April 22, 1970 No. 451 H-13 Division of International Finance Europe and British Commonwealth Section //A L / f ' nr <*&»* SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. 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 - 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, tiiich 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 MARKl U.K. POUND MJ Below par Above par DUTCH GUILDER Par JAPANESE YEN FRENCH FRANC Below par S D S D S D 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 ****RevalUatj0n of the DM from 25.00 to 27.32 in U S. cents. Digitized for FRASER
Chart IB SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages CANADIAN DOLLAR A ITALIAN hlira BELGIAN FRANC D M S S S D 1967 1968 1969 1970
< 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT- S M S D S S 1967 1968 1969 1970
Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 28 S D s s M s 1967 1968 1969 1970 * Devaluation of the French franc from 4 94 to 5 55 for $1 00
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNT-
Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT M S D J M S D M D S S D 1967 1968 1969 1970 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 20
GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings 47.0 45.0 43.0 35.3 i- j 39.0 35.2 i 35.1 1-35.0 35.0 1967 1968 1969 1970 * Market closed March 15 April 1. 1968
Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS ' i 1 I 1 I!! I I 1 I!. 1 ' ; FOREIGN CURRENCIES Friday figures 12 FRANCE 10 GERMANY M J S D M J S D M J S D M J 1967 1968 1969 1970 * Germany, Call Money; U K, 2-day Local Athority Deposits; Japan, Unconditional Money, France, Day-to-day Money
LONDON: EURO DOLLAR DEPOSIT RATES Friday figures CALL
\y CHART 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 6-MONTH 3-MONTH s D M s D S S D 1967 1968 1969 1970
: YIELDS ON U.S. DOLLAR FUNDS IT RATES-SECONDARY MARKET Per cent per ar 14 13 12 11 EURO-DOLLAR DEPOSIT -4 10 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT 5 4 3 6 5 4 R U.S. CERTIFICATE OF DEPOSIT 3 2 1 0 1
W ) NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures ~ 1 1 14 EURO-DOLLAR DEPOSIT ADJUSTED - : j 13 12 11 10 EURO DOLLAR DEPOSIT 9 U.S. CERTIFICATE OF DEPOSIT ADJUSTED 3 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED* 1967 1970 * 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 EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED 1.FAVOR HIRE PURCHASE DIFFERENTIAL S J S 1967 1968 1969 1970 D
CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT FAVOR LOCAL AUTHORITY + DIFFERENTIAL ifavor EURO-DOLLAR J S D J S D M J S D S D 1967 1968 1969 1970
r\ INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED 1 LONDON NEW YORK S J S s s D M J D M D 1967 1968 1969 1970 * Plotted for comparison purposes
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE T T 2 IN FAVOR OF LONDON -4-IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) j ; J! I 1 I i, i :. _L-l_i_L_L.l_l_L.i_J 12 M J S D M J S D M J S D M j S D 1967 1968 1969 1970 10
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates IN TERMS OF DM H 12 10 GERMAN INTERBANK LOAN RATE N A/V EURO-DOLLAR COVERED DIFFERENTIAL MARKET COVER FAVOR FRANKFUR FAVOR EURO DOLLAR
^0 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF SWISS FRANCS 14 EURO DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR EURO DOLL AR M J S D M J S ' D M j 1967 1968 1969 J S D 1970
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures T 10 CANADIAN TREASURY BILLS PAPER UNITED STATES TREASURY BILLS ibill RATE DIFFERENT!. AL AND FORWARD CANADIAN DOLLAR^ ' i GROSS SPREAD IN FAVOR OF CANADA t i 1, i ' -T., /! _ i v! 1 PREMIUM.1 '! : j j, FORWARD RATE :.. i ' -1.. l J i -L- ;... J i DISCOUNT 1. 1 COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS - 0 FAVOR U S... I. 2 FAVOR CANADA PRIME FINANCE PAPER FAVOR US
Chart 12A SELECTED SHORT-TERM INTEREST RATES U.K. t U.S. GERMANY 2 9 JAPAN " CANADA U.S. L_., - m::.. ; J 2 1966 1967 1968 1969 1970 * 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate)
Chart 12B SELECTED SHORT-TERM INTEREST RATES * EURO-DOLLAR - LONDON SWITZERLAND 1966 1967 1968 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.
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. DM EURO-BONDS U.S. CORP. Aaa BONDS 1966 1967 1968 1969 1970 * New series for Switzerland starts 3-3-67. ** New series for Switzerland starts 8-2-68.
CHART 14 INDUSTRIAL STOCK INDICES 460 400 T SWITZERLAND 360 320 280 GERMANY 240 200 160 280 240 CANADA ' 200 160 380 JAPAN 320 280 240 U.S. 200 1967 1968 1969 1970 160 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange
No. 451 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc April 17 +1.665 German mark " +0.585 U.K. pound " +0.262 Lower Dutch guilder -0.391 French franc " +0.389 Japanese yen +0.560 IB Belgian franc +0.643 Italian lira " -0.659 Canadian dollar +0.754 2A German mark April 17-1.52 Swiss franc +0. 16 U.K. pound M -0.47 26 Dutch guilder " +0.54 Canadian dollar " +0.11 French franc II -1.00 3A German mark April 10-0.56 U.S. dollar April 10 +0.45 3B Swiss franc April 10 +0.69 French franc April 10-0.47 4 Gold price, U.S. dollar per ounce April 17 35.65 5 Upper Call Euro-$ deposits April 15 7.30 Federal Funds 8.02 Middle Differential i; -0.72 Lower Japanese Unconditional Money April 10 8.25 German Call Money April 17 9.688 U.K. 2-day Local Authority Deposits April 10 8.25 French Day-to-day Money April 17 8.625
/- I IV-2 Chart Panel Series Date Rate 6A Euro-$ Call Rate April 17 7.50 Euro-S 1-month Rate i; 8.00 6B Euro-$ 3-month Rate H 8.00 Euro-$ 6-month Rate II 8.00 7A Upper Euro-S 3-month Deposits April 15 8.06 U.S. Certificate of Deposits April 15 7.25 Lower Differential April 15 +0.81 7B Upper Euro-$ 3-month Deposits April 15 8.06 Euro-$ 3-month Deposits (Adj.) H 8.96 U.S. Certificate of Deposits (Adj.) II 7.18 Lower Differential: on Adj. Euro-$ Deposits II +1.78 on Unadj. Euro-$ Deposits +0.88 8A Upper Euro-$ 3-month Deposits April 3 8.75, Hire Purchase Deposits (covered) 8.61 Lower Differential If -0.14 8B Upper Euro-S 3-month Deposits If Local Authority Deposits (covered) II 8.75 8.30 Lower Differential -0.45 9A U.S. Treasury Bill rate April 17 6.34 U.K. Treasury Bill rate If 6.60 Local Authority Deposit (uncovered) April 10 8.53 9B Upper Spread (+= favor London) April 17 +0.26 3-month Forward Pound April 17-0.39 Lower Net Incentive (+= favor London) April 17-0.13
IV-3 Chart Panel Series Date Rate 10A Upper Euro-$ Deposits (covered) Lower German Interbank Loan rate Differential 10B Upper Euro-) Deposits (covered) Lower Swiss Deposit rate Differential 11 Upper Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) April 15 9.64 April 15 9.56 April 15-0.08 April 15 7.98 April 15 5.50 April 15-2.48 April 17 8. 00 II 6.34 If 6.40 7.25 Second Bill rate differential II +0.06 Forward Canadian dollar +0. 11 Third Net incentive on bills II +0. 17 Bottom Net incentive on Finance Paper +0.86 12A Upper U.K. Treasury Bill rate April 17 6.60 U.S. Treasury Bill rate 6.34 Lower German Interbank Loan rate Japanese Average rate Canadian Treasury Bill rate II 9.56 Feb. 27 7.62 April 17 6.40 U.S. Treasury Bill rate 6.34 12B Euro-$ Deposits 8.00 Swiss 3-month Deposit rate U.S. Treasury Bill rate II II 5.50 6.34
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 April 15 7.68 April 15 6.41 April 10 5.80 April 17 7.63 April 9 8.65 April 10 7.32 Feb. 27 8.20 ff 7.73 March 27 7,92 April 17 369.1 April 7 289.80 April 17 192.10 April 10 216.26 April 9 234.57 April 10 440. 90 April 17 192.10 1