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I April 2, 1969 No. 396 H-I3 Division of Intemotionoi Finance Europe and British Common wealth Section tlBBARI APR 8 1969 TSDESRL RESERVE Bflmt ] OF RICHMOND ($dpi4<kj SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM TABLE OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES Chart 1A and I B - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2 - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3 - 3-Month Forward Exchange Rates, Major Currencies against U.K. Pound Chart 4 - Gold Price in London PART II. SHORT-TERM INTEREST RATES Chart 5 - Call Money Rates Chart 6 - London: Euro-$ 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. 0 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent 1.6 I SWISS FRANC i A GERMAN MARK U.S. U.K. POUND Below par Above par DUTCH GUILDER Par '/FRENCH FRANC JAPANESE YEN ^ Below par 1966 1967 Devaluation of the U.K. pound from $2.80 to $ 2 . 4 0 . 1968 1969 Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per f cent Above par 1.2 BELGIAN FRANC U.S. ITALIAN LIRA CANADIAN DOLLAR 1.2 Below par M J S D 1966 M J 1967 S D M J 1968 S D 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 \ i j DISCOUNT- T T DUTCH GUILDER CANADIAN DOLLAR | FRENCH FRANC DISCOUNT J S D 1966 J 1967 S D S M 1968 D S 1969 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 PREMIUM* SWISS FRANC FRENCH FRANC M J s D 1966 J 1967 s D M J 1968 S D M J 1969 S D GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce Week's average of afternoon fixings j 35.2 35.1 35.0 1 J 1 | iI 35.3 | r^y K -a- | , *| L Z 45.0 j J S D 1966 * M a r k e t closed March 15 April 1, 1 9 6 8 J 1967 S D J S 1968 43.0 39.0 ! M - 41.0 nJ h M . j * 37.0 i i I I 1 I I 1 1 1 1 1 1 1 1 1 1 1 1 i i! I I I ' ! 1 1 i M M H D ! ! i M ! 1! . M M J S 1969 D 35.0 CHART 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages CALL EURO DOLLAR DEPOSITS 7 6 5 4 FEDERAL FUNDS 3 2 B Av A \ T EURO DOLLAR OVER FEDERAL FUNDS M i l l I I I I I I I I FOREIGN CURRENCIES * Friday's figures Per cent per annum J fiIPAN 1 AA U.K. ^ & y- l / l -A [> FRANCE AilSi / V GERMANy y v 1 1 M 1 1 J 1 1 S 1 1 1 1 D 1966 M 11 J 1967 I 1 S 1 1 D 1, 1 1 M J 1968 1 I S i i 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 ai 10 9 8 7 6 5 4 3 10 9 8 3-MONTH 7 -6-MONTH 6 5 4 3 M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D \ 0 NEW YORK-LONDON: Y I E L D S O N U.S. DOLLAR F U N D S 3 - M O N T H DOLLAR DEPOSIT RATES - S E C O N D A R Y MARKET Per cent per annum Wednesday figures 9 EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT v (/ vV 1 1 1 1 i i ! i I ! 1 iEURO [ )OLLAFt OVEFt U S. CERTIF ICATE OF DEEPOSIT A y / v v W V \ ^ 11111 1 1 1 1 1 1 1 1 11 1 I i i i i vs V 11 11 1 ! 3 - M O N T H DOLLAR DEPOSIT RATES - P R I M A R Y MARKET Wednesday figures Per cent per annum 9 z >h\V// ElIROlDC)LLAR DEPOi5 , T \ ) A f 5. CERTIFICATE OF DEPOiSIT ADJUSTED!* I I I EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED M J S D 1966 * Adjusted for Reserve Requirement CHART 8 L O N D O N : C O V E R E D HIRE PURCHASE A N D Friday figures Y I E L D S O N U.S. D O L L A R F U N D S EURO DOLLAR RATES Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE 1 COVERED T T FAVOR HIRE PURCHASE + DIFFERENTIAL | FAVOR EURO DOLLAR LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT! COVERED I FAVOR LOCAL AUTHORITY DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1966 M J 1967 S D J 1968 S D J 1969 S D CHART 9A I N T E R E S T A R B I T R A G E : U N I T E D S T A T E S A N D U N I T E D K I N G D O M Friday's Figures 3-MONTH Per cent per TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED I / \ NEW M J S D 1966 # P l o t t e d for comparison purposes. M J 1967 S D M J 1968 S YORK D M J 1969 S D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT Y\ FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1966 M J 1967 S D M S 1968 D M J 1969 S D V-\ 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 FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED 1 I | , DIFFERENIriAL ,| J ! 1 n /A ! 1 -A L ' : 1 ! i j FAVOR EURO-DOLLAR ; ! FAVOR FRANKFURT i ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Per cent per annum Wednesday rates IN TERMS OF SWISS FRANCS EURO DOLLAR COVERED SWISS DEPOSIT RATE 1 1 1 DIFFERENIriAL 1 A i i M \ ^ V n l -V AV i J 1 D M 1966 1 i 1 J 1 D 1967 s i i M N i i i • ; FAVOR ZURICH ! ! /A1 v I i S 1 1 ! J : S 1968 ! : ; FAVOR EURO DOLLAR i D M J S 1969 D 8 y 3 - M O N T H INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum 9 CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS BILL RATE DIFFERENT!/ \ L AND FORWARD CANADIIAN DOLLAR 1 1 1 ! 1 1 l PREMIUM GROSS SPREAD lhJ FAVOR OF CANADA ! *Vlv FORWARD RATE 1 1 ! I COVERED RATE DIFFERIENTIALS 1 i | v .• DISCOUNT 1 .. : J i TREZISURY BILLS J ^ ! IS FAVOR CANADA i 1 ! 1 ! ! 1 | tA f\ l ' I X J h|,A rt FAVOR U.S. 1 ! PRIMIE FINANCE PAPER | - i , - n ! 1 FAVOR CANADA / ry 1 j : M I J S D M 1966 J 1967 S D M J S 1968 D M FAVOR U.S. ! 1 : J 1969 S : D \b Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO-DOLLAR - LONDON U.K. SWITZERLAND 9 JAPAN CANADA- 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 a NETHERLANDS CANADA U.S. SWITZERLAND 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. * * Ne%series for Switzerland starts 8-2-68 1967 1968 1969 )S CHART 14 INDUSTRIAL STOCK INDICES 420 360 320 SWITZERLAND- 280 GERMANY 240 U.S. 200 160 360 T 320 U.K. 280 240 200 CANADA 160 380 320 280 JAPAN 240 U.S. 200 160 1966 1967 1968 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange. 1969 H. 13 No.396 IV. LATEST FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series Date 1A Upper Swiss franc March 2 8 u German mark Lower U.K. pound » Dutch guilder if Rate +1.71 - n . 56. - O . 29 -0.31 French franc -0.43 Japanese yen IB 2 Upper Lower Upper 3 Belgian franc „ Italian lira H Canadian dollar „ +4.16 +0.91 German mark Upper II Dutch guilder I. + 1.39 Canadian dollar If +0.74 French franc „ -12.36 German mark ,, Swiss franc „ I. „ Call Euro-$ deposits Lower '1 Differential -2.78 +6.91 • +2.41 +3.89 -9.43 43.36 March 26 Federal Funds Middle +f>. 35 " Gold price, U.S. dollar per ounce 5 -0.47 Swiss franc French franc 4 -0.65 U.K. pound U.S. dollar Lower +n_ 62 7.83 6.88 " +0.95 Japanese Unconditional Money March 14 7.67 German Call Money March 28 4. 00 U.K. 2-day Local Authority Deposits March 21 8.44 March 2§ 8.25 French Day-to-day Money IV-2 Chart Panel Series 6 Upper Euro-$ Call Rate Rate Date March 28 Euro-$ 1-month Rate Lower " II Euro-S 3-month Rate Euro-$ 6-month Rate 7 Upper Euro-$ 3-month Deposits || March 26 U.S. Certificate of Deposits Second Differential Third Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) 8 Fourth Differential Upper Euro-S 3-month Deposits it M „ ii March 14 Hire Purchase Deposits (covered) 8.56 8.38 6.65 + 1 . 73 8.38 6.38 +2.00 8.53 5.86 Second Differential it -2.67 Euro-$ 3-month Deposits it 8.53 Fourth Differential U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 10 8.50 Third Local Authority Deposits (covered) 96 7.88 8.31 Upper Spread (+ = favor London) Lower 3-month Forward Pound Net Incentive (+ = favor London) Euro-$ Deposits (covered) German Interbank Loan rate Upper Second Differential Third Euro-$ Deposits (covered) Swiss Deposit rate Fourth 1 Differential „ „ - 3 . 01 March 28 5.92 March 21 9.00 March 28 i, +1.69 ii „ „ „ March 26 „ „ „ 5. 52 7.61 - 2 . R1 -1.12 4.20 4 . SO +0.30 7. 82 4 7s -3.07 IV- 3 Chart Panel Series Date 11 Upper Canadian Finance Paper March 28 H 5.92 II 6.37 U.S. Treasury Bill rate Rate / Canadian Treasury Bill rate 6.88 U.S. Prime Finance paper (not plotted) Middle Bill rate differential M 6.50 +0.45. Forward Canadian dollar Lower Net incentive on bills H It +0.74 +1.19 „ Net incentive on Finance Paper 12 Upper Euro-$ Deposits U.K. Treasury Bill rate U.S. Treasury Bill rate Swiss 3-month Deposit rate Lower 7.61_ 5.92 „ Jan. Canadian Treasury Bill rate Mflrrh 28 13 Netherlands March 21 March 26 Lower Germany 5,92_ . United States Middle 6. 17 <• Canada Switzerland 4.75 7.37 31 German Interbank Loan rate Upper 8.50 It If Japanese Average rate U.S. Treasury Bill rate . +1.17 „ March 21 M 4.50 7.04 _6.20 4.57 United Kingdom March 26 8. 75 Euro-dollar bonds March 28 Feb. 28 K 7.41 - - 7.37 U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds ,i „ 6,23 6.08 . 6.66 . IV-4 Chart Panel Series 14 Upper Switzerland March 28 396.1 Germany March 21 March 28 272. 6 222.7 March 21 313. 8 United States Date United Kingdom Lower Japan Rate 266. 6 Canada 225. 1 United States March 28 222. 7 / 1
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