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Ik May 28, 1969 No. 404 H-13 Division of International Finance Europe and British Commonwealth Section library J UN 6 FBDi,v^^2HVESANK tJtpiidJ WtW- OF R I C H M O N D 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 Chart Chart Chart Chart Chart Chart Chart 5 - Call Money Rates 6 - London: Euro-$ Deposit Rates 7 - New York - London: Yields on U.S. Dollar Funds 8 - London: Covered Yields on U.S. Dollar Funds 9A and 9B - Interest Arbitrage: United States-United Kingdom 10 - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland 11 - Interest Arbitrage: United States-Canada 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 pai 1.6 SWISS FRANC V GERMAN MARK U.K. POUND Below par Above par DUTCH GUILDER U.S. FRENCH FRANC JAPANESE YEN , Below par M J S D 1966 M D 1967 * D e v a l u a t i o n of the U.K. pound f r o m $2.80 to $ 2 . 4 0 . S 1968 D S 1969 A - Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Wee kly averages Percent A b o v e par 1.2 BELGIAN FRANC ; U.S. ITALIAN LIRA CANADIAN DOLLAR 1.2 Below par J S D 1966 M J 1967 S D M J 1968 S D J 1969 S D / 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 GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT- DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC j s M D 1966 J 1967 S D M S 1968 D J 1969 S D h Chart 3 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND r e i ucni pci ann«m Friday figures GERMAN MARK U.S. DOLLAR : DISCOUNT- , ; PREMIUM+ I SWISS FRANC FRENCH FRANC j DISCOUNT- 1966 1967 1968 1969 1 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U S dollar equivalent per fine ounce Week's average of afternoon fixings M J S D 1966 45.0 M J 1967 * M a r k e t closed March 15-April 1, 1968 St S D M J 1968 CHART 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum CALL EURO DOLLAR DEPOSITS FEDERAL FUNDS rWfl\T: EURO DOLLAR OVER FEDERAL F U N D S _L_L FOREIGN CURRENCIES ' Friday's figures ; i | ! | 1 JI I ; ; T T7 | : ! F F! A N C E A/ I ! ! | 1 i r f GE : R M A N Y ! 1 1 1 1 y v l ! 1 ! 1 l l i l l 1 i 1966 | | 1 I I i 1967 ! i i i I 1968 ! i i 1 1 1969 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. i i i i <\ CHART 6 LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m 1-MONTH CALL! 10 3 MONTH 6-MONTH M J S D 1966 S M 1967 D M J 1968 S D M J 1969 S D v> Chart 7 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 9 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 1EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT V W / - v V i i 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT I U.S. CERTIFICATE OF DEPOSIT ADJUSTED!* | ! i | , M J S I j J ! V , D 1966 * Adjusted for Reserve R e q u i r e m e n t ! ADJUSTED* "J 1 4 r 1 1 ! EU RO DO LLAR iOVER U.S. CE RTIFICATE OF DEPOSIT , M J 1967 D M J 1968 S D | 11 M 1 1 J 1969 S I 1 ! 1 D CHART 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE P U R C H A S E A N D EURO DOLLAR RATES Friday figures Per cent per annum EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED T T DIFFERENTIAL FAVOR HIRE PURCHASE + | j FAVOR EURO-DOLLAR L O C A L AUTHORITY A N D EURO D O L L A R RATES Friday figures Per cent per annum EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED j I FAVOR LOCAL AUTHORITY DIFFERENTIAL 1966 FAVOR EURO DOLLAR 1967 1968 1969 w. CHART9A 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 I / \ I LONDON NEW M S D 1966 * P l o t t e d f o r c o m p a r i s o n purposes. M J 1967 S D M J 1968 S YORK D M S 1969 D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 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) 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 W e d n e s d a y rates Per c e n t per a n n u m IN TERMS OF DM GERMAN | INTERBANK LOAN RATE EURO DOLLAR COVERED „ DIFFERENTIAL 1 ! : i : I n / A „AL . I ! : 1 MARKET COVER rssl v I; : • IFAVOR FRANKFURT AJ/txyV BUNDESBANK COVER* | | • FAVOR EURO-DOLLAR ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per a n n u m IN TERMS/t)F SWISS FRANCS EURO-DOLLAR COVERED . SWISS DEPOSIT RATE I 1 DIFFERENTIAL FAVOR ZURICH j j FAVOR EURO DOLLAR M 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 D 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 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR ! I GROSS SPREAD IN FAVOR OF CANADA f X V V v V v x DISCOUNT FORWARD RATE FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS 2 PRIME FINANCE PAPER FAVOR U.S. M J S D 1966 M J 1967 S D M J 1968 S D M S 1969 D v<. C h a r t 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m EURO-DOLLAR - LONDON U.K. A—/\| 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 f o r 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 n LONG-TERM BOND YIELDS Per c e n t per a n n u m Weekly figures NETHERLANDS CANADA SWITZERLAND - GERMANY . — u - _____ -K>/ Z ' X \ v x ; - - A - u \ 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 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. 1967 1968 1969 I* CHART 14 INDUSTRIAL STOCK INDICES 420 360 320 SWITZERLAND 280 GERMANY 240 U.S. 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 stocks traded on the Tokyo e x c h a n g e . 1969 I H. 13 No. 404 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Date Rate + 1.23 - 0.01 Mav 23 German mark Lower U.K. pound ii - 0.49 Dutch guilder M - 0.55 French franc ii - 0.68 ,, Japanese yen „„ Belgian franc IB Italian lira + 0.42 - 0. 11 - 0.53 Canadian dollar 2 Upper German mark + 6.71 " + 1.89 - 6.98 U.K. pound „ Dutch guilder •i + 2.53 Canadian dollar " + Swiss franc Lower + 0.41 ,, 1. 18 French franc -17.99 3 Upper German mark U.S. dollar Lower Swiss franc „ French franc „ Gold price, U.S. dollar per ounce 4 5 4-13. 72 ii Upper Call Euro-$ deposits Lower Differential + 7.44 - 8.56 43.46 Mav 21 Federal Funds Middle + 6.25 9.50 8. 9 1 ii + 0.59 Japanese Unconditional Money Mav 16 6.94 German Call Money Mav 23 0.50 ,, 9.00 U.K. 2-day Local Authority Deposits French Day-to-day Money IV- 2 Chart Panel Series 6 Upper Euro-S Call Rate Date Mav 23 9.62 1! 9.81 Euro-S 1-month Rate Lower 9.75 Euro-$ 3-month Rate Euro-$ 6-month Rate 7 Upper Euro-S 3-month Deposits „ 9. 88 Mav 2 1 9.56 U.S. Certificate of Deposits Second Third 7.35 .. Differential Euro-S 3-month Deposits U.S. Certificate of Deposits (Adj.) 8 Fourth Differential Upper Euro-S 3-month Deposits „ +2.21 it +2.81 Hire Purchase Deposits (covered) „ Second Differential .. Third Euro-S 3-month Deposits n Local Authority Deposits (covered) „ Fourth May 16 it Differential U.S. Treasury Bill rate 9A May 23 „ U.K. Treasury Bill rate Local Authority Deposit (uncovered) 1 „ ,« Mav 16 96 Upper Spread (+ = favor London) 3-month Forward Pound 10 Lower Net Incentive (+ = favor London) Upper Euro-S Deposits (covered) i, Mav 2 1 German Interbank Loan rate Second Differential Third Euro-S Deposits (covered) Swiss Deposit rate Fourth Differential Rate Q IP 6.38 9.59 0.79 -8.80 9,'59 0. 60 -8.99 5.98 7.67 9.06 +1.69 -7.25 -5-56 2.QG 4.25 +1,29 Mav 2 1 7.61 4,75 I -2.86 1 IV- 3 Chart Panel Series 11 Upper Canadian Finance Paper Rate Date U.S. Treasury Bill rate May 23 H Canadian Treasury Bill rate 7.00 5.98 II 6.48 M + o . sn U.S. Prime Finance paper (not plotted) 6.88 Middle Bill rate differential Forward Canadian dollar II 4-1. 21 Lower Net incentive on bills II + 1.71 Net incentive on Finance Paper 12 Upper Lower H ,+1.33 Euro-S Deposits II 9. 81 U.K. Treasury Bill rate II 7 . 67 U.S. Treasury Bill rate " 5.98 Swiss 3-month Deposit rate " 4.75 Japanese Average rate March 3 1 7.36 Canadian Treasury Bill rate Mav 23 6.48 U.S. Treasury Bill rate German Interbank Loan rate 13 Upper Middle Lower 5.98 II 4 . 25 Netherlands May 16 7.31 Canada 7.54 United States May 21 ii 5. 9S Switzerland May 16 4. 60 Germany Mav 16 6.38 United Kingdom Mav 2 2 9.30 Euro-dollar bonds Mav 23 U.S. Corp. Dollar Euro-bonds April II U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds ii 7. m 30 7. 22 6.21 6.89 tp IV- 4 Chart Panel Series 14 Upper Date Rate Switzerland Mav 23 449.4 Germany May 16 279.4 United States May 2? United Kingdom Lower Japan Canada 231. 1 May 16 339.0 Mav 8 240. 6 Mav 23 232.4 United States
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