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• n ^ T F c X T January 7, 1970 No. 436 H-13 Division of International Finance Europe and British Commonwealth Section LISP..*.'.'.' JAI- 12 /0 OF RICHMOND SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS . 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 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. 3 Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par 1.6 SWISS FRANC U.S. GERMAN MARK! U.K. P O U N D Below par Above par DUTCH GUILDER U.S. JAPANESE YEN i FRENCH FRANC | Below par M J S 0 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 S 1970 D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par BELGIAN FRANC Below pa 1967 1968 1969 1970 <r Chart 2A . 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages J>er cent per annum GERMAN MARK j SWISS F R A N C U.K. POUND ! ! DISCOUNTS 1967 1968 D 1969 M J 1970 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cerit per annum Weekly averages ! PREMIUM* DUTCH GUILDER A/ C A N A D I A N DOLLAR ! ft FRENCH FRANC 1 20 24 28 DISCOUNTM J S D M 1967 J S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. M , 32 J 1969 S D M J 1970 S D n 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 G E R M A N MARK U.S. DOLLAR M J S D M 1967 J 1968 S D J 1969 S D S 1970 Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT20 M J S D M 1967 J S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 M J 1969 S 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 I 47.0 45.0 43.0 35.3 41.0 35.2 39.0 35.1 37.0 35.0 M J 35.0 S D 1967 J 1968 S D M J S J 1969 1970 * Market closed March 15-April 1, 1968 ( S D Chart 5 CALL MONEY RATES D O L L A R FUNDS Weekly averages Per cent per annum 14 CALL DEPOSITS FEDERAL F U N D S V y i IT1, y\A \. . 1 J i Vii/ EU RO DO LLAR OVER F: EDERJ* L F u r i 1 1 I 1! 1 M i l 1 ! I1 I I r' i 1 i i 1 I I 1 1 _L_L FOREIGN C U R R E N C I E S * Friday figures Per cent per annum 12 FRANCE I I M 1 1 I.I J 1 I I I 1 1 I ' S D I I M 1967 I J I I I S 1968 I I I I I D I I 1 I M J I 1 I I I S 1969 I I 1 I D I M 1 I I J I S 1970 'Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day to day Money. I I 1 M D I 0 n LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1-MONTH S D M 1967 J 1968 --- r / s D J 1969 S D M J 1970 S D w LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures 1969 \2> Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent-per 14 13 12 11 EURO-DOLLAR DEPOSIT 10 9 8 7 W f i i 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 196o S 1969 D M J 1970 S D Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per annum 12 11 EURO-DOLLAR DEPOSIT f U . S . CERTIFICATE OF DEPOSIT 7 T ~ EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT l I ! !V I I ADJUSTED* I ! M J S D M 1967 * Adjusted for Reserve Requirement J 1968 S D M J 1969 S D M J 1970 S D CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS H I R E PURCHASE A N D EURO-DOLLAR RATES Friday figures Per cent per annum EURO-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 S 1969 S 1970 D + CHART 88 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L AUTHORITY A N D E U R O - D O L L A R 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 + FAVOR LOCAL AUTHORITY FAVOR EURO-DOLLAR DIFFERENTIAL M S D M 1967 J 1968 S D M J 1969 S D M S J 1970 , D n INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 3 - M O N T H TREASURY B I L L RATES U.K. LOCAL AUTHORITY UNCOVERED DEPOSITS I LONDON NEW YORK M J S D 1967 * Plotted for comparison purposes S M 1968 D M s 1969 D M 1970 \« Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUMJ -i—SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE T 2 IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) s D M 1967 J 1968 s D J 1969 S D M J 1970 S D It . Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM ' ! • GERMAN W INTERBANK LOAN R A T E f < _ 1 T N \ | . j \ / EURO DOLLAR V\ j r \ j COVERED j II i ! i ii 1 i i 1 r i, t i i FAVOR FRANKFURT DIFFERENTIAL [MARKET COVER FAVOR EURO-DOLLAR M J S D 1967 M J 1968 S D M S 1969 D M S 1970 Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND Z U R I C H DEPOSIT RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cent per 14 IN T E R M S OF SWISS FRANCS 12 10 EURO-DOLLAR 8 6 4 SWISS DEPOSIT RATE # 2 FAVOR ZURICH DIFFERENTIAL 2 + 0 2 4 6 FAVOR EURO DOLLAR M J S D 1967 J 1968 S , S D 1969 D S 1970 D. 8 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures /T Per cent per annum . CAN. FIN. CO. PAPER TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM GROSS SPREAD IN FAVOR OF CANADA / I FORWARD RATE COVERED RATE DIFFERENTIALS DISCOUNT FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per 9 8 $ 7 U.K. 6 U.S., 5 4 GERMANY 3 I 2 9 8 JAPAN 7 ^ v CANADA 6 5 U.S. 4 3 2 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 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per 14 13 12 EURO-DOLLAR - LONDON 11 10 9 8 7 U.S. 6 SWITZERLAND 5 4 3 2 1 0 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 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. 1968 1969 1970 *)£ CHART 14 INDUSTRIAL STOCK INDICES 460 400 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 320 I U.K. 280 240 CANADA 200 160 380 320 < JAPAN 280 240 U.S. 200 160 1967 1968 1969 * Japan index of 225 industrial and other stocks t r a d e d on the Tokyo exchange 1970 H. 13 No. 436 IV. LATEST FIGURES PLOTTED ON THE CHARTS Rate Chart Panel Series Date 1A Upper Swiss franc J a n ., 2 Lower -0.78 U.K. pound +0.01 Dutch guilder -0.23 French franc -0.14 Japanese yen +0.63 +0.62 Belgian franc IB Italian lira -0.42 Canadian dollar 2A 2B +1.20 German mark +0.71 German mark +1.10 Swiss franc + 1.98 U.K. pound -0.44 Dutch guilder +1.67 Canadian dollar 0 French franc -0.57 3A German mark U.S. dollar- +0.27 3B Swiss franc +2.08 + 1.13 French franc Gold price, U.S. dollar per ounce 4 5 Upper Call Euro-$ deposits it - -0.36 Jan. 2 35.17 Dec. 31 10.16 Federal Funds - Middle Differential Lower Japanese Unconditional Money 8.71 + 1.45 Dec. 26 Jan. 2 " German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money 8.50 9.00 7.94: 11.00 IV-2 Chart Panel 6A 6B 7A 7B Upper Series Date Euro-$ Call Rate Jan. 2 M 10.56 Euro-$ 3-month Rate If 10.25 Euro-S 6-month Rate II 10.18 Dec. 31 10.00 Euro-$ 3-month Deposits U.S. Certificate of Deposits .. Lower Differential ii + 1.05 Upper Euro-$ 3-month Deposits ii 10.00 U.S. Certificate of Deposits (Adj.) on Unadj. Euro-S Deposits Upper „ J Euro-$ 3,-month Deposits Lower Differential Upper Euro-S 3-month Deposits Dec. 31 +1.05 11.25 8.82 -2.43 11.25 Local Authority Deposits (covered) U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) Spread (+= favor London) 3-month Forward Pound Lower 8.32 Differential Lower Upper 6.38 Dec. 12 Hire Purchase Deposits (covered) 9B 8.95 Differential: on Adj. Euro-$ Deposits Lower 8B 10.00 Euro-$ 1-month Rate Euro-$ 3-month Deposits (Adj.) 8A Rate Net Incentive (+= favor London) -2.93 Jan. 2 7.93 7.43 8.75 -0.50 -0.31 -0.81 9-% IV-3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Rate Date Dec. 8 . 92 31 German Interbank Loan rate 10B Lower Differential Upper Euro-$ Deposits (covered) 9.00 +0.08 8.15 Swiss Deposit rate Lower 11 Upper 5.00 Differential Canadian Finance Paper -3.15 ~ Dec. 31 U.S. Treasury Bill rate 7.51 U.S. Prime Finance paper (not plotted) 7.90 • Bill rate differential -0.41 Forward Canadian dollar 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate -0.04 -0.45 + 1.39 Jan. 2 U.S. Treasury B i l l rate Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate 12B / Euro-S Deposits Swiss 3-month Deposit rate 7.43 7.93 German Interbank Loan rate Lower 9.25 7.98 Canadian Treasury Bill rate Second I 9.00 Oct. 31 . 7.47 Dec. 31 7.51 Jan. 2 7.93 „ 1 0 . 25 If 5.00 If 7.93 U.S. Treasury Bill rate IV - 4 Chart Panel Series 13 Upper Netherlands Date Dec,. 26 N. A. Dec,. 31 8.34 United States .. 6.76 Switzerland If Canada Germany Middle ' United Kingdom t Euro-dollar bonds U.S. Corp. Dollar Euro-bonds Lower U.S. Corp. Aaa bonds Switzerland Upper Germany United States United Kingdom Middle Canada Japan Lower United States ^Figures f o r middle of month. 5.35 Jan. 2 N. A. Dec. 26 8.94 Jan. 2 Dec. 31 . U.S. Corp. DM Euro-bonds 14 Rate 7.32 *7.92 .. * 7 . 75 „ • 7.72 Dec. 24 395.7 Dec. 23 N. A. Jan. 2 „ ' 206.0 231.0 Dec. 24 229.4 Dec. 26 403.4 Jan. 2 206.0
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