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AtifMt 23, W72 No* 572 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS i o m d of coveewoe o f the reoeuu. e a m t ottem TABLE OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES 1A and B - Spot Exchange Rates, Mayor Currencies against U S. Dollar Chart 2A and B - 3-Month Fonarard 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 Charts - Call Money Rates Chart 6A and 8 - London: Euro-S 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 Stales-United Kingdom Chart 10A and B - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Chart 11 - Interest Arbitrage: United Stales-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 contiwatiei of the CAPITAL MARKETS DEVELOPMENTS ABROAD, which was published under thai title through December 31,1%6. The changes in the format and order of the charts are explained in the Supplement to * e series, lAich accompanied issue dated January 1 , 1 W . All series and their sources are fully described in a Supplement daled January 1,1172. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages . GERMAN MARK 2 JC POUND SWISS FRANC i 1 I L_—1 I I I 1 I -I L_ I I I I I I I DUTCH GUILDER dollar JAPANESE YEN I 1972 * Pound floated June 23, 1972 1 1 L_ I i , I 1973 , ' I ' . 1 \vH^ ChKI 18 SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. OOUAR J I I I M 1 I I I J I I L S J I 0 I I I I « I I J 1972 I I* I $ D 1971 192 am*DUMoamm A A z 1 1 i 1 1 1 1 1 1 1 1 1 I I J S 1970 D M i 1 i i 1 i J 1971 i 1 i S i i O U i 1 i i 1 i j 1972 i 1 i j i 0 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U j . DOLLAR • a y i i . 19/1 - uec 1/, i y / i Weekly averages GERMANY NETHERLANDS FRANCE JAPAN MAY JUNE AUG. SEPT. 1971 * Financial franc OCT NOV. DEC. Chart 10 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR May 11. 1971- Dec 17, 1971 UX swrrz. ITALY ux ITALY swrrz. MAY JUNE JULY AUG. SEPT. If 71 *For clarity the vertical scale is dowMe that mmt m 1C OCT. MOV. 2) 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent per annum UJC. DISCOUNT— PREMIUM DISCOUNT- PREMIUM DUTCH GUILDER DISCOUNT— s D 1969 S M 1970 * Canadian Dollar Rate not supported by Bank of Canada * * No quotation S D 1971 D J 1972 S D Chart 28 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U T DOLLAR Per cent per mmimi FRENCH HUNC n I I I I I I 1 I I I I I I I I I 1 I I I I I I I I 1 I t I • 1 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. • • N o quotation lit 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Per cent per annum Friday figures GERMAN MARK U.S. DOLLAR I , • I P W T i No quotation 1 • • 1 , , 1 i . . . I . . 1 i , 1 i . e \\tf> Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U K. POUND Friday figures Per cent per annum PREMIUM* FRANC FRENCH FRANC s o 1SH # s 1970 Devaluation of the French franc from 4.94 to 5.55 for $1.00 0 M s 1*71 0 M s 1§72 0 ' A 9 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce Week's average of afternoon fixings 80 J S D 1969 M J S 1970 D M J S 1971 D H J S 1972 D CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages FEDERAL FUNDS OVER FEDERAL FUNDS EURO-CURRENCIES Per Weekly averages EURO-SWISS FRANC 1969 1970 * May 10. 1971 - Changed to Overnight Euro $ Deposits. 1971 1972 Chart 56 CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures ; 12 V. nrri V r i - 1 1 1 II Per cent per annum 1 1 1 1 1i II 1111 11 1 11 - n FRANCIE - 1 11 1 i h rHERLANDls , 1i , 1 L , i 1 i i 1 i i \-^__JAPAN - CANADA i i 1 i i 1 i i 1 i i i i 1 i i 1 i i 1 i i i i 1 i I 1 i i 1 i I 1 11 111 111 1 1 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 v,r> LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 1-MONTH 7-DAY *May 12/71-changed to Overnight Euro-Dollar Deposits * * July . 1-changed to 7-Day Euro-Dollar Chart 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum l i \ A / 1 / r V \^ V r h ihJ i VI fv k \ h ill / v 3-MONTH v V i i i i -i i i i i i i M J S D 1969 1 1 1 1 1 1 1 1 1 1 1 M J 1970 S D 1 1 1 1 1 1 II M J S 1971 1 1 1 D 111111111 M J M S 1972 D Chart 7A NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET •leanesoey Tigures EURO-DOLLAR DEPOSIT VJS. CERTIFICATE OF DEPOSIT DIFFERENTIAL FAVOR EURO-DOLLAR EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J S D M 1969 J 1970 S D M J 1971 $ D M J 1972 s D NEW YORK-LONDON: COST OF U.S. DOLLAR FUNDS 3-month d o l l a r deposit r a t e s - p r i m a r y market Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT ADJUSTED * EURO DOLLAR DEPOSIT US. CERTIFICATE OF DEPOSIT ADJUSTED I I i I I 1 1 1 1 I I I I I 1 I 1 I I I I I EURO DOLLAR OVER U S. CERTIFICATE OF DEPOSIT ADJUSTED *Ad|us*ed for Reserve Requirement * * Adiusted for 10% Marginal Reserve Requirement * * * A d j v s t e d for 20% Marginal Reserve Requirement I I I I I I 1 I I I 1 vl» 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 FAVOft HWE PURCHASE an differential J FAVOR EURO DOLLAR S D 1969 J 1970 S D M J 1971 S D M J 1972 S D Chart 8B LONDON: COVERED YIELDS ON U S. DOLLAR FUNDS l o c a l a u t h o r i t y and euro d o l l a r rates Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED I I I I I I I I I I I FAVOR LOCAL AUTHORITY p f x [ differential M J I 1 1 I I 1 11 I 1 1 ' J—1—L N S D 1969 M J 1970 S D i i I ii M I i i I ii J S 1971 FAVOR EURO DOLLAR I i i I i i I i i I i i D M J 1972 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 1 3 month treasury b l l rates ./A, A J \ A f UJC. LOCAL AUTHORITY DEPOSITS* | UNCOVERED r r~Tr? zj nK LONDOf^\l a r V N E W YORK ii 1 1 1 1 1 1 1 1 1 M J S D 1 1 1 I I M 1969 * Plotted for comparison purposes 1 1 1 1 1 1 J S 1970 D i i 1 i j 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 1 M J S 1971 D M J S 1972 O INTEREST ARBITRAGE; UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures 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 | r ^ \ A Y/S 4 PREMIUM | SPREAD M FAVOR OF LONDON V 1f\ X- FORWARD RATE V / 6 • 10 DISCOUNT n i l 1 1 1 1 1 1 1 1 1 1 1 i 1 i i 1 i i FAVOR LONDON DIFFERENTIAL A Z A A 7 W N ^ VV / V i M \NJV V / iy V Y \ N z 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 y sV F r FAVOR NEW YORK i i 1 i i 1 i i ! i I M J S D 1969 1 1 1 1 1 1 1 1 1 1 1 M J 1970 S D i I 1 I I 1 i i 1 I I M J S 1971 D 1 1 1 1 1 1 1 1 1 1 1 M J S 1972 D 12 4 II Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday reles Per cent per annum IN TERMS OF DM RATE 1 DIFFERENTIAL J uv j 4 f M n d f t u t m n m a i \ I i i vA'V v f i VVv* FAWWEUHOOOtUW 1 1 1 1 1 1 1 1 ] M J S i D 1969 Mo quotation i M i « i i i J 1970 i i S i i i 0 i M I i i J 1971 I i S i 0 M J 1972 S f> 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 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 RATE differential i i I i i I i i I i i I i i I I I I l l I l l I l I I «' No quotation I I' FAVOR EURODOLLAR 1I « I I I I I 1 I I » [\$ Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum 1 1 1 1 1 1 ii - b i l l rates 1 1 | 1 1 | 1 1 | 1 1 i i | i i j i i | i i 1 1 1 1 1 1 1 1 1 ii 1 ii \|pAN. FIN. CO. PAPER ^ UNITED STATES TREASURY BILLS - A CANADIAN A V TREASURY BILLS Y v • b i l l r a t e d i f f e r e n t ! # l a n d f o r w a r d canadiain d o l l a r aFORWARD R PREMIUM FiTv Z V V V V \ Z GROSS SPREAD IN FAV >R OF CANADA rn >Y f^r " c o v e r e d rate differ :ntials :r^\ M - X r/ FAVOR CANADA IURY BILLS \ ! \ V v/ iu / nl w ^ DISCOUNT t v j A i v \ / / S \ y v \ Vsf X / favo * u$ - FAVOR CANADA V%v] FINANCE PAPER V V v FAVOR US. i t 1 t i 1 i i 1 i i M j s D 1 J 1 1 1 1 l l . i - X - L - -1-1.1 1 1 1 1 1 1 1 1 M 1969 J 1970 S O M J 1971 S D 1 1 1 1 1 1 1 1 1 1 1 H J S 1972 O SELECTED SHORT-TERM INTEREST RATES* Per cent per annum UJCI JAPAN U.J. IMS 1970 * 3-month treasury bill rales for ell countries except Japan(Awer^e rate on bank loans and dtscouals) and Germany^Merbank Loan Rate) 1972 Chart 12B SELECTED SHORT-TERM INTEREST RATES * 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 W*» Chart 13 LONG TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS US. SWITZERLAND II UJC. OS. CORP. DOLLAR EUROBONDS Monthly figures >. A M I O N O S UJ. DM EUROBONDS 1968 1969 1970 1971 1972 * New series for Switzerland starts 82-68, U S Corp. Dollar Euro-Bonds and U.S. Corp. DN Eure Seeds starts 12-70. # # # # New Average yield of aM German P A Bonds begins 1 7-69. * New series F starts 12-71? & va CHART 14 1958=100 INDUSTRIAL STOCK INDEXES Ratio scale 280 UNITED STATES 200 1 1 1 1 1 1 1 1 1 1 1 i i 1 i W i i 1 i i 1 1 1 1 1 1 1 i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 : ^ vv - ^ / V \ / SWITZERLAND k I I 1 I , / v UNITED KINGDOM / i i - X-A, I 1 I I 1 I I J 1 1 1 1 1 1 1 1 1 1 i 1 i i 1 i JAPAN/ y i 1 i 1 / Z^X/ ' 1 1 1 1 1 1 1 1 1 11 1969 1 I i ! 1 1 ! 1970 ! ! V CANADA 1 ! i I \ J 1 ! i : i 1 i 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 : ^ GERMANY v^- 1 1 1 1 1 1 1 1 1 1 1 . i ! i , ! i 1972 i ! i i 160 (0 H. 13 No. 572 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate 6_n March 2 . 1972 4.5 Feb. 5 . 1972 S 75 Amrtl 6 . 1971 6.0 Jen, 13, 197? In Effect Since E.E.C.: Belgium France Geneany Italy Netherlands Switzerland United Kingdom Canada 4 * * Unhed Stales 3.0 Feb. 25. 197: 4.0 Dec. 23. 1971 4.0 Ap,4i m io: A 5 i*.#- 16, a n M*™ti 1. 1971 4.5 3mm. A 3.75 Sept. 15. 191 3.0 lulw I O . 1*67 6.0 June 5.0 Sept. 1 . 197^ 22. 197 1071 1Q72 4.75 1071 5.25 Feb. 24. 1971 4.25 Tim# 24. 1975 4.75 A»r. 2 9 . 1971 I W 4.75 . JfaBb- 1 L , 1971 11, 1Q71 IV 2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc U.K. pound Actual rate French franc Japanese yen Lower Upper IB Lower Belgian franc Italian lire Canadian dollar A c t u a l r a t e German mark Dutch guilder Upper German mark Swiss franc U.K. pound Dutch gui Ider Canadian dollar French franc Japanese yen 2A 26 Lower 3A 3B 4 Upper 5A Middle Lower Upper 56 Lower 1 I i I Date Aup. 18 Rate +1.471 245.26 +2.214 +2.287 +2.168 +0.014 101.84 +1.028 +1.055 +4.53 +4.47 -2.51 +5.00 -0.06 +0.80 German mark U.S. dollar Swiss franc French franc Aug. 11 " +7.56 +2.55 +5.52 +3.34 Gold price, U.S. dollar per ounce Aug. 18 66.20 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. 16 " " Aug. 18 •• Aug. Aug. Aug. Aug. 4.99 4.87 +0.12 " 4 11 16 18 " J u l y 28 0.00 +0.17 4.25 7.00 3.50 3.75 4.50 0.63 iv-3 Chart Panel 6A 68 7A 7B Upper Series Date Euro-S 7-DAY Rate Aug. 18 4.75 Euro-S 1-month Rate •• 5.50 Euro-$ 3-month Rate •• Euro-S 6-month Rate M Euro-S 3-month Deposits AUK. U.S. Certificate of Deposits II Lower Differential II Upper Euro-* 3-month Deposits „ Euro-S 3-month Deposits (Adj.) II Differential: on Adj. Euro-S Deposits on Unadj. Euro-S Deposits 8A 8B Upper Euro-S 3-month Deposits 9B Aug. 4 » Upper Euro-S 3-month Deposits " Local Authority Deposits (covered) " Differential •• Local Authority Deposit (uncovered) Upper Spread (+= favor London) Aug. 18 6.88 5.00 5.47 4.67 -0.80 5.47 4.55 -0.92 3.80 " 5.69 Aug. 11 7.81 Aug. 18 +1.89 3-month Forward Pound Lower 5.50 +1.88 Differential U.K. Treasury Bill rate +0.69 +0.50 Lower U.S. Treasury Bill rate 5.50 4.81 " " 9A 16 " Hire Purchase Deposits (covered) Lower 5.50 6.12 „ U.S. Certificate of Deposits (Adj.) Lower Rate -2.08 Net Incentive (+- favor London) " -0.19 IV-4 Chart Panel Series Date 10A Upper Euro-) Deposits (coveted) Aug- Rate 16 German Interbank Loan rate 10B Lower Differential Upper Euro-J Deposits (covered) 4.62 3.69 1.06 Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper 2.00B 0.94 AUK. 18 U.S. Treasury Bill rate 3.36 U.S. Prime Finance paper (not plotted) 4.50 Bill rate differential -0.44 Forward Canadian dollar 12A Third Net incentive on trills Bottom Net incentive on Finance Paper Upper U.K. Treasuiy Bill rate 0 Lower Japanese Average rate Canadian Treasuiy Bill rate 44.38 5.69 3.80 16 4.62 June 7.130 Aue. 18 3.36 AUE. U.S. Treasuiy Bill rate 12B I 00 -0.44 U.S. Treasuiy Bill rate German Interbank Loan rate 4.88 3.80 Canadian Treasury Bill rate Second 0.93 3.80 Euro-J Deposits || Swiss 3-month Deposit rate II U.S. Treasuiy Bill rate „ 5.50 2.00p 3.80 3 IV-5 Chart Panel Series 13 Upper Melheriatfs lUto Me J u l y 28 Canada Am- 16 United Stales Are* 11 • Germany United Kingdom Lower U.S. C o * . Dollar E 7.19 5 31 Switzerland MUdk 6.60 * ^ ^ , 4.96 Aiul. 7 7.93 Are. 9.42 11 June 8.19 July 7.21 U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Geneaiy United Stales Middle United Kingdom Canada Lower * * Japan Aue. 18 462.3 A r e . 15 312.8 4ttSr 254.84 Auf. 11 2*4.11 A"*- 10 269.98 A"f. 1? 689.55 Are. 18 254,84 United States * Hew - Average yield of ALL German Public Authorities bonds made as of banking key days. M 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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