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V
April 14, 1971 No. 501
H ^ U ^ B t V r i i c n of International Finance Europe and British Commonwealth Section
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L-. "
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/ Y c t ^ V
SELECTED INTEREST &
EXCHANGE RATES
FOR MAJOR COUNTRIES &
THE U.S.
WEEKLY SERIES OF CHARTS
i
*
BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM
TABLE OF CONTENTS
PART I. EXCHANGE RATES AND GOLD PRICES
Chart 1A and B - Spot Exchange Rates, Major Currencies against U.S. Dollar
Chart 2A and B - 3-Month Forward Exchange Rates, Major Currencies against
U.S. Dollar
Chart 3A and B - 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 and B Chart 7A and B Chart 8A and B Chart 9A and B Chart 10A and B Chart 11
Chart 12A and B -
Call Money Rates
London: Euro-$ 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. SELECTED CENTRAL BANK DISCOUNT RATES AND
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 c e n t
Above par
SWISS FRANC
1.6
f GERMAN MARK
U.K. POUND
Below par
Above par
FRENCH
FRANC-
JAPANESE
YEN I
US.
DUTCH GUILDER
Below par
J*
J
S
D
1968
S
D
1969
* Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00.
* * DM rate not supported by the Bundesbank.
* * * Revaluation of the DM from 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents.
J
1970
S
D
M
J
1971
S
D
Chart I B
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per c e n t
Above par
CANADIAN DOLLAR
BELGIAN FRANC
ITALIAN LIRA
1.2
Below par
S
D
1968
J
M
1969
S
D
S
D
M
1970
1971
* Can. $ rate not s u p p o r t e d by Bank of Canada.
S
-3
D
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
POUND
DISCOUNT
1—i—J—I—L i _ . l
M
J
S
D
1968
M
J
. S
1969
D
M
J
1970
S
D
C h a r t 2B
3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
Weekly averages
Per cent per annum
DUTCH GUILDER
CANADIAN*
DOLLAR
FRENCH FRANC
20
24
28
J
S
s
D
1968
1969
* Devaluation of the F r e n c h f r a n c f r o m 4.94 to 5.55 for $1.00
* * C i o J i rate not s u p p o r t e d by Bank of Canada.
D
s
S
1970
1971
1
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
1
PREPWIUM +
-
'
i
1
-
-
j
n
-
-
I
11 l \
VA J[\ u
0
1
j
L
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1
I
1
-
G E M IAN M ARK
A '
11
1
1968
*7
-
!
1
!
U.S. D0 1 LAP
M
{
|
r.
j
j
DISC 01JNT— 1
1 1 1 ! 1 i
1 1
1 1
1 1 1
J
1969
1970
1971
S
D
Chart 3B
5-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUNm
Per c e n t per aii n n u m
riday f i g u r e s
PREMIUM*
12
8
SWISS FRANC
4
0
FRENCH FRANC
4
8
12
16
I
M
1 I 1 • I I
J
S
I I
D
1 I I 1 I
M
1968
J
DISCOUNT
I I 1 I I 1 1 I I 1 1
S
1969
D
M
J
1970
I 1
1 1
S
D
I I
M
.
1 I
J
10
S
D
1971
Devaluation of t h e F r e n c h f r a n c f r o m 4.94 to 5.55 for $ 1 . 0 0
y
GOLD PRICE IN LONDON, 12.5 Kg BARS
W e e k ' s a v e r a g e 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 o u n c ^
!
:
i
. i
n
:
1
1
!
j
!!
i i i i ; i i i
M
j
S
:
-!
i !
D
1
.. . . .1
'
! . !
i
.
1968
J
S
!™
i
A
Arv
!
i ! 1 II ! 1 1
M
1
i
:
1
1
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,
ID*/
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!
!
I
i I 11 1 i i
D
M
i i
J
1969
1!
S
1970
MARKET SUPPORTED BY GOLD POOL
U S dollar equivalent per fine ounce
M
* Merket-cJosed March 15 April 1, 1 9 6 8
J
1967
S
D
M
1968
D
/
r
i i
M
-
i -—
i
1'
1'
J
1971
S
i i
D
HART5A
CALL MONEY RATES
DOLLAR FUNDS
Weekly averages
-
12
CALL EURO-DOLLAR DEPOSITS
FEDERAL FUNDS
EURO DOLLAR OVER FEDERAL.FUNDS
; . 1
k
<
!
I , -
:
EURO-CURRENCIES
Weekly averages
Per cent per annum
12
EURO DM
EURO-DOLLAR
EURO-SWISS FRANC
M
J
S
D
1968
M
J
1969
S
D
M.
S
D
M
1971
C h a r t 5B
CALL MONEY RATES
FOREIGN CURRENCIES*
Per cent per a n n u m
Friday figures
JAPAN
W A
,/vU.K.
SELECTED EEC CURRENCIES**
Per cent per a n n u m
Friday figures
-I 12
jFRANCE
GERMANY
NETHERLANDS
j 1 : I
1968
1969
1970
* Japan, U n c o n d i t i o n a l Money; U.K., 2-day Local Authority Deposits; Canada, Day-to-day Loans, weekly average.
* * G e r m a n y , Call Money; F r y c e , Day-to-day Money; N e t h e r l a n d s , Call Money, weekly average
1971
0
Chart 6A
LONDON: EURO DOLLAR DEPOSIT RATES
Friday f i g u r e s
1-MONTH
CALL
1969
LONDON: EURO-DOLLAR DEPOSIT RATES
Friday figures
A6-MONTH
3-MONTH
M
J
1968
S
D
~
M
J
S
1969
D
M
J
S
1970
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS
3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET
Wednesday figures
Per
I
'
I
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT I
s
1968
1969
1970
1971
p.>f
NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS
3 MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET
Wednesday f i g u r e s
Per cent per
EURO DOLLAR DEPOSIT
EURO-DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
EURO-DOLLAR OVER j
U.S. CERTIFICATE OF DEPOSIT
D
1968
D
1969
* Adjusted tor Reserve R e q u i r e m e n t
* * Adjusted for ] 0°"- M a r g i n a l Reserve Requirement
* * * Adjusted for 20% M a r g i n a l Reserve R e q u i r e m e n t
1970
1971
Chart 8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
HIRE PURCHASE AND EURO DOLLAR RATES
Friday f i g u r e s
Per cent per T n n u m
EURO DOLLAR DEPOSIT I
HIRE PURCHASE
COVERED
FAVOtWIRE PURCHASE
!
t
m
DIFFERENTIAL
10
s
D
1968
S
1969
D
S
1970
D
S
1971
Chart 8B
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
LOCAL AUTHORITY AND EURO-DOLLAR RATES
Friday f i g u r e s
+
^
EURO DOLLAR DEPOSIT
LOCAL AUTHORITY
DEPOSIT
i
' COVERED
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
FAVOR EURO DOLLAR
1971
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Per cent per a n n u m
Friday f i g u r e s
i
'
:
T
i
3-MONTH TREASURY BILL RATES
r
12
r
U.K. LOCAL AUTHORITY DEPOSITS
UNCOVERED
!
LONDON
NEW YORK
2
M
J
S
D
1968
Plotted for c o m p a r i s o n purposes
M
J
1969
S
D
M
J
'
1970
S
D
M
J
1971
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday f i g u r e s
Per cent per .inn
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
10
RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)
12
1968
1969
1971
'p
C h a r t 10A
3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY
FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE
Wednesday rates
IN TERMS OF DM
GERMAN
INTERBANK LOAN RATE ^
EURO-DOLLAR
COVERED
FAVOR FRANKFURT
DIFFERENTIAL
FAVOR EURO DOLLAR
1968
1969
1970
1971
Chart 10B
3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND
ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE
Per cent per a n n u m
Wednesday rates
IN TERMS OF SWISS FRANCS
EURO-DOLLAR
COVERED
SWISS DEPOSIT RATE
FAVOR ZURICH
DIFFERENTIAL
FAVOR EURO DOLLAR
1968
<
1969
1970
y;
3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA
Friday f i g u r e s
BILL RATES
FIN. CO. PAPER
CANADIAN
TREASURY BILLS
UNITED STATES
TREASURY BILLS
B I L L RATE D I F F E R E N T I A L A N D F O R W A R D C A N A D I A N D O L L A R
FORWARD RATE
I / vx
/ X
I
,_
i
GROSS SPREAD IN FAVOR OF CANADA
I I' I I I ' i I I I L l . _ L l _ L J . _ i _ J
. : . . . ^
O V E R E D RATE D I F F E R E N T I A L S
FAVCR TANATA
TREASURY BILLS
. A
; PRIME
PRIMI FINANCE PAPER!
r^\
M
J
.S
1968
M
J
1969
S
*
D
V
A
J
1970
'
-V
SELECTED SHORT-TERM INTEREST RATES*
Per cent per
GERMANY
U.K.
U.S.
JAPAN
U.S.
CANADA
1967
1968
1969
1970
* 3 m o n t h t r e a s u r y bill rates for all co u n t r i e s except Japan(Average rate on bank loans and d i s c o u n t s )
and G e r m a n y f l n t e r b a n k Loan Rate)
1971
Hurt 12B
SELECTED SHORT-TERM INTEREST RATES '
Per r e n t per , n n u m
EURO-DOLLAR - LONDON
SWITZERLAND
I !.i i l L l I 1 i . l l l l !
1967
*
I ,.1.1 I
L11
1969
3 m o n t h treasury bill rate for U S . S w i t z e r l a n d - 3 m o n t h deposit rate
3 m o n t h rate for U S dollar d e p o s i t s in L o n d o n
LJJ
1JJ
1971
0
LONG-TERM BOND YIELDS
Weekly figures
Per r e n t per
NETHERLANDS I
CANADA
U.S.
SWITZERLAND
J_L
I I !
LLi±l.LU_l 1
U.K.
EURO DOLLAR BONDS
GERMANY
Monthly figures
U.S. CORP. DOLLAR EURO-BONDS
U.S. CORP. DM EURO-BONDS
U.S. CORP. Aaa BONDS
1967
1968
1969
1970
* New series for S w i t z e r l a n d starts 8 2 68. U S Corp Dollar Euro Bonds and U S Corp DM Euro Bonds starts 12 70
* * New Average yield of all German P A. Bonds begins 9 4 70
1971
CHART 14
INDUSTRIAL STOCK INDICES
SWITZERLAND
GERMANY
JAPAN
CANADA
1969
1970
* Japan indent of 225 i n d u s t r i a l and other stocks t r a d e d on the Tokyo exchange
* * Japan "index of all i n d u s t r i a l and other stocks t r a d e d on the first section of the Tokyo Stock Exchange
1971
H. 13
No. 501
>9
Country
IV. SELECTED C E N T R A L BANK DISCOUNT RATES
Current Rate
In Effect Since
E.E.C.:
Previous Rate *
In Effect Since
*
Belgium
6.0
Mar.
France
6. 5
Jan.
Germany
5.0
Apr.
25,
1971
6. 5
Dec.
10, 1970
8, 1971
7.0
Oct.
20,
1970
1, 1971
6.0
Dec.
3,
1970
Italy
5.0
Apr.
5, 1971
5.5
Mar.
9, 1970
Netherlands
5.5
Apr.
5, 1971
6.0
Aug.
4,
1969
Switzerland
3.75
Sept.
15, 196S
3.0
July
10, 1967
United Kingdom
6.0
Apr.
1, 1971
7.0
Apr.
15, 1970
Canada
5.25
Feb.
24,
1971
5. 75
Feb.
15,
1971
Japan
5.75
Jan.
20,
1971
6.0
Oct.
28,
1970
United States
4.75
Feb.
13, 1971
5.0
Jan.
19,
1971
IV-2
LATEST FIGURES P L O T T E D ON T H E CHARTS
Chart
Panel
1A
Upper
Series
Rate
Date
Swiss franc
+
1.796
"
+
0.786
U.K. pound
"
+
0.712
Dutch guilder
"
+
0.602
April 9
German mark
Lower
IB
French franc
"
+
0.666
Japanese yen
"
+
0.694
Belgian franc
M
+
0.704
Italian l i r e
"
Canadian dollar
^
German mark
2A
26
- -
April 9
+
U.K. pound
"
- 2.79
ii
+
2.10
Canadian dollar
ii
+
0.36
- 0.30
"
April 2
if
Swiss franc
French franc
5A
Upper
"
+
3.47
+
1.89
Call Euro-$ deposits
April 7
n
5.00
"
Lower
Euro-currencies: Euro $
ii
9
Euro DM
,i .•
ii „
Japan, Unconditional Money
U.K., 2-day Local Author. Deps.
April 2
,i
3.98
+
Euro Swiss Fr.
Canada, Day-to-day Loans
2.05
38.90
Differential
Lower
2.22
+
April 9
Middle
Upper
+
Gold price, U.S. dollar per ounce
Federal Funds
5B
1.95
Dutch quilder
German mark
4
- 0.13
"
U.S. dollar
38
0.448
- -
Swiss franc
French franc
3A
\
+
2
April 7
1.02
5.33
5.19
1.84
6.75
7.25
2.90
France, Day-to-Day Money
April 9
5.62
Germany, Call Money
April 8
5.50
Netherlands, Call Money
M a r c h 26
1.78
IV-3
Chart
Panel
6A
/
Rate
Series
Date
Euro-$ Call Rate
April 8
Euro-$ 1-month Rate
6B
7A
Upper
7B
5.75
5.75
"
Euro-S 3-month Rate
"
5.88
Euro-S 6-month Rate
"
6.25
Euro-$ 3-month Deposits
5.81
April 7
U.S. Certificate of Deposits
"
Lower
Differential
"
Upper
Euro-* 3-month Deposits
"
5.81
Euro-) 3-month Deposits ( A d j.)
"
7.26
Lower
U.S. Certificate of Deposits ( A d j . )
"
Differential: on A d j . Euro-$ Deposits
"
3.99
+
4.21
on Unadj. Euro-S Deposits
8A
Upper
Lower
Euro-$ 3-month Deposits
1.82
+
3.05
+
1.60
5. 31
M a r c h 26
Hire Purchase Deposits (covered)
"
4.82
Differential
"
- 0.49
°
8B
Upper
Euro-$ 3-month Deposits
Local Authority Deposits (covered)
"
4.41
Lower
Differential
"
- 0.90
U.S. Treasury B i l l rate
9A
U.K. Treasury B i l l rate
Upper
96
'
Lower
5.31
3. 78
April 8
5.67
"
Local Authority Deposit (uncovered)
April 2
Spread (+= favor London)
April 8
3-month Forward Pound
"
Net Incentive (+= favor London)
"
6.94
+
'
1.89
- 2.61
- 0.72
IV- 4
Chart
Panel
10A
Upper
Series
Euro-$ Deposits (covered)
Date
Rate
5.85
April 7
German Interbank Loan rate
Lower
10B
11
12A
Upper
6. 75
Differential
+
0.90
Euro-S Deposits (covered)
3.87
Swiss Deposit rate
3.75
Lower
Differential
Upper
Canadian Finance Paper
- 0.12
3.88
April 8
U.S. Treasury B i l l rate
3.78
Canadian Treasury B i l l rate
2.98
U.S. Prime Finance paper
(not plotted)
4. 13
Second
B i l l rate differential
- 0.80
Forward Canadian dollar
+
Third
Net incentive on b i l l s
- 0.40
Bottom
Net incentive on Finance Paper
- 0.15
Upper
Lower
U.K. Treasury B i l l rate
3.78
German Interbank Loan rate
6. 75
Japanese Average rate
U.S. Treasury B i l l rate
5.67
U.S. Treasury B i l l rate
Canadian Treasury B i l l rate
12B
April 8
0.40
February
April 8
"
7.676
2.98
3.78
Euro-$ Deposits
"
5.88
Swiss 3-month Deposit rate
"
3. 75
U.S. Treasury B i l l rate
"
3 . 78
1
IV- 5
Chart
Panel
Series
13
Upper
Netherlands
Canada
Middle
*
\
Date
M a r c h 26
M a r c h 31 - 6.23
April 7
6.09
April 7
5.84
Switzerland
March
26
5.44
"
23
7. 92
Germany
Euro-dollar bonds
U.S. Corp. Dollar Euro-bonds
U.S. Corp. DM Euro-bonds
14
Upper
Middle
Lower
*
**
**
7.17
United States
United Kingdom
Lower
Rate
April 2
"
9.02
7.82
February
7.82
"
7.34
U.S. Corp. Aaa bonds
March
7.21
Switzerland
April 2
399.7
Germany
M a r c h 31
275.20
United States
April 9
227.35
United Kingdom
"
2
193.83
Canada
"
1
225.06
Japan
"
2
398.01
United States
"
9
227.35
New -- Average y i e l d of A L L German Public Authorities bonds made as of banking key days.
Beginning week ended September 5, 1970, the Japanese index plotted is that of all industrial and other stocks
on the F i r s t Section of the Tokyo Stock Exchange.
@FedFRASER