I S 1970 i ! D I 1 M j , I : ; I J j I ' ! S 1971 D i i 20 GOLD PRICE IN LONDON; 12.5 Kg BARS Wee k's a v e r a g e of a f t e r n o o n fixings U.S. d o l l a r e q u i v a l e n t per fine ounce 44 40 36 S D M 1968 J 1969 S D M J S 1970 MARKET SUPPORTED BY GOLD POOL US dollar equivalent per fine ounce * M a r k e t closed March 15 A p r i l 1, 1968 D M J 1971 S D Chart 5 CALL MONEY RATES D O L L A R FUNDS Per cent per a n n u m Weekly a v e r a g e s I 14 CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS i ! [ , j ! 1 A aJ \ V l / u n A . " " 1Vv N EURO DOLLAR OVER FEDERAL FUNDS i : i ; I 1 1 , : 1 1 1 1A A /V W ; | : i FOREIGN C U R R E N C I E S Per cent per a n n u m Friday figures GERMANY FRANCE M J S D M 1967 J 1968 S D M J 1969 1970 * Germany, Call Money, U.K., 2 day Local Athority Deposits, Japan, U n c o n d i t i o n a l Money, France, Day-to-day Money CHAR! 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m / 1-MONTH I ' J CALL 2 J 5 D 1967 M S 1968 D S 1969 D S 1970 D CHART6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday f i g u r e s 10 3 MONTH M J S D M J 1968 S 1969 D M J 1970 S D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR Wednesday figures DEPOSIT RATES-SECONDARY MARKET F'fer cent per ar EURO DOLLAR DEPOSIT U . S . CERTIFICATE OF D E P O S I T EURO-DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T 1970 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR Wednesday figures DEPOSIT RATES-PRIMARY MARKET Per cent per ar.nu 14 EURO DOLLAR DEPOSIT 15 12 11 10 EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E EURO-DOLLAR OVER OF DEPOSIT U.S. C E R T I F I C A T E OF DEPOSIT ADJUSTED* 1970 * Adjusted for Reserve Requirement ' * Adjusted for 10™ Marginal Reserve Requires CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO D O L L A R RATES F Mflav figures Per cent per a n n u m EURO-DOLLAR DEPOSIT HIRE PURCHASE 0 DIFFERENTIAL j FAVOR EURO-DOLLAR D 1967 S 1968 D S 1969 D M S 1970 j CHART8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO-DOLLAR RATES Friday f i g u r e s Per cent per a n n u m EURO-DOLLAR DEPOSIT —M LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY 1 1 DIFFERENTIAL M I FAVOR EURO DOLLAR S D 1967 D 1968 S 1969 D S 1970 D + INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday figures ! 3 - M O N T H TREASURY B I L L RATES 4 U.K. LOCAL AUTHORITY DEPOSITS / UNCOVERED \ NEW YORK P l o t t e d for c o m p a r i s o n purposes 1 12 4 10 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 PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT I FORWARD RATE "1 IN FAVOR OF LONDON H ' V" . IN FAVOR OF NEW YORK J RATE D I F F E R E N T I A L W I T H FORWARD E X C H A N G E COVER (NET I N C E N T I V E ) s D 1967 M S 1968 D M J 1969 S D M J 1970 S D 2 C h a r t 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT I N T E R B A N K L O A N RATE VS. L O N D O N E U R O - D O L L A R RATE Per c e n t per a n n u m Wednesday rates 14 IN T E R M S OF D M GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT MARKET COVER FAVOR EURO DOLLAR Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND Z U R I C H D E P O S I T RATE VS. L O N D O N E U R O - D O L L A R R A T E Wednesday rates Per cent per annum IN T E R M S OF S W I S S F R A N C S EURO-DOLLAR COVERED SWISS DEPOSIT RATE—- FAVOR ZURICH | DIFFERENTIAL , FAVOR EURO DOLLAR S D 1967 S 1968 S D 1969 S D 1970 D 2 3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA Per cent per annum r i 1 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS ilLL RATTDIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM iGROSS SPREAD IN FAVOR OF CANADA FORWARD RATE DISCOUNT FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S 0 Chart 12A SELECTED SHORT-TERM INTEREST RATES ;nt per a n n u m GERMANY U.K. U.S. GERMANY 9 JAPAN CANADA U.S. 1966 1967 1968 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 except Japan (Average rate on bank loans and d i s c o u n t s ) and Germany ( I n t e r b a n k Loan Rate) 1970 SELECTED SHORT-TERM INTEREST RATES * Per cent per 14 13 12 I EURO-DOLLAR - LONDON 11 10 9 8 7 US. 6 I SWITZERLAND 5 4 3 2 1 0 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 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 1 4 INDUSTRIAL STOCK INDICES 460 / - s / 400 Y 360 ^ SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 320 U.K. 280 240 CANADA 200 160 380 320 JAPAN 280 240 4 200 J 160 1967 1968 1969 * Japan index of 225 i n d u s t r i a l and ether stocks t r a d e d on the Tokyo exchange 1970 H. 13 No. A 68 Chart 1A * IV. LATEST FIGURES P L O T T E D ON THE CHARTS Panel Series Upper Swiss franc A u g u s t 14 + 1.631 " + 0.762 German mark Lower IB U.K. pound » - 0.450 Dutch guilder " French franc " + 0.572 + 0.563 Japanese yen " +0.541 Belgian franc „ 4- 0 . 7 2 3 Italian lira n - 0.682 Canadian dollar German mark 2A 2B 3A Rate Date - - - •» U.K. pound » 1 4 5 Upper + 1.83 Dutch guilder " - 0.25 + 1.15 Canadian dollar " + 0.72 French franc " - German mark August 14 + 0.29 Swiss franc " + 1.92 French franc " - 0.76 U.S. dollar 3B + 0.19 August 14 Swiss franc 1.15 + 0.27 Gold price, U.S. dollar per ounce August 14 Call Euro-5 deposits August 12 Federal Funds 35.27 7.52 6.82 + 0 . 70 Middle Differential Lower Japanese Unconditional Money August German Call Money August 14 7.75 U.K. 2-day Local Authority Deposits H 14 6. 75 French Day-to-day Money " 14 8.25 " 7 8.50 IV - 2 Chart Series Panel 6A Date Euro-S Call Rate Rate A u g u s t 14 7.25 ,, 8.06 Euro-S 1-month Rate 6B 7A Upper Euro-S 3-month Rate H Euro-S 6-month Rate " Euro-S 3-month Deposits i. U.S. Certificate of Deposits 7B " / 12 7.82 12 + 0.43 Differential Upper Euro-S 3-month Deposits " 12 8.25 Euro-S 3-month Deposits (Adj.) " 12 9.17 / " U.S. Certificate of Deposits (Adj.) " 12 7.18 Differential: on Adj. Euro-S Deposits " 12 1.99 " 12 1.07 on Unadj. Euro-S Deposits 8B Upper Euro-S 3-month Deposits Hire Purchase Deposits (covered) " 8.07 Lower Differential || - 0.43 Upper Euro-S 3-month Deposits ii J u l y 31 Local Authority Deposits (covered) Lower Differential U.S. Treasury Bill rate 9A Local Authority Deposit (uncovered) Upper Lower 1 8.50 8.50 7.54 - 0.96 " August 14 U.K. Treasury Bill rate 9B 8.25 12 Lower Lower 8A 8.12 8.50 6.48 6. 70 " 7.53 Spread (+= favor London) " + 0.22 3-month Forward Pound " - 0.31 Net Incentive (+- favor London) " - 0.09 - IV- 3 Chart Panel Series Date Rate 10A Upper Euro-$ Deposits (covered) A u g u s t 12 German Interbank Loan rate 10B Lower Differential Upper Euro-$ Deposits (covered) " 11 Differential Upper Canadian Finance Paper ii 5.50 August 14 „ 8.13 U.S. Treasury Bill rate Canadian Treasury Bill rate II 5.54 " " Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate Lower 12B 6.48 7.50 Bill rate differential Forward Canadian dollar 12A 6.42 - 0.92 U.S. Prime Finance paper (not plotted) Second 9.00 + 0.82 Swiss Deposit rate Lower 8.18 „ August 14 - 0.94 + 0 . 78 - 0.16 + 1.41 6.70 U.S. Treasury Bill rate II 6.48 German Interbank Loan rate II 8.12 Japanese Average rate June 30 7.661 Canadian Treasury Bill rate A u g u s t 14 5.54 U.S. Treasury Bill rate H Euro-S Deposits " 8.12 Swiss 3-month Deposit rate " 5.50 " 6.48 U.S. Treasury Bill rate • 6.48 IV - 4 Chart Panei Series 13 Upper Netherlands J u l y 31 Canada August United States Date - Switzerland Middle Germany Rate 8.26 7 7.66 August 12 6. 71 August 14 5.97 " 14 7.84 7 9.05 " 14 7.70 United Kingdom Euro-dollar bonds Lower 14 Upper U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds „ U.S. Corp. Aaa bonds .. Switzerland Germany United States Middle United Kingdom Canada Lower June 30 August 14 9.38 8.27 8.48 348.9 J u l y 31 254.80 August 14 167.86 H 187. 72 J u l y 30 191.61 Japan August 7 376.35 United States August 14 167.86
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