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\. February lQ/n971 N o \ 4 9 2 H-13 >Bfjy(iYon of kiteraotidpol Finance Europe end British Common wealth Section J. ICHfjJcJPIojJcjJ \ / SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF r-nv/cpunpg n c T u f p p n C P A 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 12 A 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. SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below par Above par FRENCH FRANC- JAPANESE YEN j U.S. DUTCH GUILDER B e l o w par S D 1968 M S 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 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents. M J 1970 S D M J 1971 S D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t A b o v e par 1.2 CANADIAN DOLLAR |Jr^~ r BELGIAN FRANC ITALIAN LIRA 1.2 Below par M J S D 1968 J M 1969 * Can. $ rate not s u p p o r t e d by Bank of Canada. S D S M 1970 D J 1971 S 6 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t per a n n u m PREMIUM GERMAN MARK SWISS FRANC U.K. POUND DISCOUNTM J S D 1968 M J 1969 S D J 1970 S D M J 1971 S D V Chart 28 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNTJ s D 1968 M J S 1969 * D e v a l u a t i o n of the French f r a n c f r o m 4.94 to 5.55 for $1.00. * * Can. $ rate not s u p p o r t e d by Bank of Canada. D j M 32 J 1970 S D M S 1971 D C h a r t 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per a n n u m PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNT- % nhart3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND PREMIUM + SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1968 M J S 1969 " D e v a l u a t i o n of t h e F r e n c h f r a n c f r o m 4.94 to 5.55 for $ 1 . 0 0 D M J 1970 S D J 1971 S D C\ 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 U.S. d o l l a r e q u i v a l e n t per fine o u n c e 44 42 40 38 36 34 S D M 1968 S J D M J 1969 S 1970 MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce I 1 I 1 1 I J 1967 * M a r k e t closed M ar c h 15-April 1, 1 9 6 8 1 I I S 1 1 D M 1968 D M J 1971 s D CALL MONEY RATES DOLLAR F U N D S Weekly averages Per cent per annurr r 12 CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS 0 , LURC CURRENCIES averages 2 Per cent per annum 12 j EURO DM EURODOLLAR EURO-SWISS FRANC J 1971 S D V Chart 58 CALL MONEY RATES FOREIGN C U R R E N C I E S * Friday figures Per cent per annum CANADA S E L E C T E D EEC C U R R E N C I E S * Per cent per annum Friday figures FRANCE GERMANY 1968 1969 1970 * Japan, Unconditional Money; U.K., 2-day Local Authority Deposits; Canada, Day-to day Loans, weekly average. * * Germany, Call Money; France, Day-to-day Money;Netherlands, Call Money, weekly average. , M 1-MONTH J 1970 S LONDON: EURO-DOLLAR DEPOSIT RATES Per c e n t per a n n u m Friday figures 3-MONTH NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 M O N T H DOLLAR DEPOSIT R A T E S - S E C O N D A R Y MARKET Wednesday fipu EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J S D M 1968 . 1969 ' S D M J S 1970 D NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y MARKET Wednesday figures Per cent per annum 14 EURO-DOLLAR DEPOSIT ADJUSTED** EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I ADJUSTED 1 i I I i ! I 1 i 'ill 1.1.1 i M 1968 1969 * Adjusted for Reserve Requirement Adjusted tor 10% Marginal Reserve Requirement * * * Adjusted tor 20% Marginal Reserve Requirement J 1970 S D M J 1971 Chart 8A LONDON: COVERED YIELDS ON U.$. DOLLAR FUNDS HIRE PURCHASE A N D EURO-DOLLAR RATES Friday figures Per cent per annum i r — EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE V DIFFERENTIAL FAVOR EURO DOLLAR L L 1 ±_L 1970 1 1 4 A Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL A U T H O R I T Y A N D EURO-DOLLAR RATES Friday figures Per cent per annum 14 EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED 1 L I i i ' | i - ! ! : , : : ! i ; i ; i i : i M FAVOR LOCAL AUTHORITY DIFFERENTIAL FAVOR EURO DOLLAR INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures 3 - M O N T H TREASURY BILL RATES ! U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED h j LONDON NEW YORK S s D 1968 * Plotted for comparison purposes 1969 s D 1970 n Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per an RATE D I F F E R E N T I A L A N D 3 - M O N T H F O R W A R D S T E R L I N G S P R E A D IN F A V O R OF L O N D O N 1 PREMIUM DISCOUNT FORWARD RATE Hi — i IN F A V O R O F L O N D O N W 'IN FAVOR OF N E W Y O R K ! RATE D I F F E R E N T I A L W I T H * M J S D M 1968 FORWARD EXCHANGE COVER (NET INCENTIVE) J 1969 S D M J S 1970 D M J S 1971 D ! / Chart 1 OA 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY F R A N K F U R T I N T E R B A N K L O A N R A T E 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 anni 14 IN T E R M S OF D M j 12 i GERMAN EURO-DOLLAR COVERED INTERBANK LOAN RATE ! FAVOR FRANKFURT DIFFERENTIAL ! u v ... FAVOR EURO DOLLAR , M J S D 1968 , J 1969 , V ! S D J 1970 S D 1971 : 10 n Chart 108 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 SWISS F R A N C S i EURO-DOLLAR — SWISS DEPOSIT RATE T FAVOR ZURICH DIFFERENTIAL S J D 1968 1969 1970 s D J 1971 D ; 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA I BILL RATES CAN. FIN. CO. PAPER x CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS 1 1 ! BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PRFMIUM FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA j | ! COVERED RATE DIFFERENTIALS i TREASURY BILLS T PRIME FINANCE PAPER! FAVORU S M J S D 1968 M J 1969 S D M J S 1970 D M J S 1971 D p SELECTED SHORT-TERM INTEREST RATES* Per cent per annum GERMANY U.K. -U.S. JAPAN U.S. ''A CANADA % 1967 1968 1969 1970 * 3 m o n t h t r e a s u r y bill rates for all c o u n t r i e s except J a p a n l A v e r a g e rate on bank leans and d i s c o u n t s I and G e r m a n y ( l n t e r b a n k Loan Rate! 1971 Chart I2G SELECTED SHORT-TERM INTEREST RATES * Per cent per -- 4 EURO DOLLAR - LONDON U.S. SWITZERLAND 1967 1969 * 3 - m o n t h treasury bill rate for U S S w 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 1971 LONG-TERM BONO 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 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 S w i t z e r l a n d s t a r t s 3-3-67. * * New series f o r S w i t z e r l a n d starts 8-2-68. * * * New-Average yield of all German PA Bonds begins 9 4 7 u . 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES 460 1 160 SWITZERLAND 4 320 H 280 7^ GERMANY i 400 a > 240 US 200 320 U.K. 280 i 240 CANADA 200 160 380 320 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 industrial and other stocks t r a d e d on the first section of t h e Tokyo Stock Exchange. 1970 H. 13 No. 492 IV. L A T E S T FIGURES P L O T T E D ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Feb. U.K. pound " Dutch guilder " French franc " +0.719 40.674 + 0 . 640 Japanese yen " +0.682 H Italian lira " Canadian dollar - - German mark 2A 5 " -2.91 Dutch guilder " 40.40 Canadian dollar " -1.03 French franc " -0.55 +1.65 „ +2.23 Swiss franc 3B 4 Upper French franc •• +2.04 +1.99 Gold price, U.S. dollar per ounce » 38.49 Call Euro-S deposits Feb. Federal Funds 3 Differential Lower Euro-currencies: Euro S +1.45 " Euro DM Feb. | 5 " Euro Swiss Fr. Japan, Unconditional Money Lower | 5,54 4.09 " Middle 5B -0.86 -0.23 U.K. pound U.S. dollar 5A +0.093 " German mark 3A Jan. 29 5.72 1 7.91 j , 7.25 " 7.56 Canada, Day-to-day Loans " 5.25 France, Day-to-Day Money Feb. Netherlands, Call Money , - __9.16 U.K., 2-day Local Author. Deps. Germany, Call Money ' +0.742 Feb. Swiss franc 2B +1.770 40.789 Belgian franc IB 5 " German mark Lower Rate 5 6.00 " 7.69 Jan. 29 2.00 IV- 2 Rate Series Date 6A Euro-S Call Rate Feb. Euro-S 1-month Rate 5.69 6B Euro-S 3-month Rate 5.88 Chart Panel 5 Euro-S 6-month Rate 7A Upper Euro-S 3-month Deposits 6.38 Feb. 3 7B Differential Upper * +1.28 Euro-S 3-month Deposits 5.88 Euro-S 3-month Deposits (Adj.) 7.35 U.S. Certificate of Deposits (Adj.) Lower 4.87 +2.48 Differential: on Adj. Euro-S Deposits on Unadj. Euro-S Deposits 8A Upper Euro-S 3-month Deposits Lower Differential Upper Euro-S 3-month Deposits +1.01 Jan. 22 Hire Purchase Deposits (covered) 86 5.09 5.63 U.K. Treasury B i l l rate 9B Upper Lower * Adjusted -0.54 Feb. 5 3.97 6 . 66 " Local Authority Deposit (uncovered) Jan. 29 7. 50 Spread (+= favor London) Feb. 5 + 2 . 69 3-month Forward Pound " -2.70 Net Incentive (+- favor London) " -0.01 for 20 per cent M a r g i n a l Reserve R e q u i r e m e n t . 5.09 Differential U.S. Treasury B i l l rate 9A 5.63 -0.54 Local Authority Deposits (covered) Lower 5.88 4.60 U.S. Certificate of Deposits Lower 5.50 IV - 3 Chart Panel Series Date 10A Upper Euro-S Deposits (covered) Feb. Lower Differential Upper Euro-$ Deposits (covered) German Interbank Loan rate 10B 11 Differential Upper Canadian Finance Paper Second 12A 3 6.82 " 7.50 " + 0 . 68 Jan. 27 5.88 " 4 . 75 Swiss Deposit rate Lower Rate - 1 . 13 " Feb. 5 5. 75 U.S. Treasury Bill rate " 3.97 Canadian Treasury Bill rate " 4 . 71 U.S. Prime Finance paper (not plotted) " 4.63 Bill rate differential " + 0 . 74 Forward Canadian dollar " -1.03 Third Net incentive on bills " -0.29 Bottom Net incentive on Finance Paper " +0.09 Upper U.K. Treasury Bill rate " 6. 66 U.S. Treasury Bill rate " 3.97 German Interbank Loan rate " 7. 50 Lower Japanese Average rate November 7. 699 Canadian Treasury Bill rate Feb. 4.71 U.S. Treasury Bill rate 12B Euro-S Deposits 5 " 3.97 " 5.88 Swiss 3-month Deposit rate Jan. 29 U.S. Treasury Bill rate Feb. 4.75 5 3.97 . ?p IV- 4 Chart Panel Series Date 13 Upper Netherlands Jan. Canada Feb. 3 5.93 Switzerland Jan. 22 5.58 Jan. 29 Euro-dollar bonds Feb. U.S. Corp. Dollar Euro-bonds November U.S. Corp. Aaa bonds Upper 5 Lower * ** 7.48 8.24 7.83 January 7.36 Switzerland Jan. 29 373.90 Germany Jan. 22 251.40 United States Feb. 5 215.34 United Kingdom Middle 7. 67 9.58 " U.S. Corp. DM Euro-bonds 14 7.34 6.42 " United Kingdom Lower 29 United States * Germany Middle Rate 187.49 " Canada Jan. 28 218.16 Japan Jan. 29 352.32 United States Feb. 5 215.34 Nevv -- A v e r a g e yield of ALL G e r m a n Public A u t h o r i t i e s bonds m a d e as of b a n k i n g key days. ** B e g i n n i n g w e e k ended S e p t e m b e r 5 , 1 9 7 0 , the Japanese index plotted is that o f all industrial and other stocks on the First Section of the T o k y o Stock Exchange.
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