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April 16, 1969 No. 398 H-13 Division of Intemotionol Finance Europe and British Commonwealth Section FEDERAL R I S S R Y I I OF mCKTJCTT P | SELECTED 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 Charts - Call Money Rates Chart 6 - London: Euro-) 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. * see over Chart 10 -- DM - Euro-dollar 3-month Arbitrage At various times during the past few years the Bundesbank has offered the German commercial banks forward dollars at a preferential rate. From November 23, 1968, such dollar swaps were made on a condition that the proceeds must be placed abroad. The 3-month Bundesbank swap rate was significantly lower than the market forward rate through March 5, 1969. Since then, this rate has been either equal to or higher than the market rate. We have accordingly plotted a net incentive based on cover obtained at the Bundesbank swap rate for the period November 23 - March 5. In the future, we shall show this incentive in periods when the Bundesbank swap rate is lower than the market forward rate. The two rates for the days plotted on Chart 10 are given below. 3-month Forward Premium on D M Against US Dollar - 1968 Nov. 23 30 Dec. 7 15 23 31 1969 Jan. 1 8 15 22 29 Feb. 5 12 19 26 Mar. 9 Note: 4.22 3.04 3.62 4.28 4.50 4.34 4.30 4. 50 4. 36 3.90 3.89 4.30 4.46 4. 67 4.52 4.24 3-month Forward Bundesbank Swap Rate 3.00 3.00 2.75 2.75 2.75 2.75 3.25 3.50 3.50 3.50 3.88 3.88 4.13 4.13 4.13 4.50 This notice was inadvertently omitted from some copies of issue No. 397 dated April 9, 1969. - vl Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.6 SWISS FRANC GERMAN MARK with U.S. U.K. POUND , Below par Above par DUTCH GUILDER 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 £ Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages BELGIAN FRANC ITALIAN LIRA CANADIAN DOLLAR (t Chart 2 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages PREMIUM GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT- PREMIUM- DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC DISCOUNT— 1966 1967 1968 1969 Chart 3 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* GERMAN MARK U.S. D O L L A R DISCOUNT- I i I PREMIUM+ | SWISS FRANC FRENCH FRANC M J S D M 1966 J 1967 S D J 1968 S D M J 1969 S D 1 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings ! | 35.3 35.2 35.1 35.0 ! j 1 1 1 1 1 M ! I J I i S i 1966 *Market closed March 15-April 1, 1968 M i 43.0 i IN ^ iL/ w i .1 i 1 1 „ L L i 1 I D 45.0 ! 1 / Ay k/ r- U.S. dollar equivalent per fine ounce ! J 1967 S 1 1 D I 11 ll M M ! 1 M ; / _ J I 39.0 i 1 1 i i M i 37.0 i l l J 1968 41.0 1969 i l l 35.0 CHART 5 CALL MONEY RATES D O L L A R FUNDS Weekly averages Per cent per annum e !/*K p CALL EURO DOLLAR D E P O S I T S 1dC FEDERAL F U N D S E U R O DOLLAR OVER F E D E R A L F U N D S I I I I I I I I I I I I I I I I I J I I I I I I I I I F O R E I G N CURRENCIES * Friday's figures I J / (PAN U.K.~\ & d- S •v FF!ANCE \ A/ n r 1 GE[RMAN Y U V 1 1 M 1 1 1 1 J S 1 1 1 1 D M 1966 1 1 J 1967 1 1 S 1 I 1 1 1 1 D M J 1 1 S 1968 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 1 1 1 S D CHART 6 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per 1-MONTH CALL 3-MONTH I 6-MONTH J S D 1966 M J 1967 s D M J 1968 S D M J 1969 S D w NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H D O L L A R DEPOSIT RATES - S E C O N D A R Y M A R K E T Wednesday figures Per cent per annum 9 I r ! ! ! 1 ! | | EURO D O L L AR DEI' O S I T z \ w if w Jr L JV A v A yi >. CER" r i F I C A TE OF DEPO!SIT i 1 I 1 1•URO-C)OLLAFI OVEFt U S. 1CERTIF ICATE OF DEEPOSIT >V A \ 1 1 1 i i , | 1 1 V 1 1 .. 1 1 I I V v J i 1 1 i i v i y 1 1 1 I I 1 1 1 1 1 1 3 - M O N T H DOLLAR DEPOSIT RATES - P R I M A R Y M A R K E T Wednesday figures Per cent per annum 9 Z AV / E l ROIDC I L L A R D E P O !SIT \ L 1 h\ / Jr yy V A MS wT V S. CER T I F I C A T E OF DEPO!SIT ADJUSTED]* | | | E U R O - D O L L A R OVER U.S. C E R T I F I C A T E OF DEP M J S D M 1966 . * Adjusted for Reserve Requirement J 1967 J r 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 DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE + | FAVOR EURO-DOLLAR g DIFFERENTIAL I I I I I I I I L O C A L AUTHORITY A N D EURO D O L L A R RATES Friday figures Per cent per annum EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED i j - ! DIFF ERENTIAL I I 1 1 M i l l ! M J S 1 1 D 1966 I I ^ | " | ! i i : ! I M | v I I ! If S\ I FAVOR LOCAL AUTHORITY l - i 1 1 1 1 i J 1967 S 1 1 D I | I I I M l J 1968 ; i S 1 1 .FAVOR EURO DOLLAR I I D M J 1969 S D ft. INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures Per cent per annum 10 3 - M O N T H TREASURY B I L L RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED NEW YORK 11 I 11 I M J S D M 1966 "Plotted for comparison purposes. J S 1967 D M J 1968 S D M J S 1969 D 2 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 PREMIUM S P R E A D I N FAVOR O F L O N D O N DISCOUNT Y \ FORWARD RATE T I N FAVOR OF L O N D O N I N F A V O R O F N E W 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 S 1968 D M J 1969 S D 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 EURO-DOLLAR COVERED FAVC | 1 .1 1 M A R K E T COVEf JO 1 DIFF^ERENlr i A L „ KFURT 1 /,a..a . - n j 1 / ^ ! 1 i 1 1 i i i r/ I A , 1 Ny BUNID E S B A N K COVER * 1 ! I 1 1 ! 1 1 1 ! I 1 I ! 1 I I FAVOR EURO DOLLAR 1 1 1 ! 1 1 I I ZURICH DEPOSIT RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cent per annum IN T ERMSJ p F SWISS FRANCS Y\ EURODOLLAR COVERED SWISS D E P O S I T R A T E j £ . : / 1 DIFF E R E N l r i A L FAVORZ URICH j \ VA A AV l 1 M 1 ! J S ! D 1966 1 M i I ! i J 1967 1 1 1 i S 1 1 D M J i J 1968 i y w i i i D FAVOR EURO-DIDLLAR 1 ' 1 1 1 1 1 ; i M J 1969 S D 8 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Per cent per am Friday figures 9 CAN. FIN. CO. PAPER 7 5 CANADIAN TREASURY BILLS B I L L RATE D I F F E R E N T I A L A N D F O R W A R D C A N A D I A N D O L L A R I I I i I I 3 2 PREMIUM GROSS SPREAD IN FAVOR OF CANADA + 0 FORWARD RATE DISCOUNT 2 2 FAVOR CANADA TREASURY BILLS + 0 FAVOR U S 2 2 FAVOR CANADA + 0 FAVOR U S 2 \n SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO-DOLLAR - LONDON * * [ ^ U.K.JYX u ]' A SWITZERLAND 1 I 1 1 1 1 1 1 11 I1I 1 1 1 1 1 1 I I1 11 I I 1 ! 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 II 1965 I 1 1 1 i i ii CANAI) A / V U.S.-V^r i i i i i i i i 1 1 1 1 1 1 11 1 1 1 1966 ^ JAPAI\ U r l 1 1 1 II 1967 u U 1 1 1 1 M 1 1 1 1 11 11 1 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. II 1 1 II 1 1 1 I 1 1 1 1 1 1 1969 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum . 1 ! ! ^ i — i — NETHERLANDS 1 - a CANADA v / U!S? / v A ^ ! SWITZERLAND I 11II 11I I I I 111 i i i m i i i ! i i M 11 i i 11 i ! - 1 11 1 1 ' 1 ! 1 1 1 1 II 1 1 1 1 M 1 1 1 1 - GERMANY < ^ 1 EURO-DOLLAR BONDS Monthly figures i ! [ | z / ^ ^ • I 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 INDUSTRIAL STOCK INDICES - j —f-—SWITZERLAN D ^ 1 ! 1 1 I I I W l l V| | 1 1 I 1 1 I I 1 1 - ^/-^GERMANY 1 I I I I 1 1 1 I I 1 M M i i i i i i i 360 320 U.K. 280 240 200 CANADA 160 380 320 280 JAPAN 240 US. 200 160 1966 1967 1968 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange. 1969 H. 13 No. 398 IV. L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series 1A Upper Swiss franc German mark Lower IB Date April 11 Upper U.K. pound ii M -0.44 French franc 11 -0.46 Japanese yen Belgian franc „ Italian lira M Canadian dollar French franc 3 Upper German mark U.S. dollar Lower Swiss franc French franc Gold price, U.S. dollar per ounce 4 5 Upper Call Euro-S deposits 4-0. 49 -0. 66 -0.50 +0.37 " +2. 18 " +1.43 -4-4 ? / , U.K. pound Dutch guilder -0. 29 1, German mark Swiss franc Lower +1.07 -0.61 Dutch guilder Canadian dollar 2 Rate -2.61 „ „ „ „ II +0. 69 -10.40 +6.95 •1 +2.32 II +4.17 April 9 Federal Funds -7. 54 43.39 7.94 7. OA n Middle Differential Lower Japanese Unconditional Money April 3 7.30 German Call Money April 11 1. 3.56 U.K. 2-day Local Authority Deposits French Day-to-day Money „ +0.90 8.31 8. ?5 1 IV-2 Chart Panel Series Date 6 Upper Euro-$ Call Rate April 11 M Euro-S 1-month Rate Lower 7 Upper „ 8. UL ir 8.38 Euro-$ 3-month Rate Euro-$ 6-month Rate Euro-$ 3-month Deposits Rate April 9 U.S. Certificate of Deposits 8 Differential if Euro-$ 3-month Deposits „ +1. 69 Third U.S. Certificate of Deposits (Adj.) ir 6. 18 Fourth Differential Upper Euro-$ 3-month Deposits ,, March 28 Hire Purchase Deposits (covered) " Second Differential Third Euro-$ 3-month Deposits „ Local Authority Deposits (covered) II 9A IT „ Differential U.S. Treasury Bill rate April 11 „ „ U.K. Treasury Bill rate Local Authority Deposit (uncovered) Upper Spread (+ = favor London) Lower Net Incentive (+ = favor London) 3-month Forward Pound 10 8.44 6. 75 Second Fourth 9B 7.75 8.12 Upper Euro-$ Deposits (covered) „ „ II April 9 German Interbank Loan rate Second Differential ii Euro-$ Deposits (covered) " Fourth Differential +2.06 8.53 6.39 -2.14 8. 51 6.02 -2. 51 6. 12 7. 61 8.78 +1.51 -2.78 -1.27 4. 21 4.38 Third Swiss Deposit rate 8.44 „ n +0. 17 6.27 4. 75 -1.52 p> IV- 3 Chart Panel 11 Upper Series Date Canadian Finance Paper April 11 7.00 ir 6.43 Rate U.S. Treasury Bill rate 6.12 Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Middle Bill rate differential Lower Net incentive on bills 6.50 +0.31 ii Forward Canadian dollar Euro-$ Deposits „ „ U.K. Treasury Bill rate ir Net incentive on Finance Paper 12 Upper Lower H 6.12 4.75 Japanese Average rate Feb. 28 7.36 Canadian Treasury Bill rate April 11 6.43 „ 4. 38 6.12 Netherlands April 3 7.19 Canada April 9 7.35 4.63 Germany April 3 „ United Kingdom April 10 8.75 United States Lower 8.44 7.63 ir Switzerl and Middle _+l. 11 U.S. Treasury Bill rate U.S. Treasury Bill rate Upper +0.92 . Swiss 3-month Deposit rate German Interbank Loan rate 13 +0. 61 if 6.00 6.24 Euro-dollar bonds April 11 7.42 U.S. Corp. Dollar Euro-bonds Feb. 28 7.37 6.08 March 31 6.85 U.S. Corp. DM Euro-bonds " U.S. Corp. Aaa bonds 1 IV-4 Rate Chart Panel Series 14 Upper Switzerland April 11 407.5 Germany April 3 April 11 JlL United States United Kingdom Lower Japan Canada United States Date " April it f\ 223.9 266.2 3 323.6 April 11 223.9 227.8
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