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V
May 27, 1970 No. 456
H-13 Division of International Finance Europe end British Commonwealth Section
\
- 4
O q a i W
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 12A 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
Percent
Above par
1.6
SWISS FRANC
GERMAN MARK
U.K. P O U N D
Below par
Above par
DUTCH GUILDER
U.S.
JAPANESE YEN
FRENCH FRANC
s
M
1967
S
D
1968
* Devaluation 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 i u a t i o n of the DM from 25.00 to 27.32 in U.S. cents.
M
J
1969
S
D
M
J
1970
S
D
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Percent
Above par
BELGIAN FRANC
Below par
M
J
S
D
M
1967
J
1968
S
D
M
J
S
1969
D
M
J
S
1970
D
c
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR
Weekly averages
Per cent per annum
!
I
PREMIUM*
SWISS FRANC
U.K. P O U N D
DISCOUNT1
: I
Chart 28
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per annum
I
PREMIUM
DUTCH GUILDER
C A N A D I A N DOLLAR
\ j ^
FRENCH FRANC '
/1
DISCOUNT S
S
D
1967
D
1968
* Devaluation of the French franc from 4.94 to 5.55 for $1.00.
M
J
1969
S
J
1970
s
D
3-MONTH FORWARD RATES -MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
24
PREMIUM*
20
GERMAN MARK
U.S. DOLLAR
; DISCOUNT- j
S
D
1967
S
1968
D
J
1969
S
D
M
S
1970
D
Chart 38
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
PREMIUM*
SWISS FRANC
FRENCH
|
M
J
S
D
M
1967
S
FRANC I ]
DISCOUNTD
1968
* Devaluation of the French franc from 4.94 to 5.55 for $1.00
M
J
1969
S
D
S
1970
D
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
35.3
1 41.0
35.2
39.0
35.1
H 37.0
35.0
j
M
S
D
1967
* Market closed March 15 April 1, 1968
S
1968
D
M
J
1969
S
D
M
S
1970
35.0
Chart 5
CALL MONEY RATES
DOLLAR FUNDS
Weekly averages
Per cent per annum
14
12
1
i
\
j
,
I
CALLEUR13-DOLI.AR Dl POSIT
t P
7
:
r
p
f
i
10
k
ri
1N
K 11
FEDFRAl FUNDs
v
1 I
I I I 1 1 1 I I 1 M
I
EURO-DOLLAR OVER FEDERAL FUNDI
1 M
I I 1 1 I 1 I 1 I 1 II
I I I 1 I I I I I 1 I I 1 1 1 1 I l
FOREIGN CURRENCIES
Friday figures
Per cent per annum
12
R
D
1967
M
J
1966
S
D
M
J
3
1969
D
M
J
1970
'Germany, Call Money; U.K., 2 day Local Athority Deposits; Japan, Unconditional Money; France, Day-to day Money.
n
CHART6A
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
Per cent per annum
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
T
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
M
S
S
D
1967
1968
D
M
J
1969
S
D
M
J
1970
S
D
V'
CHART 68
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
Per cent per annum
6-MONTH
3 MONTH
s
D
1967
1968
D
J
1969
S
D
J
1970
S
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET
Wednesday figures
Per cent per a n n u m
!
' '
EURO-DOLLAR DEPOSIT
'
*
ADJUSTFn*
EURO DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
ADJUSTED*
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
ADJUSTED*
Adiusted for Reserve R e q u i r e m e n t
: 14
CHART8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
H I R E PURCHASE A N D EURO-DOLLAR RATES
Friday figures
Per cent per annum
14
FAVOR HIRE PURCHASE
DIFFERENTIAL
FAVOR EURO DOLLAR
CHART 88
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
L
FAVOR LOCAL AUTHORITY
/In
DIFFERENTIAL
M
J
FAVOR EURO DOLLAR
S
D
1967
M
J
1968
S
D
M
J
1969
S
D
M
J
1970
S
D
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per annum
3-MONTH TREASURY BILL RATES
U.K. LOCAL AUTHORITY DEPOSITS
UNCOVERED
I
LONDON
NEW YORK
M
J
S
D
1967
* Plotted for comparison purposes
M
J
1968
S
s
D
1969
D
M
J
1970
S
0
Chart 9B
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
|
Per cent per annum
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
PREMIUM
SPREAD IN FAVOR OF LONDON
DISCOUNT
:
FORWARD RATE
1
2
1
1
i
IN FAVOR OF LONDON
IN FAVOR OF NEW YORK
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
J
S
D
1967
M
J
1968
S
D
J
1969
S
D
M
J
1970
S
D
vA
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 r
EURO-DOLLAR
COVERED
FAVOR FRANKFURT
DIFFERENTIAL
|wARKET COVER
i
"
>
k
S
D
{I
M
J
S
D
1967
M
J
1968
•
M
J
1969
S
D
, FAVOR EURO DOLLAR
1 1 1 I 1 1 1 1 1
'
M
J
1970
S
D
Chart 10B
r. f
3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND
ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE
Wednesday rates
Per cent
14
IN TERMS OF SWISS FRANCS
12
10
EURODOLLAR
COVERED
8
6
4
SWISS DEPOSIT RATE
2
FAVOR ZURICH
DIFFERENTIAL
2
+
0
2
4
6
FAVOR EURO-DOLLAR
M
J
S
D
1967
S
1968
D
M
J
1969
S
D
M
J
1970
S
D
8
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA
Per cent per annum
Friday figures
CAN. FIN. CO. PAPER
CANADIAN
TREASURY BILLS
UNITED STATES
TREASURY BILLS
BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR
!
I
I
I
I
I
GROSS SPREAD IN FAVOR OF CANADA
^=v
-N
FORWARD RATE
J
L
1_
n
— i
1
r
COVERED RATE DIFFERENTIALS
--1"
h
r
FAVOR CANADA
TREASURY BILLS
—l
i
FAVOR CANADA
M
VH
PRIME FINANCE PAI
FAVOR U.S.
I I I I I I I I I I I I I I I I I I I I I I I I I
M
J
S
D
1967
M
J
1968
J
1969
S
I I I I I I I
D
M
J
1970
S
Chart 12A
SELECTED SHORT-TERM INTEREST RATES
U.K.
GERMANY
JAPAN
CANADA
U.S.
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 128
SELECTED SHORT-TERM INTEREST RATES #
Per cent per annum
EURO DOLLAR - L O N D O N
US.
SWITZERLAND
1966
1967
1968
* 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
LONG-TERM BOND YIELDS
Weekly figures
Per cent per annum
CANADA
NETHERLANDS
US.
SWITZERLAND
H
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
10
CHART 14
1958=100
INDUSTRIAL STOCK INDICES
Ratio scale
.A
-
-!
"I
A
W
'
l
400
V
v
,
SWITZERLAND
;
' 360
\
!
320
A
/ v
/ l !
280
GERMANY
^
240
IbyX
•!
:
I
1 , 1 1 1 I
i
;
i
i
i
I
! i
!
1 * !
!
I
i
:
460
, m
i
I
I •: i
yV
i
i
i
1 I
i
i
! i
!
:
1
200
: J i 160
I
™"™"|
—
...
J
..
.....
JAPAN *
US.
-
V "
200
!
i
i
! 1 1 1 ! 1 1 1 1 1 !
1967
1 1 !
! 1 i
1968
1 1 1 ! 1 !
1 ! I I
i
1969
* Japan index of 225 industrial and other stocks traded on the Tokyo exchange
!
i 1 1 1 i
!
!
1 !
1 '
1970
'
!
'
160
No /,56
j
IV
I ATEST FIGURES P L O T T E D ON T H E CHARTS
Ci-ait
Panel
Series
Date
1A
Upper
Swiss franc
Hay 2 2
German mark
1
I
!
Lower
i
+0.702
U.K. pound
"
+0.090
Dutch guilder
"
+0.572
„
Belgian franc
„
Italian lira
"
Canadian dollar
2A
German mark
Swiss franc
|
-0.186
French franc
IB
2B
+0.778
May 2 2
M
II
Dutch guilder
"
+0.64
"
+0.56
3A
German mark
3B
Swiss franc
-0.47
II
-0.96
Mav 2 2
+0.23
«»
„
+1.71
May 2 2
35.94
U.S. dollar
French franc
Gold price, U.S. dollar per ounce
Upper
-0.61
+1.46
U.K. pound
Canadian dollar
5
+0.297
+0.702
-0.648
it
French franc
4
+1.255
"
Japanese yen
:
Rate
Call Euro-$ deposits
Federal Funds
+0.45
-0.04
May 2 0
8.27
7.84
"
Middle
Differential
Lower
Japanese Unconditional Money
May 15
German Call Money
May 2 2
9.31
U.K. 2-day Local Authority Deposits
May
7.50
French Day-to-day Money
it
+0.43
8
May 2 2
8.25
9.125
IV- 2
1
Rate
Date
rnrn-$ Call Rate
May 2 2
9.00
M
9.25
Euro-S 1-month Rate
\
Euro-$ 3-month Rate
|
Euro-$ 6-month Rate
|
Euro-$ 3-month Deposits
9.50
II
9.44
May 2 0
8.94
U.S. Certificate of Deposits
If
8.13
Differential
IT
+0.81
Euro-$ 3-month Deposits
Euro-S 3-month Deposits (Adj.)
May 2 0
If
9.51
U.S. Certificate of Deposits (Adj.)
„
Differential: on Adj. Euro-$ Deposits
..
2.33
11
1.76
on Unadj. Euro-$ Deposits
Euro-S 3-month Deposits
Hire Purchase Deposits (covered)
Differential
May
„
7.18
8
-0.40
rr
7.81
Differential
ii
-0.82
U.K. Treasury Bill rate
Local Authority Deposit (uncovered)
!
|
8.63
Local Authority Deposits (covered)
U.S. Treasury Bill rate
•
8.63
8.12
»
£. : - i 3 month Deposits
j
8.94
Spread (+= favor London)
„
May 2 2
" Mav
6.72
8
Mav 2 2
3-month Forward Pound
6.68
8.125
+0.04
-0.49
Net Incentive (+= favor London)
it
-0.45
tp)
IV-3
Chart
Panel
Series
10A
Upper
Euro-S Deposits (covered)
May 2 0
9.69
„
9.56
„
German Interbank Loan rate
10B
Lower
Differential
Upper
Euro-$ Deposits (covered)
Swiss Deposit rate
11
Lower
Differential
Upper
Canadian Finance Paper
Rate
Date
-0.13
7.32
"
May 13
May 2 2
8.25
U.S. Treasury Bill rate
..
6.68
Canadian Treasury Bill rate
If
6.26
U.S. Prime Finance paper
(not plotted)
Second
Bill rate differential
Forward Canadian dollar
12A
5.50
7.38
May 2 2
..
+0.42
-0.67
Third
Net incentive on bills
If
-0.25
Bottom
Net incentive on Finance Paper
If
+ 1.54
Upper
U.K. Treasury Bill rate
U.S. Treasury Bill rate
German Interbank Loan rate
Lower
Japanese Average rate
Canadian Treasury Bill rate
12B
Mav 22
6.72
„
6.68
„
9.56
March 3 1
7.627
Mav
6.26
22
U.S. Treasury Bill rate
»f
6.68
Euro-S Deposits
if
9.50
Swiss 3-month Deposit rate
May 15
5.50
May 2 2
6.68
U.S. Treasury Bill rate
IV - 4
Chart
Panel
Series
13
Upper
Netherlands
Canada
United States
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
Date
Rate
May 8
8.50
May 13
8.17
Mav 2 0
6.85
May
8
6.08
May 22
7.73
May 14
April
9.43
10
7.32
March 27
8 . 10
„
8.02
A p r i l 24
May
„
Mav 22
15
7.83
338.2
261.80
164.45
May 2 2
184.69
Mav 14
198.12
Mav 16
364.29
May 2 2
164.45
United States
@FedFRASER