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March 11, 1970 No. 445 IMP Internet MI el Finance Eurepe end British Ceewenweel* Section MAR A V FEDERAL R:' - SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. W E E K L Y SERIES O F C H A R T S 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 j 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 frA 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.-Swltzerland 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, tfiich accompanied issue dated January 1, 1969. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above pai 1.6 SWISS FRANC GERMAN MARK U.K. P O U N D Below par Above par DUTCH GUILDER with U.S. JAPANESE YEN FRENCH FRANC Below pai M S D M 1967 J S D 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 • • • • R e v a l u a t i o n of the DM f r o m 25.00 to 27.32 in U.S. cents. M J 1969 S D M J 1970 S D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 C A N A D I A N DOLLAR ITALIAN :LIRA — BELGIAN FRANC 1.2 Below par S D 1967 D 1968 J 1969 S D M S 1970 D Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages SWISS F R A N C DISCOUNT F Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum I J PREMIUM* DUTCH GUILDER C A N A D I A N DOLLAR I A I FRENCH FRANC 20 24 28 M J s D M 1967 j s D 1968 * Devaluation of the French franc f r o m 4.94 to 5.55 for $1.00. M J 1969 S D M J 1970 s D 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 20 — 1 16 GERMAN MARK U.S. DOLLAR J DISCOUNTM J S D 1967 J 1968 S D M S 1969 D M S 1970 D 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 a n n u m 1 PRE*H U M * - 1 1 1 1 jJ y j I W ' ! 1 , \ n| Y r U 1 V/ i A , I I 1 • 1 \ FRENCH j ! ji - ii M J D i 1 1 1 M 1967 l I J l S D 1968 - ! f I | r | - - - * Devaluation of the French franc f r o m 4.94 to 5.55 for $1.00 \ ; ! DISCOlJNT— 1 l 1 tr l1 | i S JU FRAI N C ! | i i i ! 1 1 - - J - i JU A : ( f; ! i ' " - S W I S S 1 RANC F I M i i J 1969 i i S i D i 1 1 M i J i 11 S 1970 11 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 43.0 35 3 41.0 35.2 39.0 35.1 37.0 35.0 35.0 M S D 1967 * Market c l o s e d M a r c h 15 April 1, 1968 M S 1968 D S 1969 D M J 1970 S D Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 14 $w fi \ i I C A L L E U R O D O L L A R D :- P O S I T R i I FEDERAL FUND : 4 1 < 10 F i s EURO DOLLAR OVER FEDERAL FUNDS I n V I ! ' • ' 12 ' • ! 1 I i 1 i 1 I I 1 I I I I I I I FOREIGN CURRENCIES Friday figures Per cent per annum 12 FRANCE GERMANY M J S D M 1967 J 1968 S D M J S 1969 D M J S 1970 ' G e r m a n y , Call Money; U.K., 2-day Local Athonty Deposits; Japan, Unconditional Money; France, Day-to-day Money. D CHART 6A LONDON: EURO DOLLAR DEPOSIT RATES Per cent Friday figures Per 13 12 11 10 9 8 7 6 5 4 3 I I 1 1 1 1 11 1 1 I I I 1 I 11 i 1 I I I 1 1 1 I I I 1 1 1 I i 1 I I I I 1 I I 1 1 I I I M J S 1967 D M J 1966 S D M J S 1969 D M J S 1970 D i 2 LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per ar 13 12 11 10 9 8 7 6 5 4 3 2 Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - S E C O N D A R Y MARKET Wednesday figures Per cent per 14 13 12 11 EURO DOLLAR DEPOSIT 10 9 8 7 6 U.S. C E R T I F I C A T E OF D E P O S I T 5 4 3 6 5 4 3 1 | EURO DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T , 4 1 ; 1 L. J 2 1 0 1 J 1967 1968 1969 1970 Chart 7B NEW YORK-LONDON: YIELDS ON 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 figures Per cent per annum 1 1 1 1 EUIR 0 - D 0 I LLAR D E P O S I T AUJUAIT Ji 1, \ r K V ELI R O - D C ILLAR DEPOS •IT J 1 | 1 A i | 1 1 / 1 i ^ V u.s. A C E R T I IF I C A T E O F D E P O S I T | ADJUSTED * | 1 I 1 1 1 1 1 1 1 1 1 ! 1 1 1 'i I ! I I 1 1 1 1 M I I I M 1 1 1 1 I | 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 ADJUSTED W i i n M > M J n i i i i fi S D 1967 Vp\l i ii M i i n J 1968 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement S i i i i i i i i i i i i i i i i i i i i i i i i i i D M J S #69 D M J S 1970 D \ / 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 DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1967 J 1968 S D M J 1 H S S D M J 1970 S D + CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L A U T H O R I T Y A N D E U R O - D O L L A R RATES Friday figures Per cent per 14 12 EURO DOLLAR D E P O S I T 10 8 6 4 LOCAL AUTHORITY DEPOSIT \ 2 + 0 + 0 FAVOR LOCAL AUTHORITY 2 4 6 8 DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1967 M S 1968 0 M S 1969 D M J 1970 S 0 \1 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 12 3 - M O N T H T R E A S U R Y B I L L R A TE S U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED I INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Percent per annum Friday figures RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING S P R E A D IN F A V O R O F L O N D O N FORWARD RATE IN F A V O R O F L O N D O N IN F A V O R O F N E W Y O R K RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) 1 i ! 1 M M I 1 I i ; ; M ; ; i m i M I I I I M I I I M J 1970 S D 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 R A T E VS. L O N D O N E U R O - D O L L A R RATE Wednesday r i t e s Per cent per annum IN T E R M S OF D M GERMAN INTERBA NK LOAN R A T E ^ f U V V/f \ / 1 ; ! ! i i 1 i i 1 i i 1 1 1 ! 1 ! 1 1 1 1 1 1 1 1 1 1 1 1 i 1 DIFFERENTIAL i i ! M i i ! J I i i S i -A ^ W . 1967 M J 1968 S D I I i i I i i ! i i FAVOR FRANKFURT M A R K E T COVE#t u v v i D 1 1 1 1 1 i I ! ^J\ / E U R O DOLLAR COVERED | u 1 ! M 1 1 I j 1 1 1 1 1 J 1969 S . V1 D A 1 , M , FAVOR EURO DOLLAR 1 1 1 1 1 1 1 1 ! J 1970 S D Chart 106 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND Z U R I C H D E P O S I T RATE VS. L O N D O N E U R O DOLLAR R A T E Wednesday rates Per cent per annum IN T E R M S OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M J S D 1967 M J S M D 1968 J 1969 \ S D M J 1970 S D Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum 10 V C A N . F I N . C10. P A I » E R ^ :ANAD 1 R E A S I J R Y BLL L S - Y 1 ! i i 1 ! •1 H 1 ! - U N I T E D SITA TE S T R E A S U R IY BILL S ! 1 11 1 ! ! 1 1 1 1 1 1 1 1 1 i i ! 1 = ! . 1 - J BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I I I I I I I GROSS SPREAD IN FAVOR OF C A N A D A N :'V £ FORWARD RATE ' / V 'I I I I 1 COVERED RATE DIFFERENTIALS DISCOUNT FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME F I N A N C E PAPER - A FAVOR U S I I I I I I I Chart 12A SELECTED SHORT-TERM INTEREST RATES Per cent per annum U.K. U.S. GERMANY | [ - : _ ' ^ JAPAN i ! 1 I ! 1 I 1 I M : /a r j k I U V$ \ a 11 : 1 ^ C A N A D A ! | ' ' V / 1 1 1 1 ! 1 I M 1966 1967 I 1 . TILL 1968 1 1 1 1 1 1 1 1 1 1 1 1969 * 3 - m o n t h t r e a s u r y bill rates for all countries except Japan (Average rate, on bank loans and discounts) and Germany (Interbank Loan Rate) 1 1 1 1 1 1 1 1 1 1 1 1970 4 SELECTED SHORT-TERM INTEREST RATES * Per c e n t per a n n u m EURO-DOLLAR - LONDON US. SWITZERLAND 1966 1967 1968 * 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 deposit rate. * * 3 m o n t h rate for U. S. d o l l a r d e p o s i t s in L o n d o n 1969 1970 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per c e n t per a n n u m CANADA _NETHEBLANDS ^ y" kV A ^ . w V/ ^ y UJS. SWITZERLAND ! 1 1 1 1 i 1 1 I I1 I1 1 I I H M 1 1 1 1 1 1! 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1I1 M i i M 11 1 1 I a Z U.K. u A y V s \ v • > - GERMANY EURO DOLLAR BONDS Monthly figures U S . CORP. DOLLAR EU4 BONDS NO - U S. CORP. DM 1 EURO-BONDS U S. CORP. A# a BONDS i 1 1 ! I I 1 1 ! 1 1 1 1 1 1 1 ! 1 1 ! 1! 11 11 1 1 i M ! 1 1 1 M 1 I i i I I 1 1 1 1 1 1 ! 1 M I ! !' 1 1966 1967 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 196# 1969 1970 CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 460 - r A y V v 400 V •J SWITZERLAND / K 360 320 T\, V A_ / 280 GERMANY -I A 240 200 V i i ! ii i ii 1 ii i i 1 i i 1 i i 1 ii 1 1 i II 1 II 1 1 1 I 1 1 • 11 1 160 1 1 1 1 1 1 320 U.K. •a i 280 | 240 CANADA 200 II 1 1 1 1 II 11 II1 1 II 1 II 11 11 11 II 1 II V i II1 /i 1 1 160 i 1 i i 1 i i 380 320 'JAPAN * 280 240 V M i M i M 11 1 1 1 1 M 1 1 II 1 1 1 1 1 11 11 II1 II 1 II 1 II 111 1 1967 1 200 1968 1969 Japan index of 225 industrial and other stocks t r a d e d on the Tokyo exchange 1970 1 H. 13 No. 445 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc German mark U.K. pound Dutch guilder French franc Japanese yen Mar. 6 H H Lower II II „ Rate +1.47 -0.85 +0.29 -0.53 +0.17 +0.66 Belgian franc +0.64 Italian lira Canadian dollar IB IT II -0.82 2A German mark 2B U.K. pound Dutch guilder II +0.77 II +0.10 Swiss franc +1.04 " Canadian dollar French franc -0.59 +0.78 -0.25 -0.60 German mark „ U.S. riollar 3A II +0.34 +0.36 II +1.51 c II -0.21 i Swiss franc 3B French franc Gold price, U.S. dollar per ounce 4 Upper 5 Call Euro-$ deposits Federal Funds Middle Differential Lower Japanese Unconditional Money „ Mar. 4 •1 II 34.99 9.30 8.32 +0.98 German Call Money - ^ 1 Feb. 27 Mar. 4 8.50 9.38 U.K. 2-day Local Authority Deposits French Day-to-day Money Feb. 27 13.00 Mar. 6 9.75 s i 5 IV-2 Chart Panel 6A Rate Date Series Euro-$ Call Rate Mar. 6 8.88 Euro-) 1-month Rate Upper II 9.19 Euro-$ 6-month Rate 7A 9.56 Euro-) 3-month Rate 6B M „ 9.00 Mar. 4 9.19 „ 8.44 Euro-$ 3-month Deposits U.S. Certificate of Deposits Lower Upper Euro-$ 3-month Deposits || Euro-$ 3-month Deposits (Adj.) 7B Differential .. U.S. Certificate of Deposits (Adj.) Lower Upper 10.21 „ on Unadj. Euro-$ Deposits 8A 9.19 II Differential: on Adj. Euro-S Deposits +0.75 Euro-$ 3-month Deposits Hire Purchase Deposits (covered) 7.18 +3.04 +2.01 II J a n . 23 „ 9.69 8.53 Lower II -1.16 Upper Euro-$ 3-month Deposits ii 9.69 Local Authority Deposits (covered) 8B Differential II Differential „ Lower U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) Mar. 6 „ Feb. 27 Mar. 6 3-month Forward Pound Lower 8.15 -1.54 6.80 7.26 9.62 +0.46 -0.46 Net Incentive (+= favor London) || 0.00 IV-3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Date Mar. 4 Rate 8.99 German Interbank Loan rate 9.56 Lower 10B II Differential II +0.57 Upper Euro-$ Deposits (covered) Feb. 25 Swiss Deposit rate Lower 11 Canadian Finance Paper 5.00 Differential Upper II Mar. 6 U.S. Treasury Bill rate II Canadian Treasury Bill rate „ U.S. Prime Finance paper (not plotted) Second 9.12 -4.12 8.50 6.81 7.31 7.93 Bill rate differential If +0.50 Forward Canadian dollar It -0.22 Third Bottom 12A Net incentive on bills Net incentive on Finance Paper Upper U.K. Treasury Bill rate „ „ „ U.S. Treasury Bill rate German Interbank Loan rate Lower „ ,, Japanese Average rate Canadian Treasury Bill rate Euro-$ Deposits Swiss 3-month Deposit rate +0.35 7.26 6.80 9.56 Dec. 26 7.61 Mar. 6 7.31 U.S. Treasury Bill rate 12 B +0.28 6.80 || 9.19 Feb. 27 5.00 Mar. 6 6.80 U.S. Treasury Bill rate IV- 4 Chart Panel Series 13 Upper Netherlands Canada United States Switzerland Germany Middle > United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower Japan Date Rate F e b . 27 8.31 Mar. 4 8.04 „ 6.27 F e b . 26 5.68 Mar. 6 7.59 F e b . 27 8.50 Mar. 6 Jan. 30 7.31 8.14 ii 7.85 Mar. 6 7.93 H Feb. 388.0 27 Mar. 6 II 285.0 199.68 219.4 Feb. 26 232.5 Feb. 27 414.1 United States Mar. 6 199.68