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1 October 14, 1970 No. 476 H-13 . Divi>tw of International Finance Europe end British Commonwealth Section c t i ) m & t A o f SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM i 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. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND U.S. Below par Above par FRENCH FRANC- JAPANESE YEN U.S. DUTCH GUILDER Below par J S D M 1968 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 D M J 1971 S D ' 1 Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 CANADIAN DOLLAR BELGIAN FRANC Par ITALIAN LIRA 1.2 Below par M J S D M 1968 J 1969 * Can. $ rate not supported by Bank of Canada. S D M J 1970 S D M J 1971 S D Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREA1IUM + V< A J j A v x p 7 J X : c V iERM/ VN MA RK \ \ ASM/ISS FlRANG i A) / V 1 / w /U.K. 1 POUNl) II 1 DISCO UNT1 1 I 1 1 1968 1969 i i 1 1970 1 1 1 1 1 1 1 1 1971 1 1 1 Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC M J S D M 1968 J S D 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * Can. $ rate not supported by Bank of Canada. M . J 1970 S D M J S 1971 D Chart 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures P e r c e n t per annum PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNT— J S D 1968 J 1969 S D M J 1970 S D M J 1971 S D Chart 3 8 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 S D 1968 M J S 1969 * Devaluation 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 . 0 0 D M 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 44 42 40 38 36 34 M J S D M 1968 J 1969 S D M J S D 1970 35.3 35.2 35.1 35.0 * M a r k e t closed March 15-April 1, 1 9 6 8 J S 1971 MARKET SUPPORTED BY GOLD POOL U S dollar equivalent per fine ounce J—L M D Charts CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per a n n u m CALL EURO-DOLLAR DEPOSITS ! I FEDERAL FUNDS FOREIGN CURRENCIES* F r i d a y ' s figures Per cent per a n n u m FRANCE M J S D M 1968 J S 1969 D GERMANY M J S 1970 D M J 1971 * Germany, Call Money; U.K., 2-day Local Authority Deposits; Japan, Unconditional Money; France, Day to day Money S D C h a r t 6A LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per annum Friday figures 1-MONTH CALL LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 13 10 M J S D 1968 M J 1969 S D M J S 1970 D M J S 1971 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT r T 6 T EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT S S D 1967 1968 D S 1969 D S 1970 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per annum Wednesday f i g u r e s EURO-DOLLAR DEPOSIT ADJUSTED * * EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED ; EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED 1967 1968 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% Marginal Reserve Requirement 1969 1970 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE-PURCHASE AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per a n n u m EURO DOLLAR DEPOSIT 1| Y/v^ HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL J | FAVOR EURO DOLLAR S D 1968 M S 1969 M S 1970 D S 1971 D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent innum 14 12 EURO-DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT ! ! 4 2 0 "FAVOR LOCAL AUTHORITY 0 2 4 8 10 DIFFERENTIAL M J S D 1968 M S 1969 D M S 1970 1971 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday f i g u r e s 1 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED j X NEW YORK Plotted for c o m p a r i s o n purposes 12 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures I Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT I FORWARD RATE 2 IN FAVOR OF LONDON (IN FAVOR OF NEW YORK ! RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) | M J s D 1968 M s S 1969 1970 D M J 1971 S D 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 INTERBANK LOAN RATE EURODOLLAR 4 DIFFERENTIAL FAVOR FRANKFURT MARKET COVER FAVOR EURO-DOLLAR S 1968 1969 D S 1970 D M S 1971 D Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE W e d n e s d a y rates Per cent per a n n u m j ^ IN TERMS OF SWISS FRANCS L EURO-DOLLAR COVERED SWISS DEPOSIT RATE ' 1 DIFFERENTIAL FAVOR ZURICH | FAVOR EURO DOLLAR S 1968 1969 1970 D J 1971 S D 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s r CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS — L B I L L ^ A T E D i F F E R E N T I A L A N ^ T o R W A R d T a N A D I A N DOLLAR GROSS SPREAD IN FAVOR OF CANADA PREMIUM " DISCOUNT FORWARD RATE FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U.S. FAVOR CANADA PRIME FINANCE PAPER FAVOR U.S. 1967 1968 1969 1970 | />- SELECTED SHORT-TERM INTEREST RATES GERMANY M i l 1966 1967 1968 II 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 except Japan (Average rate on bank loans and d i s c o u n t s ) and Germany ( I n t e r b a n k Loan Rate) 1970 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LONDON US. SWITZERLAND 1966 1967 1968 * 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 deposits in London. 1969 1970 LONG-TERM BOND YIELDS Weekly figures Per cent per annum 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. 1968 1969 1970 y y CHART 14 INDUSTRIAL STOCK INDICES 460 400 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 320 U.K. 280 240 CANADA 200 160 380 320 JAPAN 280 240 U.S. 200 160 1967 1968 1969 * Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. 1970 H. 13 No. 476 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Oct IB 9 + ii German mark Lower Rate U.K. pound " Dutch guilder " + French franc " + 0.584 Japanese yen " + Belgian franc it + 0.718 Italian lira r» + 0.278 Canadian dollar German mark 2A Oct 9 " Dutch guilder 0.00 2.77 - 1.13 Canadian dollar " + + 0.73 1.11 French franc " - 0.69 German mark U.S. dollar 3B 4 5 Upper " + 1.04 + 1.07 Swiss franc " + 3.43 French franc " + 0.47 Gold price, U.S. dollar per ounce Oct. 9 36.78 Call Euro-$ deposits Oct 7 ff 6.36 Federal Funds Middle Differential Lower Japanese Unconditional Money 0.586 + U.K. pound 3A 0.520 - - Swiss franc 2B 1.031 + 0.773 - 0.578 7. 72 + Oct 9 1.36 8.25 German Call Money " 9 9.44 U.K. 2-day Local Authority Deposits " 9 6. 75 French Day-to-day Money " 9 7.88 IV - 2 Chart Panel 6A Series Date Euro-$ Call Rate Oct 9 78 7.94 Euro-$ 3-month Rate 8.12 Euro-$ 6-month Rate 7A 7.12 » Euro-$ 1-month Rate 6B Rate Upper Euro-$ 3-month Deposits 8.25 " 8.69 Oct 7 U.S. Certificate of Deposits " Lower Differential " Upper Euro-$ 3-month Deposits " 8.69 Euro-$ 3-month Deposits (Adj.) " 9.66 6.98 + U.S. Certificate of Deposits (Adj.) Lower 7.18 Differential: on Adj. Euro-$ Deposits + 2.48 on Unadj. Euro-$ Deposits 8A 8B Upper 4- 1 . 5 1 " S e p t 25 8.06; Hire Purchase Deposits (covered) " Lower Differential " Upper Euro-$ 3-month Deposits 8.06 Local Authority Deposits (covered) 6.21 Lower Differential U.S. Treasury Bill rate 9A 9B Euro-$ 3-month Deposits 1.71 " 6.56 - - Oct 9 U.K. Treasury Bill rate " Local Authority Deposit (uncovered) " 1.50 1.85 6.01 6.69 7.25 Upper Spread (+= favor London) 3-month Forward Pound " - 1.27 Lower Net Incentive (+= favor London) " - 0.59 + 0.68 IV- 3 Chart . 10A 10B Panel Series Upper Euro-$ Deposits (covered) 7.01 German Interbank Loan rate " 9. 19 Lower Differential " + 2.18 Upper Euro-$ Deposits (covered) Lower Differential Upper Canadian Finance Paper " 4.48 Oct 7 5.50 + " 1.02 6.81 Oct 9 U.S. Treasury Bill rate " 6.01 Canadian Treasury Bill rate " 5.27 " 6.94 U.S. Prime Finance paper (not plotted) Second Bill rate differential Third Net incentive on bills " + 0.36 Bottom Net incentive on Finance Paper " + 0.97 Upper U.K. Treasury Bill rate « U.S. Treasury Bill rate " German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 12 B - " Forward Canadian dollar 12A Rate Oct 7 Swiss Deposit rate 11 Date / " A u g u s t 31 Oct 9 0.74 + 1. 10 6. 69 6.01 9. 19 7.682 5.21 U.S. Treasury Bill rate 6.01 Euro-S Deposits 8. 12 Swiss 3-month Deposit rate 5.50 U.S. Treasury Bill rate 6.01 IV-4 Chart Panel Series 13 Upper Netherlands S e p t 25 7.95 Canada S e p t 30 Oct 7 7.68 7.69 Middle United States Oct 7 6.43 Switzerland Oct 9 5.89 Suspen ded Germany United Kingdom Oct 2 9.37 " 9 7.74 August 8. 89 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 Middle United Kingdom Lower Japan Oct 9 352.6 252.00 248.80 United States Oct 1 203.96 " 9 347.06 * Oct 9 1970, t h a t o f a l l i n d u s t r i a l and o t h e r t h e T o k y o S t o c k Exchange 192.97 209.42 " 5, 8.09 S e p t 30 Oct 7 Oct 9 Canada * B e g i n n i n g week ended S e p t . 8.01 " September United States Rate Date 192.97 the Japanese i n d e x p l o t t e d s t o c k s on t h e F i r s t S e c t i o n o f is
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