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f April 30, 1969 No. 400 H-13 Division of Intemotional Finance Europe arid British Commonwealth Section UBRSUW MAY 7 1969 FEDERAL EEZJSVE & S B % C? 3 T C 0 3 0 m E c ED 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 I B - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2 - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3 - 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 6 Chart 7 Chart 8 Chart 9A and 98 Chart 10 Chart 11 Chart 12 - 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. 3 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.6 SWISS FRANC GERMAN MARK U.K. POUND Below par Above par DUTCH GUILDER /FRENCH FRANC JAPANESE YEN | M J S D D 1966 1967 * D e v a l u a t i o n of the U.K. pound f r o m $2.80 to $ 2 . 4 0 . S 1968 1969 , Below par A Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR W e e k l y averages Percent Above par 1.2 BELGIAN FRANC U.S. ITALIAN LIRA CANADIAN DOLLAR 1.2 I Below par M J S 1966 D M J 1967 S D M J 1968 S D M J 1969 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR 6 Weekly a v e r a g e s PREMIUM* GERMAN MARK SWISS FRANC DISCOUNT I ! 1 L_1 DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC DISCOUNT- I Vy . Chart 3 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per c e n t per a n n u m PREMIUM* GERMAN MARK U.S. DOLLAR DISCOUNT— PREMIUM + SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D 1 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. d o l l a r e q u i v a l e n t per fine ounce W e e k ' s a v e r a g e of af t er noon fixings 45.0 43.0 41.0 35.3 35.2 35.1 35.0 M J S D 1966 * M a r k e t closed March 15-April 1, 1 9 6 8 M J 1967 S D S D <b CHART 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per a n n u m CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS &¥ \r B Ar\. wx EURO DOLLAR OVER FEDERAL FUNDS M i l l I I I I I I I I I I I I I FOREIGN CURRENCIES * Friday's f i g u r e s 1 J / kPAN v T? F PI A N C E rr 1 A/| GE i R M A N Y 1 I ! 1 1 1 1 1 1 1 M 1966 1 1 J 1967 1 1 S 1 1 1 l I M I I J 1968 I 1 S \ U v 1 D \ 1 M 1 1 J 1969 Germany, Call Money; U.K., 2-day Local A 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. 1 1 S 1 1 CHART 6 LONDON: EURO-DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per 10 9 8 1-MONTH 7 6 CALL 5 4 3 T T 10 9 8 3 MONTH 7 6-MONTH 6 5 4 3 J S D 1966 M J 1967 S D S 1968 D M J 1969 S D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Per cent per annum Wednesday figures 9 EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT l -i i i i i I i i I i i 1 1 ! 1 r r EURO DOLLAR OVER U.S. CERTIFICATE OF DE I i i I i i 3-MONTH DOLLAR DEPOSIT RATES - P R I M A R Y MARKET Wednesday figures Per cent per annum z El ILLAR DEPOlSIT 2 o k V Jr % r? [V \ A 9 j VI I 5. CER TIFICA TE OF DEPOlSIT ADJUSTED)* f — J - I EURO-DOLLAR OVER U.S. CERTIFICATE OF DEP M J S D 1966 * Adjusted for Reserve Requirement 1969 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday f i g u r e s Per c e n t per a n n u m EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE + 7 1 DIFFERENTIAL I I I I I I I J_L I I I I I FAVOR EURO DOLLAR I LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per a n n u m — EURO DOLLAR DEPOSIT y LOCAL AUTHORITY DEPOSIT] COVERED i FAVOR LOCAL AUTHORITY DIFFERENTIAL M J FAVOR EURO-DOLLAR S D 1966 M S 1967 D S 1968 D M J 1969 S D CHART9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED I Z\ LONDON NEW YORK M J S D 1966 * P l o t t e d for c o m p a r i s o n purposes. M J 1967 S D M J 1968 S D M J 1969 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday figures 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE IN FAVOR OF LONDON Ft IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) i I ! I I I I j I ! i S 1966 i 1 1 I D M 1 l I i ! J 1967 I I S I l M D 1 1 I M I I I I J 1968 1 M S I D 1 1 M I 1 i i J 1969 L S D \A Chart 10 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE W e d n e s d a y rates Per c e n t per a n n u m 1 1 1 IN TERMS OF DM 8 GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED ! I I : DIFF•ERENIriAL 1 1 FAVC) R F R A N KFURT 1 MARKET COVEF n 1A - A r - y - v-N - ^iy V 7 J BUN DESBANK COVER* ! 1 ! I i i i i i 1 I 1 1 1 1 1 1 1 ! 1 i 1 1 ! I ! 1 FAVOR EURO-DiOLLAR 1 1 1 1 1 1 1 1 ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per a n n u m IN TERMS/DF SW SS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE DIFF r 1 ERENIr i A L FAVOR Z URICH h AV 1 1 M l i i J I S I D ! W A yW A j i I M 1966 i J i S 1967 * For details see issue No. 398 dated April 16, 1969 i i ! D i M 1 1 i J 1968 S D 3 M r FAVOR EURO D(DLLAR 1 1 1 ! I 1 1 ! J S 1969 D 8 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per a n n u m 9 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS i DISCOUNT FORWARD RATE FAVOR CANADA TREASURY BILLS FAVOR U S 1 ! PRIMIE FINANCE >APER | M/Vi| Vj \ k L, p / Yyi v j ^ ,,:, 1 FAVOR CA NADA v ! i 1 M 1 i J 1 S D 1966 M ! J S 1967 D M J 1968 1 1 FAVOF( U . S . I S D M 1 _i . i l l J S 1969 D \V SELECTED SHORT-TERM INTEREST RATES' Per c e n t per a n n u m EURO DOLLAR - LONDON U.K. US, SWITZERLAND 9 JAPAN CANADA, U.S. GERMANY 1965 1966 1967 1968 * 3 - m o n t h treasury bill r a t e s f o r all countries except Japan (Average rate on bank loans and d i s c o u n t s ) Switzerland (3-month d e p o s i t rate) and Germany (Interbank Loan Rate) * * 3 - m o n t h rate for U.S. dollar d e p o s i t s in London. 1969 M C h a r t 13 LONG-TERM BOND YIELDS Weekly figures Per c e n t p e r a n n u m NETHERLANDS y\ ; 1 SWITZERLAND 1 1 M 1 I I I 1 I 1 ! 1 1 1 1 1 i 1 1 11 M1 I i - GERMANY U K ^ X ' ' - 1 1 1 1 1 i 1 1 1 1 I i'i 1 I 1 1 I 1 I U ! • / ! ^ EURO-DOLLAR BONDS M o n t h l y figures U.S. CORP. D()LLAR EURO BONDS U.S. CORP. DM E URO-BONDS - y U.S. CORP. Aala BONDS 1 11111III 11 1 1 1 1 II 1 1 i 1 1 1965 1966 * New series for Switzerland s t a r t s 3-3-67. * * New series for S w i t z e r l a n d s t a r t s 8-2-68. i II 1 1 i I 1 1 1 1 1967 1 1 II 1 1 1 1 II I I 1968 1 1! 11111111 1969 " I I CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 420 - j T 360 320 SWITZERLAN 280 ^ / ^ G E R M A N Y ^ \ V| | 1 I I 1 1 1 1 I 1 f I I 240 US. I I I I 200 -II 1 1 I I 1 1 1 I I 1 1 1 1 1 160 360 320 U.K. vA 280 vv\_ 240 jAa i i i i ii i i r V i 1 1 II 11 1 1 1 1 1 VA A II 1 1 II 200 CANADA II 1 II II II II, I I 1 1 1 160 380 - / V ' r 320 280 Z^JAPAN* 240 k \ X—*\ ^ J - u.s. 200 V v v IYVTP 1 1 1 1 II 1966 1967 1 1 1 1 1 1 II 1 1 1 1 1 II 1968 * Japan index of 2 2 5 i n d u s t r i a l and o t h e r stocks traded on the Tokyo exchange. 1 i II i i 11 1969 M 11 H. 13 No. 4 0 0 IV. L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series Date 1A Upper Swiss franc April 25 Lower •• -0.02 U.K. pound .. ii -0.38 „ Dutch guilder Japanese yen Belgian franc Lower 3 Upper Lower 4 5 -0.04 „ +4.38 + 2.10 Swiss franc .. " Dutch guilder if || '1 Swiss franc ii French franc „ Federal Funds +4.58 -9.86 43.29 7.94 7.48 tt Differential Japanese Unconditional Money April 18 German Call Money April 25 if +7. 97 +2.77 April 23 ii Lower French Day-to-day Money +0.69 -14.77 ' „ Middle U.K. 2-day Local Authority Deposits -3. 10 + 1.32 „ U.S. dollar Call Euro-$ deposits +0.52 ii German mark Gold price, U.S. dollar per ounce Upper .r U.K. pound Canadian dollar -0.40 „ German mark French franc -0.64 +0.48 If Canadian dollar Upper -0.31 If Italian lira 2 +1.28 German mark French franc IB Rate IT +0. 46 7.30 • 1.50 8.06 8.38 IV- Chart Panel 6 Upper 2 Series Date Euro-S Call Rate April 25 n Euro-$ 1-month Rate Lower H Euro-$ 3-month Rate Euro-$ 6-month Rate 7 Upper Euro-$ 3-month Deposits || April 23 U.S. Certificate of Deposits 8.38 6.90 Differential ii Euro-$ 3-month Deposits " 8.38 " 6.38 +2. 00 Hire Purchase Deposits (covered) Differential n -2.09 ir 8.41 Differential Upper Euro-$ 3-month Deposits Euro-$ 3-month Deposits Local Authority Deposits (covered) Fourth 9A Differential U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) Upper Lower Upper + 1.48 „ „ Fourth Third 10 8.38 8.44 Third Second 9B 8.00 8.56 Second U.S. Certificate of Deposits (Adj.) 8 Rate April 18 -2.65 April 25 II 7.63 „ 3-month Forward Pound ir Euro-S Deposits (covered) German Interbank Loan rate 6.32 „ ii Spread (+ = favor London) Net Incentive (+ = favor London) 8.41 ff „ April 23 ii 5. 76 6.07 8.59 +1.56 -3.28 -1.72 3.88 4.44 Second Differential if Third Euro-$ Deposits (covered) ii 6. 18 Swiss Deposit rate u 4.75 Fourth Differential „ +0.56 -1.48 IV - 3 ! Chart Panel 11 Upper Series Rate Date Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate April 25 IT „ 7.00 6.07 6. 39 U.S. Prime Finance paper (not plotted) Bill rate differential II Forward Canadian dollar M Lower Net incentive on bills Net incentive on Finance Paper 12 „ Middle Upper +0.74 „ II + 1.06 + 1.24 Euro-$ Deposits U.K. Treasury Bill rate Lower 6. 50 +0.32 8. 38 M U.S. Treasury Bill rate " Swiss 3-month Deposit rate I, 7.63 6.07 4.75 Japanese Average rate Feb. 28 7.36 Canadian Treasury Bill rate April 25 6.39 U.S. Treasury Bill rate German Interbank Loan rate 13 Upper 6.07 ir Netherlands April 18 7.41 Canada April 23 7.34 4.67 Germany April 18 H United Kingdom April 24 9. 01 7.05 United States Switzerland Middle Lower 4.44 5.82 Euro-dollar bonds April 25 U.S. Corp. Dollar Euro-bonds March 31 ii U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds M 6.34 7.34 6.19 6.85 I IV- 4 1 Chart Panel Series 14 Upper Switzerland April 25 Germany 427.1 April 11 270.2 United States April 25 United Kingdom Lower Rate Date i 224,3 ! 256.0 i Japan April 18 Canada April 17 2 30. 7 April 25 224.3 330.0 1 United States i
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