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April 21, 1971 No. 502 H-13 Division of IntainaWendfTnan^e Europe and British Commonwealth Section ut "" ' \ 1 n j i rf 6cf< • • . J^ / PnxbJctJ,W- ?i> SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. 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 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 7 A 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. - y Chart 1A 3 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND U.S. Below par Above par FRENCH FRANC- JAPANESE YEN U.S. DUTCH GUILDER s M D 1968 M J S D 1969 * Devaluation of the French franc f r o m 4.94 to 5.55 for $1.00. * * DM rate not s u p p o r t e d by the Bundesbank. * * * Revaluation of the DM from 25.00 to 27.32 in U.S. cents. M S 1970 D M J 1971 S D M Chart I B I SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 C A N A D I A N DOLLAR BELGIAN FRANC ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. $ rate not s u p p o r t e d by Bank of Canada. S D M J 1970 S D M S 1971 D 4 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM GERMAN MARK SWISS FRANC U.K. P O U N D DISCOUNT- 1968 1969 1970 1971 Chart 2 8 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 24 28 DISCOUNTM J s D 1968 J s 1969 * Devaluation of the French franc f r o m 4.94 to 5.55 for $1.00. * * Can. $ rate not s u p p o r t e d by Bank of Canada. D 32 M J 1970 S D J 1971 s -A \ 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM 20 GERMAN MARK U.S. DOLLAR DISCOUNT— M J S D 1968 J 1969 S D M J 1970 S D M J 1971 S D Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per a n n u m PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M J S D M 1968 J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 D M J 1970 S D M J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce M A R K E T S U P P O R T E D BY GOLD POOL U.S. dollar equivalent per fine ounce Market closed March 15-April 1, 1968 I I M 1 II M J 1967 I I I I S D M 1968 CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages FEDERAL FUNDS 1 1 T : ! ! 1 E U R O D O L L A R O V E R FEI D E R A L F U N D S V v Y N/VU V \ k : J i ; i i ,o_i. i . j i + 0 1 ; .1 J EURO-CURRENCIES Weekly averages 12 EURO D M EURO DOLLAR EUROS' M J S D 1968 M J 1969 S D M J S 1970 D M j S 1971 D Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Per cent per annum 12 JAPAN 8 JU.K. CANADA 4 0 S E L E C T E D EEC C U R R E N C I E S * * Friday figures Per cent per annum FRANCE GERMANY NETHERLANDS M S D J S D M J S D 1968 1969 1970 1971 * Japan, Unconditional Money; U.K., 2-day Local Authority Deposits; Canada, Day to day Loans, weekly average. * * Germany, Call Money; France, Day-to day Money; Netherlands, Call Money, weekly average. S D LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 13 10 1-MONTH CALL M J 1970 S D 1971 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J S D 1968 M J S 1969 D M J S 1970 D M J 1971 Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday f i g u r e s EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED i • . L L . L L - L I J I I 1 I J _ I 1 1 I- I I I 1 1 I 1_L_L 1 1 l _ j J EURO-DOLLAR OVER | U.S. CERTIFICATE OF DEPOSIT I I ADJUSTED :iii' led for Reserve R e q u i r e m e n t : d | u s ! e d for 10% 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 ^ x LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m EURO DOLLAR DEPOSIT - 'I " l Y ^ i HIRE PURCHASE FAVOR HIRE PURCHASE DIFFERENTIAL s D 1968 J 1969 S D S 1970 D S 1971 f + Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO DOLLAR RATES Friday figures D EURO DOLLAR er cent per annum DEPOSIT 10 LOCAL AUTHORITY P DEPOSIT I I 'I COVERED I | T I FAVOR LOCAL AUTHORITY DIFFERENTIAL J FAVOR EURO DOLLAR S 1968 s 1969 s 1970 D M S 19?1 + Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent p e r a n n u i 12 3 - M O N T H TREASURY BILL RATES U.K. LOCAL A U T H O R I T Y D E P O S I T S * UNCOVERED NEW YORK Plotted for comparison purposes Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per ar Friday figures i 1 1 i i r RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING + — S P R E A D IN FAVOR OF LONDON DISCOUNT FORWARD RATE IN FAVOR OF LONDON r FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1968 M J S 1969 D M J S 1970 D M S 1971 D p>3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per c e n t per a n n u m IN TERMS OF DM GERMAN INTERBANK LOAN RATE ^ EURODOLLAR COVERED 4 DIFFERENTIAL s 1968 s s 1969 1970 s 1971 D 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR Chart 1 1 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s I Per cent per a n n u m BILL RATES CAN. FIN. CO. PAPER CANADIAN > TREASURY BILLS UNITED STATES TREASURY BILLS ILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA | COVERED RATE DIFFERENTIALS ! TREASURY BILLS : PRIME FINANCE PAPER S D D 1968 1969 S 1970 S 1971 / : ' Z Chart 12A SELECTED SHORT-TERM INTEREST RATES* 1 Per cent per a n n u m - i fGERMANY ~ V r- V f r r rVy" •Jnu.K. kn iiZ 1I U " ; \ \ r n a H 1 : i i 1 ' 11 i i ! 1 ! J v f I" / W V ' I Yl 1! 1 |l M i JAPAN u . IAU.S. ^ ; | CANADA ^ 1 v - V A \ 1 M V / ! : m ! !1 !i1 ii 1 !1 ! :i! I I; I 1967 1968 1969 1970 * 3 - m o n t h t r e a s u r y bill rates for all c ou n t r i e s except J a p a n l 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 SELECTED SHORT-TERM INTEREST RATES' Per cent per a n n u m EURO DOLLAR - LONDON SWITZERLAND ! 1_LLLL1 '* 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 r/ Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND 11 U.K. EURO DOLLAR BONDS GERMANY 10 Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS LLL I L L 1967 1968 1969 1970 1971 * 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 s t a r t s 12 70. * * New-Average yield of all German P A Bonds begins 9 4 70. CHART 14 INDUSTRIAL STOCK INDICES 320 -4 2 8 0 U.K. 4 200 160 400 SWITZERLAND -! 3 2 0 GERMANY -J 2 4 0 U.S. 160 JAPAN 400 320 240 CANADA 160 1968 1969 1970 * Japan index of 225 i n d u s t r i a l and other stocks traded 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. 502 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES. Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: lu71 b. 5 Die. MX 1 70 Jan. 8, M71 7. 0 Oct. 2(>, 1 v 70 5.0 Apr. 1, 1971 6.0 Die. 3, Italy 5.0 Apr. 5,1971 5. 5 Mar. ° . 1 ( '7d Netherlands 5.5 Apr. 5, 19 71 6. 0 Aug. 4, Switzerland 3. 75 Sept. 15, 196S 3. 0 J u l y 10, 1 c,h7 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 O c t . 28, 1"70 United States 4.75 Feb. 13, 1971 5.0 Jan. Belgium 6. 0 Mar. 25, France 6.5 Germany l"7() lubu 19, 1«71 IV-2 L A T E S T FIGURES P L O T T E D ON T H E CHARTS ! Chart Panel 1A Upper Lower IB Series Date A p r i l 16 Swiss franc German mark " U.K. pound " Dutch guilder " French franc " Japanese yen " + + 0.410 Canadian dollar - - - - A p r i l 16 - 2.65 Canadian dollar French franc April 9 16 German mark U.S. dollar Swiss franc 4 Upper 5A 3.19 + 2.28 A p r i l 16 38.93 Call Euro-$ deposits A p r i l 14 Differential Euro-currencies: Euro $ " Japan, Unconditional Money 5.79 4.20 + 1.59 " Middle April 9 5.33 5.19 " " 1.84 " 6.75 Germany, Call Money April April " " 9 7 9 16 6.81 2.90 5.62 3.00 Netherlands, Call Money March 26 1.78 U.K., 2-day Local Author. Deps. Canada, Day-to-day Loans ?6 + Gold price, U.S. dollar per ounce Lower Lower April + 2.85 + 2.43 Euro Swiss Fr. . h April 9 16 Euro DM 5B April French franc Federal Funds Upper + 0.43 + 2.10 + 2.69 + 0.64 ' - 0.25 Dutch guilder 3B 0.690 „ " U.K. pound 3A 1.687 0.670 0.741 0.435 0.621 0.685 Belgian franc Swiss franc 2B + + + + + + Italian lire German mark 2A Rate France, Day-to-Day Money IV - 3 Chart Series Date 6A Euro-S Call Rate April Euro-$ 1-month Rate " 5. 50 6B Euro-$ 3-month Rate " 5 . 94 Panel Rate 4. h i 16 Euro-$ 6-month Rate 7A 7B Upper 6.31 Euro-$ 3-month Deposits April " Lower Differential " Upper Euro-$ 3-month Deposits " fa. 31 Euro-$ 3-month Deposits (Adj.) " 7. U.S. Certificate of Deposits (Adj.) " Lower 8B Upper 4 . 32 + " March Euro-S 3-month Deposits Hire Purchase Deposits (covered) " Lower Differential " Upper Euro-S 3-month Deposits + 3.28 + 1.93 5-31 26 4.82 - Lower 9B Upper Lower 4.41 Differential April U.K. Treasury Bill rate " Local Authority Deposit (uncovered) " 0,90 3.82 16 5 . 70 6.94 9 " 16 + | " " -2.79 j 11 " - Spread ( f - favor London) Net Incentive (+- favor London) - " U.S. Treasury Bill rate 3-month Forward Pound 0.4^) 5 . 31 Local Authority Deposits (covered) 9A l.u" 4 . 61 Differential: on Adj. Euro-S Deposits on Unadj. Euro-S Deposits 8A fa. 31 14 U.S. Certificate of Deposits i 1.8b 0.91 I IV - 4 Chart Panel Series 10A Upper Euro-S Deposits (covered) Lower Differential Upper Euro-$ Deposits (covered) Rate Date German Interbank Loan rate 10B Lower 11 Upper + 0.72 " Differential " 3.75P - 0.47 A p r i l 16 3.88 U.S. Treasury Bill rate " 3.82 Canadian Treasury Bill rate " 3.05 " 4=31 B i l l rate differential " Forward Canadian dollar " + Net incentive on b i l l s " - 0.25 Bottom Net incentive on Finance Paper " - Upper U.K. Treasury Bill rate A p r i l 16 5.70 U.S. Treasury Bill rate " 3.82 " 6.50 Third 12A 4.22 " U.S. Prime Finance paper (not plotted) Second 6.50 " Swiss Deposit rate Canadian Finance Paper 5.78 A p r i l 14 German Interbank Loan rate Lower 12B Japanese Average rate February Canadian Treasury Bill rate - 0.77 0.52 0.09 7.676 A p r i l 16 3.05 U.S. Treasury Bill rate " 3.82 Euro-$ Deposits " 5.94 Swiss 3-month Deposit rate " 3.75P U.S. Treasury Bill rate " 3.82 IV - 5 Chart Panel Series Date 13 Upper Netherlands March 26 Canada April 7 Middle Rate " 14 5. hc> Switzerland " 7 5.36 United Kingdom Euro-dollar bonds U.S. Corp. Dollar Euro-bonds " 7 March 26 Upper Middle Lower ** 7, b5 u , 02 7,82 " February U.S. Corp. DM Euro-bonds 14 6.0 V United States * Germany Lower 7,17 7.82 7. 34 U.S. Corp. Aaa bonds March Switzerland March 26 Germany April 7 7.21 399.7 275.60 United States " 16 231,51r United Kingdom ,i .. 190.69 Canada " 8 225.77 Japan " 9 404.01 United States " 16 231.51P * New - Average yield 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 First Section of the Tokyo Stock Exchange. i
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