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January 20, 1971 No. 489
i of International Finance Europe and British Commonwealth Section
SELECTED INTEREST &
EXCHANGE RATES
FOR MAJOR COUNTRIES &
THE US.
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.
C h a r t 1A
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
"
Per cent
Above par
SWISS FRANC
1.6
{ GERMAN MARK
U.K. POUND
|
Below par
] ~ ~ A b o v e par
FRENCH
FRANC-
JAPANESE
YEN
U.S.
DUTCH GUILDER
B e l o w par
S
1968
M
J
S
D
1969
* 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 t o 5.55 for $1.00.
* * DM rate n o t s u p p o r t e d by the Bundesbank.
* * * R e v a l u a t i o n of t h e 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
Percent
Above par
1.2
CANADIAN DOLLAR
I
r
BELGIAN FRANC
ITALIAN LIRA
1.2
Below par
M
S
D
1968
J
1969
* Can. $ rate not s u p p o r t e d by Bank of Canada.
S
D
M
J
1970
S
D
M
J
1971
S
D
Chart 2A
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per c e n t per a n n u m
PREMIUM*
GERMAN MARK
SWISS FRANC
U.K. POUND
DISCOUNTS
D
1968
M
J
1969
S
D
M
J
1970
S
D
M
J
1971
S
D
C h a r t 2B
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Wee kly averages
Per cent per a n n u m
PREMIUM*
DUTCH GUILDER
CANADIAN
DOLLAR
FRENCH FRANC
20
24
28
j
s
D
1968
M
J
DISCOUNT
S
1969
* Devaluation 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
32
M
J
1970
S
D
S
1971
D
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
U.S. DOLLAR
DISCOUNT—
J
S
D
1968
S
1969
D
M
S
1970
D
M
J
1971
S
D
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
FRENCH FRANCi
j
M
J
S
D
1968
J
DISCOUNT—
S
1969
" D e v a l u a t i o n of t h e F r e n c h franc f r o m 4.94 to 5.55 for $ 1 . 0 0
D
20
J
1970
s
D
M
S
1971
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 o u n c e
44
42
38
36
34
s
1968
s
D
M
J
1969
S
1970
MARKET SUPPORTED BY GOLD POOL
U.S. dollar equivalent per fine ounce
I
I I
M
I I
I
1 !
J
1967
M a r k e t closed M ar c h 15-April 1, 1 9 6 8
:
w
I I
I
D
J
1971
S
D
CHART 5A
CALL MONEY RATES
DOLLAR FUNDS
r
CALL EURO-DOLLAR DEPOSITS
f
FEDERAL FUNDS
EURO DOLLAR OVER FEDERAL FUNDS
Per cent per a n n u m
EURO-CURRENCIES
r
Weekly averages
I EURO DM
EURO DOLLAR
EURO-SWISS FRANC
1968
1969
1970
1971
'
1
12
Chart 58
CALL MONEY RATES
FOREIGN C U R R E N C I E S *
Per cent per a n n u m
JAPAN
SELECTED EEC C U R R E N C I E S * *
Per cent per a n n u m
Friday figures
FRANCE
GERMANY
NETHERLANDS
1968
1969
1970
* Japan, U n c o n d i t i o n a l Money; U.K., 2-day Local Authority Deposits; Canada, Day-to-day Loans, w e e k l y average.
* * G e r m a n y , Call Money; France, Day-to-day Money; N e t h e r l a n d s , Call Money, weekly average.
LONDON: EURO DOLLAR DEPOSIT RATES
Per cent per a n n u m
Friday f i g u r e s
13
{
J
M
J
S
D
1968
M
J
S
1969
D
M
J
S
1970
D
M
J
S
1971
5
2
Chart 6 8
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
6-MONTH
3 MONTH
1968
1969
1970
1971
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3 M O N T H DOLLAR DEPOSIT R A T E S - S E C O N D A R Y M A R K E T
Wednesday figures
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
M
J
S
D
1968
M
j
S
1969
D
M
J
1970
S
D
NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS
3 M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y MARKET
Wednesday f i g u r e s
EURO-DOLLAR DEPOSIT
ADJUSTED
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
ADJUSTED*
I I 1 I I 1 i I 1 i i
1 M
I M
I i j _ L I „i
EURO-DOLLAR OVER
U.S. CERTIFICATE OF DEPOSIT
ADJUSTED
L i I I I L.1 ! 1
1.11 1
I U
L.L 1 1 I 1 I J. I I I
1971
* Adjusted for Reserve R e q u i r e m e n t
* * Adjusted for 10% M a r g i n a l Reserve Requirement
* * * Adjusted for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t
Chart 8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE AND EURO-DOLLAR RATES
Friday f i g u r e s
.
Per cent per a n n u m
EURO-DOLLAR DEPOSIT
i]
HIRE PURCHASE
COVERED
FAVOR HIRE PURCHASE
m
DIFFERENTIAL
FAVOR EURO DOLLAR
S
D
1968
S
1969
D
M
J
1970
S
D
J
1971
S
D
Chart 8 B
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
-OCAL AUTHORITY AND EURO DOLLAR RATES .
Per cent per ai
riday figures
14
12
EURO DOLLAR DEPOSIT
10
8
6
LOCAL AUTHORITY
DEPOSIT
COVERED
4
2
+
0
FAVOR LOCAL AUTHORITY
•
0
2
4
6
DIFFERENTIAL
FAVOR EURO DOLLAR
I
I
1 I
I
I
I
I
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Per cent per annum
Friday figures
12
3 M O N T H TREASURY P ; L L RATES
T
U.K. LOCAL A U T H O R I T Y D E P O S I T S
UNCOVERED
!
10
LONDON
NEW YORK
1968
Plotted for comparison purposes
1971
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday f i g u r e s
Per cent per
4
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
2
SPREAD IN FAVOR OF LONDON
+
PREMIUM
0
DISCOUNT
FORWARD RATE
2
4
6
8
10
12
2
IN FAVOR OF LONDON
+
0
m !
2
4
ilN FAVOR OF NEW YORK
6
8
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
s
1968
s
1969
D
J
1970
s
D
M
S
1971
D
Av
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY
F R A N K F U R T I N T E R B A N K L O A N R A T E VS. L O N D O N E U R O - D O L L A R R A T E
Wednesday rates
Per cent per a
IN T E R M S O F D M
GERMAN
INTERBANK LOAN RATE
I
EURO-DOLLAR
COVERED
FAVOR FRANKFUR
DIFFERENTIAL
FAVOR EURO DOLLAR
1970
1971
Chart 10B
3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND
ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE
Per cent per annum
Wednesday rates
14
IN TERMS OF SWISS FRANCS
EURO-DOLLAR
COVERED
SWISS DEPOSIT RATE
FAVOR ZURICH
DIFFERENTIAL
FAVOR EURO DOLLAR
1968
1969
1970
C h a r t 11
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 t
TREASURY BILLS
UNITED STATES
TREASURY BILLS
T
BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR
PREMIUM
GROSS SPREAD IN FAVOR OF CANADA
DISCOUNT
FORWARD RATE
I
1
L
T
i
r
COVERED RATE DIFFERENTIALS
TREASURY BILLS
FAVOR U.S.
FAVOR CANADA
PRIME FINANCE PAPER
FAVOR U.S.
M
S
D
1967
J
1968
D
M
S
1969
D
S
1970
D
;
" z"
Chart 12A
SELECTED SHORT-TERM INTEREST RATES*
Per c r n ! per ,mm
GERMANY
U.K.
U.S.
1 9
T
JAPAN
U.S.
CANADA
1967
1968
1969
1970
* 3 m o n t h t r e a s u r y bill rates for all c o u n t r i e s except J a p a n l A v e r a g e rate on bank loans and d i s c o u n t s )
and G e r m a n y ( l n t e r b a n k Loan Rate)
1971
SELECTED SHORT-TERM INTEREST RATES *
Per cent per a n n u m
EURO DOLLAR - L O N D O N
SWITZERLAND
1967
1969
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 dollar d e p o s i t s m L o n d o n
1971
r
Z
LONG-TERM BOND YIELDS
Weekly f i g u r e s
Per c e n t per a n n u m
CANADA
NETHERLANDS
U.S.
SWITZERLAND
10
U.K.
GERMANY
" E U R O 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 f o r S w i t z e r l a n d s t a r t s 3-3-67.
* * New series f o r S w i t z e r l a n d starts 8-2-68.
* * * New-Average y i e l d of all German PA Bonds begins 9 4 70.
1968
1969
1970
- >
CHART 14
1958-100
INDUSTRIAL STOCK INDICES
Ratio scale
SWITZERLAND
GERMANY
! 200
U.K.
!
j
i
240
7
^
CANADA
200
1
i
i
I
I
i
1 1
i
i
1
i
i
i
I
i
i
i
i
i ,
1 \
i
I
i
i
'
i
i
160
380
-
!
•
320
[ JAPAN *
280
240
200
1
1 1 1 1
t
1 1
1 1 1
i
1967
i
1 i
i
I
i
1968
i
l
i
i
I I
i
I I
I
1 1
1 1 1
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
* * Japan index of all i n d u s t r i a l and o t h e r s t o c k s t r a d e d on the first section of t h e Tokyo Stock Exchange.
1970
';•!
H. 13
No. 489
IV. LATEST FIGURES PLOTTED ON THE CHARTS
Chart
Panel
Series
Date
1A
Upper
Swiss franc
Jan. 15
Lower
Rate
40.547
U.K. pound
+0.116
+0.729
Dutch guilder
French franc
40.601
Japanese yen
IB
2A
"
Belgian franc
„
40.489
Italian lira
"
40. 738
40.289
Canadian dollar
—
German mark
3A
3B
4
5
Upper
"
-1.34
"
-0.24
Canadian dollar
"
-0.45
French franc
"
-0.51
German mark
ii
U.S. dollar
"
Swiss franc
„
41.14
41.34
+1.83
French franc
"
40.91
Gold price, U.S. dollar per ounce
"
37.96
Differential
*
Japanese Unconditional Money
German Call Money
Euro-Currencies
Euro $
Euro DM
Euro Swiss Fr.
Add
Canada
Netherlands
-0.22
40. 66
Dutch guilder
Federal Funds
Lower
"
U.K. pound
Call Euro-$ deposits
Middle
- -
Jan. 15
Swiss franc
2B
+1.477
German mark
Jan. 13
5.62
"
4.27
+1.35
••
]Dec.31-Jan.8
Jan. 15
8.00
7.50
7.69
U.K. 2-day Local Authority Deposits
Jan.
8
6.56
French Day-to-day Money
Jan. 15
6.62
Jan.
6.71
6.83
4.12
8
Jan. 6
5.25
Dec. 4-Dec.ll 5.33
6.85
Dec.18-Dec.24 6.80
7.00
Dec. 31-Jan. 8 6.81
6.70
IV- 2
Chart
Panel
6A
Date
Euro-$ Call Rate
Jan. 15
Euro-$ 1-month Rate
6B-
7A
Upper
7B
Upper
"
6.00
Euro-$ 6-month Rate
"
6.31
Jan. 13
6.06
U.S. Certificate of Deposits
»
5.22
Differential
"
Euro-$ 3-month Deposits
"
U.S. Certificate of Deposits (Adj.)
Upper
2.19
2.19
ii
..
i. +0.59r + 0 . 6 7
6.56
»
6.81
Lower
Differential
"
+0.25
Euro-$ 3-month Deposits
"
6.56
Local Authority Deposits (covered)
"
6.25
Lower
Differential
"
-0.31
Upper
U.S. Treasury Bill rate
Jan. 15
4.35
U.K. Treasury Bill rate
"
6.66
Local Authority Deposit (uncovered)
Jan.
8
7.19
Spread (+= favor London)
Jan. 15
+2.31
3-month Forward Pound
Lower
***
5.39
i.
Upper
9A
9B
7.58
5.79r
Dec. 31
Hire Purchase Deposits (covered)
8B
6.06
"
Differential: on Adj. Euro-$ Deposits
Euro-$ 3-month Deposits
40.84
Jan. 6 - 1 3
on Unadj. Euro-$ Deposits
8A
5.94
"
* * * Euro-$ 3-month Deposits (Adj.)
Lower
5.00
Euro-$ 3-month Rate
Euro-$ 3-month Deposits
Lower
Rate
Series
Net Incentive (+= favor London)
Adjusted for 20 per cent Marginal Reserve Requirement.
-1.52
"
+0. 79
IV - 3
Rate
Chart
Panel
Series
Date
10A
Upper
Euro-$ Deposits (covered)
Jan. 13
6.22
German Interbank Loan rate
"
7.50
Lower
Differential
"
+1.28
Upper
Euro-$ Deposits (covered)
10B
Jan.
Swiss Deposit rate
11
Lower
Differential
Upper
Canadian Finance Paper
5.93
5.25
"
-0.68
Jan. 15
6.25
"
4.35
U.S. Treasury Bill rate
12A
6
"
Canadian Treasury Bill rate
"
4.53
U.S. Prime Finance paper
(not plotted)
"
5.19
Second
Bill rate differential
"
40.18
Forward Canadian dollar
"
-0.63
Third
Net incentive on bills
"
-0.45
Bottom
Net incentive on Finance Paper
"
40.43
Upper
Lower
U.K. Treasury Bill rate
"
German Interbank Loan rate
"
6. 66
4.35
7.50
Japanese Average rate
November
7.699
Canadian Treasury Bill rate
Jan. 15
4.53
"
4.35
U.S. Treasury Bill rate
12B
Jan. 15
U.S. Treasury Bill rate
Euro-$ Deposits
6.00
"
Swiss 3-month Deposit rate
Jan.
8
5.25
U.S. Treasury Bill rate
Jan. 15
4.35
IV- 4
Chart
Panel
Series
13
Upper
Netherlands
Lower
Dec. 4-11-18-• 7. 68-7. 65-7.57
24-31-Jan. 8 7.58-7.59-7.49
Canada
Jan.
6
6.25
United States
Jan. 13
6.09
Switzerland
Middle
Rate
Date
* Germany
Dec. 24 - 3( 5.73r
Jan. 8
5.73
Dec. 31
7.98
United Kingdom
Jan.
8
9.70
Euro-dollar bonds
Jan. 15
7.60
U.S. Corp. Dollar Euro-bonds
November
8.24
U.S. Corp. DM Euro-bonds
U.S. Corp. Aaa bonds
14
Upper
Middle
Switzerland
**
December
Jan. 8 - 1 5
7.64
356.7
Jan.
United States
Jan. 15
205.49
"
191.59
United Kingdom
* * Japan
United States
*
7.83
Germany
Canada
Lower
5.70
Jan.
7
7
359.3
240.0
240.0
Dec. 25
335.11
Jan. 15
205.49
New -- Average yield of ALL German Public Authorities bonds made as of banking
key days.
Beginning week ended September 5, 1970, the Japanese index plotted is that of
all industrial and other stocks on the First Section of the Tokyo Stock Exchange.
@FedFRASER