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H-13 // Division of International Finance Europe and British Commonwealth 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 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 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.6 SWISS FRANC GERMAN MARK U.K. POUND j , Below par Above par DUTCH GUILDER U.S. /FRENCH FRANC 4 JAPANESE YEN I M S D 1966 J 1967 * Devaluation of the U.K. pound from $ 2 . 8 0 to $ 2 . 4 0 . S D J 1968 S D M S 1969 , Below par D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 BELGIAN FRANC , —i— ITALIAN LIRA CANADIAN DOLLAR 1.2 i Below par J S D 1966 J 1967 S D J 1968 S D M J 1969 S D Chart 2 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages PREMIUM+ | GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT- DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC DISCOUNT— J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D Chart 3 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM + GERMAN MARK U.S. DOLLAR DISCOUNT- PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT — S D 1966 M S 1967 D M J 1968 S D M S 1969 D 1 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce : I ' ; i • j _+ 35.1 35.0 i r """" • i_ 35.3 35.2 . ! r y T U/ ii .1 ! j L i ! !' !I i ! | j i i II. 1 1 i 1 iM i l 1966 * M a r k e t closed March 15-April i ; 1 9 6 8 I I 1 I I I 45.0 ; ! ( .. V I : „ i / JI 1 ri / II 1 I 43.0 i 1 41.0 j I .... - | — J1 » I 39.0 ! i i i i! 1 1 1 . 1 1 . 1 1 , 1 i ,i i i i M i I i n j 1967 ! 1968 1969 37.0 35.0 CHART 5 CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS 1 i 1I 1 J A A ll JWfiA t y J^\y E:URO DOLLAR OVEFt FEDERAL FUNDS 1 ! 1 1 1 1 i i i i i i M 1 1 I I m 1 i i 1 m 1 M ! 1 i i i 1 1 FOREIGN CURRENCIES 1 1 : Per cent per annum Friday's figures 1 ! 12 i T I JA , ! U.K.~V 1 i 10 A P- 8 r- ~ — FR ANCE A/M /V 4 I GE:RMAN Y ! 1 ! ! 1 11 1 11 1 M J S D 1966 ! 1 1 1 1 ! M J . 1967 S 1 1 D M I i I i J S 1968 VV 1 1 D + 0 1 1 1 1 J 1 1 S 1969 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. 2 I 1 M 6 1 I 2 1 CHART 6 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1-MONTH CALL 3-MONTH 6-MONTH M J S D M 1966 J 1967 S D M J 1968 S D M J 1969 S D Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET Per cent per annum Wednesday figures 9 8 I EURO-DOLLAR DEPOSIT 7 6 5 U.S. CERTIFICATE OF DEPOSIT ! 4 3 1 1 1 1 ' A I f 1 1 IEURO DOLLAR OVEFt U.S. 1CERTIF ICATE OF DEPOSIT X I V \ : ; ; , | 28 2 46 ! | ! 2 1 r j d ! i i M i l l MAY i ! ! i 1 ! ! 1 i 1 i i II M i l 1 i l + ' ! 1 i. ! ! I ! 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures Per cent per annum 9 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED|* / may 28 3 56 EU RO DO LLAR iOVER 1J.S. CE RTIFICATE CIF DEPOSIT ADJUSTED* ' 1 ,, 1 1 ,, V \ ^ J 1966 * Adjusted for Reserve Requirement L/ x i i i i 1967 1968 11 S D , i , i , j , i , 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 j HIRE PURCHASE] 1 !COVERED FAVOR HIRE PURCHASE DIFFERENTIAL j + I FAVOR EURO-DOLLAR LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum - EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT T T DIFFERENTIAL 1966 FAVOR LOCAL AUTHORITY FAVOR EURO-DOLLAR 1967 1968 1969 + INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday's Figures 10 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS * UNCOVERED NEW YORK Plotted for comparison purposes. 13 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT V\ FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) I I I I I I I I ! i l I I 1966 U I I I I 1967 I I I I I I I I I I I I 1968 I I I I 1969 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 IN TERMS OF DM GERMAN t INTERBANK LOAN RATE EURODOLLAR COVERED ! 1 DIFFERENTIAL ~ ! | m IRKET COVER 1 FAVOR FRANKFURT | k V K-^vj\A r l/\r- L A -A : ,: ! BUN DESBA NK COVER* ! ! FAVOR EURO DOLLAR ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates . Per cent per annum IN TERMS/pF SWISS FRANCS EURODOLLAR COVERED t , [ SWISS DEPOSIT RATE f T T DIFFERENTIAL FAVOR ZURICH j I FAVOR EURO-DOLLAR M J S D 1966 J 1967 * For details see issue No. 398 dated April 16, 1969 S D M J 1968 S D M S 1969 V ? . CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum CAN. FIN. CO. PAPER y C v A J — . . UNITED STATES TREASURY BILLS I T \ CANADIAN TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR I ! . i I I i I GROSS SPREAD IN FAVOR OF CANADA j z v x DISCOUNT FORWARD RATE COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS FAVOR U.S. T I M J S D 1966 M J 1967 S D M J 1968 S T 2 FAVOR CANADA PRIME FINANCE PAPER D M FAVOR U.S. J 1969 S D SELECTED SHORT-TERM INTEREST RATES* Per cent per 9 EURO DOLLAR - LONDON 8 U.K. 7 6 US. 5 4 3 SWITZERLAND 2 9 8 JAPAN 7 CANADA 6 U.S. 5 4 GERMANY 1965 1966 1967 Switzerland (3-month deposit rate) and Germany (Interbank Loan Rate) •month rate for U.S. dollar deposits in London. 3 1968 1969 \1 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum 1 | NETHERLANDS Z" SWITZERLAND I u I I II 1 I II i 1 1 1 I I i 1 1 1 11 111 1M1 11II 1 I I 1 I I 1 1 1 I I 1 I I 1 1 I I 1 1 1 1 1 1 J GERMANY r ^ Z ^ - — ^ EURO DOLLAR BONDS ; ' | 1 i Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1965 1966 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1967 1968 1969 1958=100 INDUSTRIAL STOCK INDICES Ratio scale GERMANY CANADA - | / W ^ 1 320 280 X ^ J A P A N * 240 \ | 1 i 1966 1 ! \ I 1 ! 1967 1 l ! 1 •' / U.S. j : ; ! 1! 1968 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange. 200 ^ ! 1! ! i 1 : ! i ! 1 : : : ! : 1969 160 H. 13 No.405 IV. LATEST FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series 1A Upper Swiss franc Mav 29 ii U.K. pound „ +1.04 Dutch guilder n - 0 . 70 French franc M - 0 . 72 German mark Lower Rate Date -0.02 -0.46 Japanese yen IB +0.44 Belgian franc - 0 . 21 Italian lira - 0 . 64 Canadian dollar Upper 2 Lower +0.25 German mark +6.72 Swiss franc M U.K. pound M Dutch guilder French franc Upper +1.37 -15.85 German mark + 1 2 . 72 U.S. dollar Lower -7.32 +2.89 „ Canadian dollar 3 + 2 . 62 • +5.09 Swiss franc n + 7 . 68 French franc „ -5.66 Gold price, U.S. dollar per ounce 4 5 Upper Call Euro-$ deposits Federal Funds Middle Lower | 43.28 9. 66 M Differential Japanese Unconditional Money Mav 23 German Call Money Mav 30 U.K. 2-day Local Authority Deposits ' Mav 30 Mav 28 M French Day-to-day Money - „ „ 8.93 +0.73 6.94 2.50 8. 88 9.00 IV- 2 Chart Panel Series Date 6 Upper Euro-$ Call Rate May 29 Euro-$ 1-month Rate Lower 7 Upper Euro-$ 3-month Rate „ Euro-$ 6-month Rate „ Euro-$ 3-month Deposits May 28 „ U.S. Certificate of Deposits Second Third Differential Euro-$ 3-month Deposits „ U.S. Certificate of Deposits (Adj.) 8 Fourth Differential Upper Euro-$ 3-month Deposits Hire Purchase Deposits (covered) Second Differential Third Euro-$ 3-month Deposits Local Authority Deposits (covered) Fourth 9A Differential U.S. Treasury Bill rate U.K. Treasury Bill rate ,, Mav 23 „ „ .. „ Mav 29 .. Rate 10. 12 1 0 . 18 1 0 . 18 10. 12 9.94 7.48 +2.46 9. 94 6. 18 +3.56 9. 81 2.18 -7.61 9.81 2. 18 -7.63 6.08 7. 67 Local Authority Deposit (uncovered) 9B Upper Spread (+ = favor London) 3-month Forward Pound 10 Lower Net Incentive (+ = favor London) Upper Euro-$ Deposits (covered) German Interbank Loan rate Second Differential Third Euro-$ Deposits (covered) Swiss Deposit rate Fourth Differential Mav 30 9. 75 May 29 + 1 . 59 „ - 7 . 09 -5.50 May 28 n i» + 1.09 Mav 21 11 4 . 75 „ 3.29 4.38 7. 61 -2.86 IV- 3 Chart Panel 11 Upper Date Canadian Finance Paper Mav 29 7.00 " 6.50 U.S. Treasury Bill rate Canadian Treasury Bill rate i 6.08 U.S. Prime Finance paper (not plotted) 6.88 +0.42 Middle Bill rate differential Forward Canadian dollar it +1.38 Lower Net incentive on bills H +1.80 Net incentive on Finance Paper Euro-$ Deposits | U.K. Treasury Bill rate II U.S. Treasury Bill rate Swiss 3-month Deposit rate Lower 6.08 4.75 Japanese Average rate March 31 7.16 Canadian Treasury Bill rate Mav 29 German Interbank Loan rate Upper - Lower 6.50 6.08 Mav 3 0 4.38 Netherlands Mav 23 7.33 Canada Mav 28 United States Middle 7.67 Mav 21 U.S. Treasury Bill rate 13 i\ * U : Upper 12 Rate Series 7.70 6. 22 Switzerland Mav 16 Germany Mav 23 6.39 United Kingdom Mav 2 9 9.46 Euro-dollar bonds Mav 3 0 7.01 U.S. Corp. Dollar Euro-bonds A p r i l 30 U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds „ „ 4.60 7.22 6.21 6. 8 9 0> <v IV-4 Rate Chart Panel Series 14 Upper Switzerland Mav 30 Germany Mav 23 287. 6 United States Mav 29 230.6 United Kingdom Mav 3 0 Lower Date „ Japan Canada United States 438.7 233.4 344.4_ 22 244.1 May 29 230. 6 May .
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