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July 8, 1970 No. 462
H-13
.
'
Division of International Finance EuD^ctnSTfcritish Commonwealth Section
SELECTED INTEREST &
EXCHANGE RATES
FOR MAJOR COUNTRIES &
THE U.S.
WEEKLY SERIES OF CHARTS
BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM
V
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.
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Above par
SWISS FRANC
1.6
SWISS FRA$C
—GERMAN
* * MARK ,
U.K.
POUND
U.S.
GERMAN MARKL
U.K. POUND
Below par
Above par
DUTCH GUILDER
JAPANESE
YEN
FRENCH
FRANC-
with
U.S.
DUTCH GUILDER
JAPANESE YEN
FRENCH FRANC
Below per
1967
*
1968
Devaluation of the U.K. pound from $2 80 to $2.40.
Devaluation
•Devaluation 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 from 2 5 . 0 0 to 27.32 in U.S. cents.
1969
1970
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
1.2
CANAD AN DOLLAR
CANADIAN DOLLAR
f M / \ ITALIAN U
*m-4ALIRA - -VI
Y
BELGIAN FRANC
ITALIAN
LIRA
|
BELGIAN FRANC
1.2
Below par
S
D
1967
S
1968
* Can. $ rate not s u p p o r t e d by Bank of Canada
D
M
S
1969
D
D
1970
Chart 2A
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per annum
PREMIUM*
GERMAN MARK
SWISS FRANC
U.K. POUND
;
J
s
S
1967
1968
DISCOUNTD
|
J
1969
s
D
S
1970
D
Chart 2B
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR
Weekly averages
Per cent per a n n u m
DUTCH GUILDER
DUTCH GUILDER
CANADIAN DOLLAR
FRENCH FRANC
20
26
DISCOUNT—
M
J
S
D
1967
M
J
S
D
S
1968
1969
* Devaluation of the French franc from 4.94 to 5.55 for $1.00.
* * Can. $ rate not s u p p o r t e d by Bank of Canada.
A
D
S
1970
D
Chart 3A
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per c e n t per annum
PREMIUM
GERMAN MARK
'SJl
U.S. DOLLAR
DISCOUNTM
J
S
D
1967
S
1968
D
M
S
1969
D
M
S
1970
D
6
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
PREMIUM*
SWISS FRANC
FRENCH FRANC
DISCOUNT—
M
J
S
D
1967
J
S
D
1968
* Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00
20
M
J
1969
S
D
M
J
1970
S
D
Chart 4
GOLD PRICE IN LONDON, 12.5 Kg BARS
Week's average 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
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 c l o s e d M a r c h 15-April 1, 1968
M
J
1968
S
M
S
1969
M
J
1970
S
D
CALL MONEY RATES
DOLLAR FUNDS
Per cent per a n n u m
Weekly a v e r a g e s
f
s p \fk V k
1
A
CALL EUR(D-DOLL.AR DL: POSIT
M/'
/0<
k
vy
J l
Y v tVJ
T \
DERAL FUND
s
i
Ki
h
i
i
1
I
EURO-DOLLAR OVER FEDERAL FUNDS
I I I i 1 I i i 1 i i i I i 1 i I
FOREIGN CURRENCIES
Friday figures
Per cent per a n n u m
GERMANY
! FRANCEP
U.K.
U.K.
JAPAN
GERMANY
M
J
s
D
1967
S
M
1968
D
M
J
1969
S
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.
D
CHART 6A
LONDON: EURO DOLLAR DEPOSIT RATES
Per
Friday figures
c e n t
P e r annurr
10
1 MONTH
1 CALL
J
s
1967
D
M
J
1968
s
D
M
J
S
D
1969
M
J
1970
1
S
D
LONDON: EURO DOLLAR DEPOSIT RATES
Friday f i g u r e s
i
Per cent per a n n u m
;
1
13
i
/
H 11
1
™1"
V
j
i-MON"TH
r
€
,!
i
Ky
|Y
i
S\ 1 1VI
1
j
V
•
—
?
-
i
J
|
!
!
i
!
s
! 1
D
- - 4
t
- 4 -
-
1 : ! !..L L
M
1967
J
1968
{
4"
1
i
1
- - - 1
4
'
1
'
i
— i
s
- - 4 - —
M
-
! \Vvl
1
V\ r J
XJ 3-MONTH
1
1"
.
r
!
!
V
|
-..
4
r
- -j
-4
D
M
1969
2
I I I !
s
D
4
3
-
4
! I 1; i i 1
s
- - 4 - - ' 1j
M
J
1970
S
D
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
1
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT/
s
1967
S
1968
D
M
|
J
1969
S
D
J
1970
S
6
Chart 7B
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
I
1
M
I
I I
I
I
J
i
1 1 I
S
D
1 r
I
M
1967
I
1 I
i
1968
* Adjusted for Reserve R e q u i r e m e n t
* * Adjusted for 10% Marginal Reserve Requirement
I
J
1
S
I
11
D
I
I I
M
I
I
J
!
i
I
S
1969
1 I
1 I
D
1 I
M
I
i
I
J
1 I
I
S
1970
1
!
D
1 I
CHART8A
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
COVERED
I
-\
.FAVOR HIRE PURCHASE
DIFFERENTIAL
M
J
FAVOR EURO DOLLAR
S
D
1967
M
J
1968
S
D
M
J
1969
S
D
M
J
1970
S
D
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 "J
-COVERED
1
'
4-
+
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
M
J
FAVOR EURO DOLLAR
S
D
1967
M
J
1968
S
D
M
J
1969
S
D
M
J
1970
S
D
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Per cent per a n n u m
Friday f i g u r e s
3-MONTH TREASURY BILL RATES
U.K. LOCAL AUTHORITY DEPOSITS
UNCOVERED
r t
NEW YORK
P l o t t e d for c o m p a r i s o n purposes
Chart 9B
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
SPREAD IN FAVOR OF LONDON
DISCOUNT
FORWARD RATE
T
IN FAVOR OF LONDON
IN FAVOR OF NEW YORK
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
1967
1968
1969
1970
j
C h a r t 10A
3-MONTH INTEREST ARBITRAGE: U.S. - 'GERMANY
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE
Wednesday rates
Per c e n t per a n n u m
IN TERMS OF DM
GERMAN
INTERBANK LOAN RATE
\7
EURO-DOLLAR
COVERED
DIFFERENTIAL
MARKET COVER
FAVOR FRANKFURT
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
EURODOLLAR
COVERED
SWISS DEPOSIT RATE—
FAVOR ZURICH
DIFFERENTIAL
FAVOR EURO DOLLAR
S
D
1967
M
J
1968
S
S
D
1969
D
1970
2
<r
r
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
CAN. FIN. CO. PAPER
CANADIAN
TREASURY BILLS
— —
- j • -
UNITED STATES
TREASURY BILLS
B I L L RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR
(GROSS SPREAD IN FAVOR OF CANADA
~
DISCOUNT
FORWARD RATE
FAVOR CANADA
COVERED RATE DIFFERENTIALS
TREASURY BILLS
FAVOR U.S.
FAVOR CANADA
PRIME FINANCE PAPER
Mi'
I
1967
1968
1969
FAVOR U.S.
1970
i
V
z
SELECTED SHORT-TERM INTEREST RATES*
Per cent per a n n u m
GERMANY
GERMANY
i i I
1966
1967
n
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
Z
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
U.S.
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 f o r 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 f o r 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
Chart 13
LONG-TERM BOND YIELDS
Weekly f i g u r e s
Per c e n t per
CANADA
.NETHERLANDS
U.S.
SWITZERLAND
U.K.
GERMANY
EURO DOLLAR BONDS
Monthly figures
U S. CORP. DOLLAR EURO-BONDS
U S. CORP. DM EURO BONDS
U S. CORP. A M BONDS
1966
*
1967
New series for Switzerland starts 3-3-67.
* * New series for Switzerland starts 8-2-68.
1968
1969
1970
CHART 14
INDUSTRIAL STOCK INDICES
460
400
360
SWITZERLAND
320
280
GERMANY
4 240
U.S.
200
160
320
U.K.
280
240
| CANADA
•-
200
J
160
"] 380
320
JAPAN
280
240
U.S.
200
160
1967
1968
1969
* Japan index o f 2 2 5 i n d u s t r i a l a n d o t h e r s t o c k s t r a d e d on t h e Tokyo exchange
1970
H. 13
No. 462
IV. LATEST FIGURES PLOTTED ON THE CHARTS
Chart
Panel
Series
Date
Rate
1A
Upper
Swiss franc
July 3
+ 1.348
+ 0.812
Lower
German mark
"
U.K. pound
"
Dutch guilder
"
French franc
Japanese yen
"
"
Italian lira
Canadian dollar
German mark
2A
„
+ 0.710
- 0. 646
- -
July 3
Swiss franc
2B
+ 0.635
+ 0.285
"
Belgian franc
IB
- 0.228
- 0.092
"
U.K. pound
"
Dutch guilder
"
Canadian dollar
French franc
"
"
- -
- 0.31
+ 2. 06
+
+
-
0.04
0.97
1.23
1.47
3A
German mark
3B
U.S. dollar
Swiss franc
"
+ 0.09
+ 2.16
French franc
"
- 1.27
4
5
Upper
June 26
"
0.00 .
Gold price, U.S. dollar per ounce
July 2
Call Euro-$ deposits
July 1
8. 73
"
7.23
Federal Funds
35.48
Middle
Differential
"
1.50
Lower
Japanese Unconditional Money
June 26
8.25
German Call Money
July 3
June 26
July 3
9.56
6.94
8.88
U.K. 2-day Local Authority Deposits
French Day-to-day Money
V
IV - 2
Chart
Panel
6A
7A
Upper
Lower
7B
Upper
Lower
Series
Date
Euro-$ Call Rate
July 2
Euro-$ 1-month Rate
"
8.88
"
9.06
Euro-$ 6-month Rate
"
9.19
Euro-$ 3-month Deposits
July 1
8.81
U.S. Certificate of Deposits
"
8.08
Differential
"
+ 0.73
Euro-S 3-month Deposits
"
8.81
Euro-$ 3-month Deposits (Adj.)
"
9.79
U.S. Certificate of Deposits (Adj.)
"
7. 18
Differential: on Adj. Euro-$ Deposits
"
+ 2.61
"
+ 1. 63
Upper
Euro-$ 3-month Deposits
Lower
Differential
Upper
Euro-$ 3-month Deposits
Lower
Differential
June 12
Hire Purchase Deposits (covered)
8B
"
9B
Upper
Lower
9.66
8.34
- 1.32
9.66
Local Authority Deposits (covered)
9A
8.50
Euro-$ 3-month Rate
on Unadj. Euro-$ Deposits
8A
Rate
7.81
"
- 1.85
U.S. Treasury Bill rate
July 3
6.40
U.K. Treasury Bill rate
"
6.72
Local Authority Deposit (uncovered)
June 26
Spread (+= favor London)
July 3
+ 0.32
3-month Forward Pound
"
+ 0.11
Net Incentive (+= favor London)
"
+ 0.43
7.94
IV - 3
Chart
Panel
Series
Date
10A
Upper
Euro-$ Deposits (covered)
July 3
8.85
German Interbank Loan rate
"
9.56
Lower
Differential
"
+ 0.71
Upper
Euro-$ Deposits (covered)
"
6.46
10B
11
Swiss Deposit rate
"
5.50
Lower
Differential
"
- 0.96
Upper
Canadian Finance Paper
"
7.63
U.S. Treasury Bill rate
Canadian Treasury Bill rate
5.77
U.S, Prime Finance paper
(not plotted)
"
Bill rate differential
7.56
"
- 0.63
"
+ 1.26
Third
Net incentive on bills
"
+ 0.63
Bottom
Net incentive on Finance Paper
"
+ 1.33
Upper
v
6.40
"
*
Forward Canadian dollar
Second
12A
Rate
Lower
12B
U.K. Treasury Bill rate
July 2
6. 72
U.S. Treasury Bill rate
„2
6.40
German Interbank Loan rate
"
9.56
2
Japanese Average rate
A p r i l 30
7. 636
Canadian Treasury Bill rate
July 2
5.77
U.S. Treasury Bill rate
M
Euro-$ Deposits
"
9.06
Swiss 3-month Deposit rate
"
5.50
U.S. Treasury Bill rate
"
6.40
6.40
IV- 4
Chart
Panel
Series
Date
13
Upper
Netherlands
June 19
Canada
June 24
8.01
United States
July 1
6.61
Switzerland
June 25
6.03
Middle
Lower
Upper
Middle
Lower
8.49
Germany
July 3
8.09
United Kingdom
June 19
9.39
Euro-dollar bonds
June 26
7. 73
May 25
8.75
U.S. Corp. Dollar Euro-bonds
U.S. Corp.' DM Euro-bonds
14
Rate
"
8.36
U.S. Corp. Aaa bonds
July 7
Switzerland
July 3
329.3
Germany
June 23
249.20
8.48
United States
July 2
162.72
United Kingdom
June 26
192.32
Canada
June 25
188.29
Japan
June 27
373.39
United States
July 2
162.72
@FedFRASER