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19, 1969 No. 390 Finance Europe and British Commonwealth Section SELECTED INTEREST & EXCHANGE RATES ' FOR MAJOR COUNTRIES & THE U.S. W E E K L Y SERIES O F 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 - 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 Charts - 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. * C h a r t 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 T Above par DUTCH GUILDER FRENCH FRANC JAPANESE Y E N ^ Below par M J S D 1966 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 to $ 2 . 4 0 . S D M S 1968 D M S 1969 ' Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Wee k ly averages Per cent Above par 1.2 BELGIAN FRANC U.S. ITALIAN LIRA CANADIAN DOLLAR ! 1.2 Below par . M J S 1966 D M J 1967 S S D 1968 D M J 1969 S D Chart 2 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per c e n t per a n n u m PREMIUM* Friday figures GERMAN MARK SWISS FRANC U.K. POUND | DISCOUNT- ; i I PREMIUM* — 4 DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC DISCOUNT— M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Per c e n t per a n n u m PREMIUM + Friday figures GERMAN MARK U.S. DOLLAR DISCOUNT— T T T PREM'IUM + 12 SWISS FRANC ! FRENCH FRANC i S D 1966 M S 1967 DISCOUNT- D S M 1968 D J 1969 S D 1 GOLD PRICE IN LONDON, 12.5 Kg BARS US 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 oon fixin gs ! |K 1 35.3 35.2 35.1 35.0 - A I U 1 M l 1 I J 1 v / S 1 1 1 1 D 1966 • M a r k e t closed M ar c h 15'-April 1, 1 9 6 8 M 1 1 1 J 1967 1 1 S 1 D i i - - I uJ Li i I — 45.0 i! ! M l r i i i i r I I l | l | i s i J 1968 1969 I , : L_ CHART 5 CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly averages CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS FOREIGN CURRENCIES * Friday's f i g u r e s ; 1 Per cent per a n n u m | i ! ! ! | i J 12 1 i 1 ! JAPAN ; 10 * A 8 i t l i 6 FF[ANCE 1 ; LV~ I I 4 r : 2 GE:RMANY W V . i + i 0 ! ! 1 1 1 M i i 1 i i 1 ! 1 1! 1 1 : i ! 1 1 1 M 1966 1967 i M i l ! ! J 1968 S i D i i 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 S 1 1 D 2 <\ LONDON: EURO-DOLLAR DEPOSIT RATES Friday f i g u r e s Per c e n t per a n n u m 10 | | ! " i : ! ! ! : 1 1 1 i 1 i " ! 3 MONTH F ! p t a k" ! I / ! ~ A 1 1 | 6-MONTH ! I ! I T 1 ! 1 M 1 ! J 1 S 1 , ! D i 11 1966 M 1 M ! " i J 1967 M s ! M D 1 ! : s i J 1968 M i S M l D l _ L i M ! 1 1 i J 1969 S 1 I D Chart 7 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 Per cent per a n n u m Wednesday figures EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ~T i ! i i i i r r EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 3 - M O N T H DOLLAR DEPOSIT RATES - P R I M A R Y MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED M J S D 1966 * Adjusted for Reserve R e q u i r e m e n t M J 1967 S D M J S 1968 D M J S 1969 D 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 EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED ! 1 ! 1 • ' h - ! r 1 1 7 H FAVOR HIRE PURCHASE x T DIFFERENTIAL 1 1 i ! 1 : i M M 1 t i 1 1 , 1 1 1 1 ! •-1 i ! 1' i M . , M , j FAVOR EURO DOLLAR LOCAL AUTHORITY A N D EURO-DOLLAR RATES Per cent per a n n u m Friday figures EURO DOLLAR DEPOSIT v n LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY | : I r j \ 1 1 r r DIFFERENTIAL 1 1 1 t 1 i 1 I M / J S 1966 i l 1 D ! i M . ! ! J 1967 I 1 i S : 1 ! D M J S 1968 D M j FAVOR EURO-DOLLAR J S 1969 D CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figui 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED . L A | | LONDON NEW 1966 * P l o t t e d for c o m p a r i s o n purposes. 1967 1968 YORK INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per c e n t per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON | DISCOUNT FORWARD RATE T IN FAVOR OF LONDON IN FAVOR OF NEW YORK ! I i i i I ; RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S 1966 D M J 1967 S D M J 1968 S D M J 1969 S D Chart 10 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 >J h ;. - 1 1 1 IN TERMS Of : DM ! j 1 INTEIRBANK LOAM1 RATE G E M flAN | L w , u ? 1 COVERED T | : 1 i , T " EURO-DOL.LAR i i DIFFERENTIAL j j ! FAVOR FRANIKFURT i zV-^V i / A i : U _yv - 1 i ; I • i .... i ! 1 FAVOR EURO-DlDLLAR i i • . i . i i ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per a n n u m : IN TERMS OF SWISS FRANCS EURODOLLAR /V. COVERED SWISS DEPOSIT RATE DIFFERENTIAL . J 1 ' 1 ; FAVOR EURO-DOLLAR : FAVOR ZURICH M J S 1966 D M J 1967 S D M J 1968 S D M J 1969 S D $ CHART 11 INTEREST ARBITAGE: 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 B I L L RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I i i i i i GROSS SPREAD IN FAVOR OF CANADA f X v V PREMIUM ! rW DISCOUNT FORWARD RATE 3 - M O N T H COVERED RATE DIFFERENTIALS NET INCENTIVES j I FAVOR CANADA j TREASURY BILLS | FAVOR U S. 2 T FAVOR CANADA PRIME FINANCE PAPER FAVOR U.S. M S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m EURO-DOLLAR - LONDON** U.K. US. SWITZERLAND 9 JAPAN CANADA, U.S. 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. dollar d e p o s i t s in London. 1969 LONG-TERM BOND YIELDS Weekly f i g u r e s Per c e n t per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND T T GERMANY U.K. EURO-DOLLAR BONDS Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS 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. i 1967 1968 1969 INDUSTRIAL STOCK INDICES 420 360 320 SWITZERLAND 280 GERMANY 240 U.S. 200 160 360 320 UK 280 240 200 CANADA 160 T 380 320 280 JAPAN 240 U.S. 200 160 1966 1967 1968 * Japan index of 225 i n d u s t r i a l and o t h e r stocks traded on the Tokyo exchange. 1969 n H. 13 No. 390 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Feb. German mark Lower „ U.K. pound Dutch guilder French franc Upper Lower 3 Upper Lower 5 Upper + 0.62 Belgian franc .. Italian lira I. - 0.42 - 0.06 " + 0.67 German mark " + 4. 40 Swiss franc U.K. pound " " Dutch guilder Canadian dollar " + 2.24 - 2.28 + 1.74 " + 0215 French franc II - 5.15 German mark U.S. dollar Swiss franc French franc I. » + 6. 66 + 1.97 + 3.80 I, + 2.53 " Call Euro-$ deposits || 42.52 12 7.72 6. 35 + 1.37 Feb. 14 na na Feb. Federal Funds Middle Differential Lower Japanese Unconditional Money - n.ii - 0.29 - n ifi - 0.36 " Gold price, U.S. dollar per ounce 4 + 1.10 M Canadian dollar 2 14 if ii Japanese yen IB Rate German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money " " " 7.13 " 7.88 IV- 2 Chart Panel 6 Upper Series Euro-$ Call Rate Rate Date Feb. Euro-$ 1-month Rate Lower Upper Euro-$ 3-month Deposits " Feb. U.S. Certificate of Deposits 8 7.88 8.00 8.00 „ Euro-$ 3-month Rate Euro-$ 6-month Rate 7 14 " 7.94 7. 94 12 6.52 " Second Differential M Third Euro-S 3-month Deposits U.S. Certificate of Deposits (Adj.) •1 7.94 " 5.64 Fourth Differential Upper Euro-$ 3-month Deposits + 1.42 IV + 2.30 Feb. 7 7.97 Hire Purchase Deposits (covered) Second Differential " Third Euro-$ 3-month Deposits " 7.97 Local Authority Deposits (covered) " 5.42 Fourth 9A Differential ii U.S. Treasury Bill rate Feb. U.K. Treasury Bill rate " 10 Upper Spread (+ = favor London) Lower 3-month Forward Pound Net Incentive (+ = favor London) Upper Second Third Euro-$ Deposits (covered) German Interbank Loan rate Differential Euro-$ Deposits (covered) Swiss Deposit rate Fourth Differential - „ Local Authority Deposit (uncovered) 96 5.55 - 2.42 14 M 2.55 6.06 6.53 7.94 + 0.47 H - 2.28 " - Feb. 12 1.81 " 3.48 3.88 " + 0.40 H 6.11 4.38 II H - 1.73 ^ : IV- 3 Chart Panel Series Date 11 Upper Canadian Finance Paper Feb. " Canadian Treasury Bill rate „ (not plotted) Bill rate differential ti Forward Canadian dollar " Lower Net incentive on bills M Net incentive on Finance Paper Lower Lower + 0.21 Euro-$ Deposits 8.00 U.K. Treasury Bill rate || 6.53 U.S. Treasury Bill rate " Swiss 3-month Deposit rate " 6.06 4.38 Japanese Average rate Dec. 31 7. 38 Canadian Treasury Bill rate Feb. 14 6.01 6.06 H -I 3.88 Netherlands Feb. 7 6.90 Canada Feb. Feb. 12 11 7.20 5.72 4.40 United States Middle 6.25 - 0.05 + 0.15 + 0.10 n U.S. Treasury Bill rate Upper 6.01 it German Interbank Loan rate 13 na 6.06 " Middle Upper 14 U.S. Treasury Bill rate U.S. Prime Finance paper 12 Rate Switzerland Feb. 7 Germany Feb. 14 na United Kingdom Euro-dollar bonds Feb. Feb. 13 14 8.46 7.41 U.S. Corp. Dollar Euro-bonds Jan. 31 na U.S. Corp. DM Euro-bonds na U.S. Corp. Aaa bonds ' 1 6.59 IV-4 Chart Panel Series 14 Upper Switzerland Germany United States United Kingdom Lower Japan Canada United States ^ Rate Date 14 408.7 Feb. 7 Feb. 14 ii Feb. 271.8 228.7 Feb. 6 273. S nfl 234.2 Feb. 14 228.7 ii
@FedFRASER