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March 12, 1969 No. 393
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.
Chart 1A
SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
1.6
SWISS FRANC
GERMAN MARK
Par
U.S.
U.K. POUND
Below par
Above par
DUTCH GUILDER
U.S.
FRENCH FRANC
JAPANESE YENH
Below par
M
J
S
D
1966
M
S
1967
* Devaluation of the U.K. pound from $2.80 to $2.40.
D
M
J
1968
S
D
M
J
1969
s
D
A
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
1.2
BELGIAN FRANC
ITALIAN LIRA
CANADIAN DOLLAR
1.2
Below par
M
J
S
D
1966
M
J
1967
S
M
J
1968
S
D
M
J
1969
S
D
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Per cent per annum
Weekly
PREMIUM +
GERMAN MARK
SWISS FRANC
U.K. POUND
DISCOUNT-
PREMIUM
DUTCH GUILDER
CANADIAN DOLLAR
FRENCH FRANC
DISCOUNT—
1966
1967
1968
1969
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
PREMIUM +
SWISS FRANC
FRENCH FRANC
DISCOUNT—
M
J
S
D
1966
M
J
1967
S
D
M
J
1968
S
D
M
J
1969
S
D
1
GOLD PRICE IN LONDON, 12.5 Kg BARS
U.S. dollar equivalent per fine ounce
Week's average of afternoon fixings
1
!
^
i
1
A
V x /
i i
1 1
1 1
J
S
, *!
h
/"/Wv
!
|
'
;
! !
;
:
1 •
1V
45.0
43.0
41.0
39.0
37.0
1 1
D
1966
1 1
M
1 1
J
1967
1 1
S
1 1
D
i i! ! i i
M
1968
M
I I
i i
J
S
D
! 1 I- i 1 1 i M
M
J
1969
35.0
CHART 5
CALL MONEY RATES
DOLLAR FUNDS
Per cent per annum
Weekly averages
CALL EURO DOLLAR DEPOSITS
FEDERAL FUNDS
£
A/v
\ p *
EURO-DOLLAR OVER FEDERAL FUNDS
I I M
I
1 I M
I I I I' 1 I 1 I 1 1
M ll I 1 I I M
M M
FOREIGN CURRENCIES *
Friday's figures
u i f
y
(PAN
-Y
t7
FFL!ANCE
A/ Ulrf
GE:RMANY y v
1 1
1 1
J
1 1
S
1 1
1 1
D
1966
M
1 1
J
1967
1 1
S
1 1
1 1
L I
I I
I I
j
1968
s
1 1
1 1
J
1969
Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money.
1 1
S
1 1
D
CHART 6
LONDON: EURO DOLLAR DEPOSIT RATES
Per cent per
10
9
8
1-MONTH
7
6
CALL
5
4
3
10
9
8
3-MONTH
7
6 MONTH
6
5
4
3
M
J
s
D
1966
M
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
i
1
n
T
EURO -DOLL,AR DEIPOSIT
t
\
if*
v
J
b h
u4
\f
J
VL'Ni
fr j
i. CERTIFICA TE OF DEPO!SIT
/V
1
1
i
1
i
LURO-DIOLLAFt OVERi U S. (3ERTIF ICATE OF DE•POSIT
A
wV > V
1
\/\/J
11
11
1 1
1 1 i Vl 1
1 1
1 1
V w
1 1
1 1
I 1
1 1
1 1
1 1
1 1
3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET
Wednesday figures
' Per cent per annum
9
EURO DOLLAR DEPOSIT
U S. CERTIFICATE OF DEPOSIT
ADJUSTEDl #
Vv\J
I I
M
.EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSITi I I l ADJUSTED I I I I I I I I
I II i I I
I I I I I l _1_
II
J
S
J
D
1966
* Adjusted for Reserve Requirement
1967
1968
1969
CHARTS
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
•j'
!
-
-
i
!
DIFF E R E N T IAL
1 I
1 1 1 1 1 1
1 1
I I
FAVOR HIRE PURCHASE
i
j
j
1 I I
i
1
y i
1
h
i
i l
11
11
1 1 1
M
i
l
l
1 1
FAVOR EEURO-DOLLAR
LOCAL AUTHORITY AND EURO-DOLLAR RATES
Friday figures
Per cent per annum
EURO DOLLAR DEPOSIT
LOCAL AUTHORITY DEPOSIT
COVERED
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
M
J
FAVOR EURO DOLLAR
S
D
1966
M
J
1967
S
D
M
J
1968
S
D
M
J
1969
S
D
CHART 9A
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday's Figures
Per cent per
3-MONTH TREASURY BILL RATES
U.K. LOCAL AUTHORITY DEPOSITS*
UNCOVERED
I
/ \
LONDON
NEW YORK
M
J
S
D
1966
' P l o t t e d for comparison purposes.
M
J
1967
S
D
M
J
1968
S
D
M
J
1969
S
D
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
Y \
I FORWARD RATE
T
T
IN FAVOR OF LONDON
IN FAVOR OF NEW YORK
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
M
J
s
D
1966
http://fraser.stlouisfed.org/
P
Federal Reserve Bank of St. Louis
s
M
1967
D
M
J
1968
S
D
M
J
1969
s
D
A
Chart 10
INTEREST A R B I T R A G E : U.S. - G E R M A N Y A N D U.S. - S W I T Z E R L A N D
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE
Per cent per annum
Wednesday rates
1
8
1
1
IN TEF?MS Of : DM
>
GEFIMAN
INT ERBAItIK LOJIN RA1 E
!
v z
L_/
X7
1
EUFtODOL•LAR
COVl[RED
-
1i
-
• i
1
FAVCIR FRANIKFURT
. DIFF EREN1 IAL
J
1 1
1 1 " i i
1 1
J k
y
n
l / V 1 1
1 1
i
•1 1
t
1 !
1 1
1 1
1 1
1 1
FAVOR EURO-DlDLLAR
1 1 1I 1 11 1
ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE
Per cent per annum
Wednesday rates
IN TERMS OF SW SS FRANCS
EURODOLLAR
.COVERED
SWISS DEPOSIT RATE
/
i
1
1DIFF EREN1riAL
V/x/V
1 1
M
l l
J
S
Y AyW
A
k
AV
i i
1
FAVOR EURO-DOLLAR
1 1
l l
D
M
1966
1 I
1 1
J
\
S
1967
11
I i
D
M
1 l
J
i i
i i
i i
D
M
,
S
1968
:
AVOR ZlURICH
i i !
J
1 1
S
1969
D
8
CHART 11
INTEREST ARBITAGE: UNITED STATES-CANADA
Friday figures
Per cent per annum
i CAN. FIN. CO. PAPER
j
A
UNITED STATES TREASURY BILLS
CANADIAN TREASURY BILLS
BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR
i
t
i
i
i
i
A f t
GROSS SPREAD IN FAVOR OF CANADA
f
^Vy)
PREMIUM
DISCOUNT
FORWARD RATE
3-MONTH COVERED RATE DIFFERENTIALS
NET INCENTIVES
FAVOR CANADA
{
TREASURY BILLS
FAVOR U.S.
FAVOR CANADA
PRIME FINANCE PAPER
FAVOR U.S.
M
J
S
D
1966
M
S
1967
D
M
J
1968
S
D
M
S
1969
D
\v*
Chart 12
SELECTED SHORT-TERM INTEREST RATES*
Per cent per annum
EURO DOLLAR - LONDON
U.K.
US.
SWITZERLAND
9
JAPAN
CANADA,
U.S.
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 rate for U.S. dollar deposits in London.
1969
\1
Chart 13
LONG-TERM BOND YIELDS
Weekly figures
Per cent per annum
NETHERLANDS
CANADA
U.S.
SWITZERLAND
T
T
10
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
1965
1966
*
New series for Switzerland starts 3-3-67.
* * New series for Switzerland starts 8-2-68.
1967
1968
1969
58=100
INDUSTRIAL STOCK INDICES
420
360
320
SWITZERLAND
280
GERMANY
240
US.
200
160
360
320
U.K.
280
240
200
CANADA
160
JAPAN
US.
b
1966
1967
1968
x of 225 industrial and other stocks traded on the Tokyo exchange.
1969
H. 13
No. 393
IV. LATEST FIGURES PLOTTED ON THE CHARTS
Chart
Panel
Series
Date
1A
Upper
Swiss franc
March 7
„
German mark
Lower
U.K. pound
Dutch guilder
„
"
„
French franc
Japanese yen
Belgian franc
IB
M
Upper
Lower
Upper
Lower
5
+ 0.59
- 0.49
- 0. 50
"
+ 1.15
U.K. pound
Dutch guilder
Canadian dollar
If
- 2.84
+ 1.59
German mark
U.S. dollar
Swiss franc
French franc
Upper
Call Euro-$ deposits
Middle
Federal Funds
Differential
Lower
Japanese Unconditional Money
- 0.41
Swiss franc
"
„
German Call Money
U.K. 2-day Local Authority Deposits
French Day-to-day Money
4- 0 . 5 1
+ 4.51
+ 0.43
-12.67
M
+ 8.05
..
' + 3.31
„
Gold price, U.S. dollar per ounce
4
- 0.32
- 0.18
German mark
It
French franc
3
+ 1.70
- 0.50
„
„
Italian lira
Canadian dollar
2
Rate
4- 3.92
-13.20
43.06
March 5
"
tc
Feb. 28
March 7 •
„
„
7. 90
6.75
+ 1.15
7.66
3.50
8.56
8.12
IV - 2
Chart
Panel
Series
6
Upper
Euro-$ Call Rate
Rate
Date
March 7
Euro-$ 1-month Rate
Lower
Euro-$ 3-month Rate
Euro-$ 6-month Rate
7
Upper
Euro-$ 3-month Deposits
a
„
March 5
U.S. Certificate of Deposits
8
Second
Differential
Third
Euro-$ 3-month Deposits
U.S. Certificate of Deposits (Adj.)
Fourth
Differential
Upper
Euro-$ 3-month Deposits
Hire Purchase Deposits (covered)
„
Feb. 7
ii
8.44
8.25
6.58
+ 1 . 67
8.25
5.64
+2.61
7.97
5.55
Differential
Euro-$ 3-month Deposits
ii
II
-2.42
Third
Local Authority Deposits (covered)
ii
5.42
ii
-2.55
Differential
U.S. Treasury Bill rate
9A
U.K. Treasury Bill rate
Local Authority Deposit (uncovered)
10
ir
it
«f
8.50
Second
Fourth
9B
8.00
8.50
March 7
7. 97
6.05
„
7. 58
if
9.00
Upper
Spread (+ = favor London)
H
H
+1.53
-3.88
Lower
3-month Forward Pound
Net Incentive (+ =• favor London)
„
-2.35
Upper
Euro-$ Deposits (covered)
German Interbank Loan rate
March 5
4.01
4.12
Second
Differential
II
Third
Euro-$ Deposits (covered)
H
7.03-
Swiss Deposit rate
H
4.38
1|
-2.65
Fourth
Differential
+0.11
IV-3
Rate
Chart
Panel
Series
11
Upper
Canadian Finance Paper
F ph. 28
6. 62
U.S. Treasury B i l l rate
March 7
6.0-5
Date
„
Canadian Treasury Bill rate
U.S. Prime Finance paper
(not plotted)
Middle
Bill rate differential
Forward Canadian dollar
ii
if
Lower
Net incentive on bills
it
Net incentive on Finance Paper
12
Upper
Lower
Middle
Lower
+0.83
• + 0 . 86
II
Euro-$ Deposits
„
8.50
it
7.58
U.S. Treasury Bill rate
ir
6.0S
Swiss 3-month Deposit rate
IT
4.38
Japanese Average rate
Dec. 31
7.38
Canadian Treasury Bill rate
March 7
«r
6.45.
6.05
German Interbank Loan rate
Upper
6.38
*0.40
+0.43
U.K. Treasury Bill rate
U.S. Treasury Bill rate
13
6.45
,,
4.12
Netherlands
Feb. 21
6.93
Canada
7.41
United States
March 5
it
Switzerland
Feb. 28
Germany
II
•
6.01
March 6
6.19
....
8.60__
/
Euro-dollar bonds
March 7
Jan. 31
7.42
7.24
U.S. Corp. DM Euro-bonds
U.S. Corp. Aaa bonds
6.11
"
Feb.
28
|
4.42
United Kingdom
U.S. Corp. Dollar Euro-bonds
_j
6. 66
.
('
IV-4
Chart
Panel
Series
14
Upper
Switzerland
Date March 7
Feb. 28
March 7
Germany
United States
United Kingdom
Lower
Canada
United States
^
&nn_ 7
269.6
218. 7
265.8
"
Japan
Rate
Feb.
28
Feb.
27
221.1
March 7
218.7
309. 1
@FedFRASER