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August 11, 1971 No. 518 H-13 Divition of - Finqnc# Ewrop# and British Common w o Ith Section . \ SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES <& THE U.S. W E E K L Y SERIES O F C H A R T S 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 Cunpcies 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 7A 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 rod U.S.-Swltzerland 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 was published under that title through December 31,1%8. 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 April 7, 1971. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages SWISS FRANC u.s Below par Above par FRENCH FRANC JAPANESE YEN DUTCH GUILDER Below par * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00. * * Rate not s u p p o r t e d by Central Bank * * * Revaluation of the DM from 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents. * * * * M a y 10, 1971 - Swiss franc revalued, new par 24 485 U S cents 4 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above pa C A N A D I A N DOLLAR BELGIAN FRANC ITALIAN LIRA Below pa CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale. U S cents Ratio scale, U S cents 100 CANADIAN DOLLAR DUTCH GUILDER 94 GERMAN MARK L_J 1971 * Rate not supported by Central Bank 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR cent per a n n u m Weekly averages 10 PREMIUM GERMAN MARK SWISS FRANC U.K. P O U N D DISCOUNT M J S D M 1968 'No quotat,on J 1969 S D M J S D M 1970 J S D 1971 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m JAPANESE YEN I. C h a r t 2B 3 MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Wee kly averages Per cent per a n n u m PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT J s D 1968 M J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * Can. $ rate not supported by Bank of Canada. * * * No q u o t a t i o n D 32 M J 1970 S D M S 1971 D Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 20 GERMAN MARK U.S. DOLLAR DISCOUNT — S D 1968 * N o quotation. M S 1969 D M S 1970 D M J 1971 S D Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per c e n t per a n n u m PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M S D 1968 J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $ 1 . 0 0 D J 1970 S D M J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's a v e r a g e of afternoon fixings U.S. dollar equivalent per fine ounce MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce , *- / X 1 1 1 1 1 1 1 1 1 1 1 M Market closed March 15-April 1, 1 9 6 8 ( ^ J S D i i M V' CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages EURO-DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS EURO-DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages ent per annu EURO DM EURO DOLLAR EURO-SWISS FRANC Lx_1_L..l M i i _ iL J S D 1968 h May 10, 1971 - M J i. L I S 1969 Changed to Overnight Euro $ Deposits 1-Li D l i 1 i i i : .. i M J 1970 CALL MONEY RATES FOREIGN CURRENCIES* Per cent per a n n u m CANADA S E L E C T E D EEC C U R R E N C I E S * * Per cent per a n n u m Friday figures FRANCE GERMANY NETHERLANDS 1968 1969 1970 * 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. 1971 LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per ,1 Friday figures 25.50 OVERNIGHT 1-MONTH CALL 7-DAY M J S D M 1968 J S 1969 * May 1 2 / 7 1 — c h a n g e d to Overnight Euro-Dollar Deposits * * July 1 - c h a n g e d to 7 Day Euro-Dollar D M J S 1970 D M J S 1971 D £ Chart 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 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 1969 S D M J 1970 V NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 M O N T H DOLLAR Wednesday f i g u r e s DEPOSIT R A T E S - P R I M A R Y MARKET Per cent p e r a n n u i EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E O F DEPOSIT ADJUSTED LJ EURO-DOLLAR I I I I ^ . r 1 1 1 OVER U.S. C E R T I F I C A T E OF D E P O S I T ADJUSTED VS J !\ l j \ y | V V 1 . i 1 1 1J 1 1 1 1 J L_ i l l M J \ ' y ([ S D - 1968 M | 1.11 1 1 1 1_ 1 J 1 1 1 1 i 1 1 1 _1 11 ] 1 1.11 1 1 1 i J J 1969 A d j 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 \/ S D M J S 1970 D M 1971 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO-DOLLAR RATES Friday figures , Per cent per a n n u m 14 EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED | FAVOR HIRE PURCHASE j m DIFFERENTIAL • FAVOR EURO DOLLAR S D 1968 J 1969 S D M S 1970 D M S 1971 D + n Chart 8 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO-DOLLAR RATES Per cent per annum Friday f i g u r e s 14 4 12 EURO-DOLLAR DEPOSIT i LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL i ; M i L_L FAVOR EURO DOLLAR 1 1 1 I . . ! , 1. J 10 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m 12 3-MONTH TREASURY BILL RATES U.K. LOCAL A U T H O R I T Y UNCOVERED DEPOSITS 10 Plotted for comparison purposes I t INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures , Per cent per a n n u m RATE D I F F E R E N T I A L A N D 3 - M O N T H F O R W A R D STERLING SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE \ A 2 IN FAVOR OF LONDON 'IN FAVOR OF NEW YORK 1 RATE D I F F E R E N T I A L W I T H F O R W A R D E X C H A N G E COVER (NET I N C E N T I V E ) s 1968 J 1969 s D M J 1970 S D S 1971 Ai'O r 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 Per ce Wednesday rates IN T E R M S OF D M GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED FAVOR FRANKFURT | DIFFERENTIAL FAVOR EURO DOLLAR 1968 1969 1970 1971 , Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - SWISS FRANC Z U R I C H D E P O S I T 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 W e d n e s d a y rates Per cent per a IN T E R M S OF S W I S S F R A N C S EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR 1968 1969 1970 , 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per annu BILL RATES CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS B I L L RATE DIFFERENTIAL A N D FORWARD C A N A D I A N DOLLAR i 2 FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA 'DISCOUNT .Ll. I L i ! .I_L 1 1 l_L_l__L.l 1 i 1 i = ! I I 1 1.1 ! 1 i i 1 j T ! COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS i nvv^ :\ r^\al \ r\ 1~ aA , /i FAVOR U S " - " ' i i FAVOR CANADA PRIME FINANCE PAPER \ A V FAVOR U S ... i ; I i l ! M J S D M 1968 J 1969 S D M J S 1970 D M J i l Li. S 1971 D iJ 2 / A SELECTED SHORT-TERM INTEREST RATES1* Per cent per a n n u m GERMANY U.K. U.S. 9 JAPAN U.S. CANADA 1967 1968 1969 1970 * 3 m o n t h t r e a s u r y bill rates for all c ount 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 ( l n t e r b a n k Loan Rate) 1971 - 4 - SELECTED SHORT-TERM INTEREST RATES' Per i ent per a n n u m -i 12 EURO DOLLAR - L O N D O N SWITZERLAND L L i I 1 J_L1 * 3 m o n t h t r e a s u r y 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 m L o n d o n LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m 1 10 NETHERLANDS CANADA SWITZERLAND U.K. EURO DOLLAR BONDS GERMANY I I I I I I 1 1 J U.S. C O R P . DOLLAR E U R O - B O N D S U.S. CORP. D M EURO-BONDS U.S. C O R P . A a a B O N D S New series for S w i t z e r l a n d starts 8 2 6 8 , U S Corp Dollar Euro Bonds and U S C o r p DM Euro Bonds starts 12 70, Euro Dollar Bonds start 5 10 Monthly figures 4 2-71. * * New-Average yield of all German PA Bonds begins 9 4 70 INDUSTRIAL STOCK INDICES i 320 280 U.K. 200 i SWITZERLAND 400 320 GERMANY 1 240 U.S. 160 JAPAN 400 320 240 CANADA 160 1968 1969 1970 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. 1971 H. 13 No. 518 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 6.75 May 13, 1971 6.5 Jan. 8 , 1971 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, 1969 3.0 J u l y 10, 1967 United Kingdom 6.0 Apr. 1, 1971 7.0 Apr. 15, 1970 Canada 5.25 Feb. 24, 1971 5.75 Feb. 15, 1971 Japan 5.25 J u l y 28, 1971 5.5 May 8, 1971 United States 5.00 J u l y 16, 1971 4.75 Feb. 13, 1971 IV-2 LA'TEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Lower Series Swiss franc Aug 6 + 0.256 U.K. pound " + 0.759 " + 0.726 " + 0.732 French franc Japanese yen IB Upper Lower 2A 2B Upper Lower 3A * Belgian franc H + 0.726 Italian lire » + Canadian dollar «• German mark " 28.96 " 28.25 German mark ii + 1.21 Swiss franc " + 2.62 U.K. pound M Dutch guilder " - 0.51 + 2.34 Canadian dollar " + 1.31 French franc II + 1.89 Japanese yen ii + 4.79 German mark 4 5A - Upper July ii + 2.00 || + 1.89 Gold price, U.S. dollar per ounce Aug 6 42.48 Overnight Euro-$ deposits Aug 4 11.54 Middle Differential " Lower Euro-currencies: Euro $ 5.57 + 5.97 Aug 6 » Euro Swiss Fr. •1 Japan, Unconditional Money Julv 7.10 3.98 4.22 30 6.25 11 30 6 . OOr Canada, Day-to-day Loans " 28 France, Day-to-Day Money Aug 6 U.K., 2-day Local Author. Deps. 1.79 0.54 French franc ii Lower + + Swiss franc Federal Funds Upper 30 || Euro DM 56 0.356 98.18 Dutch guilder U.S. dollar 3B Rate Date Germany, Call Money Netherlands, Call Money July 30 July 16 3.60 5.50 2.00-6.75 3.55 IV-3 Rate Series Date 6A Euro-S 7 Day R a t e Aug 6 6B Euro-$ 3-month Rate 7.25 Euro-$ 6-month Rate 7.50 Chart Panel Euro-$ 1-month Rate 7A Upper Lower 7B Upper Lower 7.12 " Aug 4 7.06 U.S. Certificate of Deposits " 5.78 Differential " Euro-$ 3-month Deposits Euro-S 3-month Deposits + " 7.06 " 8.82 U.S. Certificate of Deposits (Adj.) " Differential: on Adj. Euro-$ Deposits " + 2.63 " + 0.87 Upper Euro-S 3-month Deposits Lower Differential Upper Euro-$ 3-month Deposits Lower Differential July 6.19 6.38 16 6.02 Hire Purchase Deposits (covered) 8B - 5.67 U.S. Treasury Bill rate July 3-month Forward Pound Lower Net Incentive (+- favor London) 5.53 " Spread (+= favor London) | 0.71 5.23 Aug 6 Local Authority Deposit (uncovered) Upper - " U.K. Treasury Bill rate 9B 0.36 6.38 Local Authority Deposits (covered) 9A 1.28 Euro-$ 3-month Deposits (Adj.) on Unadj. Euro-$ Deposits 8A 6.25 6.19 30 Aug 6 + 0.30 " - 0.48 " - 0.18 IV-4 Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) Aug 4 German Interbank Loan rate " Lower Differential " Upper Euro-$ Deposits (covered) " 10B Rate 6.08 7.62 + 4.30 Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper 3.50p - 12A U.S. Treasury Bill rate " 5.23 Canadian Treasury Bill rate " 3.83 Bill rate differential - 1.40 + 1.22 - 0.18 Net incentive on bills Bottom Net incentive on Finance Paper Lower U.K. Treasury Bill rate " + 0.19 Aug 6 5.53 U.S. Treasury Bill rate " 5.23 German Interbank Loan rate " 7.62 Japanese Average rate Canadian Treasury Bill rate 12B 5 . 66 Forward Canadian dollar Third Upper 0.80 4.25 Aug 6 U.S. Prime Finance paper (not plotted) Second 1.54 May Aug 6 7.640 3.83 U.S. Treasury Bill rate 5.23 Euro ) Deposits 7.06 Swiss 3-month Deposit rate 3.50p U.S. Treasury Bill rate 5.23 IV- 5 Chart Panel Series 13 Upper Netherlands Date Rate J u l y 16 7.47 " 28 7.29 Canada United States Switzerland Middle * " 23 9.31 " 30 7.55 " 7.25 " 7.64 Canada 1 1 8.30 U.S. Corp. Aaa bonds United Kingdom ** June U.S. Corp. DM Euro-bonds Germany Lower 8.35 Euro-dollar bonds United States Middle „ „ United Kingdom Switzerland Upper 14 5.95 5.45 Germany U.S. Corp. Dollar Euro-bonds Lower Aug 4 J u l y 30 J u l y 30 408.5 " 273.0 Aug 6 211.48 J u l y 30 225.18 " 29 219.03 Japan Aug 2 461.10 United States Aug 6 211.48 * 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.
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