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H-13 Division of International Finance Europe end British Common wealth Section • _r»Vk tMxit JMOND SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM NOTE Due to technical difficulties the H.13 Series dated November 11, 1970, could not be published. The current edition, therefore, contains data for two weeks. Beginning with the edition dated November 4, the coverage of call money rates in Chart 5 has been enlarged. Chart 5A shows comparative Euro-currency call money rates for interbank loans of $200,000 or more. In addition, call money rates for Canada and the Netherlands have been added to the new Chart 5B. TABLE OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES v z Chart 1A and B - Spot Exchange Rates, Major Currencies against U.S. Dollar V Chart 2A and B - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar VChart 3A and B - 3-Month Forward Exchange Rates, Major Currencies against U.K. Pound VChart 4 - Gold Price in London PART II. SHORT-TERM INTEREST RATES Chart 5 ; 4 b - Call Money Rates vChart 6A and B - London: Euro-$ Deposit Rates vChart 7 A and B - New York - London: Yields on U.S. Dollar Funds vChart 8A and B - London: Covered Yields on U.S. Dollar Funds v-Chart 9A and B - Interest Arbitrage: United States-United Kingdom v Chart 10A and B - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland v^Chart 11 - Interest Arbitrage: United States-Canada y Chart 12A and B - Selected Short-term Interest Rates PART III. LONG-TERM INTEREST RATES AND STOCK INDICES v Chart 13 v 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 Per c e n t A b o v e par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par with U.S. Below par Above par FRENCH FRANC- JAPAI INESE YEN Par U.S. DUTCH GUILDER Below par M J S D 1968 M J S D 1969 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00. * * DM rate not supported by the Bundesbank. * * * Revaluation of the DM from 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents. M J 1970 S 0 M J 1971 S D Chart I B SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR BELGIAN FRANC r ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. $ rate not supported by Bank of Canada. S D M J 1970 S 0 M J 1971 S D Chart 2A 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 v x DISCOUNTS D 1968 M J 1969 S D M J 1970 S D M J 1971 S D 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 i PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 28 DISCOUNT M J S D 1968 J S 1969 * D e v a l u a t i o n of t h e French f r a n c f r o m 4 94 to 5.55 for $1 00. * * Can. $ rate not s u p p o r t e d by Bank of Canada s D 1970 D J 1971 S D Chart 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM 20 GERMAN MARK U.S. DOLLAR DISCOUNT— J S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D 1 Chart 3 8 3-MONTH FORWARD EXCHANGE 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 PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1968 M J S 1969 • D e v a l u a t i o n of the French franc from 4.94 to 5.55 for $ 1 . 0 0 D 20 J 1970 S D M J 1971 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 MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce I I I I I I I I I I I M J 1967 * M a r k e t closed March 15-April 1, 1 9 6 8 S D M 1968 CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS _L EURO DOLLAR OVER FEDERAL FUNDS EUROCURRENCIES Weekly averages j EURO DM EURODOLLAR EURO-SWISS FRANC 1968 1969 1970 1971 Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Friday figures. JAPAN CANADA S E L E C T E D EEC C U R R E N C I E S * * Friday figures FRANCE GERMANY ! I NETHERLANDS -_1„. M J S D D 1968 1969 , I C 1970 * Japan, Unconditional Money; U.K., 2 day Local Authority D e p o r t s Canada. to-day Loans wer-kiy * * Germany, Call Money; France, Day-to-day Money; Netherlands. CJU M o n t y , v.-eekl,- ave-age C h a r t 6A LONDON: EURO-DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per e n n u m 1-MONTH CALL M S 1968 S 1969 1970 D i_lJ M S 1971 D 2 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 6-MONTH 3 MONTH 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 Wednesday figures MARKET Per cent per annum EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 6 c !JRO-Dr ' AR OVER U.S. CERTIFICATE OF DEPOSIT S D 1967 S 1968 D S D M 1969 J 1970 4 S D NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y Wednesday figures MARKET ' Per cent per annum EURO DOLLAR DEPOSIT hH ADJUSTED EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E O F D E P O S I T ! ADJUSTED" 7 : EURO DOLLAR OVER i S U.S. C E R T I F I C A T E O F D E P O S I T ! | ADJUSTED D 1967 D 1968 # Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement S 1969 D M J 1970 S D LONDON: COVERED YIELDS ON U.S.COLLAR FUNDS HIRE PURCHASE A N D EURO DOLLAR RATES Friday figures Per cent per 14 12 EURO-DOLLAR DEPOSIT 10 Lj |V/v" HIRE PURCHASE 8 COVERED 6 4 2 0 FAVOR HIRE PURCHASE m 0 2 4 6 —j }-- 8 DIFFERENTIAL M J j FAVOR EURO DOLLAR S D 1968 M J 1969 S D M J 1970 S D M S 1971 Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO DOLLAR RATES Friday figures 14 12 EURO-DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT I I 'j COVERED ! I 4 2 0 T FAVOR LOCAL AUTHORITY 0 2 4 6 8 M 10 FAVOR EURO-DOLLAR DIFFERENTIAL S D 1968 S 1969 D M J 1970 S D M J 1971 S D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 1 12 3 - M O N T H TREASURY BILL RATES - h U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED NEW YORK 1968 * Plotted for comparison purposes 1971 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE D I F F E R E N T I A L A N D 3 - M O N T H F O R W A R D S T E R L I N G SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE 2 IN FAVOR OF LONDON ! IIN FAVOR OF NEW YORK j I : RATE D I F F E R E N T I A L W I T H F O R W A R D E X C H A N G E C O V E R ( N E T I N C E N T I V E ) M J S D M 1968 J 1969 S D J 1970 s D S 1971 D 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 RATE VS. L O N D O N E U R O - D O L L A R RATE Wednesday rates Per cent per annum IN T E R M S OF D M GERMAN INTERBANK LOAN RATE M EURO-DOLLAR 4 DIFFERENTIAL MARKET COVER, FAVOR EURO DOLLAR M S D 1968 M J 1969 S D M J 1970 S D M J 1971 S s' Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND Z U R I C H DEPOSIT RATE VS. L O N D O N E U R O - D O L L A R RATE Wednesday rates IN T E R M S OF SWISS F R A N C S EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR 1 I I I -I I I 1968 1969 1970 Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum - l ] i o CAN. FIN. CO. PAPER CANADIAN | TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL A N D FORWARD CANADIAN DOLLAR i PREMIUM GROSS SPREAD IN FAVOR OF CANADA DISCOUNT FORWARD RATE FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U.S. 1 FAVOR CANADA PRIME FINANCE PAPER FAVOR U S 1967 1968 1969 1970 j J 2 Chart 12A SELECTED SHORT-TERM INTEREST RATES GERMANY GERMANY ! JAPAN 1 / V Z ^XCANADA P A U U.S. H x V I I j ; | ; i I • 1 1 ! 1 1 : 1 1 11 1 1 '1 1 1 1 1 11 11 11 1 1 i 1 1 1 1 1 1 1 1 1 1 1 1 I 1 1 1 M I i 1 1 1 ! 1 1966 1967 1968 1969 1970 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 J a p a n (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) 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 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. dollar d e p o s i t s in L o n d o n . 1969 1970 LONG-TERM BOND YIELDS 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. 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. * * * N e w Average y i e l d of all German P A Bonds begins 9 4 7r. 1968 1969 1970 INDUSTRIAL STOCK INDICES 460 H 400 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 320 280 240 CANADA 200 160 380 320 JAPAN 280 240 200 160 1967 1968 1969 * Japan index of 2 2 5 i n d u s t r i a l and other stocks t r a d e d on the Tokyo exchange * * Japan index of all i n d u s t r i a l and other stocks t r a d e d an the first section of the Tokyo Stock Exchange 1970 H. 13 •/ No. 480 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc +1.037 +1.176 +0.810 -0.346 +0.805 -0.336 +0.661 +0. 642 +0.631 +0. 640 +0.644 +0.644 40.735 +0.447 +0.731 +0.452 -0.29 +2.32 -0.26 +1.56 -0.86 +0.63 -1.18 +1.03 Canadian dollar +0.49 +0.48 French franc -0.76 -0.85 40.58 +0.80 40.92 +0.98 Nov U.K. pound ' IB 6 - 13 " " " German mark Lower Rate Date " French franc „ Japanese yen " Belgian franc ii Dutch guilder 11 ii Italian lira " Canadian dollar 2A it German mark .. .1 U.K. pound 2B Dutch guilder 3A German mark 3B U.S. dollar Swiss franc J I ». 1, ii n '" French franc I. M Gold price, U.S. dollar per ounce 4 Call Euro-$ deposits ^ Upper 5 Middle Lower * Differential Nov German Call Money U.K. 2-day Local Authority Deposits K * •* Euro-currencies Euro $ Euro DM Euro Swiss Fr. Add Canada Netherlands 1 +2.45 +1. 96 J +0.18 +0.29 j " Oct 30 Nov 6 - 13 .. •I II 37.42 6.12 6.12 6.07 +0.05 5.80 +0.32 9.06 7-75 7.88 6.62 7. 38 7. 38 1 French Day-to-day Money * * 4-11 » v Japanese Unconditional Money v * | 37. 18 Federal Funds v' * ii " Swiss franc 1 Nov 6 - 13 " " " " " " Oct 23 6.,25 8.,22 3.,05 6,,52 9.,06 3.,66 4.,40 6. 98 4.,81 IV-2 Chart Panel 6A Series Date Euro-$ Call Rate Nov Euro-$ 1-month Rate 6B 7A Upper " Euro-$ 3-month Rate " " Euro-$ 6-month Rate H Euro-S 3-month Deposits Lower Differential Upper Euro-$ 3-month Deposits Differential: on Adj. Euro-S Deposits on Unadj. Euro-$ Deposits 8A Upper Euro-$ 3-month Deposits Hire Purchase Deposits (covered) A 8B Lower Differential Upper Euro-S 3-month Deposits Lower Differential U.S. Treasury Bill rate Upper Lower 6. 31 7.56 7.12 7.94 7.38 7.50 7.31 6.32 " +0.90 40.99 M rr^O . 7.31 " 8.33 8.12 Oct 28 Nov 4 - 1 1 Oct 28 Nov 4 - 1 1 Oct 28 Nov 4 - 11 7.04 6.91 +1.50 +1.42 +0.65 40.59 +1.61 Oct 23 - 30 7. 72 " " " n " " Nov 6 - 13 Local Authority Deposit (uncovered) Nov 6 Spread (+= favor London) ]Nov 6 - 13 6.51 +0.80 7. 72 6.38 6. 61 -1.34 -1.11 7. 72 U.K. Treasury Bill rate 9B 5.75 6.60 4-11 Local Authority Deposits (covered) 9A 6.25 6. 69 " Nov Euro-$ 3-month Deposits (Adj.) U.S. Certificate of Deposits (Adj.) . Lower 6 - 13 " U.S. Certificate of Deposits 78 Rate 7. 72 6.13 6.33 -1.59 -1.39 5.44 5.46 6. 69 6. 69 7.16 +1.25 +1.23 3-month Forward Pound -0.89 -1.18 Net Incentive (+- favor London) 40.36 +0.05 Chart Panel Series 10A Upper Euro-) Deposits (covered) Lower Differential Rate Date Nov 4-11 German Interbank Loan rate 10B Upper Lower 11 Upper 5.28 6.06 ii n 5.50 5.25 Differential II II +0.22 Euro-S Deposits (covered) Canadian Finance Paper Nov 6-13 " " U.S. Prime Finance paper (not plotted) ii ii Bill rate differential II II Third Net incentive on bills Bottom Net incentive on Finance Paper Lower 12B 9.38 +1.84 Swiss Deposit rate Forward Canadian dollar Upper 9.38 +1.65 M Canadian Treasury Bill rate 12A 7.54 ii U.S. Treasury Bill rate Second 7. 73 U.K. Treasury Bill rate 6.63 6.38 5.44 5.46 4.87 4. 74 6.56 6.44 -0.14 - 0 . 2 3 40.43 40.49 1 -0.14 II M „ -0.81 +0.50 -0.23 +0.43 6. 69 6.b9 U.S. Treasury Bill rate 5.44 5.//: German Interbank Loan rate 9. 38 9.- Japanese Average rate Sept 30 7.693 Canadian Treasury Bill rate Nov 4.87 4. 5.44 5 7.56 7. - U.S. Treasury Bill rate ii Euro-$ Deposits " Swiss 3-month Deposit rate U.S. Treasury Bill rate n 6 - 13 II 5. 25 " 5.44 j A 5. 2:1 5.4 = I 3 ) IV-4 Chart Panel Series 13 Upper Netherlands Oct 23 8.09 Canada Oct 28 Nov 4 - 1 1 7.83 7.78 7.71 6.44 6,.36 5.75 5,. 71 8.68 8..72 9.65 9..72 7.72 7.,72 United States Switzerland Middle Date " Oct 30-Nov 6 **Germ any " United Kingdom Lower 14 Upper Middle " Nov U.S. Corp. Dollar Euro-bonds Sept 30 6-13 8.60 7.85 " 8.03 U.S. Corp. Aaa bonds Oct 30 Switzerland Nov 351.7 345. 4 Germany Oct 30-Nov 6 248.6 246. 6 United States Nov United Kingdom Canada Lower " Euro-dollar bonds U.S. Corp. DM Euro-bonds Rate * Japan United States 6-13 188.0 188. 36 194.62 185. 70 Oct 29-Nov 5 199.08 201. 23 Nov 354.91 352. 64 188.0 188. 3 b 6 - 13 „ " 6 - 13 " ** New -- Average yield of ALL German Public Authorities bonds made as of baflWwig key days. * Beginning week ended September 5, 1970, the Japanese index plotted is that o r all industrial and other stocks on the First Section of the Tokyo Stock Exchange.
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