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fttefer July 23, 1969 No. 412 H-13 Division of International Finance Europe and British Common wealth 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 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 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. ~h 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] U.K. POUND Below pa> Above par DUTCH GUILDER Par wM U.S. v 4 v < JAPANESE YE SE YEN ^ FRENCH FRANC ( Below j: s D 1967 M J 1968 * Devaluation of the U.K. pound from $2.80 to $2.40. S D M j 1969 S II ID M J 1970 S D par Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN rLIRA — U.S. BELGIAN FRANC 1.2 Below par J 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. DOLLA Per cent per ar Weekly averages! 16 12 8 GERMA NMARI 4 4 + SWISS •RANC 0 iA V \ 4 U.K. POUND 8 12 I 1 I M 1 1 I I J I I S 1 I I D 1967 I I i M I I 1 I J 1968 DISCOUNT1 I I I I I I S D I M I I 1 I J 1969 . 1 I I S I 1 1 I D I M I I I I J 1970 I I S 16 I D Chart 2B; 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages) Per cent per annum PREIN U M + DUITCH GWILDER C/ NADI/ n r IT V J* s/- -UR t rf i f/ 1 i FRENCH FR INC . 1 1 M I l J! 1 1967 D M J 1968 4 71 , 1 DISCO. I . 1 , , SI 1 1 1 1 S D M 1 1 J 1969 S 1 1 D 1 1 M J 1 J 1970 S 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 JI SI D 1967 M J 1968 S D M J 1969 S D M J 1970 S D Chart 3 B , 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 1968 S D 20 M J 1969 S D 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 M1 J 35.0 SI D 1967 • M a r k e t closed March 15-April 1 , 1 9 6 8 M Jl 1968 S D m u 1969 !S ID IM 'J 1970 S D Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages! Per cent per annum A 67 k 1 1 CAL L EURID-DOLILAR Dl • p o s n k% JJt W w Y v V 1 1 i i 'Vw«v rv FEDERAL. FUNDIS V V " i i w Jr 1 1 1 I T _ / 1 \\ A A /A < )VER 1 E 0 E R f kL FUNIDS u 1RO-DOILLARC ,f , 1 1 1 1 1 I 1 1 1 1 I i i 1 1 1 1 1 1 1 1 1 1 ~ FOREIGN CURRENCIES* Friday's figures Per cent per annum FRANCE U.K. JAPAN -GERMANY- M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 • G e r m a n y , Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. S D iHART 6 A j LONDON: EURO DOLLAR DEPOSIT RATES "riday figuresl Per cent per per ai 13 12 11 10 9 8 7 6 5 4 3 2 CHART6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figuresl 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 J 1969 s D M IJ 1970 S D C h a r t 71 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET W e d n e s d a y figures) W y 16 10.75 Per c e n t P e r annum EURO-DOLLAR DEPOSIT i^Hr I — ^ J . S . CERTIFICATE OF DEPOSIT T T T T 1 1 i r EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET W e d n e s d a y figures JULY 16 1075 Per c e n t per a n n u m f y EL RO-JDC LLAR DEPO!$IT j J r U.!S. CERTIFICATFOF DEPO!SIT ADJUSTED|" | | | EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT "ADJUSTED 4 M J S D 1966 * A d j u s t e d for R e s e r v e R e q u i r e m e n t M D 1967 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 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 FAVOR LOCAL AUTHORITY DIFFERENTIAL 19661 I FAVOR EURO-DOLLAR 1967 1968 1969 CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures , Per cent per 3-MONTH TREASURY BILL RATES AUTHORITY DEPOSITS* LONDON NEW YORK Mi y S D M 1966 * Plotted for comparison purposes.! J 1967 S D M J 1968 S D M J 1969 S D Chart 9 8 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures j i i i i i i i i r RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING /X A/ SPREAD IN FAVOR OF LONDON A \r Y \ FORWARD RATE I II _U_ I 1 1 l I I l l l I I I I I I I IN FAVOR OF LONDON o r IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I M I I I I ill M J S D 1966 M J 1967 D M J 1968 S D M I J 11969 I n 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 8 IN TERMS OF DM GERMAN INTERBAh EURODOLLAR COVERED DIFFERENTIAL 77^ i i i i i I i FAVOR FRANKFURT MARKET COVER i i i "V LA^As I I I BUNDESBANK COVER* _L_L i I I I I I I I I ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum SS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE 1 1 DIFF ERENIriAL 1 : AVOR ZURICH \ Y vv/A\ A AV 1 1 M 1 1 . i i J| I I D 1966! 1 1 M i i i i J 1967 * For details see issue No. 398 dated April 16, 1969' 1 1 S D 1 1 M 1 1 1 1 J 1968 S 1 1 \ 1 1 IM IFAVAR EURO-DIDLLAR I 11 UULY L 16 -6.6 J 1969 S 8 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s . Per cent per annum 9 CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS RATE DIFFERENTIAL AND FORWARD CANADIAN DO 1 1 T 1 I I PREMIUM V V GROSS SPREAD IN FAVOR OF CANADA DISCOUNT FORWARD RATE I L COVERED RATE DIFFERENTIALS AVOR CANADA TREASURY BILLS FAVOR U S 1 z M/V Jj v\_/- I A X , J / PRIMIE FIN,%NCE 1•APER \m f) y 2 I ujoR CAINADA 1FAVOFt U.S.. 1 M J SI D 19661 Mi J 1967 & D M J 1968 S D" 1 M 1 , 1 J 1969 S :D Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO-DOLLAR - LONDON U.K. US, SWITZERLAND 9 JAPAN CANADAi US. 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 r a t e l o r l T S . dollar deposits in London. 1969 LONG-TERM BOND YIELDS Weekly figures Per cent per ar 8 6 4 SWITZERLAND III I I I I I I I I I I I I I I II I I I I I ! I I I I I I i I II I I I I I I I 10 8 6 8 U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS 6 U.S. CORP. Aaa BONDS M i l l 1965 I I I I I 1966 New series for Switzerland starts 3-3-67. * New series for Switzerland starts 8-2-68. 1967 I I 1968 I I I I 1969 4 CHART 14: 1958=100 INDUSTRIAL STOCK INDICES scale - ^ J —-i \ y 1 V A , ^ 280 n y 240 US \ J - 1 1 1 II 1 II 360 320 SWITZERLAN A ^ _ / - M 3 E R Ma V|, 1 1 1 1 1 1 I I I : 420 200 1 I 1 1 1 1 1 1 II 1 1 1 1 160 360 320 U.K. r/A 1280 W \ 1240 j j \ A W / i ii ii i i II i i i rVi i i i i i i i 200 ~ CANADA 11 1 1 1 l I l l 1 l .1.1 1 1 1 11 1 1 1 1 160 380 - y v : 1320 1280 /"^JAPAN* 240 us. M M i 11 19661 \ V\ i 1 1 1 II 1 II 1967 1 II II 1 1 1 1 1 1 1 1 1 1968 * Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchanger. 1200 i i i i i I i i i II 1969 H. 13 No. 412 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc J u l y 18 Lower German mark " U.K. pound Dutch guilder M M French franc Japanese yen IB Lower 5 German mark M +5.14 Swiss franc U.K. pound 11 -2.81 Dutch guilder Canadian dollar German mark Lower U.S. dollar Swiss franc French franc Gold price, U.S. dollar per ounce Upper Call Euro-$ deposits Federal Funds Middle Differential Lower Japanese Unconditional Money +0.01 -0.47 Upper 4 „ „ M French franc 3 -0.23 -0.48 -0.74 +0.10 Belgian franc Upper +1.57 +0.20 If Italian lira Canadian dollar 2 Rate German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money -0.55 -0.63 .. „ " +0.53 +1.39 -3.58 „ +7.28 » +2.14 ii +2.31 „ „ J u l y 16 M " J u l y 11 J u l y 18 .» n -0.44 41.95 9.68 9.23 +0.45 7.30 6.06 8.06 9.00 IV-2 Chart Panel 6 Upper Series Euro-$ Call Rate Date Rate J u l v 18 Euro-$ 1-month Rate Lower Euro-$ 3-month Rate IF U.S. Certificate of Deposits „ „ Second Differential II Third Euro-$ 3-month Deposits II Euro-$ 6-month Rate 7 Upper Euro-$ 3-month Deposits J u l y 16 U.S. Certificate of Deposits (Adj.) Fourth 8 Upper Differential Euro-S 3-month Deposits 10.88 8.81 +1.94 10.75 II 6.38 +4.37 Julv 4 11.41 6. Sf) Differential M -4.91 Third Euro-$ 3-month Deposits II Local Authority Deposits (covered) " 11.41 6.53 U.S. Treasury Bill rate 9A „ Differential J u l y 18 U.K. Treasury Bill rate Local Authority Deposit (uncovered) Upper Spread (+ = favor London) Lower 3-month Forward Pound Net Incentive (+ = favor London) Upper Euro-$ Deposits (covered) German Interbank Loan rate -4.91 7.00 7.63 II „ II H J u l v 16 " 9.25 +0.63 -2.73 -2.05 5.79 5.68 Second Differential M -0.11 Third Euro-$ Deposits (covered) II Swiss Deposit rate " 11.68 5. 00 " -6.68 Fourth r 10.75 Second Fourth 10 10.94 II Hire Purchase Deposits (covered) 9B 9.38 10.62 Differential 5 IV - 3 Chart Panel Series 11 Upper Canadian Finance Paper Rate Date 8.00 J u l v 18 U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) | ' Bill rate differential Forward Canadian dollar ii +1.12 Lower Net incentive on bills II +1.51 Upper Euro-$ Deposits +1.18 J u l v 18 10. 94 M U.S. Treasury Bill rate ii Swiss 3-month Deposit rate Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate Upper 11 U.K. Treasury Bill rate 7.63 7^.00 n 5.00 May 30 J u l y 18 7.36 7.39 . 7.00_. „ Julv 4 7.63 Canada Julv 9 J u l v 16 7.64 6.01 Switzerland Middle Lower Germany | 4.89 6.69 United Kingdom J u l y 11 J u l y 10 9.30 Euro-dollar bonds J u l y 18 7,10. U.S. Corp. Dollar Euro-bonds J u l y 30 J u l y 20 7.52 6.17 U.S. Corp. DM Euro-bonds j . j 5.68 Netherlands United States __ U.S. Corp. Aaa bonds June 3 0 ! 7.94 +0.39 Middle Lower 13 „ | 7.39 ii Net incentive on Finance Paper 12 M 7.00 6.98 J I sfi IV-4 Chart Panel Series 14 Upper Switzerland J u l y 18 Germany J u l v 11 J u l v 18 283.9 271.0 211.1 Japan J u l v 11 346.3 Canada Julv United States Date Rate United Kingdom Lower United States 207.7 4 226.0 J u l y 18 211.1
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