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April 9, 1969 No. 397 H-13 Division of International Finance Europe and British Commonwealth Section LIBBARl AP# 1 4 .369 OF R i c h m o n d 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 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. * see over 3 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 U.S.. FRENCH FRANC JAPANESE YEN Below pai M J S D 1966 M J 1967 * D e v a l u a t i o n of the U.K. p o u n d f r o m $ 2 . 8 0 t o $ 2 . 4 0 . S D M J 1968 S D M J 1969 S D M Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Wee kly averages > Per cent Above par 1.2 BELGIAN FRANC ITALIAN LIRA CANADIAN DOLLAR 1.2 M J S D M 1966 J 1967 S D M J 1968 S D M J 1969 S D 5 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly a v e r a g e s PREMIUM + GERMAN MARK SWISS FRANC U.K. POUND ^ 7 DISCOUNT PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC DISCOUNT— D j__| M J 1968 S | I j APK 4 " 401 I 1 [_J D M J 1969 S 1 1 10 D y Chart 3 3-MONTH FORWARD EXCHANGE RATES -MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per c e n t per a n n u m PREMIUM + GERMAN MARK U U.S. DOLLAR DISCOUNT— PREMIUM + SWISS FRANC FRENCH FRANC DISCOUNT— M J S D M 1966 J 1967 S D M J 1968 S D M J 1969 S D 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 o u n c e W e e k ' s a v e r a g e of a f t e r n o o n fixings 1 1 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 M a r c h 15 A p r i l 1, 1 9 6 8 I 1967 1968 1969 % CHART 5 CALL MONEY RATES DOLLAR FUNDS 1 1f K Z Weekly averages CALL EURO DOLLAR DEPOSITS yv A ll y/fl i | Y\ W f1 yvfyV \ Per cent per a n n u m . EDERiAL FUNIDS W1w7•v^wn J\ iv/lii.n r jlvAvJn 1 . r V i EURO-I)OLLAFt OVER FEDEIRAL FlJNDS 1 1 1 1 i i i 1 1 1 I I II 1 I 1 1 II 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 FOREIGN CURRENCIES* Friday's f i g u r e s Per cent per a n n u m 12 & J/ (PAN 1 \ A U.K.^ 10 p- 8 6 FFiANCE 4 T / GE:RMANY V V 1 1 M 1 1 1 J 1 1 S 1 1 1 1 D M 1966 1 1 J 1967 1 1 1 1 S D 1 1 M 1 1 I J S 1968 i. 2 + 0 1 1 D l 1 1 M I 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 2 CHART 6 LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per 8 1-MONTH 7 6 CALL 5 4 3 1 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 IS D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT RATES - S E C O N D A R Y MARKET Wednesday figures Per c e n t per a n n u m 9 EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 1 >V 1 L:URO-CLOLLAII OVEFt U S. 1CERTIF ICATE OF DEEPOSIT M W A " N > ! 1 i i i i i i i w 1 1 1 1 i i y / v 1 1 VLW/ i i i 1 1 i 1 i i i i i i i i 3 - M O N T H DOLLAR DEPOSIT RATES - P R I M A R Y MARKET Wednesday figures Per c e n t per a n n u m 9 EL RO-IDC)LLAR DEPOIILT A A JV ir JV\ / w \ V i / J r S. CERTIFICA TE OF DEPO!SIT ADJUSTED!* I | „ | EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 1966 * Adjusted f o r Reserve R e q u i r e m e n t 1969 CHART 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D Friday f i g u r e s EURO DOLLAR RATES Per c e n t per a n n u m EURODOLLAR DEPOSIT ' j f HIRE PURCHASE COVERED T + FAVOR HIRE PURCHASE DIFFERENTIAL FAVOR EURO-DOLLAR LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m EURO DOLLAR DEPOSIT LOCAL AUTHORITY COVERED DEPOSIT | FAVOR LOCAL AUTHORITY DIFFERENTIAL M J FAVOR EURO DOLLAR S S D 1966 1967 D M J 1968 S D J 1969 S D CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures 3-MONTH Per cent per a n n u m TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED ! / \ LONDON NEW M J S D 1966 * P l o t t e d f o r c o m p a r i s o n purposes. M J 1967 S D M J 1968 YORK S D J 1969 S D Chart 9 8 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT Y \ FORWARD RATE T T 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 ^ J 1968 S D M J 1969 S D VA' Chart 10 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per c e n t per a n n u m 1 I I IN TERMS OF DM 8 GERMAN I N T E R B A N K LOAN RATE \ V ^ EURO-DOLLAR COVERED 1 , 1 1 DIFF: EREN1riAL ! 1 1 i i ry l 1 iA n J " A / 1 1 1 M / IRKET COVEF i 1 i i i i 1 FAVC)R FRAN KFURT - A BUNIDESBA NK C O V E R * 1 ! 1 1 ! 1 1 FAVOR EURO-DiOLLAR 1 1 1 1 1 1 ! 1 h ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per a n n u m IN TERMS/pF SW SS FRANCS Y\ EURODOLLAR COVERED £ SWISS DEPOSIT RATE / 1 1 FAVOR Z URICH DIFF ERENlriAL V r " 1 1 M 1 1 rs k UX AV V 1 1 J S 1 1 D i i i i 'i i M 1966 J 1967 i i S D :| 1 ; M A V V J 1 1 1 1 J 1968 S /Ai 1 i X 1 D 1 M FAVOR EURO D(DLLAR 1 1 1 1 1 1 1 1 J 1969 S D 8 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 A ^/\\ CAN. FIN. CO. PAPER . UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS 2 B I L L RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i i i i i i GROSS SPREAD IN FAVOR OF CANADA f y y i FORWARD RATE FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U S. 2 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 1 ^ C h a r t 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m EURO DOLLAR - LONDON SWITZERLAND I 1 1 I M I I I I I 1 II I 1 1 II 1 11 JAPAN GERMANY 1965 1966 1967 1968 * 3 - m o n t h t r e a s u r y b i l l 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 LONG-TERM BOND YIELDS Weekly figures Per c e n t per ar 8 NETHERLANDS 6 4 SWITZERLAND I 11 M I I I I I I I I I I I I I I 10 8 6 8 U.S. CORP. DOLLAR EURO BONDS U.S. CORP. DM EURO-BONDS 6 U.S. CORP. Aaa BONDS I 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 I I I I 1968 4 I I 1969 58=100 INDUSTRIAL STOCK INDICES io scale 420 360 320 SWITZERLAND 280 GERMANY 240 200 160 360 320 280 240 200 1160 1380 320 280 JAPAN 240 1200 I 1966 I I I I 1967 I I I I I IN I I I I I 1968 I I I I I I I I I I 1 I I 1969 I I I 160 n H. 13 NO. 397 iv. Chart Panel 1A Upper L A T E S T FIGURES P L O T T E D ON T H E CHARTS Series Swiss franc April 3 4-1. 17 -0.60 U.K. pound it -0.23 Dutch guilder ii -0.35 French franc if -0.46 German mark Lower IB Japanese yen „ Belgian franc If -0.72 " -0.49 Canadian dollar Upper Lower % „ +4.24 Swiss franc u +2.16 U.K. pound ii -2.78 Dutch guilder ii + 1.45 " +0.78 French franc Upper Lower +0.37 German mark Canadian dollar 3 +0.58 „ Italian lira 2 Rate Date / * German mark „ U.S. dollar II Swiss franc French franc „ ii -11.40 +6.80 ' +2.41 +4.29 -7.32 Gold price, U.S. dollar per ounce 4 43. 17 5 Upper Call Euro-$ deposits April 2 Federal Funds 7.88 6.66 Middle Differential Lower Japanese Unconditional Money March 28 7.67 German Call Money April 3 4. 00 U.K. 2-day Local Authority Deposits March 28 8. 69 April 3 8.25 tf + 1. 22 French Day-to-day Money 1 IV 4 2 Chart Panel Series 6 Upper Euro-$ Call Rate Rate Date April 1 7. 88 Euro-$T-month Rate Lower 8. 38 Euro-$ 3-month Rate it „ Euro-$ 6-month Rate ^ 7 Upper Second Third Euro-) 3-month Deposits 8.38 8.38 April 2 „ 8.38 U.S. Certificate of Deposits Differential <> +1.73 Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) Fourth Differential Upper Euro-$ 3-month Deposits 6. 65 March 26 .. 8.38 6. 38 +2.00 8 „ March 14 Hire Purchase Deposits (covered) Second Third Differential ii Euro-$ 3-month Deposits Fourth 5 RA -2. 67 „ „ Local Authority Deposits (covered) 8.53 * 8. 53 5. 52 Differential - 1 . m 9A U.S. Treasury Bill rate April 3 U.K. Treasury Bill rate 6.05 7. 60 Local Authority Deposit (uncovered) March 28 96 Upper Spread ( + = favor London) 3-month Forward Pound Lower Net Incentive (+ = favor London) Upper Euro-$ Deposits (covered) German Interbank Loan rate 8.94 April 3 + 1.55 n -2. 79 $ -1.24 10 April 2 4.21 4.38 Second Differential ii Third Euro-$ Deposits (covered) ii 6. 19 Swiss Deposit rate; ii 4.75 ii -1.44 Fourth Differential +0.17 IV - 3 Chart Panel Series Date 11 Upper Canadian Finance Paper April 3 Rate 6.88 U.S. Treasury Bill rate 6.05 Canadian Treasury Bill rate 6.36 U.S. Prime Finance paper (not plotted) 6.50 Middle Bill rate differential +0.31 Forward Canadian dollar +0.82 Lower Net incentive on bills +1. 13 Net incentive on Finance Paper 12 Upper Lower +1. 20 Euro-$ Deposits 8.38 U.K. Treasury Bill rate 7. 60 U.S. Treasury Bill rate 6.05 Swiss 3-month Deposit rate 4.75 Japanese Average rate Jan. 31 7.37 Canadian Treasury Bill rate April 3 6.36 U.S. Treasury Bill rate 6.05 German Interbank Loan rate 4.38 13 Upper Netherlands March 28 Canada Aoril 2 United States Middle Lower 7.07 7.35 6. OR Switzerland March 28 Germany April 3 6.24 United Kingdom March 26 8.75 4. 59 Euro-dollar bonds April 3 7.42 U.S. Corp. Dollar Euro-bonds Feb. 28 7.37 U.S. Corp. DM Euro-bonds fi.nft U.S. Corp. Aaa bonds March 31 6.85 IV - 4 Chart Panel Series 14 Upper Switzerland Germany United States Date April 3 397.0 March 28 272.2 April 1 United Kingdom Lower 224. n 267.6 Japan Canada Rate 323.6 March 28 226.0 April 3 224.0 United States
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