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October 29, 1969 No. 426 H-13 ^lA^A Division of International Finance Europeand British Commonwealth Section [ \ (^4Ajut3L^ SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM I 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 A & 2B - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3 A & 3B - 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 Chart 6A & 6B Chart 7 Chart 8 Chart 9A and 9B Chart 10 Chart 11 Chart 12 - Call Money Rates London: Euro-S Deposit Rates New York - London: Yields on U.S. Dollar Funds London: Covered Yields on U.S. Dollar Funds Interest Arbitrage: United States-United Kingdom Interest Arbitrage: U.S.-Germany and U.S.-SwItzerland Interest Arbitrage: United States-Canada 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, vrfilch accompanied Issue dated January 1, 1969. 1) C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages OCT 2* 7 46 Per cent Above par m. 1.6 SWISS FRANC i GERMAN MARKU; , U.K. POUND Below pai Above par DUTCH GUILDER Per U.S. dollar APANESE YEN *FRENCH FRANC Below par M J S D M 1967 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. * * * DM rate not supported by the Bundesbank 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 — U.S. BELGIAN FRANC 1.2 Below par M S D 1967 S 1968 D S 1969 D M S 1970 D 5 / • C h a r t 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages P e r c e n t per a n n u m PREMIUM + GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT— M J S D 1967 M J 1968 S D S 1969 S 1970 V 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 FRENCH FRANC 20 24 26 ' M J s D 1967 M S DISCOUNTD 196# * Devalu at on of the French franc f r o m 4.94 to 5.55 for $1.00 M S 1969 D S 1970 D 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 DISCOUNT — S D 1967 M J 1968 S D M J 1969 S D M J 1970 S Chart 38 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per cent per a n n u m PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1967 M J S D 196# * Devaluation of the French franc from 4.94 to 5.55 for $1.00 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 1II ib i i i i 47.0 45.0 • !• i 11 35.3 ill J 35.2 / / N f i) 35.1 V i / 43.0 / v 41.0 k 1 39.0 37.0 •• 11 1 1 1 1 M J S i i!!i D M 1967 * Market c l o s e d M a r c h 15-April 1, 1968 i 11 1 J S 1968 i i D M U 1 1 S 1969 1 1 1 11 11 D M 1 ! J S 1970 1 1 D 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 14 12 CAL L EURID-DOLILAR DlE p o s n 1 z/ ^x1 k v y V V v V ~ 1 1 Y v V '\A>v DFRAL FUND I rv s- i AA i 10 \ p 7 IS | V J U / V L\ a a s yA l V i i \, V EUIRO-DO LLAR C)VER FEDER/KL FUA 11 i i 1 1 1 1 1 1 1 1 1 i i 1 1 1 1 i 1 1 1 i 1 1 1 1 1 1 1 1 1 I FOREIGN CURRENCIES* Per cent per a n n u m Friday's figures 12 FRANCE 10 A UK \ JA PAN / X r f J t 1 XiU V 1 1 M J 1 1 1 1 1 S D M 1967 J S 1968 D M J M S 1969 D M 1 1 1 1 J S 1970 ' G e r m a n y , Call Money; U.K., 2-day Local Athority Deposits; Japan, Unconditional Money; France, Day-to day Money. D \X LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per c e n t per per a n n u m 1-MONTH CALL J s D M 1967 J 1968 S D M J 1969 S D M J 1970 S D CHART 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per 13 12 11 10 9 8 6-MONTH 7 6 3-MONTH 5 4 3 2 M J s D 1967 M J 1968 s S D 1969 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 annum 14 13 12 1 n A EURO DOLLAR DEPC•SIT i 11 R 10 9 \r J kV bt \ if V W 8 7 // j 6 U.S. CERTII-ICATE: OF DEPOSI T 5 4 1 1 1 1 111 1 I i i 1 1 i l 1 l 1 1 l I 1 1 l 1 1 l 1 1 1 l 1 1 3 6 5 4 1 EURO -DOLL/\ R OVIER U.S1. CER"riFICA TE OF DEP01 >V / A V Vv^ 1 1 M 1 1 J 1 1 S i i D 1967 I 1 M 7 \J fv j r v W \ l 3 LA 1 V I 2 1 + 0 1 1 ! J i i S 1968 I i D i i M 11 J 1 1 S 1969 1 1 D 1 1 . 1 1 M J 1 1 S 1970 1 1 D IH 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 Wednesday figures MARKET Per cent per annum EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED' 7 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED" M J S D 1967 * Adjusted for Reserve Requirement M J 1968 S D M S 1969 D J 1970 S D CHART 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR Friday figures RATES 14 12 EURO DOLLAR DEPOSIT 10 8 6 4 HIRE PURCHASE 2 + 0 FAVOR HIRE PURCHASE + 0 2 4 6 8 DIFFERENTIAL M J FAVOR EURO-DOLLAR S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D \ \ p CHART 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L AUTHORITY A N D EURO-DOLLAR RATES Friday figures Per cent per 14 12 EURO-DOLLAR DEPOSIT 10 8 6 4 LOCAL AUTHORITY DEPOSIT -COVERED 2 + 0 + 0 FAVOR LOCAL AUTHORITY 2 / I n 4 6 8 DIFFERENTIAL M J FAVOR EURO-DOLLAR S D 1967 M J 1968 S D M J 1969 S D J 1970 S D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum 3-M DNTH 12 i 1 B I L L RP T E S 1 1 FREASURY I . K . LC) C A L NCOVE RED t U T H O FM T Y [) E P O S I i r v A \ \ 10 \ TI \J j V - r „ A RVV J /A | N / ! " 1W I I I i M ! ! 1 1 1 1 J ^ 1 NEW YORK S 1 1 D 1967 * Plotted for comparison purposes 1 1 ! M 1 i M J 1968 i l l i i M i i i i J 1969 i i 11 11 D 1 1 1 M 11 J 1970 11 S D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE 2 IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D v\ Chart 10 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND F R A N K F U R T I N T E R B A N K L O A N RATE VS. L O N D O N E U R O - D O L L A R RATE Wednesday rates Per cent per annum " T I N TERMS OF D M GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED | „ ;,al ; • ! DIFF E R E N 1 | i ! ! • i A'A i / V - Vv^/v I 1 ' v M ! ! 1 1 ! 4 IFAV OR FRAIVIKFURT JrM v v 1 BUNDESBANK COVER* 1 ! ! • I 1 M A R K E T C O V E FI - v V FAVOR EURO-DIOLLAR 1 i 1 1 i 1 I i ! Z U R I C H D E P O S I T R A T E VS. L O N D O N E U R O - D O L L A R R A T E Wednesday rates Per cent per annum ERMSI /VISS ! FRANCS EURODOLLAR COVERED . i SWISS DEPOSIT R A T T f T FAVOR ZURICH DIFFERENTIAL FAVAR EURO-DOLLAR M J S D 1966 M 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 figures Per cent per 10 CAN. FIN. CO. PAPER 8 CANADIAN TREASURY BILLS 6 UNITED STATES TREASURY BILLS 4 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM GROSS SPREAD IN FAVOR OF CANADA 2 + 0 DISCOUNT FORWARD RATE 2 FAVOR CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS 2 + 0 FAVOR U.S. 2 FAVOR CANADA 2 PRIME FINANCE PAPER + 0 FAVOR U.S. M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S 2 D SELECTED SHORT-TERM INTEREST RATES* 9 EURO DOLLAR - LONDON 8 U.K. 7 6 US. 5 4 3 SWITZERLAND 2 9 8 JAPAN 7 CANADA, 6 U.S. 5 4 GERMANY 1965 1966 1967 1968 i o n t h t r e a s u r y b i l l r a t e s f o r all c ount r i e s 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) •month 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 a n n u m NETHERLANDS CANADA U.S. SWITZERLAND 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 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 /}3 CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale ~) 420 360 320 SWITZERLAND 280 GERMANY 240 US. 200 160 360 320 U.K. 280 240 200 CANADA 160 380 320 280 JAPAN 240 US. GOO 1160 1966 1967 1968 * Japan index of 2 2 5 i n d u s t r i a l and o t h e r s t o c k s t r a d e d on the Tokyo exchange. 1969 1 H. 13 No. 426 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Date O c t . 24 German mark Lower it U.K. pound Dutch guilder 2 Upper Lower 3 » „ Belgian franc 11 Italian lira Canadian dollar " -0.59 +0.49 +0.17 -0.31 +0.36 German mark it +1.75 Swiss franc it U.K. pound " +2. n -1.28 Dutch guilder Canadian dollar +2.69 +0.27 French franc ii Upper German mark it +2.37 M Lower U.S. dollar Swiss franc French franc +1.16 +3.10 " 40.15 Upper Call Euro-$ deposits Oct. 22 Middle Federal Funds Differential Japanese Unconditional Money O c t . 17 Lower German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money -4.69 -3.48 Gold price, U.S. dollar per ounce 4 5 +1.55 +7.46 - n . 35 +0.76 French franc Japanese yen IB Rate " A. 90 8.75 +0.15 8.25 " 7.25 8.50 Oct. 17 9.25 O c t . 24 IV- 2 Chart Panel Series 6 Upper Euro-$ Call Rate Euro-$ 3-month Rate Oct. 24 •i ii 8.25 8.94 9.00 Euro-$ 6-month Rate ii 8.94 Euro-$ 1-month Rate Lower 7 Upper Rate Date Euro-$ 3-month Deposits Oct. 22 U.S. Certificate of Deposits 8 " Second Differential ii Third Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) » Fourth Differential » Upper Euro-$ 3-month Deposits " Sept. 26 » Hire Purchase Deposits (covered) Second . Third Differential ii Euro-$ 3-month Deposits " Local Authority Deposits (covered) Fourth U.S. Treasury Bill rate 9A " Differential U.K. Treasury Bill rate 10 Upper Spread (+ = favor London) Lower 3-month Forward Pound Net Incentive (+ = favor London) -6.02 Oct. 24 ii 6.95 7.61 » 9.38 +0. 66 -1.38 tt -0.72 Oct. 22 ii ii Euro-) Deposits (covered) " " " -2.05 Second Differential Oct. 24 ii Swiss Deposit rate Euro-$ Deposits (covered) German Interbank Loan rate Fourth 10.81 5.29 -5.52 10.81 4.79 7.25 7.44 +0.19 7.05 5.00 Upper Third +2.81 » Local Authority Deposit (uncovered) 9B 9.19 8.70 +0.49 9.19 6.38 Differential IV-3 Chart Panel Series 11 Upper Canadian Finance Paper Oct. 24 U.S. Treasury Bill rate " 8.50 6.95 Canadian Treasury Bill rate ii 7.38 „ U.S. Prime Finance paper (not plotted) Middle Lower Rate Date Bill rate differential » Forward Canadian dollar " Net incentive on bills Net incentive on Finance Paper 12 Upper +1.68 fi Euro-$ Deposits U.K. Treasury Bill rate U.S. Treasury Bill rate Swiss 3-month Deposit rate Lower Japanese Average rate Canadian Treasury Bill rate " Aug. 31 Oct. 24 U.S. Treasury Bill rate German Interbank Loan rate 13 Upper Netherlands Canada United States Switzerland Middle Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 9.00 7.61 6.95 5.00 7.36 7.38 6.95 7.44 Oct. Oct. Oct. Oct. 17 22 24 17 Germany United Kingdom 7.94 +0.43 +0.19 +0.62 " Oct. 24 Sept. 30 7.69 5.91 5.30 7.06 8.77 7.24 7.72 6.47 7.14 J IV-4 Chart Panel Series 14 Upper Switzerland O c t . 24 409.8 Germany O c t . 17 O c t . 24 297.8 217.5 United States United Kingdom Lower Japan Canada United States <y- Rate Date 206.4 " Oct. 17 " 364.9 223.0 O c t . 24 217.5
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