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A>gu«<, 1969 No. 414 H-13 Division of International Finance Europe and British Commonwealth Section LIBRARY rnWG 1 1 1 9 6 3 FEDERAL RESERVE OF RICHMOHi) 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 IB - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2 A & 2B - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3 A & 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 - 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 - Interest Arbitrage: United States-Canada Chart 11 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. 9 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par m 1.6 SWISS FRANC with GERMAN MARK! U.K. POUND Below par Above par DUTCH GUILDER JAPANESE YEN FRENCH FRANC Below par M J S D M 1967 J 1968 * Devaluation of the U.K. pound from $2.80 to $2.40. S D M J 1969 S D M J 1970 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA — BELGIAN FRANC 1.2 Below par M J. S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D £ Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* GERMAN MAR V v ' X SWISS FRANC U.K. POUND DISCOUNT— M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 DISCOUNT— J S D M 1967 J 1968 S D 32 M S 1969 D M J 1970 S D A Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM 20 GERMAN MARK w U.S. DOLLAR DISCOUNT — S 1967 M J 1968 S D M J 1969 S D M J 1970 S D Chart 3B 5-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POMSID Per cent per aannum 12 8 vA IV SWISS FRANC 4 + 0 >A, 4 FRENCH FRANC 8 12 16 20 M J S D M 1967 J S 1968 D M J S 1969 D M J S 1970 D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 47.0 45.0 A 43.0 iK i f vWiV 35.3 f\ h 35.2 41.0 1 39.0 35.1 37.0 1 1 M 1 I 1 J 1 S 1 ! i D 1967 * Market closed March 15-April 1, 1968 i 11 M i I i J 1968 i 1 1 1 1 i S i i i i i i i i J 1969 1970 I i s i \b„ Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages 14 12 I / A %7 h CAL k w Y L EURIO-DOLI.AR D1-POSIT w W 1 i i 1 1 i i I V rv FUND s nFRAI Vvn v ~\ v JV 10 1 1 \ A A \ A A > y / x RO-DOIL L A R C IVER FEDER/\L FUNIDS I l I 1 I l 1 I l 1 I I 1 1 1 1 1 i 1 i 1 1 1 i 1 i 1 1 FOREIGN CURRENCIES* Friday's figures Per cent per annum 12 10 FRANCE V U.K •X n. p"i f JA PAN J I I M l l i i I 1 J S D 1967 M 1 "V V Uv I l i- i i i J S D 1968 / V 1 1 1 1 M J 1 1 S 1969 1 1 D 1 1 M 1 1 J 1970 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. 1 1, S 1 1 D CHART6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per 13 12 11 10 9 8 1-MONTH 7 6 CALL 5 4 3 2 M J s D 1967 M S 1968 D M J 1969 S D M J 1970 S D LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum \ K <3 - M O N TH 1 V V 3 - M O N TH V \ r \ J i 11 11 M Xj J i i S i i D 1967 i M 1 1 1 1 J S 1968 I I I I D M "l 1 i i J 1969 i i S D i i M i i i i J i i S 1970 D Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Per cent per annum Wednesday figures I EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT l T T 1 ! i i r EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures j JUIY Z / \ /A IV J ELIRO-iDC>LLAR DEPOiSIT \ rr V i 1 /y 30 10.38 Per cent per annum S. CERTIFICA TE OF DEPO!SIT ADJUSTED!* I I I EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED1 M J S D 1966 * Adjusted for Reserve Requirement M J 1967 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 Friday figures Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED 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 j 1966 FAVOR EURO-DOLLAR 1967 1968 1969 CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures Per cent per annum 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED I A LONDON NEW YORK M J S D 1966 * Plotted for comparison purposes. M J 1967 S D M J 1968 S D M J 1969 S D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) 1966 1967 1968 1969 \1 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 cent per annum IN TERMS OF DM GERMAN | INTERBANK LOAN RATE EURO-DOLLAR COVERED i . DIFFERENTriAL ! i 1 1 n r I ! 1 1 MARKET COVEFt OR FRAf JKFURT J - J BUN DESBANK COVER * 1 ! 1 1 M FAVOR EURO-D P L ; U R i i ! i i i M 1 1 M 1 i l ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS/pF SWISS FRANCS EURODOLLAR COVERED , SWISS DEPOSIT RATE T T T FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR J S D 1966 M J 1967 * For details see issue No. 398 dated April 16, 1969 S D M J 1968 S D M J 1969 S D Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per 9 EURO-DOLLAR - LONDONf 8 U.K. 7 6 US. 5 4 3 SWITZERLAND 2 9 8 JAPAN 7 CANADA 6 U.S. 5 4 GERMANY 1965 1966 1967 Switzerland (3-month deposit rate) and Germany (Interbank Loan Rate) •month rate for U.S. dollar deposits in London. 3 1968 1969 v\ CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS f BILL RATE DIFFERENTIAL AND FORWARD CANADIAN GROSS SPREAD IN FAVOR OF CANADA LLAR PREMIUM ( DISCOUNT FORWARD RATE COVERED RATE DIFFERENTIALS f AVQR CANADA TREASURY BILLS FAVOR U.S. 12 V OR CANADA PRIME FINANCE PAPER FAVOR U.S. M J S D 1966 M J 1967 S D M J S 1968 D M J S 1969 D >b LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS ' X CANADA SWITZERLAND i I M II M i i I I 1 , I I 11 11 I I I I I 1 10 1 GERMANY — — x ^ K i •> • S V I EURO-DOLLAR BONDS i Monthly figures 1 U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM ElURO BONDS - X ! U.S. CORP. Aaa BONDS i 1 I 1 1 1 I I 1965 1 1 I I I 1 1 1 1 1 1 1966 New series for Switzerland starts 3-3-67. * New series for Switzerland starts 8-2-68. I'- ! 11 1! 1I M l 1967 | | | I | | | M | | | | I l | 1968 1 1 1 1 1 1 1 1 1 1 1 1969 CHART 14 58=100 INDUSTRIAL STOCK INDICES Ra io scale 420 360 320 SWITZERLAND 280 240 200 160 360 320 280 240 200 CANADA 160 380 320 280 JAPAN 240 200 160 1966 1967 1968 Japan index of 225 industrial and other stocks traded on the Tokyo exchange. 1969 IV - 2 Chart Panel 6 UpperLower Series Date Euro-$ Call Rate Aug. Rate 8.88 1 Euro-$ 1 month Rate 9.94 Euro-$ 3-month Rate 10.38 Euro-$ 6-month Rate 7 Upper 10.56 Euro-$ 3-month Deposits July 30 U.S. Certificate of Deposits Second Third ' 10.38 | 8.68 I Differential Euro-$ 3-month Deposits 10.38 U.S. Certificate of Deposits (Adj.) Fourth Differential Upper Euro-$ 3-month Deposits 6.38 +4.00 8 J u l y , 18 Hire Purchase Deposits (covered) Second Third 6.95 -3.99 Euro-$ 3-month Deposits 10.94 6.48 Differential -4.46 U.S. Treasury Bill rate 9A Aug. 1 U.K. Treasury Bill rate Upper 9.38 Spread (+ = favor London) 40.63 3-month Forward Pound 10 Lower Net Incentive (+ - favor London) Upper Euro-S Deposits (covered) German Interbank Loan rate 7.01 7.64 Local Authority Deposit (uncovered) 9B -10.94 Differential Local Authority Deposits (covered) Fourth , -2.60 ___ -1.97 J u l y 30 5.58 Second Differential Third £uro-$ Deposits (covered) 9.86 Swiss Deposit rate 5.00 Fourth - 6.38 40.80 Differential -4.86 1 & H. 13 No. 414 IV. LATEST FIGURES PLOTTED ON THE CHARTS Rate Chart Panel Series Date 1A Upper Swiss franc Aug. 1 H German mark U.K. pound Lower 2 Upper Lower 3 -0.39 Dutch guilder ii -0.34 French franc I, -0.69 „ +0.07 Belgian franc „ Italian lira ii -0.62 Canadian dollar „ 40.13 German mark Swiss franc H •I U.K. pound n -2.58 Dutch guilder ii -0.20 Canadian dollar -0.46 +4.59 40.44 n „ +0.90 French franc Upper German mark ii +6.95 U.S. dollar ii Lower Swiss franc I, French franc Gold price, U.S. dollar per ounce 4 5 -0.07 M Japanese yen IB +1.45 Upper Call Euro-$ deposits Federal Funds -3.70 • „ „ J u l y 30 ii ii +2.23 +2.58 -1.16 41.52 9,05 8.05 Middle Differential Lower Japanese Unconditional Money .Tulv 25 7.66 German Call Money Aug. 6.12 U.K. 2-day Local Authority Deposits French Day-to-day Money +1.00 1 8.88 „ 8.88 • IV- 3 Chart Panel Series 11 Upper Canadian Finance Paper Rate Date 8.12 AUB. 1 U.S. Treasury Bill rate 7.01 it Canadian Treasury Bill rate 7.36 U.S. Prime Finance paper (not plotted) # 1 I 1 12 8.00 ii 40.35 Bill rate differential Forward Canadian dollar •i 40.82 Lower Net incentive on bills II 4-1-17 Net incentive on Finance Paper Upper Euro-$ Deposits „ U.K. Treasury Bill rate .. 7.64 U.S. Treasury Bill rate " 7.01 ii Lower May 30 Canadian Treasury Bill rate Aug. German Interbank Loan rate Upper •J' 1 „ Middle Lower f -u * 1 7.36 7.36 7.01 6.38 J u l y 25 7.74 Canada J u l v 30 7.53 .Tulv 25 4.98 United Kingdom J u l v 17 6. 73 9.28 Euro-dollar bonds Aug. U.S. Corp. Dollar Euro-bonds June 30 H 6.17 J v i y 31 7.08 Switzerland 6.00 Germany U.S. Corp. DM Euro-bonds __ 10.38 Netherlands United States •' . 5.00 Japanese Average rate U.S. Treasury Bill rate •1 40 f 94_ i. Swiss 3-month Deposit rate w 13 •' Middle 1 U.S. Corp. Aaa bonds 7.10 7.52 - - IV-4 Rate Chart Panel Series Date 14 Upper Switzerland J u l y 25 Germany United States United Kingdom Lower H AUK. 370.4 277.2 1 II 202.2 205.0 Japan J u l v 25 332.5 Canada J u l y 26 21 Aug. 202.2 United States 1 n. L
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