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August 13, 1969 No. 415
H-13
Division of Inlemotionol Finance Europe end British Commonweal* Section
AUu l b
TiEDEm.
^
o r RICHMOND
SELECTED INTEREST &
EXCHANGE RATES
FOR MAJOR COUNTRIES &
THE US.
W E E K L Y SERIES O F C H A R T S
BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM
TABLE OF CONTENTS
PART I. EXCHANGE RATES AND GOLD PRICES
Chart 1A and I B - Spot Exchange Rates, Major Currencies against U.S. Dollar
Chart 2
- 3-Mpnth Forward Exchange Rates, Major Currencies against
U.S. Dollar
Chart 3
- 3-Monfii 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 & 6B
Chart 7
Chart 8
Chart 9A and 9B
Chart 10
Chart 11
Chart 12
-
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, vtfiich accompanied issue dated January 1,1969.
3
Chart 1A
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
z w
1.6
SWISS FRANC
|Par
GERMAN MARK]
U.K. POUND,
{Below par
|Above par
DUTCH GUILDER,
{Par.
iwith
dolSr
JAPANESE YENr
FRENCH FRANC
I Below par
1967
1968
* Devaluation of the U.K. pound from $2.80 to $2.40.
1969
1970
Chart IB
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
1.2
CANADIAN DOLLAR
ITALIAN
[LIRA —
with
U.S.
BELGIAN FRANC
1.2
Below par
M
J
S
D
1967
M
S
1968
D
M
J
1969
S
D
J
1970
S
D
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR
Weekly averages
Per cent per annum
GERMAN MARI
SWISS FRANC
U.K. POUND
DISCOUNT—
M
J
S
D
1967
M
J
1968
S
D
M
J
1969
S
D
M
J
1970
S
D
I
Chart 2B
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR
Weekly averages
Per cent per annum
PREMIUM*
DUTCH GUILDER
CANADIAN DOLLAR \ A
I
FRENCH FRANC
20
24
28
DISCOUNT—
M
J
s
D
1967
M
J
1968
S
D
M
32
J
1969
S
D
M
J
1970
S
D
<1
Chart 3A
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
U S. DOLLAR
I
I I
I I
I I
I I
DISCOUNT—
I I '
Chart 3B
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
PREMIUMS-
SWISS FRANC
FRENCH FRANC
DISCOUNT—
M
J
1967
S
D
M
J
1968
S
D
20
M
J
1969
S
D
M
J
1970
S
D
4
GOLD PRICE IN LONDON, 12.5 Kg BARS
Week's average of afternoon fixings
U.S. dollar equivalent per fine ounce
47.0
45.0
43.0
35.3
41.0
35.2
39.0
35.1
37.0
35.0
35.0
M
J
S
D
1967
* Market closed March 15 April 1,1968
I
M
S
1968
D
M
J
1969
S
D
M
J
1970
S
D
\°
Chart 5
CALL MONEY RATES
DOLLAR FUNDS
Weekly averages
Per cent per annum
14
12
\
/
a
AA
10
C A L L EURID - D O L I. A R D l ;POSIT
k JJ
L/
b r wY V V
V y
V
~1
1
1 1
i
i
i
'\7C>V
7
J
rv
D E R A L . F U N DIS
j*/VL\AA
HV
i
i
i
>IT
/
-
i
EUIRO-DOIL L A R C I V E R 1 E D E R / <1 F U N
i 1 i i 1
i i I
I
I
I
I
FOREIGN C U R R E N C I E S *
Friday's figures
I
-
I
Per cent per annum
12
F R A N CE
A
j
P
t
J
S
D
M
1967
J
V
S
1968
/
J A PAN
VJ
1 y 1 1 l1 1
M
10
ir
UK
D
M
1 1 1 1, 1 1 1 1, 1 1, 1 1,
J
S
1969
D
M
J
S
1970
•Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money.
D
\\
CHART6A
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
Per cent per per annum
1-MONTH
CALL
M
J
S
D
M
1967
J
S
1968
D
M
J
1969
S
D
M
J
S
1970
D
CHART 6B
LONDON: EURO-DOLLAR DEPOSIT RATES
Friday figures
Per cent per annum
\
K
I >-MONTH
>
y iVi
V \/
1
B-MONTH
V
1 1
M
1 1
1 1
J
S
11
1 1
D
1967
M
1 1
1 1
J
1968
S
1 1
D
1 1
M
1 1
I I
J
1969
M
S
D
1 1
M
1 1
1 1
J
1970
S
1 1
D
Chart 7
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET
Per cent per annum
Wednesday figures
EURO DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
T
T
T
1 — i
1
r
EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
2
3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET
Wednesday figures
AUG. 6 10.00 Per cent per annum
EURO DOLLAR DEPOSIT
U S. CERTIFICATE OF DEPOSIT
ADJUSTED)*"
|
|
[
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
ADJUSTED^
M
J
S
D
1966
* Adjusted for Reserve Requirement
J
1967
D
M
J
1968
S
D
M
J
1969
S
D
CHART 8
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE AND EURO-DOLLAR RATES
Friday figures
Per cent per annum
EURO DOLLAR DEPOSIT
HIRE PURCHASE
COVERED
FAVOR HIRE PURCHASE
DIFFERENTIAL
+
'FAVOR EURO-DOLLAR
LOCAL AUTHORITY AND EURO-DOLLAR RATES
Friday figures
Per cent per annum
EURO DOLLAR DEPOSIT
LOCAL AUTHORITY DEPOSIT
COVERED
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
1966
FAVOR EURO-DOLLAR
1967
1968
1969
$
CHART 9A
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday's Figures
Per cent per annum
3-MONTH TREASURY BILL RATES
U K. LOCAL AUTHORITY DEPOSITS*
UNCOVERED
I
A
I
LONDON
NEW YORK
M
J
S
D
1966
' P l o t t e d for comparison purposes.
M
J
1967
S
D
M
J
1968
S
D
M
J
1969
S
D
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per annum
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
SPREAD IN FAVOR OF LONDON
V
PREMIUM
DISCOUNT
Y \
FORWARD RATE
IN FAVOR OF LONDON
IN FAVOR OF NEW YORK
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
1966
1967
1968
1969
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE
Wednesday rates
Per cent per a n n u m
8
IN TERMS OF DM
GERMAN
INTERBAN
Wi
EURODOLLAR
COVERED
I
, DIFFr ERENlriAL
1
m IRKET
J
1
/ V l
KL
. -
!
OR FRAhJKFURT
1
COVEFt
J
J
BUNIDESBANK COVER*
1 1
1 1
I
1 1
I
1 1
1 I
1 1
I
I
1 1
1
I
1
!
1
1 !
1
FAVOR EURO-DiOLLAR
1 1 1 1 1 1 ! 1
ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE
Wednesday rates
Per cent per annum
IN TERMS DF SWISS FRANCS
EURO-DOLLAR
COVERED
SWISS DEPOSIT RATE
!
1
"AVOR 2 URICH
1
1
DIFF ERENlriAL
\ Y A yW
A
AV
1 1
1
M
I
I
J
1 1
i
S
l
1
D
1966
* For details
M
1
1
J
1967
issue No. 398 dated April 16, 1969
i
i
i
S
i
i
D
i
i
M
i
11
J
1968
i
S
I
i
i
D
'FAVOR EURO-DIDLLAR
>6 1 1
1 11 u"
i
M
J
1969
S
D
8
\t
CHART 11
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA
Friday figures
Per cent per annum
CAN. FIN. CO. PAPER
TpvAL-
UNITED STATES TREASURY BILLS
CANADIAN TREASURY BILLS
BILL RATE DIFFERENTIAL AND FORWARD
iDIANE^LLAR
GROSS SPREAD IN FAVOR OF CAlfX
! DISCOUNT
FORWARD RATE
FAVOR CANADA
COVERED RATE DIFFERENTIALS
TREASURY BILLS
'FAVOR U S.
PRIME FINANCE PAPER
AUOR CANADA
FAVOR U.S..
1966
1967
1968
1969
SELECTED SHORT-TERM INTEREST RATES*
Per cent per annum
EURO DOLLAR - LONDON
U.K.
US.
SWITZERLAND
9
JAPAN
CANADA,
US.
GERMANY
1965
1966
1967
1968
• 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts)
Switzerland (3-month deposit rate) and Germany (Interbank Loan Rate)
* * 3-month rate for U.S. dollar deposits in London.
1969
LONG-TERM BOND YIELDS
Weekly figures
Per cent per ar
8
NETHERLANDS
6
4
SWITZERLAND
I I I I I I I I I I I
l
i
l
l
I I I 1 II 1 1 I I I I 1 I I 1 I I 1 II I 1
10
8
6
EURO-DOLLAR BONDS
8
U.S. CORP. DOLLAR EURO-BONDS
U.S. CORP. DM EURO-BONDS
6
U.S. CORP. Aaa BONDS
1965
M i l l !
1966
New series for Switzerland starts 3^-67.
New series for Switzerland starts 8-2-68.
II I M I II II I II II M II I M
1967
1968
4
I I I
1969
CHART 14
,1958=100
Ratio scale
INDUSTRIAL STOCK INDICES
~~1 4 2 0
SWITZERLAND
Japan index of 225 industrial and other stocks traded on the Tokyo exchange;
j f y
H. 13
No. 415
IV. LATEST FIGURES PLOTTED ON THE CHARTS
Chart
Panel
Series
Date
1A
Upper
Swiss franc
Aug.
Lower
2
Upper
Lower
3
Upper
Lower
4
5
Upper
Lower
+1.46
"
-0.11
U.K. pound
"
-0.38
Dutch guilder
"
-0.05
French franc
n
-n
Japanese yen
"
+0.08
„
76
-0.50
Italian lira
"
-0.63
Canadian dollar
"
40.20
German mark
11
+6.22
Swiss franc
II
-m A I
U.K. pound
"
Dutch guilder
»
Canadian dollar
French franc
-2.76
-0.61
"
40.86
"
German mark
„
-4.11
+7.nn
U.S. dollar
ii
+2.61
Swiss franc
»
+2.86
French franc
"
-1.37
Gold price, U.S. dollar per ounce
"
41.12
Call Euro-S deposits
Federal Funds
Middle
8
German mark
Belgian franc
IB
Rate
Differential
Aug.
6
"
8.98
9.57
- 0 . 59
„
Japanese Unconditional Money
J u l y 25
7.66
German Call Money
8
1
6.06
U.K. 2-day Local Authority Deposits
Aug.
Aug.
8.88
French Day-to-day Money
Aug.
8
8.88
<p
IV - 2
Chart
Panel
Series
Date
6
Upper
Euro-S Call Rate
Aug.
Euro-$ 1-month Rate
Lower
Upper
7
Second
Third
Fourth
Upper
8
-
Second
Third
Fourth
Euro-$ 3-month Rate
"
10.38
Euro-$ 6-month Rate
"
10.31
Euro-$ 3-month Deposits
Aug.
Lower
10
Upper
8.40
Differential
"
+1.60
10.00
Euro-S 3-month Deposits
"
U.S. Certificate of Deposits (Adj.)
"
6.38
Differential
"
+3.62
Euro-S 3-month Deposits
Aug.
1
10.44
Hire Purchase Deposits (covered)
"
7.13
Differential
"
-3.31
10.44
Euro-S 3-month Deposits
"
Local Authority Deposits (covered)
"
6. 63
Differential
"
-3.81
Aug.
8
Aug.
6.94
7.64
"
1
9.38
Spread (+ = favor London)
it
3-month Forward Pound
"
-2.80
Net Incentive {+ = favor London)
"
-2.10
Euro-S Deposits (covered)
Second
Differential
Third
Euro-$ Deposits (covered)
10.00
"
German Interbank Loan rate
Fourth
6
U.S. Certificate of Deposits
Local Authority Deposit (uncovered)
Upper
9.62
10.25
U.K. Treasury Bill rate
9B
8
"
U.S. Treasury Bill rate
9A
Rate
Aug.
+0.70
6
40.43
"
July
5.95
6.38
"
30
9.86
Swiss Deposit rate
"
5.00
Differential
"
-4.86
IV- 3
Chart
Panel
Series
Date
11
Upper
Canadian Finance Paper
Aug.
Rate
8
U.S. Treasury Bill rate
8.12
6.94
Canadian Treasury Bill rate
H
U.S. Prime Finance paper
"
7.36
7.88
(not plotted)
Middle
Lower
Bill rate differential
ii
+0.42
Forward Canadian dollar
H
+0.78
„
..
Net incentive on bills
Net incentive on Finance Paper
12
Upper
Euro-$ Deposits
„
U.K. Treasury Bill rate
II
Lower
Middle
Lower
Aug.
6.94
1
5.00
May 30
7.36
Canadian Treasury Bill rate
Aug.
H
7.36
German Interbank Loan rate
Upper
7. 64
Japanese Average rate
U.S. Treasury Bill rate
13
10.38
i«
U.S. Treasury Bill rate
Swiss 3-month Deposit rate
+ 1 . 20
+1.02
8
6.94
6.38
"
Netherlands
J u l y 25
7. 74
Canada
6
7.38
United States
Aug.
it
Switzerland
July
25
4.98
Germany
Aug.
1
6.73
United Kingdom
Euro-dollar bonds
Aug. 7
Aug. 8
9.14
7.10
U.S. Corp. Dollar Euro-bonds
Jun.
U.S. Corp. DM Euro-bonds
U.S. Corp. Aaa bonds
„
July
5.AQ
30
7.52
6.17
31
7.08
-
IV-4
Chart
Panel
Series
14
Upper
Switzerland
Aug.
Germany
J u l y 31
United States
Aug.
United Kingdom
Lower
Japan
Date
Rate
8
8
382.7
276.4
208.6
212.4
"
326.4
"
Canada
Aug.
1
209.1
United States
Aug.
8
208.6
@FedFRASER