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September 23, 1970 No. 473
H-13
QMsion of lntemotionol Finonce Europe end British Commonwealth Section
Catsio&
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
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
SWISS FRANC
1.6
GERMAN MARK
U.K. POUND
us
Below par
Above par
FRENCH
FRANC-
JAPANESE
YEN
U.S.
DUTCH GUILDER
Below par
M
J
S
D
1968
M
S
D
1969
* Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00.
* * DM rate not supported by the Bundesbank.
* * * Revaluation of the DM from 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents.
S
1970
D
S
1971
D
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Percent
Above par
1.2
I
CANADIAN DOLLAR
V
T-
K M c M
BELGIAN FRANC,
us
ITALIAN LIRA
1.2
Below par
M
J
S
D
1968
J
M
1969
* Can. $ rate not s u p p o r t e d by Bank of Canada.
S
D
M
J
1970
S
D
M
S
1971
D
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
*
Per c e n t per a n n u m
PREMIUM*
GERMAN MARK
SWISS FRANC
U.K. POUND
V \
I
J
S
D
1968
M
S
1969
DISCOUNTD
M
S
1970
D
M
J
1971
S
D
3 fcONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AoAINST U.S. DOLLAR
W f - N !• . . fr^k>ps
Per : e n t per a n n u m
]
8
PREMIUM +
!
i
:
DUTCH GUILDER
CANADIAN
i DOLLAR
v
^
/
*
/
FRENCH FRANC
16
20
28
DISCOUNTi i i ; ;
M
J
S
D
M
1968
J
S
D
1969
* Devaluation of the F r e n c h f r a n c f r o r r 4 94 to 5.55 for $1.00
* Can. $ rate not s u p p o r t e d by Bank
Canada
M
,
32
i
J
S
1970
D
M
J
1971
S
D
r MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND
f- idav f i g u r e s
Per cent per a n n u m
j
24
PREMIUM*
20
GERMAN MARK
U.S. DOLLAR
DISCOUNT —
M
J
S
D
1968
M
S
1969
D
J
1970
S
D
J
1971
S
D
Chart 38
3-MONTH FORWARD EXCHANGE 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*
SWISS FRANC
FRENCH FRANC
DISCOUNT—
M
J
S
D
1968
S
1969
* D e v a l u a t i o n of t h e F r e n c h franc f r o m 4.94 to 5.55 f o r $ 1 . 0 0
D
M
20
J
1970
S
D
M
J
1971
S
D
GOLD PRICE IN LONDON, 12.5 Kg BARS
Week's average of afternoon fixings
!
|
I/
a
/
I
!
. 1
1
1
1
__
i
1
V V l
I
1L Z
1 / 1
{
U.S. d o l l a r e q u i v a l e n t p e r f i n e o u n c e
1
i
A
r
|
\
:
1
1,.
M
1 i
J
S
i 1
D
M M ;
M
1968
1 1
J
S
1 I
D
i ; 1 i i 1 i i
M
J
1969
S
D
1970
MARKET SUPPORTED BY GOLD POOL
U S dollar equivalent per fine ounce
I 11 i I I
I I 1 II
D
M a r k e t c l o s e d M a r c h 15 A p r i l 1, 1 9 6 8
M
1968
i i
M
i i
J
i i
S
1971
i i
D
Chart 5
CALL MONEY RATES
DOLLAR FUNDS
Per c e n t per a n n u m
Weekly averages
14
:
EPOSITS
CALL EURO DOL
I f FEDERAL FUNDS
1
!
jdVAAA
, if
r
1
|
1
EURO DOILLAR OVER F EDER/ \L FUNDS
1, I
i i ! i i i
M
1
. I . , 1 . , , , 1
M
1
1
i
i
J
FOREIGN CURRENCIES*
Per cent per a n n u m
F r i d a y ' s figures
FRANCE
GERMANY
10
re
i
M
1968
J
1969
S
i
D
I
i
M
J
S
1970
D
M
J
S
1971
* G e r m a n y , Call Money; U.K., 2-day Local A u t h o r i t y Deposits; Japan, U n c o n d i t i o n a l Money; France, Day-to-day Money.
CHARTM
LONDON: EURO-DOLLAR DEPOSIT RATES
Friday figures
.
Per c e n t per a n n u m
CALL
2
J
s
D
1967
M
J
1968
S
D
S
1969
D
S
1970
D
CHART 6 8
LONDON: EURO-DOLLAR DEPOSIT RATES
6-MONTH
3 MONTH
J
s
s
D
1967
1968
s
D
1969
D
1970
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3 MONTH DOLLAR DEPOSIT RATES
SECONDARY MARKET
Wednesday figures
Per cent per a n n u m
EURO-DOLLAR DEPOSIT
v v
U.S. CERTIFICATE OF DEPOSIT
T
6
EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
s
1967
1968
D
S
1969
D
S
1970
D
NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS
3 - M O N T H DOLLAR DEPOSIT RATES-PRIMARY MARKET
Wednesday figures
Per cent per a n n u m
!
EURO-DOLLAR DEPOSIT
: 14
13
ADJUSTED*
12
11
10
EURO-DOLLAR DEPOSIT
9
8
7
6
U.S. CERTIFICATE OF DEPOSIT
ADJUSTED
5
4
3
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
s
D
1967
S
1968
* Adjusted for Reserve R e q u i r e m e n t
* * Adjusted for 10% Marginal Reserve Requirement
D
J
1969
S
D
S
1970
. /
V
CHART8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE AND EURO-DOLLAR RATES
Friday figures
Per cent per a n n u m
EURO-DOLLAR DEPOSIT
HIRE PURCHASE
T
.FAVOR HIRE PURCHASE
DIFFERENTIAL
M
J
S
D
1967
S
1968
S
1969
D
S
1970
D
+
CHART8B
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
LOCAL AUTHORITY AND EURO DOLLAR RATES
I nrlay f i g u r e s
Per cent per a n n u m
1 14
EURO-DOLLAR DEPOSIT
LOCAL AUTHORITY DEPOSIT
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
+
!FAVOR EURO DOLLAR
S
D
1967
M
J
1968
S
D
M
S
1969
D
M
S
1970
D
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Per cent per a n n u m
F r;,lav figures
i
1 12
3 MONTH TREASURY BILL RATES
I 10
U.K. LOCAL AUTHORITY D E P O S I T S V
YORK
P l o t t e d for c o m p a r i s o n purposes
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per a n n u m
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
PRtMlUM
j
SPREAD IN FAVOR OF LONDON
FORWARD RATE
1
2
IN FAVOR OF LONDON
4 IN FAVOR OF NEW YORK
-
j
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
I
M
!
I
J
I
I
S
;
I
I
I
D
1967
I
i
I
!
I
J
1968
I
I
i
S
i
!
i
I
i
i
-
:
D
!
I
S
1969
l
i
12
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 a n n u m
14
IN TERMS OF DM
12
10
GERMAN
INTERBANK LOAN RATE f
4
/ EURO-DOLLAR
' COVERED
DIFFERENTIAL
FAVOR FRANKFURT
MARKET COVER
FAVOR EURO DOLLAR
S
1967
6
3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND
ZURICH DEPOSIT RATE VS LONDON EURO DOLLAR RATE
Wednesday rates
Per c e n t per a n n u m
1
IN TERMS OF SWISS FRANCS
EURO-DOLLAR
COVERED
SWISS DEPOSIT RATE
DIFFERENTIAL
1967
1968
1969
FAVOR ZURICH
i
, FAVOR EURO DOLLAR
I
1970
3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA
f ridm 'inures
Per cent per a n n u m
i
1 10
CAN. FIN. CO. PAPER
CANADIAN
TREASURY BILLS
UNITED STATES
TREASURY BILLS
BILL RATE DIFFERENTIAL AND FOFWARD CANADIAN DOLLAR
PRi "VIIIJM
GROSS SPREAD IN FAVOR OF CANADA
V IT-
FORWARD RATE
T
'
COVERED RATE DIFFERENTIALS
DISCOUNT
|
FAVOR CANADA
TREASURY BILLS
?
Kj\
FAVOR U S
FAVOR CANADA
PRIME FINANCE PAPER
FAVOR IJ S
,
Char! 12A
SELECTED SHORT-TERM INTEREST RATES
GERMANY
GERMANY
JAPAN
CANADA
U.S.
1966
1967
1968
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)
1970
SELECTED SHORT-TERM INTEREST RATES *
Per c e n t per a n n u m
EURO-DOLLAR - LONDON
U.S.
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 - m o n t h rate for U. S. dollar deposits in London.
1969
1970
LONG-TERM BOND YIELDS
Weeklv figures
Per cent per a n n u m
CANADA
•JNETHERLANDS
SWITZERLAND
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 S w i t z e r l a n d starts 3-3-67.
l
* New series for S w i t z e r l a n d starts 8-2-68
1968
1969
1970
r
z
CHART 14
INDUSTRIAL STOCK INDICES
SWITZERLAND
GERMANY
I
320
| U.K.
H 280
240
CANADA
200
J
160
]
380
320
< JAPAN
; 240
U.S.
-i 2 0 0
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
* * Japan index of all i n d u s t r i a l and o t h e r stocks t r a d e d on the first section of the Tokyo Stock Exchange
1970
H. 13
No. 473
IV.
L A T E S T FIGURES P L O T T E D ON T H E CHARTS
Chart
Panel
Series
Date
Rate
1A
Upper
Swiss franc
Sept
18
German mark
U.K. pound
Lower
IB
2A
.
!
+ 1.625
I
+ 0.805
!
-
Dutch guilder
"
1
+ 0.589
French franc
"
!
+ 0.550
Japanese yen
"
Belgian franc
„
Italian lira
"
Canadian dollar
"
+ 0.561
1
j
|
4- 0 . 7 2 9
-
0.077
-
German mark
11
Swiss franc
"
+ 2.04
U.K. pound
..
-0.05
Dutch guilder
"
-1.69
+ 0.38
Canadian dollar
"
+ 0.77
French franc
"
-
1.12
3A
German mark
11
+
1.27
+
1.07
3B
Swiss franc
..
+ 3.31
French franc
"
+ 0.40
Gold price, U.S. dollar per ounce
"
3 6 . 18
2B
!
0.595
"1
Z ]
—j
U.S. dollar
4
5
Upper
Call Euro-S deposits
Sept
Federal Funds
Middle
Differential
Lower
Japanese Unconditional Money
German Call Money
16
..
"
^
7.75
6.46
+ 1.29
Sept
11
8 . 1 o 1
Sept
18
9 . 19
U.K. 2-day Local Authority Deposits
Sept
11
6.50
French Day-to-day Money
Sept
18
8.125
'11
"h
/
H
!
•^
IV- 2
Chart
Panel
Series
Date
Rate
6A
Euro-S Call Rate
Euro-S 1-month Rate
»
6B
Euro-$ 3-month Rate
"
Sept
Euro-$ 6-month Rate
7A
Upper
Lower
7B
Upper
8B
9B
Differential
"
+ 0.54
Euro-$ 3-month Deposits
"
8.06
Euro-$ 3-month Deposits (Adj.)
"
U.S. Certificate of Deposits (Adj.)
"
"
+
"
+ 0.88
Upper
Euro-S 3-month Deposits
"
Local Authority Deposits (covered)
"
Lower
Differential
"
7 . 18
1.78
Sept 4
7.94
Hire Purchase Deposits (covered)
"
6.55
Differential
"
U.S. Treasury Bill rate
Sept
U.K. Treasury Bill rate
"
-
1.39
7.94
6 . 17
18
1.77
6.08
6.69
Local Authority Deposit (uncovered)
Sept
11
7.50
Spread (+= favor London)
Sept
18
+ 0.61
3-month Forward Pound
7.52
Differential: on Adj. Euro-S Deposits
Lower
Lower
8.06
„
Euro-S 3-month Deposits
Upper
16
U.S. Certificate of Deposits
Upper
9A
8.25
"
Sept
on Unadj. Euro-$ Deposits
8A
8.00
8.00
00
Lower
Euro-$ 3-month Deposits
7.62
18
Net Incentive (+= favor London)
"
-
1.38
"
-
0.77
|
IV - 3
Chart
Panel
Series
10A
Upper
Euro-S Deposits (covered)
Lower
Differential
"
Upper
Euro-S Deposits (covered)
"
Date.
Rate
Sept
German-Interbank Loan rate
10B
Lower
Upper
11
8 . 10
9.25
"
Swiss Deposit rate
"
Differential
"
Canadian Finance Paper
16
Sept
U.S. Treasury Bill rate
+
5.50
18
Second
Third
12A
0.42
6.75
"
Canadian Treasury Bill rate
U.S. Prime Finance paper
(not plotted)
1. 15
5.97
6.08
I
5.27
1
7.25
"
Bill rate differential
-
Forward Canadian dollar
+ 0.67
Net incentive on bills
-
"
0.81
0.14
Bottom
NeMncentive on Finance Paper
Upper
U.K. Treasury Bill rate
"
6 . 69
U.S. Treasury Bill rate
"
6.08
German Interbank Loan rate
"
9 . 25
Lower
12B
1
+ 0.17
Japanese Average rate
July
31
7.673
Canadian Treasury Bill rate
Sept
18
5 . 27
U.S. Treasury Bill rate
"
6.08
Euro-$ Deposits
"
8.00
Swiss 3-month Deposit rate
"
5.50
U.S. Treasury Bill rate
"
6.08
IV- 4
Chart
Panel
Series
13
Upper
Netherlands
Date
Aug 28
Lower
Sept
16
7. 77
United States
Sept
16
6.60
"
10
5.88
Germany
suspended
United Kingdom
S e p t 11
Euro-dollar bonds
Sept
U.S. Corp. Dollar Euro-bonds
August
8.89
"
8.01
U.S. Corp. DM Euro-bonds
18
U.S. Corp. Aaa bonds
Upper
14
|
Middle
Lower
*
9.55
7. 70
~ 8.14 ~
Switzerland
Sent
18
358.5
Germany
"
7
256. 20
United States
"
18
182.89
United Kingdom
"
18
194.39
Canada
"
10
198.65
Japan
"
11
360.49*
United States
"
18
182.89
B e g i n n i n g week ended S e p t .
5,
1970,
t h a t of a l l i n d u s t r i a l and o t h e r
of t h e Tokyo S t o c k E x c h a n g e .
7.98
Canada
Switzerland
Middle
Rate
the Japanese
stocks
traded
index plotted
on t h e F i r s t
is
Section
|
"
j
@FedFRASER