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" October 21, 1970 No. 477 H-13 V ^ Division of Intemotionel Finonce Europe one British Commonwealth Section J l . — I P ^ v h - U l l / \" 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 Chart 6A and B Chart 7 A 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 Per cent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par Below par T T T Above par ; FRENCH 4FRANC- JAPANESE YEN I 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 D 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 y c p f - ' BELGIAN FRANC U.S. Wrr 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 D M J 1971 S D 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 DISCOUNTS D S M 1968 1969 S D 1970 D M J 1971 S D 3 MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. Weekly averages Per cent per 8 PREMIUM* 4 DUTCH GUILDER + 0 4 8 12 16 20 24 28 DISCOUNT- M J S D 1968 M J S 1969 Devaluation of the French franc from 4.94 to 5.55 for $ 1 . 0 0 . Can. $ rate not supported by Bank of Canada. D 32 M J 1970 S D M 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— M J S D 1968 S 1969 D M J 1970 S D M J 1971 S D Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUI^ Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNTM 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 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 42 40 38 36 34 M S D 1968 S 1969 D M S 1970 U.S. dollar equivalent per fine ounce 35.3 35.2 35.1 35.0 M 1968 M J 1971 MARKET SUPPORTED BY GOLD POOL * M a r k e t closed March 15 April 1, 1 9 6 8 D S D Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 14 CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS » A i I I Hi h I T " L / l v \A/\ \ \ h r \ l | If V| V V j ! EUIRO DOLLAR OVER FEDERAL FUNDS i , 1 1 , ! , ! 1 I : 1 1 , 7 " j j - i , 1 , i FOREIGN CURRENCIES Friday's figures Per cent per annum FRANCE M J S D 1968 M J S 1969 D GERMANY t M J S 1970 D M J S 1971 * Germany, Call Money; U.K., 2-day Local Authority Deposits, Japan, Unconditional Money; France, Day-to-day Money. D 1-MONTH CALL M J 1970 S D 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 i 10 9 8 7 "I 6 U.S. CERTIFICATE OF DEPOSIT 5 4 3 6 i 5 4 3 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT, 2 1 0 1 J S D 1967 J 1968 S D S 1969 D J 1970 S D NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday f i g u r e s r ! T " " | "T ! ! EURO-DOLLAR DEPOSIT 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 1 14 z _y Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT ij HIRE PURCHASE [ T FAVOR HIRE PURCHASE DIFFERENTIAL s M s D 1968 1969 D M J 1970 s D s M 1971 D Vv LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures • Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT | COVERED ! T , FAVOR LOCAL AUTHORITY DIFFERENTIAL M FAVOR EURO-DOLLAR S D 1968 M J 1969 S D S 1970 D M S 1971 D 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 i l l ! ! U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED j NEW YORK '* Plotted for c o m p a r i s o n p u r p o s e s 1 12 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per annum ! ! 1 RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING DISCOUNT IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) i 1 i i 1 M ! i I i i i 1 i i ! l i i i i 1 i ! : i , i i ! i i 1111 M J 1971 S D C h a r t 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Per c e n t per Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR i-i-L DIFFERENTIAL I I JL 1 1 1 FAVOR FRANKFURT MARKET COVER FAVOR EURO DOLLAR 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 IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per c e n t per a n n u m CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR : i I I I I I GROSS SPREAD IN FAVOR OF CANADA w £ v- FORWARD RATE i i ) COVERED RATE DIFFERENTIALS Z3 FAVOR CANADA V TREASURY BILLS FAVOR CANADA H/ IVy PRIME FINANCE PAI j 1 h r i M J S D 1967 M J 1968 I FAVOR U.S. I I I I I D M J 1969 S D M J 1970 S I I D f Chart 12A ' SELECTED SHORT-TERM INTEREST RATES GERMANY I j U.S., GERMANY J 2 1 ±_L 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) 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 Chart 13 LONG-TERM BOND 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. 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 - A v e r a g e yield of all German P A. Bonds begins 9 4-70. 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES S W T IZ E R L A N D A - yG E R M A N Y . . . n Z , 240 U.S. 200 U.K. 200 ; ^ i - Z X z V JAPAN* 240 200 1 I ! I 1 I i ; I i 1 1967 i I I ! i : ! : I 1968 1 : 1 1 , I ' I ! 1 I ;! 1 1; 1 ! Y iV 1969 ' Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange f * Japan index of all 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 first section of the Tokyo Stock Exchange. 1970 1 1 1 H. 13 No. IV. Chart Panel 1A Upper Lower IB L A T E S T FIGURES P L O T T E D ON T H E CHARTS Series Swiss franc Rate Date Oct 16 4- 1.016 German mark " + 0.784 U.K. pound " Dutch guilder " - 0.553 + 0.546 French franc " + 0.540 Japanese yen " + 0.612 Belgian franc H Italian lira " ' 1 + 0.731 + 0.351 Canadian dollar 2A German mark Oct 16 Swiss franc | 2B " U.K. pound " - 1.20 Dutch guilder " + 0.52 Canadian dollar " + French franc 1 German mark Upper 1.05 - 0.81 Oct 16 + 1.04 + 0.98 ~] Swiss franc " + 3.29 _ J French franc " + 0.40 Gold price, U.S. dollar per ounce Oct 16 Call Euro-S deposits Oct 14 Federal Funds 37.43 7.08 " 6.21 " + 0.87 Middle Differential Lower Japanese Unconditional Money Oct 16 8.25 German Call Money Oct 16 8.62 U.K. 2-day Local Authority Deposits Oct 16 1 - U.S. dollar 3B - 0. 18 + 2.80 French Day-to-day Money " 6. 62 7.75 j IV-2 Chart Panel Series Rate Date 6A Euro-$ Call Rate Euro-$ 1-month Rate " 7.62 6B Euro-S 3-month Rate " 8.00 Oct Euro-$ 6-month Rate 7A Upper Lower 7B Upper Lower Euro-$ 3-month Deposits U.S. Certificate of Deposits " Differential " 14 8 . 12 6. 75 + Euro-$ 3-month Deposits " 8 . 12 " 9.02 U.S. Certificate of Deposits (Adj.) » Differential: on Adj. Euro-S Deposits " + " 4- 0 . 9 4 Euro-S 3-month Deposits Lower Differential Upper Euro-S 3-month Deposits Lower Differential Hire Purchase Deposits (covered) Local Authority Deposits (covered) U.S. Treasury Bill rate 7 . 18 Oct Oct Oct Oct Oct Oct Oct Oct Oct Oct Oct Oct 2 9 2 9 2 9 2 9 2 9 2 9 Oct 16 5.86 6.69 Local Authority Deposit (uncovered) Upper Lower 7. 19 Spread (+= favor London) 3-month Forward Pound Net Incentive (+= favor London) 1.84 8.41 8. 28 6. 70 6.46 - 1.71 - 1.82 8.41 8 . 28 6,29 5. 96 - 2. 12 -2.32 U.K. Treasury Bill rate 9B. 1.37 Euro-S 3-month Deposits (Adj.) Upper 9A 8.12 " Oct on Unadj. Euro-S Deposits 86 6.62 16 " + 0.83 - 1. 14 - 0.31 IV- 3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Lower 10 B Upper Lower 11 Upper Second 12A Rate Date Oct German Interbank Loan rate " Differential " Euro-$ Deposits (covered) " Swiss Deposit rate " Differential " Canadian Finance Paper Oct 8.35 14 9.19 + 0.84 5.26 6. 75 16 U.S. Treasury B i l l rate " 5.86 Canadian Treasury B i l l rate " 5.21 U.S. Prime Finance paper (not plotted) " 6.81 B i l l rate differential " - 0.65 Forward Canadian dollar " + 0.98 Third Net incentive on b i l l s " + 0.33 Bottom Net incentive on Finance Paper " + 0.92 Upper U.K. Treasury B i l l rate Lower 16 6.69 U.S. Treasury B i l l rate " 5.86 German Interbank Loan rate " 9. 19 Japanese Average rate Canadian Treasury B i l l rate 126 Oct August Oct 31 16 7.682 5. 21 U.S. Treasury B i l l rate " 5.86 Euro-$ Deposits " 8.00 Swiss 3-month Deposit rate U.S. Treasury B i l l rate Oct 16 5.86 IV- 4 Chart 13 Series Panel Oct 2 8.06 Oct 9 8.06 Canada " 7 7.69 United States " 14 6.50 " 9 Netherlands Upper Switzerland Middle ** Germany United Kingdom Euro-dollar bonds U.S. Corp. Dollar Euro-bonds Lower U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Middle Lower * Rate Date Oct Oct 5.89 8.43 & 8 . 4 6 * f 8.53 & 8 . 5 4 7 & 15 23 & 30 Oct 16 Oct 16 9.23 7.74 8.89 August " 8.01 September 8.09 Switzerland Oct 16 358.4 Germany Oct 7 248.80 United States " 16 188.40 United Kingdom " 16 207.12 Canada " 8 208.26 Japan " 17 349.37 United States " 16 ' 188.40 * * N e w -- A v e r a g e yield of ALL G e r m a n Public A u t h o r i t i e s bonds made as of banking key days * B e g i n n i n g week ended Sept. 5, 1970, the J a p a n e s e index plotted is that of all industrial and other stocks on the F i r s t S e c t i o n of the T o k y o S t o c k E x c h a n g e . *
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