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A p r i l s , 1972 H o . 5 5 2 H-13 Dwiii* ef Utwwlwed Fiwec* Eswye eedi Brftirii COMNBWMMI Weft* SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOTO OF (MWERMXS OF THE FEKRAL 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 - 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.-Gen&my and US-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-Tern 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, diich accompanied issue dated January 1, 1969. All series and their sources are folly described in a Supplement dated January 1,1972. 4 SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages aJ 1 GERMAN MARK ^U.K. POUND rate t ? MI ! / V SWISS FRANC f / 1 1 1 1 1 1 1 1 1 1 1 i i l1 i I1 i DUTCH GUILDER i i I1 i i 1 Above 2 FRENCH FRANC I JAPANESE YEN • i J J 1972 1973 Chart I B SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent BELGIAN FRANC us ITALIAN LIRA Below M J S M D J 197% S D 1973 Ratio scale, U.S. cents kt CANADIAN DOLLAR / A J / - V AA w Vv V 1 1 1 1 1 1 l l l l l M J S 1970 D 1 1 1 1 1 1 1 1 1 1 1 M J S 1971 D 1 1 1 1 1 1 1 1 1 1 1 M J S 1972 D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages NETHERLANDS JAPAN MAY JUNE JULY SEPT. 1971 * Financial franc OCT. NOV. DEC. V ? Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11. 1 9 7 1 - Dec 17, 1971 UJL ITALY U.S. HAY JUNE AUG. OCT. 1971 NOV. DEC Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum CANADIAN DOLLAR U.K. POUND DISCOUNT— PREMIUM* GERMAN MARK i v DISCOUNT- PREMIUM DUTCH GUILDER DISCOUNT— M J S D 1969 M J S 1970 * Canadian Dollar Rate not supported by Bank of Canada. * * No quotation. S D 1971 D M J 1972 S D U b1 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annual Weekly averages PREMIUM* ISS FRANC FRENCH FRANC | DISCOUNT- | JAPANESE YEN 18 24 I I I I I I I N J S 1 1I I 1I 1I I I D 1969 s Devaluation of the French franc from 4.94 to 5.55 for $1.00. M J 1972 S D 0 Ch 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum GERMAN MARK US. DOLLAR DISCOUNTM J S D M 1969 * No quotation. J 1970 S D M J 1971 S D M J 1972 S D ml 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST UK. POUND Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT— M J S D M 1969 S 1970 •Devaluation of the French franc from 4.94 to 5.55 for $1.00 D M J 1971 S D M J 1972 S D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 50 | 46 | 42 I I 38 34 M J S D M 1969 J S 1970 D M J 1971 S O M J S 1972 D } CHART 5A C A L L M O N E Y RATES DOLLAR FUNDS Per cent per annum Weekly averages 16 1 n EURO-DOL1AR DEPOSITS CALL OVER#IIGHT - - 12 1 & u M Si \ A - FEDERAL FUNDS i J - i EURO DOLLAR OVER FEDERAL FUNDS v V - 1 1 1 II W 1/wV j ] i w/ uy v A / 1 \jvl 1 1 11 1 1 ii - rwV 1 i i 1 i i 1 i i M l •1/ i t i 1 1111 i 111 ii 1 ii 1 i i 1 ii EURO-CURRENCIES Weekly averages Per cent per annum 12 EURO-SWISS FRANC i i l l i i i i i i i i i i i M J S D 1969 # M J S 1970 May 10, 1971 - Changed to Overnight Euro $ Deposits. D M J S 1971 D M J S 1972 O Chart 5B CALL M O N E Y R A T E S SELECTED FOREIGN AND EEC CURRENCIES 1 - FRANCIE IfV f i i -A n 1 1 1 1 1 1 1 1 1I 1 \ I f t r f l lua M i i 1 i i 1 i i 1 i i i i 1 M FHERLAND!5 1 11 1 1 1 11 1 1 II ^ 1 1 1 1 1 1 JAPAN - CANADA > 1 1 1 1 1 1 1 1 1 1 1 11 1 I 1 1 1 1 1 1 - 1 11 1 I 1 1 11 1 1 GERMANY W | J ~ n 11, M i, - I UJCM z 1 1 , , J 1 1 1 1 1 1 1 1 1 1 1 i i 1 i i 1 i i 1 i 111 S D 1969 M J 1970 S D , , 1 . M J 1 . . 1 . . S D 1971 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 i i 1 i i ! i i 1 i i M J 1972 S D \/ Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum r 12/71-changed to Overnight Euro-Dollar Deposits jlyl—changed to 7-0ay Euro-Dollar XV* LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum \ y j k I I / v V\ jkJ 1 V M S - MONTH V 1 1 1 1 1 1 1 1 1 1 1 11 1 1 1 11 1 11 1 1 M J S D 1969 M J 1970 S D 1 1 1 II M J 111111 S 1971 D ii M 1 i r 1i i 1ii J S 1972 D <^77 NEW YORK-LONDON: YIELDS O N U S. DOLLAR F U N D S 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Per cent per annum Wednesday figures 12 - 1 k y 10 EURO DOLLAR DEPOSIT ! i - i| 8 1 >A iyzxiW - I US. CIERTIFICATE OF DEPOSIT i i 1 i i 1 i i 1 i i 1 1 1 1 1 1 1 1 1 11 1 1 1II 1 1 1 1 II V j f i i 1 i i 1 i i 1 i i DIFFERENTIAL FAVOR EURO DOLLAR - AA j W ' AAM r i wvx/ El IRO DOLLAR OVER U.S. CIERTIFICATE OF DEPOSIT i i 1 i i 1 i i 1 i i D i i 1 i i 1 i i 1 i i M 1969 j 1970 S O l I 1 1 I 1 II M j S 1971 1 I 1 D 1 1 1 1 1 1 II 1 1 1 M D j S 1972 X\t> -Ax Chart 7B NEW Y O R K - L O N D O N : COST OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT . ADJUSTED EURO DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER V U S. CERTIFICATE OF DEPOSIT ADJUSTED' S D M 1969 J 1970 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * *Adjusted for. 20% Marginal Reserve Requirement S D M J 1971 S D M J 1972 S D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS h i r e purchase and e u r o d o l l a r r a t e s Friday figures Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE differential M J FAVOR EURO DOLLAR S D 1969 M J 1970 S D M J 1971 S 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 annum 3-month t r e a s u r y b i l l r a t e s UJCLOCA AUTHORITY DEPOSITS UNCOVERED M J 1969 s D J 1970 s 0 M J 1971 s 0 M J 1972 s 0 Chart 98 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum r a t e d i f f e r e n t i a l and 3-month f o r w a r d sterling i PREMIUM, SPREAD IN FAVOR OF LONDON FORWARD RATE DISCOUNT FAVOR LONDON differential FAVOR NEW YORK M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D 4 Mt3 Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK f r a n k f u r t i n t e r b a n k l o a n r a t e vs. l o n d o n e u r o d o l l a r r a t e Wednesday rates Per cent per annum in t e r m s o f dm GERMAN INTERBANK LOAN RATE differential FAVOR FRANKFURT wv FAVOR EURODOLLAR M J S D 1969 No quotation M J 1970 S D M J 1971 S 0 M J 1972 S 0 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC z u r i c h deposit r a t e vs. l o n d o n e u r o - d o l l a r r a t e Per cent per annum Wednesday rates in t e r m s o f swiss f r a n c s EURODOLLAR COVERED SWISS DEPOSIT I i i I i i I i i differential FAVOR ZURICH FAVOR EURO-DOLLAR No quotation M l / Chart 11 3 - M O N T H I N T E R E S T ARBITRAGE: U N I T E D S T A T E S - C A N A D A Friday figures Per cent per annum - b i l l rates CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS b i l l r a t e d i f f e r e n t i a l and f o r w a r d canadian d o l l a r T a M A FORWARD RATE PREMIUM A GROSS SPREAD IN FAVOR OF CANADA DISCOUNT covered rate differentials FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S. M J S D 1969 t M J 1970 S D M J 1971 S D M J 1972 S D Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum GERMANY U.K. US. JAPAN US. CANADA! 1968 1970 * 3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany(lnterbank Loan Rate) 1972 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per EURO DOLLAR - LONDON SWITZERLAND 1968 1970 * 3-month treasury bill rate for U.S., Switzerland - 3 - m o n t h deposit rate. • • 3-month rate for U S dollar deposits in London. 1972 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS CANADA u.s U.S. SWITZERLAND 11 U.K. GERMANY EURO-DOLLAR BONDS 10 US. CORP. DOLLAR EUROBONDS Monthly figures US. CORP. Aaa BONDS VS. CORP. DM EURO-BONDS 1968 1969 1970 1971 1972 * N e w series for Switzerland 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 1 7-69. * * * New series F starts 12 71 I CHART 14 INDUSTRIAL STOCK INDEXES UNITED STATES 4 SWITZERLAND UNITED KINGDOM 24: 4: JAPAN GERMANY CANADA 160 1969 1970 1971 * Japan index of 225 industrial and other stocks traded on 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. 1972 H. 13 IV. SELECTED CENTRAL BANK DISCOUNT RATES No. 552 Country Current Rate In Effect Since In Effect Since Previous Rate E.E.C.: Belgium France Germany Italy 4.0 March 2, 1972 4.5 Feb. 6.0 Jan. 13. 1972 6.50 Dct. 29. 1971 3.0 Feb. 25, 1972 4.0 Dec, 23, 1971 5 , 1972 4.5 Oct. 14. 1971 S.O kpr Netherlands 4. 0 March 1. 1972 4.5 Jan. 6. 1972 Switzerland 3.75 Sept. 15, 1969 3.0 Fulv 10. 1967 Sept. 3. 1971 6.0 Apr. 1. 1971 United Kingdom 5.0 Sj 1071 Canada 4.75 Oct. 25, 1971 5.25 Feb. 24. 1971 Japan 4.75 Dec. 29, 1971 5.25 Julv 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 March 31 Lower IB Upper Lower 2A 26 Upper Lower 3B Gold price, U.S. dollar per ounce 4 Upper Middle Lower 5B i German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen German mark U.S. dollar Swiss franc French franc 3A 5A Belgian franc Italian lire Canadian dollar Actual r a t e German mark Dutch guilder Upper Lower 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 „ " H „ ii ii " ii „ " •i II II Rate -0.166 40.343 +1.573 4-1.498 +1.835 -0.145 100.32 +1.647 +1.413 +2.48 +4. 37 -0.06 +3.95 -0.73 +0.53 n. a. II +2.29 ii ii ii +0.08 +3.27 40.50 „ March 29 ii " March 31 March 24 ii March 29 31 30 " 10 48.36 3.68 4.09 -0.41 3.25p 0 5.25 4.88 3. 75 4.88 4.06 1.93 IV-3 Chart Panel 6A 6B Series Date Euro-* Overnight Rate March 30 7B „ 5.00 Euro-S 3-month Rate •i „ 5.56 5.31 March 29 5.56 Upper Euro-* 3-month Deposits U.S. Certificate of Deposits „ 4.32 Lower Differential ii Upper Euro-* 3-month Deposits „ +1.24 Euro * 3-month Deposits (Adj.) ii Lower Upper 5.56 6.95 U.S. Certificate of Deposits (Adj.) ii 4.58 Differential: on Adj. Euro * Deposits ii +2.37 „ on Unadj. Euro * Deposits 8A 3.88 Euro-S 1-month Rate Euro-* 6-month Rate 7A Rate 40.98 4.75 5.53 4.73 5.15 -0.02 -0.38 March 3 March 10 Euro-* 3-month Deposits Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-* 3-month Deposits Lower March 3 M»ivh i n 4.75 5.53 Local Authority Deposits (covered) „ « 4.54 4.90 Differential •• 0.21 March 10 „ U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 3-month Forward Pound Lower Net Incentive (+= favor London) March 30 „ March 24 March 30 „ ii -0.63 3.80 4. 26 4.81 r +0.46 -0.11 40.35 oy^\ IV-4 Chart Panel Series Date 10A Upper Euro-* Deposits (covered) March 29 Lower Differential German Interbank Loan rate XOB Upper 4.50 Euro-$ Deposits (covered) 11 Differential Upper Canadian Finance Paper 1.09 0.50P -0.59 March 31 U.S. Treasuiy Bill rate 3.47 U.S. Prime Finance paper (not plotted) 4.25 Bill rate differential -0.33 Forward Canadian dollar 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate -0.76 -1.09 40.49 4.26 U.S. Treasuiy Bill rate Japanese Average rate Canadian Treasuiy Bill rate 12B 4.50 January March 31 U.S. Treasury Bill rate " Euro-S Deposits it Swiss 3-month Deposit rate U.S. Treasuiy Bill rate 1 3.80 German Interbank Loan rate Lower 5.50 3.80 Canadian Treasury Bill rate Second 3.22 +1.28 Swiss Deposit rate Lower Rate 7.407 1 3.47 5 3.80 s ,, 0.50p „ 3.80 I IV - 5 Chart Panel Series 13 Upper Netherlands March 10 6.54 " 7-03 Canada United States Switzerland Middle * Germany United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds Rate Date Series? 29 " 31 5.59 " 24 4.72 " 23 7.54 " 17 8.60 March 3 7.2 Feb. 8.00 " 6.85 U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower • • Japan United States 7.27 March 24 433.5 i. 23 294.6 " 31 241.93 „ 285.47 March 23 244.43 March 17 621.02 March 31 241.93 * Hew - 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 oflter stocks on the First Section of the Tokyo Stock Exchange.
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