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August 12, 1970 No. 467 H-13 Division of International Finance Europe end British Common wealth Section 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-Mohth 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 Per c e n t A b o v e par SWISS FRANC 1.6 | L GERMAN MARK U.K. POUND 1 U.S. Below par Above par FRENCH -J FRANC- JAPANESE -IYEN ! U.S. DUTCH GUILDER B e l o w par M J S D M 1968 J S D 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 . 9 4 to 5.55 for $1.00. * * DM rate not s u p p o r t e d by the B u n d e s b a n k . * * * R e v a l u a t i o n of the DM f r o m 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 c e n t Above par CANADIAN DOLLAR BELGIAN FRANC ITALIAN LIRA _i— M J S D M 1968 J 1969 * Can $ rate not s u p p o r t e d by Bank of Canada S 1971 Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per c e n t per a n n u m Weekly averages PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT ! 1 L-J j !--l * C h a r t 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR W e e k l y averages P e r c e n t per a n n u m DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 ; S D 1968 M J DISCOUNT- S 1969 * D e v a l u a t i o n of the F r e n c h 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 32 D S S 1970 1971 C h a r t 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per a n n u m Friday f i g u r e s I I 24 PREMIUM* DOLLAR DISCOUNT — L_i 1970 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per a n n u m Friday f i g u r e s PREMIUM 12 SWISS FRANC 4 — FRENCH FRANC I- I DISCOUNT M J S D 1968 M J S D 1969 * Devaluation of the F r e n c h franc f r o m 4 94 to 5 55 for $1 00 M j S 1970 D M j S 1971 D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. d o l l a r e q u i v a l e n t per fine ounce W e e k ' s a v e r a g e of a f t e r n o o n fixings 44 38 36 34 s S 1968 1969 1970 1971 MARKET SUPPORTED BY GOLD POOL US dollar equivalent per fine ounce •~j 35.3 35.2 35.0 M * M a r k e t closed March 15 A p r i l 1, 1 9 6 8 J 1967 S D 1968 D V Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly a v e r a g e s ! ! ! i i ! ' I j 14 1 — I i c t w — j ! | 1 1 ! i CALL EURO DOLLAR DL•POSITS / / ^ i H Per cent per a n n u m 1 12 10 Y2^/ 1v 1 VArV 1 1 ; i i/nL W J CFFDFRAIi FUNDS " r .1. . L . J . . . : . . J . j... . i i EURO DOLLAR OVER FEDERAL FUNDS I I I 11 1 I I I I I I I I ! 1 I 1 I FOREIGN CURRENCIES* Per cent per a n n u m Friday figures i i i ! I 1 ! 12 1 i i ! JL j 1 i FRANCE 1 1 I cSERMANY f\ U.K PI Uv ! i : I ! ! 1i r F r ^ r nia a v/ GERMANY i ! r V ! .. i. 111 M i I J S i i !; D M 1967 J i l i i S 1968 U . K > It JAPAN J n i l D M J . 'l.L S 1969 i i D M S 1970 ' G e r m a n y , Call M o n e y ; U K , 2-day Local Athority Deposits; Japan, U n c o n d i t i o n a l Money; France, Day-to-day Money. i i I i J D LONDON: EURO DOLLAR DEPOSIT RATES F r i d a y figures Per c e n t per a n n u m 13 12 11 10 9 8 1 MONTH 7 6 CALL 4 3 2 M J S D M 1967 J S 1968 D M J 1969 S D M J S 1970 D LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Chart 7A 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 -1 ^ U.S. CERTIFICATE OF DEPOSIT T T 1 | EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT. S M S D 1967 1968 J 1969 s D M J 1970 S D 6 Chart 78 NEW YORK LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday f i g u r e s Per cent per a n n u m ~"i j ]— ' y EURO DOLLAR DEPOSIT f ~f- ADJUSTED EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT | ADJUSTED* 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I | J S D 1967 M J 1968 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% Marginal Reserve Requirement S ADJUSTED D M S 1969 D S 1970 D CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Per cent per annu Friday figures 1 HIRE PURCHASE COVERED N - - , 1 V A I Af V / / V k . FAVOR HIRE PURCHASE v> zv [//] - p - / - - ~ DIFFERENT IAL 1 ! 11 | I I l i i I 1 1 ! 1967 1 1 1 1968 i i FAVOR 1EURO-DC)LLAR I 1 1 1 1 1 1969 1 1 1 1 1 1 1 1 1 1 1 1 1970 10 CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday f i g u r e s Per cent per a n n u m EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT I COVERED j ' -•« FAVOR LOCAL AUTHORITY DIFFERENTIAL J ? 1 FAVOR EURO DOLLAR S J D 1967 1968 1969 1970 S D + INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED 1 LONDON NEW YORK S D 1967 * P l o t t e d for c o m p a r i s o n purposes S 1968 D S 1969 D S 1970 D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures , Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON V DISCOUNT v\ FORWARD RATE r „, 2 T T IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1967 M S 1968 D M S 1969 D M J 1970 S D 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKHJRT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM 10 GERMAN INTERBANK LOAN RATE EURODOLLAR DIFFERENTIAL 1 1 i _ j - i L i M i i i J i S 1 i i h D 1967 FAVOR FRANKFURT L A R K E T COVE*t j r i 1 i i M ; i J 1968 i S i i kJV/l / V / ^ J i D ^ 1 M J S 1*69 D M , FAVOR EURO DOLLAR 1 1 1 1 1 1 1 1 1 1 J S 1970 D C h a r t 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per c e n t per 14 IN TERMS OF SWISS FRANCS 12 10 EURODOLLAR COVERED 8 6 4 SWISS DEPOSIT RATE 2 FAVOR ZURICH DIFFERENTIAL 2 + 0 2 4 6 FAVOR EURO DOLLAR M J S D 1967 M J S 1968 D M J S 1969 D M J 1970 S D 8 V 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 4 TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I i ! I I i GROSS SPREAD IN FAVOR OF CANADA ~ -FORWARD RATE 7 I ! I 7 COVERED RATE DIFFERENTIALS DISCOUNT I _ l I FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S I I I ! 2 Chart 12A SELECTED SHORT-TERM INTEREST RATES ient per a n n u m GERMANY U.K. / U.S., GERMANY 9 JAPAN /V " ~ \ 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) 1970 SELECTED SHORT-TERM INTEREST RATES * Per c e n t per a n n u m EURO-DOLLAR - LONDON ** SWITZERLAND 1966 1967 1968 * 3-month treasury bill rate for U S:, S w i t z e r l a n d - 3 month deposit rate. * * 3 - m o n t h rate for U. S. dollar deposits in London. 1969 1970 LONG-TERM BOND YIELDS Weekly f i g u r e s CANADA NETHERLANDS U S. I * ** — SWITZERLAND 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 S w i t z e r l a n d starts 3 3 67 * * New series for S w i t z e r l a n d starts 8 2 68 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES 460 400 SWITZERLAND — I 360 - 280 GERMANY 240 U.S. 200 160 320 - 280 240 CANADA 200 J ~! 160 380 320 JAPAN 280 240 U.S. 1967 1968 H 200 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 1970 H. 13 No. IV. LATEST FIGURES P L O T T E D ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Date ; August 7 Rate ; + 1.647 + 0.797 German mark U.K. pound Dutch guilder Lower French franc Japanese yen - Belgian franc IB - 0.394 j + I + 0.537 0.605 j + 0.352 : + 0.728 - 0.675 Italian lira : Canadian dollar 2A German mark 2B 3A August 7 i - 0.06 Swiss franc j + 1.54 U.K. pound ! - 0.16 Dutch guilder 1+ 0.97 j Canadian dollar j + 0.52 j French franc 1 - 1.21 ; German mark August 7 U.S. dollar Swiss franc 3B ! 5 Upper i Gold price, U.S. dollar per ounce I August 7 0.09 + 1-51 ; - 0.98 i 35.32 Call Euro-S deposits 5 ! 7.12 Federal Funds 5 1 6.93 5 : Middle Differential Lower Japanese Unconditional Money July German Call Money August 7 August 7 0.12 : + j French franc 4 . + 31 U.K. 2-day Local Authority Deposits .1. + i 0.19 8.50 8.00 ... French Day-to-day Money — "7.19 8.12 : i . ^ IV- 2 Chart Date Series Panel 6A Euro-S Call Rate Euro-S 1-month Rate " 8. 25 6B Euro-S 3-month Rate " 8.31 Euro-S 6-month Rate " 8.75 7A 78 Upper August Euro-S 3-month Deposits August 8. 12 Lower Differential " + 0.24 Upper Euro-S 3-month Deposits " 8. 12 Euro-S 3-month Deposits ( A d j J » 9.02 U.S. Certificate of Deposits (Adj.) " 7. 18 Differential: on Adj. Euro-S Deposits " 1.84 " + 0.94 Upper Euro-S 3-month Deposits July Upper j Lower 9A Lower 8.85 Differential " Euro-S 3-month Deposits « Local Authority Deposits (covered) " 8.29 Differential " - - U.S. Treasury Bill rate August U . K . Treasury Bill rate " L o c a l Authority Deposit (uncovered) Upper 8.88 17 » S 00 Lower 96 5 7. 88 Hire Purchase Deposits (covered) 86 7.38 " on Unadj. Euro-S Deposits 8A 7 U.S. Certificate of Deposits Lower 1 Rate Spread favor London) July ! 7 0.03 0.59 6.42 6.69 31 August 7.66 7 + 0.27 3-month Forward Pound ! " - Met Incentive (+= favor London) 1 j " + 0.09 0.18 IV - 3 Chart Panel Series 10A Upper Euro-S Deposits (covered) Lower Differential Date August 5 German Interbank Loan rate 10B Upper Lower 11 Upper Second 8.23 9. 19 " 1 + 0.96 Euro-S Deposits (covered) August 5 6. 59 Swiss Deposit rate July 5.50 29 Differential Canadian Finance Paper 8. 25 August 7 U.S. Treasury Bill rate " 6.42 Canadian Treasury Bill rate " 5.62 U.S. Prime Finance paper (not plotted) " 7. 50 Bill rate differential " - Forward Canadian dollar " + 0.61 Net incentive on bills " - 0.19 Bottom Net incentive on Finance Paper " + 1.36 Upper U.K. Treasury Bill rate Third 12A Rate Lower 6.69 U.S. Treasury Bill rate " 6.42 German Interbank Loan rate " 9. 19 Japanese Average rate Canadian Treasury Bill rate 12B August 7 0.80 May 30 7.647 August 7 5. 62 U.S. Treasury Bill rate " 6.42 Euro-S Deposits " 8. 31 Swiss 3-month Deposit rate July U.S. Treasury Bill rate August 31 5. 50 7 6.42 IV - 4 Chart Panel Series 13 Upper Netherlands Date July 31 8.26 „ 27 7.69 Canada United States Middle Lower 14 Upper • Middle August 5 6.53 Switzerland July Germany August 7 7.84 United Kingdom July 9. 10 31 31 5.96 Euro-dollar bonds August 7 7. 70 U.S. Corp. Dollar Euro-bonds June 30 9.38 U.S. Corp. DM Euro-bonds " U.S. Corp. Aaa bonds " 8.48 Switzerland August 7 357.8 Germany July 248.80 United States August 7 United Kingdom Canada Lower Rate Japan United States 23 192.82 " July „ 171. 88 23 190.83 31 374.65 August 7 171.88
@FedFRASER