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October 15, 1969 No. 424 H-13 Division of Intemgiieml Finonce 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 2A & 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 INTEREST RATES Charts - 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 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 Chart 1A SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par AW 1.6 SWISS FRANC V Par dollar GERMAN MARK U.K. P O U N D Below par Above par DUTCH GUILDER Par with US. dollar , / n u v r JAPANESETYEN ^ FRENCH FRANC Below par M J S D 1967 M J S D 1968 * Devaluation of the U.K^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 M J 1969 S D M J 1970 S 0 H Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN rLIRA — BELGIAN FRANC 1.2 i Below par M J S D 1967 M J 1968 S D M ' J 1969 S D M J S 1970 D Dhart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAI R Per cent per ar Weekly averages 16 12 8 N MAR 4 + SWISS 0 4 U.K. POUND 8 12 DISCOUNT— I I 1 I 1 I 1 I I I 1 I I I I I 1 I 1 I I 1970 I 1 I 16 u C h a r t 2B 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 24 28 DISCOUNT— S M D 1967 M S D 1968 * D e v a l u a t i o n of the French franc f r o m 4 . 9 4 t o 5.55 for $1.00. 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 PREMIUM* 20 GERMAN MARK U.S. DOLLAR J S D 1967 M J 1968 S D M J 1969 s D M J 1970 S D C h a r t 3B 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 | M S D 1967 M S DISCOUNT— D 1968 * D e v a l u a t i o n of the French franc f r o m 4 . 9 4 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 a f t e r n o o n f i x i n g s U.S. d o l l a r e q u i v a l e n t per fine ounce 47.0 1 ! 1 1 i ! ! 1 I 1 1 , ! 35.3 45.0 I ! • i : ! 35.2 \ Ki 43.0 41.0 39.0 W i 35.1 1 ' 1 35.0 Nj V r] / / ft 1 1 i M 37.0 : 1 1 i J ! 1 S 1 1 ' 1 1 1 D 1967 * Market c los ed M a r c h 15-April 1, 1968 11 i i i i. i i i i 1 N 1968 1969 1970 ! 1 I 35.0 Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly a v e r a g e s i / /i J j A i 14 12 10 CAL L EUR(D-DOLI-AR 01-POSIT %Y k 4 W l J ^kr1 i i v V v 1 1 Pv X X 1 / v i i 7 s nFRAI FUNDIS V 1 jvAI V 1 1 i U 1 ITVli V WN RO-DOILLARC)VER F EDER/ IL FIMm 1 1 1 i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 FOREIGN CURRENCIES * Per cent per a n n u m Friday's figures 12 FRAN CE 10 A u.t \ n , JA PAN r I I \iy nr1 1 1 1 1 M J S D 1 1 M 1967 1 1 J V i 1 S 1968 D M J 1 . 1 S 1969 1 D 1 M J S 1970 * Germany, Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to-day Money. D LONDON: EURO DOLLAR DEPOSIT RATES Per cent per per a n n u m Friday figures JflIf1 1I 1 l\ ft u yi 1 1 )j A 1 1 M 1 1 i i J i i S A 1-MOImth/7 /v L r A \ f L V CALL i i D 1967 M \ i 1 1 J 1968 1 1 \ 1 1 1 i i i i i i i i i i S 1970 i i yV CHART6B 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 J ' 1969 S D M J- 1970 S D Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT 6 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT. M J S D 1967 M S 1968 s D 1969 D M J 1970 S D V) Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y MARKET Per cent per a n n u m Wednesday f i g u r e s 14 13 12 11 1 10 Wlj ElJRO-DC)LLAR DEPOS 9 8 \ ti V: \ A y - 7 / A I 6 US. CERTIIFICATE: OF DEPOSIT \DJUSTE D * L JX 5 w 4 I I 1 I 1 I 1 I 11 1 1 i i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 i 1 1 1 1 i 6 EURO DOHA R OVER U.S. CERTIFICAl E OF DEPOS 1 ADJUST | 1 i \ ^ , M , > v/ J^ 1 J S 1 1 V i D 1967 * Adjusted for Reserve R e q u i r e m e n t M J^ 1 1 J 1968 /V S 1 D 1 1 M 3 7 1 "" 1 f \A V1 5 4 / ./ 1 3 2 I 1 J 1969 1 S 1 1 D 1 1 M 1 1 1 J 1970 1 S 1 1 D K . . ' ' CHART8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND Friday figures EURO-DOLLAR RATES Per cent per a n n u m EURO DOLLAR DEPOSIT HIRE PURCHASE FAVOR HIRE PURCHASE DIFFERENTIAL M FAVOR EURO DOLLAR S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D 4 CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 LOCAL AUTHORITY DEPOSIT 2 -COVERED + 0 FAVOR LOCAL AUTHORITY + 0 2 /In 4 6 8 DIFFERENTIAL M J FAVOR EURO-DOLLAR S D M 1967 J 1968 S D M J 1969 S 1970 n INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday's Figures 10 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED NEW 1966 * P l o t t e d for c o m p a r i s o n purposes. YORK Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per c e n t per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT Y \ 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 Wednesday rates Per cent per a n n u m IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT MARKET COVER BUNDESBANK COVER FAVOR EURO-DOLLAR ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Per cent per a n n u m Wednesday rates i IN T ERMSflOF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOS T RATE FAVOR ZURICH DIFFERENTIAL V FAVOR EURO-DOLLAR M J S D 1966 M J S 1967 * For details see issue No. 398 dated April 16, 1969 D M J 1968 S D M J S 1969 D V 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per a n n u m 9 CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS B I L L RATE DIFFERENT!/ \L AND FORWARD C:ANADI AN DOLLAR 'CK ' i | 1 ! ! 1 GROSS SPREAD IN1 FAVOR OF CANAC)A r^JJ 1/ I ! • ' 1 i ! COVERED RATE DIFFERIENTIALS 1 ! i i I | i DISCIDUNT i i | v \ r i 1 FORWARD RA1FE • PREMIUM yWl \ V r - ! l 1 I r VAVOR CANADA TRE/\SURY BILLS /: ' V f ! S/ 1 1 1 ! | 1 | ! M/V\ i S 1966 M S : 1 FAVOR U.S. i 1 ImoRw 1 NADA W I , . 1 , , ! : , D 1 iJi1 r 1 | A/vJ | 1 ! PRIM E FINANCE 1PAPER : XJ J r W \ fj ! 1 M / f k J 1967 ,, S D , , ! M i FAVOFI U.S. ! t i l l ! J 1968 S D M J 1969 1 1 , 1 SELECTED SHORT TER^ INTEREST RATES* Per cent per a n n u m OCT 10 10 68 EURO-DOLLAR • LONDON l7 SWITZERLAND CANADA GERMANY 1965 1966 * 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 C h a r t 13 LONG-TERM BOND YIELDS Weekly f i g u r e s Per c e n t per 8 NETHERLANDS j 6 CANADA U.S. 4 SWITZERLAND 10 GERMANY 8 U.K. 6 EURO-DOLLAR BONDS Monthly figures 8 U.S. CORP. DOLLAR EURO-BONDS I U.S. CORP. DM EURO-BONDS 6 U.S. CORP. Aaa BONDS 1 i 1965 1966 New series for Switzerland 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 i H ' M I N I 1968 4 1 1969 93 INDUSTRIAL STOCK INDICES 420 360 320 SWITZERLAND 280 GERMANY 240 U.S. 200 160 360 T 320 U.K. 280 240 200 CANADA 160 380 320 280 JAPAN 240 U.S. 200 160 1966 1967 1968 * Japan index of 225 industrial and o t h e r stocks traded on the Tokyo exchange. 1969 yt H. 13 No. 424 % IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Oct. 10 ii +1.77 + 6 . 64 ii ii -0.57 +0.70 II -0.60 German mark A •> Lower U.K. pound Dutch guilder French franc „ „ Japanese yen i Belgian franc IB * i . 2 ,j 1# Upper Lower +0.10 German mark M +3.23 Swiss franc U.K. pound II +2.40 II -2.49 +2.18 - Dutch guilder Canadian dollar „ French franc II +0.63 +6.15 -3.11 Upper German mark H U.S. dollar Swiss franc French franc If +2.14 Lower II +4.08 II - 0 . 29 Gold price, U.S. dollar per ounce 4 5 -0.92 -0.72 „ '/ 3 +0.38 it Italian lira Canadian dollar i Rate 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 „ Oct. 40.75 8 II " 9.60 9.43 +0.17 Oct. 3 Oct. 10 Oct. 3 8.25 5.62 9.06 II 9.50 £ IV - 2 Chart Panel Series 6 Upper Euro-$ Call Rate Date Oct. Rate 10 Euro-$ 1-month Rate Lower .. Euro-$ 3-month Rate Euro-$ 6-month Rate 7 8 Upper Euro-S 3-month Deposits 10.68 ir Oct. 10. 62 8 M Second Differential " Third Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) it Fourth Differential „ +3.93 Upper Euro-$ 3-month Deposits S e p t . 26 10.81 Second Third 8.70 +1.61 10.31 6.38 " Fourth 9A Euro-S 3-month Deposits „ U.S. Treasury Bill rate M U.K. Treasury Bill rate « Upper Spread (+ = favor London) Lower 3-month Forward Pound Net Incentive (+ = favor London) 9.75 Oct. » 10 +0.57 -2.47 Oct. ii 8 „ Second Differential H Third Euro-$ Deposits (covered) ii ii Differential 6.98 7.55 3 Euro-$ Deposits (covered) German Interbank Loan rate Fourth -6.02 Oct. Upper Swiss Deposit rate 10.81 4.79 " " Differential Local Authority Deposit (uncovered) 5.29 -5.52 it Differential Local Authority Deposits (covered) 10 10.31 U.S. Certificate of Deposits Hire Purchase Deposits (covered) 9B 9.38 10.38 " -1.90 7.27 7.44 +0.17 8.08 5.00 -3.08 IV- 3 Chart Panel 11 Upper Series Canadian Finance Paper U.S. Treasury Bill rate 12 Date O c t . 10 it Canadian Treasury Bill rate " U.S. Prime Finance paper (not plotted) „ Middle Bill rate differential " Lower Forward Canadian dollar Net incentive on bills Net incentive on Finance Paper Upper " Upper U.S. Treasury Bill rate ii Middle Lower Netherlands Canada United States Switzerland Germany 7.81 +0.47 +0.61 10.68 1. , " German Interbank Loan rate I +1.30 Euro-$ Deposits Canadian Treasury Bill rate U.S. Treasury Bill rate _4 it U.K. Treasury Bill rate Japanese Average rate 8.50 6.98 7.45 + 1.08 Swiss 3-month Deposit rate Lower 13 Rate 7.55 6.98 5.00 " Aug. 31 Oct. 10 II 6.98 If 7.44 7.36 7.45 Oct. 3 8.27 Oct. 8 7.86 6.22 Oct. 3 5.40 " 7.13 8.97 United Kingdom Euro-dollar bonds Oct. 10 ii 7.24 U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Aug. 31 7.48 6. 21 Sept. 30 7.14 ' 71 IV-4 Chart Panel Series Date 14 Upper Switzerland O c t . 10 » Germany United States United Kingdom Lower Japan Canada United States Rate " 208.0 " Oct. 391.9 300.2 208.4 3 353.2 Oct. 2 219.4 Oct. 10 208.4
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