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J u n e 17, 1970 No. 459 H-13 Division 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 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-S 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 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above pai 1.6 SWISS FRANC GERMAN MARK U.K. P O U N D Below par Above par DUTCH GUILDER Par with JAPANESE YEN FRENCH FRANC j i M J S D M 1967 S D 1968 * 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 J 1970 S Below par D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages CANADIAN DOLLAR BELGIAN FRANC — k M S D 1967 S 1968 * Can. $ rate not supported by Bank of Canada 1969 D M 1970 Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum '1 PREMIUM + GERMAN MARK SWISS FRANC U.K. P O U N D — f DISCOUNT- s M D 1967 : D 1968 S 1969 D S 1970 D 16 Chart 26 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum DUTCH GUILDER C A N A D I A N DOLLAR -A FRENCH FRANC 24 DISCOUNT — s J D 1967 s D 1968 * Devaluation of the French franc f r o m 4 94 to 5.55 for $1 00 * * Can. $ rate not supported by bank of Canada S 1969 D s M 1970 D Chart 3A 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* i 20 GERMAN MARK U.S. DOLLAR DISCOUNTJ S D 1967 S 1968 | D S 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 s w i s s FRANC! FRENCH FRANC DISCOUNTM J S D 1967 M S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 20 M S 1969 D J 1970 S D 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 closed M a r c h 15 April 1, 1968 M J 1968 S D J 1969 s D S 1970 D Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum T 14 12 10 i 8 FEDERAL FUNDS - ! ! : 1 i j i | l/v EURO DOLLAR OVER FE D E R A L F U N D S , I U i i ; i 1 1 , i i FOREIGN CURRENCIES Friday figures Per cent per annum 1 FRANCEM M J S D M 1967 J S 1968 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 D 12 CHART6A LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annurr 4 — 1-MONTH CALL 2 s D 1967 S 1968 D J 1969 S D M J 1970 S D CHART6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 6-MONTH 3 MONTH s 1967 M D 1968 S 1969 Chart 7A 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 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 M D 1967 M J 1968 S D J 1969 S D S 1970 D Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y M A R K E T Wednesday figures Per cent per annum 14 EURO DOLLAR D E P O S I T ADJUSTED 13 12 j 11 10 EURO-DOLLAR DEPOSIT 9 i 8 7 6 U.S. C E R T I F I C A T E O F D E P O S I T ADJUSTED 5 4 I L l i I ! EURO-DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T ADJUSTED* , 3 ] 7 i 6 5 1967 1968 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement 1969 1970 CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR Friday figures RATES Per cent per annum EURO-DOLLAR DEPOSIT .FAVOR HIRE PURCHASE An Ml DIFFERENTIAL M J ) FAVOR EURO DOLLAR S D 1967 J 1968 S D S 1969 D M S 1970 D 4 CHART 88 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L A U T H O R I T Y A N D E U R O - D O L L A R RATES Friday figures Per cent per annum EURO-DOLLAR D E P O S I T LOCAL AUTHORITY DEPOSIT J -COVERED 1 ' ~f + FAVOR LOCAL AUTHORITY i [_ i-—.[FAVOR EURO DOLLAR DIFFERENTIAL M J S D 1967 M J 1968 S D S 1969 D M S 1970 D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 3 - M O N T H T R E A S U R Y B I L L RATES U.K. LOCAL AUTHORITY DEPOSITS LONDON NEW YORK s 1967 * Plotted for comparison purposes s 1968 D M S S 1969 1970 D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE T "T"~ 2 -\r IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL W I T H FORWARD EXCHANGE COVER (NET INCENTIVE) J s D 1967 M S 1968 D S 1969 D S M 1970 D Chart 10A 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 RATE Wednesday rates Per cent per annum 14 IN T E R M S OF D M GERMAN INTERBANK LOAN RATE W 1 EURODOLLAR COVERED FAVOR FRANKFURT ! DIFFERENTIAL COVER 5 5 ! A A A, X, . rTT T 7 T ! 1967 1968 1969 , FAVOR EURO DOLLAR 1 1 1 i 1 l i 1 1 1970 Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL S D 1967 D 1968 J 1969 S D S 1970 D 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 TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFE RENTI,AL AND FORWARD CANAD IAN DOLLAR 1 ! 1 I I I : GROSS SPREAD IN FAVOR OF CANADA L/V, ! ! PREMIUM ' /I :' rVl u LTW V \ | FX - 1 i : j 1 I . DISCOUNT 1 I 1 r FAVORCANADA COVERED RATE DIFFERENTIAL | ; - FORWARD RATE • K TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S I I I I I I I I I I I I I I I ! Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum 1 9 GERMANY :J 2 ~! CANADA JLLLLLL1966 1967 - L i i i : i 1968 1969 3-month treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) and Germany (Interbank Loan Rate) 1970 9 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LONDON I 1966 1967 1968 * 3-month treasury 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 deposits in London. SWITZERLAND 1969 1970 / - n v. / Chart 13 LONG-TERM BOND YIELDS Weekly figures Per c e n t per a n n u m CANADA NETHERLANDS U.S. SWITZERLAND 10 U.K. GERMANY EURO DOLLAR BONDS T Monthly figures U S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1966 * 1967 New series for S w i t z e r l a n d starts 3-3-67. * * New series for S w i t z e r l a n d starts 8-2-68. 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES 1 460 H 400 - SWITZERLAND 360 320 280 GERMANY 240 U.S. 200 ;_J 160 ' 320 - 280 U.K. - TA.7 240 CANADA 200 : . i - J i6o I 380 —j 320 JAPAN 280 - j U.S. 240 200 160 1967 1968 1969 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange 1970 H. 13 No. 459 IV. LATEST FIGURES P L O T T E D ON THE CHARTS Chart Panel Series 1A Upper Swiss franc 1 |1 Date j + J u n e 12 German mark Lower I 1.328 ! + 0.764 U.K. pound " j - Dutch guilder " | - 0.053 | : + 0.589 j French franc IB Rate 0.044 Japanese yen | + 0.308 Belgian franc I ; + 0.718 June 12 Italian lira - 0.655 : Canadian dollar German mark 2A ! + 0.29 J u n e 12 Swiss franc + 2.24 U.K. pound 2B Dutch guilder " " + 1.53 French franc " - 0.79 U.S. dollar Swiss franc 3B French franc 4 Upper 1 - 0 . 2 1 1 + 1.68 Canadian dollar June 5 German mark 3A 5 " | i _ + 0.27 M | + " ; Gold price, U.S. dollar per ounce June 12 Call Euro-S deposits June 10 Federal Funds ^ + 0.23 " t" ! 1.96 - 0.69 35.57 8.45 " 7.98 " + 0.47 Middle Differential Lower Japanese Unconditional Money June 5 8.25 German Call Money June 12 8.00 U.K. 2-day Local Authority Deposits June 5 7.188 French Day-to-day Money J u n e 12 9.38 1 _J _| i 1 1 i IV- 2 Chart Panel 6A Euro-$ Call Rate 6B 7A June Euro-S 1-month Rate " Euro-S 3-month Rate M Euro-S 6-month Rate II 9.62 9.62 Differential " Upper Euro-S 3-month Deposits " 9.44 Euro-S 3-month Deposits (Adj.) " 10.49 June Upper 10 9.44 8.06 " + + 3.31 " + 2.26 7.18 " Euro-S 3-mor,th Deposits 1.38 „ Differential: on Adj. Euro-S Deposits on Unadj. Euro-S Deposits ! May 22 9.56 Hire Purchase Deposits (covered) ,, 7.92 Lower Differential .. Upper Euro-S 3-month Deposits Lower 9A 96 9.62 Lower Lower 8B 8.75 Euro-S 3-month Deposits U.S. Certificate of Deposits (Adj.) 8A 12 Upper U.S. Certificate of Deposits 7B Rate Date Series " Differential ,, 7.61 - U.S. Treasury Bill rate j June U.K. Treasury Bill rate j Local Authority Deposit (uncovered) 1 June 5 Spread (+= favor London) Lower Net Incentive (+- favor London) 3-month Forward Pound 1.64 9.56 Local Authority Deposits (covered) Upper - 12 6.68 " June 1.95 6.75 12 8.062 + 0.07 " - 0.16 •• - 0.09 ¥ IV- 3 Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) June German Interbank Loan rate 10B Rate 9.29 10 .v6 " Lower Differential " Upper Euro-$ Deposits (covered) ii + 7. 12 Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper Second 12A 0.27 5.50 - " 1.62 7.25 J u n e 12 U.S. Treasury Bill rate " 6.68 Canadian Treasury Bill rate " 5.69 U.S. Prime Finance paper (not plotted) " 7.56 Bill rate differential " - 0.99 Forward Canadian dollar " + 1.46 Third Net incentive on bills " + 0.47 Bottom Net incentive on Finance Paper " + 1. 15 Upper Lower U.K. Treasury Bill rate 6.75 " 6. 68 German Interbank Loan rate " 9.56 Japanese Average rate Canadian Treasury Bill rate 12B J u n e 12 U.S. Treasury Bill rate April 30 J u n e 12 7.636 5.69 U.S. Treasury Bill rate " Euro-S Deposits » 9.62 Swiss 3-month Deposit rate " 5.50 U.S. Treasury Bill rate " 6.68 6.68 IV - 4 Chart Panel Series 13 Upper Netherlands Canada United States Switzerland Middle Lower - Middle Lower May 22 8.52 June 10 7.89 it 7.06 June 11 5.97 June 12 7.92 United Kingdom May 28 -9.46 Euro-dollar bonds June 5 U.S. Corp. Dollar Euro-bonds April U.S. Corp. Aaa bonds Upper Rate Germany U.S. Corp. DM Euro-bonds 14 Date Switzerland „ 7. 73 24 May 28 8.05 7. 78 8. 11 J u n e 12 342.9 Germany May 15 261.80 United States June 12 167.82 United Kingdom June 5 186.99 Canada June 4 190.50 Japan June 5 369.09 J u n e 12 167.82 United States
@FedFRASER