\«April 1, 1970 No. 448 f / A t *^ f,, H«13 Division of IntomotiMoiJxnyce Europe and British Common wealth Section f j y SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. 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 - Call Money Rates Chart 6A and B - London: Euro-) Deposit Rates Chart 7A 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.
, r SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC 1.6 U.S. GERMAN MARK U.K. POUND Below par i Above par DUTCH GUILDER U.S. JAPANESE YEN FRENCH FRANC Below par M S D S D J S D M J S D 1967 1968 1969 1970 * Devaluation of the U.K. pound from $2.80 to $2.40. Devaluation of the French franc from 4.94 to 5.55 for $1.00. *** DM rate not supported by the Bundesbank Revaluation of the DM from 25.00 to 27.32 in U.S. cents.
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par CANADIAN DOLLAR ITALIAN [LIRA BELGIAN FRANC 1.2 Below par M J S D M J S D M S D S 1967 1968 1969 1970
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR w Par ront npr annu Weekly averages PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND! DISCOUNT- 1967 1968 1969 1970
Chart 28 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages DUTCH GUILDER CANADIAN DOLLAR \ FRENCH FRANC ^ 20 24 M J S D DISCOUNT S S D S D 1967 1968 1969 1970 32 * Devaluation of the French franc from 4.94 to 5.55 for $100.
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures 24 20 GERMAN MARK DISCOUNT M J S D S D M S D M J S D 1967 1968 1969 1970
Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM* SWISS FRANC FRENCH FRANC M DISCOUNT- J S D S D M J S D M J S 0 1967 1968 1969 1970 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 20
Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce 47.0 Market closed March 15 April 1, 1968
CALL MONEY RATES DOLLAR FUNDS Weekly averages FOREIGN CURRENCIES* Friday figures i i 1 i i I i I 1 I I I I I 1 I i 1 I i I I I 1 i I I I i I i I I i I I i I I i i I I I I I i I 0 M J S D M J S D M J S D M J S D 1967 1968 1969 1970 'Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money.
CHART 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per 13 12 11 10 9 8 1 MONTH 7 6 CALL 5 4 3 J s D M J S D M J S D J S D 1967 1968 1969 1970 2
LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 1970
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per 14 13 12 EURO-DOLLAR DEPOSIT 11 10 9 8 7 U.S. CERTIFICATE OF DEPOSIT j- 6 5 4 T 3 6 5 4 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 3 2 1 + 0 1 M J S D M J S D M J S D M J S D 1967 1968 1969 1970
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures EURO-DOLLAR DEPOSIT ADJUSTED 1 "1 14 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED * Adjusted for Reserve Requirement # * Adjusted for 10% Marginal Reserve Requirement
CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per 14 EURO DOLLAR DEPOSIT 12 10 8 6 4 HIRE PURCHASE COVERED -f- b 2 + 0 FAVOR HIRE PURCHASE + 0 2 4 6 DIFFERENTIAL FAVOR EURO-DOLLAR M J S D M J S D M J S D M J S D 1967 1968 1969 1970
CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT I -COVERED j-fl FAVOR LOCAL AUTHORITY DIFFERENTIAL ; FAVOR EURO DOLLAR M J S D M S D M S D M J S D 1967 1968 1969 1970
Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures 3-MONTH TREASURY BILL RATES j U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED 1 i-london NEW YORK M J S D M S D M J S D S D 1967 1968 1969 1970 * Plotted for comparison purposes Digitized for FRASER
\ A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures I RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE T T 2 IN FAVOR OF LONDON i IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)! ; :!! i 1 M 1 1 I I i! I i I I I I I I 1 I! i i 1 I 1 I 1 M J s D J S D J S 0 M J S D 1967 1968 1969 1970
Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates IN TERMS OF DM A GERMAN INTERBA ink LOAN RATE/^ P \ 1 EURO DOLLAR r \ j COVERED : h I! i 1! i i h i 1 i i 1 i!! i i i i i i i! ; i 1 I i i i 1 i i! i i 1 i i DIFFERENTIAL [MARKET COVER FAVOR FRANKFURT FAVOR EURO-DOLLAR M J S D M S D J S D M J S D 1967 1968 1969 1970
3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR
V- 3-MONTH INTEREST ARBITRAGE: UNITED STATES CANADA Friday figures 10 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR ] GROSS SPREAD IN FAVOR OF CANADA DISCOUNT "I I 1 T COVERED RATE DIFFERENTIALS ( I FAVOR CANADA TREASURY BiLLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S II I I I I I 1
Chart 12A SELECTED SHORT-TERM INTEREST RATES U.S. H- GERMANY JAPAN CANADA U.S. 1966 1967 1969 1969 1970 * 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate)
SELECTED SHORT-TERM INTEREST RATES # EURO-DOLLAR - LONDON U.S. SWITZERLAND 1966 1967 1969 1970 * 3-month treasury bill rate for U.S., Switzerland-3-month deposit rate. ** 3-month rate for U. S. dollar deposits in London.
Chart 13 LONG-TERM BOND YIELDS Weekly figures CANADA.NETHERLANDS US. SWITZERLAND 10 U.K. EURO-DOLLAR BONDS GERMANY Monthly figures U.S. CORP. DOLLAR EURO BONDS U.S. CORP. Aaa BONDS 1966 1967 IBM 1969 1970 * New series for Switzerland starts 3-3-67. *"* New series for Switzerland starts 8-2-66.
CI-imkT 14 INDUSTRIAL STOCK INDICES 460 400 SWITZERLAND 360 320 280 GERMANY 240 U.S. 200 U.K. 160 320 280-1 240 CANADA 200 160 380 JAPAN 320 280 240 US. 200 1967 1968 1970 160 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange
H. 13 No. 448 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc March 27 + 1.468 German mark -0.190 U.K. pound +0.230 Lower Dutch guilder -0.310 French franc +0.200 Japanese yen +0.650 IB Belgian franc +0.517 Italian lira -0.650 Canadian dollar +0.780 2A German mark March 27-0.62 Swiss franc +0.79 U.K. pound -0.50 2B Dutch guilder. +0.48 Canadian dollar -0.01 French franc -0.77 3A German mark March 20 + 1. U.S. dollar +0.45 3B Swiss franc + 1.43 French franc II -0.25 4 Gold price, U.S. dollar per ounce March 27 35.24 5 Upper Call Euro-S deposits March 25 8.80 Federal Funds H 7.45 Middle Differential + 1.35 Lower Japanese Unconditional Money March 20 8.50 German Call Money March 26 9.625 U.K. 2-day Local Authority Deposits March 20 8.50 French Day-to-day Money March 26 9.375
IV- 2 Chart Panel Series Date Rate 6A Euro-$ Call Rate March 26 8.38 Euro-$ 1-month Rate March 26 8.56 6B Euro-$ 3-month Rate March 26 8.50 Euro-$ 6-month Rate March 26 8.50 7A Upper Euro-S 3-month Deposits March 25 8.75 U.S. Certificate of Deposits March 25 7.90 Lower Differential 7B Upper Euro-$ 3-month Deposits Euro-$ 3-month Deposits (Adj.) U.S. Certificate of Deposits (Adj.) Lower Differential: on Adj. Euro-) Deposits on Unadj. Euro-$ Deposits 8A Upper Euro-$ 3-month Deposits Hire Purchase Deposits (covered) Lower Differential 8B Upper Euro-S 3-month Deposits Local Authority Deposits (covered) Lower Differential 9A U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 96 Upper Spread (+= favor London) 3-month Forward Pound Lower Net Incentive (+= favor London) March 25 +0.85 March 25 8.75 March 25 9.72 March 25 7.18 March 25 +2.54 March 25 + 1.57 Jan. 23 9.69 8.53-1.16 9.69 8.15-1.54 March 26 6.11 March 26 7.06 March 20 9.06 March 26 +0.95 March 26-0.53 March 26 +0.42
IV- 3 Chart Panel Series Date Rate 10A Upper Euro-$ Deposits (covered) March 25 9.39 German Interbank Loan rate 9.56 Lower Differential +0.17 10B Upper Euro-$ Deposits (covered) Lower Swiss Deposit rate Differential 11 Upper Canadian Finance Paper Second Third Bottom U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Bill rate differential Forward Canadian dollar Net incentive on bills Net incentive on Finance Paper 12A Upper U.K. Treasury Bill rate 12B Lower U.S. Treasury Bill rate German Interbank Loan rate Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate Euro-$ Deposits Swiss 3-month Deposit rate U.S. Treasury Bill rate March 25 8.10 March 11 5.50 March 26 7.88 March 27 6.11 March 26 6.76 March 26 7.44 March 27 +0.65 March 26 0 March 26 +0.65 March 26 +0.44 March 26 7.06 March 26 6.11 March 27 9.56 Dec. 26 7.61 March 26 6.76 March 26 6.11 March 27 8.75 March 13 5.50 March 27 6.11
IV- 4 Chart Panel Series Date Rate 13 Upper Netherlands Canada United States Switzerland Middle Germany United Kingdom 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 United States Middle United Kingdom Canada Lower Japan United States March 6 8.28 March 20 8.14 March 25 6.29 March 13 5.70 March 27 7.68 March 20 8.63 March 20 7.32 Feb. 27 8.20 Feb. 27 7.73 March 27 7.92 March 20 375.9 March 20 282.6 March 27 197.13 March 27 220.30 March 19 231.81 March 20 433.38 March 27 197.13