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March 18, 1970 No. 446 H-13 Division of International Finance Europe orwi British Commonwealth Section A SELECTEDI^ITEREST & 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-$ 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. SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par 1.6 SWISS FRANC 1 .8 j U.S. GERMAN MARK U.K. POUND Below par Above par DUTCH GUILDER with U.S. JAPANESE YEN 1967 FRENCH FRANC j 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 rata net supported by the Bundesbank e4W * R c 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. 1969 1970 SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA — U.S. BELGIAN FRANC 1.2 Below par M J S D M 1967 J 1968 S D M J 1969 S D M J 1970 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m GERMAN MARK j SWISS FRANC DISCOUNT w C h a r t 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM* i DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC ./^ 20 S D 1967 s M D 1968 * Devaluation of the French franc f r o m 4 . 9 4 to 5 55 for $1.00. J 1969 S D M S 1970 D C h a r t 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per c e n t per a n n u m 24 PREMIUM* 20 GERMAN MARK U.S. DOLLAR i DISCOUNTM J S D 1967 S 1968 D i M S 1969 D M J 1970 S D Chart 38 3-MONTH FORWARD EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M J 1 D 1M7 # J S D 1968 Devaluation of the French franc from 4.94 to 5.55 for $1.00 20 M J 1M9 S D M J 1970 S 0 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 J S D 1967 * Market c l o s e d M a r c h 15-April 1, 1968 M J 1968 S D M J 1969 S D M 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 FEDERAL FUNDS ! 1 1 \A r / i L i i 1 i i i i i l I M L r i; % V I i\A/N EURO DOLLAR OVER F , I - h J ii FOREIGN CURRENCIES* Friday figures Per cent per a n n u m FRANCE M J S 1967 D M J 1968 S D M J S 1969 D M J S 1970 ' G e r m a n y , Cell Money; U K , 2 day Local Athonty Deposits, Japan, Unconditional Money; France, Day to day Money. D LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per c e n t per ar 13 12 11 10 9 8 7 6 5 4 3 2 \> CHART 6 8 LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m 6-MONTH 3-MONTH s D 1967 D 1968 S 1969 D M 1970 Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J S D M 1967 J S 1968 D M J S 1969 D M J S 1970 D \V\ Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday figures I i J : 1 I 13 USTI | _ 1 . ' ; i 14 ' 1 1 EU RO-DOLLAR DEP OS IT | ;j ! | | | : i r j 12 \i 1 1 V ; ! 11 10 j\ EURO-DC1LLAR DEPOSwij 1 i , . j 9 ! I j 1 ; J . — /J r / I p ! ! U.S. CERTIIFICATE OF DEPOSI | ADJUSTE j 1 1 7 ! 6 5 4 I i 1 1 1 1 1 1 1 1 1 1 i 1 1 1 1 1 1 1 1 1 M 1 ! i 1 i 1 ! 1 I I i I I i I i #* \ S.| EURO DOLLA R OVE R U.S. CERTIFICATE OF 1DEPOS ADJUST 1 6 5 W i \ ,/ % i , M > > Vr V \ ^ 1 i J S D M 1H7 / K y \ 3 W 2 1 + 0 [ 1 1 1968 # Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement 4 i V J 3 ' I ifM/ i 7 ! S D 1 1 M 1 i J i i S IMS i 1 D i 1 M i i J i i S 1970 i i i D CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m EURO DOLLAR DEPOSIT. , HIRE PURCHASE ! COVERED r 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 D + 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 a n n u m EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT 1 COVERED 1 1 FAVOR LOCAL AUTHORITY DIFFERENTIAL FAVOR EURO DOLLAR S D 1967 S 1968 D M S 1969 D S 1970 D + 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 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 S 1968 D M J 1969 S D M J S 1970 D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM -1—SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE i l — l T 2 IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) It M J s D 1967 M J 1968 S D M J 1969 S D M J 1970 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 I A!. j / JV- j v 1 A / j J " GERMAN m / INTERBANK LOAN R A T E / < i r 1 I /EURODOLLAR r | / ! ! 1 i 1 ! ! 1 I ! j L A R K E T COVERi , J M uv ! DIFFERENTIAL M ! COVERED S D M 1967 J 1968 S D M , 1 , J , 1 I S 1969 , 1 \ D i I I 1 I I ! 1 1 FAVOR FRANKFURT ^ , M 1^T^RO-DOLLAR J S 1970 D 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 EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S 0 2 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA i Per c e n t per a n n u m Friday figures V CAN. FIN. C;o. PAI» E R . - < 11 IAN JRY BLLIS 1 \ & LA 1 - i UNIITED SiTATES TR EASUR Y BILL S A / - , : rM 10 1 J : I i , ! ! 1 ! 1 ! ! 1 1 1 1 1 1 I 1 1 i i i I BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I ! I I I I I GROSS SPREAD IN FAVOR OF CANADA PREMIUM — 4 H J — £ r4 VFOFWARD RATE I I L i i i i n COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS F M K ? ~~l 1 FAVOR CANADA \ PRIME FINANCE PAI V a M A v ^ y FAVOR U . I . I I M J I I 11 1 I I M S J D 1967 1968 1969 S D J 1970 I I I S 0 'P Chart 12A SELECTED SHORT-TERM INTEREST RATES Per cent per a n n u m U.K. U.S., GERMANY T JAPAN CANADA U.S. 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 r 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 US. SWITZERLAND 1966 1967 # 1966 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 - m o n t h rate for U. S. dollar d e p o s i t s in L o n d o n . # 1969 1970 LONG-TERM BONO YIELDS Weekly f i g u r e s Per c e n t per a n n u m CANADA NETHERLANDS U.S. SWITZERLAND 10 U.K. GERMANY EURO-DOLLAR BONDS Monthly figures U S. CORP. DOLLAR 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. 196# 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES 1 460 - 400 J 360 SWITZERLAND - 320 280 GERMANY - US. 240 -! 2 0 0 160 320 U.K. 280 1 240 CANADA J iw/ 200 160 I 380 320 JAPAN 280 240 U.S. 200 160 1967 1968 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange 1970 H. 13 IV. No. 466 Chart Panel 1A Upper L A T E S T FIGURES P L O T T E D ON THE CHARTS ; . Date Series Swiss franc March 13 , +1.44 j -0,46 | German mark U.K. pound Lower | Rate Dutch guilder !' ; +0.2J -0^38 French franc " + 0 . 17 .. ^ 1 Japanese yen - " . . J . Belgian franc IB Italian lira . Canadian dollar 2A 2B + 0. 7 b German mark j J ^ -O.o2 " . -0.32 . +0.95 j f Swiss franc f U.K. pound -0.46 Dutch guilder +0.38 i -P. n : , 1 : Canadian dollar _ " . French franc -0.73 German mark 3A o U.S. dollar , + 0 . 3 6 Swiss franc 3B + 1. 14 French franc -0.25. Gold price U.S. dollar per ounce 4 5 Upper 34.98 Call Euro-S deposits . 8.78 Federal Funds Middle Lower 7,71 Differential + Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money March r 6 _8,_50_. March 13 .9.62. March 6 i March 1 3 . . . . -J 1..Q7 8 . 6 9 _ & ^ 8 _ j IV- 2 Chart Panel 6A Series Euro-S Call Rate Euro-S 1-month Rate 6E Euro-S 3-month Rate Euro-S 6-month Rate 7.4 Upper Rate Date Euro-S 3-month Deposits March 13 8.50 March 13 9.25 March 13 8 . 83 March 13 8. :=1 March 11 X 8r 1 1 U.S. Ce tificate of Deposits 7B Lower Differential Upper Euro-S 3-inunth Deposits ! Euro-S 3-month Deposits (Adj.) 9.67 U.S. Certificate of Deposits (Adj.) Lower +0.50. 7. l b Differentia!- on Adj. Euro-S Deposits +2.W on Unadj. Euro-S Deposits 8A Upper Euro-S 3-month Deposits Jan. 23 ( Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-S 3-month Deposits - 1 . lb 9.69 Local Authority Deposits (covered) Lower 9A 3.15 Differential U.S. Treasury Bill rate -1.54 March 13 6.70 U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+- favor London) 3-month Forward Pound Lower 9.69 8.53 7.21 March 6 j i 9. 13 March 13 +0.51 M a r c h 13 - 0 . 44 M a r c h 13 +0.07 Net Incentive (+= favor London) ¥> IV - 3 Chart Panel Series 10A Upper Euro-S Deposits (covered) „ March 11 German Interbank Loan rate 10B Lower Differential Upper Euro-$ Deposits (covered) Lower Upper 11 Marcn ,, Differential !1 1 U. 70 Bill rate differential ,, Forward Canadian dollar „ „ i 12A Net incentive on bills Bottom 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 U.S. Treasury Bill rate 126 Euro-S Deposits Swiss 3-month Deposit rate 5.00 -3.22 „ ,, Third 8.22 6.50 U.S. Prime Finance paper (not plotted) 1 4 March 13 Canadian Treasury Bill rate Second + 0 . 35 Swiss Deposit rate Canadian Finance Paper 9.21 9.56 ,, U.S. Treasury Bill rate i Rate Date 7.22 7.88 4-0. 52 ii -0.13 +0.39 M +0.49 ir 6.70 7.21 „ Dec. 9.56 26 7. 61 „ 6.70 II 8.88 March 13 7.22 6 5.00 M a r c h 13 6. 7 0 March U.S. Treasury Bill rate | IV - 4 Series 13 Upper Netherlands United States Switzerland Middle Germany 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 Rate March 6 8.28 March 13 8.05 March 11 6.46 March 6 5.67 March 13 7.67 Feb. CO Canada Date 27 March 13 7. 34 Jan. 8.14 30 „ Feb. 7. 85 27 7.63 March 13 March 384.S 6 , March 13 ^ I r o Panel 1 Chart 196.40 March 13 222.9 March 5 234.JL _ March 6 424.3 March 13 196.4 United States |
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