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December 3, 1969 No. 431 H-13 ' Division of International Finance Europe end British Commonwealth Section rrw^W" 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 Chart 2 A & 2B * Chart 3A & 3B Chart 4 Spot Exchange Rates, Major Currencies against U.S. Dollar 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar 3-Month Forward Exchange Rates, Major Currencies against U.K. Pound - Gold Price in London PART II. SHORT-TERM INTEREST RATES Chart 5 Chart 6A & 6B Chart 7 Chart 8 Chart 9A and 9B Chart 10A & KB 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&-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 SWISS FRANC GERMAN MARK U.K. POUND Below par Above par DUTCH GUILDER l&DAKIC JAPANESE YEN FRENCH FRANC Below par Devaluation of the U.K. pound f r o m $2.80 to $2.40. ^ D e v a l u a t i o n of the French f r a n c f r o m 4.94 to 5.55 for $1.00. * * * DM rate not supported 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. c e n t s . Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 CANADIAN DOLLAR ITALIAN ;LIRA — BELGIAN FRANC 1.2 j S D 1967 M S 1968 D M S 1969 S D 1970 , Below par D C h a r t 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM- GERMAN MARK IYCW SWISS FRANC U.K. POUND DISCOUNT — M J S 1967 M J 1968 S D S 1969 D J 1970 S D C h a r t 2B 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* DUTCH GUILDER j CANADIAN DOLLAR FRENCH FRANC 20 24 32 M J S D 1967 M J S D 1968 * D e v a l u a t i o n of the French franc f r o m 4 . 9 4 to 5.55 for $1.00. S 1969 D M J 1970 S D I 1 C h a r t 3A 3-MONTH FORWARD 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 24 PREMIUM + GERMAN MARK U.S. DOLLAR DISCOUNT — M J S D 1967 M S 1968 D J 1969 S D M J 1970 S D C h a r t 3B 3-MONTH FORWARD EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.K. POUND Per c e n t per a n n u m Friday figures PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M S D 1967 M J S D 1968 * D e v a l u a t i o n of the French franc f r o m 4 . 9 4 to 5.55 for $1.00 20 M J 1969 S D M J 1970 S D 4 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of a f t e r n o o n f i x i n g s U.S. d o l l a r e q u i v a l e n t per fine ounce 47.0 45.0 43.0 35.3 41.0 35.2 39.0 35.1 37.0 35.0 35.0 M D 1967 * Market c los ed M ar c h 15 April 1 , 1 9 6 8 J 1968 S D M S 1969 D M J 1970 S D Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 14 12 \ C A L L E U R ( D - D O L I. A R D l E P O S I T O A 7 10 M J y F E D E R A L F U N D IS I 1 IT Vyn 1 ~ 1 1 11 I I I- w Vi ,oVW \ A A I E U R O D O I L L A R C ) V E R F E D E R >K l F U N 1 1 1 1 1 1 1 1 1 1 1 1 I I 1 I I 1 I FOREIGN C U R R E N C I E S * Friday's figures I .J I.. Per cent per annum 12 10 1 A FRAN CE rjj UK X • J A IP A N . 1 | 1 y 1 1 11 N R N I I M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 ' G e r m a n y , Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. S n LONDON: EURO DOLLAR DEPOSIT RATES F r i d a y figures Per c e n t per per a n n u m 1-MONTH CALL 2 M J S D 1967 M J 1968 S D M J 1969 S D J 1970 S LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per at 13 12 11 10 9 8 6-MONTH 7 6 5 4 3 2 Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - S E C O N D A R Y MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 6 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s D 1967 S 196o J 1969 S D J 1970 S D ll Chart 76 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y Wednesday figures MARKET Per cent per annum " EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED' 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED' M J S D 1967 * Adjusted for Reserve Requirement M J 1968 S D J 1969 S D S 1970 D CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR Friday figures RATES 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 HIRE PURCHASE 2 + 0 FAVOR HIRE PURCHASE T rt\ + 0 2 4 6 8 DIFFERENTIAL M FAVOR EURO DOLLAR S D 1967 S 1968 D M J 1969 S D M J 1970 S D CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L AUTHORITY A N D E U R O - D O L L A R RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT T + FAVOR LOCAL AUTHORITY r t \ DIFFERENTIAL M J FAVOR EURO-DOLLAR S D 1967 J 1968 S D J - 1969 S D M J 1970 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures I I I 3-MONTH TREASURY I B I L L RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED NEW YORK 1967 * Plotted for comparison purposes JL Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE D I F F E R E N T I A L A N D 3 - M O N T H FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE 1 M IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE D I F F E R E N T I A L W I T H F O R W A R D E X C H A N G E C O V E R ( N E T I N C E N T I V E ) M J s D 1967 S 1968 D M J 1969 S D M S 1970 D 11 Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN Wednesday rates R A T E VS. L O N D O N E U R O D O L L A R RATE Per cent per annum IN T E R M S OF D M MS GERMAN INTERBA NK LOAN R A T E f < x / v ^ T / EURO-DOLLAR / COVERED 1 1 M 1 I 1 1 1 I 1 1 1 1 1 1 1 I 1 1 1 1 1 1 1 1 II 1 1 1 1 1 I II 1 ll 1 M I II FAVOR FRANKFURT DIFFERENTIAL [MARKET COVER FAVOR EURO DOLLAR M * J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D <0-6 Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND Z U R I C H D E P O S I T R A T E VS. L O N D O N EURO D O L L A R R A T E Wednesday rates Per cent per annum . i } IN T E R M S OF S W I S S FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE- T FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR S D 1967 M J 1968 S D M S 1969 D M S 1970 D 2 \ 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum 10 - . CAN. FIN. C:o. PAI , 3ANAD 1RREASLJRY BLLLS A-Y x I 11 /J > \r - UN ITED SSTATES TR EASUR!Y BILL S i I E - i I 1 I 11 1 1 1 1 1 1 1 1 I 1 1 - 1 1 1 1 1 1 i 1 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR ! ! I i I I I [GROSS SPREAD IN FAVOR OF CANADA \y FORWARD RATE I I I T ~ COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS FAVOR CANADA K PRIME FINANCE PAF Mi I J S D 1967 M J 1968 S D M J 1969 s I FAVOR U.S. 111 I I J 1970 s 2 C h a r t 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per anr 9 EURO-DOLLAR - LONDON 8 7 6 5 4 3 n SWITZERLAND 2 9 8 JAPAN 7 CANADA 6 5 4 GERMANY nil; 1965 1966 1967 1968 3 - m o n t h t r e a s u r y bill rates for 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 3 3 . C h a r t 13 LONG-TERM BOND YIELDS Weekly f i g u r e s Per c e n t per a n n u m CANADA NETHERLANDS US. SWITZERLAND 10 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 f o r S w i t z e r l a n d starts 3-3-67. * * New series f o r S w i t z e r l a n d starts 8-2-68. 1968 1969 1970 CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale — 1 460 400 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 320 U.K. 280 240 CANADA 200 160 380 320 JAPAN 280 240 U.S. 2.00 160 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 1970 H. 13 No. 431 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Lower German mark U.K. pound Dutch guilder French franc Date Nov. 28 +1.29 -0.81 II -0.14 +0.43 -0.37 II » „ Japanese yen Belgian franc 1B -0.26 Canadian dollar Upper Lower 3 German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc » +0.53 " +1.27 +2.08 II " -0.63 +1.90 +0.08 -1.51 Upper German mark II +1.58 U.S. dollar Swiss franc French franc II Lower M +0.45 +2.29 Gold price, U.S. dollar per ounce 4 5 + 0 . 65 +0.63 Italian lira 2 Rate Upper Call Euro-) deposits Federal Funds Middle Differential Lower Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money II „ Nov. 26 " II Nov. 21 Nov. 28 - 0 . 73 35.54 8.82 8.32 +0.50 8.25 7.50 IF 7.94 " 9.75 IV- 2 Chart Panel Series Date 6 Upper Euro-$ Call Rate Nov. M Euro-S 1-month Rate Lower • Upper Second Third 8 Euro-$ 3-month Deposits " n 8.69 +2.19 10.88 Euro-S 3-month Deposits " n 6.38 n +4.50 10.06 Euro-$ 3-month Deposits Hire Purchase Deposits (covered) Second Differential Third Euro-$ 3-month Deposits Differential U.S. Treasury Bill rate Local Authority Deposit (uncovered) Nov. 7 Nov. 14 fJ8v: 14 -1.4U II Upper U.K. Treasury Bill rate 10 10.75 10.88 U.S. Certificate of Deposits (Adj.) Local Authority Deposits (covered) 9B 10.88 Nov. 26 Differential Differential 9A 11.44 || U.S. Certificate of Deposits Fourth Fourth 9.62 28 II Euro-$ 3-month Rate Euro-$ 6-month Rate 7 Rate Bovl ?4 (4 Nov. 7 Nov. 14 S: io -1.96 -2.43 Nov. 28 7.49 7.58 " II 9.00 Upper Spread (+ = favor London) || " +0.09 -0.51 Lower 3-month Forward Pound Net Incentive (+ = favor London) " -0.42 Upper Euro-$ Deposits (covered) German Interbank Loan rate Second Differential Euro-$ Deposits (covered) Third Nov. 26 ir 9.58 7.88 -1.70 7.98 " Nov. 19 Swiss Deposit rate Fourth Differential 5.00 " . -2.98 IV - 3 Chart Panel Series Date 11 Upper Canadian Finance Paper U.S. Treasury Bill rate Nov. 28 ir 7.49 II 7.50 Canadian Treasury Bill rate Rate 8.50 U.S. Prime Finance paper II 7.93 11 +0.01 (not plotted) 12 Middle Bill rate differential Forward Canadian dollar II +0.09 Lower Net incentive on bills Net incentive on Finance Paper ir +FLTIO Upper Euro-$ Deposits U.K. Treasury Bill rate U.S. Treasury Bill rate Swiss 3-month Deposit rate Lower Japanese Average rate Canadian Treasury Bill rate 13 Upper Middle Lower it + 0 . 66 „ 10.88 ii ii 7.58 7.49 Nov. 21 S e p t . 30 Nov. 28 5.00 7.38 7.50 7.49 U.S. Treasury Bill rate II German Interbank Loan rate II Netherlands Canada United States Switzerland Germany United Kingdom Euro-dollar bonds U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Nov. __ 7.88 21 7.98 Nov. 26 8.33 " Nov. 14 6.55 5.31 Nov. Nov. Nov. Oct. 7.29 9.06 7.24 7.53 21 20 28 31 „ „ ... 1 j j " 7.06 i Nov. 30 7.35 g $ IV- 4 . Chart Panel 14 Upper Series . Switzerland Nov. 21 394.4 Germany Nov. 14 Nov. 28 319.6 209.0 216.4 United States United Kingdom Lower Rate Date Japan Canada United States " Nov. 21 it 232.4 Nov. 28 209.0 382.1 1
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