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(t-rrr--'r- J a n u a r y 28, 1970 N o . 439 H-13 T Division of International Finance Europe and British Commonwealth Section ~ SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE F E D E R A L RESERVE SYSTEM 1 ' ^ < 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. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par z w 1.6 SWISS FRANC U.S. GERMAN MARK] U.K. P O U N D , Below par Above par DUTCH GUILDER U.S. JAPANESE YE FRENCH FRANC Below par M S D M 1967 J S D 1968 * Devaluation of the U.K. pound from $2.80 to $2.40. ••Devaluation 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 1969 S D M J 1970 S D V) Chart IB SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN rLIRA — BELGIAN FRA 1.2 i Below par M J S D 1967 M S 1968 D M J 1969 S D M J 1970 S D 5 Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM- GERMAN MARK SWISS FRANC 1 v x U.K. POUND DISCOUNT— 1967 1968 1969 1970 Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum PREMIUM* DUTCH GUILDER C A N A D I A N DOLLAR FRENCH FRANC 20 24 28 DISCOUNTM J S D 1967 M J S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. M j J 1969 S D M J 1970 S D Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM GERMAN MARK w U.S. DOLLAR DISCOUNT — M S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNTM 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 S 1969 D M J 1970 S D Chart 4 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 J S D 1967 * Market closed March 15 April 1,1968 M J 1968 S D M S 1969 D M S 1970 D Chart 5 CALL MONEY RATES D O L L A R FUNDS Weekly averages Per cent per annum 14 CALL EURO D O L I d ^ r FEDERAL F U N D S k V y I I I I I EURO DOLLAR OVER F E D E R A L F U N D S 11 1 I I I I I I I I I I I I I I I l l l 11 M l l I I I 1 I I I M FOREIGN C U R R E N C I E S * Friday figures i ! V FRAN X ri J | I ft U.K t Lf JAI 1J rr A/h, i JV 1 10 • 1 ucnMfln T 11 M J S D M 1967 J S 1968 D M 1 1 \ i J 1969 i i S i D i M J 1970 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. i w LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures / / I vJl r . J J / [ 1 1 V 1-MOI1TH Zj /vL r u V/ Mf" 1 1 M 1 1 1 1 J S \J If vM V 1 1 1 1 1 1 CALL I l 1 1 1 1 i i i i 11 i i 1i i i i D 1967 1968 1969 1970 i i \* LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 6-MONTH 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 annum EURO-DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT, M J S D M 1967 J S 1968 D M J 1969 S D M J S 1970 D w 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 EURO DOLLAR D E P O S I T EURO DOLLAR D E P O S I T U.S. C E R T I F I C A T E OF D E P O S I T 7 EURO DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T I j ADJUSTED M S D 1967 D S 1968 J 1969 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement M i S D M J 1970 S D CHART 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS H I R E PURCHASE A N D EURO D O L L A R RATES Friday figures Per cent per annum E U R O DOLLAR D E P O S I T HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1967 J 1968 S D J 1969 S D M J 1970 S D + CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L AUTHORITY A N D EURO-DOLLAR RATES Friday figures Per cent per annum EURO-DOLLAR D E P O S I T LOCAL A U T H O R I T Y D E P O S I T HI + FAVOR LOCAL AUTHORITY DIFFERENTIAL J FAVOR EURO DOLLAR S D M 1967 S 1968 D M J 1969 S D M J 1970 S D o Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 12 ! I 1 1 3 - M O N T H TREAS D R Y B I L L HI TES J.K. L( ) C A L INCOVE *ED A n Z M 1 1 V v " j S VI V 10 [> ZL M V r / V ^ u / A 1 1 J J \ J M X XV 1 1 V tUTHO RITY I E P O S X/ NEW YORK - 1 1 i D M i 1967 * Plotted for comparison purposes 1 I I ! J 1 S 1968 1 1 D 1 1 M 1 1 1 1 J S 1969 11 D 1 1 M 1 1 1 1 J 1970 1 1 Chart 98 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per ar Friday figures 4 I I I I I ! I I RATE D I F F E R E N T I A L A N D 3 - M O N T H FORWARD S T E R L I N G 2 + 0 DISCOUNT 2 4 FORWARD R A T E 6 8 10 12 2 IN FAVOR OF L O N D O N + 0 2 4 6 8 RATE D I F F E R E N T I A L W I T H FORWARD EXCHANGE COVER (NET I N C E N T I V E ) I i M 1 1 I I I 1 1 1 1 1 I I 1 I 1 I I I 1 1 I I I I 1 I I 1 I i I I I I Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY 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 E U R O - D O L L A R RATE Wednesday rates Per cent per annum IN T E R M S OF D M A GERMAN INTERBA NK LOAN R A T E / ^ j P 1 l i 1 1 1 I I 1 1 1 1 1 1 I I DIFFERENTIAL 1 I I r 1 I I V r ) /EURODOLLAR 1 / COVERED 1 1 1 I I 1 1 1 1 1 1 1 I I 1 I I 1 I I 1 I I FAVOR FRANKFURT M A R K E T COVER , FAVOR EURO-DOLLAR I I I I I I I I Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cent per annum IN T E R M S OF S W I S S FRANCS EURODOLLAR COVERED S W I S S D E P O S I T RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR M S D M 1967 J 1968 S D M S 1969 D M J 1970 S D 2 a\ 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Per cent per annum Friday figures 10 1 - - CAN. FIN. C:o. PAi»ER i FREASIJRY Bl L I S - i \ 7 ft s UN ITED SHATES• TR EASUR!Y BILL S - , 11 1 1 i i M 1 1 i i l I 1 1 1 1 1 1 1 1 1 ! 1 1 1 1 1 I 1 I 1 I- BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I I I I I I GROSS SPREAD IN FAVOR OF C A N A D A " v V-v< DISCOUNT 1 FORWARD RATE I I L_ 1 1 '1 1 I GOV ERED RATE [DIFFER ENTIAILS - J FREASIURY Bl LLS I v n ' L , Is J VI M i V, I i i M \ 1 1 J s r 1 \h D r 1 1 i i I | M 1967 \ v - < FAVOIR U.S. A r\. A V 7 V v & r>RIME FINANiCE PAI / / 1 1 FAVOR CANADA / i J 1968 i rw \ 1 1 D I | M Jt V 1 1 11 J 1969 1 1 FA'VOR CAINADA " V i i S D I | M 1 1 FAVOFI U.S. I 1 1 1 1 1 J 1970 S D Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per 9 8 7 U.K. 6 U.S., 5 4 GERMANY 3 2 T 9 8 JAPAN 7 CANADA I 6 5 U.S. 4 3 2 1966 1967 1968 1969 i o n t h treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate) 1970 23 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LONDON US. 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 CANADA NETHERLANDS SWITZERLAND 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. 1968 1969 1970 2 - * 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 460 r . A / " V 400 360 SWITZERLAND 320 \ 280 r ^GERMANY 240 200 i i i i i i i i i i i I I i 1 1 1 1 1 1 1 1 1 i 1 i i 1 i i 1 i 1 160 i 320 U.K. • A r V p*"' i i 1 i i 1 i i 1 i i zA 280 240 z z ^ i 200 1 1 1 1 1 1 1 1 1 1 1 1 1 1 i 1 1 1 1 1 1 / ^1 160 1 1 1 1 1 1 1 1 1 1 380 - 320 Z JAPAN * 280 240 -x 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1967 1968 i i I i i * Japan index of 225 industrial and other stocks traded on the Tokyo exchange 1 i 1969 i 1 i i 200 1 1 1 1 1 1 1 1 1 1 1 1970 160 H. 13 No. 439 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Series Date Swiss franc Jan. 23 German mark Lower U.K. pound Dutch guilder French franc Japanese yen " 2A 2B -0.42 40.05 " 40.63 II +0.64 " -0.70 " 40.76 German mark II Swiss franc " U.K. pound " " -0.20 " -0.64 3B U.S. dollar Swiss franc French franc II +1.00 " +0.54 " +1.10 " +0.29 Gold price, U.S. dollar per ounce Jan. 23 Upper Call Euro-$ deposits Jan. 21 Middle Federal Funds Differential Japanese Unconditional Money -0.55 +1.44 French franc German mark Lower +0.12 +0.86 Dutch guilder Canadian dollar 3A 4 1.41 -0.65 +0.04 " H Belgian franc Italian lira Canadian dollar IB 5 " ' Rate German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money 34.88 8.98 " 9.30 " -0.32 Jan. 16 Jan. 23 8.25 9.00 Jan. 16 Jan. 23 8.44 10.12 IV - 2 Chart Panel 6A ~--- Date Euro-$ Call Rate 6B 7A Series Upper Jan. 23 ,, Euro-$ 3-month Rate " 9.69 Euro-$ 6-month Rate " 9.69 Euro-$ 3-month Deposits Jan. 21 8.92 +0.70 " Upper Euro-$ 3-month Deposits » 9.62 Euro-$ 3-month Deposits (Adj.) » 10.69 Upper U.S. Certificate of Deposits (Adj.) " 7.18 Differential: on Adj. Euro-) Deposits " +3.51 " +2.44 Euro-$ 3-month Deposits Dec. 19 11.31 Hire Purchase Deposits (covered) " 8.02 Lower Differential " -3.29 Upper Euro-$ 3-month Deposits » 11.31 Local Authority Deposits (covered) " 8.91 Differential " -2.40 Lower 9A U.S. Treasury Bill rate U.K. Treasury Bill rate 96 9.62 " Differential on Unadj. Euro-$ Deposits 86 9.31 Lower Lower 8A 9.12 Euro-S 1-month Rate U.S. Certificate of Deposits 76 Rate Upper Lower Jan. 23 " 7.88 7.37 Local Authority Deposit (uncovered) Jan. 16 8.69 Spread (+= favor London) Jan. 23 -0.43 3-month Forward Pound " -0.57 Net Incentive (+= favor London) " -1.00 iv: 3 Chart Panel Series Date Rate 10A Upper Euro-$ Deposits (covered) Jan., 21 9.60 German Interbank Loan rate " 9.00 Lower Differential " - 0 . 60 Euro-$ Deposits (covered) " 8.86 10B Upper Swiss Deposit rate Lower 11 Upper Second 5.00 Differential Canadian Finance Paper -3.86 Jan. 23 " 7.80 Canadian Treasury Bill rate " 7.53 U.S. Prime Finance paper (not plotted) 8.13 Bill rate differential 0.27 Forward Canadian dollar 12A 8.88 U.S. Treasury Bill rate " -0.26 Third Net incentive on bills " +0.49 Bottom Net incentive on Finance Paper " -0.53 Upper U.K. Treasury Bill rate " 7.37 U.S. Treasury Bill rate " 7.88 " 9.00 German Interbank Loan rate Lower 12 B Japanese Average rate O c t . 31 Canadian Treasury Bill rate Jan. 23 7.47 7.53 U.S. Treasury Bill rate " 7.88 Euro-$ Deposits " 9.69 Swiss 3-month Deposit rate " 5.00 U.S. Treasury Bill rate " 7.88 IV- 4 Chart Panel Series Date 13 Upper Netherlands Dec. 19 7.90 Canada Jan. 23 8.34 United States Switzerland Middle Lower - 14 Upper Rate 6.71 " Jan. 9 5.31 Germany Jan. 23 7.46 United Kingdom Jan. 16 8.91 Euro-dollar bonds Jan. 23 7.30 U.S. Corp. Dollar Euro-bonds Dec. 26 7.92 U.S. Corp. DM Euro-bonds " 7.75 U.S. Corp. Aaa bonds " 7. 72 Switzerland Jan. 22 390.3 Germany Jan. 15 295.0 United States Jan. 23 200.57 231.1 Middle United Kingdom Canada Jan. 15 235.4 Lower Japan Jan. 23 404.3 United States " " 200.57
@FedFRASER