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April 19, 1972 No. 554 H-13 Drnei* W h i t — « i » d F i w e E # # e m i M i d i CIWIII n l * SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS SOMtO OF GOVERNORS OF THE FEDBtAL *£$£*Vt 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 - Call Money Rates Chart 6A and B - London: Euro-S Deposit Rates Chart 7A and B - New York - London: Yields on U.S. Dollar Funds Chart 8A and B - London: Covered Yields on U.S. Dollar Funds Chart 9A and B - Interest Arbitrage: United States-United Kingdom Chart 10A and B - Interest Aibitrage: U.S.-Germany and U S -Switzerland Chart 11 - Interest Arbitrage: United States-Canada Chart 12A and B - 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 was published under that title through December 31, 1968. The changes In tieformatand order of fie charts are explained in tie Supplement to fie series, which accompanied Issue dated January 1,1969. All series and their sources are ftilly described in a Supplement dated January 1, 1972. SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent ~Abo GERMAN MARK h U.K. POUND SWISS FRANC | DUTCH GUILDER FRENCH FRANC against JAPANESE YEN S 1972 0 J 1973 S D 5 3 3 Chart IB SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Above 2 BELGIAN FRANC Central rate against US dollar ITALIAN LIRA J I I I I I I I I I I I I I I 1972 I I I I I I L 1973 Ratio scale. U.S. cents 102 CANADIAN DOLLAR / A t J hr- 100 T V r V i i i i i 1 i i 1 i i M J S 1970 1 1 1 1 1 1 1 1 1 1 1 M J 1971 S 0 1 1 1 1 1 1 1 1 1 1 1 M J 1972 S 0 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11. 1971 - Dec 17, 1971 Weekly averages Per cent Above pai GERMANY NETHERLANDS FRANCE JAPAN dollar Below par MAY JUNE JULY AUG SEPT. 1971 * Financial franc OCT. NOV. DEC & Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971- Dec 17, 1971 Above par U.K. SWITZ. ITALY Per US MAY JUNE JULY AUG. SEPT. 1*71 •For clarity the vertical scale is double that used in 1C OCT. NOV DEC 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum CANADIAN DOLLAR U K. POUND DISCOUNT- GERMAN MARK DISCOUNT- PREMIUM DUTCH GUILDER DISCOUNT — J S S D 1969 1970 * Canadian Dollar Rate not supported by Bank of Canada. * * No quotation D J 1971 S D J 1972 S D Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Per cent per annum Weekly averages = PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT- 1970 1971 1972 JAPANESE YEN 24 1969 * Devaluation of the French franc from 4 94 to 5 55 for $1.00 * * No quotation 1972 cf^ 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 20 PREMIUM GERMAN MARK US. DOLLAR DISCOUNT- M J S D 1969 * No quotation. M J 1970 S D M J 1971 S D M J 1972 S D 531 Chart 3B 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cer t per SWISS FRANC FRENCH FRANC DISCOUNT- U J S D 1969 # M S 1970 Devaluation of the French franc from 4 94 to 5.55 for $1.00 D n.rv I 16 PREMIUM M S 1971 D s 1972 D -- ^ GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce - - - z1 y ri z - - aJ r A k X - r Anr 1 1 11 11 11 11 11 11 1i i i i i i i i i i M J S D 1969 M J 1970 S D M J 1971 S D ,, M 1 11 11 1 J S 1972 O CHART 5A 51/ CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum ~i i n r EURO-DOLLAR DEPOSITS | ; CALL OVERNIGHT 16 FEDERAL FUNDS | 1 ! | i 1 EURC1-DOLLAR OVER FEDERAL FUNDS WAvu/ V vVv : i 1 i i ! M 1 : vv \/V VH' L .V U L ! ! 1 1 1 1 I! I 1 i , : 1 i s i ; ! ! i i 1i i 1m EURO-CURRENCIES Per cent per annum Weekly averages 12 EURO-SWISS FRANC J i i I i i 1 i i 1 i i 1 I i I I l 1 I l I I I II 1 I II I 1> I — II T W * May 10, 1971 - Changed to Overnight Euro $ Deposits. i • I Chart 5B CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per a n r u r r 12 FRANCE ^ JAPAN - CANADA 1 1 1 1 ! 1 1 1 1 1 1 i , 1 , , ! i , 1 , , 1 1 1 I ! ! I ! 1 1 1 1 i I ! ii France, Day-to day Money; Netherlands, Call Money, weekly average Japan, Unconditional Money. Canada, Day-to-day Loans, weekly average; Germany, Call Money. U K . 2 day Local Authority Deposits I M 1 i i LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures 2550 OVERNIGHT * M a y 12/71-changed to Overnight Euro-Dollar Deposits " J u l y 1-changed to 7-Day Euro-Dollar .J Xx * LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 12 k f t i /I luA/i / * 10 1\ A V V A / f j i 1 U V \j VhJ/zUOMTH i y J V 1 1 1 1 1 1 1 1 1 1 1 j 1 1 1 1 1 1 1 1 1 1 1 s 1969 J 1970 s 1 1 1 1 1 1 1 1 1 1 1 1971 II 1 1 1 1 1 1 1 II j s 1972 5 7 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT CERTIFICATE OF DEPOSIT i I 1I I ! I I 1I I 1 I i 1I I I I I 1I I 1I I 1I I ' I I I I I I I I 1I I I I I I I I DIFFERENTIAL FAVOR EURO DOLLAR A AVV\ [AjV ri\U\/| Aa ji - ElIRO-DOLLAR OVER U.S. CIERTIFICATE OF DEPOSIT i i 1 i i 1 i i 1 i i M J S D i i 1 i i 1 i i 1 i i M 1969 J S 1970 D l l 1 l I 1 l l 1 I 1 M J S 1971 D II 1 1 1 1 II M J 1972 1 1 1 S 0 2 Chart 7B NEW YORK-LONDON: COST OF U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT ADJUSTED EURO DOLLAR DEPOSIT U S. C E R T I F I C A T E O F D E P O S I T I ADJUSTED I , 1 i 1 , , J i , 1 i . 1 j EURO-DOLLAR OVER U S. C E R T I F I C A T E O F D E P O S I T ! ADJUSTED M J S D 1969 M J S 1970 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * A d j u s t e d for 20% Marginal Reserve Requirement D M J S 1971 D M J S 1972 D 5Y7 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures P c <e"t per a ^ .— EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL m J s D 1969 m J 1970 S D m S 1971 0 S 1972 d + LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL A U T H O R I T Y A N D EURO-DOLLAR RATES Friday figures Per cent per annum — 12 EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT "COVERED FAVOR LOCAL AUTHORITY FAVOR EURODOLLAR DIFFERENTIAL 1969 1970 1971 1972 + Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures cent per a 3 - M O N T H TREASURY B I L L RATES w y M J S D M 1969 * Plotted for comparison purposes J S 1970 D M J S 1971 D M J S 1972 Chart 98 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures - Per cent per a m u r - PREMIUM | RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING | SPREAD IN FAVOR OF LONDON j FORWARD RATE FAVOR LGNC' N DIFFERENTIAL m J S 0 1969 m J 1970 S D M J 1971 S D M J 1972 S D 4 SS) Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO-DOLLAR m J S d m 1969 — No quotation J 1970 s d m J 1971 S D m J 1972 S d Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE • i i i i i i i i i ' 1 1 1 II 1 1 1 1 1 1 i i l i i I i i 1 i_i No quotation 1970 S i i 1 i i 1 i i 1 i i w J 1971 FAVOR ZURICH ru v \ m vi r v J 1969 i i i i i i i i i i i a DIFFERENTIAL \A v a• ~¥r -irv i s I FAVOP EURO DOLLAR 1 1 1 1 1 1 1 1 t I M J 1972 S 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per 10 - BILL RATES 8 CAN. FIN. CO. PAPER 6 UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS 4 2 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR i A FORWARD RATE PREMIUM 7 2 + 0 GROSS SPREAD IN FAVOR OF CANADA 2 DISCOUNT COVERED RATE DIFFERENTIALS FAVOR CANADA 2 + 0 2 FAVOR CANADA 2 PRIME FINANCE PAPER + 0 FAVOR U.S. J S D 1969 M J 1970 s D M J 1971 s d M J 1972 S 0 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per ammwm UX JAPAN U> xj_L 1968 1970 • 3-month treasury bill rates for all countries except Japan(Average rate on bank leans and discount*) and German/(Interbank Loan Rate) 1972 SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LONDON f i i i i i i i i i i 1 i i i i i 1 i i i i i 1 i i i i i i i i 1 i i i i i 1 i i 1 i i 1 i i i i i 1 i i i i i 1 i i i o 1970 1968 1972 • $• month treasury bill rate for U.S., Switzerland-3-month deposit rate. * * 3-month rate for U.S. dollar deposits in London. 5^ LONG-TERM BOND YIELDS Per cent per annum Weekly figures 11 U.K. i i 1 i iI ii Ii i i i Ii i Ii i Ii i i i I ii Ii i Ii i i i 1 i i I ii Ii i U.S. C O R P . D O L L A R E U R O - B O N O S Monthly figures i i I i i I i i I i i1 5 10 U.S. C O R P . A M B O N O S -VS. I I 1 I I I I I I I I I » » I I I I M 1968 1969 i i CORP. O M EURO-BONOS I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I 1 I I 1 1970 1971 1972 * N e v senes for Switzerland starts 8-2-68, U S Corp. Dollar Euro-Bonds and U S Corp. OM Euro Bonds starts 12 70 * New series F starts 12-71. 4 CHART 14 1958=100 Ratio scale UNITED STATES SWITZERLAND 1972 H. 13 No. IV. SELECTED CENTRAL BANK DISCOUNT RATES 554 Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium France Germany Italy 4.0 March 2. 1972 4.5 P * b . 5b 1 9 7 2 5.75 A p r i l 6. 1972 6.0 Jan. 3.0 Feb. 4.0 Dec. 23, 4.0 A p r i l 1 0 . 1972 4.5 Oct. 14, 1971 25, 1972 13, 1972 1971 Netherlands 4. 0 March 1. 1972 4.5 Jan. 6. 1972 Switzerland 3.75 Sept. 15, 1969 3.0 Fulv 1 0 . 1967 3. 1971 6.0 Aor. 1. 1971 United Kingdom 5.0 Sept. Canada 4.75 Oct. 25, 1971 5.25 Feb. Japan 4.75 Dec. 29, 1971 5.25 Julv 28. 1971 United States 4.50 Dec. 13, 1971 4.75 Nov. 24. 1971 11, 1971 IV-2 L A T E S T F I G U R E S P L O T T E D ON T H E C H A R T S Chart Panel Series 1A Upper Swiss franc U . K . pound French franc Japanese yen Lower Upper IB Lower 2A Upper 2B Lower 3A 3B A p r i l 14 ii it H „ Upper 5A Middle Lower Upper 5B Lower I II German mark Swiss franc U . K . pound Dutch guilder Canadian dollar French franc Japanese yen A p r i l 14 German mark U.S. dollar Swiss franc French franc A p r i l 14 M Overnight Euro-$ deposits Federal Funds Differential Euro-currencies: Euro DM Euro Swiss Fr. Japan, Unconditional Money U . K . , 2-day Local Author. Deps. Canada, Day-to-day Loans France, Day-to-Day Money Germany, Call Money Netherlands, Call Money " " ii ii ii «• " „ +2.00 +3.29 +0.14 +3.43 -0.81 +0.43 n.a. +2.05 -0.14 +2.54 +0.29 48.82 A p r i l 12 " April 7-14 ii II April 7 April April April April -0.295 +0.172 +1.575 +1.828 +1.702 -0.253 100.30 +1.528 +1.207 H II ii Actual rate Gold price, U.S. dollar per ounce 4 l Belgian franc Italian lire Canadian dollar German mark Dutch guilder Rate Date 12 14 14 7 3.84 4.18 -0.34 3.75 3.55 0.88 0.75 5.00 4.38 3. 75 4 . 75 4.25 1 0.75 IV - 3 Chart Panel Series Date 6A Euro-) 7 - D a y 6B Euro-$ 3-month Rate Rate April 14 Euro-) 1-month Rate Upper Euro-) 3-month Deposits 6.00 6.38 April 12 U.S. Certificate of Deposits 7B Lower Differential Upper Euro-S 3-month Deposits 40.63 5.31 6.64 U.S. Certificate of Deposits ( A d j . ) 4.86 Differential: on Adj. Euro ) Deposits +1.78 on Unadj. Euro ) Deposits 8A Upper Euro-) 3-month Deposits 44.45 April 30 Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro ) 3-month Deposits Differential U.S. Treasury B i l l rate 9A -0.79 5.53 4.80 || April 14 U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 3-month Forward Pound Lower 5.53 4. 74 Local Authority Deposits (covered) Lower 5.31 4.68 Euro-) 3-month Deposits ( A d j . ) Lower 4.06 4.81 Euro-) 6-month Rate 7A Rate -0.73 3. 78 4.27 Anril 7 April 14 4.62 40.49 40.12 Net Incentive (*= favor London) 40.61 | IV-4 Chart Panel Series 10A Upper Euro-* Deposits (covered) Date A p r i l 12 Gentian Interbank Loan rate Lower 10B Upper +1.27 Euro-S Deposits (covered) 2.19 Swiss Deposit rate 11 Differential Upper Canadian Finance Paper 0.50p -1.69 A p r i l 14 U.S. Treasuiy Bill rate 3.63 U.S. Prime Finance paper (not plotted) 4.37 Bill rate differential -0.15 Forward Canadian dollar 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate U.S. Treasuiy Bill rate 12B -0.80 -0.95 40.33 SI „ 4.27 3.78 A o r i l 12 4 . 75 February 7.340 A p r i l 14 ii Euro-) Deposits Swiss 3-month Deposit rate 5.50 3.78 Canadian Treasuiy Bill rate Second 3.48 4 . 75 Differential Lower Rate 3.63 3.78 5.31 H U.S. Treasury Bill rate " 0.50 3 . 78 & IV-5 Chart Panel Series 13 Upper Netherlands Canada United States Switzerland Middle Mar-31-Apr. 7 6 VI 6.29 Aor.5-Aor. 12 7.20 7.20 April 12 5.67 Mar. 31-Anr. 7 4.77 * Germany United Kingdom spp h „]oti March 30 7.52 Anril 7 8.78 Euro-dollar bonds Lower U.S. Corp. Aaa bonds 14 Switzerland Germany United States Middle Lower |f Pehruarv f| • * Japan 8.00 6.85 ii 7.27 Apr. 7-Apr. 14 425.6 - 428.5 Apri1 7 Aoril 14 United Kingdom Canada 4.79 suspe ided U.S. Corp. Dollar Euro-bonds Series? U.S. Corp. DM Euro-bonds Upper Rate Date 7QA.2 248.88 286.65 April 6 244.29 April 7 544. 74 United States A p r i l 14 • N e w - Average yield of ALL German Public Authorities bonds made as of banking key days. 248.88 ** Begiming week aided September 5, 1970, the Japanese index plotted is that of all industrial and other stocks on the First Section of the Tokyo Stock Exchange. March 3 10 17 24 31. April 7 U.K. 8.39 8.50 8.60 8.86 8.79r 8.78
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