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April 7, 1971 No. 500 H-13 - \ Division of International Finance Europe and British Common * e o t $ Section ^ i " 1 / I ( Q<t- yl Cxtf • - - Sa^>/V<t6 rnojJaJ •*//$ 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 Chqft 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 I I Chart 12A and B PART III. Call Money Rates London: Euro-S 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.-Switzer!and Interest Arbitrage: United States-Canada Selected Short-term Interest Rates LONG-TERM INTEREST RATES AND STOCK INDICES Chart 13 Chart 14 - Long-Term Bond Yields - Industrial Stock Indices PART IV. SELECTED C E N T R A L BANK DISCOUNT RATES AND LATEST FIGURES P L O T T E D ON THE CHARTS NOTE: This series is a continuation of the C A P I T A L 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. This e d i t i o n of H.13 i s accompanied by a new Supplement d e s c r i b i n g the s e r i e s p l o t t e d on the c h a r t s and l i s t i n g a l l the sources used. This supplement supersedes the one dated January 1, 1969. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below par Above par FRENCH FRANC- JAPANESE YEN Per with U.S. DUTCH GUILDER Below par J S D 1968 M J 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. M J 1970 S D M J 1971 S D 4 Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR |#FTK BELGIAN FRANC ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. S rate not supported by Bank of Canada. D J 1970 S D M J 1971 S D Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND V \ DISCOUNTJ S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D \p Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUMS DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT- j S D 1968 M S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * Can. $ rate not supported by Bank of Canada. D 32 M S 1970 D M J 1971 S D 1 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM + 20 GERMAN MARK U.S. DOLLAR DISCOUNT — M S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D Chart 3B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC DISCOUNTM J S D 1968 M J S 1969 ' D e v a l u a t i o n of the French franc from 4.94 to 5.55 for $ 1 . 0 0 D M J 1970 S D M J 1971 S D A GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 44 42 40 38 36 34 m j s d m 1968 j s d m j 1969 s 1970 U.S. dollar equivalent per fine ounce 35.3 35.2 35.1 35.0 * Market closed March 15-April 1, 1 9 6 8 J 1967 S D M 1966 m j s 1971 MARKET SUPPORTED BY GOLD POOL M d d 1 CALL MONEY RATES DOLLAR FUNDS Weekly average? Per cent per a n n u m CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO-CURRENCIES Weekly averages EURO DM EURO-DOLLAR EURO-SWISS FRANC 0 Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Friday figures Per cent per annum S E L E C T E D EEC C U R R E N C I E S ' Friday figures FRANCE 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. \> LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per cent per a n n u m , 1-MONTH J M 1968 J 1970 S 1971 2 \3 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m 3-MONTH 1968 1969 1970 1971 C h a r t 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per an 1 li EURO-DOLLAR DEPOSIT 1C 8 U.S. CERTIFICATE OF DEPOSIT 6 4 4 2 + 0 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 s D 1968 S 1969 S 1970 1971 D Chart 7B NEW YORK-LONDON: COSTS 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 f i g u r e s Per cent per a n n u m 14 EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED A d i u s t e d for Reserve R e q u i r e m e n t * * Adjusted for 10% M a r g i n a l Reserve Requirement * * * A d j u s t e d for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t V Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures , Per cent per 14 12 EURO-DOLLAR DEPOSIT 10 8 HIRE PURCHASE 6 4 2 0 FAVOR HIRE PURCHASE 0 2 4 6 8 DIFFERENTIAL s s D 1968 1969 D J 1970 S s D 1971 D n Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per a n n u m EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT FAVOR LOCAL AUTHORITY 1 DIFFERENTIAL J S D 1968 M S 1969 J 1970 S D M S 1971 D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m — i — i i i i 3-MONTH TREASURY BILL RATES 12 r ' U.K. LOCAL AUTH UNCOVERED j LONDON NEW YORK Plotted for c o m p a r i s o n purposes 1*1 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE IN FAVOR OF LONDON ILN FAVOR OF NEW YORK , RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M S D 1968 S 1969 D J 1970 S D S 1971 D , 0 C h a r t 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per a n n u m 1 14 IN TERMS OF DM GERMAN INTERBANK LOAN RATE ^ EURO-DOLLAR COVERED 4 DIFFERENTIAL FAVOR EURO DOLLAR S 1968 D 1969 D 1970 S 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 12 I \ 10 1 . \ t|»po-DOLLAR W- \ r.OVFRFD SWISS DEPOSIT RATE / FAVOR ZURICH DIFFERENT AL FAVOR EURO DOLLAR 1969 1970 1971 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per a BILL RATES CAN. FIN. CO. PAPER CANADIAN > TREASURY BILLS UNITED STATES TREASURY BILLS PREMIUM B I L L RATE DIFFERENTIAL AND FORWARD C A N A D I A N DOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA DISCOUNT COVERED RATE DIFFERENTIALS I TREASURY BILLS i PRIME FINANCE PAPER FAVOR U S J S D 1968 M S 1969 S 1970 S 1971 D SELECTED SHORT-TERM INTEREST RATES'" Per cent per a n n u m GERMANY CANADA I 11 I 11 I 1 1 I I i 1 11 1967 II 1970 * 3 - m o n t h t r e a s u r y bill rates for all c o 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 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES' Per cent per a n n u m H 12 H EURO-DOLLAR - LONDON J f- 10 SWITZERLANO : ± M 1 1 1971 * 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 L U o 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 LI L 1967 .968 1969 1970 * New series for S w i t z e r l a n d starts 8 2 G8 U S Corp Dollar Euro Bonds and U S C o r p DM Euro Bonds starts 12 70 * * New Average y i e l d of all German R A Bonds begins 9-4 70 1971 1958=100 INDUSTRIAL STOCK INDICES Ratio scale - SWITZERLAND 400 GERMANY 240 160 400 320 ---j 240 CANADA 160 1970 i * Japan index of all m d u s t r a r j otner stocks traded on ;ne Tek>o exchange I and other stocks t r a d e d on the first section of the Tokyo Stock Exchanj H. 13 No. 500 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 6.0 Mar. 25, 1971 6.5 Dec. 10, 1970 France 6.5 Jan. 8 , 1971 7.0 Oct. 20, 1970 Germany 5.0 Apr. 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. 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 1, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Date Series- Rate Apr. Swiss franc Lower IB U.K. pound " +0.679 " +0.710 French franc " +0.709 Japanese yen " + 0 . 707 Befgian franc " +0.734 Italian lire " 40.476 Canadian dollar - - - - Apr. 2 Swiss franc • 2B 3A U.K. pound -2.65 Dutch guilder +1.10 Canadian dollar + 0 . 17 French franc -0.67 Apr. German mark 2 Swiss franc +3.47 French franc +1.89 | Gold price, U.S. dollar per ounce 38.85 Upper Call Euro-S deposits Mar. 31 Federal Funds 5B +2.22 +2.05 1 i 3B 5A -0.50 +1.31 U.S. dollar 4 +1.801 +0.818 Dutch guilder German mark 2A 2 11 German mark Middle Differential Lower Euro-currencies: Euro $ Upper Apr. 2 5.45 Euro DM 6. 62 Euro Swiss Fr. 3.82 Japan, Unconditional Money U.K., 2-day Local Author. Deps. Canada, Day-to-day Loans Lower 5.15 4.02 +1.13 France, Day-to-Day Money Germany, Call Money Netherlands, Call Money Mar. 26 11 Apr. 2.95 2 5 . 75 6.82 " Mar. 7.25 7. 69 26 1.78 IV - 3 Chart Panel Rate Date Series Euro-$ Call Rate Euro-$ 1-month Rate " 6B Euro-S 3-month Rate " 5.56 Euro-$ 6-month Rate " 6.00 7A 7B Upper Euro-S 3-month Deposits Apr. Mar. 31 " 3.90 Differential " +1.41 Upper Euro-$ 3-month Deposits " 5.31 Euro-$ 3-month Deposits (Adj.) n U.S. Certificate of Deposits (Adj.) " Differential: on Adj. Euro-$ Deposits Upper Euro-S 3-month Deposits Hire Purchase Deposits (covered) 6. 64 4.08 " +2.56 " +1.23 Mar. 19 5.13 " 4.86 Lower Differential " -0.27 Upper Euro-S 3-month Deposits " 5.13 Local Authority Deposits (covered) " 4.36 Lower Differential U.S. Treasury Bill rate 9A - 0 . 77 Apr. 2 Local Authority Deposit (uncovered) 3.58 5 . 64 U . K . Treasury Bill rate 9B 5.31 U.S. Certificate of Deposits on Unadj. Euro-$ Deposits 86 5.25 Lower Lower 8A 2 4.88 6A Mar. 26 7.44 Upper Spread (+= favor London) 3-month Forward Pound -2.25 Lower Net Incentive (+= favor London) -0.19 +2.06 " IV- 4 Rate Cr,:i, i | f'anel Series Date 10A 1 Upper Euro-$ Deposits (covered) Mar. 31 ; Lower Differential | Upper 7.62 German Interbank Loan rate 10B +1.68 4.05 Euro-$ Deposits (covered) 3. 75 Swiss Deposit rate Lower L : -0.30 Differential Ui'per Canadian Finance Paper Apr. 2 : Canadian Treasury Bill rate 3.06 U.S. Prime Finance paper (not plotted) 4.13 Bill rate differential -0.52 Forward Canadian dollar +0. 32 Third ; Net incentive on bills -0.20 Bottom ; Net incentive on Finance Paper -0.31 _i j 12B 3.50 "3.58 U.S. Treasury Bill rate Second 5.94 I U.K. Treasury Bill rate 5.64 U.S. Treasury Bill rate 3.58 German Interbank Loan rate 7. 62 Japanese Average rate January 7. 685 Canadian Treasury Bill rate Apr. 3.06 U.S. Treasury Bill rate Euro-$ Deposits 2 3.58 " 5.56 " Swiss 3-month Deposit rate Mar. 24 Apr. 2 3. 75 U.S. Treasury Bill rate Apr. 3. 58 2 3. 75r IV- 5 Chart Panel Series Date 13 Upper Netherlands Mar. 26 7. 17 " 6.29 Canada Middle * United States Mar. 3 1 5.82 Switzerland Mar. 26 5.44 Germany Mar. 23 7.92 Mar. 26 9.01 United Kingdom Euro-dollar bonds Lower * * * U.S. Corp. Dollar Euro-bonds * * * U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Middle - Apr. 2 February 7.82 7.82 7.34 " 7.08 " Switzerland Apr. Germany Mar. 3 1 275.20 United States Apr. 2 224.30 " 193.83 Mar. 25 223.62 Mar. 26 393.23 Apr. 224.30 United Kingdom Canada Lower Rate * * Japan United States 2 2 399. 7 * 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. *** S e r i e s r e v i s e d .
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