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V March 5, 1969 No. 392 H-13 Division of International Finance Europe end British Commonwealth Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS l BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM TABLE OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES Chart 1A and IB - 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 - Call Money Rates Chart 6 - London: Euro-S Deposit Rates Chart 7 - New York - London: Yields on U.S. Dollar Funds Chart 8 - London: Covered Yields on U.S. Dollar Funds Chart 9A and 9B - Interest Arbitrage: United States-United Kingdom Chart 10 - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Chart 11 - Interest Arbitrage: United States-Canada Chart 12 - 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 Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above pai 1.6 SWISS FRANC GERMAN MARK U.S. U.K. POUND Below par Above par DUTCH GUILDER U.S. FRENCH FRANC JAPANESE YEN Below par M J S D 1966 M J 1967 * * Devaluation of the U.K. pound from $2.80 to $2.40. S D M j 1968 S D M J 1969 S D A Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 BELGIAN FRANC "V Par ITALIAN LIRA CANADIAN DOLLAR 1.2 Below par M J S 0 1966 M J 1967 S D M J 1968 S 0 M J 1969 S D $ Chart 2 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM GERMAN MARK SWISS FRANC U.K. POUND V \ DISCOUNT- PREMIUM DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC DISCOUNT— M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D Chart 3 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM + GERMAN MARK U S. DOLLAR DISCOUNT— PREkAIUM + awiaa rrc«r A vx 1 j •x fi 1 V 7FREhCH FFIANCf /A u J V a — - 1 1 1 1 M J 1 1 S 1 1 D 1 1 M 1966 1 1 1 1 J S 1967 DISCOIJNT— 1 1 1. 1 1 D M 1 |1 11 J S 1968 \ J D l\ i i M i i J 1969 S i i D 1 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce Week's average of afternoon fixings 45.0 I 1 35.3 35.2 35.1 ! 1 M i !i/1 u/ A 1 1 1 1 J S 1 1 1 1 D M 1966 *Market closed March 15 April 1, 1968 K 1 1 J 1967 1 1 S 1 1 i! i 1 1 D M i J J / r 41.0 39.0 37.0 i i i S 1968 43.0 % i D i M i i i i J i i S 1969 D i <b CALL MONEY RATES DOLLAR FUNDS. Weekly averages Per cent per annum CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS FOREIGN CURRENCIES Friday's figures . # Per cent per annum JAIPAN 1 V U.K.~\ - /i feSr* -X / FF tANCE sy A/ 1 , GE:RMAN Y U V 1 1 1 1 M J 1 1 S 1 1 1 1 1 1 1 I D M J S 1966 1967 1 1 1 1 1 1 D M J 1968 I S I 1 1 D 1 1 M 1 1 J 1969 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. 1 L 1 1 S D CHART 6 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 10 9 8 1-MONTH 7 6 CALL 5 4 3 1 10 9 8 3-MONTH 7 6 MONTH 6 5 4 I 3 I J 1966 1967 1968 1969 NEW YORKLONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES - S E C O N D A R Y MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT 1 — — U.S. CERTIFICATE OF DEPOSIT i 1 ; i i i i i 2 r EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 3 - M O N T H DOLLAR DEPOSIT RATES - P R I M A R Y MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED|# I I I EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I M J , I I s , D 1966 * Adjusted for Reserve Requirement , I , , 1 , J 1967 I I s , , I D , , I M , , ADJUSTEDJ 1968 S D M J 1969 S D LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO-DOLLAR RATES Friday figures Per cent per annum - EURO DOLLAR DEPOSIT y HIRE PURCHASE f COVERED \ - - 1 F/IVOR HIRIE PURC HASE 1 V ) / v n - 1 i V i v 1 D I F F E R E N 1 IAL 1 1 1 I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 M i i i i FAVOR tEURO DOLLAR LOCAL AUTHORITY A N D EURO DOLLAR RATES Friday figures Per cent per annum 8 EURO-DOLLAR DEPOSIT K- 2V / LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY r DIFFERENTIAL I I I I I I I I M J I S I I I D 1966 I I I M J 1967 S D I I M I I J 1968 S O | FAVOR EURO DOLLAR M J 1969 S g D CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures Per cent per 3 - M O N T H TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED I A LONDON NEW YORK M J S D 1966 * Plotted for comparison purposes. M S 1967 D M J 1968 S D M J 1969 S D 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 SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE 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 FORWARD E X C H A N G E COVER (NET I N C E N T I V E ) M J s D 1966 M J 1967 s D M J 1968 S D M J 1969 S D Chart 10 INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT I N T E R B A N K LOAN RATE VS. L O N D O N EURO DOLLAR RATE Wednesday rates Per cent per annum 1 INTEFiMS 01F DM 1 - ! GEFMAN INTERBAfIK LO/IN RA1fE k - 1 %r z\ V EUF!0-D0L LAR COVI[RED - - i i i 1 FAVC|R FRANIKFURT _ DIFFEREN1IAL i 1A V - A 'i : 1i ! 1 i i i i 1 ! 1 1 1 1 1 1 i i 1 1 1 1 l l 1 1 FAVOR EURO-DIDLLAR 1 1 11 1 1! 1 ZURICH DEPOSIT RATE VS. L O N D O N EURO DOLLAR RATE Wednesday rates Per cent per annum IN T E R M S OF SW SS FRANCS EURODOLLAR COVERED , SWISS DEPOSIT RATE r T FAVOR EURO DOLLAR DIFFERENTIAL FAVOR ZURICH M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D CHART 11 INTEREST ARBITAGE: UNITED STATES-CANADA Friday figures Per cent per annum CAN. FIN. CO. PAPER A^yw r_ UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS 2 BILL RATE DIFFERENTIAL A N D FORWARD CANADIAN DOLLAR I i I I I / Y L GROSS SPREAD IN FAVOR OF CANADA v f V PREMIUM v DISCOUNT FORWARD RATE 3 - M O N T H COVERED RATE D I F F E R E N T I A L S NET INCENTIVES ! j FAVOR CANADA TREASURY BILLS FAVOR U.S. •12 FAVOR CANADA PRIME FINANCE PAPER FAVOR U.S.. M J S D M 1966 J 1967 S D M J 1968 S D M J 1969 S D Per cent per 9 EURO DOLLAR - LONDON 8 U.K. 7 6 US. 5 4 3 SWITZERLAND 2 9 8 JAPAN 7 CANADA, 6 US. 5 4 -GERMANY 1965 1966 1967 1968 lonth treasury bill rates for all countries except Japan (Average rate on bank loans and discounts) Switzerland (3-month deposit rate) and Germany (Interbank Loan Rate) -month rate for U.S. dollar deposits in London. 1969 n Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS | CANADA U.S. SWITZERLAND 10 GERMANY U.K. EURO DOLLAR BONDS Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO BONDS U.S. CORP. Aaa BONDS 1965 1966 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1967 1968 1969 CHART 14 1958=100 Ratio scale INDUSTRIAL STOCK INDICES 420 J 360 i l l ITTTZCE B AM } L — OSl W RIL A N 320 - 280 ^ E R M A N Y ^ 240 US \ I V 1 1 1 1 I I 1 I I 1 1 1 1 - 1 I I 200 1 1 I I 1 i i M i i i i i i 160 i 360 320 U.K. 280 X 240 Vv 11 M i M vfvr 1 1 1 1 1 1 1 1 1 1 1 200 CANADA 1 I I I I 1 I I I I 1 I I I I 160 1 1 1 1 1 I I "380 A - - 320 280 y ^ J A P A N * A / I \ a I M M I \ V\ i 1966 1 I I I I I 1967 I I l l I US " J l l 1 l l I I 1968 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange. k 240 1200- 1 I I 1 M I 1 l l l 1969 l l l l Il60 H. 13 No. 392 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc German mark U.K. pound Dutch guilder French franc Japanese yen Feb. 28 Lower Upper Lower 3 Upper Lower " n " Upper Middle Lower " " " it German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc German mark U.S. dollar Swiss franc French franc Gold price, U.S. dollar per ounce 4 5 " Belgian franc Italian lira Canadian dollar IB 2 " Call Euro-$ deposits Federal Funds Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money " .. " " " „ Rate +1.42 -0.59 -0.34 -0.20 -0.31 40.61 -0.45 -0.26 +0.42 +4.51 +1.45 -2.12 +1.53 +0.46 -7.07 " +6. 86 +2.32 +3.64 " -5.87 " 42.71 11 Feb. 26 " " Feb. 21 Feb. 28 11 7.80 6.43 +1.37 7.30 3.50 8.44 8.00 IV-2 Chart Panel Series Date Rate 6 Upper Euro-$ Call Rate Euro-$ 1-month Rate Euro-$ 3-month Rate Euro-$ 6-month Rate Feb. 28 ii n 8.25 8.44 Euro-$ 3-month Deposits U.S. Certificate of Deposits Differential Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) Differential Feb. 26 Euro-$ 3-month Deposits Hire Purchase Deposits (covered) Differential Euro-$ 3-month Deposits Local Authority Deposits (covered) Feb. .7 Lower 7 Upper Second Third Fourth 8 Upper Second Third Fourth 9B Upper Lower 10 Upper Second Third Fourth " M " " " Spread (+ = favor London) 3-month Forward Pound Net Incentive (+ = favor London) Euro-$ Deposits (covered) German Interbank Loan rate Differential Euro-$ Deposits (covered) Swiss Deposit rate Differential 8.38 8.12 6.55 +1.57 8.12 5.64 +2.48 " 7.97 5.55 " -2.42 it ii Differential U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9A " 7.88 " Feb. 28 7.97 5.42 -2.55 " 6.17 7.55 8.69 " +1.38 " -2.63 -1.25 " " Feb. 26 " || " " " 3.60 3.88 ?R 7.10 -m, IV - 3 Chart Panel Series Date Rate 11 Upper Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Bill rate differential Forward Canadian dollar Net incentive on bills Net incentive on Finance Paper Feb. 28 6. 62 6.17 Middle Lower 12 Upper Lower 13 Upper Middle Lower Euro-$ Deposits U.K. Treasury Bill rate U.S. Treasury Bill rate Swiss 3-month Deposit rate Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate 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 6.24 6.38 +0.07 +0.50 +0.57 +0.43 8.44 7.55 6.17 Feb. 21 Dec. 31 4.38 7.38 Feb. 28 i. 6.24 6.17 .. 3.88 Feb. 21 Feb. 26 " Feb. Feb. Feb. Feb. Jan. " " 14 21 27 28 31 6.93 7.41 5.96 4.41 6.19 8.54 7.41 7.24 ' 6.11 6.59 t/V IV-4 Chart Panel Series 14 Upper Switzerland Germany United States United Kingdom Japan Canada United States Lower Date Rate Feb. 28 398.2 Feb. 21 269.8 216.8 260. 7 315.2 229.3 „ Feb. 28 Feb. 21 " Feb. 28 216.8
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