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YW.zCj October 22, 1969 No. 425 H-13 Division of International Finance Europe and British Commonwealth Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM v 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. x z SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages o c r 17 7 26 Per cent Above par 1.6 SWISS FRANC ; U.S. GERMAN MARK | U.K. POUND Below par : Above par DUTCH GUILDER U.S. FRENCH FRANC Below par M J S D M 1967 J S D 1968 * Devaluation of t h e U.K. pound f r o m $2.80 to $2.40. * * D e v a l u a t i o n of the French f r a n c f r o m 4.94 to 5.55 for $1.00. * * * DM rate not supported by the Bundesbank M J 1969 S D M J 1970 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN [LIRA — Par U.S. BELGIAN FRANC 1.2 Below par M J S D M 1967 J 1968 S D M J 1969 S D M J 1970 S D 5 Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND | S 1967 M S 1968 DISCOUNT— D M S 1969 D M S 1970 D C h a r t 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m ! DUTCH GUILDER CANADIAN DOLLAR PV- FRENCH FRANC HI I I M -L_L I J S D M 1967 J 1 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 to 5.55 for $1.00. M J S 1969 L ±._L I D M J I S 1970 D 4 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 PREMIUM 20 GERMAN MARK U.S. DOLLAR DISCOUNT — M J S D 1967 M S 1968 D M J 1969 S D M S 1970 D C h a r t 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AlGAINST U.K. POUND Friday figures Per c e n t per a n n u m PREMIUM- SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1967 M J 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 to 5.55 for $1.00 20 M S 1969 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 45.0 iN i / 1i n 35.3 35.2 w 35.1 J / / 43.0 n 41.0 39.0 37.0 35.0 11 M J S D M 1967 * Market closed M a r c h 15 April 1, 1968 J S 1968 D M J S 1969 D M J 1970 S D Chart 5 CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly a v e r a g e s 14 12 / \ A 10 k CALL EUR(D-DOLILAR Dl•posn k vyJV Y Jl v Vvn 1 1 i i I I 11 1 FEDFRAI FIINT uA«/V \ A A f 7 U hv k/ > IT/ - EUIRO-DOILLARC>VER FEDER/IL FUhIDS I I 11 1 11 1 1I 1 1I I 11 1 1I I i i i t i i i i FOREIGN CURRENCIES' Friday's figures Per cent per a n n u m 12 10 FRANC E A UJ X n , JAPAN S "Wl 1 XU iv i 1 1 M i i J i S 1967 11 D M i i i J 1968 n r 7 V i S .1 D I M J 1 1 S 1969 1 1 D 1 1 M 1 1 1 S 1970 * Germany, Call M o n e y ; U.K., 2-day Local Athority Deposits; Japan, U n c o n d i t i o n a l Money; France, Day-to-day Money. 1 I J ) 1 D 1 V CHART 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per per a n n u m 1-MONTH CALL M J s D 1967 M 2 J 1968 S D M J 1969 S D M J 1970 S D LONDON: EURO DOLLAR DEPOSIT RATES Per cent per ar Friday f i g u r e s 13 12 11 10 9 8 7 6 3-MONTH 5 4 3 2 1970 Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per 14 13 12 11 EURO-DOLLAR DEPOSIT 10 9 8 7 6 U.S. CERTIFICATE OF DEPOSIT 5 4 3 6 5 4 3 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT, 2 1 0 1 M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D Chart 7B NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday figures 14 | 13 12 11 10 ELJRO-DC)LLAR DEPOSHT / | / ifr 1W 1 1 8 /J A ti 11\ w J- V \ 9 7 6 U.S. CERTII-ICATE: OF DEPOSI T / \DJUSTE D * 5 4 1 1 1 I 1 1 I I I I I I 1 I 1 1 1 I 1 1 1 I 1 1 1 1 1 1 I | 1 ! EURO DOLLA R OVE:R u.s. 3 7 6 DEPOS CERT IFICA1 E OF 1 ADJUST 5 1/ \ A i\ V •"'1 / \ J V<M/X _J 1 1 I 1 M J > \V iJ > S 1967 * Adjusted for Reserve R e q u i r e m e n t J 1 1 M /V J 1968 • S 1 1 I 1 J 4 3 2 1 + 0 1 I 11 j s 1969 11 11 11 I I 1970 I I CHART 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 HIRE PURCHASE 2 + 0 FAVOR HIRE PURCHASE -f 0 2 4 6 8 DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1967 J 1968 S D M J 1969 S D M J 1970 S D 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 + 0 + FAVOR LOCAL AUTHORITY 0 2 m 4 6 8 DIFFERENTIAL M J .0 FAVOR EURO-DOLLAR S D 1967 J 1968 S D M J 1969 S D M J 1970 S D i C h a r t 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m 12 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED NEW YORK 1 M l l I i J l S l I D i M 1967 * P l o t t e d f o r c o m p a r i s o n purposes I I I 1 I J I I S 1968 i i D i M I i I 1 I J I l S 1969 l D l l M l l I J I I S 1970 D 1 2 | 4 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 2 SPREAD IN FAVOR OF LONDON DISCOUNT + 0 ! 2 V \ 4 FORWARD RATE 6 8 10 12 2 IN FAVOR OF LONDON + . 0 2 4 IN FAVOR OF NEW YORK 6 8 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1967 S 1968 D M J 1969 S D M J 1970 S D 11 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday r a t e s Per c e n t per a n n u m GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT MARKET COVER BUNDESBANK COVER* FAVOR EURO-DOLLAR ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per a n n u m RMS/UF SS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL IN M FAVOR EURO DOLLAR III I 'If I I M J S D 1966 M J 1967 * For details see issue No. 398 dated April 16, 1969 J 1968 S M J 1969 S 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 I CAN. FIN. CO. PAPER i ^ i - UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS ; i I I I : I I ! GROSS SPREAD IN FAVOR OF CANADA f A f t 2 T BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR rVv FORWARD RATE DISCOUNT COVERED RATE DIFFERENTIALS f'AVOR CANADA TREASURY BILLS FAVOR U.S. 2 V OR CANADA PRIME FINANCE PAPER I M S D 1966 J 1967 S D M J 1968 S D M FAVOR U.S. J 1969 S D SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m EURO DOLLAR - LONDON U.K. US. SWITZERLAND 9 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 LONG-TERM BOND YIELDS Weekly figures Per c e n t per a n n u m NETHERLANDS ! CANADA U.S. SWITZERLAND 10 T 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 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 CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale ~~] 420 SWITZERLAND Japan index of 225 i n d u s t r i a l and other stocks traded on the Tokyo e x c h a n g e . No. 425 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc German mark U.K. pound Dutch guilder French franc Japanese yen Lower Upper Lower 3 Upper Lower Upper Middle Lower +1.73 +7.26 -0.38 +0.74 -0.63 +0.11 -0.71 +0.25 German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc +2.36 +2.32 -1.52 +1.90 +0.55 -2.82 German mark U.S. dollar Swiss franc French franc Call Euro-S deposits Federal Funds Differential Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money Rate +0.35 +3.03 +1.34 +3.19 -2.32 Gold price, U.S. dollar per ounce 4 5 Oct. 17 Belgian franc Italian lira Canadian dollar IB 2 Date 40.64 Oct. 15 9.16 9.68 -0.52 Oct. 10 Oct. 17 8.25 7.50 Oct. 10 9.00 Oct. 17 9.25 IV - 2 Chart Panel Series Date 6 Upper Euro-S Call Rate Euro-$ 1-month Rate Euro-$ 3-month Rate Euro-$ 6-month Rate Oct. 17 it it 9.68 9.88 it 9.88 Euro-$ 3-month Deposits U.S. Certificate of Deposits Differential Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) Differential Oct. 15 M M Euro-$ 3-month Deposits Hire Purchase Deposits (covered) Differential Euro-$ 3-month Deposits Local Authority Deposits (covered) Differential Sept. 26 U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) Lower 7 Upper Second Third Fourth 8 Upper Second Third Fourth 9A 96 Upper Lower 10 Upper Second Third Fourth " „ II Rate 9.00 10.06 8.70 +1.36 10.06 6. 38 3.68 10.81 5.29 ii u ii -5.52 10.81 4.79 M -6.02 Oct. 17 6.99 7.61 Oct. 10 9. 75 Spread (+ = favor London) 3-month Forward Pound Net Incentive (+ = favor London) Oct. 17 ii +0.62 -1.52 .. - 0 . 90 Euro-$ Deposits (covered) German Interbank Loan rate Differential Euro-$ Deposits (covered) Swiss Deposit rate Differential Oct. 15 7.78 7.44 -0.34 » " ii 7.83 5.00 -2.83 IV - 3 Chart Panel Series 11 Upper Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Bill rate differential Forward Canadian dollar Net incentive on bills Net incentive on Finance Paper Middle Lower 12 Upper Lower 13 Upper Middle Lower Euro-$ Deposits U.K. Treasury Bill rate U.S. Treasury Bill rate Swiss 3-month Deposit rate Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate Netherlands Canada United States Switzerland Germany United Kingdom Euro-dollar bonds U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Rate Date Oct. 17 8.50 6.99 „ II 7.40 II +0.41 7.81 IT +0.56 IF +0.97 II +1.38 II 9.88 II 7.61 •I 6.99 II 5.00 Aue. 31 7.36 Oct. 17 7.40 6.99 IF 7.44 Oct. 10 Oct. 15 8.23 7.79 6.06 Oct. II 10 5.36 7.06 Oct. 9 Oct. 17 8.97 7.24 Aug. 31 7.48 6.23 Sept. 30 7.14 IV-4 Chart Panel Series Date 14 Upper Switzerland Germany United States United Kingdom Japan Canada United States Oct. 17 Lower " " Rate 401.7 297.8 214.0 215.9 Oct. 10 Oct. 9 355.7 216.1 Oct. 17 214.0
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