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\ July 30, 1969 No. 413 H-13 Division of Internet iood Finance Europe and British Common wealth Section LIBRARY AUG 5 FEDEmV. P.....1 Q . 0 t f M fflaUaJt 136b .<- SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. 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. 3 C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per c e n t Weekly averages Above par 1.6 SWISS FRANC Par U.S. J GERMAN MARK! U.K. POUND Below par Above par DUTCH GUILDER JAPANESE YEN | FRENCH FRANC Below par J S D 1967 J 1968 * Devaluation of t h e U.K. pound f r o m $2.80 to $2.40. S D M J 1969 S D M J 1970 S D M Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA — U.S. BELGIAN FRANC 1.2 Below par M J S D 1967 J 1968 S D J 1969 S D M J 1970 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT— M J S S 1967 1968 D M S 1969 D M J 1970 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages - Per c e n t per a n n u m PREMIUM- DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 DISCOUNT— M J S D 1967 M J 1968 S D M 32 J 1969 S D M J 1970 S D 1 C h a r t 3A 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per c e n t per a n n u m 24 20 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 i Chart 38 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 SWISS FRANC FRENCH FRANC DISCOUNT— M S D 1967 M J 1968 D M J 1969 s D M J 1970 s D ft GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. d o l l a r e q u i v a l e n t per fine ounce Week's average of a f t e r n o o n f i x i n g s 47.0 45.0 / / 35.2 i 35.1 1 1 M 1 ! 1 J 1 S 1 D ! 1 M 1967 * Market c l o s e d M a r c h 15 April 1 , 1 9 6 8 41.0 W r I 1 li i 43.0 r IIIV J N 35.3 * / y 39.0 37.0 i 1 J 1 ! S 1968 1 D 1 M 1 i, J i ..J i S 1969 D i, i M J 1970 S Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly a v e r a g e s A 1 |T f A CAL L EUR(3-DOLILAR Dl • p o s n k% w Y v J J V Vvf Wu f w v DERAL. FUNDIS t IT/ i W\| - RO-DOILLARC)VER 1 EDER/ IL FUI\IDS ~1 i i i i i i i . f i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 - 1 FOREIGN CURRENCIES* Friday's figures Per cent per a n n u m FRAN CE A UK L X A OrV y T . 1 JAF>AN 1 J 1 I , I M J i , S D 1967 M i y 11 J S 1968 i D i M i i I J i I S 1969 D I M i i J 1970 ' G e r m a n y , Call M o n e y ; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to day Money. l S i l D i LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per a n n u m 1-MONTH CALL M J S D M 1967 S 1968 M S 1969 D J 1970 S D CHART 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m 6-MONTH 3 MONTH M J S D 1967 M J 1968 S D M S 1969 D M J 1970 S D 1 ^ : 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 Wednesday figures Per cent per a n n u m ! EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 1 I : ! i i i i T r EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 3 - M O N T H DOLLAR DEPOSIT RATES - P R I M A R Y MARKET Wednesday figures 23 1056 Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I M J S D 1966 * Adjusted for Reserve R e q u i r e m e n t M J J 1967 D M J 1968 ADJUSTED^ S D M J 1969 S D w 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 j COVERED ' FAVOR HIRE PURCHASE DIFFERENTIAL + i FAVOR EURO-DOLLAR LOCAL AUTHORITY AND EURO-DOLLAR RATES juiv 11 1125 P e r Friday figures cent per EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL 1966 FAVOR EURO-DOLLAR 1967 1968 1969 annum CHART 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures 3-MONTH Per cent per a n n u m TREASURY BILL RATES U.K. LOCAL AUTHORITY D E P O S I T S * UNCOVERED 1 / \ \ | LONDON NEW M J S D 1966 * P l o t t e d f o r c o m p a r i s o n purposes. S 1967 D M J 1968 S YORK D M J 1969 S D v° Chart 9 8 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) 1966 1967 1968 1969 Chart 10 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Per c e n t per a n n u m Wednesday rates : : ! 8 IN TERMS OF DM 1 •! : j 1 " ! \ . GERMAN INTERBANK LOAN RATE ! j p s A \ | - p r r 1 1 i ! 1 5 1 ! j ! V V EURO-DOLLAR ! COVERED v \ 1 H - x : I ! - i A -Ai - 1 f I W \ J A v ^ OR FRANKFURT | t i v ! BUNDESBANK COVER* 1 1 MARKET COVEF j j / j i ! _ DIFF^ERENlHAL 1 / f j ,s\ V" i i 1 | 1 FAVOR EURO-DOLLAR I I I ' ! i ZURICH DEPOSIT RATE V S . I O N D O N EURO-DOLLAR RATE Per cent per a n n u m Wednesday rates ERMS/DF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE W 1 | / X - AV „i„! i M J i ! 4vjvsjv I I ! S FAVOR Z URICH ! DIFFERENT D 1966 M J 1967 * For details see issue No. 398 dated April 16, 1969 . : M ; ; I ! ! J 1968 : i S ! FAVOR EURO-DlDLLAR : ! D j 1969 s 8 \* CHART 11 3-MONTH INTEREST ARBITRAGE: 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 P B I L L RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I i ! i 1 ! syx f 1 ! GROSS SPREAD IN FAVOR OF CANADA PREMIUM . DISCOUNT FORWARD RATE ( AVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS I A\jOR CANADA ! PRIME FINANCE PAPER FAVOR U.S. M J S D 1966 M J 1967 S D M J 1968 S M S 1969 D 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 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 for 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 Per c e n t per a n n u m Weekly figures NETHERLANDS SWITZERLAND I I I I 111 I 1 I I I 1 : 1 1 1 1 1 1 1 1 I I 1 ! GERMANY EURO-DOLLAR BONDS M o n t h l y figures 1 j ' U.S. CORP. DOLLAR EURO-BONDS ' U.S. CORP. DM EURO-BONDS " / L — - ^ N u . S . CORP. Aaa BONDS 1 1 I I 1 I I 1 I I 1! 1 I I 1 1 1! i ! 1 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. 1 1 i ! M ! ! ! 1 ! i ! ! 1 I 1 ! 1 ! ! ! 1! !i 1 1 1 1 1 I I 1967 1968 1969 58=100 INDUSTRIAL STOCK INDICES io scale 420 360 SWITZERLAND 320 280 240 200 160 360 320 280 240 200 CANADA LJ I i 1 ! i I ; 1 1 1 ! ! I I M I ! ! 160 I 380 JAPAN 1966 1967 lapan 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. 1968 1969 . H. 13 No. 413 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc J u l y 25 +1.50 Lower German mark U.K. pound Dutch guilder 0.00 " -0.45 -0.51 French franc " -0.73 Japanese yen " +0.06 Belgian franc IB Italian lira Canadian dollar 2 jUPPer Lower Upper 3 Lower 4 5 " - Upper Lower " German mark if Swiss franc " U.K. pound " Dutch guilder " Canadian dollar French franc " -0.43 -0.58 +0.04 +4. 74 +0.20 -2.40 40.39 +1.21 -3.23 +7.12 German mark U.S. dollar Swiss franc " • +2.14 +2.54 French franc " -0.79 Gold price, U.S. dollar per ounce " 41.88 Call Euro-$ deposits Federal Funds Middle " " Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money " " J u l y 23 9.19 " 8.50 " +0.69 7.66 J u l y 18 " 5.63 9.13 " 9.00 J u l y 25 t p r IV - 2 Chart Panel Series 6 Upper Euro-$ Call Rate J u l y 25 Euro-S 1-month Rate Lower 7 Upper Rate Date 9.13 10.25 " Euro-$ 3-month Rate " 10.56 Euro-S 6-month Rate " 10.56 Euro-$ 3-month Deposits 10.56 8.81 J u l y 23 U.S. Certificate of Deposits " Second Differential " Third Euro-$ 3-month Deposits " +1. 75 10.56 " +4.18 U.S. Certificate of Deposits (Adj.) 8 6.38 Differential Fourth - Upper Euro-$ 3-month Deposits Second Third Fourth " 6.87 Differential " -4.38 11.25 Euro-$ 3-month Deposits " Local Authority Deposits (covered) " 6.37 Differential " -4.88 U.S. Treasury Bill rate 9A U.K. Treasury Bill rate J u l y 25 10 7.07 " Local Authority Deposit (uncovered) 9B 11.25 J u l y 11 Hire Purchase Deposits (covered) . 7.64 9.19 +0.57 Upper Spread (+ = favor London) " " -2.51 Lower 3-month Forward Pound Net Incentive (+ = favor London) " -1.94 Euro-S Deposits (covered) German Interbank Loan rate Upper J u l y 23 " Second Differential " Third Euro-$ Deposits (covered) " Fourth j 5.86 5.75 -0.11 10.33 Swiss Deposit rate " 5.00 Differential " -5.33 ! IV- 3 Chart Panel Series Date 11 Upper Canadian Finance Paper J u l y 25 U.S. Treasury Bill rate " Canadian Treasury Bill rate „ " U.S. Prime Finance paper (not plotted) 12 8.25 7.07 8.00 Bill rate differential Forward Canadian dollar " Lower Net incentive on bills " +1.44 Net incentive on Finance Paper " +1.37 Upper Euro-$ Deposits i. U.K. Treasury Bill rate " 7.07 5.00 U.S. Treasury Bill rate " 7.07 " 5.75 Netherlands J u l y 18 7.66 Canada J u l v 23 7.67 5.98 J u l y 18 4.92 Germany United Kingdom Lower 7.36 7.39 German Interbank Loan rate United States Middle I I i " Switzerland " J u l y 17 J u l y 25 7.35 June 30 7. S? 6.17 " . 6.74 Euro-dollar bonds U.S. Corp. DM Euro-bonds . J 9. 23 U.S. Corp. Dollar Euro-bonds U.S. Corp. Aaa bonds i I 7.64 " May 30 J u l y 25 i 10.56 U.S. Treasury Bill rate Japanese Average rate j +f)T IP +1.12 Swiss 3-month Deposit rate Canadian Treasury Bill rate Upper ... i 7. 39 Middle Lower 13 Rate 6.98 I I IV- 4 Rate Date Chart Panel Series 14 Upper Switzerland J u l y 25 370.4 Germany J u l y 23 279.2 United States J u l v 25 •A 206.3 United Kingdom Japan .Tiii v 117, ? Lower i a 201.2 Canada J u l y 17 214.,6 United States J u l y 25 206.3
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