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fk6%du\ IOctober 1, 1969 No. 422 f\~fj H-13 Division of Intemotiond Finance Europe and British Commonweolth Section' ^ JA-.V-j 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 IB - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2k & 2B - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3A & 3B - 3-Month Forward Exchange Rates, Major Currencies against U.K. Pound Chart 4 - Gold Price in London PART II. SHORT-TERM IN fEREST RATES Chart 5 - Call Money Rates Chart 6A & 6B - 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 - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Chart 10 Chart 11 - Interest Arbitrage: United States-Canada * - Selected Short-term Interest Rates Chart 12 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, \Miich accompanied issue dated January 1,1969. 3 Chart 1A SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.6 SWISS FRANC Par . M . -GERMAN MARK! U.K. POUND. Below par j Above par DUTCH GUILDER) -ifarl with dollar JAPANESE YEN FRENCH FRANC IBelow par 1967 1968 * Devaluation of the UJ(. pound from $2.80 to $2.40. "^•Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * D M rate not supported by the Bundesbank 1969 1970 M SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par AN DOLLAR BELGIA H FRA t •f Below par 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOI Weekly averages Per cent per 16 PREMIUM* 12 8 GERMAN MARK 4 M X + SWISS FRANC 0 4 U.K. POUND 8 12 DISCOUNT— M J S D 1967 M J 1968 S D M 16 J 1969 S D M J 1970 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum PREMIUM* DUTCH GUILDER rrr CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT— M J S D M 1967 J S D 1968 * Devaluation of the French franc from 4.94 to 5.55 for $1,00. M 32 J 1969 S D M J 1970 S D n 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 J S D 1967 M J 1968 S D M S 1969 D M J 1970 S D Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M J S D M 1967 J S D 1968 * Devaluation 1 of the French franc from 4.94 to 5.55 for $1.00 20 M J 1969 S D M J 1970 S D 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 / 1N +T\ 43.0 Ki J / 35.3 i |i/ V 35.2 35.1 1 1 M 1 ! 1 1 J S 1 ! 1 1 11 1 D 1967 * Market closed March 15 April 1,1968 M i i J 1968 i 41.0 39.0 37.0 i i i i I l S 1969 i i i i 1 ! j 1970 1 1 s Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 14 12 / 7 d r. A \ C A L L EURlD - D O L I .AR D •POSIT l k J k : wY v V 1 VvnV - v ^ ~ i 1/ ^ i i i 10 r , D F R A l F U N D l.Q 1 1 I T W i \ A A u RO-DOIL L A R C I V E R 1 E O E R , I L F U M ,f ,' 1 1 1 1 1 1 1 1 1 1 I T 1 1 juAl i V O v k i - ,oV 1 \ > .r\ 1 1 1 FOREIGN C U R R E N C I E S * Friday's figures - Per cent per annum 12 FRAN U.K CE \ j r 1 1, M i 1 1 J S D vJ 1 w 1"11 i, M 1967 v<V JA 'AN 1 1 J 1968 S D 1 1 M i i \ 1 1 . J 1969 S i i 1 1 D M 1 1 , 1 1, S D 1970 ••Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. 1 1, J w . CHART 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per annum 1-MONTH CALL M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D CHART 68 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum V\ (5-MONTH V[/ w v 3-MONTH \j V 1 1 M 11 1 1 1 1 S D J 1 1 1967 M 1 1 J 1 1 S 1968 1 1 D 1 1 M 1 1 I I J 1 1 S 1969 D 1 1 M 1 1 J 1 1 S 1970 1 1 D Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H D O L L A R DEPOSIT R A T E S - S E C O N D A R Y M A R K E T Wednesday figures SEPT. 24 10.62 Per cent per annum J »V EURCl-DOLLAR DEIPOSIT K \ L; Vi£ j V w J i r f r f j r CER"FIFICA FE OF DEPO!SIT 1 1 >u 1 1 Vi ( Nv>V 1 1 I I I I I V 1 1 I 1 1 j: 1 i•URO-C>OLLAF* OVEFt U S. CERTIF ICATE OF Dl A / 1 1 I I y v v\/\/ 1 1 I I 1 1 M M I I I I I I I 3 - M O N T H D O L L A R DEPOSIT R A T E S - P R I M A R Y M A R K E T Wednesday figures sept 24 10.62 Per cent per annum T El RO-IDCILLAR DEP05S I T . \ V \ b 1 1 J - ff / Y1 ^ \f / j 1 5. CER TIFICATE OF DEPO!SIT ADJUSTED]* | | | SEPT. 24 4.24" EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED M J S 1966 F Adjusted for Reserve Requirement CHART 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS H I R E P U R C H A S E A N D EURO D O L L A R RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT /n HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL + FAVOR EUR 3-DOLLAR L O C A L A U T H O R I T Y A N D EURO D O L L A R RATES SEPT S 'J 30 p e r Friday figures cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL 1966 FAVOR EUR< -DOLLAR 1967 1968 1969 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday's Figures 10 3 - M O N T H TREASURY B I L L RATES U.K. LOCAL A UNCOVERED NEW YORK i i M i i i J i i S i i D 1966 ""Plotted for comparison purposes. i i M i I J 1967 I i S i I D i i M l I J 1968 l I S i I D i i M' i i J 1969 I I S i i I2 D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE D I F F E R E N T I A L A N D 3 - M O N T H F O R W A R D S T E R L I N G SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT VX FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK . . R A T E D I F F E R E N T I A L W I T H F O R W A R D E X C H A N G E COVER ( N E T I N C E N T I V E ) 1966 1967 1968 1969 \1 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 INTERBANK LOAN RATE EURODOLLA COVERED DIFFERENTIAL MARKET COVER FAVOR FRANKFURT BUNDESBANK COVER I I I I I I I I 1 I I FAVOR EURO-DOLLAR I I I ! I ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates SEPT. 24 9.22 £ 1 l riAL 'H l I v AV i i I I l I I I 1966 * / I DIFF z V i I 1967 For details see issue No. 398 dated April 16,1969 A \|\ 1 FAVOR ZURICH IV1Ayw h 1 l annum VI EURODOLLAR COVERED SWISS DEPOSIT RATE Per cent RMS/DF SWISS FRANCS INT i i i i 1 1 11 1968 i i i i FAV&R EURO-D(DLLAR 1 11 1 1 1 1 1 1 1969 CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per 9 CAN. FIN. CO. PAPER 7 5 UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS 3 2 B I L L RATE D I F F E R E N T I A L A N D F O R W A R D C A N A D I A N D O L L A R T T I I I VyX. GROSS SPREAD IN FAVOR OF CANADA f 0< .DISCOUNT FORWARD RATE 2 2 " VAVOR CANADA C O V E R E D RATE D I F F E R E N T I A L S TREASURY BILLS + 0 FAVOR U S. 2 2 f AMOR CANADA PRIME FINANCE PAPER FAVOR U.S.. M J S D 1966 M J 1967 S D M J 1968 S D M J 1969 S D Y A 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 irTLondon! 1969 / p Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS - Z" V "'CANADA us ^ - SWITZERLAND 11 1 1 1 II II 11 1I I I 1 j 1 1 1 1i i i i i i i i i i i i - 1 1 1 M II 1 ! II i 1 1 1 1 1 II 1 1 II GERMANY [ / " I — X _ _ _ EURO DOLLAR BONDS 2 ^ Monthly figures U.S. CORP. D()LLAR EURO-BONDS U.S. CORP. DM EURO-BONDS - y U.S. CORP. Aaia BONDS 1 1 1 1 1 II 1965 1 1 II II 1 II II 1966 * New series for Switzerland starts 3-3-67. * * New series for Switzerland starts 8-2-68. 1 ! II I 1 II 1 I 1 II 1967 II 11 II II 1 II 1968 1 1 1 1 1 1 II II 1969 1 1 1 1 CHART 14 1958=100 Ratio scale H. 13 No. 422 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Sept. Rate 26 +1.76 German mark .. U.K. pound Lower Dutch guilder French franc -0.16 Japanese yen IB 2 Upper Lower 3 " Belgian franc „ Italian lira ii Canadian dollar " German mark Swiss franc i. U.K. pound Dutch guilder Canadian dollar II » „ " 40.59 -0.57 - 0 . 73 +0.24 +5. 75 +1.05 -6.07 40.12 40.40 French franc " Upper German mark II +10.22 II Lower U.S. dollar Swiss franc " + 4 . 3ft +5.72 French franc " +1.31 Gold price, U.S. dollar per ounce " 40.81 4 5 - 0 . 74 40.22 Upper Call Euro-) deposits Federal Funds Middle Lower Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money *DM r a t e not supported by t h e Bundesbank. S e p t . 24 I, ii S e p t . 19 S e p t . 26 ii " -4.80 9.00 Q.fil -0.61 8.25 1.25 9.62 9.62 IV - 2 Chart Panel Series 6 Upper Euro-$ Call Rate Date S e p t . 26 Euro-) 1-month Rate Lower 7 Upper 8 10.94 Euro-$ 3-month Rate i. Euro-) 6-month Rate " 10.62 11.25 Euro-) 3-month Deposits Third it •i Fourth Differential " Upper Second Euro-S 3-month Deposits Hire Purchase Deposits (covered) Differential Third Euro-$ 3-month Deposits 10 " Sept. 5 » i. " 10.62 8.69 +1.93 10.62 6.38 +4.24 11.50 1.46 -10.04 11.50 Local Authority Deposits (covered) " 0.96 Differential " -10.54 U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9A 9B S e p t . 24 » Differential Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) Fourth 10.50 »' U.S. Certificate of Deposits Second Rate Sept. 26 » " 7.03 7. 64 9.94 Upper Spread (+ = favor London) ii ii -A. 92 Lower 3-month Forward Pound Net Incentive (+ = favor London) " -4.31 Upper Second Third Fourth Euro-$ Deposits (covered) German Interbank Loan rate Differential Euro-) Deposits (covered) Sept. 24 ii ii +0.61 4. 72 6. 75 +2.03 9.22 Swiss Deposit rate " 5.00 Differential " -4.22 IV - 3 Rate Chart Panel Series Date 11 Upper Canadian Finance Paper S e p t . 26 " 7-03 Canadian Treasury Bill rate || 7.53 11 U.S. Prime Finance paper (not plotted) 12 Middle Bill rate differential Forward Canadian dollar Lower Net incentive on bills Net incentive on Finance Paper Upper 10.62 7.66 7-03 n II » U.S. Treasury Bill rate 5.00 J u l v 31 S e p t . 26 H German Interbank Loan rate 13 4-1.08 " Swiss 3-month Deposit rate U.S. Treasury Bill rate 40.50 40.39 40.89 „ Euro-) Deposits Japanese Average rate Canadian Treasury Bill rate 7.69 H ii ii U.K. Treasury Bill rate Lower 8.38 U.S. Treasury Bill rate 7. 35 7.53 7-03 6. 75 " Upper Netherlands Sept. 12 7-90 S e p t . 24 it 7.98 Middle Canada United States Switzerland Germany United Kingdom Euro-dollar bonds U.S. Corp. Dollar Euro-bonds Lower U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 6.35 Sent. ii 19 5-36 Sept. 18 9.17 7.19 7.m S e p t . 26 AUK. 31 7.48 N 6.23 " 6.97 __ I IV - 4 Chart Panel Series Date Rate 14 Upper Switzerland Germany United States United Kingdom Japan Canada United States Sept. 26 Sept. 12 Sepf r 96 379.3 2A7,n Lower Sent. 18 Sept. 26 ill 9 217.1 349.6 226.6 212.9
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