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m x m y Jonuory 14, 1970 No. 437 H-13 t f a j j j j j n of In ••motional Finance Europe end British Common weellh Section ( k f M n w M SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM ' t 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 1ZA 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, vtfych accompanied issue dated January 1, 1969. 3 C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par 1.6 SWISS FRANC i U.S. u GERMAN MARK! | U.K. POUND Below par Above par DUTCH GUILDER Par U.S. J M v H JAPANESE YE FRENCH FRANC Below par 1967 * 1968 D oM n of h.e» U.K. 1 /e VvVa«lIu Ua « ItIiV WI tW W . — Rpound f r o m $ 2 . 8 0 to $ 2 . 4 0 . • • 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 . 9 4 to 5 . 5 5 for $ 1 . 0 0 . * * * D M rate not supported by the Bundesbank Revaluation of t h e D M f r o m 2 5 . 0 0 to 2 7 3 2 in U.S. c e n t s . 1969 1970 4 Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA — BELGIAN FRA 1.2 Below par M J S D 1967 M J 1968 S D J 1969 S D J 1970 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 DISCOUNT— M J S D 1967 M J 1968 S D M S 1969 D M J 1970 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averagers * Per cent per annum PREMIUM DUTCH GUILDER CANADIAN DOLLAR FRENCH FKANC 20 24 DISCOUNT— M J S D 1967 M J S D 1968 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00. M 32 J 1969 S D M J 1970 S D 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per ai Friday figures 24 20 16 12 GERMAN MARK 8 4 + 0 U.S. DOLLAR DISCOUNT 4 I I I I I I I I 11 I I I I I I I I I I 1 I I I I M J 1970 S % 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 cent per annum PREMIUM* SWISS FRANC FRENCH FRANC j DISCOUNT— M J S D M 1967 J S D 1968 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00 20 M J 1969 S D M J 1970 S D V: 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 37.0 35.0 35.0 M S D 1967 * Market c los ed M a r c h 15-April 1, 1968 M J 1968 S D J 1969 S D J 1970 S D CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly averages 14 12 1 f P CAL L E U R ID-DOLI-AR DlE p o s n >p 1 M I 10 7 k Vv yJ s V1Vv1 i/ iA I1 Ai11 ,V 1 i 1io 1P 1iw 1111111111I s j DFRAL FUND Y V 1 1 | / \ V i i T L " - J EURODOILLARC>VER F EDER/ M FUN 1 i 1 1 1 FOREIGN CURRENCIES* Friday figures Per cent per a n n u m 12 FRAN 10 ceA U.ft[. rfj \ 8 J JAIPAN J 4 M J S D M 1967 6 V *1 w 1 J 1968 S D M J 4 2 l 1 S 1969 D M J 1970 ' G e r m a n y , Call Money; U.K., 2-day Local Atnority Deposits; Japan, Unconditional Money; France, Day-to-day Money. 1 l S 0 D I'l CHART 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1 MONTH CALL M J s D 1967 M J 1968 S D J 1969 S D J S D 1970 / \ v CHART 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m 6 MONTH 3-MONTH J S D 1967 M J 1968 s D M J 1969 S D M S 1970 D p Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J s D 1967 M J 1968 S D M J 1969 S D M J 1970 S D ' \H Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT I ' ADJUSTED' 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J S D 1967 * Adjusted for Reserve R e q u i r e m e n t S 1966 D M J 1969 s D S 1970 D LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND E l # ) DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1967 M J 1968 S D J 1969 S D M J 1970 S D (I CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per 14 12 EURO-DOLLAR DEPOSIT 10 8 6 4 LOCAL AUTHORITY DEPOSIT -COVERED j 2 L + 0 + 0 FAVOR LOCAL AUTHORITY 2 f f ] 4 6 8 DIFFERENTIAL J FAVOR EURO DOLLAR S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED I LONDON NEW YORK M J S D 1967 * Plotted for comparison purposes J 1968 S D M J 1969 S D M J 1970 S D X Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 2 + 0 PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT 2 V \ 4 FORWARD RATE 6 8 10 12 2 IN FAVOR OF LONDON + 0 2 4 IN FAVOR OF NEW YORK 6 8 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S 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 Per c e n t per a n n u m IN TERMS OF DM Ms GERMAN INTERBA NK LOAN R A T E / M k 1 / EURODOLLAR r I / COVERED 1 M ! ! 1 ! M 1 M i 1 ! ! ! ! ! ! ! ! 1 I 1 1 1 1 1 i 1 1 ! 1 1 1 DIFFERENTIAL j r i -1 i i j i i 1 i i I i i M J S FAVOR FRANKFURT flMARKET COVEFt D A A -A- - v rS\l i i I i i 1 i i 1 i i M 1967 J S 1968 u y a v\ " D I I M 1 1 1 1 1 1 1 J S 1969 ' I V I I D M , FAVOR EURO-DOLLAR 1 1 1 1 1 1 I I 1 J S 1970 D Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per c e n t 14 IN TERMS OF SWISS FRANCS 12 10 EURODOLLAR COVERED 8 6 4 -SWISS DEPOSIT RATE 2 FAVOR ZURICH DIFFERENTIAL 2 + 0 2 4 6 FAVOR EURO DOLLAR M J S D 1967 M J 1968 s D J 1969 S D M J 1970 S 8 D 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum 10 CAN. FIN. CO. PAPER TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR ! ! I I I I GROSS SPREAD IN FAVOR OF CANADA X FORWARD RATE J I L 1 1 1 1 i GOV ERED IRATE tDIFFER ENTIAILS y L,' /n V" p 1 1 / fREASIURY Bl LLS L, r j F;AVOR CA NADA Vv V \yvv-/ FAVOIR U.S. 1 I1 FA'VOR CAItADA - MV V 1 I M 1 1 \A 1 1 J S 1 1 X V j >RIME FINAN CE PAI n \A r i r \ L 11 D 1967 11 M 1 1 J 1968 I 1 D 1 1 M 1 1 11 11 J 1969 \ S D - 1 1 M 1 1 FAVORt U.S. 1 1 11 1 J 1970 S D , - C h a r t I2A SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m U.K. U.S., GERMANY ; 1 . JAPAN / ; /^\CANADA i xjydWTAj" 1 ^ . M l /: /S \ A j 7 U.S. 1 x V AwcP^ i i 1 1 ! I I ! 1 1 I I 1 1 I I 1 1 1 1 i 11 1 11111 11 I I 1 1 I1I I I 1 I I I I 1 1 11I I 1 1 1 I I I I 1 1966 1967 1968 1969 1970 * 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) 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-month treasury 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-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 U S. CORP. DOLLAR EURO-BONDS U S. CORP. DM EURO-BONDS U S. CORP. Aea BONDS 1966 1967 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 196# 1969 1970 INDUSTRIAL STOCK INDICES 460 400 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 320 U.K. 280 240 CANADA 200 160 380 320 JAPAN 280 240 US. 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 1970 H. 13 No. 437 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Jan., 9 +1.21 Lower German mark U.K. pound Dutch guilder French franc Japanese yen " -0.01 -0.32 Belgian franc IB -0.79 .. „ Italian lira Canadian dollar 2A +0.87 U.K. pound " -0.15 + 1.81 -0.12 M + 1.13 +0.18 German mark 3B - U.S. dollar Swiss franc French franc Gold price, U.S. dollar per ounce Upper Call Euro-$ deposits Federal Funds Middle Lower +0.75 + 1.58 3A 5 +0.58 - 0 . 67 Swiss franc French franc 4 -0.07 +0.65 German mark Dutch guilder Canadian dollar 2B Rate Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money „ „ -0.57 + 1.56 If -0.29 Jan. 9 35.02 Jan. 7 ii ii 10.28 Dec. 26 Jan. 9 Jan. 2 Jan. 9 8.45 +1.85 8.50 9.12 7.94 10.50 IV - 2 Chart Panel 6A Rate Date Series Euro-$ Call Rate Jan. Euro-$ 1-month Rate 6B 7A Upper Lower 7B Upper " ii Euro-$ 6-month Rate it Euro-$ 3-month Deposits 10.50 10.31 Jan. 7 II Differential • 11 + 1.31 Euro-$ 3-month Deposits n 10.31 „ 6.38 Lower Differential: on Adj. Euro-$ Deposits Upper Euro-$ 3-month Deposits on Unadj. Euro-) Deposits 9.00 if Dec. +3.93 12 Hire Purchase Deposits (covered) Differential ii Upper Euro-$ 3-month Deposits ii Local Authority Deposits (covered) ii U.K. Treasury Bi 1 Irate^— Local Authority Deposit (uncovered) 96 Upper Spread (+= favor London) 3-month Forward Pound Lower -2.43 11.25 8.32 Differential U.S. Treasury Bill rate 9A Net Incentive (+= favor London) 11.25 8.82 Lower Lower 10.31 U.S. Certificate of Deposits U.S. Certificate of Deposits (Adj.) 8B 10.62 10.88 Euro-$ 3-month Rate Euro-) 3-month Deposits (Adj.) 8A 9 -2.93 Jan. 9 it 7.86 7.43 Jan. 2 8.75 Jan. 9 -0.43 ii If -0.20 -0.63 VIV-3 Chart Panel Series 10A Upper Euro-S Deposits (covered) 10B Jan. 7 " 9.00 Lower Differential II -0.51 Upper Euro-$ Deposits (covered) Lower Dec. 31 „ Upper Differential Canadian Finance Paper Jan. 9 If 5.00 „ U.S. Prime Finance paper (no^plotted) 9.25 7.86 Canadian Treasury Bill rate Second 8.15 -3.15 U.S. Treasury Bill rate 12A 9.51 German Interbank Loan rate Swiss Deposit rate 11 Rate Date Bill rate differential 7.85 8.13 -0.28 Forward Canadian dollar M -0.17 Third Net incentive on bills M -0.45 Bottom Net incentive on Finance Paper If +0.95 Upper U.K. Treasury Bill rate Jan. 9 U.S. Treasury Bill rate 7.86 German Interbank Loan rate Lower 9.00 Japanese Average rate O c t . 31 Canadian Treasury Bill rate Jan. 9 U.S. Treasury Bill rate 12 B Euro-$ Deposits Swiss 3-month Deposit rate 7.43 7.47 7.58 7.86 " 10.50 Jan. 2 5.00 Jan. 9 7.86 U.S. Treasury Bill rate IV- 4 Chart Panel Series 13 Upper Netherlands Canada Date Dec. 14 5.35 Germany II 7.37 United Kingdom ,, U.S. Corp. Dollar Euro-bonds 9 7.32 7.92 it 7.75 U.S. Corp. Aaa bonds ,r 7. 72 Switzerland United Kingdom Canada 8.80 Jan. Dec. 26 United States Lower 6.76 U.S. Corp. DM Euro-bonds Germany Middle 8.34 „ Euro-dollar bonds Upper 7.90 " Switzerland Lower 19 Jan. 2 United States Middle Rate Japan United States Dec. 26 395.7 Dec. 15 308.4 „ 229.6 Jan. 207.6 9 Dec. 31 231. 3 Dec. 26 403.4 Jan. 207.6 9 V
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