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December 2, 1970 No. 4 8 2 H-13 Divipee of Intemotionol Fincmce Europe and British Commonweal* Section './Cafjfol (ThM SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF 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, which accompanied issue dated January 1, 1969. " b SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par SWISS FRANC 1.6 i GERMAN MARK U.K. POUND U.S. Below par r ! Above par FRENCH FRANC- JAPANESE 4 YEN I Par DUTCH GUILDER Below par S M D 1968 J S D 1969 * D e v a l u a t i o n of the French f r a n c f r o m 4 9 4 to 5.55 for $1.00. * * DM rate not s u p p o r t e d by the Bundesbank. * * * R e v a l u a t i o n of the DM f r o m 25.00 to 2 7 . 3 2 in U.S. cents. J 1970 S D M J 1971 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t Above par 1.2 CANADIAN DOLLAR r BELGIAN FRANC ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. $ rate not s u p p o r t e d by Bank of Canada S D M J 1970 S D M J 1971 S 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages. Per c e n t per a n n u m PREf ^ IUM + 1 *ERM/ IN MA (K V J1 yv V V \ 1 p 7 -A lu A k i1 /UK. 1 POUNl) z i / II 1 1 J Y^ IArvx/ A' V )/ 1 M \ ASV/ISS FlRANG 1 1 S D M 1968 J S 1969 DISCOIUNT- r i D M i i i J 1970 i S i D i i M J i I i S 1971 D i u 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 I PREMIUM* FRENCH FRANC DISCOUNT M J S D M 1968 J S D 1969 * D e v a l u a t i o n of t h e French f r a n c 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 S 1970 D M J S 1971 D C h a r t 3A 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 24 PREMIUM* GERMAN MARK U S. DOLLAR DISCOUNT— M J S D 1968 M J 1969 S D M J 1970 S D M J 1971 S 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 c e n t per a n n u m PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT— M J s D 1968 M J S 1969 * Devaluation of t h e F r e n c h f r a n c f r o m 4.94 to 5.55 f o r $ 1 . 0 0 D M 20 J 1970 S D M J 1971 S D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS W e e k ' s a v e r a g e of a f t e r n o o n f i x i n g s J S D U.S. d o l l a r e q u i v a l e n t per fine M 1968 J S D M J 1969 S D 1970 MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce r 1 1 1 1 1 1 1 1 1 1 1 M * M a r k e t closed M ar c h 15 A p r i l 1, 1 9 6 8 J 1967 S D 11 M 1968 M J S 1971 D CALL MONEY RATES DOLLAR F U N D S Weekly a v e r a g e ; CALL EURO-DOLLAR DEPOSITS / FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages EURO DM EURO DOLLAR EURO-SWISS FRANC M J S 1968 w C h a r t 5B CALL MONEY RATES FOREIGN CURRENCIES* Per cent per a n n u m Friday figures CANADA SELECTED EEC CURRENCIES Per cent per a n n u m Friday figures ! .— . tFRANCE GERMANY ' I : . . i 1 NETHERLANDS 1 1968 1969 1970 * Japan, U n c o n d i t i o n a l Money; U.K., 2-day Local Authority Deposits. Canada. Day-to-day Loans, w e e k l y average. * * G e r m a n y , Call Money; France, Day-to-day Money; N e t h e r l a n d s , Call Money, weekly a v e r a g e 1971 LONDON: EURO-DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m 1 -MONTH CALL s D 1968 S 1969 D S 1970 D 1971 LONDON: EURO DOLLAR DEPOSIT RATES "riday figures Per c e n t per at 13 12 11 10 9 8 7 6 5 4 3 2 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 14 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT T EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT D 1967 S 1968 D S 1969 D 1970 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday figures I 14 I EURO-DOLLAR DEPOSIT ADJUSTED** EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED L l I I I 1 I I 1 1 I 1 I M i I I I 1 I j 1 1 I I I I I I ! I I 1 I I I I 1 I I I 1 I 1 1 I EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED M J S D 1967 M J 1968 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% Marginal Reserve Requirement S D M J 1969 S D M J 1970 S D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m j EURO-DOLLAR DEPOSIT ; HIRE PURCHASE I FAVOR HIRE PURCHASE I DIFFERENTIAL I FAVOR EURO DOLLAR S D 1968 S 1969 D S 1970 D M S 1971 D + ^ Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Per cent per a n n u m Friday f i g u r e s 14 EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL FAVOR EURO DOLLAR U I M 1968 J 1970 S D I I I I I I I Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday f i g u r e s T~"~" T-"" i " 3 - M O N T H TREASURY BILL RATES n r I U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED j LONDON -T NEW YORK Plotted for c o m p a r i s o n purposes j •" i 12 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING _ SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE - —+- T 2 IN FAVOR OF LONDON (IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1968 S 1969 1970 D M J 1971 S D /}C C h a r t 10A ) 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON E U R O D O L L A R RATE Wednesday rates Per c e n t per a n n u m 14 IN TERMS OF DM 12 10 j/r : GERMAIN INTERB/ANK LOAN RATEY^V| Dr- ! 1 1 1 1 1 II 1 1 i EURO DOLLAR f /V COVERED r^Jl i i i m ! it ! i i i i 1 i i ! i i 1 ii l I DIFFERENTIAL [ J \ 1 :! i J I l 1 l l 1 l l FAVOR FRANKFURT J/i M I S D 1968 M IVIARKET COVERA/vJy \ FAVOR EURO DOLLAR : VI J S 1969 D .i M 1 1 1 i J 1 ! S 1 i D i i 1 1 1 i 1 1 1 1 1 M J S 1971 D Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE W e d n e s d a y rates Per cent per a n n u m IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR J S D 1968 S 1969 D M J 1970 S D M J 1971 S D 2 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 10 CAN. FIN. CO. PAPER CANADIAN 1 TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I I I I GROSS SPREAD IN FAVOR OF CANADA FORWARD RATE 1 I I I _l DISCOUNT | — 1 I 1 COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS n FAVOR U.S. _L__ FAVOR CANADA PRIME FINANCE PAPER - A FAVOR U S L 1967 1968 1969 1970 u 2 /p Chart 12A SELECTED SHORT-TERM INTEREST RATES% GERMANY U.K. 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 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * * Per c e n t per a n n u m EURO DOLLAR - LONDON U.S. 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 /} LONG-TERM BOND YIELDS Weekly f i g u r e s Per c e n t per a n n u m CANADA NETHERLANDS U.S. SWITZERLAND: 10 U.K. GERMANY EURO DOLLAR BONDS U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1966 * 1967 New series for S w i t z e r l a n d s t a r t s 3-3-67. * * New series for S w i t z e r l a n d starts 8-2-68. * * * New-Average yield of all German P A Bonds begins 9-4 70. 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES A A , , SWITZERLAND ^ 1 v~\ 1 A H/^x j GERMANY 4 1 ! 1 ! ! M 1 1 1 z V r u.s. \Z* "V, : i 1 M 1 i i i i i 320 U.K. 280 240 CANADA - 200 J 160 ] 380 i 320 '• JAPAN 280 240 U.S. 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 * * Japan index of all i n d u s t r i a l and other s t o c k s t r a d e d on the first section of the Tokyo Stock Exchange. 1970 H. 13 No. 48 2 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Nov 27 German mark " U.K. pound " Rate Dutch guilder Lower IB + 1.437 + 0.817 - 0.405 + 0.583 French franc " + 0.649 Japanese yen " + 0.635 Belgian franc 11 + 0.745 Italian lira " + 0.356 - 0.26 Canadian dollar German mark 2A 2B + 0 . 64 U.K. pound - 0.95 Dutch guilder + 0 . 76 Canadian dollar + 0.42 French franc - 0.81: German mark 3A Nov 27 Swiss franc Nov 27 U.S. dollar 3B 4 Upper Middle * Lower * * * 0.81 + 0.80 " + 1.39 French franc " + 0.18 Nov 27 Call Euro-S deposits ii Federal Funds " Differential " Japanese Unconditional Money German Call Money * * + Swiss franc Gold price, U.S. dollar per ounce 5 " 37.58 5.53 5. 16 + Nov 20 0.37 7. 75 " 7.50 U.K. 2-day Local Authority Deposits " 6.31 French Day-to-day Money „ * Euro-currencies Euro $ Euro DM Euro Swiss Fr. 7.12 5.82 7.52 7.95 " ** Add Canada Netherlands Nov 20 " 6 4.50 6.90 IV - 2 Series Date 6A Euro-S Call Rate Nov 27 Euro-$ 1-month Rate " 7.38 6B Euro-S 3-month Rate " 7.19 Euro-$ 6-month Rate " 7.25 Chart 7A Panel Upper Euro-$ 3-month Deposits + 0.97 " Upper Euro-S 3-month Deposits " 6.62 Euro-$ 3-month Deposits (Adj.) " 7.35 Upper Lower Upper Lower 9A Upper Lower Euro-S 3-month Deposits 5.85 " „ Differential: on Adj. Euro-S Deposits on Unadj. Euro-S Deposits 9B 5.65 Differential U.S. Certificate of Deposits (Adj.) 8B 6.62 " Lower Lower 8A 6.62 Nov 25 U.S. Certificate of Deposits 7B Rate " + 1.50 + 0.77 Nov 13 7.19 Hire Purchase Deposits (covered) » Differential " - 0.76 Euro-S 3-month Deposits " 7.19 6.43 Local Authority Deposits (covered) " 5.93 Differential " - 1.26 U.S. Treasury Bill rate Nov 27 5.00 U.K. Treasury Bill rate " 27 6.69 Local Authority Deposit (uncovered) " 20 Spread (+= favor London) " 27 + 3-month Forward Pound " 27 - 0.98 Net Incentive (+= favor London) M 27 + 0.71 7.06 1.69 IV- 3 Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) Nov 25 Lower 10B 11 Upper Rate 7.38 German Interbank Loan rate " 8.25 Differential " + 0.87 Euro-$ Deposits (covered) " 6.59 Swiss Deposit rate " 5.25 " - 1.34 Lower Differential Upper Canadian Finance Paper Nov 27 U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Second Bill rate differential Third Net incentive on bills " 5.00 " 4.25 " 5.56 Nov 27 Forward Canadian dollar 5.75 " - 0.75 + 0.49 - 0.26 J 12A 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 12B + 0.68 Nov 27 6.69 " 5.00 " 8.25 Sept 30 Nov 27 7.693 4.25 U.S. Treasury Bill rate " 5.00 Euro-$ Deposits " 7. 19 Swiss 3-month Deposit rate Nov 13 5.25 U.S. Treasury Bill rate Nov 27 5.00 3 0 IV- 4 Rate Chart Panel Series Date 13 Upper Netherlands Nov 6 Middle ** Canada " 18 7.60 United States it 25 6.11 5.72 Switzerland " 13 Germany ii 23 8.63 United Kingdom " 20 9.67 Euro-dollar bonds — U.S.jCorp. Dollar Euro-bonds Lower Middle Lower ** * * 7.72 " 27 October 31 8.56 U.S. Corp. DM Euro-bonds " 7.93 U.S. Corp. Aaa bonds " 8.03 Switzerland Upper 14 8.07 N o v 27 337.0 235.0 Germany II 23 United States " 27 189.31 United Kingdom " 27 179.92 Canada ii Japan ii 27 347.37 United States II 27 189.31 19 198.93 New - - Average y i e l d of ALL German P u b l i c A u t h o r i t i e s bonds made as of banking key days. Beginning week ended September 5, 1970, the Japanese index p l o t t e d i s that of a l l i n d u s t r i a l and other s t o c k s on the F i r s t S e c t i o n of the Tokyo Stock Exchange.
@FedFRASER