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December 10, 1969 No. 432 H-13 Divi t ion of Intemottonol Finance Europe and Briti sh Common wealth Section LIBF.rr.y DEC 1 9 C^." u09 QmpiW v . 4*3 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. W E E K L Y SERIES O F C H A R T S 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 Chart 6A & 6B Chart 7 Chart 8 Chart 9A and 9B Chart 10 A &1CBChart 11 Chart 12 - Call Money Rates London: Euro-) Deposit Rates New York - London: Yields on U.S. Dollar Funds London: Covered Yields on U.S. Dollar Funds Interest Arbitrage: United States-United Kingdom Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Interest Arbitrage: United States-Canada 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 Per cent Above par AAZ 1.6 SWISS FRANC GERMAN MARKl U.K. POUND Below par Above par DUTCH GUILDER Per U.S. FRENCH FRANC Below par M J S D M 1967 J S D 196S * Devaluation of the U.K. pound from $2.80 to $2,40. ^Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * * DM rate not supported by the Bundesbank * * * R e v a l u a t i o n of the DM from 25.00 to 27.32 in U.S. cents. M J 1969 S D M J 1970 S D Chart IB 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 5 Chart 2A 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 DISCOUNT— M J S D 1967 J 1968 S D M J 1969 S D M J 1970 S D t 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages 1 PREIWIUM + DLITCH GWILDER 1 J v Z K a c ' ft f \NADI/ iNDOl-LAR 1 4 ft T 1 1 M i i 1 1 J S l D M 1967 l 1 l J DISCOllINT— 1 1 1 1 1 l S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. M V 1 J / / FRENCH FRi*NC * Per cent per annum l\ ! , M J 1969 S 1 1 J_J D M 1 1 1 ! J S 1970 — J 1 1 3 D Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM GERMAN MARK U S. DOLLAR DISCOUNT— M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D % Chart 38 3-MONTH FORWARD EXCHANGE RATES • MAJOR CURRENCIES AlGAINST U.K. POUND Friday f i g u r e s Per cent per a n n u m PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1967 M J S D 1968 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00 20 M J 1969 S D M J 1970 S D Chart 4 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 43.0 35.3 41.0 35.2 39.0 35.1 37.0 35.0 35.0 M J S D 1967 * Market closed March 15-April 1,1968 M J 1968 S D M J 1969 S D M J 1970 S D Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages 14 12 A C A L L E U R ( D - D O L IL A R D l : p o s i t i 10 tP ft 1 4 Y S r W ~ i V y 1 | s " V u v 5 v \ a a V 1AA R O - D O IL L A R C ) V E R i i i i 1 1 i F U N D iS FF DFRAI v I 1 1 1 1 1 1 1 1 U / E D E R / \L 1 1 1 1 I w u FUh, I dV i i 1 1 I i i i i i i i i FOREIGN CURRENCIES* Friday's figures Per cent per annum 12 10 FRAN C E u>L V I w X 7 JA wT7 •tA.il n r 7 f J 11,i "II uv i i i M i i J i S i D i i M 1967 i i J i i S 1968 i 1 1 D i i 1 1 M 1 1 J 1969 S i J D i M i i i i i S 1970 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to day Money. i J D i w „ CHART6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures ^ Per cent per annum 1-MONTH CALL M J s D 1967 M J 1968 S D M J 1969 S D M J 1970 S D CHART6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per 13 12 11 10 9 8 6-MONTH 7 6 3 MONTH 5 4 3 2 M J s D 1967 M J 1968 s D M S 1969 D M J 1970 S D Chart 7A N E W Y O R K - L O N D O N : Y I E L D S O N U.S. D O L L A R F U N D S 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT. M J S D M 1967 J 196b S D M J 1969 S D M J 1970 S D ll Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per annum 'Wednesday figures ! I 1 L A r ElIRO-DC)LLAR DEPOS i J7 v fT w it 1 1 i i i i i i 5m 1 y 1 1 1 1 1 1 1 1 1 1 l i JI \i j-k V \ * JV A V™p / US. CERTII:|CATE: OF D i i 1 1 i i i i i i EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED* 3 1 1 1 M J S D M 1967 * Adjusted for Reserve Requirement J S 1968 I D I I I M J S 1969 D M I I I I I J 1970 S D \£CHART 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS H I R E P U R C H A S E A N D E U R O - D O L L A R RATES Friday figures Per cent per annum 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 H I R E P U R C H iA S E COVERED 2 + 0 FAVOR HIRE PURCHASE + 0 2 4 6 8 DIFFERENTIAL M J FAVOR EURO-DOLLAR S D M 1967 J S 1968 D M J S 1969 D M J S 1970 D CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT -COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL J FAVOR EURO-DOLLAR S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D + \1 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS1 UNCOVERED 1 LONDON NEW YORK M J S D 1967 * Plotted for comparison purposes M J 1968 S D M J 1969 S D M J 1970 S D \f Chart 98 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 FORWARD RATE 2 IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D Chart 10A 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 FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM I - GERMAN INTERBA NK LOAN RATE/N] p ~ v " II 1 1 1 1 II 1 1 1 II 1 1 1 1 II 1 II / I /EURO DOLLAR / COVERED 1 1 1 II 1 II i i 1 i i I i i 1 i i 1 II FAVOR FRANKFURT DIFFERENTIAL MARKET COVER FAVOR EURO DOLLAR M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D 2 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS T BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM GROSS SPREAD IN FAVOR OF CANADA J^TVvl. DISCOUNT FORWARD RATE FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U.S. FAVOR CANADA PRIME FINANCE PAPER H w f FAVOR U.S. M J S D M 1967 J 1968 S D M J 1969 S D M J 1970 S D Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO-DOLLAR - LONDON U.K. US. SWITZERLAND 9 JAPAN CANADA, U.S. 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 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum CANADA y - -NETHERLANDS y a v r ^ v j Av f - v^U.S. SWITZERLAND 11 1 1 1 1 1 1 1 I I 1 11 1 1 1 1 1 1 111 111 1 1 1 1 1 1 11111111111 jsJ U.K. 11111111111 V - - -^GERMANY EURO-DOLLAR BONDS I; Monthly figures US . CORP. DOLLAR EUI(0 BONDS y \ - - U.S. CORP. DM EURO-BONDS U.S. CORP. Aa a BONDS 1 1 1 1 I I 1 1 1 1 111 11 1 1 1 1 1 11 11 11 1 1 1 1 1 11 11 11 1 1 1 1 1 11 I I1 11 1 1 1 1 I I 1 1966 1967 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1968 1969 1970 CHART 14 INDUSTRIAL STOCK INDICES 460 400 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 U.K. A; II 1 II 1 1 1 I 1 1 CANADA i i 1 i i 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 l 1 1 1 1 1 l l - Z JAPAN * - A i v / ^ : r M 1 i i 1 i i 1i i 1967 m 1 i i 1 i i 1 i i 1968 i i i i i i i i i i i 1969 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange i i i i i i i i i M 1970 H. 13 No. 432 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Dec. 5 » Lower German mark U.K. pound Dutch guilder 2 Japanese yen II +0.583 Belgian franc ii +0.623 Italian lira Canadian dollar ii -0.250 +0.637 " ii Upper German mark Swiss franc " +1.52 i. Lower U.K. pound Dutch guilder -0.26 + 1.98 French franc -0.05 " ii German mark ii » Lower U.S. dollar Swiss franc -1.03 +0.51 • +0.18 » +1.39 French franc „ „ -0.58 Gold price, U.S. dollar per ounce Upper Call Euro-$ deposits Middle Federal Funds Differential Lower Japanese Unconditional Money +0.68 " Upper 4 5 -0.555 -0.172 +0.263 -0.335 Canadian dollar 3 +1.407 it ii M French franc IB Rate German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money Dec. 3 " " Nov. 28 Dec. 5 ii ii 35.34 9.47 8.91 +0.56 8.25 9.750 8.00 9.875 IV-2 Chart Panel Series 6 Upper Euro-$ Call Rate Lower Rate Date Dec. 5 " Euro-) 3-month Rate ii 11.69 ii 11.69 Nov. 26 10.88 " 8.69 +2.19 Euro-) 6-month Rate 7 Upper Euro-) 3-month Deposits U.S. Certificate of Deposits Second Third Euro-$ 3-month Deposits Fourth Differential Upper Euro-) 3-month Deposits Second Third Fourth 9A Dec. 10 Differential " II „ " Differential 8.70 -1.93 10.63 8.20 -2.43 U.S. Treasury Bill rate Dec. 5 7.56 U.K. Treasury Bill rate " 7.61 Euro-) Deposits (covered) German Interbank Loan rate Differential Euro-) Deposits (covered) II Differential 8.94 " +0.05 " -0.17 " -0.12 Dec. 3 10.15 " 9.00 " -1.15 Nov. Swiss Deposit rate 10.63 • Euro-) 3-month Deposits 3-month Forward Pound Net Incentive (+ = favor London) Fourth +4.37 14 Local Authority Deposits (covered) Lower Third 6.38 Nov. " Spread (+ = favor London) Second 10.75 " Hire Purchase Deposits (covered) Upper Upper 3 " Local Authority Deposit (uncovered) 9B 11.81 Differential U.S. Certificate of Deposits (Adj.) 8 9.38 Euro-) 1-month Rate 19 7.98 5.00 „ -2.98 IV - 3 Chart Panel Series Date 11 Upper Canadian Finance Paper Dec. 5 n U.S. Treasury Bill rate Canadian Treasury Bill rate " „ U.S. Prime Finance paper (not plotted) 12 Middle Bill rate differential Forward Canadian dollar it Lower Net incentive on bills " Upper Upper Lower +0.04 +0.01 + 0 . 54 Euro-$ Deposits n 11.69 U.K. Treasury Bill rate " U.S. Treasury Bill rate it 7. 61 Japanese Average rate Nov. 21 S e p t . 30 7.38 Canadian Treasury Bill rate Dec. 5 7.56 5.00 7.55 7.61 German Interbank Loan rate „ 9.00 Netherlands » 7.88 " Canada " United States " Switzerland Middle 8.00 -0.03 " ii U.S. Treasury Bill rate 13 8.50 7. 56 7.53 Net incentive on Finance Paper Swiss 3-month Deposit rate Lower Rate Nov. 8.30 14 6.47 5.31 Germany Dec. 5 7.31 United Kingdom Nov. 28 9.20 Euro-dollar bonds Dec. 5 7.49 U.S. Corp. Dollar Euro-bonds O c t . 31 if 7.53 7.06 Nov. 28 7.35 U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds ft IV-4 • Chart Panel Series 14 Upper Switzerland United Kingdom Japan Nov. 28 Canada Nov. 14 231.1 Dec. 5 206.6 United States Rate Dec. 5 Nov. 28 Dec. 5 it Germany Lower Date United States 204.0 320.4 206.6 214.4 386.6
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