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• j n • • rttofeM April 23, 1969 No. 399 H-13 Division of Intemotionol Finance Europe and British Commonwealth Section LIBBATiS APR .jot3 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM 1 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 Chart Chart Chart Chart Chart Chart Chart 5 - Call Money Rates 6 - London: Euro-$ Deposit Rates 7 - New York - London: Yields on U.S. Dollar Funds 8 - London: Covered Yields on U.S. Dollar Funds 9A and 9B - Interest Arbitrage: United States-United Kingdom 10 - Interest Arbitrage: U.S.-Germany and U.S.-Switzeriand 11 - Interest Arbitrage: United States-Canada 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. Chart 1A SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages e par S FRANC n\ Below par Above par DUTCH GUILDER FRENCH FRANC ANESE YEN Below par Devaluation of the U.K. pound from $2.80 to $2.40. V\ Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Wee kly averages Percent Above par 1.2 BELGIAN FRANC I U.S. ITALIAN LIRA CANADIAN DOLLAR 1.2 I Below par M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D 6 Chart 2 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR v Dor r e n t ner a n n u m Weekly a v e r a g e s | PREMIUM GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT- PREMIUM DUTCH GUILDER CANADIAN DOLLAR i A FRENCH FRANC jJ DISCOUNT— 1966 1967 1968 1969 10 1* Chart 3 3-MONTH FORWARD EXCHANGE 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 PREMIUM* GERMAN MARK U.S. DOLLAR DISCOUNT- ' PREMIUM+ j SWISS FRANC FRENCH FRANC DISCOUNT — M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 s D 1 Chart 4 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 W e e k ' s a v e r a g e of a f t e r n o o n fixings 45.0 43.0 41.0 35.3 39.0 35.2 37.0 35.1 35.0 35.0 1966 * M a r k e t closed March 15-April 1, 1 9 6 8 1967 1968 1969 %> CALL MONEY RATES DOLLAR FUNDS Weekly averages Per c e n t per a n n u m FEDERAL FUNDS EURO-DOLLAR OVER FEDERAL FUNDS FOREIGN CURRENCIES* Friday's figures Per cent per a n n u m ! • ! 1 1 | 12 1 ; ! I _ ! ; 1 | r ! — ! 10 ' ; ! 1 JAPAN | X rl 1 i ! ! r i l l 1 P- \ 8 6 FR i A N C E 4 r M l l G Ei R M A N Y r * 2 , i \ j V + 0 ! 1 1 1 J 1 1 S 1 1 D 1 1 M 1966 1 1 11 i , , 1 1 1 I 1 1 J j 1967 1968 s 1 1 1 1 1 1 J 1969 Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, U n c o n d i t i o n a l Money; France, Day-to-day Money. 1 1 S 1 1 D . CHART 6 LONDON: EURO-DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m CALL 10 3-MONTH 6-MONTH J s D 1966 M J 1967 S D M J 1968 S D M J 1969 S D Y>' Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT T i i I I I ~ EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 ~I 3-MONTH DOLLAR DEPOSIT RATES - P R I M A R Y MARKET Per c e n t per a n n u m Wednesday figures EURO DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT ADJUSTED!* [ ~ 1 | EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I S D 1966 * A d j u s t e d for Reserve R e q u i r e m e n t M J 1967 ADJUSTED' D M J 1968 s D M J 1969 s D CHART 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Per c e n t per a n n u m Friday f i g u r e s EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED i FAVOR HIRE PURC HASE i ; DIFFERENTIAL ! 1 i i M 1 | ! I 1 i 1 1 1 i 1 i i ! ! i i ! - 1 ' i i i " i i i 1 i i 1 i i • 1 I | EURO-DO LLAR |FAVOR E LOCAL AUTHORITY AND EURO-DOLLAR RATES Per cent per a n n u m Friday figures EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED | FAVOR LOCAL AUTHORITY —J I - ! 1 1 ! M 1 1 1 M J S 1 ! V i 1 DIFF ERENTIAL 1 - I i 1 1 i D 1966 i I I 1 I i 1 M J S D 1967 1 1 M i 1 J i l M S 1968 i l D l I I , M FAVOR EURO-DO LLAR J 1969 S D CHART9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's F i g u r e s 3-MONTH Per cent per a n n u m TREASURY BILL RATES U.K. LOCAL UNCOVERED AUTHORITY DEPOSITS* , / \ j LONDON NEW M J S D 1966 * P l o t t e d for c o m p a r i s o n purposes. M J 1967 S D j 1968 S YORK D M J 1969 S D 5 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday figures 4 RATE DIFFERENTIAL AND 3-MON1 - -ORWARD STERLING PREMIUM DISCOUNT FORWARD RATE IN FAVOR OF LONDON RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) I I M 1 I I I J 1 I S i 1 ! I D 1966 M M i ! ! J i i S 1967 - : I D ! 1 1 ' M i M J 1 1 1 1.1 S D 1968 I I I I 1 I J 1969 11 S I I 8 D Chart 10 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE W e d n e s d a y rates Per c e n t per a n n u m IN TERMS OF DM GERMAN i INTERBANK LOAN RATE | . DIFFERENTIAL 1 EURODOLLAR i COVERED ! | 11 1 ; I v ! | h A-A . i : i , ; i i , ! i i 1 ! I 1 i MARKET COVEF 1 |r BUNIDESBANK COVER* ! 1 1 1 1 ! 1 . , FAVC)R FRAN KFURT FAVOR EURO-DiOLLAR 1 1 1 1 1 1 1 I I ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per a n n u m ERMS/lpF SW SS FRANCS 8 EURO-DOLLAR COVERED .. ; 4 SWISS DEPOSIT RATE f ! 1 I DIFF ERENlriAL i. Ky M I i i 1 J S + h j 1 1 " 1 FAVOR Z URICH | \ ' • \ ! II 11 D M 1966 11 J 1967 * For details see issue No. 398 dated April 16, 1969 i i S D M y w V ! i i i i J S 1968 i i i D \ i M 0 r i FAVOR EURO-D<DLLAR 1 I 1 1 1 1 J S 1969 D 4 CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per a n n u m CAN. FIN. CO. PAPER ! UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i i s i i i ! PREMIUM X V V GROSS SPREAD IN FAVOR OF CANADA f rVv DISCOUNT FORWARD RATE COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS FAVOR U.S. T 2 FAVOR CANADA PRIME FINANCE PAPER I M J S D 1966 M J 1967 S D M J 1968 S D M FAVOR U.S. J 1969 S D V* SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m EURO-DOLLAR - LONDON SWITZERLAND ! I ! i i i I I ! i I I I JAPAN CANADA GERMANY 1965 1966 1967 1968 * 3 - m o n t h t r e a s u r y 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. d o l l a r d e p o s i t s in London. 1969 C h a r t 13 LONG-TERM BOND YIELDS Weekly figures Per c e n t per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND 10 GERMANY U.K. EURO-DOLLAR BONDS Monthly figures U.S. CORP. DOLLAR EURO-BONDS j U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1965 1966 * New series for S w i t z e r l a n d s t a r t s 3-3-67. * * New series for S w i t z e r l a n d s t a r t s 8-2-68. 1967 1968 1969 CHART 14 INDUSTRIAL STOCK INDICES 420 360 320 SWITZERLAND 280 GERMANY 240 US. 200 160 U.K. rA A V ii i i i i iY r V i i i i i i i i i i i ; i y / v \^r\ ~CANADA 1 1 1 1 1 1 i 1 I I 1 1 1 M 1 1 II 1 1 1 - - r I I I I X ^ J A P A N * \ i i i i i M W i i 1 1 1 II 1966 1 1 II 1967 1 1 I / I l l US- 1 1 1 i II 1968 * Japan index of 2 2 5 i n d u s t r i a l and o t h e r stocks traded on the Tokyo e x c h a n g e . II 1 1 1 I I 1969 ! 1 H H. 13 No. 399 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Lower IB Rate April 18 + 1.00 German mark " U.K. pound " - 0.54 - 0.15 Dutch guilder " - 0.38 French franc " - 0.48 Japanese yen " + 0.48 Belgian 'ranc M Italian li a " - 0.44 - 0.31 Canadian dollar 2 Upper Lower German mark + 0.44 ... + 4.13 Swiss franc " U.K. pound " - 2.79 Dutch guilder " Canadian dollar " + 1.21 + 0.62 + 2.23 French franc 3 Upper Lower -11.43 German mark " U.S. dollar » Swiss franc " / French franc Gold price, U.S. dollar per ounce 4 - 5 Upper Call Euro-$ deposits Federal Funds Middle Differential Lower Japanese Unconditional Money German Call Money + 6. 70 4- ? r + 4.25 - 8.41 " April 16 43.16 7.69 " 7.63 " + 0.06 April 11 April 18 7.30 2.00 U.K. 2-day Local Authority Deposits " 7.94 French Day-to-day Money " 8.25 IV- 2 Rate Chart Panel Series Date 6 Upper Euro-$ Call Rate April 18 Euro-$ 1-month Rate Lower 7 Upper Second Third Fourth 8 Upper Euro-S 5-month Rate " 8.38 Euro-S 6-month Rate " 8.38 Euro-$ 3-month Deposits April 16 " Differential " +1.56 6. 75 Euro-S 3-month Deposits " U.S. Certificate of Deposits (Adj.) " 8.31 6.38 Differential " +1.93 Euvo-S 3-month Deposits April 11 " 8.41 6.42 -1.99 Second Differential " Third Euro-$ 3-month Deposits " 8.41 Local Authority Deposits (covered) " 5.98 Differential " -2.43 Fourth U.S. Treasury Bill rate 9A April 18 U.K. Treasury Bill rate Local Authority Deposit (uncovered) Upper Lower 10 8.31 U.S. Certificate of Deposits Hire Purchase Deposits (covered) 96 8.00 8.06 " Upper " 8.56 Spread (r - favor London) " +1.46 3-month Forward Pound " -2.71 Net Incentive (+ = favor London) " -1.25 Euro-S Deposits (covered) A p r i 1 1 A German Interbank Loan rate Second Differential Third Euro-S Deposits (covered) Fourth 6.17 7.63 " 4.13 4.38 +0.25 April 9 6.27 Swiss Deposit rate " 4.75 Differential " -1.52 IV- 3 Chart Panel Series Date 11 Upper Canadian Finance Paper April 18 U.S. Treasury Bill rate " Canadian Treasury Bill rate » Rate 6.49 6.50 U.S. Prime Finance paper (not plotted) Middle Lower 12 Upper Lower 13 Upper " Bill rate differential " 40.32 Forward Canadian dollar •• Net incentive on bills " +0.65 +0.97 Net incentive on Finance Paper " +1.03 Euro-$ Deposits II U.K. Treasury Bill rate " 7.63 U.S. Treasury Bill rate " 6.17 8.38 Swiss 3-month Deposit rate April 11 Japanese Average rate Feb. Canadian Treasury Bill rate April 18 28 Lower 4.75 7.36 ' 6.49 U.S. Treasury Bill rate " 6.17 German Interbank Loan rate " 4.38 Netherlands April 11 7.31 Canada April 1A 7 5.85 Switzerland April 3 4.63 Germany April 11 6.29 United Kingdom April 17 8.77 United States Middle 6.88 6.17 Euro-dollar bonds April 18 7.05 U.S. Corp. Dollar Euro-bonds March 31 7.34 U.S. Corp. DM Euro-bonds " 6.19 U.S. Corp. Aaa bonds II 6.85 IV-4 Chart Panel Series 14 Upper Switzerland April 18 423.2 Germany April 11 April 18 224.6 United States Lower Date Rate 270.2 United Kingdom " 257.0 Japan " 330.0 Canada April 10 229.7 United States April 18 224.6
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