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November 12, 1969 No. 4^
H-13
Division oUdlemotionol
once Europe and British Commonwealth Section
w
SELECTED INTEREST &
EXCHANGE RATES
FOR MAJOR COUNTRIES &
THE U.S.
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 2A & 2B - 3-Month Forward Exchange Rates, Major Currencies against
U.S. Dollar
Chart 3A & 3B - 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 & 6B Chart 7
Chart 8
Chart 9A and 9B Chart 10
Chart 11
Chart 12
-
Call Money Rates
London: Euro-S 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
Above par
SWISS FRANC
GERMAN MARK
U.K. POUND
, Below pa
Above par
DUTCH GUILDER
JAPANESE YEN
FRENCH FRANC
Below pa
J
S
1967
. * Devaluation of t h e U.K. pound f r o m $2.801 to * 2 A O • • D e v a l u a t i o n of t h e 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 t h e DM f r o m 2 5 . 0 0 to 27.32 in U.S. c e n t s .
H
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
|
M
J
S
D
1967
J
1968
S
D
M
J
1969
S
D
M
J
1970
S
| Below par
D
Chart 2A
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAIR
Per cent per ar
Weekly averages
16
PREMIUM
12
8
GERMAN MARK
4
+
SWISS FRANC
0
4
U.K. POUND
8
12
DISCOUNT
L-L- I
1 1
I
16
(p
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
CANADIAN DOLLAR
FRENCH FRANC
20
24
28
DISCOUNT—
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.
M
J
1969
S
S
D
1970
D
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
20
GERMAN MARK
U S. DOLLAR
DISCOUNT—
J
S
D
M
1967
S
1968
D
M
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. ROUND
Friday figures
Per c e n t p e r a n n u m
PREMIUM*
SWISS FRANC
</x
FRENCH FRANC
DISCOUNT—
M
J
S
D
M
1967
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
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
Week's average of a f t e r n o o n f i x i n g s
47.0
45.0
-—-
f\
\ VJ
V
!
35.3
35.2
A
43.0
$
1
1
1
M
J
i i
1
S
D
1967
* Market c l o s e d M a r c h 15-April 1 , 1 9 6 8
M
i
1
J
1968
1
1
1
41.0
F
39.0
|
3 7 ?
i
35.0
%
f
w
35.1
35.0
/
/
1
1
11
i
i
i
i,
i
i
i
i
S
1969
1970
i
i
Chart 5
CALL MONEY RATES
DOLLAR FUNDS
Weekly averages
Per cent per annum
\
A
A-F
7
C A L L E U R ID - D O L ILAR D l EPosnt
%w
k
Y
w
-
i
'Vv>vj
DERAL FUNDIS
v
Vv
1 1
Jl
W
\
V
1
1
IT
L
V v \
nf
/
V
J1i*
L
V
R O - D O IL L A R C ) V E R 1 E D E R f \ l F U N
1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 I
i
1 1
FOREIGN C U R R E N C I E S *
Friday's figures
1 1
1 1 ~
Per cent per annum
FRANCE
U.K.
JAPAN
-GERMANY
M
J
S
D
1967
e
M
J
1968
S
D
M
J
1969
s
D
M
J
1970
Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Momiy; France, Day-to-day Money.
S
D
\1
CHART 6A
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
Per c e n t per per a n n u m
1 MONTH
CALL
2
_LJL
M
J
S
D
1967
M
J
1968
S
D
M
J
1969
S
D
M
J
1970
S
D
LONDON: EURO DOLLAR DEPOSIT RATES
Per cent per ar
Friday f i g u r e s
13
12
11
10
9
8
7
6
5
4
3
I
I
1
I
1
I
11
I
1968
1 1 I
1 I
1 1 11
I
I
1969
I
2
I
1970
•b
N E W Y O R K - L O N D O N : Y I E L D S O N U.S. DOLLAR F U N D S
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 ar
14
13
12
11
EURO DOLLAR DEPOSIT
10
9
8
7
6
U.S. CERTIFICATE OF DEPOSIT
5
4
3
6
5
4
3
IFICATE OF DEPOSIT
EURO DOLLAR OVER
2
1
+
0
1
I
I
M
1 I
J
I
I I
S
I
I
1 I
D
I
I
I
M
1967
1 I
I
J
1968
I
I
S
I
1 I
D
I
I I
M
I
I I
J
I
I
S
1969
I
i
I
D
I
I
1 I
M
1 1 I I
J
S
1970
1 I
1 I
D
I
Chart 7B
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3 - M O N T H DOLLAR DEPOSIT RATES—PRIMARY M A R K E T
Wednesday figures
Per cent per
14
13
12
11
10
EURO-DOLLAR DEPOSIT
9
8
7
6
U.S. CERTIFICATE OF DEPOSIT
ADJUSTED'
5
4
3
T
7
6
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
j
ADJUSTED'
5
4
3
2
1
+
0
1
M
1967
Adjusted for Reserve Requirement
1968
1969
1970
CHART8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE AND EURO-DOLLAR
Friday figures
RATES
Per cent per annum
14
12
EURO DOLLAR DEPOSIT
10
8
6
4
HIRE PURCHASE
2
+
0
FAVOR HIRE PURCHASE
+
0
2
4
6
8
DIFFERENTIAL
M
J
S
D
M
1967
J
S
1968
D
M
J
1969
S
D
M
J
S
1970
D
CHART 8B
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
L O C A L AUTHORITY A N D EURO D O L L A R RATES
EURO-DOLLAR DEPOSIT
LOCAL AUTHORITY DEPOSIT
-COVERED
1
!
FAVOR LOCAL AUTHORITY
m
DIFFERENTIAL
M
J
FAVOR EURO DOLLAR
S
D
1967
M
J
1968
S
D
M
J
1969
S
D
M
J
1970
S
D
+
Chart 9A
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per
3 - M O N T H TREASURY
B I L L RATES
U.K. LOCAL AUTHORITY DEPOS TS
UNCOVERED
LONDON
NEW YORK
M
J
S
D
1967
* Plotted for comparison purposes
M
J
1968
S
D
M
J
1969
S
D
M
J
1970
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 F O R W A R D S T E R L I N G
SPREAD IN FAVOR OF LONDON
DISCOUNT
V \
FORWARD RATE
2
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 )
S
M
D
1967
M
J
1968
S
D
J
1969
S
D
M
J
1970
S
D
Chart 10
3 - M O N T H I N T E R E S T A R B I T R A G E : U.S. - G E R M A N Y A N D U.S. - S W I T Z E R L A N D
F R A N K F U R T I N T E R B A N K L O A N RATE VS. L O N D O N E U R O - D O L L A R RATE
Wednesday rates
Per cent per a n n u m
GERMAN
INTERBANK LOAN RATE
EURODOLLAR
COVERED
DIFFERENTIAL
MARKET COVER
FAVOR FRANKFURT
BUNDESBANK COVER
, FAVOR EURO-DOLLAR
I I I LJ
Z U R I C H D E P O S I T R A T E VS. L O N D O N E U R O - D O L L A R R A T E
Wednesday rates
Per cent per annum
8
RMS/PF
FRANCS
EURODOLLAR
COVERED
SWISS DEPOSIT RATE
!
!
.
DIFFERENTIAL
I
1
j
FAVOR ZURICH
!
1 ! I
M
J
S
D
1966
M
J
1967
For details see issue No. 398 dated April 16, 1969
S
i
1
1
'
j
1968
!
j FAV&R EURO DOLLAR
1 1
s
D
!
M
J
1969
S
D
3 - M O N T H INTEREST ARBITRAGE: UNITED STATES - CANADA
Friday figures
Per cent per annum
CAN. FIN. CO. PAPER
TREASURY BILLS
UNITED STATES
TREASURY BILLS
B I L L RATE D I F F E R E N T I A L A N D FORWARD C A N A D I A N DOLLAR
!
!
I
I
I
I
I
GROSS SPREAD IN FAVOR OF CANADA
fvJ
fvV'
DISCOUNT
FORWARD RATE
|
-
p
—
1
I
FAVOR CANADA
COVERED RATE DIFFERENTIALS
\
TREASURY BILLS
FAVOR CANADA
M/
_J
»-j
PRIME FINANCE PAI
FAVOR U.S.
I I I" I I
J
1968
1969
S
D
J
1970
s
2
{A
SELECTED SHORT-TERM INTEREST RATES*
Per cent 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 rates 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
r f t
Chart 13
LONG-TERM BOND YIELDS
Weekly figures
Per c e n t per a n n u m
CANADA
j /
-NETHERLANDS
vV
A
V
KA
J
A
v
U S.
SWITZERLAND
1 1 1 1 I I 1 I 1 11
1 1 1 1 1 1 1 1 11 11 1i 1 1 1 1 1 1 i 1
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
1 1 M
CHART 14
1958=100
INDUSTRIAL STOCK INDICES
Ratio scale
~~|
420
360
SWITZERLAND
320
280
GERMANY
240
US.
200
160
360
320
U.K.
280
240
200
CANADA
160
380
320
280
JAPAN
240
US.
600
,160
1966
1967
1968
* Japan index of 225 i n d u s t r i a l and other stocks traded on the Tokyo exchange.
1969
H. 13
No. 428
IV. LATEST FIGURES PLOTTED ON THE CHARTS
Chart
Panel
Series
1A
Upper
Swiss franc
German mark
Lower
Nov. 7
ii
2
Upper
Lower
3
Upper
Lower
4
5
+0.85
-0.80
-0.11
+0.42
U.K. pound
Dutch guilder
•f
French franc
II
-0.42
"
+0.57
"
Japanese yen
IB
Rate
Date
Belgian franc
n
Italian lira
Canadian dollar
"
+0.61
-0.13
n
German mark
„
Swiss franc
ii
U.K. pound
"
Dutch guilder
"
Canadian dollar
French franc
"
+0.43
+ 1.99
+2.6A
-1.02
+2.18
+0.11
n
-2.65
German mark
U.S. dollar
Swiss franc
French franc
»
-1.45
Gold price, U.S. dollar per ounce
it
39.20
+2.71
"
*i
+0.71
+3.02
"
Upper
Call Euro-S deposits
Middle
Federal Funds
Differential
Lower
Japanese Unconditional Money
Oct.
31
8.25
German Call Money
U.K. 2-day Local Authority Deposits
French Day-to-day Money
Nov.
7
7.50
8.31
Nov. 5
9.09
9.07
+0.02
"
"
- 9.50
/
IV- 2
Chart
Panel
6
Upper
Series
Euro-$ Call Rate
Date
Rate
7
Nov.
Euro-$ 1-month Rate
Lower
Euro-$ 3-month Rate
10.06
Euro-$ 6-month Rate
7
8
Upper
Euro-) 3-month Deposits
Nov.
9.75
5
10.00
U.S. Certificate of Deposits
,,
Differential
ii
8.35
+1.65
Third
Euro-$ 3-month Deposits
U.S. Certificate of Deposits (Adj.)
II
II
10.00
Fourth
Differential
ii
+ 3 . 62
Upper
Euro-$ 3-month Deposits
Oct.
Hire Purchase Deposits (covered)
••
Second
Differential
"
Third
Euro-$ 3-month Deposits
Fourth
Differential
U.S. Treasury Bill rate
9A
U.K. Treasury Bill rate
Local Authority Deposit (uncovered)
10
II
Second
Local Authority Deposits (covered)
9B
8.75
9.56
Upper
Spread (+ = favor London)
Lower
3-month Forward Pound
Net Incentive (+ = favor London)
Upper
Euro-$ Deposits (covered)
German Interbank Loan rate
6.38
17
9.87
7.98
"
.
9.87
8.61
-1.26
"
II
-1.89
Nov.
ii
7
7.09
7.58
If
9.06
+0.49
"
ii
-0.79
ii
-0.30
Nov.
5
7.96
7.50
-0.44
7.23
Second
Differential
Third
Euro-$ Deposits (covered)
ii
ii
Swiss Deposit rate
II
5.00
II
-2.23
Fourth
Differential
IV- 3
Chart
Panel
Series
11
Upper
Canadian Finance Paper
Nov. 7
U.S. Treasury Bill rate
"
Canadian Treasury Bill rate
„
"
U.S. Prime Finance paper
(not plotted^
12
Middle
Bill rate differential
Lower
Forward Canadian dollar
Net incentive on bills
Net incentive on Finance Paper
Upper
Lower
M
"
U.S. Treasury Bill rate
"
Swiss 3-month Deposit rate
"
Japanese Average rate
Middle
Lower
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
7.43
7.88
+0.34
+0.66
10.06
.
7.58
7.09
Aug. 31
Nov. 7
U.S. Treasury Bill rate
German Interbank Loan rate
Upper
8.50
7.09
+0.04
+0.38 ,
"
"
Euro-$ Deposits
U.K. Treasury Bill rate
Canadian Treasury Bill rate
13
Rate
Date
"
•i
"
Oct.
31
8. 13
7.94
6.27
5.25
7.03
"
Oct. 31
Nov. 7
S e p t . 30
8. 73 ,
7.24
7.72
6.47
"
Oct.
7.43
7.09
7.50
O c t . 24
Nov. 5
31
.... _
5.00
7.36
7.33
j
1
<f£\
IV-4
Chart
Panel
Series
Date
Rate
14
Upper
Switzerland
Germany
United States
United Kingdom
Nov. 7
Oct. 31
Nov. 7
ii
416.6
302.2
217.9
Japan
Oct. 31
205.7
372.0
Nov.
217.9
Lower
Canada
United States
224.3
7
@FedFRASER