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July 1, 1970 No. 461
H-13
Division of International Finance Europe and British Commonwealth Section
....
/
z n a A k f "
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
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.
<<
SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
j
SWISS FRANC
1.6
SWISS FRANC
GERMAN
MARK
,
U.K.
POUND
U.S.
GERMAN MARK I |
U.K. P O U N D
Below par
Above par
FRENCH
JAPANESE
DUTCH GUILDER
FRANC-
YEN!
Par
with
DUTCH GUILDER
JAPANESE YEN
J FRENCH FRANC
J
S
D
M
1967
S
D
1*6#
* Devaluation of the U.K. pound from $2.80 to $2.40.
• • D e v a l u a t i o n of the French franc from 4.94 to 5.55 for $1.00.
* * * DM rate not supported by the Bundesbank
• • • • R e v a l u a t i o n of the DM f r o m 25.00 to 27.32 in U.S. cents.
M
J
1969
S
D
M
S
1970
D
V
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
1.2
CANADIAN DOLLAR
ITALIAN
I IRA
CANADIAN DOLLAR
u
V
y
W
BELGIAN FRANC ,
ITALIAN
LIRA
1
BELGIAN FRANC
s
.
D
1967
S
1968
* Can. $ rate not supported by Bank of Canada
D
S
1969
s
D
1970
D
Chart 2A
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per annum
"1
I
PREMIUM*
1 16
12
GERMAN MARK
.1.
SWISS FRANC
DISCOUNT-
,
N'
A
H
Chart 2B
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per annum
DUTCH GUILDER
DUTCH GUILDER
CANADIAN DOLLAR
-A
FRENCH FRANC
20
24
DISCOUNT —
M
S
S
D
1967
1968
* D e v a l u a t i o n of the French franc from 4 . 9 4 to 5 55 for $1.00.
* * Can $ 'ate not supported by bank of Canada
S
1969
D
S
1970
D
Chart 3A
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
24
20
GERMAN MARK
U.S. DOLLAR '
DISCOUNT —
S
D
1967
S
S
1968
1969
D
J
1970
S
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 cent per annum
PREMIUM*
!
SWISS FRANC)
FRENCH FRANC
20
s
D
1967
S
1968
* Devaluation of the French franc from 4.94 to 5.55 for $1.00
S
1969
D
S
1970
D
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
1967
* Market closed March 15 April 1, 1968
1969
1970
Chart 5
CALL MONEY RATES
DOLLAR FUNDS
Per cent per annum
Weekly averages
CALL EURO-DOLLAR DEPOSITS
FEDERAL FUNDS
FOREIGN CURRENCIES
Friday figures
Per cent per annum
12
GERMANY
FRANCE
u.K.y
M
J
S
D
M
1967
J
S
1968
D
M
J
S
1969
D
M
J
1970
' G e r m a n y , Call Money; U.K., 2-day Local Athority Deposits, Japan, Unconditional Money; France, Day-to-day Money.
LONDON: EURO-DOLLAR DEPOSIT RATES
Friday figures
Per cent per annum
Per cent per
Chart 7A
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET
Wednesday figures
Per cent per annum
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
6
EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
S
D
1967
j
1968
S
D
M
J
1969
S
D
J
1970
S
D
\
NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET
Wednesday figures
EURO-DOLLAR DEPOSIT
ADJUSTED
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
ADJUSTED
EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
ADJUSTED
11
Adjusted for Reserve Requirement
* * Adjusted for 10% Marginal Reserve Requirement
CHART 8A
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
1
T
.FAVOR HIRE PURCHASE
DIFFERENTIAL
M
J
FAVOR EURO DOLLAR
S
D
1967
M
S
1968
D
M
J
1969
S
D
M
J
1970
s
0
+
CHART 8B
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
LOCAL AUTHORITY AND EURO-DOLLAR RATES
Friday figures
Per cent per annum
EURO-DOLLAR DEPOSIT
LOCAL AUTHORITY DEPOSIT
-COVERED
{
f
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
|FAVOR EURO DOLLAR
S
D
1967
M
S
1968
D
S
1969
D
S
1970
+
C h a r t 9A
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday f i g u r e s
<.
Per cent per a n n u m
3-MONTH TREASURY BILL RATES
U.K. LOCAL AUTHORITY DEPOSITS
UNCOVERED
j
!
I
- i LONDON
!
M
* P l o t t e d f o r c o m p a r i s o n purposes
s
D
S
1967
NEW YORK
1968
1969
D
M
Chart 9 8
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
;
DISCOUNT
FORWARD RATE
T
2
T
IN FAVOR OF LONDON
f IN FAVOR OF NEW YORK
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
1
i
M
I
;
I
i
i
J
1
I 1-L-L. 1 I
S
D
M
1967
j
i
1 I
J
M
S
1968
i
1 i
D
1 i
M
j 1 _i_L
J
!
1 I
S
1969
1 I
I
s
D
1970
D
Chart 10A
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE
Per cent per annum
Wednesday rates
14
IN TERMS OF DM
GERMAN
INTERBANK LOAN RATE / N
EURO DOLLAR
COVERED
FAVOR FRANKFURT
DIFFERENTIAL
jlMARKET COVER
7T
AJ \
„/V
-
\J
L
M
1967
1968
, FAVOR EURO-DOLLAR
1 1 1 i L.1._L_L l _
J
1970
S
1
4
3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND
ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE
Per cent per annum
Wednesday rates
IN TERMS OF SWISS FRANCS
EURODOLLAR
COVERED
SWISS DEPOSIT RATE
DIFFERENTIAL
FAVOR ZURICH
FAVOR EURO DOLLAR
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA
Friday figures
Per cent per
10
CAN. FIN: CO. PAPER
8
CANADIAN
TREASURY BILLS
6
U N I T E D STATES
TREASURY BILLS
4
B I L L RATE DIFFERENTIAL A N D FORWARD CANADIAN DOLLAR
2
GROSS SPREAD IN FAVOR OF CANADA
+
0
DISCOUNT
V F O R W A R D RATE
COVERED RATE DIFFERENTIALS
2
2
TREASURY BILLS
+
0
2
2
PRIME FINANCE PAPER
+
0
FAVOR U.S.
2
J
S
D
M
1967
J
1968
D
S
1969
D
S
1970
D
Chart 12A
SELECTED SHORT-TERM INTEREST RATES*
I
Per cent per annum
GERMANY
!
:
1
V^\
N.
U.S.7
i
.!
r
\ \
I1 f/ "
U
111
ii
i M
M11 I
u
r\ r\
G E R M ;I N Y
!
'
i
!
1 1 1 1 1 ! ! i 1 1 II
! ! ' : 1
[• .... i!
^ : Z^XCANADAi; FXK/.T/ u
VI
• /TaV; "
:
!
-
!
1 I 1 i 1 1 1 1 1 ; i 1 1 1 1 I 1 1 1 ! 1 1 i ! 1 1 1 1 II
!
—
!
1
—
;
I
I
JAPAN
L
1
U.S.
|
I
I
I
I I
II
1 ! 1
I I
I I
!
I I
I
I I
1966
I
I
1967
I
I
I I
!
M
I I
M
11
1968
M
I !
M
I
M
11
M
M
1969
* 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts)
and Germany (Interbank Loan Rate)
I
M
I
I
I
I
1970
I
I
I
I
C h a r t 12B
SELECTED SHORT-TERM INTEREST RATES *
Per c e n t per
14
13
12
EURO DOLLAR - LONDON
11
10
9
8
7
US.
6
SWITZERLAND
5
4
3
2
1
0
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. dollar 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
U.S.
SWITZERLAND
10
U.K.
GERMANY
EURO-DOLLAR BONDS
Monthly figures
U S. C O R P . D O L L A R E U R O - B O N D S
U.S. C O R P . D M E U R O - B O N D S
U . S . C O R P . AAA B O N D S
1966
1967
* New series for Switzerland starts 3-3-67.
* * New series for Switzerland starts 8-2-68.
196#
1969
1970
INDUSTRIAL STOCK INDICES
460
400
360
SWITZERLAND
320
280
GERMANY
240
U.S.
200
160
320
U.K.
280
240
CANADA
200
160
380
320
JAPAN
—i 2 8 0
240
U.S.
160
1967
1968
1969
* Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange
1970
H. 13
No.
461
IV.
L A T E S T FIGURES P L O T T E D ON T H E CHARTS
Chart
Panel
Series
1A
Upper
Swiss franc
June 26
German mark
Lower
"
Dutch guilder
"
-
0.142
French franc
"
+
0.619
"
+
0.279
Belgian franc
"
4-
Italian lira
"
-
0.715
0 . 644
German mark
- -
Swiss franc
"
U.K. pound
"
German mark
3A
4
5
Upper
Middle
Lower
0.32
2.46
+
0.00
1.13
+
1.51
"
-
1.53
J u n e 19
U.S. dollar
3B
+
"
Canadian dollar
French franc
- -
June 26
Dutch guilder
26
1.344
0.761
0.151
U.K. pound
Canadian dollar
2A
+
+
-
"
Japanese yen
IB
Rate
Date
"
Swiss franc
"
French franc
"
+
0.23
+
+
0.09
2.16
1.08
Gold price, U.S. dollar per ounce
June 26
35.46
Call Euro-$ deposits
June 24
8.62
Federal Funds
"
Differential
"
Japanese Unconditional Money
June 17
German Call Money
June 26
U.K. 2-day Local Authority Deposits
French Day-to-day Money
7.21
+
1.41
8.25
9.38
|.June 19
6.88
Tune 26
9.38
IV- 2
Chart
Panel
6A
66
Series
Date
Euro-$ Call Rate
June 26
7A
"
9.25
Euro-$ 3-month Rate
"
9.06
8B
Lower
Differential
"
Upper
Euro-$ 3-month Deposits
"
9.12
Euro-$ 3-month Deposits (Adj.)
"
10.13
8.13
"
+
0.99
U.S. Certificate of Deposits (Adj.)
"
Lower
Differential: on Adj. Euro-$ Deposits
"
+
2.95
"
+
1.94
Upper
Euro-$ 3-month Deposits
"
Lower
Differential
"
Upper
Euro-$ 3-month Deposits
"
Local Authority Deposits (covered)
"
Lower
Differential
"
U.S. Treasury Bill rate
U.K. Treasury,Bill rate
Local Authority Deposit (uncovered)
Upper
Spread (+= favor London)
/ ^ m o n t h Forward Pound
Lower
Net Incentive (+= favor London)
7.18
June 12
Hire Purchase Deposits (covered)
9A
9B
9.12
Euro-S 3-month Deposits
on Unadj. Euro-$ Deposits
8A
9.25
"
June 24
Upper
U.S. Certificate of Deposits
7B
8.62
Euro-$ 1-month Rate
Euro-$ 6-month Rate
-
Rate
9.66
8.34
-
1.32
9. 66
7.81
-
June 26
1.85
6.35
"
6.72
June 10
7.94
"
+
0.37
"
-
0.12
"
+
0.25
/•
IV-3
Chart
Panel
Series
10A
Upper
Euro-$ Deposits (covered)
10B
"
Lower
Differential
"
Upper
Euro-$ Deposits (covered)
"
Lower
Differential
Upper
Canadian Finance Paper
Second
M
U.S. Prime Finance paper
(not plotted)
"
Bill rate differential
"
12A
Upper
U.K. Treasury Bill rate
Lower
12 B
0.29
6. 66
5.50
7.38
6.35
5.76
7.56
-
0.59
+
1.49
"
+
0.90
"
+
„
Forward Canadian dollar
Net incentive on bills
+
June 26
Canadian Treasury Bill rate
Net incentive on Finance Paper
9.56
__
ii
Third
9.27
June 10
U.S. Treasury Bill rate
Bottom
Rate
June 24
German Interbank Loan rate
Swiss Deposit rate
11
Date
June 26
1.31
6.72
U.S. Treasury Bill rate
"
6.35
German Interbank Loan rate
"
9.56
Japanese Average rate
A p r i l 30
7.636
Canadian Treasury Bill rate
June 26
5.76
U.S. Treasury Bill rate
M
6.35
Euro-S Deposits
..
9.06
Swiss 3-month Deposit rate
June 12
5.50
U.S. Treasury Bill rate
June 26
6.35
IV- 4
Chart
Panel
Series
13
Upper
Netherlands
June 5
8.51
Canada
J u n e 17
8.00
United States
J u n e 24
6.81
June 11
5.97
J u n e 26
8.05
J u n e 19
9.39
J u n e 19
7. 73
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
Date
May 29
„
;;
J u n e 26
Rate
8.75
8.36
8.11
338.5
J u n e 15
255.40
J u n e 26
166.46
J u n e 19
197.14
J u n e 18
191.72
J u n e 20
365.36
J u n e 26
166.46
1
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