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X , September 2, T970 No. 470 H-13 Division of International Finance Europe and British Commonwealth Section LECTED 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. C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC 1.6 GERMAN MARK U.K. P O U N D T Above par ! FRENCH 4 FRANC- JAPANESE 4 YEN U.S. DUTCH GUILDER Below par S 1968 S D 1969 * D e v a l u a t i o n of the French f r a n c f r o m 4 . 9 4 to 5.55 for $1 00. * * DM rate not s u p p o r t e d by the Bundesbank. * * * R e v a l u a t i o n of the DM f r o m 2 5 . 0 0 to 27.32 in U.S. cents. J 1970 S D M J 1971 S D CANADIAN DOLLAR BELGIAN FRANC . ITALIAN LIRA 1971 Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t per a n n u m -v GERMAN A MARK ASWISS FRANC U.K. P O U N D . S D 1968 J 1969 S DISCOUNTD j M J 1970 S D M J 1971 S 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Wee kly averages Per cent per a n n u m DUTCH GUILDER CANADIAN DOLLAR *<'i 28 , i _ i _ j_ L .. _i_. L „ _ L ; D 1968 1969 * Devaluation of the French f r a n c f r o m 4.94 to 5 55 for $1.00 * Can. $ rate not s u p p o r t e d by Bank of Canada 1970 M J 1971 : . S i..,. D 32 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per cent per a n n u m PREMIUM* ! 20 12 GERMAN MARK U.S. s D 1968 M i DOLLAR J 1969 S D M S 1970 D M 1971 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 a n n u m SWISS FRANC FRENCH - . . . . . . . . FRANC + h - ,n • , ' • . - - 8 12 - 1 i j 16 1 " T " 1 -j DISCOUNTM J S D 1968 M J S 1969 * Devaluation of the F r e n c h franc f r o m 4 94 to 5.55 for $ 1 00 D ! M ! : J 1970 ! 1 S i i i i 1 , M I i J 1971 , ! ! S l i 20 D GOLD PRICE IN LONDON, 12.5 Kg BARS W e e k ' s a v e r a g e of a f t e r n o o n fixings * U.S. dollar equivalent per fine ounce 44 42 40 38 36 34 D 1968 S 1969 D J S 1970 M A R K E T S U P P O R T E D BY GOLD POOL U S dollar equivalent per fine ounce M a r k e t closed March 15 April 1. 1968 D M J 1971 S D CALL MONEY RATES DOLLAR FUNDS Weekly averages 14 CALL EURO-DOLLAR DEPOSITS 10 FEDERAL FUNDS L__ 0 EURO DOLLAR OVER FEDERAL FUNDS i • ; j! 2 FOREIGN CURRENCIES* Per c e n t per a n n u i Friday's figures FRANCE GERMANY t 4 10 JAPAN M J S D M 1968 J S 1969 D M J S 1970 D M J 1971 * G e r m a n y , Call M o n e y ; U K , 2 day L o c a l A u t h o r i t y D e p o s i t s . J a p a n , U n c o n d i t i o n a l M o n e y ; F r a n c e , D a y - t o - d a y M o n e y LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per annum Friday figures ! i 1 j ! i i' < i ! ! 13 i ' " i! 1 j ! i ! 12 1 i 1 < 1 | 1 ! , . i i 10 | 1 j I 1 v 4 v 1 , , ! '-I fej" j v ™ A.A H 1 J V \ J j 1 •i i ! ! CALL vVj L _ L \ | i U A ! ' < 1-MONTH., j > rJ \M\fv\ f> in : ' | 1 i ] j j 1 i i 1 i m i 1 j i s ! J 1 1 ! j i . I j ! : L i : i d m 1967 j 1968 s d m j s 1969 d 1 m 1 1 j 1 1 s 1970 1 1 d 1 LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per a n n u m r riuay ngures 6-MONTH 3-MONTH 1967 1968 1969 1970 MEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures - Per cent per ar 14 13 12 11 EURO-DOLLAR DEPOSIT 10 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT 5 4 3 6 5 4 3 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 1 0 1 \ 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 f i g u r e s Per cent per a n n u m EURO-DOLLAR DEPOSIT -i— "13 adjusted EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT I ' ADJUSTED' T 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I ' ; s I I S D 1967 1968 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% Marginal Reserve Requirement ADJUSTED s D 1969 D J 1970 S D CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per annum EURO-DOLLAR D E P O S I T . , HIRE PURCHASE COVERED JAVOR HIRE PURCHASE TV) DIFFERENTIAL M ! S I FAVOR EURO DOLLAR 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 f i g u r e s Per cent per a n n u m EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT » Ij + FAVOR LOCAL AUTHORITY DIFFERENTIAL |FAVOR EURO DOLLAR S D 1967 J 1968 s D S 1969 D M S 1970 D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday f i g u r e s 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED 1967 * P l o t t e d for c o m p a r i s o n purposes 1968 1969 1970 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE i T r J 12 ^ 2 IN FAVOR OF LONDON 4 - IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M S D 1967 M S 1968 S 1969 D M J 1970 S D C h a r t 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 DIFFERENTIAL FAVOR FRANKFURT MARKET COVER FAVOR EURO-DOLLAR i I I I I I 1 r C h a r t 10B 3 - M O N T H INTEREST ARBITRAGE: U.S. - SWITZERLAND Per cent per annum ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates 1 IN TERMS OF SWISS FRANCS , EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR E U R O D O L L A R 1967 1968 1969 1970 1 1 4 f\r 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum CAN. FIN. CO. P A P E R . J CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS ! BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM GROSS SPREAD IN FAVOR OF CANADA DISCOUNT FORWARD RATE I COVERED RATE DIFFERENTIALS I 2 FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S J i l l D M J 1969 S D M J 1970 S D 2 Chart 12A SELECTED SHORT-TERM INTEREST RATES GERMANYi UK GERMANY JAPAN CANADA U.S. r . ... 1966 ; . . . 1967 1968 , ; ; ;.I:. i : I 1969 * 3 m o n t h t r e a s u r y b i l l rates for all c o u n t r i e s except 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) I I i I I i I ; IJLIJ 2 1970 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * EURO-DOLLAR - LONDON SWITZERLAND 1966 1967 1968 * 3-month treasury bill rate for U.S., S w i t z e r l a n d - 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 8 CANADA ^NETHERLANDS 6 U.S. ^swrfZERLArm 4 10 U.K. 8 GERMANY EURO-DOLLAR BONDS 6 Monthly figures 8 U.S. CORP. DOLLAR EURO-BONDS 6 U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 4 1966 1967 New series for Switzerland starts 3-3-67. h New series for Switzerland starts 8-2-68. 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES 460 400 360 SWITZERLAND 1 320 280 GERMANY -~j 2 4 0 U.S. 1 200 j 160 1 320 U.K. 280 -j 240 CANADA 200 J 160 q 380 320 l / A y fJAPAN 280 240 U.S. 200 160 1967 1968 1969 * Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange 1970 H. 13 No. 470 IV. Chart Panel 1A Upper L A T E S T FIGURES P L O T T E D ON T H E CHARTS Lower Series Swiss franc Rate Date " U.K. pound " - 0.665 Dutch guilder " + 0.507 French franc Japanese yen " + 0 . 608 " + 0.482 Belgian franc IB + 0.719 Italian lira Canadian dollar 2A " - 0.010 " - - M German mark + 0.05 Swiss franc 2B + 1.82 U.K. pound n - 0.84 Dutch guilder » + 1.12 " + 0.57 " - Canadian dollar French franc German mark 3A • .. U.S. dollar 3B 4 : ! Upper 4- 2 . 4 5 - 0.58 Call Euro-S deposits Federal Funds Middle Differential Lower Japanese Unconditional Money | + 2.45 + 0.71 French franc A u g u s t 26 » " $35.66 7.22 6.34 +0.88 A u g u s t 28 8.50 German Call Money " 8.25 U.K. 2-day Local Authority Deposits H 7.00 " 8 00 French Day-to-day Money 1 1.35 Swiss franc Gold price, U.S. dollar per ounce 5 + 1.686 + 0.789 A u g u s t 21 German mark - j /' • IV-2 Chart Panel 6A Euro-S Call Rate 6B 7A Upper A u g u s t 28 M Euro-$ 3-month Rate " Euro-$ 6-month Rate n 8.44 A u g u s t 26 8.12 » 7.70 Euro-S 3-month Deposits Lower Differential Upper Euro-$ 3-month Deposits Lower 8B Upper " 9.02 U.S. Certificate of Deposits (Adj.) " 7.18 Differential: on Adj. Euro-$ Deposits ii Euro-S 3-month Deposits Differential " Upper Euro-S 3-month Deposits Upper Lower + 0.94 A u g u s t 21 Lower Differential + 1.84 " 8.19 7.37 - 0.82 8.19 Local Authority Deposits (covered) 9B 8.12 Euro-$ 3-month Deposits (Adj.) ii 9A + 0.42 " Hire Purchase Deposits (covered) Lower 8.31 8.06 „ on Unadj. Euro-S Deposits 8A 7.50 Euro-$ 1-month Rate U.S. Certificate of Deposits 7B Rate Date Series 6.87 " " - 1.32 U.S. Treasury Bill rate A u g u s t 28 6.22 U.K. Treasury Bill rate " 6. 69 7.59 Local Authority Deposit (uncovered) " Spread (+= favor London) » 3-month Forward Pound " Net Incentive (+- favor London) " + 0.47 .- 0.85 - 0.38 IV- 3 Chart Panel Series 10A Upper Euro-S Deposits (covered) 10B Date August 26 8.18 German Interbank Loan rate " 9.25 Lower Differential " + 1.07 Upper Euro-$ Deposits (covered) it 6.33 Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper 5.50 - 0.83 August 28 7.75 U.S. Treasury Bill rate ii 6.22 Canadian Treasury Bill rate ii 5.37 U.S. Prime Finance paper (not plotted) » 7.31 Bill rate differential H - 0.85 Forward Canadian dollar ii + 0.49 Third Net incentive on bills II - 0.36 Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate Second 12A Rate Lower 6. 69 U.S. Treasury Bill rate " 6.22 German Interbank Loan rate " 9.25 Japanese Average rate J u n e 30 7.661 August 28 5.37 U.S. Treasury Bill rate " 6.22 Euro-S Deposits " 8.06 Swiss 3-month Deposit rate " 5.50 " 6.22 Canadian Treasury Bill rate 12B + 0.93 U.S. Treasury Bill rate IV- 4 Chart Panel Series Date 13 Upper Netherlands J u l y 31 8.26 Canada Aug 19 7.85 Middle Lower 14 Upper United States Aug 26 6.67 Switzerland Aug 21 5.94 Germany Aug 28 7. 78 United Kingdom Aug 28 9. 35 Euro-dollar bonds Aug 28 7. 70 U.S. Corp. Dollar Euro-bonds J u l y 31 8.83 U.S. Corp. DM Euro-bonds J u l y 31 7. 79 U.S. Corp. Aaa bonds Aug 31 Switzerland Aug 28 Germany Aug 7 United States Middle Lower Rate 8. 14 365.2 258. 60 e s e d A^I $t ) 171.53 United Kingdom Aug 28 191.08 Canada Aug 27 196.78 Japan Aug 29 377.35 e 171.53 United States A^ Si sed)
@FedFRASER