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May 6, 1970 No. 453 H-13 Division of International Finance Europe and British Commonwealth Section LIBRABY FKDLiiAL RESEKVi. • OF w a S ' W 1 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES O F 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 - Call Money Rates Chart 6A and B - London: Euro-$ Deposit Rates Chart 7 A and B - New York - London: Yields on U.S. Dollar Funds Chart 8A and B - London: Covered Yields on U.S. Dollar Funds Chart 9A and B - Interest Arbitrage: United States-United Kingdom Chart 10A and B - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Chart 11 - Interest Arbitrage: United States-Canada Chart 12A and B - 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 1.6 SWISS FRANC U.S. GERMAN MARK] U.K. POUND Below par Above par DUTCH GUILDER U.S. JAPANESE YEN FRENCH FRANC 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. • • • D M rate not supported by the Bundesbank ' R e v a l u a t i o n of the DM from 2 5 . 0 0 to 27.32 in U.S. cents. M J 1969 S D M J 1970 S D M Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN rLIRA BELGIAN FRANC Below par S D M 1967 S 1968 D M J 1969 S J 1970 s 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND ! ; J 1967 DISCOUNT- s S 1968 s 1969 M J 1970 s D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum 1 DUTCH GUILDER DISCOUNT- LI M J S D 1967 M i. I 1 I LI J 1968 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00. , | 1 I lJ.Ll.ll 8 Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum j 24 PREMIUM* 20 GERI LRK U.S. DOLLAR DISCOUNT — M J S D 1H7 M J 1H« s D J 1969 s D M J 1970 S D 4 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 SWISS FRANC FRENCH FRANC DISCOUNT— J s D 1967 J S D 1968 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00 20 M J 1969 S D M J 1970 S D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 47.0 1 1 ; II 1 35.3 35.2 ! ! J h v K - T n 35.1 35.0 1 ! 1 ! ! | | J S 1 % | K \ I i r\\ i iy/ Vv 1 1 ! 1 I i ! 1 ! ! 1 M : ; - I i/ ii ii ii 1 I 1' I I II I T zhn i 1 i i 1 1 i i 1 \ 1967 43.0 41.0 I ! I i — — i | l - i I i 1 I I I I 1 1 ! 1 1 I I I I X*u-iy 35.0 J 1968 39.0 37.0 I D fc * Market closed March 15-April 1, 1968 45.0 t 1969 1970 s Chert 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages 14 12 A CAL L EURIDDOLI.AR Dl •POSIT s // i i w- k ^ 1 x 1 k 10 ! rv' i ! FFDFRAL FUND s ! ! 1 W fAl k II ! I M I I 11 EURO DOLLAR OVER FEDERAL FUNC , I 1 II I I I 1 I I I I I 1 I I 1 II I I I FOREIGN CURRENCIES* Friday figures Per cent per annum 1 % J i FRANCE ! A UK n X J 12 t u V JAIPAN J 1 XIyv i 10 V i i M i i i i i i i i S D M J 1967 i i 1 1 i i J S D 1968 \ 1 1 l l 1 1 M J S 1969 l 1 D 1 1 M i i J 1970 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day to day Money. i i i i S D Y\ LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per c e n t per a n n u m 1 MONTH CALL M J s D 1*67 M J 1968 S D J 1H9 S D J 1970 S D ,-y LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m 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 M J s D 1967 M S 1968 D M S 1969 D S 1970 D V* 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 EURO-DOLLAR D E P O S I T ADJUSTED* Per cent per annum T ] 14 - j 13 12 j • 11 10 EURO-DOLLAR DEPOSIT 9 U.S. C E R T I F I C A T E OF D E P O S I T ADJUSTED' EURO-DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T ADJUSTED * Adjusted for Reserve Requirement * * Adjusted for 10" Marginal Reserve Requirement / LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Per cent per annum Friday figures 14 EURO DOLLAR DEPOSIT , 4 HIRE PURCHASE t - COVERED FAVOR HIRE PURCHASE DIFFERENTIAL i I l 1 i i FAVOR EURO DOLLAR 11 , ! I i I ! I i 1 CHART 8 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED • • 1- j ~ f + FAVOR LOCAL AUTHORITY /in DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1967 J 1*6# S D M J 1969 S D M J 1970 S D • A Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 3-MONTH TREASURY BILL RATES U.K. LOCAL UNCOVERED AUTHORITY j DEPOSITS ; I NEW S D 1967 * Plotted for comparison purposes M S 1968 D YORK 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 + 0 PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT 2 , V \ 4 FORWARD RATE 6 8 10 12 2 IN FAVOR OF LONDON + 0 2 4 • 4 IN FAVOR OF NEW YORK — U RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) s M D M 1967 S 1968 D S 1969 D M J 1970 1 0 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum 14 IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT MARKET COVER Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M J S D M 1967 J 1968 s D M J 1969 S D M J 1970 S D 2 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per 10 CAN. FIN. CO. PAPER 8 CANADIAN TREASURY BILLS 6 UNITED STATES TREASURY BILLS 4 T BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM 2 GROSS SPREAD IN FAVOR OF CANADA ' ! J / z v x ' v J + 0 DISCOUNT FORWARD RATE 2 — i i — i i ^ r COVERED RATE DIFFERENTIALS 2 TREASURY BILLS + 0 FAVOR U.S. 2 FAVOR CANADA 2 PRIME FINANCE PAPER • 0 FAVOR U.S. 2 M S D 1967 M J 1966 D M S 1969 D M J 1970 S D ijpr Chart 12A SELECTED SHORT-TERM INTEREST RATES Per cent per annum 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 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LONDON US. SWITZERLAND 1966 1967 * 3-month treasury bill rate for U.S., S w i t z e r l a n d - 3 month deposit rate. * * 3 - m o n t h rate for U. S. dollar deposits in London. 1969 1970 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m .NETHERLANDS U.S. SWITZERLAND 10 U.K. GERMANY EURO DOLLAR BONDS Monthly figures >. DOLLAR EURO US. UJ. lfM e 1967 New series for Switzerlend starts 3-3-67. * * New series for Switzerland starts 8 - 2 - M . IMS 1969 1970 z CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 460 - • . • J . A z\_ 400 360 SWITZERLAND / 320 A 280 GERMANY / 240 200 Vyv< m i I i i I i i I i i i I 1 i 1 ! 1 1 1 ! ! ! i 1 ! 1 1 I 1 1 1 ! 1 1 i i i i i i i i i i i 160 320 U.K. 280 240 C^ ' /VZ r Z 1 1 1 1 1 1 1 II CANADA ^V V\/^' 1 i ! 200 i i ! i i 1 i i 1 M 1 1 1 1 1 1 1 1 I 11/ h~^\ \ 1 1 II 1 1 1160 380 - 320 ^JAPAN * 280 240 200 Yzv\ 1 l 1 I i 1 M 1 i I I I 1 M 1967 1 1 I 1 M 1968 11 i 1 1 1 1 1 1 1 1 1969 * Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange M l i i l i i 1 i i 1970 H. 13 No. 453 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc May 1 Lower German mark +1.676 +0.651 U.K. pound +0.230 Dutch guilder -0.351 +0.567 French franc Japanese yen IB +0.381 Belgian franc +0.682 Italian lira -0.664 Canadian dollar 2A German mark +0.317 May 1 Swiss franc 2B U.K. pound -0.34 Dutch guilder + 0 . 62 Canadian dollar +0.24 German mark -0.79 May 1 U.S. dollar Swiss franc 3B French franc 4 Gold price, U.S. dollar per ounce 5 Upper Call Euro-$ deposits Federal Funds Middle Differential Lower Japanese Unconditional Money German Call Money 1 1 -1.35 +0.11 French franc 3A Rate U.K. 2-day Local Authority Deposits French Day-to-day Money -0.74 + 0 . 36 " +0.73 " -0.58 May 1 35.83 A p r i l 29 " M A p r i l 24 May 1 8.63 8.43 +0.20 8.25 9.56 May 1 7.125 May 1 9.06 IV- 2 Chart Panel 6A Series Euro-$ Call Rate May 1 8.63 || 8.94 Euro-$ 3-month Rate " 8.75 Euro-$ 6-month Rate M 8.63 Euro-$ 1-month Rate 6B 7A Upper Euro-$ 3-month Deposits U.S. Certificate of Deposits 7B Lower Differential Upper Euro-$ 3-month Deposits Lower Upper .. Euro-S 3-month Deposits Lower Differential Upper Euro-S 3-month Deposits Local Authority Deposits (covered) Lower U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 3-month Forward Pound Lower +0.76 8.44 9.38 7.18 M +2.20 I. + 1.26 8.06 A p r i l 17 || 7.85 „ II -0.21 8.06 „ 7.41 Differential U.S. Treasury Bill rate 9A „ „ U.S. Certificate of Deposits 'Adj.) Differential: on Adj. Euro-S Deposits 8.44 7.68 " it Hire Purchase Deposits (covered) 8B A p r i l 29 Euro-$ 3-month Deposits (Adj.) on Unadj. Euro-$ Deposits 8A Rate Date -0.65 May 1 6.85 A p r i l 24 8.00 „ 6.70 May 1 -0.15 May 1 -0.42 Net Incentive (+= favor London) May 1 1 -0.57 IV- 3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Date A p r i l 29 German Interbank Loan rate Lower 10B Upper -0.29 Euro-$ Deposits (covered) 8.14 Swiss Deposit rate 11 Differential Upper Canadian Finance Paper 5.50 -2.64 Mav 1 U.S. Treasury Bill rate 6.55 U.S. Prime Finance paper (not plotted) 7.25 Bill rate differential -0.30 Forward Canadian dollar 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate +0.17 -0.13 +0.92 Mav 1 U.S. Treasury Bill rate Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate 12B Euro-$ Deposits Swiss 3-month Deposit rate U.S. Treasury Bill rate 6.70 6.85 German Interbank Loan rate Lower 8.00 6.85 Canadian Treasury Bill rate Second 9.85 9.56 Differential Lower Rate 9.56 F e b . 27 Mav 1 „ „ || ff 7.62 6.55 6.85 8.75 5.50 6.85 IV- 4 Chart Panel Series 13 Upper Netherlands A p r i l 22 7.84 May 6.72 Germany Euro-dollar bonds 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 8.62 United States United Kingdom Lower A p r i l 24 Canada Switzerland Middle Rate Date Japan 1 A p r i l 17 5.84 May 7.66 1 A p r i l 24 9.13 A o r i l 10 7.32 March 27 8.10 ,, 8.02 „ 7.92 A p r i l 24 354.0 A o r i l 23 284.4 May 1 180.76 May 1 201.40 A o r i l 23 218.33 May 1 389.24 May 1 180.76 United States 1
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