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fME&r September 3, 1969 No. 418 H-13 Division of International Finance Europe and British Commonwealth Section OLi' V c^y SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. 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 IB - Spot Exchange Rates, Major Currencies against U.S. Dollar Chart 2A & 2B - 3-Month Forward Exchange Rates, Major Currencies against U.S. Dollar Chart 3 A & 3 B - 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. I 3 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages , Per cent Above par SWISS FRANC n u.s U.K. POUND Below par Above par DUTCH GUILDER JAPANESE YEN FRENCH FRANC Below par 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. V) Chart I B SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR ITALIAN rLIRA — U.S. BELGIAN FRANC 1.2 Below par M J S D 1967 M J 1968 S D M J 1969 S D M J 1970 S D X 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT— M J S D 1967 J 1968 S D M J 1969 S D M J 1970 S D Chart 2B 3-MONTH FORWARD EXCHANGE RATES -MAJOR CURRENCIES AGAINST US. DOLL Weekly averages ' Per cent per PREMIUM* DUTCH GUILDER + 0 C A N A D I A N DOLLAR 4 8 FRENCH FRANC 12 16 20 24 28 DISCOUNT— M J S D 1967 S M 1968 Devaluation of the French franc from 4.94 to 5.55 for $1.00. 32 S D 1969 D M J 1970 S D 1 3-MONTH FORWARD RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM- 20 12 GERMAN MARK U S. D O L L A R DISCOUNT— M J S D M 1967 J 1968 S D M J 1969 S 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 # S D 1968 Devaluation of the French.franc from 4.94 to 5.55 for $1.00 20 M J 1969 S D M J 1970 S D 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce j N - ) !m y \f\ hi W ! 35.3 35.2 47.0 s\/ / / 45.0 43.0 f\ 1 41.0 39.0 35.1 37.0 35.0 1 1 1 ! M J S 1 ! i D 1967 •Market closed March 15 April 1, 1968 11 M i J 1968 S i i D i i M i i J 1969 i i S i I D M i i J 1970 i i S i D Chart 5 CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 14 12 A 10 A i z f js C A L L E U R I3 - D O L I . A R D i •POSIT v . Ww J T v D E R A L . F U N D IS 'V IT WN> Vyn V ~ i i 1 1 i i i - RO-DOIL L A R C ) V E R F E D E R / M. F U h 1 1 1 1 1 1 1 1 1 1 1 1 I l 7 i 4, i i i i .i i i FOREIGN C U R R E N C I E S * Friday's figures i i i ~ Per cent per annum 12 - r1 10 CE/V • U.K h—y 7 z JA PAN w j A r y 1 ,w i i M i i J S D M 1967 11 1 1 S D J 1968 1 1 M I l J 1 1, S 1969 1 1 1 1, D M 1 1 „ J •Germany, Call Money; U.K., 2-day Local Athori.ty Deposits; Japan, Unconditional Money; France, Day-to-day Money. S 1970 LONDON: EURO DOLLAR DEPOSIT RATES Per cent per per annum Friday figures o 1l 1 / i J J 1 *1 M 1 V 1-MOIVTH/1 1 Vs 1 t - / \Ji CALL VI y ii ii J S 1 1 1 1 1 1 D M J 1967 1 l ,i 1968 I I S D M 1 1 1 1 1 1 1' 1 J S D M 1969 1 1- 1 1 J S 1970 Z 1 1 D • X* . CHART6B LONDON: EURO-DOLLAR DEPOSIT RATES 1 Friday figures Per cent per annum -1 V - (5-MONTH \ iVf V [/ & J1 / f B-MONTH V iLi 11 M - 1 1 1 1 S D J 1 1 "I 1 M 1967 1 11 1I J 1968 S D I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 M J S D M J S D 1069 1970 Chart 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES -SECONDARY MARKETJ Wednesday figures J EURO• DOLLAR DEIPOSIT £ 1 A L i /r j y - Kr. J \ $1 uVj ~r AUG 27 10 88 PERCENT per annum 5^ % w V r CER1FIFICA FE OF DEPO!»IT 1 1 1 1 1 1 1 1 1 As 1 ICATE OF DEPOSIT r 1EURO-C>OLLAF\ OVEF\ U S. CERTIF [VV X ~ w 1 1 1 1 1 ! 1 i 1 ! 1 1 V \ ^ 1 1. >V 1 1 1 1 1 i 1 1 II 1 II 1 1 1 1 1 1 3-MONTH DOLLAR DEPOSIT RATES -PRIMARY MARKET Wednesday figures AUG. 27 10.88 Per cent per annum EUROIDOLLARDEPOSIT — — U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED'1 M J S D 1966 * Adjusted for Reserve Requirement M J 1967 D M S D M J 1969 S D V CHART 8 . LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO-DOLLAR.RATES Friday figures AUG is to 9i p e r C ent per annum EURO DOLLAR DEPOSIT 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 E U R O - D O L L A R RATES Friday figures AUG is io9i Per cent per annum EURO DOLLAR D E P O S I T \T) LOCAL AUTHORITY DEPOSIT COVERED | ] FAVOR LOCAL AUTHORITY DIFFERENTIAL 1966, I FAVOR EUR( -DOLLAR "" I f AUG 15 -9.26 1968 1967 :..c 1969 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday's Figures i Per cent per annum i i i — r 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED NEW YORK •Plotted for comparison purposes. INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE IN FAVOR OF LONDON IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) 1966 1967 1968 rS 1969 VI 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY AND U.S. - SWITZERLAND FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Per cent per annum Wednesday rates 1 1 8 1 IN TERMS OF DM GERMAN INTERBANK LOAN RATE w 5 ^ ft EURODOLLAR COVERED r DIFFERENTIAL i r ,FAVOR FRANKFURT MARKET COVER V A-Av M i l l L± t 1 1 I BUNDESBANK COVER* I 1 11 I I FAVOR EURO-DOLLAR 1 1 I II I I I I I ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Per cent per annum Wednesday rates IN TERMS/pF SfoMSS FRANCS '* VI EURODOLLAR COVERED £ SWISS DEPOSIT RATE 1 / ! 1 : AVOR ZURICH DIFF EREN1riAL v V 1 1 M >kUG. 27 10.88 1 1 1 1 J S 1 1 i D 1966 i V z h 1 1 M i J 1967 * For details see issue No. 398 dated April 16, 1969 K \ YA i i S i i D 1 1 i M i J 1968 i y w i S i \\ i D FAVOR EURO-D<3LLAR .-.AUG. 2<> -i.su— 1 II 1 i M J 1969 S D 8 CHART 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures T Per cent per annum CAN. FIN. CO. PAPER T p v A L UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i i i i i i PREMIUM' y v x ^ GROSS SPREAD IN FAVOR OF CANADA C ^ DISCOUNT FORWARD RATE CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U S. 'V'AMOR CA PRIME^FINANCE PAPER FAVOR U.S. M J S D M 1966 J 1967 S D M J 1968 S D M J 196 S D ' \ A ' > Chart 12 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO-DOLLAR - LONDON U.K. US. SWITZERLAND 9 JAPAN CANADA/ US. 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 in London. 1969 Chart 13 LONG-TERM BOND YIELDS Weekly figures - Per cent per annum NETHERLANDS j CANADA U.S. SWITZERLAND 10 T GERMANY U.K. EURO DOLLAR BONDS T 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 starts 3 3 67. * * New series for Switzerland starts 8-2-68. 1967 1968 1969 CHART 14 1958=100 Ratio scale INDUSTRIAl^TOCK INDICES ~~ 420 360 SWITZERLAND 320 280 GERMANY 240 U.S. 200 160 360 320 U.K. 280 240 200 CANADA 1160 380 320 280 JAPAN 240 US. 1200 |l60 1966 1967 1968 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange. 1969 H. 13 No. 4X8 IV. LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc Lower German mark U.K. pound Dutch guilder IB Upper n ii ii „ +0.15 Belgian franc „ Italian lira II II German mark +0.38 +5.49 +0.24 it Dutch guilder II -8.13 +0.40 +0.57 -1.04 German mark n +13.82 Lower U.S. dollar Swiss franc French franc ii +7.52 +7.14 +5.95 Gold price, U.S. dollar per ounce Upper Call Euro-$ deposits Middle Federal Funds Differential Lower ' -0.64 -0.41 Upper 4 5 +1.65* +0. S3 French franc Canadian dollar French franc 3 29 Japanese yen Swiss franc U.K. pound Lower AUK. -0.76 +0.08 +0.19 Canadian dollar 2 Rate Date | Japanese Unconditional Money German Call Money U.K. 2-day Local Authority Deposits French Day-to-day Money 40. 92 Aug. 27 8.93 Aug. 22 8. 82 +0.11 8.03 6.00 11 8.94 Aug. 29 8.75 - IV - 2 Chart Panel Series 6 Upper Euro-$ Call Rate Date Aug. 29 10.75 I. 11.31 IT 11.25 Euro-$ 1-month Rate Lower Euro-$ 3-month Rate Euro-$ 6-month Rate 7 Upper Euro-$ 3-month Deposits •I 11.44 Aug. 27 10.88 8.25 U.S. Certificate of Deposits 8 Second Differential Third Euro-$ 3-month Deposits U.S. Certificate of Deposits (Adj.) Fourth Differential Upper Euro-$ 3-month Deposits Hire Purchase Deposits (covered) Second Differential Third Fourth 1.65 -9.26 Lower 3-month Forward Pound Net Incentive (+ = favor London) Third 10.91 „/ AUK. 29 9.62 Aug. 29 +0.65 II -8.33 M -7.68 Euro-$ Deposits (covered) German Interbank Loan rate Differential Aug. 27 Euro-$ Deposits (covered) Aug. 20 Differential 6.99 7.64 Aug. 22 II .« Swiss Deposit rate Fourth 1.96 -8.95 IT II Differential Spread (.+ = favor London) Second 10.91 II Upper Upper Aug. 15 6.38 4.24 II Local Authority Deposit (uncovered) 10 „ 10. 62 Euro-$ 3-month Deposits U.K. Treasury Bill rate 9B 2.63 II Aug. 20 Local Authority Deposits (covered) U.S. Treasury Bill rate 9A Rate „ 5.43 6. 50 +1.07 10.51 * 5.00 -5.51 IV - 3 Chart Panel Series 11 Upper Canadian Finance Paper Rate Date Aug. 29 U.S. Treasury Bill rate „ Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) Bill rate differential " 7.50 +0.43 Lower Forward Canadian dollar Net Incentive on bills n M +0.48 +0.91 „ +1.36 Upper „ Euro-$ Deposits U.K. Treasury Bill rate U.S. Treasury Bill rate Lower 11.25 7.64 II 6.99 Swiss 3-month Deposit rate Aug. 15 5.00 Japanese Average rate June 30 7.35 Canadian Treasury Bill rate Aug. 29 7.42 6.99 U.S. Treasury Bill rate German Interban^txuan rate 13 7.42 Middle Net incentive on Finance Paper 12 A.38 6.99 „ 6.50 Upper Netherlands Middle Canada United States Switzerland Germany Aug. 27 Aug. 15 A U K . 22 United Kingdom Euro-dollar bonds Aug. 21 Aug. 29 6.77 9.41 7.10 U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Tuly 31 it 7.44 6.30 - 7.08 Lower • Aug. 15 Aug. 20 7.91 7.49 6.03 5.11 N IV - 4 Chart Panel Series 14 Upper Switzerland Germany United States Date * Aug. 29 385. 5 22 Aug. 29 238.4 211.7 Aug. 22 210.0 230.1 Aug. United Kingdom Lower Japan Canada United States Rate Aug. 21 216.0 Aug. 29 211.7
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