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DountMr 17, 1969 No. 43S ; H-13 DWIilen of ImwieMeed Fliwnee Ewepe eeJ BilMih Common WW Ilk Section : ; 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 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 & 3 B - 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 A & 6B - 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 A & 1 OB 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, Wiich accompanied issue dated January 1,1969. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par m. 1.6 SWISS FRANC U.S. GERMAN MARK] j U.K. POUND , Below par Above par DUTCH GUILDER U.S. y v j w v JAPANESE YE FRENCH FRANC Below par M J S D M 1967 J S D 1968 * 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. * * * D M 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 4 Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly average* Per cent Above pa i 1.2 CANADIAN DOLLAR ITALIAN [LIRA — BELGIAN FRA 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 MARK 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 rrr CANADIAN DOLLAR FRENCH FRANC 24 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. 32 M S 1969 D J 1970 S D 1 Chart 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM* 20 GERMAN MARK V U.S. DOLLAR DISCOUNTM J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D C h a r t 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST 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* GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce i's average of afternoon fixings —I 47.0 45.0 43.0 41.0 35.3 39.0 35.2 37.0 35.1 35.0 35.0 1967 * Market closed March 15 April 1 , 1 9 6 8 1968 1969 1970 \t> Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages 14 12 1 CALL EUR4D-DOLI.AR Dl•POSIT S i Jf 10 Mf y k %vyJV J Y V Vv j j V V - M 1 1 1I DERAL FUNnIS Wv IT-\J^Vliur RO-DOILLARC>VER 1EDER/IL FUN 1 1 1i i 11 1 11 1 11 1 1i i 1 1 w 11 11 11 11 11 FOREIGN CURRENCIES* Friday's figures Per cent per annum 12 CE FRAN 10 w u.n k r \ 1 JAI rr1 1 UV M J S . D 1967 M J 1968 S D V M J 1969 S D M J S 1970 •Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. D w CHART 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1 MONTH CALL 2 M J s D 1967 M J 1968 S D M J 1969 S D M J 1970 S D LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum \ Ai 1/ r i (i-MONTH v V& 1 1 11 M 11 J S K — XJ:i-MONTH 1 1 D i i M 1967 1 1 1 1 J 1968 S 1 1 D 1 1 M 1 1 i i J 1969 i i S D i i M i i i i J 1970 i i S D ft .. Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT, M J S D 1967 M J 196o S D M J 1969 S D M J 1970 S D Chart 78 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per annum EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED' 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED' J S D 1967 * Adjusted for Reserve Requirement M J 1968 S D J 1969 S D M J 1970 S D CHART 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHiASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1967 J 1968 S D M J 1969 S D M J 1970 S D 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per 14 12 EURO-DOLLAR DEPOSIT 10 8 6 4 LOCAL AUTHORITY DEPOSIT -COVERED 2 : + 0 FAVOR LOCAL AUTHORITY + 0 2 4 6 8 DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1967 J 1968 S D M J 1969 S D M J 1970 S D 17 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED l LONDON NEW YORK M J S D 1967 * Plotted for comparison purposes M J 1968 S D M J 1969 S M D - J 1970 S D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 2 + 0 PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT 2 V \ 4 FORWARD RATE 6 8 10 12 2 IN FAVOR OF LONDON + 0 2 4 IN FAVOR OF NEW YORK 6 8 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D M 1967 J 1968 S D M J 1969 S D M J 1970 S D 11 Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM GERMAN INTERBA NK LOAN RATE/N| p p /EURODOLLAR / COVERED 1 1 1 1 1 1 1 1 1 1 1 1I I 1 i i 1 i i 1 i i l 1 1 1 1 1 I I DIFFERENTIAL 1 I I IMARKET l l 1 1 1 1 l I COVERt 1 1 l l FAVOR FRANKFURT U\/i. V J l l 1 M I I 1 I I I l l J S I I 1 I I i I I 1 I i D 1967 M J 1968 S u , FAVOR EURO DOLLAR 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 V D M J 1969 S D M J 1970 S D ^.0 Chart 108 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Per cent per annum Wednesday rates 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 S D 1969 D J 1970 S D 2 '/A Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS —i BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR : PREMIUM GROSS SPREAD W FAVOR OF CANADA DISCOUNT FORWARD RATE COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U.S. FAVOR CANADA PRIME FINANCE PAPER FAVOR U.S. M J S D M 1967 J 1968 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 ^3 LONG-TERM BOND YIELDS Weekly figures Per cent per annum CANADA -NETHERLANDS U.S. SWITZERLAND U.K. GERMANY EURO-DOLLAR BONDS Monthly figures U S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U S. CORP. Aaa BONDS 1966 1967 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1968 1969 1970 OH CHART 14 1958=100 INDUSTRIAL STOCK INDICES - / / . / .v A W Ratio scale 460 A_ 400 360 SWITZERLAND 320 A 280 GERMANY 240 200 ™V i i i i i i i i i i 1 1 1 II ^ II 1 II II 1 1 1 I 1 1 1 II i i 1 i i 1 i i 1 i i U.K. 160 320 280 240 CANADA 200 1 1 1 II 1 II 1 1 1 1 1 1 1 1 1 II i i 1 i i 1 i i 1 i i i II II 1 II 1 II 1 1 M - /V~ Z 320 JAPAN * 240 hr V^\ 1 II 1 II 1967 1 l l II 1 II 1 1 1 1 1 1 1968 1 1 1 1 1 1 II 1969 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange 160 380 - / ll x 1 1 1 200 1 1 1 1 1 1 1 1 1 II 1970 160 / H. 13 No. 433 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc German mark U.K. pound Dutch guilder French franc Lower «« n " Belgian franc Italian lira Upper Lower 3 Upper Lower 5 Upper Lower +0.63 " +0.60 IF -0.17 II +0.55 German mark II -0.10 II +1.52 II -0.40 +1.74 +0.10 U.K. pound Dutch guilder Canadian dollar French franc German mark U.S. dollar Swiss franc French franc Call Euro-) deposits Federal Funds Middle II Swiss franc Gold price, U.S. dollar per ounce 4 -0.15 +0.12 -0.32 " Canadian dollar 2 +1.56 -0.59 Dec. 12 Japanese yen IB Rate Date Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money « " II -0.67 II +0.79 +0.36 • " " +1.71 II -0.29 35.12 II Dec. 10 II II 9.35 8.75 +0.60 Dec. 5 Dec. 12 8.75 7.50 II 7.81 II 10.25 IV-2 Chart Panel Series 6 Upper Euro-) Call Rate Date Rate Dec. 12 Euro-* 1-month Rate Lower Euro-$ 3-month Rate n 11.18 Dec. 10 10.88 „ Euro-) 6-month Rate 7 Upper Euro-) 3-month Deposits Second Third * Fourth 8 Upper Second Third Fourth IT 8.70 Differential II +2.18 Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) II 6.38 •I +4.50 Euro-) 3-month Deposits 10.88 Nov. 21 10.81 Hire Purchase Deposits (covered) «» Differential II 8.56 -2.25 Euro-$ 3-month Deposits .• Local Authority Deposits (covered) II Differential Local Authority Deposit (uncovered) 10 « Differential U.K. Treasury Bill rate 9B 11.00 U.S. Certificate of Deposits U.S. Treasury Bill rate 9A 10.38 12.18 Upper Spread (+ = favor London) Lower 3-month Forward Pound Net Incentive (+ = favor London) II Dec. 12 ii " II II 10.81 8.06 -2.75 7.72 7.58 8.88 -0.14 -0.37 II -0.51 Upper Euro-) Deposits (covered) German Interbank Loan rate Dec. 10 » 10.99 9.00 Second Differential Euro-) Deposits (covered) " -1.99 Dec. 3 Third Swiss Deposit rate Fourth Differential „ 9.40 5.00 -4.40 . 41 IV-3 Chart Panel 11 Upper Series Date Canadian Finance Paper Dec.12 U.S. Treasury Bill rate »• Canadian Treasury Bill rate " Rate 8.62 7.72 7.53 U.S. Prime Finance paper (not plotted) Forward Canadian dollar " Lower Net incentive on bills " -0.10 II +0.83 II » 11.18 7.58 Upper Euro-$ Deposits U.K. Treasury Bill rate U.S. Treasury Bill rate Lower " 7.72 Japanese Average rate 5.00 7.47 Canadian Treasury Bill rate Dec. 12 7.53 7.72 U.S. Treasury Bill rate German Interbank Loan rate Upper ii 9.00 Dec. 5 7.78 Canada Dec. 10 8.31 6.62 Nov. 28 Dec. 5 5.34 7.31 Euro-dollar bonds Dec. 4 Dec. 12 9.07 7.30 U.S. Corp. Dollar Euro-bonds O c t . 31 Germany United Kingdom Lower " Netherlands United States Switzerland Middle -0.19 +0.09 Dec. 5 O c t . 31 Swiss 3-month Deposit rate 13 7.88 Bill rate differential Net incentive on Finance Paper .12 M If Middle 7.53 U.S. Corp. DM Euro-bonds 7.06 U.S. Corp. Aaa bonds N°V, 30 1 7,35 IV-4 Chart Panel Series 14 Upper Switzerland Dec. 12 402.1 Germany Dec. 5 Dec. 12 313.2 203.0 United States United Kingdom Lower Japan Date Rate " 221.6 Dec. 5 385. 7 Dec. 12 203.0 Canada United States 230. 0^
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