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?. /r\cuduol February 3, 1971 No. 491 H-13 Divib^dh of Internet lorn el Fi twice Ewepe end British Commonwealth Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS ^ 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, which accompanied issue dated January 1, 1969. 3 a SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t A b o v e par SWISS FRANC 1.6 f GERMAN MARK U.K. POUND Below par Above par FRENCH FRANC- JAPANESE YEN ! DUTCH GUILDER B e l o w par S 1968 D M 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 . 9 4 to 5.55 for $1.00. * * DM rate n o t s u p p o r t e d by the B u n d e s b a n k . * * 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 2 7 . 3 2 in U.S. cents. Digitized for* FRASER M J 1970 S D M J 1971 S D u Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t A b o v e par 1.2 IJW1- 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 D Chart 2A 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 \ ASWISS FRANC U.K. POUND V \ j M J S S D 1968 1969 DISCOUNTD J 1970 S D M J 1971 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLL Weekly a v e r a g e s ' Per cent per a PREMIUM* I8 I DUTCH GUILDER + 0 FRENCH FRANC 4 8 12 16 20 24 28 ! DISCOUNT- I 1 i I I I 1 I I I I i I I M J S D 1968 M J S 1969 * D e v a l u a t i o n of the F r e n c h 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 M J 1970 32 S D M J 1971 S D 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* \F y\\ U.S. D O L L A R \ V DISCOUNT — I I I I I M J S D 1968 M J 1969 S D M J S 1970 D M J S 1971 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 ! M J S D 1968 M J DISCOUNT- 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 20 J 1970 S D J 1971 S D 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 ounce 44 42 40 38 36 34 M S D 1968 S D J 1969 S 1970 MARKET SUPPORTED BY GOLD POOL U S dollar equivalent per fine ounce J 1967 M a r k e t closed M ar c h 15-April 1, 1 9 6 8 S D M 1968 D M J 1971 S D CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages , Per cent per annu CALL EURO-DOLLAR DEPOSITS / FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Per cent per anni Weekly averages 12 "T EURO DM EURO-DOLLAR I EURO-SWISS FRANC M J S D 1968 M J S 1969 D M J S 1970 D M X CALL MONEY RATES FOREIGN CURRENCIES* Per cent per a n n u m CANADA SELECTED EEC CURRENCIES Per cent per a n n u m Friday figures FRANCE NETHERLANDS 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 average. I J 1970 s LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a n n u m Friday figures 13 i 10 ' 4 -H 9 7 4 2 M J s 1968 1970 1971 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Perce' EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT D 1968 S 1969 1970 1971 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday f i g u r e s EURO-DOLLAR DEPOSIT ADJUSTED' EURO DOLLAR DEPOSIT i 8 U.S. CERTIFICATE OF DEPOSIT i 6 ADJUSTED* EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED' 1968 1969 * Adjusted for Reserve R e q u i r e m e n t * * A d j u s t e d for 1 0 ' M a r g i n a l Reserve Requirement * * * Adjusted for 2 0 " M a r g i n a l Reserve R e q u i r e m e n t 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 EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE | DIFFERENTIAL t FAVOR EURO DOLLAR S D 1968 S 1969 S D 1970 D 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 1968 FAVOR EURO DOLLAR 1970 ] 10 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday f i g u r e s | T ! 1 7~ ! 3-MONTH TREASURY BILL RATES r r 12 ~ U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED | LONDON NEW YORK 1968 * Plotted for c o m p a r i s o n purposes 1969 1970 1971 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 \ 12 2 IN FAVOR OF LONDON 'IN FAVOR OF NEW YORK 10 I RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) J 1971 S D Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent pe IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO DOLLAR 1969 1970 1971 r Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE nnum W e d n e s d a y rates ] 14 IN TERMS OF SWISS FRANCS 12 10 EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL j FAVOR ZURICH J / „ M J 1970 S * 1 FAVOR EURO-DOLLAR D ! J 1971 S J C 8 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA r i kI.iv ; f, t"-]res Per Lent per B I L L RATES C A N . FIN. CO. PAPER CANADIAN \ TREASURY BILLS UNITED STATES TREASURY BILLS ! PREMIUM B I L L RATE D I F F E R E N T I A L A N D FORWARD C A N A D I A N DOLLAR ! F O R W A R D RATE GROSS S P R E A D IN FAVOR OF CANADA DISCOUNT | COVERED RATE D I F F E R E N T I A L S T R E A S U R Y BILLS . P R I M E F I N A N C E PAPER AA FAVORUS S D 1968 S 1969 S 1970 1971 D [ h a , t 12A SELECTED SHORT-TERM INTEREST RATES* GERMANY U.K. U.S. JAPAN U.S. CANADA 1967 1968 1969 1970 * 3 - m o n t h t r e a s u r y bill rates for all countries except J a p a n i Average rate on bank loans and d i s c o u n t s ! and G e r m a n y ! I n t e r b a n k Loan Rate! 1971 SELECTED SHORT-TERM INTEREST RATES * Per cent per a n n u m EURO-DOLLAR - LONDON U.S. SWITZERLAND I I i l l i J , i ! 1967 i i i i i 1969 * 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 - ] 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 m L o n d o n 1 i i i i i ! i i I 1971 o / >'•' 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 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 4-7u. 1968 1969 1970 INDUSTRIAL STOCK INDICES 460 400 -360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 320 U.K. 280 240 CANADA 200 J 160 1 380 -| 320 j 280 1 240 JAPAN U.S. 1967 1968 200 1969 * Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange * * Japan index of all i n d u s t r i a l and other stocks t r a d e d on the first section of the Tokyo Stock Exchange 1970 _ _ No. /Y] IV. LATEST FIGURES P L O T T E D ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Date Rate J a n 29 U.K. pound + 1.742 + 0.814 + 0. 676 Dutch guilder + 0.681 German mark Lower French franc + 0.685 Japanese yen + 0.622 Belgian franc IB + 0.744 Italian lira " Canadian dollar 2B 3A 3B 4 5A - - German mark 2A Upper - 0.67 Swiss franc " - 0.16 U.K. pound " Dutch guilder " - 2.90 + 0.28 Canadian dollar " - French franc " - 0.60 German mark n + .1 + 2.32 Swiss franc " + 2.12 French franc " + 2.07 1. 77 Gold price, U.S. dollar per ounce J a n 29 Call Euro-$ deposits J a n 27 4.60 " 4.23 Differential Lower Euro-currencies: Euro $ - 38.07 + 0.37 " Jan 15-22 Euro DM J a n 29 5 . 8 4 - 5 . 0 3 - 5 . 12 " " " 6.56-7.56-8.09 Euro Swiss Fr. " " " 3. 6 8 - 4 . 1 6 - 7 . 0 6 U.K., 2-day Local Author. Deps. „ Canada, Day-to-day Loans „ Japan, Unconditional Money 1.13 U.S. dollar Middle Lower - - J a n 29 Federal Funds 5B + 0.217 France, Day-to-Day Money J a n 22 " 29 Germany, Call Money Netherlands, Call Money 7.25 7.88 5.25 6.00 7.75 J a n 15 6.73 i Chart Series Panel Date Rate 5.69 6A Euro-S Call Rate Euro-$ 1-month Rate 5.44 &B Euro-S 3-month Rate 5.81 Euro-S 6-month Rate 6.38 7A Upper Euro-S 3-month Deposits J a n 29 J a n 27 5.62 U.S. Certificate of Deposits 7B 4.82 + 0.80 Lower Differential Upper Euro-S 3-month Deposits 5.62 * Euro-S 3-month Deposits (Adj.) 7.02 U.S. Certificate of Deposits (Adj.) Lower 4.87 Differential: on Adj. Euro-S Deposits + 2.15 + 0.75 on Unadj. Euro-S Deposits 8A Upper Euro-S 3-month Deposits Lower Differential 6.25 Jan 8 Hire Purchase Deposits (covered) 8B 6.40 4- Euro;$ 3-month Deposits Upper 6.25 Local Authority Deposits ( c o v e r e d ) ^ - - 6.15 Differential Lower U.S. Treasury Bill rate 9A J a n 29 U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Spread (+= favor London) Upper Lower * Adjusted for 20% MRR 0.15 4.08 6.66 " J a n 22 " 0.10 29 7.44 + 2.58 3-month Forward Pound - Net Incentive (+= favor London) - 0. 14 2.72 IV - 3 Chart Panel Series 10A Upper Euro-S Deposits (covered) Lower Differential Upper Euro-$ Deposits (covered) J*" Swiss Deposit rate J a n 13 20 J a n 13 20 J a n 22 29 J a n 22 29 J a n 22 29 Date Rate J a n 27 German Interbank Loan rate 10 B Lower 11 Upper Differential Canadian Finance ' 'per U.S. Treasury Bill rate Canadian Treasury Bill rate Second 12A 13 5.48 5. 11 5.25 4 . 75 -0.23 - 0.36 5. 8 8 r 5.75 4.06 4.08 4.44 4.60 4.88 4 . 63 Bill rate differential J a n 22 29 J a n 22 29 J a n 22 29 J a n 22 29 Net incentive on bills Net incentive on Finance Paper U.K. Treasury Bill rate J a n 29 + 0.38 + 0.52 -0.83 - 1. 11 - 0.45 - 0.59 + 0. 17r + 0.01 6. 66 U.S. Treasury Bill rate " 4.08 German Interbank Loan rate " 7.50 Japanese Average rate Canadian Treasury Bill rate " 29 Bottom 12B 7.50 + 0.54 J a n 22 Upper Lower " U.S. Prime Finance paper (not plotted) Forward Canadian dollar Third 6. 96 November Jan.29 U.S. Treasury Bill rate " Euro-S Deposits " 7.699 4.60 4.08 5.81 Swiss 3-month Deposit rate J a n 15 J a n 22 5.25 4.75 U.S. Treasury Bill rate J a n 29 4.08 IV- 4 Chart Panel Series 13 Upper Netherlands J a n 15 7. 39 Canada J a n 20 6.20 Date United States " 27 5.92 Switzerland " 22 5.58 " " * Germany Middle United Kingdom J an 15 Euro-dollar bonds U.S. Corp. Dollar Euro-bonds Lower " U.S. Corp. Aaa bonds Switzerland Upper 29 November U.S. Corp. DM Euro-bonds 14 Rate " December J a n 22 Germany Middle Lower * ** ** 7.65 9.51 7.54 8.24 7.83 7.64 363. 1 251.4 United States " 29 212.23 United Kingdom " " 193.04 219.46 Canada " 21 Japan " 22 352.82 United States " 29 212.23 New - - A v e r a g e y i e l d o f ALL German P u b l i c A u t h o r i t i e s bonds made as o f b a n k i n g key d a y s . B e g i n n i n g week ended September 5 , 1970, t h e Japanese i n d e x p l o t t e d i s t h a t o f a l l i n d u s t r i a l and o t h e r s t o c k s on t h e F i r s t S e c t i o n o f t h e Tokyo S t o c k Exchange.