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June 3, 1970 No. 457 H-13 Djyieion of Intemotionei Finance Europe end British Common woo Hh 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 - 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 SWISS FRANC U.K. POUND Above par DUTCH GUILDER lADAMC JAPANESE YEN • — ^ FRENCH FRANC 1968 1967 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 f r a n c f r o m 4.94 to 5.55 for $1.00. * * * D M rate not supported by the Bundesbank * * * * Revaluation of t h e qM f r o m 2 5 . 0 0 to 27.32 in U.S. c e n t s . 1969 1970 i Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 CANADIAN DOLLAR ITALIAN \ [LIRA BELGIAN FRANC 1.2 Below par M S 1967 D M J 1968 S D J 1969 S D S 1970 D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m GERMAN MARK W SWISS FRANC U.K. POUND ! DISCOUNT — D 1967 S 1968 D S 1969 D S 1970 D C h a r t 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m DUTCH GUILDER CANADIAN DOLLAR /\ FRENCH FRANC DISCOUNTM J S D 1967 M S * D e v a l u a t i o n of the French franc f r o m 4.94 to 5.55 for $1.00 D D 1968 1969 S 1970 C h a r t 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 a n n u m ! PREMIUM* 24 i 20 GERMAN MARK ' V U.S. DOLLAR DISCOUNT — S 1967 S 1968 D S 1969 D S 1970 D C h a r t 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per c e n t per a n n u m SWISS FRANC FRENCH FRANC ! J S D 1967 DISCOUNT- S 1968 * D e v a l u a t i o n of the French franc f r o m 4 . 9 4 to 5.55 for $1.00 ! i M S 1969 D M S 1970 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 —I Market closed M a r c h 15 April 1, 1968 ! 1 47.0 Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly a v e r a g e s 14 CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS n~ 1 1 j i I ! j | j v :VV vAv!At y ll v VLurtylv , 1 i , V ! iMll / i K V ! V V " 1 |/v j 1EURO 1 DOLLAR i ! 1 OVER 1 ; IFEDERAL 1i i !j !i FUNDS 1i I i i I i i ! 1 1 1 1 1 1 1 - FOREIGN CURRENCIES* Per cent per a n n u m Friday figures 12 FRANCE! M J S D 1967 M J S 1968 D M J S 1969 D M J 1970 * Germany, Call Money; 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. CHART6A LONDON: EURO-DOLLAR DEPOSIT RATES F r i d a y figures Per c e n t per a n n u m 1-MONTH 1- CALL 2 M S D 1967 M J 1968 S D S 1969 D S 1970 D LONDON: EURO DOLLAR DEPOSIT RATES Per cent per efintim Friday f i g u r e s 1969 N E W Y O R K - L O N D O N : Y I E L D S O N U.S. DOLLAR F U N D S 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per c e n t per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT T T - i 6 i- EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J s D 1967 J 1968 S D J 1969 S D M J 1970 S D N E W Y O R K - L O N D O N : 3 - M O N T H DOLLAR Wednesday figures Y I E L D S O N U.S. DEPOSIT R A T E S - P R I M A R Y D O L L A R F U N D S MARKET Per cent per ar 14 EURO DOLLAR DEPOSIT ADJUSTED 13 12 11 10 EURO-DOLLAR DEPOSIT 9 8 7 CERTIFICATE OF 6 DEPOSIT ADJUSTED 5 4 3 7 EURO DOLLAR OVER I U.S. C E R T I F I C A T E OF D E P O S I T I ADJUSTED 6 5 4 3 2 1 + 0 Adjusted for Reserve R e q u i r e m e n t * Adjusted for 10% Marginal Reserve Requirement 3 N D O N : RE C O V E R E D PURCHASE AND Y I E L D S EURO-DOLLAR O N U.S. D O L L A R F U N D S RATES Per cent per an day f i g u r e s 14 12 EURO-DOLLAR DEPOSIT 10 8 6 4 HIRE PURCHASE COVERED 2 + 0 + FAVOR HIRE PURCHASE 0 2 4 6 8 FAVOR EURO DOLLAR DIFFERENTIAL i I I I 1 I I 1967 I I I I I I I I 10 CHART 8B L O N D O N : C O V E R E D LOCAL AUTHORITY AND Friday f i g u r e s Y I E L D S O N EURO-DOLLAR U.S. D O L L A R F U N D S RATES 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 LOCAL AUTHORITY -COVERED DEPOSIT > 2 + 0 + FAVOR LOCAL AUTHORITY 0 2 ff) 4 6 8 FAVOR EURO DOLLAR DIFFERENTIAL M J S D 1967 S 1968 D M J 1969 S D J 1970 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL UNCOVERED AUTHORITY j DEPOSITS j 1 LONDON NEW M J S D 1967 * P l o t t e d for c o m p a r i s o n purposes M J 1968 S D YORK M S 1969 D M S 1970 D Y* INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n i m m RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING L PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT 4 FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) J S D 1967 J 1968 S D S 1969 D M J 1S70 $ D Y \ C h a r t 10A 3-MONTH I N T E R E S T A R B I T R A G E : U.S. - G E R M A N Y FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK L O A N RATE EURO-DOLLAR COVERED FAVOR FRANKFURT [ M A R K E T COVER DIFFERENTIAL FAVOR EURO-DOLLAR 1967 1968 1969 1970 /;V C h a r t 10B r 3-MONTH I N T E R E S T A R B I T R A G E : U.S. - S W I T Z E R L A N D 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 EURO-DOLLAR COVERED SWISS DEPOSIT RATE I T DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR S D 1967 J 1968 S S D 1969 D J 1970 S D 2 Chart 11 3 - M O N T H INTEREST ARBITRAGE: U N I T E D STATES - CANADA Friday f i g u r e s Per c e n t per 10 CAN. FIN. CO. PAPER 8 CANADIAN TREASURY BILLS 6 UNITED STATES TREASURY BILLS 4 T BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR 2 GROSS SPREAD IN FAVOR OF CANADA j j r v j + 0 v FORWARD RATE DISCOUNT 2 FAVOR CANADA COVERED RATE DIFFERENTIALS 2 TREASURY BILLS + 0 FAVOR U.S. 2 FAVOR CANADA 2 PRIME FINANCE PAPER + 0 fiW T 2 s D 1967 J 1968 D M J 1969 S D M J 1970 S D f Chart 12A SELECTED SHORT-TERM INTEREST RATES Per cent per a n n u m U.K. U.S., GERMANY JAPAN CANADA U.S. 1966 1967 1968 1969 3 m o n t h t r e a s u r y b . 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 and d i s c o u n t s ) and Germany ( I n t e r b a n k Loan Rate) 1970 f. hart 126 SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO DOLLAR - LONDON U.S. SWITZERLAND 1966 1967 1968 "* ' - i t n t h 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. * v 3 m o n t h rate for U. S. dollar deposits in London. 1969 1970 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m CANADA NETHERLANDS SWITZERLAND 10 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 i U.S. 240 200 160 320 280 i 240 CANADA 1 200 160 380 320 JAPAN 280 240 U.S. 200 160 1967 1968 1969 * Japan index of 2 2 5 i n d u s t r i a l and other stocks t r a d e d on the Tokyo exchange 1970 H. 13 No. 457 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc May 29 Lower +0.720 U.K. pound +0.057 -0.268 +0.563 Dutch guilder French franc Japanese yen +0.134 +0.696 -0.645 +0.684 Canadian dollar German mark 2A May 29 -0.48 .. Swiss franc 2B +1.245 German mark Belgian franc Italian lira IB Rate U.K. pound " +1.68 -0.48 Dutch guilder " 40.86 Canadian dollar " +0.39 French franc " -1.10 German mark 3B U.S. dollar Swiss franc " +0.45 +1.71 French franc " -0.04 4 5 Upper Middle Lower May 22 40.23 3A " Gold price, U.S. dollar per ounce May 29 35.74 Call Euro-$ deposits May 27 8.75 Federal Funds " Differential " Japanese Unconditional Money 7.64 +1.11 8.25 8.00 German Call Money May 22 May 29 U.K. 2-day Local Authority Deposits French Day-to-day Money May 15 7.125 May 29 9.25 IV - 2 Panel Rate Series Date 6A Euro-$ Call Rate May 28 Euro-$ 1-month Rate " 9.12 6B Euro-$ 3-month Rate " 9.12 Chart Euro-$ 6-month Rate 7A Upper Lower 7B Upper Lower Euro-$ 3-month Deposits " May 27 " 8.06 Differential " +1.25 Euro-S 3-month Deposits " 9.31 Euro-$ 3-month Deposits (Adj.) " 10.34 U.S. Certificate of Deposits (Adj.) " 7.18 Differential: on Adj. Euro-$ Deposits " 3.16 " 2.13 Upper Euro-S 3-month Deposits Lower Differential Upper Euro-S 3-month Deposits Local Authority Deposits (covered) " 7.74 Lower Differential " -1.01 May 15 Hire Purchase Deposits (covered) 8B 9A U.S. Treasury Bill rate U.K. Treasury Bill rate 96 9.06 9.31 U.S. Certificate of Deposits on Unadj. Euro-$ Deposits 8A 8.50 Upper Lower " 8. 75 8.18 -0.57 8.75 May 29 " Local Authority Deposit (uncovered) May 15 Spread (+= favor London) May 29 6.87 6.72 8.062 -0.15 3-month Forward Pound " -0.49 Net Incentive (+= favor London) " -0.64 - IV-3 Chart Panel 10A Upper Lower 10B Upper Series Date Euro-$ Deposits (covered) May 27 11 Upper Second 12A 9.86 German Interbank Loan rate " 9.56 Differential " -0.30 Euro-$ Deposits (covered) " 7.36 Swiss Deposit rate Lower Rate May 20 5.50 May 28 8.25 Differential Canadian Finance Paper U.S. Treasury Bill rate " 6.87 Canadian Treasury Bill rate " 6.28 U.S. Prime Finance paper (not plotted) " 7.38 Bill rate differential May 28 -0.59 Forward Canadian dollar +0. 35 Third Net incentive on bills -0.24 Bottom Net incentive on Finance Paper +1.22 Upper U.K. Treasury Bill rate 6. 72 U.S. Treasury Bill rate 6.87 German Interbank Loan rate Lower 12B 9.56 Japanese Average rate March 31 Canadian Treasury Bill rate May 28 7.627 6.28 U.S. Treasury Bill rate " 6.87 Euro-$ Deposits " 9.12 Swiss 3-month Deposit rate U.S. Treasury Bill rate May 22 " 5.50 6.87 IV- 4 Rate Chart Panel Series Date 13 Upper Netherlands May 8 8.50 Canada May 20 8.19 Middle United States May 27 7.23 Switzerland May 15 6.04 May 29 7.77 Germany United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds 14 Upper Middle Lower " 28 9.50 A p r i l 10 7.32 March 27 8.10 " U.S. Corp. Aaa bonds May 28 Switzerland 8.02 8.11 May 29 333.3 Germany May 15 261.80 United States May 28 161.36 United Kingdom May 22 184.69 Canada May 21 187.96 Japan May 22 348.55 United States May 28 161.36
@FedFRASER