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January 13, 1971 H-13 No. 488 Division of Intemetionel Finance Europe end British Commonweal* Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS ftOARD 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 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. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND U.S. Below par Above par FRENCH FRANC- JAPAI INESE YEN Par U.S. dollar DUTCH GUILDER Below par M J S 1968 D M J S D 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * DM rate not supported by the Bundesbank. * * * Revaluation of the DM from 25.00 to 27.32 in U.S. cents. M J 1970 S D M J 1971 S D 1 Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR K BELGIAN FRANC U.S. ITALIAN LIRA 1.2 Below par M J S D 1968 J M 1969 * Can. $ rate not supported 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 cent per annum GERMAN MARK SWISS FRANC U.K. POUND DISCOUNTM J S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM DUTCH GUILDER 1 CANADIAN DOLLAR , FRENCH FRANC 20 24 28 DISCOUNT- M J S D 1968 M J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * Can. $ rate not supported by Bank of Canada. D 32 M J 1970 S D M J 1971 S D 1 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 1 PRE*AIUM+ - - - - 1 - - A A J A V - - JJ] i\ K 1 TJ u \ w A \A- V i J.S. 1 DOLLAF \ 1 1 M 1 1 J - GEMHAN MARK v S i 1 1 D M 1968 - DISCOlJNT— 1 1 1 i J 1969 S D i M J 1970 S J 1971 S i D Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND V Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1968 M J S D 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.0& -U M 20 J 1970 s D M J 1971 S D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings y J U.S. dollar e q u i v a l e n t per fine ounce z1 42 \ j 40 /Vv A 38 - — 1 36 1 I I II M 1 1 1 J 1 S i i D 1 1 M 1968 1 1 1 J 1 1 S 1 1 D 1 1 M J 1969 1 1 S 1 1 i D 1970 MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce- I I I M F M a r k e t closed March 15-April 1, 1968 I I I J 1967 I I I S I I D M 1968 i i M i i J i i S 1971 i i D i 34 jo CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per A n n u m FEDERAL FUNDS EURO-CURRENCIES Weekly averages Per cent per a n n u m T EURO DM EURO-DOLLAR EURO-SWISS FRANC 1968 " 1 12 \\ Chart 5B CALL MONEY RATES FOREIGN C U R R E N C I E S * Friday figures Percent per annum - - I v/Vd V - 1 1 1 1 1 1 1 1 1 1 M i i < " V CAiNADA 1 1 i i : ARAN i i l 1 l l \ r~ - V i i i i i i i i SELECTED EEC C U R R E N C I E S * * Friday figures i i Per cent per annum FRANCE GERMANY NETHERLANDS M J S D M 1968 J 1969 s D M J S D M 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. J 1971 S D Per cent per a n n u m 13 12 1-MONTH CALL 1970 1971 Chart 6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 6-MONTH 3-MONTH M S D 1968 S 1969 D S 1970 D J 1971 S D H NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Per cent per a n n u m Wednesday figures I EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 1 Chart 7B 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 f i g u r e s Per cent per a n n u m 14 EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E O F 1 DEPOSIT ADJUSTED n EURO DOLLAR OVER U.S. C E R T I F I C A T E OF DEPOSIT 1 ADJUSTED*IU ^ !r fi h 1 1 - - \ j t ] 1 - ,1 i\ ma MrA / - f 1 1 1 1 1 M 1 1 1 J S 1 1 I 1 D 1968 1 M 1 I I 1 U J 1969 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% M a r g i n a l Reserve Requirement * • * * A d j u s t e d for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t 1 L.i_. i.-L 1 1 1 M 1 1 I 1 1 1 1 1 1 1 1 1 I I J 1970 1971 1 1 1 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO-DOLLAR Friday f i g u r e s RATES Per cent per a n n u m EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED ! j | FAVOR HIRE PURCHASE FAVOR EURO DOLLAR DIFFERENTIAL S S D 1968 1969 D M J 1970 S D M J 1971 S D n Chart 8B 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 LOCAL DEPOSIT AUTHORITY DEPOSIT COVERED i j ! FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR DIFFERENTIAL M J S 1968 S 1969 D M J 1970 S D M •J 1971 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m J - 3 - M O N T H TREASURY BILL RATES U.K. LOCAL A U T H O R I T Y UNCOVERED j NEW YORK Plotted for c o m p a r i s o n purposes DEPOSITS • • ! 12 Chart 9 6 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s : Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE i T 1 0 2 IN FAVOR OF LONDON — a A^ls / l \ / \ IIN FAVOR OF NEW YORK RATE DIFFERENTIAL W I T H # $ W A R D EXCHANGE COVER (NET INCENTIVE) J S D 1968 M S 1969 D M J 1970 S D M S 1971 D C h a r t 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE ^ EURO DOLLAR COVERED FAVOR FRANKFURT DIFFERENTIAL FAVOR EURO DOLLAR 1968 1969 1970 1971 , 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Per cent per annu Wednesday rates IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR 3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA Friday figures Per cent per annum 1 10 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS 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 j i I I I I GROSS SPREAD IN FAVOR OF CANADA A DISCOUNT N % I V FORWARD RATE I I I I I I J L_ T ~ 2 FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U.S. L . 1 . 2 FAVOR CANADA M/ 1 1 M V PRIME FINANCE PAF 1 I 11 J M i l 11 S D 1967 M J 1968 J 1969 S D Vi I M FAVOR U.S. J 1970 1 .1 I I s I 2 C h a r t 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per a ^ i __J \ V~" GERMANY 1 V 1 1 '-~nu.K. n r 1 \ U A ML - \ u.s. r\ n : I 1 i 1 .1 1 M 1 ! 1 i i 1 i i 1 i i I i i ! 1 1 1 1 ! I! 1 II - X. 1 1 1 II 1 II 1 1 ! - JAPAN j A 1 /J A V U 1 A U.S. . i I CANADAV^ >A' i V i 1 - 1i i i i i 1: i i i i ! i i ! M 1i i 1967 1968 i i I i i 1i : i i i 1969 1 1111 11! 111 1 ! 1I 1 I i 1 111 1970 1971 * 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 ( A v e r a g e rate on bank loans and d i s c o u n t s ) and G e r m a n y ( l n t e r b a n k Loan Rate) iv: C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per a n n u m EURO-DOLLAR - LONDON U.S. SWITZERLAND 1967 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 - 3 - m o n t h d e p o s i t 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 BOND YIELDS Weekly figures Per cent per annum CANADA NETHERLANDS U.S. 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. * * * New-Average yield of all German P.A. Bonds begins 9-4-70. 1968 1969 1970 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 460 J / K rv^V l J V " w 400 / \ r \ _ X SWITZERLAND V X ^ \ y\T A ^ v 360 ^ A . 320 4 280 GERMANY / 240 4 200 M ! i i i ! I i I 11 1 1 i 1! 1 1 1 ! .y-A y p ^ V " 1 1 1 1 1 1 1 1 1 1 1 /V V I I i : i i i 1 i i 1 i 320 U.K. zA |Wv V- 280 ; 240 CANADA 1 1 1 1 1 1 1 1 1 1 1 i jy f | V^wj V-v^j 1 1 I 1 1 1 1 1 I i lylw-n ! 1 i ! i i 1 i i - 200 160 380 320 JAPAN * 280 240 U.S. 1 1 1 1 1 1 1 1 1 1 1 1967 1 1 1 1 1 1 II 1968 1 1 1 ii 200 1 ii ! i i 1 ii 1969 * Japan index of 225 industrial and other stocks t r a d e d on the Tokyo exchange * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. 1970 H. 13 No. 488 IV. L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series Date 1A Upper Swiss franc Jan. Lower IB 3A 3B 4 5 Upper U.K. pound " -0.175 Dutch guilder " French franc " Japanese yen " Belgian franc „ +0.610 Italian lira " +0. 668 40.267 Canadian dollar - - Jan. * * Euro-Currencies Euro $ Euro DM Euro Swiss Fr. ** Add Canada 8 -0. 10 +0.59 " U.K. pound " -0.90 " Canadian dollar " -0.30 -0.26 French franc " -0.59 German mark .. 40.97 U.S. dollar " 40.80 Swiss franc " +1.39 French franc " 40.54 Gold price, U.S. dollar per ounce " 37.45 Differential * - - Dutch guilder Federal Funds Lower +0.452 +0.679 +0.597 Call Euro-$ deposits Middle +1.404 " Swiss franc 2B 8 German mark German mark 2A Rate Japanese Unconditional Money Jan. 6 2.27 " Dec. 6.09 3.82 " 25 8.00 German Call Money Jan. 8 7.38 U.K. 2-day Local Authority Deposits Dec. 31 6.38 French Day-to-day Money Jan. 5 7.12 Jan. 8 6.71 6.83 4.12 Dec. 23 Dec. 30 Jan. 6 Dec. 4 5.15 5.19 5.25 5.33 * Netherlands IV - 2 Series Date 6A Euro-S Call Rate Jan. Euro-$ 1-month Rate " 6.06 6B Euro-$ 3-month Rate " 6.12 Chart Panel Euro-$ 6-month Rate 7A 78 Upper Rate 8 5.88 6.50 " Euro-$ 3-month Deposits 6 Jan. 6.38 U.S. Certificate of Deposits " 5.62 Lower Differential " 4 0 . 76 Upper Euro-$ 3-month Deposits " 6.38 " 7.98 * * * Euro-$ 3-month Deposits (Adj.) U.S. Certificate of Deposits (Adj.) Lower 5.85 Differential: on Adj. Euro-$ Deposits 4-2.13 on Unadj. Euro-$ Deposits 8A Upper Euro-$ 3-irionth Deposits Dec. Lower Differential Upper Euro-$ 3-month Deposits Local Authority Deposits (covered) " 6.40 Lower Differential " - 0 . 73 Hire Purchase Deposits (covered) 8B 9A *** Jan. 6.96 8 4.69 6.69 " Dec. 31 7.31 Spread (+= favor London) Jan. 8 4-2.00 x Net Incentive (+= favor London) Adjusted for 20 per cent Marginal Reserve Requirement. * " 7.13 Local Authority Deposit (uncovered) 3-month Forward Pound Lower f 7.13 U.S. Treasury Bill rate Upper 24 -0.17 U.K. Treasury Bill rate 9B 40.53 " » " -0.99 IV- 3 Chart Panel Series Date lOA Upper Euro-$ Deposits (covered) Jan. German Interbank Loan rate 10 B 6 7.50 Lower Differential " +1.19 Euro-$ Deposits (covered) " 5.93 Dec. 23 5.25 8 6.00 Lower Differential Upper Canadian Finance Paper Jan. U.S. Treasury Bill rate 12A 6.31 " Upper Swiss Deposit rate 11 Rate 4.69 Canadian Treasury Bill rate 4.44 U.S. Prime Finance paper (not plotted) 5 . 4 4 ^ Second Bill rate differential Forward Canadian dollar -0.30 Third Net incentive on bills -0.55 Bottom Net incentive on Finance Paper 40.32 Upper -0.25 U.K. Treasury Bill rate 6. 69 U.S. Treasury Bill rate 4. 69 " German Interbank Loan rate Lower Japanese Average rate October Canadian Treasury Bill rate Jan. U.S. Treasury Bill rate 12B 7.50 Euro-$ Deposits 8 7. 700 4.44 " 4.69 " 6. 12 Swiss 3-month Deposit rate Dec. 24 5.25 U.S. Treasury Bill rate Jan. 4.69 8 ' - S D IV- 4 Chart Panel Series Date 13 Upper Netherlands Dec. 4 Canada Jan. 8 6.25 6 6.23 Middle Lower * Upper Middle United States Jan. Dec. 24 5.66 Germany Dec. 15 Dec. 23 8.27 8.12 United Kingdom Dec. 31 9.82 Euro-dollar bonds Dec. 31 Jan. 8 7. 64 7. 60 U.S. Corp. Dollar Euro-bonds November 8.24 ** 7.64 December Switzerland Dec. 30 347.5 Germany Dec. 31 236.20 United States Jan. 204.78 United Kingdom * * Japan United States * 7.83 " U.S. Corp. Aaa bonds Canada Lower 7.68 Switzerland U.S. Corp. DM Euro-bonds 14 Rate 8 191.19 " Dec. 31 213.28 Dec. 25 335.11 Jan. 204.78 8 New -- Average yield of ALL German Public Authorities bonds made as of banking key days. Beginning week ended September 5, 1970, the Japanese index plotted is that of all industrial and other stocks on the First Section of the Tokyo Stock Exchange.
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