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February^ H-13 Division of International Finance Europe and British Commonwealth Section LIBRA8H «m s .ma mCDduJ- 9VE . RlctiMMWD 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 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. * A r e v i s e d s e r i e s of t h e 3-month forward r a t e of t h e French f r a n c a g a i n s t t h e B r i t i s h pound i s p r i n t e d on r e v e r s e . Revised data on the 3-month forward exchange r a t e of the French franc a g a i n s t the B r i t i s h pound in London p l o t t e d on Chart 3 , b o t t o n pan. 1.: 1968 June July 7 14 21 28 5 12 19 26 Aug. 2 9 16 23 30 Sept. 6 13 20 27 Oct. 4 11 18 25 Nov. 1 8 Dec. 15 22 29 6 13 20 27 Per Cent Per Annum +3.34 -1.31 +0.87 -5.95 -2.76 +0.58 +0.29 -0.29 -0.15 -0.58 -0.79 -1.08 -1.60 +1.45 +0.79 +0.44 +0. 29 +0.29 +0.73 +0.76 +0. 65 +0. 21 +0.36 -2.03 -6.09 -3.05 -1.45 -3.77 - 3 . 19 -4.35 1969 Jan. Feb. 3 10 17 24 31 7 14 -5.22 - 3 . 63 -3.34 -1.74 -1.74 -2.32 -2.53 H Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.6 | SWISS FRANC GERMAN MARK U.K. POUND , Below par T T Above par DUTCH GUILDER U.S. /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. pound f r o m $ 2 . 8 0 to $ 2 . 4 0 . S J 1968 D S 1969 D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par r BELGIAN FRANC ITALIAN LIRA CANADIAN DOLLAR I Below pa 6 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly a v e r a g e s Per c e n t per a n n u m PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT- I T DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC DISCOUNT— J S D 1966 M S 1967 D S M 1968 D M J 1969 S D 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* 12 GERMAN MARK 8 4 U.S. DOLLAR ; DISCOUNT- I ! PREMIUM* I T 8 SWISS FRANC 4 ! FRENCH FRANC 0 4 DISCOUNT— M J S D 1966 M ,J S D 1967 * This s e g m e n t of the c u r v e has been r e p l o t t e d ; see t a b l e of contents. M J S 1968 D M J 1969 S D % GOLD PRICE IN LONDON, 12.5 Kg BARS W e e k ' s average of a f t e r n o o n fixings U S d o l l a r e q u i v a l e n t per fine ounce 45.0 35.0 J S D 1966 * M a r k e t closed March 15-April 1, 1 9 6 8 CHART 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per c e n t per a n n u m CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS W EURO DOLLAR OVER FEDERAL FUNDS FOREIGN CURRENCIES 4 Friday's f i g u r e s J A(PAN 1 AA U.K. k & FRIANCE A/Ihil/vn GE:RMAN Y ! 1 M ! 1 J 1 1 S 1 1 1 I D 1966 t M ! 1 J 1967 1 1 S 1 1 D 1 1 1 I J 1968 ! 1 S 1 I D I I M I I I 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. S I I 10 CHART 6 LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per 10 9 8 L-MONTH 7 6 CALL 5 4 3 10 9 8 3-MONTH 7 6-MONTH 6 5 4 3 J s 1966 1967 1968 1969 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Per cent per a n n u m Wednesday figures EURO DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT _T | | | | | | EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 1 wV I I I I I I I I I I I 1 1 I 11 M i l 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures Per c e n t per a n n u m EURO DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT ADJUSTED|* | | | , EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT. 1 II M J S D 1966 * Adjusted for Reserve R e q u i r e m e n t 1 1 I ADJUSTED* J 1967 1968 s j 1969 s CHART 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES 8 EURO DOLLAR DEPOSIT 4 HIRE PURCHASE 'COVERED + 0 FAVOR HIRE PURCHASE + 0 4 DIFFERENTIAL FAVOR EURO DOLLAR 8 LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT \n LOCAL AUTHORITY DEPOSIT COVERED I FAVOR LOCAL AUTHORITY DIFFERENTIAL M J i S FAVOR EURO DOLLAR D 1966 M J 1967 S D M J 1968 S D M J 1969 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday's Figures 3-MONTH TREASURY RATES I I U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED NEW YORK ^ P l o t t e d f o r c o m p a r i s o n purposes. INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday figures 4 i 1 r — r — r RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLINl PREMIUM DISCOUNT FORWARD RATE ! - ! ! [ I hVr K^jJ ' ! 1 I IN FAVOIR OF NEW YORK j | ! IN FA VOR OF• LONDON V / vV l RATE DIFFERENT IAL WL"FH FOF(WARD EXCHANGE COVEFl (NET INCEN"FIVE) I 1 i, 1 1 ! 1 1 1 1 I I I I ! 1 I 1 1 ! I 1 1 ! 1 i 1 1 1 1 l l l l l l l ! M J S D M J S D M J S D M J 1966 1967 1968 - 1 1 S 1969 i i D c Chart 10 INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates" P e r c e n t per a n n u m 8 IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURO DOLLAR Y COVERED 1 __ DIFF|ERENIFIAL FAVC)R FRAN KFURT I 1 I 1 1 ! 1 , A ( .A . - n 1 1 1 1 i i i i L rS rV1 l / V " 1 1 1 1 1 1 i 1 FAVOR EURO D OLLAR 1 1 1 1 1 1 ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per a n n u m 1 1 1 1 IN TERMS OF SWISS FRANCS >1 EURODOLLAR COVERED £ / SWISS DEPOSIT RATE 1 1 I FAVOR EURO-D OLLAR 1 DIFF ERENlriAL A hV V YA a \ A : l M I i J i 1 s ! i D 1966 i i i i i i S M 1967 1 i D 1 M i i 11 J 1968 1 s 1 D i i i M i ! AVOR ZlJRICH 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 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i i i i i i I x v L GROSS SPREAD IN FAVOR OF CANADA f ^ V v PRE! DISCOUNT FORWARD RATE 3-MONTH COVERED RATE DIFFERENTIALS FAVOR CANADA NET INCENTIVES 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 0 C h a r t 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m EURO DOLLAR - LONDON U.K. US. SWITZERLAND 9 JAPAN CANADA, US. 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 c ount r i e s except Japan (Average rate on bank loans and d i s c o u n t s ) Switzerland ( 3 - m o n t h 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 cent per annum NETHERLANDS CANADA US. SWITZERLAND 10 GERMANY U.K. ! EURO DOLLAR BONDS I Monthly figures U.S. CORP. D()LLAR EURO-BONDS U.S. CORP. DM EURO-BONDS - X I I 1 1 1 1 1 1 I I 1 1 1 1 I I 1965 1 1 1 i 1 1 1966 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. y ~ U . S . CORP. A«ia BONDS 1 I 1 1 1 1 l 1 1 11 11 1 1I I I I 1967 1968 1 1 1 1 1 1 II 1 II 1 1 1 1 1969 Y\ CHART 14 INDUSTRIAL STOCK INDICES 420 360 320 SWITZERLAND 280 GERMANY 240 US. 200 160 360 320 U.K. 280 240 200 CANADA 160 380 320 280 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 s t o c k s traded on the Tokyo exchange. 1969 H. 13 No. 391 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Lower Rate Date German mark + - 1.19 0.57 U.K. pound Dutch guilder - 0.40 0. 12 French franc - 0.35 + 0.59 Feb. 21 Japanese yen Belgian franc Italian lira Canadian dollar IB 2 Upper Lower Upper Lower 0.38 + 0.50 + 4.69 Swiss franc + 2.21 U.K. pound + 1.85 1.67 + 0.31 - 5. 55 + + 6.58 1.70 + 3.47 - 3.37 Dutch guilder Canadian dollar German mark U.S. dollar Swiss franc French franc • Gold price, U.S. dollar per ounce 4 5 0.46 - German mark French franc 3 - Upper Call Euro-$ deposits 42.63 Feb. 7.93 6.75 19 Federal Funds Middle Lower Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money + Feb. 14 Feb. 21 1.18 7,30 2.81 - IV - 2 Chart Panel 6 Upper Series Date Euro-$ Call Rate Feb. Rate 21 Euro-$ 1-month Rate Lower it Euro-$ 3-month Rate .7 Upper Euro-$ 3-month Deposits 8.25 „ Euro-$ 6-month Rate Fph. 8.18 19 U.S. Certificate of Deposits Second 8 Third Differential Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) Fourth Differential Upper Euro-$ 3-month Deposits Hire Purchase Deposits (covered) Second Differential Third Euro-$ 3-month Deposits Local Authority Deposits (covered) Fourth U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9A 9B 10 Differential Upper Spread (+ = favor London) Lower 3-month Forward Pound Net Incentive (+ = favor London) n " „ " Feb. 14 .. M II „ „ „ „ 8. 18 6.48 + 1.70 8.18 5. 64 +2.54 na na na na H Feb. 7.75 8. 12 na 21 5.99 6. 57 M na +0.58 -1.96 II -1.38 Upper Euro-$ Deposits (covered) German Interbank Loan rate Second Differential Euro-$ Deposits (covered) II 6.10 Swiss Deposit rate " 4.38 II -1.72 Third Fourth Differential Feb. •• 19 3- 51 3.88 +0.37 IV - 3 Chart 11 Panel Upper Series Canadian Finance Paper U.S. Treasury Bill rate Rate Date Feb. 14 21 6.62 6.62 1 Feb. 21 5.99 1 Canadian Treasury Bill rate 6.11 U.S. Prime Finance paper (not plotted) 12 Middle Bill rate differential Lower Forward Canadian dollar Net incentive on bills Net incentive on Finance Paper Upper Lower 6.38 + 0 . 12 +0.48 + 0 . 60 . ,>0.40 Euro-$ Deposits U.K. Treasury Bill rate 8.25 6.57 U.S. Treasury Bill rate 5.99 Swiss 3-month Deposit rate 4.38.. 7. 38 Japanese Average rate Canadian Treasury Bill rate Dec. 31 Feb. 21 U.S. Treasury Bill rate German Interbank Loan rate 13 Upper Middle Lower 6.11 „ 5.99 3.88 Netherlands Feb. 14 Canada United States Switzerland Feb. 19 Feb. 14 7._12__ . 5.86 4.41 Germany United Kingdom Euro-dollar bonds Feb. Feb. 20 21 6.19 8. 56 7.41 U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Jan. 31 6.59 . IV-4 Chart . Panel Series 14 Upper Switzerland Germany 21 398.9 Japan Feb. 14 Feb. 21 ,, M 315.2 Canada Feb. 13 213. 9 Feb, 2,1 United States United Kingdom Lower Rate Date Feb. United States 263.5
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