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September 10, 1969 No. 419
H-13
Division of Intemotioiiel Finance Europe end 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 IB - 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
- Call Money Rates
Chart 6 A & 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.
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent
Above par
z w
1.6
SWISS FRANC
Par
with
U.S.
GERMAN MARK]
U.K. POUND
Below par
Above par
DUTCH GUILDER
Par
with
dollar
JAPANESE YEN
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.
M
J
1969
S
,
D
M
J
1970
S
D
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Percent
Above par
4—
CANADIAN DOLLAR
ITALIAN
[LIRA —
U.S.
BELGIAN FRA
1.2
Below par
M
J
S
D
1967
J
1968
S
D
J
1969
S
D
M
J
1970
S
D
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per a n n u m
PREMIUM*
SWISS FRANC
DISCOUNTM
J
S
D
M
1967
^
J
1968
p
S
D
M
J
S
1969
D
M
J
S
1970
D
'
lo
.
C h a r t 2B
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Per cent per a n n u m
Weekly averages
PREMIUM*
DUTCH GUILDER
CANADIAN DOLLAR I
FRENCH FRANC
20
24
28
i
J
S
D
1967
M
J
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.
32
M
S
1969
D
M
J
1970
S
a
C h a r t 3A
3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND
PREMIUM +
GERMAN MARK
I
I
I
M
I
I
I
I
J
I
S
I
1 I
I
D
I
r*T
M
1967
I
I
'
I
'
J
I
S
1968
I DISCOUNT —
i I I I I I I
D
M
I
J
I
I
I
S
1969
I
I
I
D
l
I
I
M
I
I
l
J
I
I
I
S
1970
l
I
D
l
i
I
4
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
PREMIUMS-
SWISS FRANC
FRENCH FRANC
DISCOUNT—
M
J
S
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
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
45.0
tit
43.0
35.3
41.0
35.2
39.0
35.1
37.0
35.0
35.0
M
S
D
1967
* Market c l o s e d M a r c h 15-April 1, 1968
M
D
1968
S
1969
M
J
1970
S
D
CALL MONEY RATES
DOLLAR FUNDS
Weekly a v e r a g e s
Per cent per a n n u m
14
i
12
fr f
A
:
pp
J f
V
i
C A L L E U R ( D - D O L l- A R
r
u
1
10
D lEPOSIT
\ /
FFDFRAL FUND s
V
V
: Y
!
i
Vv
~ i
i
1
1
I I
i
L/
V
i
i
i
i
1
W
>
s
V
V
-
-
N
E U I R O - D O l L L A R CI V E R F E D E R ; <L F U N , O I
i ! i l l
i I 1 I I 1 i i i 1 i 1 1 1
1
1
1
1
1
FOREIGN CURRENCIES *
Friday's figures
!
1
Per cent per a n n u m
12
|
1
1
i !
!
;
i
!
FRAN
\
I
I
1
i
1
M
J
i
S
1 i
ri
7
i
\
I
J A IP A N
V
i
N/
\
/ ^
\
I
i
D
1967
10
UK
M
J
1968
l
S
1
D
M
1
/
1
1
1
J
S
1969
1
1
D
1
1
M
1
J
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
S
1
1
D
1
II
CHART6A
LONDON: EURO DOLLAR DEPOSIT RATES
Friday f i g u r e s
Per c e n t per per a n n u m
1-MONTH
CALL
M
J
S
D
1967
J
1968
S
D
M
J
1969
S
D
M
J
1970
S
D
LONDON: EURO DOLLAR DEPOSIT RATES
Friday f i g u r e s
Per cent per a n n u m
1
1
13
1
I
1
i
1
s
i
i
12
Kl
i
1
j J
i
i
c
o>
4
rH
\
1
' /
i
!
'
1
i
1
i
!
1 1 1 _.J.I
J
1
L
i
!
!
I ••
1
1
'
.1
M I L !
L i i
s
1
T
i
1
M
!
¥W 7 3-MON"TH
V
1 1
-j
1
\
V
11
D
1967
M
J
1968
_L.1_ I
S
D
I
1
M
J
1969
,
s
{
1 1
D
.1 ! 1 I I
M
,
J
1970
i
I 1 1
S
D
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKET
Per c e n t p e r a n n u m
Wednesday figures
9
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
1
1
i
1
EURO DOLLAR OVER U.S. 1CERTIFICATE OF DEPOSIT!
A
xMXV1
/
V
:
1
;
I'
3 - M O N T H DOLLAR DEPOSIT RATES - P R I M A R Y MARKET
Wednesday figures
SEPT 3 1138 Per c e n t per a n n u m
EURO DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
ADJUSTED*
- -
1
1
:
1
:
;
J
|
i
|
.......L . . . . :
.!.
I
EURO-DOLLAR OVER U S. CERTIFICATE OF DEPOSIT
!
ADJUSTED*
•.
h
>! i
:
|V
;
• . 1
V
1
:
!
/
K
.1
i i
; i ' i ; '
J
1966
* Adjusted for Reserve Requirement
1967
1968
1969
i
s
CHART 8
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE AND
Friday f i g u r e s
EURO-DOLLAR RATES
Per c e n t per a n n u m
EURO DOLLAR DEPOSIT
HIRE PURCHASE
COVERED
I I
FAVOR HIRE PURCHASE
+
FAVOR EUR ] D O L L A R
| g
DIFFERENTIAL
LOCAL AUTHORITY AND
EURO DOLLAR RATES
AUG 22 1100 p e r
Friday figures
Cent
per a n n u m
EURO DOLLAR DEPOSIT
LOCAL AUTHORITY
DEPOSIT
COVERED
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
1966
FAVOR EURO DOLLAR
1967
1968
1969
+
IS
CHART 9A
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 DEPOSITS*
UNCOVERED
A
j
LONDON
NEW
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
S
1967
D
M
J
1968
YORK
s
D
M
J
1969
S
D
C h a r t 9B
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per a n n u m
RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING
SPREAD IN FAVOR OF LONDON
PREMIUM
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
n
Chart 10
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE
Wednesday rates
•
!
;
1
;
GERMAN |
I N T E R B A N K LOAN RATE
i
•
:
8
IN TERMS OF DM
i
;
Per cent per annum
!
;
M i
/
EURO DOLLAR
COVERED
!
I
U
f
4
1
!
0
_ DIFFERENTIAL
1
:
M A R K E T COVER
i
r \[J
A - A ;
r
1 FAVOR FRANKFURT
1
v
" v
'
iK
!
j BUNDESBANK C O V E R *
|
!
|
I FAVOR EURO DOLLAR
ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE
Per cent per annum
Wednesday rates
I N TERMS/OF W I S S 3 F R A N C S
EURO-DOLLAR
COVERED
SWISS DEPOSIT RATE
DIFFERENTIAL
FAVOR ZURICH
:
A
. X - v
VA; j '
FAVOR EURO DOLLAR
1
M
J
S
D
M
1966
J
S
1967
* For details see issue No. 398 dated April 16, 1969
D
M
J
S
1968
D
M
J
SEPT
S
1969
3
D
5 96
8
11
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA
Friday f i g u r e s
Per cent per
9
CAN. FIN. CO. PAPER
f
—
7
:
5
UNITED STATES TREASURY BILLS
CANADIAN TREASURY BILLS
i
I
I
GROSS SPREAD IN FAVOR OF CANADA
v
f
3
2
T
BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR
\/vH
PREMIUM
V v
+
0
DISCOUNT
FORWARD RATE
2
2
COVERED RATE DIFFERENTIALS
TREASURY BILLS
+
0
FAVOR U.S.
2
2
M/Va
^ ^ ^ ^ \ | ^ A N A D A
PRIM E FINANCE PAPER
f j h\
A
f\xA
f\
.
/N
+
0
A
;
FAVOR U.S.
2
M
J
S
D
-
1966
M
J
1967
S
D
M
J
1968
S
D
M
J
1969
S
D
C h a r t 12.
SELECTED SHORT-TERM INTEREST RATES*
Per cent per a n n u m
EURO DOLLAR - LONDON
U.K.
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 for 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 figures
Per c e n t per a n n u m
NETHERLANDS
SWITZERLAND
I
1 ! M
i I I
M
'
1
I
:
!
:
1
I
1
M
I
N
I
10
-
GERMANY
r
-
»
-
-
-
EURO-DOLLAR BONDS
U.S. CORP. DOLLAR EURO-BONDS
U.S. CORP. DM EURO-BONDS
U.S. CORP. Aaa BONDS
] 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.
1
1967
! i ; 1 , '
'
!
1
I I I 1 I I I
1968
] I j | 1 ! ! ]
-
CHART 14
INDUSTRIAL STOCK INDICES
420
360
SWITZERLAND
320
I 280
GERMANY
240
U.S.
200
160
360
320
U.K.
280
240
200
CANADA
160
T
380
320
280
JAPAN
240
U.S.
200
160
1966P
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 exchange.
1969
H. 13
No. 419
IV. LATEST FIGURES PLOTTED ON THE CHARTS
Rate
Chart
Panel
Series
Date
1A
Upper
Swiss franc
Sent. 5
+1.68
H
•HD.54
ii
S.
-0.71
+0.07
+0.16
n
+0.22
German mark
U.K. pound
Lower
Dutch guilder
French franc
H
Japanese yen
IB
2
Upper
Lower
Belgian franc
II
-0.73
Italian lira
Canadian dollar
n
-0.70
II
+0.26
n
+5.69
Swiss franc
H
40.28
U.K. pound
Dutch guilder
II
-8.65
II
Canadian dollar
n
40-38
40.59
German mark
French franc
3
Upper
Lower
Gold price, U.S. dollar per ounce
4
5
German mark
U.S. dollar
Swiss franc
French franc
Upper
Middle
Lower
Call Euro-) deposits
-2.36
+14.67
+7.50
1
H
+7,68
j
„
+6. 30
ii
H
II
Sept. 3
40.84
10.34
Federal Funds
•»
9.57
Differential
Japanese Unconditional Money
n
40.77
?
German Call Money
U.K. 2-day Local Authority Deposits
French Day-to-day Money
Aug. 29
Sept. 5
A.03
Aug. 29
9.06
Sept. 5
9.12
6.38
IV - 2
Chart
Panel
Series
Date
6
Upper
Euro-$ Call Rate
Sept. 5
Euro-$ 1-month Rate
Lower
Upper
Euro-$ 3-month Rate
Second
Third
Fourth
8
Upper
Second
Third
Fourth
Euro-$ 3-month Deposits
11.31
n .44
Sept. 3
11.38
U.S. Certificate of Deposits
II
Differential
II
8.25
+3.13
Euro-$ 3-month Deposits
1?
U.S. Certificate of Deposits (Adj.)
II
6.38
II
+5.00
Differential
Euro-$ 3-month Deposits
Aug. 22
-
11.00
Differential
H
-9.64
Euro-$ 3-month Deposits
II
11.00
Local Authority Deposits (covered)
„
Differential
II
Sept. 5
U.K. Treasury Bill rate
Local Authority Deposit (uncovered)
96
10
Upper
Spread (+ = favor London)
Lower
3-month Forward Bound
Net Incentive (+ = favor London)
Upper
Second
Third
Fourth
11.38
Hire Purchase Deposits (covered)
U.S.Treasury Bill rate
9A
9.88
11.06
Euro-$ 6-month Rate
7
Rate
Euro-$ Deposits (covered)
German Interbank Loan rate
Differential
1.36
0.99
-10.01
7.02
7. 58
Aug. 29
9.69
Sept. 5
+0.56
II
-8.92
II
-8.36
Sept. 3
5.65
II
II
7J2
+1.47
Euro-$ Deposits (covered)
II
10.96
Swiss Deposit rate
II
s, nn
Differential
ii
-5.96
IV-3
Chart
Panel
11
Upper
I
Rate
Series
Date
Canadian Finance Paper
Sept. 5
7.02
Canadian Treasury Bill rate
7.69
U.S. Prime Finance paper
(not plotted)
Middle
Bill rate differential
Forward Canadian dollar
Lower
Net incentive on bills
Net incentive on Finance Paper
I
12
Upper
i
i
i
+0.61
+1.08
,,
+1.49
Euro-$ Deposits
U.K. Treasury Bill rate
Sent. 5
II
11.31
U.S. Treasury Bill rate
n
7.02
Japanese Average rate
Canadian Treasury Bill rate
U.S. Treasury Bill rate
German Interbank Loan rate
i
Upper
13
Middle
Lower
J
7.50
+0.47
i.
ii
Swiss 3-month Deposit rate
Lower
8.38
U.S. Treasury Bill 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
II
June 30
Sept. 5
7.58
5.00
7.35
7.49
II
7.02
II
7.12
AUK.
29
Sept. 3
||
7.84
7.71
6.17
Aue. 29
5.22
6. 75
Aug. 28
Sept. 5
9.47
7.13
J u l y 31
7.44
II
6.30
Aug. 31
6:97
IV-4
Chart
Panel
Series
14
Upper
Switzerland
Date
Germany
Sept. 5
Aug. 22
United States
Sept. 5
United Kingdom
Lower
Japan
Canada
United States
Rate
383.1
288.4
211.2
214.6
ii
344.5
Aup. 28
216.fi
Sect. 5
211.2
@FedFRASER