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May 12, 1971 No. 505
H-13
Division of International Finance Europe and British Commonwealth Section
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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 12 A 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. SELECTED CENTRAL BANK DISCOUNT RATES AND
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.
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4
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Percent
Above par
1.2
CANADIAN DOLLAR
r
BELGIAN FRANC
ITALIAN LIRA
1.2
Below par
J
s
D
1968
J
M
1969
* Can. $ rate not supported by Bank of Canada.
S
D
M
J
1970
S
D
M
J
1971
D
3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per annum
!
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J
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1968
* No quotation.
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1969
S
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J
1970
D
M
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1971
S
D
Chart ZB
3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per annum
j
PREMIUM
DUTCH GUILDER
CANADIAN
DOLLAR
/ / FRENCH FRANC
20
24
28
I
M
J
s
D
1968
M
DISCOUNT -
S
1969
* Devaluation of the French franc from 4.94 to 5.55 for $1.00.
* * Can. $ rate not supported by Bank of Canada.
* * * No quotation
32
D
S
1970
D
S
1971
Chart 3A
3 MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
PREMIUM*
20
GERMAN MARK
U.S. DOLLAR
DISCOUNT —
M
J
S
D
1968
* No quotation.
M
J
1969
S
D
M
J
1970
S
D
M
J
1971
S
D
Chart 3B
3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
SWISS FRANC
'FRENCH FRANC
j DISCOUNTJ
S
D
1968
S
1969
"Devaluation of the French franc from 4.94 to 5.55 for $1 00
D
|
J
1970
S
D
J
1971
S
D
GOLD PRICE IN LONDON, 12.5 Kg BARS
U.S. dollar equivalent per fine ounce
Week's average of afternoon fixings
1970
MARKET SUPPORTED BY GOLD POOL
U.S. dollar equivalent per fine ounce
I
I
M
M a r k e t closed March 15-April 1, 1 9 6 8
I
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I
J
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S
I
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D
M
CHART 5A
CALL MONEY RATES
DOLLAR FUNDS
Weekly averages
FEDERAL FUNDS
I
I
EUR 0 DOLLAR OVER FE[DERAL FUNDS
k
1Vv v
\ . / U v
i i
J
i.
EURO-CURRENCIES
Weekly averages
:
Per cent per annum
'
EURO DM
EURO-DOLLAR
EURO-SWISS FRANC
M
J
S
D
1968
M
J
1969
S
D
M
12
1
Chart 5B
CALL MONEY RATES
FOREIGN C U R R E N C I E S *
Friday figures
Per cent per annum
JAPAN
CANADA
S E L E C T E D EEC C U R R E N C I E S *
Per cent per annum
Friday figures
FRANCE
GERMANY
NETHERLANDS
k
k
1968
1969
1970
1971
Japan, Unconditional Money; U.K., 2-day Local Authority Deposits, Canada, Day-to day Loans, weekly average.
* Germany, Call Money; France, Day-to-day Money; Netherlands, Call Money, weekly average.
CALL
1970
Chart 6B
LONDON: EURO-DOLLAR DEPOSIT RATES
Friday figures
Per cent per a n n u m
6-MONTH
3-MONTH
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3 M O N T H DOLLAR DEPOSIT RATES-SECONDARY
Wednesday figures
MARKET
Per
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
D
1968
1969
1970
1971
NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS
3 M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y MARKET
Wednesday figures
Per r^nt p " '
EURO DOLLAR DEPOSIT
ADJUSTED'
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
.Li
.LI.
.Li__L. L.
"T
EURO DOLLAR OVER i
U.S. CERTIFICATE OF DEPOSIT
S
D
D
1968
* Adjusted for Reserve Requiremer:* * Adjusted for 10% Marginal Rv • " i t ' '•
* * * Adjusted for 20% M a r ^ i u hv >-r..
1969
1970
1971
i
Chart 8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE A N D EURO-DOLLAR RATES
Friday figures
Per cent per , m " u m
EURO-DOLLAR DEPOSIT
HIRE PURCHASE j
COVERED
|
I
FAVOR HIRE PURCHASE
FAVOR EURO DOLLAR
DIFFERENTIAL
M
S
1968
S
1969
S
1970
D
S
1971
$
i
Chart 8B
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
LOCAL AUTHORITY A N D EURO-DOLLAR RATES
Friday figures
4
Per cent per annum
EURO DOLLAR DEPOSIT
LOCAL AUTHORITY
DEPOSIT
COVERED
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
FAVOR EURO DOLLAR
L.
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Fnday figures
.
Per cent pp'
3 - M O N T H TREASURY BILL RATES
! U.K. LOCAL AUTHORITY DEPOSITS
j UNCOVERED
I
!
LONDON
NEW YORK V
s
D
1968
* Plotted for comparison purposes
S
1969
S
1970
D
S
1971
Y"
Chart 9B
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per ar:
RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING
-
SPREAD IN FAVOR OF LONDON
PREMIUM :
DISCOUNT ;
FORWARD RATE
|V\
—
1 10
T
2
| IN FAVOR OF LONDON
J—t———,-As\
flN FAVOR OF NEW YORK
. - M A T E DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
s
D
1968
S
1969
D
J
1970
S
S
D
1971
D
Chart 10A
3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE
Per cent per annum
: 14
Wednesday rates
IN T E R M S OF D M
:
12
GERMAN
INTERBANK LOAN RATE
EURODOLLAR
COVERED
A
DIFFERENTIAL
FAVOR FRANKFURT
|
! i 1 i ! : ; i ! ! \J
M
J
S
D
1968
M
J
1969
S
D
M
.
j
!
FAVOR EURO DOLLAR
J
1970
S
D
M
'
J
1971
S
D
Chart 10B
3 MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC
Z U R I C H DEPOSIT RATE VS. L O N D O N EURO D O L L A R RATE
Wednesday rates
Pf"
IN T E R M S OF SWISS FRANCS
EURODOLLAR
-
SWISS DEPOSIT RATE
'T
r
DIFFERENTIAL
FAVOR ZURICH
FAVOR EURO DOLLAR
M
J
S
D
1968
M
J
1969
S
D
M
J
1970
S
D
M
J
S
1971
D
¥•
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA
Per rent per am:
f ridav figures
ILL RATES
PAPER
CANADIAN
T R E A S U R Y BILLS
UNITED STATES
T R E A S U R Y BILLS
PREMIUM
ILL RATE D I F F E R E N T I A L A N D F O R W A R D C A N A D I A N D O L L A R
"h
FORWARD RATE
DISCOUNT
GROSS S P R E A D I N FAVOR OF C A N A D A i
I I
1 . 1 . i l l
FAVOR CANADA
C O V E R E D RATE D I F F E R E N T I A L S
T R E A S U R Y BILLS
FAVOR US
FAVOR CANADA
PRIME FINANCE PAPER
—
v
y
,
FAVOR U S
1 1 L i._ i . . l . - . L _ l . i
M
J
S
D
1968
M
J
1969
S
D
M
J
S
1970
D
M
!..
J
1..1 1
S
1971
D
L I__
SELECTED SHORT-TERM INTEREST RATES*
Per cent p<m
GERMANY
U.K.
U.S.
JAPAN
U.S.
CANADA
1967
1968
1969
1970
* 3 m o n t h t r e a s u r y bill rates for all countries except Jauan! A v<-race rat* on bank loans and d i s c o u n t s )
and G e r m a n y l l n t e r b a n k Loan Rate i
1971
SELECTED SHORT-TERM INTEREST RATES *
EURO-DOLLAR - LONDON
U.S.
SWITZERLAND
J i Lllll.1
LI I J J J I L I J J .
1967
JJJJJJLJ LL
1969
* 3 m o 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
* * 3 m o n t h rate for U.S. dollar d e p o s i t s in L o n d o n
1971
LONG-TERM BOND YIELDS
Weekly figures
NETHERLANDS
CANADA
SWITZERLAND
U.K.
EURO DOLLAR BONDS —
GERMANY
Monthly figures
U.S. CORP. DOLLAR EURO-BONDS
=
...
! U.S. CORP. DM EURO-BONDS
U.S. CORP. Aaa BONDS
1967
1968
1969
1970
1971
* New series for Switzerland starts 8-2 68. U S Corp Dollar Euro Bonds and U S Corp DM Euro- Bonds starts 12 70, Euro-Dollar
Bonds starts 4-2-71
* * New-Average yield of all German P A Bonds begins 9 4 70
CHART 14
1958-100
INDUSTRIAL STOCK INDICES
Ratio scale
320
280
160
SWITZERLAND
r
320
GERMANY
160
JAPAN
400
320
CANADA
1968
1969
1970
Japan index of 225 i n d u s t r i a l and other stocks traded on the Tokyo exchange
* * Japan index of all i n d u s t r i a l and other stocks t r a d e d on the first section of the Tokyo Stock Exchange.
1971
H. 13
No. 5 0 5
Country
IV. SELECTED CENTRAL BANK DISCOUNT RATES
Current Rate
In Effect Since
Previous Rate
In Effect Since
E.E.C.:
Belgium
6.0
Mar.
25,
1971
6. 5
Dec.
10,
1970
France
6.5
Jan.
8,
1971
7.0
Oct.
20,
1970
Germany
5.0
Apr.
1,
1971
6.0
Dec.
3,
1970
Italy
5.0
Apr.
5,
1971
5.5
Mar.
9,
1970
Netherlands
5. 5
Apr.
5,
1971
6.0
Aug.
4,
1969
Switzerland
3.75
Sept.
15,
3.0
July
10,
1967
United Kingdom
6.0
Apr.
1,
1971
7.0
Apr.
15,
1970
Canada
5.25
Feb.
24,
1971
5.75
Feb.
15,
1971
Japan
5. 5
May
8,
1971
5 . 75
Jan.
United States
4.75
Feb.
13,
1971
5.0
Jan.
196S
20,
19,
1971
1971
IV-2
LATEST FIGURES PLOTTED ON THE CHARTS
Chart
Panel
1A
Upper
Series
Date
Swiss franc
- -
German mark
- -
U.K. pound
Lower
IB
Rate
May 7
+ 0.784
Dutch guilder
French franc
May 7
+ 0.669
Japanese yen
"
+ 0.725
Belgian franc
May 7
+ 0.835
Italian lire
"
+ 0.454
Canadian dollar
- -
German mark
2A
26
n . a.
Swiss franc
- -
U.K. pound
May 7
-
Canadian dollar
May 7
+ 1.11
French franc
...
3B
Mav 7
Swiss franc
Upper
+ 0.98
+ 3.19
French franc
May 7
Gold price, U.S. dollar per ounce
May 7
Call Euro-S deposits
May 5
Federal Funds
"
+
1.89
39.86
5 . 22p
4.41
+ 0.81
Middle
Differential
"
Lower
Euro-currencies: Euro $
May 7
5. 50p
"
5. 46d
2. 4 6 p
Euro DM
Euro Swiss Fr.
5B
n. a.
German mark
U.S. dollar
5A
1.33
Dutch guilder
• 3A
4
n. a.
Upper
Lower
Japan, Unconditional Money
"
April
30
6.75
U.K., 2-day Local Author. Deps.
"
Canada, Day-to-day Loans
May 5
3.30
France, Day-to-Day Money
7
5.62
Germany, Call Money
Netherlands, Call Money
6.25
5.75
"
April
23
1.00
y
Chart
Panel
6A
Series
May 7
n. a.
Euro-$ 1-month Rate
"
7.75
Euro-$ 3-month Rate
"
Euro-$ Call Rate
6B
Rate
Date
^
7.38
7.25
Euro-S 6-month Rate
7A
Upper
6.81
May 5
Euro-$ 3-month Deposits
U.S. Certificate of Deposits
7B
Lower
Differential
Upper
Euro-$ 3-month Deposits
4.84
Euro-$ 3-month Deposits (Adj.)
Upper
Differential: on Adj. Euro-$ Deposits
Euro-$ 3-month Deposits
Lower
Differential
Upper
Euro-$ 3-month Deposits
Lower
9A
6.00
23
4.64
"
•$
-
"
1.36
6.00
"
Differential
"
4.45
-
1.55
U.S. Treasury Bill rate
May 7
3.74
U.K. Treasury Bill rate
"
5. 55
Upper
Spread (+= favor London)
Lower
Net Incentive (+= favor London)
3-month Forward Pound
+ 3.51
+ 1.81
Local Authority Deposits (covered)
Local Authority Deposit (uncovered)
9B
"
"
April
Hire Purchase Deposits (covered)
8B
8.51
5.00
"
on Unadj. Euro-$ Deposits
8A
1.97
6.81
M
U.S. Certificate of Deposits (Adj.)
Lower
+
"
April
6.50
30
+
1.81
"
-
1.14
"
+ 0.67
May 7
.
IV-4
Chart
Panel
Series
10A
Upper
Euro-* Deposits (covered)
A LC-v- y
/,
German Interbank Loan rate
Lower
10 B
Upper
Rate
Date
A -
')
'
Differential
Euro-$ Deposits (covered)
i.-a
J
i\
>,
Swiss Deposit rate
11
Lower
Differential
Upper
Canadian Finance Paper
/'/
A • (i
•
/
U.S. Treasury Bill rate
? i'S
Canadian Treasury Bill rate
U.S. Prime Finance paper
(not plotted)
Second
12A
Bill rate differential
~ L- • C- (r
Forward Canadian dollar
"
Third
Net incentive on bills
"
Bottom
Net incentive on Finance Paper
"
Upper
U.K. Treasury Bill rate
Lower
U.S. Treasury Bill rate
'
>>
Canadian Treasury Bill rate
'ht
V
c
< //y
>
.*<?
{
'• c 7
A.., , 7
U.S. Treasury Bill rate
12B
/
~h t . 6 5.
German Interbank Loan rate
Japanese Average rate
V
^ //,
/
jy
Swiss 3-month Deposit rate
:
yz
U.S. Treasury Bill rate
"
Euro-S Deposits
"
/ / /
IV- 5
Chart
Panel
Series
13
Upper
Netherlands
Canada
Date
Rate
April
Switzerland
6.62
"
5.99
9.18
May 7
7.72
8.03
"
7.31
April
7.25
Switzerland
United States
United Kingdom
Canada
Lower
" 30
March
Germany
Middle
7.94
U.S. Corp. Dollar Euro-bonds
U.S. Corp. Aaa bonds
Upper
5.33
Euro-dollar bonds
U.S. Corp. DM Euro-bonds
14
23
" 30
April
* Germany
United Kingdom
Lower
6.85
May 5
United States
Middle
23
** Japan
United States
May 7
April
30
May 7
232.35
214.08
"
April
396.0
263.0
29
May 7
"
222.33
416.0
232.35
* New -- Average yield of ALL German Public Authorities bonds made as of banking key days.
** Beginning week ended September 5, 1970, the Japanese index plotted is that of all industrial and other stocks
on the First Section of the Tokyo Stock Exchange.
@FedFRASER