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v May 21, 1969 No. 403 H-13 Division of International Finance Europe and British Commonwealth Section LIBRARY A5A\ 29 WoJ FEDEIWiL FLL6difVE SAIfl| J OF RJCHN<MTO SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. W E E K L Y SERIES O F C H A R T S 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 9B 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. % Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above pa i 1.6 SWISS r R A N C GERMAN MARK U.S. U.K. POUND Below pai Above par DUTCH GUILDER Par with u:s. dollar FRENCH FRANC JAPANESE YEN Below par J s D M 1966 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 Chart I B SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages ' Per cent Above par 1.2 BELGIAN FRANC with U.S. dollar ITALIAN LIRA CANADIAN DOLLAR 1.2 |1 Below par M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 IS ID Chart 2 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages: PREMIUM* I GERMAN MARK SWISS FRANC U.K. P O U N D DISCOUNT— PREIVIIUM+ c C L / r- V " ^ A / D U T C: H Q U I L D E R d j \T r V-v C A N A D I A N DOLL/ ^R l\ rt I 1 FREhI C H FF t A N C i M 1 1 1 1 J S 1 1 1 1 D M 1966 DISCO U N T 1 1 1 l 1 J S 1967 D M l J l • 1 1 S 1968 1 1 D M J 1969 S D Is Chart 3| 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per annum PREMIUM+ GERMAN MARK U.S. DOLLAR DISCOUNT— PREMIUM* SWISS FRANC FRENCH FRANC i DISCOUNT— M J S bi 1966 M J 1967 S D M J 1968 S ID !M J 1969 S ID 1 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce Week's average of afternoon fixings! 45.0 1! Z / 35.3 35.2 35.1 35.0 A I V v / 1 1 I M, !i1/ ^ v w i 1 1 J Si 1 1 1 1 D 1966 *Market closed March 15 April 1, 1968 M 1 1 J 1967 1 1 S 1 1 ! i H ! M \fj 1J i J 1968 J 1 1 V 43.0 41.0 - 39.0 1 ,!. 1 1 . i J 1969 i s 1 37.0 i i 35.0 % CALL MONEY RATES D O L L A R FUNDS! yf i i A L L J URO-DOLLAF D E P O S I T S 1 w I 1 J L AvV V a ^ l " 7 n r 1 - v lL F U N DS F (t/w r Per cent per annum h/ E U R O D O L L A R OVER F E D E R A L F U N D S J_L I I I I I I I I I I _L 1_L FOREIGN CURRENCIES'* Friday's figures Per cent per annum 112 10 J / TPAN 1 \ / i i u . k . ^ T -X 18 Y 16 IFF ANCE 4 A/ H 1 1 M 1 1 J. 1 1 S 1 1 1 1 D 1966 M 1 1 j 1967 1 1 S 1 1 D 1 1 M 1 1 J 1968 I i i 1 1 D |2 V y v i S t , GE: R M A N y . |M 1 1 J 11969 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. 1 1 IS 1 1 |D CHART 6 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures ,Per cent per annum 1-MONTH CALL 10 3 MONTH 6-MONTH JL Si ,DI 19661 M J 1967 S D M J 1968, S D M lj 1969 ,S D Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Wednesday figures Per cent per annum 9 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT i 1 1 1 1 CERTIf ICATE OF Dt •POSIT 1•URO-DOLLAf 1 OVEF( U S. < A I K M 1 M - i 1 i i 1 M i l > i i V i i J™ f II "i i 1 1 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures yi A \a S. CER TIFICA TE OF DEPO!SIT ADJUSTED!* I I I EURO DOLLAR OVER U.S. CERTIFICATE OF DEP M J S D 1966 * Adjusted for Reserve Requirement M J 1 1 1 1 1 1 Per cent per annum ELIRO IDCILLAR DEPO!$ , T \ A, V w 1 1 JV\ / MiV X / r J 9 CHART 8 LONDON: COVERED YIELDS ON U S. DOLLAR FUNDS HIRE PURCHASE A N D EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR D E P O S I T HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL FAVOR EURO DOLLAR L O C A L AUTHORITY A N D EURO-DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR D E P O S I T \ n LOCAL A U T H O R I T Y D E P O S I T COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL + j 1966 FAVOR EURO DOLLAR 1967 1968 1969 % CHART9A; INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures Per cent per 3 - M O N T H TREASURY B I L L RATES U.K. L O C A L A U T H O R I T Y D E P O S I T S * UNCOVERED I A LONDON N E W YORK M S D 1966 • p l o t t e d for comparison 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 annum Friday figures I 1 1 1 i r i i i RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD I N f A V O R OF LONDON DISCOUNT FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) l 1 1 l I I I I 1 M 1 M I l I I I I I 1 I 1 M I I 1 I I I I I Chart 10 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT I N T E R B A N K L O A N RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cent per annum 1 I I : IN T E R M S OF D M 8 GERMAN INTERBANK LOAN RATE 1 W LA \/*<d EURODOLLAR COVERED 1 DIFF E R E N l riAL . 1 — J ! 1 1 1 1 1 mIRKET COVEFt 1 1 V/ n V^/v- 1 1 1 1 1 1 i i ,A.-A k l 1 ,v\J | F A V OR FRARJKFURT J BUNIDESBA NK C O V E R * 1 1 I I 1 1 1 1 1 1 FAVOR EURO D OLLAR 1 11 1 1 1 1 1 ! 1 ZURICH DEPOSIT RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cent per annum IN T R M S / u F SW SS FRANCS VI EURODOLLAR COVERED £ SWISS D E P O S I T R A T E 1 L DIFF E R E N l r i A L Xz V R - 1 1 M 1 1 A I J \A/S V I 1 1 I 0 1966 I I J 1967 * For details see issue No. 398 dated April 16, 1969 1 FAVOR Z URICH ky 1 1 M I I s I / lYA/Ai A I I 1 1 I j 1968 I 1 1 s \J 1 1 M 1 FAVOR EURO-DIDLLAR 1 1 1 1 1 1 1 1 J 1969 S D 8 CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures , Per cent per annum CAN. FIN. CO. PAPER U M L UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS 3 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR l l I 1 I I /\A. GROSS SPREAD IN FAVOR OF CANADA f rVv PREMIUM DISCOUNT FORWARD RATE FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U S. ; FAVOR CANADA PRIME FINANCE PAPER FAVOR U.S. M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D 12 }i* Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per EURO DOLLAR • LONDON U.K. U.S. SWITZERLAND JAPAN CANADA, U.S. GERMANY 1965 1966 1967 1968 • 3-month 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) * * 3-month rate for U.S. dollar deposits in London. 1969 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 18=100 o scale INDUSTRIAL STOCK INDICES 420 360 320 SWITZERLAND 280 GERMANY 240 U.S. 200 160 360 320 U.K. 280 240 200 160 380 320 280 JAPAN 240 U.S. 1966 1967 1968 Japan index of 225 industrial and other stocks traded on the Tokyo exchange- 1200 1969 H. 13 No. 403 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc May 16 ii it ii - 0.19 - n.m Lower German mark U.K. pound Dutch guilder - 0.52 - 0.4A ii + 0.40 If - n. ss „ „ French franc Japanese yen Belgian franc IB Italian lira Canadian dollar Upper 2 Lower 3 Upper Lower „„ ,, German mark Swiss franc .. M U.K. pound Dutch guilder Canadian dollar French franc German mark U.S. dollar Swiss franc French franc II „ „ II „ „ Gold price, U.S. dollar per ounce 4 5 Upper Call Euro-$ deposits Lower '1 Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money n . 6% - 0.36 + 0.35 + 6.75 + 2.46 - 9.27 + 1.91 + 1.08 -23.65 +14.97 + 7.14 + 9.31 - 1 1 . 75 43.50 May 14 Federal Funds Middle - i. Mav 9 Mav 16 " 9. 78 8. 30 + 1.48 6.94 0. SO Q. 06 9.00 IV- 2 I ; Chart Panel Series Date 6 Upper Euro-$ Call Rate Mav 16 Rate Euro-$ 1-month Rate Lower Euro-$ 3-month Rate M Euro-$ 6-month Rate 7 Upper Euro-$ 3-month Deposits Second Differential Euro-$ 3-month Deposits Mav 14 8 Differential Upper Euro-$ 3-month Deposits .i ii „ Second Differential " Third Euro-$ 3-month Deposits if Local Authority Deposits (covered) - Differential U.S. Treasury Bill rate If Mav 16 it + 2 . 0 0 9.19 6.18 +2.81 9.44 0.25 -9.19 9.44 0.38 -9.06 6. 06 Local Authority Deposit (uncovered) „ Upper Spread (+ = favor London) ii +1.57 3-month Forward Pound Net Incentive (+ = favor London) ii -8.08 Lower U.K. Treasury Bill rate 10 Mav 9 II 9A 9B ,i Hire Purchase Deposits (covered) Fourth 9.19 7.19 U.S. Certificate of Deposits (Adj.) Fourth 9.44 Q. n U.S. Certificate of Deposits Third 9.50 9.81 Upper Euro-$ Deposits (covered) German Interbank Loan rate „ Mav 14 ii Second Differential Third Euro-$ Deposits (covered) u Swiss Deposit rate M. Fourth M 7. 61 9.06 - 6 . 51 2.44 4 . 25 +1.81 6.61 4.75 Differential -1.86 IV- 3 1 Chart Panel Series Date 11 Upper Canadian Finance Paper May 16 Rate U.S. Treasury Bill rate „ Canadian Treasury Bill rate 7. nn | 6.06 : 6. SI | 6.80 1 U.S. Prime Finance paper (not plotted) Middle Bill rate differential Lower Net incentive on bills Forward Canadian dollar Net incentive on Finance Paper 12 Upper +1.12 it + 1 . 57 +0.45 „ +1.32 Euro-$ Deposits n 9.44 U.K. Treasury Bill rate .. 7.63 U.S. Treasury Bill rate H M 4.75 Swiss 3-month Deposit rate Lower if ft 6. 06 Japanese Average rate March 31 7.16 Canadian Treasury Bill rate Mav 16 6. 51 U.S. Treasury Bill rate German Interbank Loan rate 13 Upper Lower . 4.25 Netherlands May 9 7.27 Canada Mav 14 n 7.45 5. 78 May 9 ,i 4. 66 Germany United Kingdom May 15 United States Switzerland Middle 6.06 ii - 6.38 9.09 Euro-dollar bonds May 16 7.12 U.S. Corp. Dollar Euro-bonds March 31 i. 6.19 A p r i l 30 6.89 U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 7.34 IV- 4 Chart Panel Series 14 Upper Switzerland Germany United States Date Mav 16 May 9 May 16 United Kingdom Lower Japan Canada M Rate 447.3 275.8 235.0 241.7 339.0 Mav 8 240. 6 May 16 235.0 United States
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