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June 10, 1970 No. 458
H-13
Division of International Finance Europe and British Commonwealth Section
IBRjBRY
JUN 18 1970
FEDERAL RESERVE SANK
OP RICHMOND
SELECTED INTEREST &
EXCHANGE RATES
FOR MAJOR COUNTRIES &
THE U.S.
WEEKLY SERIES O F 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 7 A 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 ; n the Supplement
to the series, which accompanied issue dated January 1, 1969. -
Chart 1A
SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
1.6
SWISS FRANC
GERMAN MARK
U.K. P O U N D
* * *1*
Below par
Above par
DUTCH GUILDER
U.S.
JAPANESE YEN
FRENCH FRANC
Below per
M
J
S
D
M
1967
S
D
1968
* Develuetion of the U.K. pound from $2.80 to $2.40.
••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 f r o m 25.00 to 27.32 in U.S. cents.
M
S
1969
D
S
1970
D
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Percent
Above par
1.2
i-
CANADIAN DOLLAR
A ITALIAN U |
V
-ill IDA—
U
BELGIAN FRANC
, Below par
S
D
1967
S
1968
* Can. $ rate not supported by Bank of Canada
D
S
1969
D
S
1970
D
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
s
D
1967
J
1968
s
D
S
1969
D
S
1970
D
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
PREMIUM
DUTCH GUILDER
C A N A D I A N DOLLAR
A
FRENCH FRANC
;
DISCOUNT
1967
1968
* Devaluation of the French franc from 4 94 to 5.55 for $1.00
* * Can. $ rate not supported by bank of Canada.
1969
1970
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND
Friday f i g u r e s
Per c e n t per annum
PREMIUM*
GERMAN MARK
w
U.S. DOLLAR
DISCOUNTS
1967
S
1968
D
M
S
1969
D
M
J
1970
S
D
-A
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
w
FRENCH
FRANC
DISCOUNTM
S
D
1967
S
D
1968
* Devaluation of the French franc from 4.94 to 5.55 for $1.00
M
J
1969
S
D
M
J
1970
S
D
GOLD PRICE IN LONDON, 12.5 Kg BARS
U.S. d o l l a r e q u i v a l e n t per fine ounce
Week's average of a f t e r n o o n f i x i n g s
47.0
i
1 1
1 1
1 1
1 1
!
i
!
i
i
i
!
M
45.0
i{
4
35.3
i
*
35,2
r * A
35.1
43.0
11
11
1 1 N
1 1 [W
~Vi
/
/
1
W '
u
:
41.0
— -4
-j
1
!
11
M
J
S
D
1967
* Market closed M a r c h 15 April 1, 1968
— r ^ - + — | —
.
M
f,
1968
j
1969
i
A
i
39.0
|
37.0
35.0
S
1970
Chart 5
CALL MONEY RATES
DOLLAR FUNDS
Weekly averages
Per cent per annum
FEDERAL FUNDS
1
1
'
1
\A W
x
A
J%^f\
v
I
V
EURO DOLLAR OVER FEDERAL FUNDS
!
1 !
1 1 1 I
.
1 1 1 1
1i ' i : ! 1 i i
,
!
1
FOREIGN CURRENCIES*
Friday figures
Per cent per annum
12
FRANCE I
M
J
S
D
M
1967
J
1968
S
D
M
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.
CHART6A
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
Per cent per annum
I 1-MONTH
CALL
M
2
J
S
D
1967
M
S
1968
D
M
J
1969
S
D
M
J
1970
S
0
CHART6B
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
Per cent per annum
6-MONTH
3-MONTH
M
s
S
1967
1968
D
S
1969
D
1970
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
\
A
U.S. C E R T I F I C A T E OF D E P O S I T
6
EURO DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T
J
s
D
1967
M
S
1968
D
M
S
1969
D
M
J
1970
S
D
Chart 7B
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET
Wednesday figures
Per cent per annum
EURO DOLLAR DEPOSIT
ADJUSTED
EURO-DOLLAR DEPOSIT
U.S. C E R T I F I C A T E O F
I
DEPOSIT
ADJUSTED*
1
EURO DOLLAR OVER
|
I
|
M
S
D
1967
U.S. C E R T I F I C A T E OF D E P O S I T
I
ADJUSTED
M
J
196#
* Adjusted for Reserve Requirement
* * Adjusted for 10% Marginal Reserve Requirement
7
S
D
M
S
1969
D
M
S
1970
D
CHART8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE AND EURO DOLLAR RATES
Friday figures
14
12
EURO-DOLLAR D E P O S I T . ,
10
8
6
4
HIRE PURCHASE
J
2
+
0
/AVOH MIRE PURCHASE
4
5
2
4
•
DIFFERENTIAL
M
J
FAVOR EURO DOLLAR
S
D
1967
J
1961
S
D
M
J
1S69
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
1
M
-4-
FAVOR LOCAL AUTHORITY
Ah
DIFFERENTIAL
M
J
FAVOR EURO DOLLAR
S
D
1»«7
M
S
1969
D
S
1*6*
D
M
S
1*70
0
Chart 9A
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per
3-MONTH TREASURY BILL RATES
j
U.K. LOCAL A U T H O R I T Y
UNCOVERED
DEPOSITS
I
NEW YORK
M
S
D
1967
* Plotted for comparison purposes
M
J
1968
S
D
J
1 H 9
s
D
M
J
1970
S
D
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Per cent per annum
Friday figures
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
PREMIUM
SPREAD
DISCOUNT
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
II I 1 1 1 I I I 1 I I II I I I I II I 1 I I I I I I I 1 I I 1 I I
1967
1968
1S70
Chart 10A
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE
Wednesday rates
Per cent per annum
14
IN TERMS OF DM
GERMAN
I N T E R B A N K LOAN RATE
EURODOLLAR
COVERED
FAVOR FRANKFURT
DIFFERENTIAL
I M A R K E T COVER
L a -A
n
J.I
1 li
"
"
'
v
1
v
1 1 1 ! 1 ! 1 i i ! i i 1_L_L_I_L_L_! 1 1 1 1 1 1 1
j
1967
!
u v
1969
1
11VI
, FAVOR EURO-DOLLAR
i 1 1 1 1 1 1 1 1 1 1
s
1970
Chart 10B
3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND
ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE
Per cent per ar
Wednesday rates
14
IN TERMS OF SWISS FRANCS
12
10
EURO-DOLLAR
COVERED
8
6
4
SWISS DEPOSIT RATE
DIFFERENTIAL
FAVOR ZURICH
2
2
+
0
2
4
«
FAVOR EURO DOLLAR
I I I i I I I I
Chart 11
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA
Friday figures
Per cent per
10
CAN. FIN. CO. P A P E R
8
CANADIAN
T R E A S U R Y BILLS
»
6
UNITED STATES
T R E A S U R Y BILLS
4
BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR
2
I GROSS S P R E A D I N F A V O R O F C A N A D A
+
0
DISCOUNT
- FORWARD RATE
2
COVERED RATE DIFFERENTIALS
j
1
1
i
FAVOR CANADA
2
TREASURY BILLS
+
0
FAVOR U S
2
FAVOR CANADA
2
PRIME FINANCE PAPER
+
0
-"NVf
FAVOR U.S.
M
J
S
D
1M7
J
1968
D
S
1969
D
S
1970
2
0
Chart 12A
SELECTED SHORT-TERM INTEREST RATES
Per cent per annum
U.K.
U.S.,
GERMANY
H 9
JAPAN
CANADA
U.S.
1966
1967
IMS
1969
* 3-month treasury bill rates for all countries except Japan (Average rate on bank leans and discounts)
and Germany (Interbank Loan Rate)
1970
Chart 12B
SELECTED SHORT-TERM INTEREST RATES *
Per cent per
EURO-DOLLAR - LONDON
U.S.
1967
* 3-month treasury bill rate for U.S., Switzerland-3-month deposit rate.
# #
3-month rate for U. S. dollar deposits in London.
1969
1970
Chart 13
LONG-TERM BOND YIELDS
Weekly figures
Per c e n t per a n n u m
CANADA
NETHERLANDS
US.
SWITZERLAND
10
U.K.
EURODOLLAR
Monthly figures
U S. CORP. DOLLAR EURO BOND*
U.S.
U S. CORP. Aaa
IMS
19§7
*
New series for Switzerland starts 3-3-67.
#
* N e w series for Switzerland starts 8-2-68.
IMS
I960
1970
t
'
/
CHART 14
INDUSTRIAL STOCK INDICES
460
400
360
SWITZERLAND
320
280
GERMANY
-
U.S.
240
\ 200
160
320
U.K.
280
1 240
CANADA
200
160
380
320
280
240
U.8.
160
1967
#
#6#
Japan index of 2 2 5 industrial and other stocks traded on the Tokyo eachange
1970
/
H. 13
No. 458
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
Lower
Date
Rate
June 5
Prov.
+1.324
German mark
"
+0.825
U.K. pound
it
Dutch guilder
"
-0.189
-0.660
French franc
"
+0.636
June 5
-0.623
Japanese yen
Belgian franc
IB
Italian lira
Canadian dollar
2A
German mark
June 5
-0.11
"
+1.93
Swiss franc
2B
U.K. pound
n
Dutch guilder
"
+ 1. 21
Canadian dollar
"
+0.96
"
-1. 15
French franc
3A
German mark
3B
5
Upper
a
+0.36
Swiss franc
"
+2.04
"
-0.87
Gold price, U.S. dollar per ounce
June 5
35.24
Call Euro-$ deposits
June 3
8.53
"
7.84
Federal Funds
Middle
Differential
Lower
Japanese Unconditional Money
-0. 11
U.S. dollar
French franc
4
May 29
-0.36
••
+0.69
German Call Money
Mav 29
June 5
8.25
9.69
U.K. 2-day Local Authority Deposits
May 20
7.688
June 5
9.125
French Day-to-day Money
>L
IV - 2
Series
Date
6A
Euro-$ Call Rate
June 5
6B
Euro-$ 3-month Rate
M
9.38
Euro-$ 6-month Rate
"
9.38
Chart
Panel
Euro-$ 1-month Rate
7A
Upper
Euro-$ 3-month Deposits
7B
Differential
Upper
Euro-$ 3-month Deposits
June 3
"
8B
Euro-$ 3-month Deposits
10.21
"
7.18
3.03
"
2.01
May 22
9.56
Hire Purchase Deposits (covered)
"
Lower
Differential
M
Upper
Euro-$ 3-month Deposits
"
9.56
Local Authority Deposits (covered)
"
7.61
Lower
Differential
II
-1.95
9A
U.S. Treasury Bill rate
U.K. Treasury Bill rate
9B
"
„
Differential: on Adj. Euro-$ Deposits
on Unadj. Euro-) Deposits
Upper
8.05
9.19
U.S. Certificate of Deposits (Adj.)
8A
9.19
1.14
Euro-$ 3-month Deposits (Adj.)
Lower
8.62
9.38
U.S. Certificate of Deposits
Lower
Rate
Upper
Lower
June 5
"
7.92
-1.64
6.80
6.72
Local Authority Deposit (uncovered)
May 28
8.34
Spread (+= favor London)
June 5
-0.08
3-month Forward Pound
„
-0.29
Net Incentive (+= favor London)
"
-0.37
IV- 3
Chart
Panel
Series
10A
Upper
Euro-$ Deposits (covered)
Date
June 3
German Interbank Loan rate
106
"
9.56
+0.08
Lower
Differential
"
Euro-$ Deposits (covered)
M
7.48
Mav 20
5.50
Lower
Differential
Upper
Canadian Finance Paper
Second
- -
June 5
—
7. 50
U.S. Treasury Bill rate
"
6.80
Canadian Treasury Bill rate
"
5.69
U.S. Prime Finance paper
(not plotted)
"
7.56
Bill rate differential
June 5
Forward Canadian dollar
12A
9.48
Upper
Swiss Deposit rate
11
Rate
"
-1.11
4-1. 15
Third
Net incentive on bills
"
+0.04
Bottom
Net incentive on Finance Paper
"
+1.09
Upper
Lower
U.K. Treasury Bill rate
June 5
6.72
U.S. Treasury Bill rate
ii
6.80
German Interbank Loan rate
"
Japanese Average rate
Canadian Treasury Bill rate
U.S. Treasury Bill rate
12B
»
March 31
7.627
June 5
5.69
"
Euro-$ Deposits
Swiss 3-month Deposit rate
U.S. Treasury Bill rate
9.56
6.80
9.38
May 22
5.50
June 5
6.80
IV- 4
Chart
Panel
Series
Date
13
Upper
Netherlands
May 22
8.52
Canada
June 3
7.90
United States
June 3
6.95
May 22
6.02
June 5
7.85
May 28
9.46
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
Rate
May 29
7.73
April 24
8.05
"
May 29
7. 78
8.11
June 5
349.7
May 15
261.80
June 5
172.65
May 28
188.16
"
June 5
United States
188.29
369.09
172.65
"
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