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February 4, 1970 No. 440 H-13 Division of International Finance Europe and British Commonwealth Section , \" ! 1 Qap;M /wasLkjit SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. W E E K L Y SERIES O F C H A R T S 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. 3 Chart 1A SPOT E X C H A N G E RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.6 SWISS FRANC !| Par U.S. GERMAN MARK 1 U.K. P O U N D Below par Above par DUTCH GUILDER with U.S. JAPANESE Y E N FRENCH FRANC M J S D M 1»67 J S D I M S * Devaluation of the U.K. pound from $2.80 to $2.40. **D*v#lu#tion 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 the DM from 25.00 to 27.32 in U.S. cents. M J 1M9 S D M J 1970 S 0 u Chart IB SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA — BELGIAN FRANC 1.2 Below par S D M 1967 S 1968 D M S 1969 D M J 1970 S D £ 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* I I -N GERMAN MARK J I SWISS FRANC U.K. POUND | s S 1967 1968 DISCOUNT— D M S 1969 D J 1970 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* ; DUTCH GUILDER CANADIAN DOLLAR I A FRENCH FRANC 24 LJ ,_j M J S D 1967 J s 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 S 1969 D S 1970 D n Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per annum Friday figures U.S. DOLLAR DISCOUNT Chart 3B 3-MONTH FORWARD EXCHANGE R A T E S - M A J O R C U R R E N C I E S AlGAINST U.K. P O U N D Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M J S D M 1967 J S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 20 M J 1969 S D M S 1970 D 1 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 47.0 45.0 43.0 35 3 41.0 35.2 39.0 35.1 1 37.0 j 35.0 M S D 1967 * Market closed March 15 April 1, 1968 D 1968 S 1969 D M J 1970 S D 35.0 Chart 5 CALL M O N E Y R A t E S DOLLAR FUNDS Weekly averages Per cent per annum 14 1 12 1 ! i ! I I C A L L EUR4D D O L I . A R DL [POSIT S / / ^ 1 1 n / F E D E R A L F U N D IS v" \ 10 ! ! rv ) 1 1 : V : 1 : 1 : ! ' 1 i ! V \ Y U A A EURO DOLLAR OVER F EDERAL FUNDS i i i i i 1 i i "i i i i i i i i i i i illi i , i i 1 : I i i i : : 1 i I ! i 1 1 l ! FOREIGN C U R R E N C I E S * Friday figures Per cent per annum I I I ' ' FRAN | I : ! & 7 I I i i ! ' I 1 1 J 12 - 10 I U.W N Z JAPAN V Y I I y I M I J I S I D I I M 1967 I I J 1 A \ 11 S 1968— D M J I I S 1969 I I I D I I M I I I J 1970 "Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to day Money. I S D I CHART6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1 MONTH CALL 2 S M D M 1967 S 1968 D J 1969 S D M J 1970 S D Per cent per annum N E W Y O R K - L O N D O N : Y I E L D S O N U.S. D O L L A R F U N D S 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per 14 13 12 11 EURO DOLLAR DEPOSIT 10 rv 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT 5 4 3 6 5 4 3 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 1 + 0 1 M J S D 1967 S 1968 D M S 1969 D M S 1970 D Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H D O L L A R DEPOSIT R A T E S - P R I M A R Y M A R K E T Wednesday figures Per cent per annum - | T ] " T T EURO-DOLLAR D E P O S I T ADJUSTED** 1 - 14 13 " * i 12 . n 10 EURO-DOLLAR DEPOSIT ' . C E R T I F I C A T E OF D E P O S I T ADJUSTED SJ ' ! , 1 L i ! 1 1 ! 1 ! , 1 1 ! l , , 1 ! i ! EURO-DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T ADJUSTED 1968 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement 1970 ; j 9 | i 8 I 6 i s 7 , CHART8A LONDON: COVERED YIELDS ON U.S. D O L L A R FUNDS H I R E PURCHASE A N D EURO-DOLLAR RATES Friday figures Per cent per 14 12 EURO DOLLAR D E P O S I T 10 8 6 4 HIRE PURCHASE 2 + 0 FAVOR HIRE PURCHASE + 0 2 4 6 8 DIFFERENTIAL FAVOR EURO DOLLAR S D 1967 S 1968 D M J 1969 S D M J 1970 S 0 CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L AUTHORITY A N D EURO D O L L A R RATES Friday figures Per cent per annum 14 12 EURO-DOLLAR DEPOSIT 1 LOCAL AUTHORITY DEPOSIT COVERED — -~f 10 U FAVOR LOCAL AUTHORITY 1 DIFFERENTIAL 1967 FAVOR EURO DOLLAR 1968 1969 1970 + n INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum I : ' 3 - M O N T H TREASURY B I L L RATES U.K. LOCAL A U T H O R I T Y D E P O S I T S / UNCOVERED Plotted for comparison purposes I* Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE T T 2 IN FAVOR OF LONDON I - I N FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) J s D 1967 M J 1968 S D M S 1969 D J 1970 S D Chart 10A 3-MONTH INTEREST A R B I T R A G E : U.S. - G E R M A N Y F R A N K F U R T I N T E R B A N K L O A N RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cent per ar 14 IN T E R M S OF D M 12 10 8 GERMAN INTERBANK LOAN RATE 6 4 EURODOLLAR COVERED 2 0 FAVOR FRANKFURT DIFFERENTIAL 4 M A R K E T COVER 2 + 0 , FAVOR EURO-DOLLAR I 1 I I I I 1968 1969 1970 2 Chart 10B 3 - M O N T H INTEREST ARBITRAGE: U.S. - S W I T Z E R L A N D ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per IN TERMS OF SWISS FRANCS 14 12 10 EURO-DOLLAR COVERED 8 6 4 SWISS DEPOSIT RATE T T DIFFERENTIAL FAVOR ZURICH 2 2 + 0 2 4 6 FAVOR EURO DOLLAR M S D 1967 M S 1968 D M J 1969 S D M J 1970 S D 8 3 - M O N T H INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum CAN. FIN. CO. PAPER TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR s ! I I I I GROSS SPREAD IN FAVOR OF CANADA DISCOUNT ^ FORWARD RATE I 1 COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S 1967 1968 1969 1970 /fv Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum U.K. U.S. GERMANY JAPAN CANADA U.S. 1966 1967 1968 1969 * 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate) 1970 1 3 1 Chart 12E SELECTED SHORT-TERM INTEREST RATES # Per cent per annum EURO DOLLAR - L O N D O N U.S. SWITZERLAND 1966 1967 1968 * 3 month treasury bill rate for U.S., Switzerland-3 month deposit rate * * 3-month rate for U. S. dollar deposits in London 1969 1970 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum CANADA NETHERLANDS US. SWITZERLAND 10 U.K. GERMANY EURO DOLLAR BONDS Monthly figures CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Asa BONDS 1966 1967 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES 460 400 - T SWITZERLAND 360 320 280 GERMANY 240 US. 200 320 280 240 CANADA v S 200 160 380 320 JAPAN 280 240 U.S. 200 160 1967 1968 1969 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange 1970 H. 13 No. 440 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 Jan. Lower Rate + 1.46 30 German mark " -0.76 U.K. pound " +0.07 " +0.14 " +0.52 Dutch guilder -0.47 French franc Japanese yen Belgian franc IB + 0 . 66 Italian lira Canadian dollar 2A - 0 . 76 " 11 + 0 . 78 •! German mark 1 Swiss franc 2B U.K. pound " -0.45 Dutch guilder " + 1.27 Canadian dollar -0.38 French franc -0.55 German mark 3A 3B U.S. dollar " Swiss franc " French franc Gold price, U.S. dollar per ounce 4 5 Call Euro-S deposits Upper Middle Differential Lower Japanese Unconditional Money French Day-to-day Money ! + 0 . 18 1 1 +0.73 ! ! -0.15 30 34.99 Jan 28 8.62 9.04 -0.42 " 30 8.25 Jan. 23 8.88 Jan. 30 9-75 Jan German Call Money U.K. 2-day Local Authority Deposits +0.68 Jan Federal Funds ( 1 +0.21 +0.59 " 9.25 " j 1 r A IV- 2 Chart Panel 6A Rate Date Series Euro-$ Call Rate J a n . , 30 Euro-$ 1-month Rate 6B 9.38 Euro-$ 3-month Rate 9.56 Euro-S 6-month Rate 7A Upper 9.50 Euro-S 3-month Deposits Jan 28 U.S. Certificate of Deposits 7B Lower Differential Upper Euro-S 3:month Deposits +0.50 9.31 10.34 U.S. Certificate of Deposits (Adj.) 7.18 Differential: on Adj. Euro-S Deposits +3.16 on Unadj. Euro-$ Deposits 8A Upper +2.13 Euro-S 3-month Deposits Jan 16 Hire Purchase Deposits (covered) j I 8B Lower Differential Upper Euro-S 3-month Deposits Lower -1.24 10. 25 8.39 Differential U.S. Treasury Bill rate 9A -1.86 j 30 Jan U.K. Treasury Bill rate Local Authority Deposit (uncovered) i 96 Upper Spread (+= favor London) 3-month Forward Pound Lower 10.25 9.01 Local Authority Deposits (covered) 1 9.31 8.81 Euro-S 3-month Deposits (Adj.) Lower 9.25 7.85 7.37 Jan. 23 Jan. 30 „ 8.75 -0-48 -0.39 Net Incentive (+- favor London) -0.87 IV- 3 Chart Panel 10A Upper Series Euro ) Deposits (covered) Rate Date Jan. 28 German Interbank Loan rate 10B Lower Differential Upper Euro-$ Deposits (covered) 9.00 -0.27 8.80 Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper 5.00 -3.80 Jan. 30 U.S. Treasury Bill rate 7.52 U.S. Prime Finance paper (not plotted) 8.13 Bill rate differential -0.33 Forward Canadian dollar 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate - 0.48 -0.81 +0.39 7.37 U.S. Treasury Bill rate 7.85 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 U.S. Treasury Bill rate 9.00 7.85 Canadian Treasury Bill rate Second 9.27 9.00 31 7.47 Jan. 30 Oct. 7.52 „ „ „ „ 7.85 9.56 5.00 7.85 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 Date Dec., 19 14 Upper 30 8.36 Jan. 28 6.71 Jan. 23 5.38 Jan. 30 7.45 Jan. 23 8.87 Jan. 30 7.30 Dec. 26 United States Middle United Kingdom Canada Lower II Jan. Japan United States 7.92 7. 75 30 „ Switzerland Germany 7.90 Jan. U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Rate 7.91 389.3 Jan. 23 290. 6 Jan. 30 193.6 Jan. 22 235.3 Jan. 30 405.2 || " 229.9 193.6
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