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March 4, 1970 No. 444 H-13 j j y . ; Division of Intemotionol Finance Europe and British Common wealth Seclie/^- ' LBBRAIW |i d z r ppnMahW f SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. 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 1ZA 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. C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par SWISS FRANC with ' US ' dollar % , GERMAN MARK : U.K. POUND Below par Above par , DUTCH GUILDER with , f U S JAPANESE YEN FRENCH FRANC Below par 1968 1967 * Devaluation of the U.K. pound f r o m $2.80 to $ 2 . 4 0 . " D e v a l u a t i o n of t h e F r e n c h f r a n c f r o m 4.94 to 5.55 for $1.00. * * * DM rate not supported by the Bundesbank Digitized *for * # * FRASER Revaluation of t h e DM f r o m 2 5 . 0 0 to 27.32 in U.S. c e n t s . 1969 1970 Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN POLLAR ITALIAN I (LIRA — v BELGIAN FRANC 1.2 Below par M J S D 1967 M J 1968 S D M J 1969 S D J 1970 S D Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m s\ SWISS FRANC U.K. ROUND DISCOUNT- Chart 2 8 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLA Per c e n t per ai Weekly averages 8 4 + 0 CANADIAN DOLLAR 4 8 FRENCH FRANC 12 16 20 24 21 DISCOUNT I I I IJ J 1967 s 1968 Devaluation of the French f r a n c f r o m 4 . 9 4 t o 5.55 for $1.00. 32 1 MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND 1Per jay figures c e n t per a n n u m 24 PREMIUM 20 GERMAN MARK U.S. DOLLAR DISCOUNT — 1967 1968 1969 1970 3-MONTH FORWARD EXCHANGE RATES MAJOR CURRENCIES AlGAINST U.K. POUND H i d e y figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC 12 DISCOUNT— M J S D 1067 M J S D 196# * Devaluation of the French franc from 4.94 to 5.55 for $1.00 M J 1969 S D M J 1970 s D q . . 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 i : ; Market c l o s e d M a r c h 15-April 1, 1968 U S d o l l a r e q u i v a l e n t per fine ounce n ; : : ! : : : i 47.0 \0 Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 1 14 FEDERAL FUNDS i I ! ! I \A j i i U ^ 1 J- i V W EURO DOLLAR OVER FEDERAL FUNDS | : ; 1 i i 1 : : i i i !1 i i : i i ! i ! 1 l i M i l j : l/N 1 i ! i 1 1 1 1 ! II FOREIGN CURRENCIES* Friday figures Per cent per annum 1 : ; ! FRANCE l\ - 1 1 :x / X I U.K. L L A 1 .i JAPAN 1 | 1 i ! j I j /i i ^ p n u i uv GERMANY IN 1 ! i 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 Athority Deposits: Japan, Unconditional Money; France, Day-to-day Money i 12 ! 10 LONDON: EURO DOLLAR DEPOSIT RATES F r i d a y figures Per c e n t per a n n u m 1-MONTH CALL 2 M J S D 1967 M S 1968 D M J 1969 S D J 1970 S D CHART 6B • 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 s D 1967 1968 D S 1969 0 M S 1970 D 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 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 S 1967 J 1968 s D M J 1969 S 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 14 EURO DOLLAR DEPOSIT 13 12 11 10 EURO-DOLLAR DEPOSIT 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT | | ADJUSTED* 5 4 3 7 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT | ! I ADJUSTED 5 4 3 2 1 + 0 M J 1967 1968 Adjusted for Reserve Requirement *• Adjusted for 10% Marginal Reserve Requirement 1969 1970 S D :HART SA .ONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS 1IRE PURCHASE AND EURO-DOLLAR RATES Per cent per ai riday figures 14 12 10 8 6 4 HIRE PURCHASE 2 COVERED + 0 I \ J (TV • ! i • - ! 1 A/ 1 m i ' M • ! • fJ 2 Zl 4 DIFFERENT IAL 1 1 ! 1 II 1 1 i 1 J S - ! 1I 6 I ! - • FAVOR EURO-DC)LLAR i i D 1 1 M 1967 1 0 - i i M L s + FAVOR HIRE PURCHASE 1 1 J 1 ! S 1968 1 1 D i i M 1 1 i J 1969 1 1 1- 1 S D 1 1 M 1 J 1 1 1 S 1970 1 1 1 D 1 10 CHART 8 8 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 LOCAL AUTHORITY DEPOSIT COVERED 2 U i ! + 0 + 0 FAVOR LOCAL AUTHORITY 2 4 6 • DIFFERENTIAL M J j S FAVOR EURO DOLLAR D M 1967 J 1968 S D M S 1969 D M J 1970 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per Friday f i g u r e s 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED I ' I LONDON NEW YORK M S D 1967 * P l o t t e d f o r c o m p a r i s o n purposes J 1968 S D M S 1969 D M J 1970 S D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 2 + PREMIUM -J—SPREAD IN FAVOR OF LONDON 0 DISCOUNT 2 V\ 4 FORWARD RATE 6 8 10 T 12 2 T IN FAVOR OF LONDON + 0 2 4 IN FAVOR OF NEW YORK 6 8 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M S D 1967 S 1968 D J 1969 S D M J 1970 S 0 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 INTERBA NK LOAN RATE H T k \k \ f T \ VVVJR ! : ! i 1 1 1 1 ! ! ! DIFFERENTIAL 7EURO-DOLLAR | / COVERED | ! 1 1 1 1 ! ! 1 1 1 1 i 1 1 i i 1 1 ' 1 i II 1 1 1 1 1 ! I II I | I M A R K E T COVEFt 1 J \ .A- — *-/ ,zx x v \ / \/V / Si ! 1 1 FAVOR FRANKFURT r V i 1 i M 1 FAVOR EURO-DOLLAR 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 1 i V 1 1 1 1 1 1 1 1 1 1 1 1 J S D 1967 M J S 1968 D M J S 1969 D M 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 S 1967 J 1968 s D M J 1969 S D M J 1970 S D 2 0 • z/ 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Per c e n t per a n n u m Friday f i g u r e s CAN. FIN. CO. PAPER TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I I I I I I I I GROSS SPREAD IN FAVOR OF CANADA N , j I | f._ I I x y £ FORWARD RATE J L_ 7 COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA M/V PRIME FINANCE PAPER FAVOR U S [ M i l l 1967 1968 1969 1970 < y ; Chart 12A SELECTED SHORT-TERM INTEREST RATES Per cent per a n n u m U.K. U.S. GERMANY r 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 a n d d i s c o u n t s ) and Germany ( I n t e r b a n k Loan Rate) 1970 SELECTED SHORT-TERM INTEREST RATES * Per c e n t per a n n u m EURO-DOLLAR - LONDON 1966 1967 1968 * 3 - m o n t h t r e a s u r y ^ ) i l l 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 BOND YIELDS Weekly f i g u r e s Per c e n t per CANADA —NETHERLANDS y hurt/ V z ^ A/ ^ V / u > ^u.s. SWITZERLAND ! 1 1 I I I I I I 1 11 1 1 1 1 1 1 1 1 I I I II I 1 II I 1 1 1 ! 1 1 ! 1 ! : 11 1 1 1 1 1 1 IM I 1 U.K. GERMANY EURO-DOLLAR BONDS Monthly figures U S. CORP. DOLLAR EURO BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aea BONDS 1M6 * 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 j SWITZERLAND 320 280 T GERMANY 1 240 U.S. 200 160 320 U.K. 280 4 240 A Y ! CANADA i 200 160 380 320 JAPAN 280 240 U.S. 200 160 1967 1968 1969 * Japan index of 2 2 5 i n d u s t r i a l and other s t o c k s t r a d e d on the Tokyo exchange 1970 H. 13 No. 444 IV. LATEST FIGURES P L O T T E D ON THE CHARTS Rate Chart Panel Series Date 1A Upper Swiss franc F e b . 27 German mark Lower U.K. pound +0.27 Dutch guilder -0.52 +0.17 French franc Japanese yen + 0 . 64 Belgian franc IB + 0 . 63 Italian lira -0.72 Canadian dollar i 2A +0.77 German mark + 0 . 28 Swiss franc +0.27 U.K. pound -0.21 +0.57 Dutch guilder 2B Canadian dollar -0.28 French franc 3A 36 -0.54 German mark +0.90 U.S. dollar +0.62 +0.98 Swiss franc French franc 4 +0.11 Gold price, U.S. dollar per ounce Upper 5 Call Euro-$ deposits 35.00 Feb 25 Federal Funds Middle Differential Lower Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits 1 1 +1.69 -0.80 French Day-to-day Money 9.12 8.41 +0.71 F e b . 20 Feb. 27 8.50 7.50 F e b . 20 8.50 F e b . 27 9.88 / Chart Panel 6A ; ^ Feb. 7A | 7B Upper 9.12 Euro-$ 3-month Rate H 9.31 Feb. 25 9.38 Euro-$ 3-month Deposits 9.75 „ 9. 19 U.S. Certificate of Deposits ii 8.41 Differential » +0.97 Upper Euro-$ 3-month Deposits II 9.38 Euro-$ 3-month Deposits (Adj.) ii 10.42 U.S. Certificate of Deposits (Adj.) ii 7.18 Differential: on Ad] Euro-$ Deposits ii +3.24 II +2.20 Lower on Unadj. Euro-$ Deposits 8B 27 it Lower ! 8A Rate Euro-$ 1-month Rate Euro-$ 6-month Rate 1 j 1 i Date Euro-$ Call Rate ! ! Series Upper Euro-$ 3-month Deposits J a n . 23 9.69 Hire Purchase Deposits (covered) ii 8.53 Lower Differential ii Upper Euro-$ 3-month Deposits ii Local Authority Deposits (covered) „ Differential » Lower 9A U.S. Treasury Bill rate ! U.K. Treasury Bill rate Local Authority Deposit (uncovered) l-PPi?: Spreo.- .1- ifWor Lor,dor,; 3-month Forward Pound Lower Net Ince ' -1.16 9.69 8.15 -1.54 Feb. 27 6.82 ii 7.49 F e b . 20 9.03 Feb. 27 +0,67 .. -0.64 r (+= favor London) 1 +0.03 • IV - 3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) 10B 11 Rate Date Feb. German Interbank Loan rate „ Lower Differential || Upper Euro-$ Deposits (covered) 25 9.50 +0.35 Feb. 4 9.53 Swiss Deposit rate n 5.00 Lower Differential " -4.53 Upper Canadian Finance Paper Feb. 27 8.38 ii 7.38 U.S. Treasury Bill rate 6.82 Canadian Treasury Bill rate „ U.S. Prime Finance paper (not plotted) Second 12A 9.15 7.93 „ Bill rate differential +0.56 Forward Canadian dollar »r Third Net incentive on bills ,, +0.26 Bottom Net incentive on Finance Paper " +0.15 Upper U.K. Treasury Bill rate Lower „ 7.49 U.S. Treasury Bill rate " 6.82 German Interbank Loan rate ir 9.50 Dec. 26 7.61 Japanese Average rate Canadian Treasury Bill rate 12B -0.30 Feb. 27 U.S. Treasury Bill rate „ Euro-$ Deposits „ Swiss 3-month Deposit rate Feb. 7.38 6.82 9.31 6 5.00 Feb. 27 6.82 U.S. Treasury Bill rate IV - 4 Chart Panel Series 13 Upper Netherlands Canada United States Switzerland Middle Germany United Kingdom Euro-dollar bonds Lower 14 Upper U.S. Corp. Dollar Euro-bonds Feb. 25 8.07 Feb. 27 6.23 F e b . 20 5 . 66 F e b . 27 7.50 Feb. 20 8.52 Feb. 27 7.35 Jan. 8.14 30 7.85 U.S. Corp. Aaa bonds ii 7.91 Switzerland United Kingdom Canada 8.36 ii United States Lower F e b . 20 U.S. Corp. DM Euro-bonds Germany Middle Rate Date Japan United States Feb. 27 381.0 Feb. 23 288.6 Feb. 27 198.09 „ Feb. 218.6 19 229.3 Feb. 20 404.3 Feb. 27 198.09
@FedFRASER