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April 26, 1972 No. 555 H-13 Otvi s i * et ietemetieeel Fleece Eerepe mi iiHiali C w w m W i Secftee r \ . 6 y / ^T) * V ^ 1 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS M M W OF GOVEMOB OF TOE FEDERAL K S O V E 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-) 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 Arbitrage: U.S.-Germany and U.S.-Switzerland Chart 11 - Interest Arbitrage: United States-Canada Chart 12 A 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 the format and order of the charts are explained in the Supplement to the series, which accompanied issue dated January 1,1969. All series and their sources are fully described in a Supplement dated January 1, 1972. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent Above 2 GERMAN MARK U K. POUND Central rate against U.S. SWISS FRANC P~\ j(k I I I 1 I i .T L_ AJ DUTCH GUILDER / f f FRENCH FRANC rate •gainst US / I JAPANESE YEN i i i i i i i i i i i l 111l 11l 1111 • | J J 1972 1973 | Bel r\ f\ SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent At /BELGIAN FRANC / rate aganut US / /ITALIAN LIRA / 1 1 1 1 M 1 1 1 J 1 1 1 S 1 1 1 1 D 1 1 1 M 1 1 1 1 J 1972 1 S 1 ^ 0 197S Ratio scale. U S. < CANADIAN DOLLAR ^ / W V R V 1 1 1 1 1 I M J 1 1 1 1 1 S 1970 D I M I 1 I I 1 I I 1 I I J S 1971 D 1 1 1 1 I 1 1 1 1 1 1 M J S 1972 D y Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11, 1971 - Dec. 17, 1971 Weekly averages Abov - 12 - GERMANY/ - - / \\ NETHERLANDS / - , - FRANCE*! JAPAN 1 1 1 1 1 - 1 1 1 1 1 1 1 1 1 1 1 1 1971 * Financial franc 1 1 1 1 1 1 1 1 1 1 1 I 1 1 1 1 B*km | 1 1 StA Chart I D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR 11. 1 9 7 1 - Dec. 17, 1971 U.K. swrrz. ITALY WAV JUNE JULY AUG. SEPT 1971 OCT. MOV DEC 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent per annum PREMIUM CANADIAN DOLLAR U K. POUND PREMIUM GERMAN MARK DUTCH GUILDER DISCOUNT — S D 1969 J S 1970 * Canadian Dollar Rate not supported by Bank of Canada * * No quotation D J 1971 S D S 1972 D £1' 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST VS. DOLLAR Weekly averages Pec cent per annum 1 11 1 1I 111 11 1 ' I " 1 M .U.1 1 " 1 " 1 " SM L$S FRANC M 1 " | I I | M | I I iW 1 Y \ W _ J U / y/ ra ENCM FRANC * 1 / 1/ I I I N I I I I M J S m D 1970 T i M 1i i 1i i 1i i J S I I 1 I I 1 I I 1 I I D M 1971 J S D 1972 i I 11 I I I 1 I I I I • Devaluation of the French franc from 4.94 to 5 55 for $1.00 • • N o quotation Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM GERMAN MARK U S. DOLLAR DISCOUNT S D 1969 * No quotation. 1970 D M J 1971 S D M J 1972 S D SP Chart 38 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U K. POUND Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT - M J S D 1969 # M J S 1970 Devaluation of the French franc from 4.94 to 5.55 for $1.00 0 M J 1971 S D M J 1972 S D s GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings * U.S. dollar equivalent per fine ounce - - / f 1 - / 1 r A - - A> \ A r - ^Vv- f 1 1 M 1 1 J 1 1 S 1 1 1 1 1 1 D M J 1969 1 1 I l 11 i i S D M J 1970 i i i i S D 1971 i i M i i J i i i i S 1972 D CHART SA CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages • 16 1 II EURO-OOULAR 0CPOSFTS CALL -OVER!WIGHT i i i 1 - - i & ^fykV 12 1 / M \*L FEDERAL FUNDS i - I V J | 11 - EURO-DOLLAR OVER FEDERAL FUNDS 1 vyw/ i i 1 i i 1 M l/Wyl b i l l \pj W 1 VVI Jwv II 1 1 j 1 1 1 1 1 1 1i i - 1111111 i 1 i i •v V i i 1 i i 1M EURO-CURRENCIES 1i i Per cent per annum Weekly averages 12 EURO-SWISS FRANC I I M J S D 1 1969 II 1I I 1 I I I I I M J S 1970 * May 10, 1971 - Changed to Overnight Euro S Deposits. D M J 1971 S D M J S 1972 D 5^ Chart 5B CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per annum 12 FRANCE ^ JAPAN "A 1 1 1 1 11 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 CANADA II 1 11 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 II 12 GERMANY t - p. hZJ ! L p n 1 1 V0J ! 1 : 1 I . : i ! ! 1 ! M J S D M 1969 J S 1970 D 1 1 1 1 1 1 1 1 1 1 1 ! I 1 1 1 , I I M J S D M 1971 France, Da> to day Money. Netherlands. Call Money, weekly average Japan, Unconditional Money, Canada. Day to day Loans . average. Germany, Call Money, U K . 2 day Local Authority Deposits - J 1972 S D 5 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 25.50 1 MONTH I I I I I 1 I I I I I M J S D I I I I « I I I I I I M 1969 J S 1970 • M a y 12/71-changed to Overnight Euro-Dollar Deposits #e J u l y l — c h a n g e d to 7-Day Euro-Dollar D I I 1 I I 1 I I 1 I M M J S 1971 D I I i I I 1 I I I I I M J S 1972 O 2 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum V J V\ 6-MONTKi A VMf3-W0NTH A V 1 1 1 1 1 1 I I i 1i 11 i1i !1i i 1 i i1 1 1 1 1 1 1 11 11 1 1 1 1 I I 1 1 1 J 1969 j s 1970 J 1971 1972 s 5 Chart 7A NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum 12 10 EURODOLLAR DEPOSIT 6 6 4 U S CERTIFICATE OF DEPOSIT 2 DIFFERENTIAL FAVOR EURO-DOLLAR " Aa/I r i wv\X 4 A A rA/V - 2 v v ^ + 0 EliIRO DOLLAR OVER U.S. CIERTIFICATE OF DEPOSIT l I 1II M 1I 11 I I J S 1 1 1 11 1l 1111 D 1969 M j 1970 S D l I I 1 l i 1 I I 1 l l M j S 1971 D 1 11 1 11 1 1 1 1 1 M j S 1972 O 2 Chart 7B NEW YORK-LONDON: COST OF U S. DOLLAR FUNDS 3 - M O N T H DOLLAR D E P O S I T R A T E S - P R I M A R Y M A R K E T Wednesday figures EURO DOLLAR D E P O S I T ADJUSTED EURO DOLLAR DEPOSIT UA I 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 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * A d | u s t e d for 20% Marginal Reserve Requirement J. c e RTIFICATE OF DEPOSIT ADJUSTED I I I I I I I I I I 5 Chart 6A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOUAR RATES Friday figures Per cent per annum 12 6 3 + 0 0 I 6 p r p p m v M J i n ! , , S D 1969 11 . ' m r r m , M J 1970 S D M J S 1971 D M J 1972 S D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT "COVERED FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR DIFFERENTIAL 1969 1970 1971 1972 + Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 1 3-MONTH TREASURY B LL RATES N A J U K. LOCAL AUTHORITY DEPOSITS* \ \ r r ^ X 7 V X A .y \ j J 7 7 UNCOVERED A i \\ X A M \f A i V N E W YORK 1 1 1 I I M 1 1 1 1 1 1 J S D 1969 * Plotted for comparison purposes i i l i i I i i l i i M J S 1970 D I I M i i 1 1.1 1 i i 1 I I 1 1 1 1 1 1 1 1 1 J S 1971 D M J S 1972 D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures 4 1 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 1 SPREAD IN FAVOR OF LONDON 1 /I z A PREMIUM, 2 Z FORWARD RAT E \A/ DISCOUNT i I 1 1 l 1 1 1 1 1 1 1 1 I 1 1 1 1 1 1 1 1 1 1 1 I I 1 1 1 1 I I 1 1 1 1 1 1 1 1 1 1 1 FAVOR LONDON DIFFERENTIAL FAVOR NEW YORK I I I I I I I I I I 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-OOUAR COVERED DIFFERENTIAL FAVO* ftAUKFOET FAVOR EUeO-OOUAR M J S 0 M 1969 — No quotation J 1970 s D M J 1971 S D M S 1972 0 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 EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M J D 1969 No quotation M J 1970 s D M J 1971 S D M J 1972 S D gP 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum - p I I | I I | M ] - T T | II BILL RATES CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIANDOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S I I I I I I I I I I I Chart 12A SELECTED SHORT-TERM INTEREST RATES' Per cent per annum GERMANY UJC US. JAPAN CANADA! 1968 1970 • 3-month treasury bill rates for all countries except Jepan(Averafe rate on bank loans end discounts) and Germany(lnterbenk Lean Rate) 1972 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO DOLLAR - LONDON US. SWITZERLAND 1968 1970 * 3-month treasury bill rate for U.S., Switzerland-3 month deposit rate. • * 3-month rate for U S dollar deposits in London. 1972 Chart 13 .ONG TERM BOND YIELDS Weekly figures Per cent per ar 10 8 6 SWITZERLAND I I I I I I I I I I 1 I I 1 1 I I I I I 1 I I 1 I 1 I I I I I I I I I I 1 1 I 1 I I 1 I I 4 11 9 7 S 10 U S. CORP. DOLLAR EURO-BONDS Monthly figures e U S. CORP. Aaa BONDS I I U S. CORP. DM EURO-BONDS 6 i i I i i I i i 1 i i I i i I i i I i i 1 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 1968 1969 1970 1971 1972 lew series for Switzerland starts 6-2-68, 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 1-7-69. # New series F starts 12-71. CHART 14 INDUSTRIAL STOCK INDEXES 280 UNITED STATES 200 480 SWITZERLAND 360 UNITED KINGDOM 240 160 480 JAPAN 360 GERMANY 240 CANADA 1969 1970 1971 * Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. 1972 H. 13 IV. SELECTED CENTRAL BANK DISCOUNT RATES No. 555 Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 4.0 France Germany Italy March 2. 1972 4.5 Pab. 5b 1972 J a n . 13. 1972 5.75 A p r i l 6. 1972 6.0 3.0 Feb. 25, 1972 4.0 Dec. 23. 1971 4.0 A p r i l 1 0 . 1972 4.5 O c t . 14. 1971 Netherlands 4. 0 March 1. 1972 4.5 Jan. 6. 1972 Switzerland 3.75 Sept. 15, 1969 3.0 Fulv 10. 1967 S e n t . 3. 1971 6.0 Am-. 1. 1971 United Kingdom 5.0 Canada 4.75 Oct. 25, 1971 5.25 Feb. 24. 1971 Japan 4.75 Dec. 29, 1971 5.25 J u l v 28. 1971 United States 4.50 Dec. 13, 1971 4.75 Nov. 11, 1971 IV 2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc U.K. pound French franc Japanese yen April 21 it Lower Upper IB Lower 2A Upper 26 Lower 3A 3B Upper 5A Middle Lower 33 Upper Lower i Belgian franc Italian lire Canadian dollar German mark Dutch guilder Rate -0.695 40.084 +1.480 +1.708 " " II +1.356 -0.531 100.38 40.090 40.764 " Actual r a t e " H •• German mark Swiss franc U.K. pound Dutch gui Ider Canadian dollar French franc Japanese yen A p r i l 21 ii H II German mark U.S. dollar Swiss franc French franc A p r i l 14 Gold price, U.S. dollar per ounce A p r i l 21 49.04 Overnight Euro-S 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 A p r i l 19 4.37 4rf*S 0.32 +2.07 +2.43 40.07 +3.06 -0.91 +0.39 n.a. •• II +2.05 -0.14 +2.54 40.29 H " ii " A p r i l 21 " A p r i l 14 " A p r i l 12 A p r i l 14 ! April 21 April 7 j ! 2.40 0.65 5.00 4.06 3.75 4.75 6.06 0.75 i j IV - 3 Chart Panel 6A Date Series Euro-* 7-Day 6B Rate A p r i l 21 Upper 4.50 Euro-S 3-month Rate 5.19 Euro-S 3-month Deposits 5.75 A p r i l 19 U.S. Certificate of Deposits 78 Lower Differential Upper Euro-S 3-month Deposits 4.68 5.25 6.56 U.S. Certificate of Deposits (Adj.) Lower Differential: on Adj. Euro-S Deposits Upper Euro-S 3-month Deposits 4.86 +1.70 on Unadj. Euro-S Deposits •to-39 April 7 Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-S 3-month Deposits -0.72 S-S6 U.K. Treasuiy Bill rate Local Authority Deposit (uncovered) 9B Upper 4.84 Differential U.S. Treasuiy Bill rate 9A Spread (+= favor London) -0.72 A p r i l 21 A p r i l 21 3.48 4.23 A p r i l 14 4.56 A p r i l 21 40.75 3-month Forward Pound Lower 5.56 4.84 Local Authority Deposits (covered) Lower 5.25 4457 Euro-S 3-month Deposits (Adj.) 8A 4.75 Euro-* 1-month Rate Euno-S 6-month Rate 7A Rate -Ml.01 Net Incentive (+- favor London) " 40.76 ! IV- 4 Chart Panel 10A Upper 10B Series Date Euro ) Deposits (covered) A p r i l 19 German Interbank Loan rate „ Lower Differential „ Upper Euro-* Deposits (covered) 3.06 4.88 +1.82 3.06 1. 50r 1.50 A p r i l 12 " 19 Swiss Deposit rate 11 Rate Lower Differentia! Upper Canadian Finance Paper A n r l l 12 A p r i l 19 -0.69r U.S. Treasury Bill rate 3.48 Canadian Treasury Bill rate 3.56 U.S. Prime Finance paper (not plotted) Second 3.47 Bill rate differential +0.08 Forward Canadian dollar 12A -1.04 Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate -0.96 U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 12B 40.34 A p r i l 21 4.23 X p r i l 21 3.48 A p r i l 19 4.88 February 7.340 A p r i l 21 3.56 U.S. Treasury Bill rate „ 3.48 Euro ) Deposits II 5.19 Swiss 3-month Deposit rate -0.12 5.75 A p r i l 21 Apr. 14 A o r i l 21 L.50r 1.50 U.S. Treasury Bill rate 3.48 5<V? IV-5 Chart Panel Series 13 Upper Netherlands Canada United States Switzerland Middle * Germany United Kingdom Date April 7 6.29 A n r i l 12 7.20 A p r i l 1Q S. 66 A p r i l 14 4.66 „ U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower Japan United States 7.63 April 7 Euro-dollar bonds Lower Rate suspei 8.78 ded March 8.17 „ „ 6-AA 7.24 A p r i l 14 II 428.5 305.0 A p r i l 21 247.81 1L 2A6-6S A p r i l 13 245.01 A p r i l 14 560.86 A p r i l 21 247.81 Apr*1 * New - Average yield of ALL 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.
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