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/?-) r IcUeet+fr August 26, 1970 No. 469 H-13 | ( Division of Intemotiohol Fi nonce Europe end British Common wealth Section C M ;Va0 /T)axk£M > / S E L E C T E D 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 Chart 6A and B Chart 7A and B Chart 8A and B Chart 9A and B Chart 10A and B Chart 11 Chart 1ZA 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 ] A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par SWISS FRANC I f GERMAN MARK U.K. POUND I . Below par Above par JAPANESE YEN r FRENCH FRANC DUTCH GUILDER Below par * D e v a l u a t i o n of the 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 t h e Bundesbank. * * * 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. Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t A b o v e par 1.2 CANADIAN DOLLAR I c i K 4 — y M r ! T " BELGIAN FRANC ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. $ rate not s u p p o r t e d by Bank of Canada. S M S 1970 S D 1971 D 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 1 PREMIUM* GERMAN MARK SWISS FRANC U.K. ROUND DISCOUNT- 1970 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR ^ e r cent per a n n u m W e e k l y averages PREMIUM DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNTJ S S D 1968 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. D S 1970 D S 1971 D C h a r t 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND / Friday f i g u r e s Per cent per a n n u m 24 PREMIUM 20 GERMAN MARK i U.S. DOLLAR DISCOUNT — M J S D 1968 J 1969 S D J 1970 S D S 1971 D C h a r t 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per c e n t per a n n u m PREMIUM^ , SWISS FRANC j \j FRENCH FRANC | DISCOUNT — j s D 1968 M J S 1969 * Devaluation of t h e F r e n c h f r a n c f r o m 4.94 to 5.55 for $ 1 . 0 0 D M 20 J 1970 S D M J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS W e e k ' s a v e r a g e of a f t e r n o o n f i x i n g s U.S. d o l l a r e q u i v a l e n t per fine ounce 44 42 40 38 1 36 (_. 34 s 1968 D M S 1969 1970 U S dollar equivalent per fine ounce 35.3 35.2 If 35.1 35.0 ! i i M * M a r k e t closed M a r c h 15-April 1, 1 9 6 8 ! 1 ! J 1967 ! 1 1 S 1 i ! D ; i M 1968 M J 1971 MARKET SUPPORTED BY GOLD POOL * D S D Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly averages 14 CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS ! v AjuAA.-r^ ! EURO DOLLAR OVER FEDERALFUNDS i i ! i i 1 : ! ! i i i I 1 1 : ! 1 i I 1 ; ! i 1 1 i 11 FOREIGN CURRENCIES* 1 F r i d a y ' s figures Per cent per a n n u m FRANCE i GERMANY -i 10 JAPAN M J S D M 1968 J S 1969 D M J S 1970 D M J 1971 * G e r m a n y , Call Money; U.K., 2-day Local A u t h o r i t y Deposits; Japan, U n c o n d i t i o n a l Money; France, Day-to-day M o n e y CHART6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per c e n t per a n n u m 1-MONTH CAl)l 2 M J S 1967 D M J 1968 S D M J 1969 S D M J 1970 S D LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m 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 U.S. CERTIFICATE OF DEPOSIT T T 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT. M S D 1967 J 1968 S D S 1969 D M S 1970 D Chart 7B 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 " EURO-DOLLAR DEPOSIT ADJUSTED 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 I " ] 14 -CHART 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT., HIRE PURCHASE .FAVOR HIRE PURCHASE DIFFERENTIAL M FAVOR EURO-DOLLAR S D 1967 J 1968 S D M J 1969 S D M S 1970 D + CHART8B 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 v - LOCAL AUTHORITY DEPOSIT ! COVERED i 1 4 —f FAVOR LOCAL AUTHORITY ~j DIFFERENTIAL M FAVOR EURO DOLLAR S D 1967 M S 1968 D S 1969 S 1970 D + INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED M J S D 1967 * P l o t t e d for c o m p a r i s o n purposes M I n J S 1968 D M J S 1969 D M J S 1970 D f INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING j PREMIUM i DISCOUNT -I—SPREAD IN FAVOR OF LONDON v \ r — FORWARD RATE T 2 T IN FAVOR OF LONDON l- —i IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) J s D 1967 J 1968 s D J 1969 S D M J 1970 S D C h a r t 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE/^ EURO-DOLLAR COVERED FAVOR FRANKFURT DIFFERENTIAL MARKET COVER FAVOR EURO DOLLAR 1967 1968 1969 1970 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 a n n u m IN TERMS OF SWISS FRANCS ! EURO-DOLLAR COVERED SWISS DEPOSIT RATE I T FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M J S D 1967 s M 1968 D S 1969 D M S 1970 D • 2 C h a r t 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA Per c e n t per a n n u m Friday f i g u r e s 1 1 10 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS "BILLTRATE'DIFFERENTIAL AND FORWARD CANADIAN DOLLAR 2 GROSS SPREAD IN FAVOR OF CANADA DISCOUNT ^ FORWARD RATE I FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U S I FAVOR CANADA I ! i 2 I • ! 1 ! J ! LJ 2 PRIME FINANCE PAPER FAVOR U S M J S D 1967 M J 1968 SELECTED SHORT-TERM INTEREST RATES* Per e$nt per a n n u m 1 9 GERMANY 1 5 GERMANY ] 3 j n JAPAN 1966 1968 * 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 except Japan (Average rate on bank loans and d i s c o u n t s ) and Germany ( I n t e r b a n k Loan Rate! 2 9 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per c e n t per a n n u m EURO-DOLLAR - LONDON U.S. SWITZERLAND 1966 1967 1968 * 3 - m o n t h t r e a s u r y 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. d o l l a r d e p o s i t s in L o n d o n . 1969 1970 LONG-TERM BOND YIELDS Weekly figures Per cent per annum CANADA .NETHERLANDS 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. 1968 1969 1970 CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale I SWITZERLAND GERMANY CANADA 1967 1968 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 460 H. 13 No. IV. L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series Date 1A Upper Swiss franc Aug. German mark Lower IB 2A 2B + 0.763 U.K. pound - 0.508 Dutch guilder + 0.581 French franc + 0.539 Japanese yen + 0.590 Belgian franc " + 0.726 Italian lira " - Canadian dollar " German mark - + 1.72 5 U.K. pound " - 0.50 " + 1.01 Canadian dollar + 0.51 French franc - Call Euro-S deposits Federal Funds 1.29 + "• " + 1.92 - 0.73 " $35.30 Aug. 19 6.98 " 6.64 Middle Differential " + 0.34 Lower Japanese Unconditional Money " 8.50 German Call Money " 8.06 U.K. 2-day Local Authority Deposits " 6.81 French Day-to-day Money " 8.00 J + 0.45 Gold price, U.S. dollar per ounce Upper 0.03 Dutch guilder Swiss franc 4 0.552 Swiss franc French franc ! - - U.S. dollar 3B + 1.661 21 " German mark 3A Rate _j ; IV- 2 Chart Panel Series Date Aug. Rate 6.88 21 6A Euro-$ Call Rate Euro-$ 1-month Rate " 6B Euro-$ 3-month Rate " 8.06 " 8.44 Euro-$ 6-month Rate 7A 7B Upper Euro-$ 3-month Deposits " 7.80 Lower Differential " + 0.01 Upper Euro-$ 3-month Deposits " 7.81 Euro-$ 3-month Deposits (Adj.) " 8.68 U.S. Certificate of Deposits (Adj J . " Differential: on Adj. Euro-$ Deposits " + " + 0.63 on Unadj. Euro-S Deposits 7 14 Hire Purchase Deposits (covered) Aug. 7l Differential Aug. 7 14 7 14 7 14 7 14 Euro-S 3-month Deposits Lower Upper Euro-S 3-month Deposits Local Authority Deposits (covered) 9A 9B Aug. Aug. Differential Aug. U.S. Treasury Bill rate Aug. 1.50 8.38 8. 25 H , 6 1 Aug. Aug. Upper Lower 7. 18 o o 8B 7.81 19 U.S. Certificate of Deposits Lower 8A Aug. 7.88 - 21 8.38 8.25 7.45 7. 17 0.93 1.08 6.27 U.K. Treasury Bill rate 6.69 Local Authority Deposit (uncovered) 7.47 Upper Spread (+= favor London) + 0.42 3-month Forward Pound - 0.53 Lower Net Incentive (+= favor London) - 0. 11 IV-3 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Aug. German Interbank Loan rate Lower 10B Upper Lower 11 Upper 9.25 + Differential 1.61 Euro-$ Deposits (covered) 6.01 Swiss Deposit rate 5.50 Differential Canadian Finance Paper - 0.51 " Aug. 21 8.25 6. 27 " Canadian Treasury Bill rate " 5.47 U.S. Prime Finance paper (not plotted) " 7.50 Bill rate differential - 0.80 Forward Canadian dollar 12A 7.64 10 " U.S. Treasury Bill rate Second Rate Date + 0.69 " Third Net incentive on bills " - 0. 11 Bottom Net incentive on Finance Paper " 4- 1 . 4 4 Upper U.K. Treasury Bill rate " 6.69 U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 12B 6.27 9.25 " June Aug. 30 7.661 21 5.47 U.S. Treasury Bill rate " 6.27 Euro-$ Deposits " 8.06 Swiss 3-month Deposit rate " 5 . 50 U.S. Treasury Bill rate " 6.27 IV- 4 Chart Panel Series Date 13 Upper Netherlands July Canada Middle Lower Upper Middle 8.26 12 7.66 United States Aug. 19 6.85 Aug. 21 5.04 Germany Aug. 21 7.80 United Kingdom Aug. 21 9.32 Euro-dollar bonds Aug. 21 7. 70 U.S. Corp. Dollar Euro-bonds July 31 8.83 U.S. Corp. DM Euro-bonds July 31 7.79 J u l y 31 8.44 Switzerland Aug. 21 359.4 Germany Aug. 7 258.60 . United States Aug. 21 156.58 United Kingdom Canada Lower 31 Switzerland U.S. Corp. Aaa bonds 14 Aug. Rate Aug. July 21 190.13 31 191.61 Japan Aug. Aug. 14 21 373.13 377.19 United States Aug. 21 156.58
@FedFRASER