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OkMi, /> > January 21, 1970 No. 438 H-13 Division of Intemotionol Finance Europe and British Commonwealth Section fYUVdlut SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM [. / 2 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-S 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. * S t a r t i n g w i t h t h i s i s s u e a s e p a r a t e c u r v e i s p l o t t e d o n C h a r t 7B, i n d i c a t i n g t h e c o s t t o U.S. banks of E u r o - d o l l a r borrowings from t h e i r f o r e i g n branches i n e x c e s s of t h e b a s e amount. S u c h b o r r o w i n g s a r e s u b j e c t t o a 10 p e r c e n t marginal reserve requirement. A s e p a r a t e c u r v e on t h e d i f f e r e n t i a l p a n e l o f the chart i s also plotted. The m a r g i n a l r e s e r v e r e q u i r e m e n t s a f f e c t e d c o s t s of E u r o - d o l l a r borrowings from September 10, 1969. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC GERMAN MARK! U.K. POUND Below par Above par DUTCH GUILDER U.S. JAPANESE YEN FRENCH FRANC Below par M J S D M 1967 S 1968 * Devaluation of the U.K. pound from $2.80 to $2.40. " D e v a l u a t i o n of the French franc from 4.94 to 5.55 for $1.00. * * * DM rate not supported by the Bundesbank • • • • ^ e v a l u a t i o n of the DM f r o m 2 5 . 0 0 to 27.32 in U.S. c e n t s . S 1969 D 1970 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above pai 1.2 CANADIAN DOLLAR ' r - Y v i v M A ITALIAN v N \LIRA BELGIAN FRANC 1.2 Below par S S 1967 1968 1969 1970 D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM GERMAN MARK SWISS FRANC U.K. POUND s 1967 s 1968 D 1969 M S 1970 D Cl 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m DUTCH GUILDER CANADIAN DOLLAR 1 S\ FRENCH FRANC DISCOUNT — J S D 1967 J S D 1968 * D e v a l u a t i o n of the French franc f r o m 4.94 to 5.55 for $1.00. M S 1969 D M S 1970 1 3-MONTH FORWARD 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 24 PREMIUM* 20 GERMAN MARK U.S. DOLLAR M J S D M 1967 J 1968 S D S 1969 1970 8 C h a r t 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per c e n t per a n n u m swiss FRANC! 7 — FRENCH FRANC DISCOUNTM J S D 1967 S D 1968 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00 D 1969 J 1970 S D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average 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 47.0 45.0 35.3 41.0 35.2 39.0 35.1 37.0 35.0 L J 35.0 s D 1967 * Market c los ed M a r c h 15 April 1, 1968 S 1968 D J 1969 S J 1970 s D Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly a v e r a g e s Per cent per a n n u m 14 12 1 1 D lE P O S I T C A L L E U R O DOLL- A R ! 1 , slf * 10 V V T | J- i 1 j A A X J 1 1 1 1 FUND S FE DFRAI v y I j — — — I J V i ( i i v v nV 1 i FOREIGN CURRENCIES Friday figures ; / I a a A A . 1 i V / ! EURO DOLLAR OVER FEDER/IL FUNDS i i 1 i i i 1 i i 1 i i 1 i i 1 ; 1 i i M 1 i i i i i i # | Per cent per a n n u m | T 1 ! ! i j \ v i FRANCE A ! / U K L 7 \y f JAP•AN 1 J 1 I M I J I I S I D I I I M 1967 # I J I 11 S 1968 U V I I I D I M L I J I S 1969 I D I M I I I J I I S 1970 Germany, Call M o n e y ; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to day Money. I D I w LONDON: EURO DOLLAR DEPOSIT RATES Per c e n t per a n n u m Friday figures | :! ; ! 1 i | i i 1 ! ; 1 r i j— i 1 ! ! i 1 ! ! i 1 1 1 r : : ! ! : lit ! 1 /. ! i ; 1 / 1 \±i 1 1 in" _ i k l | N ' -- L_ . i ! | ! 1 !• - i - ! 1 1-MONTH i \ n* ! I 1 ! y u N Vv j ^ 1 i \ J ! j ; CALL ! • l T 1 1 M 1 I i J i 11 S ! 1 D I 1 M 1967 i | I I i J 1968 ! M S , M 1 D M J 1969 i S l l 1 D 1 M 1 1 J 1970 I 1 1 S 1 D LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a n n u m Friday figures I I M I J I S I I I D I I I M 1967 I I I J S 1968 1 I D I I I M I 1 I I I J I I S 1969 I I D I I I M I I J I I S 1970 I 1 D Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT T 6 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT, M J s D 1967 M S 1968 D M S 1969 D J 1970 S D Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR Wednesday figures DEPOSIT R A T E S - P R I M A R Y MARKET Per cent per a n n u m EURO-DOLLAR DEPOSIT i f ADJUSTED EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E | OF DEPOSIT ADJUSTED' 7 EURO DOLLAR OVER I M U.S. C E R T I F I C A T E OF D E P O S I T ADJUSTED D 1967 M S 1968 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement D M J 1969 S D M J 1970 S D CHART 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND Friday figures EURO DOLLAR RATES Per cent per a n n u m EURO DOLLAR DEPOSIT HIRE PURCHASE ! FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1967 J 1968 S D M J 1969 S D M J 1970 S 0 + CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 2 + 0 + FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL M J 10 FAVOR EURO DOLLAR S D 1967 M J 1968 S D S 1969 D M J 1970 S D \1 C h a r t 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n u m 3-MONTH TREASURY BILL RATES U.K. LOCAL UNCOVERED AUTHORITY I DEPOSITS I 4-LONDON—f NEW M J S D 1967 * P l o t t e d for c o m p a r i s o n purposes M J 1968 S D YORK M S 1969 D J 1970 S D Chart 9B 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 V \ FORWARD RATE T T 2 T IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J s D 1967 J 1968 S D J 1969 S D 12 M J 1970 S D n 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 GERMAN i INTERBANK LOAN RATE N EURO-DOLLAR COVERED FAVOR FRANKFURT DIFFERENTIAL MARKET COVER FAVOR EURO DOLLAR J S S D 1967 1968 s D 1969 s D 1970 D r C h a r t 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per c e n t per a n n u m IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR S D 1967 S 1968 S D 1969 D M S 1970 D 2 Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per c e n t per CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS T BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM GROSS SPREAD IN FAVOR OF CANADA V FORWARD RATE r DISCOUNT T ~f n FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR CANADA PRIME FINANCE PAPER FAVOR U.S. M J S D M 1967 J 1968 D J 1969 S D S 1970 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m GERMANY 9 JAPAN CANADA U.S. 1966 1967 1968 1969 * 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 e x c e p t 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) 1970 Chart 12B SELECTED SHORT-TERM INTEREST RATES # Per cent per annum 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 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 8 CANADA NETHERLANDS 6 U.S. SWITZERLAND 4 10 U.K. 8 GERMANY EURO-DOLLAR BONDS 6 Monthly figures 8 U S. CORP. DOLLAR EURO-BONDS 6 U.S. CORP. DM EURO-BONDS U S. CORP. Aaa BONDS 4 1966 1967 *ew series for Switzerland starts 3-3-67. New series for Switzerland starts 8-2-68. 1968 1969 1970 1958=100 INDUSTRIAL STOCK INDICES Ratio scale SWITZERLAND 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 H. 13 No. 438 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc J a n . , 16 Lower " -0.78 U.K. pound " -0.02 ir - 0 . 06 Dutch guilder -0.30 Japanese yen H +0.65 Belgian franc +0.58 Italian lira -0.71 Canadian dollar 2A +0.73 German mark +0.47 Swiss franc 2B +1.35 German mark French franc IB Rate +0.98 U.K. pound " -0.34 Dutch guilder H + 1.58 Canadian dollar " - 0 . 13 French franc -0.57 3A German mark " +0.79 U.S. dollar " +0.09 Swiss franc 36 French franc Gold price, U.S. dollar per ounce 4 5 Upper Middle Lower Call Euro-$ deposits + 1.35 ii -0.29 Jan. 16 34.85 Jan. 14 9.98 Federal Funds " 8.96 Differential " + 1.02 Japanese Unconditional Money Jan. 9 German Call Money Jan. 16 9.25 U.K. 2-day Local Authority Deposits Jan. 9 8.25 Jan. 16 10.38 French Day-to-day Money 8.25 IV- 2 Chart Panel 6A Euro-$ Call Rate 6B Rate Date Series Jan. 16 10.50 Euro-$ 3-month Rate 10.19 Euro-$ 6-month Rate 7A 10.12 Upper Euro-$ 3-month Deposits Lower Differential + 1.29 Upper Euro-S 3-month Deposits 10.12 Jan. 14 U.S. Certificate of Deposits 7B 11.24 U.S. Certificate of Deposits (Adj.) Lower Differential: on Adj. Euro-$ Deposits Upper Euro-$ 3-month Deposits 6.38 +4.86 on Unadj. Euro-$ Deposits +3.74 Dec. 19 Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-$ 3-month Deposits -3.29 11.31 8.91 Differential U.S. Treasury Bill rate 9A -2.40 Jan. 16 7.73 Local Authority Deposit (uncovered) Jan. 9 8.72 Spread (+= favor London) U.K. Treasury Bill rate 9B Upper Lower 11.31 8.02 Local Authority Deposits (covered) Lower 10.12 8.83 Euro-$ 3-month Deposits (Adj.) 8A 9.25 Euro-$ 1-month Rate 7.40 Jan. 16 -0.33 3-month Forward Pound » -0.40 Net Incentive (+= favor London) „ -0.73 IV-3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Date Jan. German Interbank Loan rate Lower 10B Upper Rate 14 ff 9.00 Differential . £uro-$ Deposits (covered) -0.76 Dec. 31 Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper -3.15 Jan. 16 a Canadian Treasury Bill rate If 7.55 " 8.13 Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate 7. 75 „ Bill rate differential Third -0.18 it -0.17 -0.35 -0.95 Jan. 16 U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 12B 9.25 U.S. Treasury Bill rate Forward Canadian dollar 12A 8.15 5.00 U.S. Prime Finance paper (not plotted) Second 10. 12 7.73 7.40 ,r 9.00 Oct. 31 7.47 Jan. 16 7.55 U.S. Treasury Bill rate ff 7.40 Euro-S Deposits ff 10. 12 Swiss 3-month Deposit rate Jan. 2 5.00 Jan. 16 7.40 U.S. Treasury Bill rate IV - 4 Chart Panel Series 13 Upper Netherlands Date Rate 19 7.90 Jan. 16 8.39 Dec. Canada „ United States Switzerland Middle Jan. Germany „ Jan. United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower Japan 5.35 7.40 8.92 Jan. 16 7.58 26 7. 92 „ I 2 9 Dec. U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 6. 69 7. 75 11 7. 72 Jan. 16 396.0 Jan. 7 304.6 Jan. 16 204.8 „ 236.4 Jan. 8 232.2 Dec. 26 403.4 Jan. 16 204.8 United States
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