The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
\.
June 24, 1970 No. 460
H-13
F E N
Division nf fiiHiimliowl
F i IIIBII
> ("muni
I British Common wealth Section
113R A H V
C?
SELECTED INTEREST &
EXCHANGE RATES
FOR MAJOR COUNTRIES &
THE U.S.
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 1ZA 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.
POUNI
U.S.
u GERMAN MARK!
U.K. POUND
Below pai
Above par
FRENCH
- FRANC-
JAPANESE i
YEN,
DUTCH GUILDER
U.S.
DUTCH GUILDER
JAPANESE YEN
FRENCH FRANC
Below par
M
J
S
D
M
1967
J
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
* * * d 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.
M
J
1969
S
D
M
S
1970
D
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
1.2
CANADIAN DOLLAR
CANADIAN DOLLAR
ITALIAN
LIRA
! K
BELGIAN FRANC
ITALIAN
LIRA
'
BELGIAN FRANC
* 1.2
, Below par
M
J
S
D
1967
M
J
1968
* Can. $ rate not supported by Bank of Canada.
S
D
s
M
1969
D
S
1970
Chart 2A
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per annum
PREMIUM*
j.
GERMAN MARK j
U
lYvN
SWISS FRANC
U.K. POUND
;
M
J
S
D
1967
J
1968
S
DISCOUNTD
|
M
J
1969
S
D
M
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
28
32
J
S
D
D
1967
1968
* Devaluation of the French franc from 4 94 to 5.55 for $1.00.
* * Can. $ rate not supported by bank of Canada.
S
1969
D
M
S
1970
Chart 3A
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND
Per cent per annum
Friday figures
24
PREMIUM*
20
GERMAN MARK
U.S. DOLLAR
DISCOUNT —
S
M
D
1967
M
J
1968
S
J
1969
S
D
S
M
1970
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
i
M
J
S
D
1967
M
S
DISCOUNT —
20
D
1968
* Devaluation of the French franc from 4.94 to 5.55 for $1.00
I
S
1969
D
M
J
1970
S
D
Chart 4
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
41.0
39.0
37.0
35.0
J
s
D
1967
* Market closed March 15-April 1, 1968
S
1968
D
J
1969
s
S
1970
D
Chart 5
CALL MONEY RATES
DOLLAR FUNDS
Per cent per annum
Weekly averages
14
12
1
10
—
i
i
CAL
1
D-DOLl.AR DE-POSIT S I f ^
I
/
,
'
!
:
—
W/6V/
I
FFDFRAL FUNDS
1
!
|
!
i
I
J
EURO-DOLLAR OVER FEDERAL FUNDS
i
i
I
i
i
I
i
i
i
i
i
I
i
i
I
i
i
i
i
FOREIGN CURRENCIES*
Friday figures
Per cent per annum
GERMANY
FRANCE
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
CHART 6A
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
""""""
.
Per cent per
13
12
11
10
9
8
1-MONTH
7
n " T n
6
CALL
5
4
3
2
M
J
s
D
1967
M
J
1968
S
D
J
1969
S
D
S
1970
D
CHART6B
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
Per cent per annum
6 MONTH
3 MONTH
D
1967
M
D
1968
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
U.S. CERTIFICATE OF DEPOSIT
T
6
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT/
S
M
D
1967
J
1968
S
D
J|
M
S
1969
D
M
J
1970
s
D
Chart 7B
NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET
Per cent per annum
Wednesday figures
14
EURO-DOLLAR DEPOSIT
ADJUSTED
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
ADJUSTED
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
ADJUSTED
j
Adjusted for Reserve Requirement
* * Adjusted for 10% Marginal Reserve Requirement
4-
CHART 8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE AND EURO-DOLLAR RATES
Friday figures
14
12
EURO-DOLLAR DEPOSIT,!,
10
8
6
4
HIRE PURCHASE
2
COVERED
+
0
.FAVOR HIRE PURCHASE
+
0
2
4
6
8
DIFFERENTIAL
FAVOR EURO DOLLAR
0
M
J
S
D
1967
J
1968
S
D
M
J
1969
S
D
M
S
1970
D
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
+
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
|FAVOR EURO DOLLAR
S
S
D
1967
1968
D
M
S
1969
D
M
S
1970
D
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per
3-MONTH TREASURY BILL RATES
U.K. LOCAL AUTHORITY DEPOSITS
UNCOVERED
1
LONDON
f
NEW YORK
M
J
S
D
1967
* Plotted for comparison purposes
S
1968
D
M
S
1969
D
M
J
1970
S
D
Chart 9B
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per annum
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
J—SPREAD*'IN FAVOR OF LONDON
FORWARD RATE
T
2
IN FAVOR OF LONDON
IN FAVOR OF NEW YORK
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
J
s
D
1967
S
1968
D
S
1969
D
S
1970
D
Chart 10A
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE
Wednesday rates
Per cent per annum
IN TERMS OF DM
GERMAN
INTERBANK LOAN RATE
EURO-DOLLAR
COVERED
FAVOR FRANKFURT
DIFFERENTIAL
I M A R K E T COVER
~
k J \
./<.- .
- i
v
:
,
:
.
A / i
,
,
, FAVOR EURO-DOLLAR
i i : i i i i i i
J
1967
1968
1969
1970
Chart 10B
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
EURO-DOLLAR
COVERED
SWISS DEPOSIT RATE
DIFFERENTIAL
FAVOR ZURICH
FAVOR EURO DOLLAR
1967
1970
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA
Friday figures
Per cent per annum
CAN. FIN. CO. PAPER
CANADIAN
TREASURY BILLS
UNITED STATES
TREASURY BILLS
BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR
GROSS SPREAD IN FAVOR OF CANADA
/
FORWARD RATE
I
1
I
I
L
F
COVERED RATE DIFFERENTIALS
FAVOR CANADA
TREASURY BILLS
FAVOR U S
I
FAVOR CANADA
PRIME FINANCE PAPER
Vr
FAVOR U.S.
Chart 12A
SELECTED SHORT-TERM INTEREST RATES
Per cent per annum
GERMANY I
U.K.
U.S.
GERMANY
JAPAN
CANADA
U.S.
J_L
1966
1967
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
Chart 12B
SELECTED SHORT-TERM INTEREST RATES *
Per cent per annum
EURO-DOLLAR - LONDON
US.
SWITZERLAND
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-month rate for U. S. dollar deposits in London.
1969
1970
LONG-TERM BOND YIELDS
Weekly figures
Per cent per
CANADA
-NETHERLANDS....
^u.s.
SWITZERLAND^
1
I ! 1 1 I 1! ! 1 !! 1 M I I ! ! ! I I 11 I I : M > ! u
! 1 1 1 M ! ; iJ
U.K.
GERMANY
EURO-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 for Switzerland starts 3-3-67.
* * New series for Switzerland starts 8-2-68.
1968
1969
1970
I
CHART 14
INDUSTRIAL STOCK INDICES
460
H 400
360
SWITZERLAND
320
280
GERMANY
240
U.S.
200
160
320
U.K.
280
240
CANADA
200
J
1
160
3 8 0
320
JAPAN
280
240
U.S.
~j
200
160
1967
1968
1969
* Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange
1970
H. 13
No. 460
|V.
Chart
Panel
1A
Upper
L A T E S T FIGURES P L O T T E D ON T H E CHARTS
Series
Swiss franc
Rate
Date
4- 1 . 3 6 0
+ 0.651,
June 19
German mark
"
U.K. pound
Lower
- 0.114
Dutch guilder
French franc
Japanese yen
Belgian franc
IB
4
5
Upper
0.647
- -
+ 0.44
+ 2.32
+
1.42
Canadian dollar
+
1.67
French franc
-
0. 95
June 12
0. 17
+ 0.92
+ 0.09
Swiss franc
n
French franc
"
+ 2. 12
- 0.54
Gold price, U.S. dollar per ounce
June 19
35.41
Call Euro-$ deposits
June 17
,,
7. 80
Federal Funds
Middle
Differential
Lower
Japanese Unconditional Money
-
U.K. pound
U.S. dollar
36
+ 0.710
J u n e 19
"
0.126
Dutch guilder
German mark
3A
+ 0.398
- -
Swiss franc
28
"
"
Canadian dollar
German mark
+ 0.558
-
June 19
Italian lira
2A
„
"
"
J u n e 12
8.82
+
1.02
8. 25
German Call Money
J u n e 19
7.25
U.K. 2-day Local Authority Deposits
J u n e 12
6.50
French Day-to-day Money
June 19
9.50
J
IV- 2
Chart
Panel
6A
Series
Date
Euro-$ Call Rate
June
Euro-$ 1-month Rate
6B
7A
Upper
Lower
7B
Upper
Lower
8B
Upper
8. 75
Euro-$ 3-month Rate
„
9.62
9.62
Euro-$ 6-month Rate
"
9.62
Euro-$ 3-month Deposits
June
U.S. Certificate of Deposits
"
Differential
"
17
9.38
8 . 13
+
1.25
Euro-S 3-month Deposits
M
9.38
Euro-$ 3-month Deposits (Adj.)
..
10.42
U.S. Certificate of Deposits (Adj.)
M
7.18
Differential: on Adj. Euro-S Deposits
M
+ 3. 24
"
+
Euro-$ 3-month Deposits
June 5
2.20
9.41
Hire Purchase Deposits (covered)
"
Lower
Differential
»
Upper
Euro-S 3-month Deposits
"
9.41
Local Authority Deposits (covered)
"
7. 78
Lower
Differential
"
9A
U.S. Treasury Bill rate
U.K. Treasury Bill rate
9B
12
"
on Unadj. Euro-S Deposits
8A
Rate
Upper
-
19
1.19
1.63
6.67
6.81
"
Local Authority Deposit (uncovered)
June
13
7.94
Spread (+= favor London)
June
19
+ 0. 14
3-month Forward Pound
Lower
June
8.22
Net Incentive (+= favor London)
"
-
"
+ 0.07
0.07
IV - 3
Chart
Panel
Series
Date
10A
Upper
Euro-$ Deposits (covered)
June 17
German Interbank Loan rate
10B
11
8.91
9.56
Lower "
Differential
Upper
Euro-$ Deposits (covered)
June 17
7.11
Swiss Deposit rate
June 10
5.50
Lower
Differential
Upper
Canadian Finance Paper
Second
"
June 19
40.65
7.25
U.S. Treasury Bill rate
"
6. 67
Canadian Treasury Bill rate
"
5. 71
U.S. Prime Finance paper
(not plotted)
"
7.56
Bill rate differential
June 19
Forward Canadian dollar
12A
Rate
-0.96
+1. 79
Third
Net incentive on bills
+0.83
Bottom
Net incentive on Finance Paper
+1.48
Upper
U.K. Treasury Bill rate
6.81
U.S. Treasury Bill rate
German Interbank Loan rate
Lower
9.56
Japanese Average rate
A p ril 30
7. 636
Canadian Treasury Bill rate
June 19
5. 71
U.S. Treasury Bill rate
126
6.67
"
"
6. 67
„
9.44
Swiss 3-month Deposit rate
June 12
5.50
U.S. Treasury Bill rate
June 19
6. 67
Euro-$ Deposits
IV- 4
1
Chart
Panel
Series
Date
13
Upper
Netherlands
June 5
8.51
Canada
June
17
8.00
J u n e 11
5.97
United States
Switzerland
Middle
Lower
Germany
June
19
8.02
J u n e 12
9.83
Euro-dollar bonds
June 5
7.73
U.S. Corp. Dollar Euro-bonds
U.S. Corp. Aaa bonds
Upper
Middle
Lower
7.05
"
United Kingdom
U.S. Corp. DM Euro-bonds
14
Rate
April
24
8.05
7. 78
"
May 28
8.11
Switzerland
June
19
341.7
Germany
June
15
255.40
United States
J u n e 19
169.69
United Kingdom
June
12
178.74
Canada
June
11
187.85
Japan
June
20
365.36
United States
J u n e 19
169.69
@FedFRASER