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August 18, 1971 No. 519 H«13 r ' Division of lnttn^tionol Finonc# Europe and British Common weolth Section ;;,3 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD Of GOVERNORS OF THE FEDERAL RESERVE SYSTEM V 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 12A 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 April 7, 1971. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below par Above par FRENCH FRANC- JAPAItNESE YEN Par US dollar DUTCH GUILDER Below par M J S D 1968 * * * * * * * * * M J S D M 1969 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. May 10, 1971 — Swiss franc revalued; new par 24.485 U.S. cents. J 1970 S D M J 1971 S D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par | l_ CANADIAN DOLLAR j BELGIAN FRANC J Below par CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale, U S cents Ratio scale, U S cents 1 100 ' ! CANADIAN DOLLAR DUTCH | GUILDER GUILDER PAR /* | GERMAN MARK MARK PAR ; i j i , , , , 1971 * Rate not supported by Central Bank , ! 1970 1971 Chart 2A 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. POUND DISCOUNT 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m j 1 i ' JlAPANESE YE:N | 1 j - " - ! i 1 \rJ - - i PREMI,uw+ I 1 1 1 M j I 1 I J 1970 i ! S i 1 ! I D I 1 1 M 1 1 1 1 1 1 J 1971 S I 1 D I? Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM DUTCH GUILDER \ - y >. CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT- M J S D 1968 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 J 1971 S D 1 Chart 3A 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 * N o quotation. M J 1969 S D M J 1970 S D M J 1971 S D C h a r t 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 J S D 1968 M 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 20 M J 1970 s D M S 1971 D c \ 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 M J S D 1968 M 34 J S D 1969 M J S 1970 U.S. dollar equivalent per fine ounce 35.3 33.2 35.1 35.0 * M a r k e t closed March 15-April 1, 1 9 6 8 J M J 1971 MARKET SUPPORTED BY GOLD POOL M D S D CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per a n n u m EURO-DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS EURO-DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages Per cent per a n n u m EURO DM L EURO-DOLLAR h EURO-SWISS FRANC ._L_i M S D 1968 * May 10. 1971 - J S 1969 Changed to Overnight Euro $ Deposits. * * Dropped as of August 18, 1971. D S 1970 D S 1971 D Chart 5 6 CALL MONEY RATES FOREIGN CURRENCIES* Friday figures Per cent per annum JAPAN SELECTED EEC CURRENCIES' Per cent per annum Friday figures FRANCE NETHERLANDS M J S D M 1968 J 1969 S D M J S D M J 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. S 1971 D C h a r t 6A LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a n n u m Friday f i g u r e s 25.50 OVERNIGHT 1-MONTH CALL 7 DAY S S D 1968 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 1970 s S 1971 D \3 LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per annum Friday figures 3-MONTH 1968 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s D 1968 S 1969 D S 1970 S 1971 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 J f/ ADJUSTED* - \ /u/s ^ \ / i 1 W i UVA '1:Jll v\ V r t L (\ ' 1 M l 1 1111111 111 M J S D II 1 II M 1968 1 II J 1969 Adjusted 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 * * * Adjusted for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t 111 S D M i i i 11 i 11 i i M 1 1 1 1 1 1 1 1 1 M J 1970 M J 1971 i Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per 14 12 EURO DOLLAR DEPOSIT 10 ^ [Ya/HIRE PURCHASE 8 6 4 2 0 FAVOR HIRE PURCHASE 0 2 4 6 8 DIFFERENTIAL FAVOR EURO-DOLLAR 10 M J S D 1968 M J 1969 S D J 1970 S D J 1971 S D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per 14 12 EURO-DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT COVERED 4 2 0 FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL M FAVOR EURO DOLLAR S D M 1968 J 1969 S D M J 1970 S D M J 1971 S D \« Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED LONDON NEW YORK M J S D 1968 * Plotted for comparison purposes M J 1969 S D M J 1970 S D M J 1971 S D Chart 9 8 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING 2 SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT + 0 FORWARD RATE 2 4 6 8 10 12 2 IN FAVOR OF LONDON + 0 2 4 [IN FAVOR OF NEW YORK 6 8 10 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1968 M J 1969 S D M J 1970 S D 12 M J 1971 S D 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 D M GERMAN INTERBANK LOAN RATE 1 DIFFERENTIAL rl A -^A - U - i i i M i v i i i J i A kJ\A v i S EURODOLLAR COVERED i D M 1968 J S 1969 D M J S 1970 •WM/ i 1 1 1 1 1 1 1 1 1 1 1 i FAVOR FRANKFURT D i M FAVOR EURO DOLLAR 1 i i 1 i i ! i i J S 1971 D 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Per cent per a n n u m W e d n e s d a y rates IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL I I I I 1I I I 1I I I I I 11 1 I I , FAVOR EURO-DOLLAR I 1I 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per ai 10 BILL RATES CAN. FIN. CO. PAPER 8 6 CANADIAN > TREASURY BILLS UNITED STATES __ TREASURY BILLS „ 4 PREMIUM BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR 2 FORWARD RATE + 0 GROSS SPREAD IN FAVOR OF CANADA IISCOUNT 2 FAVOR CANADA COVERED RATE DIFFERENTIALS 2 TREASURY BILLS + 0 FAVOR U.S. 2 FAVOR CANADA PRIME FINANCE PAPER 2 + 0 FAVOR U.S. J S D 1968 M J 1969 S D J 1970 S D M J 1971 S D C h a r t 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum 10 11 I I I I II11 1 1 1 1 1 1 1 1 1 11 111111111 - i n 11111111 - Vt JAPAN I A lAU.S. - CANADA^ \ - vr 11111111111 1967 h YJ ' 111M1111M 1968 M i M111111 1969 1 1 1 1 1 1 I I 1 1 11 1 1 1 1 1 1 1 1 1 1 1970 * 3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany(lnterbank Loan Rate) 1971 Chart J"2B SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m EURO DOLLAR - LONDON SWITZERLAND 1967 1969 * 3 m o n t h t r e a s u r y b i l l rate for U.S . S w i l 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 1971 / f t Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND U.S. 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 1967 1968 1969 1970 1971 * New series for Switzerland starts 8-2-68, U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro- Bonds starts 12-70, Euro-Dollar Bonds start 4-2-71. * * New-Average yield of all German P A. Bonds begins 9-4-70. CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 320 280 - ^\U'K' /s 200 I I1 1 1 1 1 1 1 1 1 1 1 1 I 1 1 1 1 1 1 111 11 I 1 1 1 1 1 1 111 1 1 1 1 1 1 1 - " T - A v/ - V vV ZV—L 400 Xr—SWITZERLAND ^ 320 ^—wMSERMANY 240 V A A ! 1 I 1 1 1 1 1 1 1 1 11 I I 1 I I 1 I I 1 I I - ^ U S 11 W I 1111 "PAN - I I 1 I I 1 I I 1 I I z y-Z 400 320 - - / \r ^~ 11 1 1 1 1 1 1 M 1 1111i i M 11 i 1968 1969 # / V\CANADA I I 1 1 1 1 1 1 11 11 11 1 1 1 1 1 1 1 1 1971 1970 Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange. * * Japan index of all industrial and other stocks t r a d e d on the first section of the Tokyo Stock Exchange. 240 H. 13 No. 519 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 S e p t . 1 5 , 1969 3.0 July 10, 1967 7.0 Apr. 15, 1970 United Kingdom 6.0 Apr. Canada 5.25 Feb. 24, 1971 5.75 Feb. 15, 1971 Japan 5.25 July 28, 1971 5.5 May United States 5.00 July 16, 1971 4.75 Feb. 13, 1971 1, 1971 8, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc U.K. pound French franc Japanese yen Lower Upper IB Lower 2A Upper 2B Lower 3A Belgian franc Italian lire Canadian dollar German mark Dutch guilder German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen German mark U.S. dollar Swiss franc French franc 3B 4 5A Upper Middle Lower 5B Upper Lower ' Date Rate Aug. 13 + 0.657 + 0.806 + 0.735 + 0.736 " " „ + 0.746 + 0.686 98.64 " " 11 29.42 28.77 " „ " " " " " " Aug. 13 •i " " Gold price, U.S. dollar per ounce it 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 Aug. u + + + + + + 2.18 4.67 0.10 2.91 1.45 5.18 6.50 + + + 1.96 0.18 4.54 5.80 43.26 4 5.82 5.59 " + 0.23 Dropped Ai g. 18, 1971 Aug. 6 3.98 " 4.22 " 6.25 " 5.69 Aug. 11 4.10 Aug. 6 5.50 Aug. 13 4.94 JuK Id IV-3 Chart Panel 6A Upper Aug. 13 " 8.75 Euro-) 3-month Rate .. 8.38 Euro-$ 6-month Rate „ Euro-* 3-month Deposits 8.00 Aug. 11 5.88 +1.87 Differential it Upper Euro-) 3-month Deposits ii 7.75 Euro-) 3-month Deposits (Adj.) ii 9.69 U.S. Certificate of Deposits (Adj.) " 6.26 Lower Differential: on Adj. Euro-$ Deposits " +3.43 " +1.49 Upper Euro-) 3-month Deposits J u l y 23-30 Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-) 3-month Deposits Local Authority Deposits (covered) Lower Differential U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B 7.75 ii Lower on Unadj. Euro-) Deposits 8A 6.00 Euro ) 1-month Rate U.S. Certificate of Deposits 7B Rate Date Euro-) Overnight Rate 6B 7A Series Aug. 13 6 5.53 5.81 -0.91 6.44 6.72 5.22 5.50 -1.22 -1.22 5.10 6.06 Upper Spread (+= favor London) " +0.53 3-month Forward Pound ii +0.40 Lower Net Incentive (+= favor London) " +0.93 6.72 -0.91 5.63 || Aug. 6.44 0 IV-4 Chart Panel Series 10A Upper Euro ) Deposits (covered) Lower Differential Upper Euro-f Deposits (covered) Date Aug. 11 German Interbank Loan rate 10B " 11 Differential Upper Canadian Finance Paper 12A Aug. 13 4.88 5.10 3.92 U.S. Prime Finance paper (not plotted) It 5.75 Bill rate differential .. -1.18 Forward Canadian dollar .. +1.34 Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate +0.16 +0.47 Aug. 13 U.S. Treasury Bill rate ii German Interbank Loan rate " Japanese Average rate May Canadian Treasury UiII rate Aug. 13 U.S. Treasury Bill rate 40.78 ft Net incentive on bills 12B 2.72 Canadian Treasury Bill rate Third Lower 7.50 3.50p „ U.S. Treasury Bill rate Second 5.72 +1.78 ii Swiss Deposit rate Lower Rate 5.63 5.10 7.50 7.640 3.92 " 5.10 Euro-* Deposits " 8.38 Swiss 3-month Deposit rate ii U.S. Treasury Bill rate " 3.50p 5.10 IV-5 Chart Panel Series 13 Upper Netherlands J u l y 23-30 Canada Aug. United States Aug. 11 5.92 Switzerland July 30 5.45 Middle Date * Germany Aug. United Kingdom Euro-dollar bonds Lower ^ U.S. Corp. DM Euro-bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower ** Japan United States 4-11 6 7.33 7.24 7.27 7.17 , 8.34 9.31 " U.S. Corp. Dollar Euro-bonds U.S. Corp. Aaa bonds Rate Aug. 13 7.64 June 8.30 » 7.25 July 7.64 Aug. 13 409.8 Aug. 275.0 6 Aug. 13 ii 211.93 231.41 Aug. 5 215.01 Aue. 7 458.76 ilug. 13 211.93 * 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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