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H-13 Division of Internettonel Finence Europe end British Common weelth Section HSR*#* SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS V 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 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 bA and B Chart 7A and B Chart 8A and B Chart 9A and B Chart 10A and B Chart 11 Chart 12 A 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 and U.S.-Switzerland 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, 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, 19 9. All series and their sources are fully described in a Supplement dated April 7,1971. 3 Chart 1A i SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages SWISS FRANC G liRMAh U.K. PO Below par Above par JAPANESE DUTCH GUILDER Below par * Devaluation of the F. ench franc from 4.94 to 5.55 for $1.00. * * Rate not supported by Central Bank.; * * Revaluation of the DM from 25.00 to 27.32 in U.S. cents. * * May 10, 1971 - Swiss franc revalued; new par 24.485 U.S. cents. v Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 C A N A D I A N DOLLAR BELGIAN FRANC Par with U.S. ITALIAN LIRA 1.2 Below par J M S D 1968 S J M D M 1969 J S D M 1970 J D S 1971 CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale, U.S. cents Ratio scale, U.S. cents 30 100 98 29 CANADIAN DOLLAR 96 DUTCH_. GUILDER 94 GERMAN MARK 27 M J s 1971 * R a t e not supported by Central Bank D J s 1970 D M J 1971 S D 5 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages GERMAN MARK SWISS F R A N C U.K. P O U N D DISCOUNT | M J S D 1968 1 No quotation M J S D | | | M | | | | | | J 1969 1970 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages Per cent per annum - - l A P A N j E S E Y l EN - - v> A/ PREMiIUM + 1 1 1 1 1 M J 1970 1 1 S 1 1 D 1 1 M - r i - i i J 1971 i i S i D Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per i 8 PREIWIUM+ A / v p V / JL CANA DIAN DOLU r V v j \R f It •\ 4 1 DL TCHG iUILDE k w e + ' V s . 0 / A** / ZFRIENCH 1FRANC "A 4 # 1] 8 1 i 12 I 16 20 24 28 i i i i M i i i i J S D 1 1 1 1 M J 1968 DISCOl i i i' T i S D 1969 Devaluation of the French franc from 4.94 to 5.55 for $1.00. Can. $ rate not supported by Bank of Canada. * No quotation M 1 1 J S 1970 D M J S 1971 1 1 D 32 Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* 20 GERMAN MARK U.S. DOLLAR DISCOUNTM J S D 1968 * N o quotation. M J 1969 S D M J 1970 S D M J 1971 S D 4 Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M 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 20 J 1970 s D M J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 50 46 42 34 M J s D 1969 M J 1970 s D M J 1971 s D M J 1972 S D CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages EURO DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages Per cent per annum 12 EURO-DM EURODOLLAR EURO-SWISS FRANC I i i M i i I J S I D M 1968 J S 1969 * May 10, 1971 - Changed to Overnight Euro $ Deposits. * * Dropped as of August 18, 1971. D M J S 1970 D M J 1971 S D w Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Friday figures - Per cent per annum ' - \/Vd A<u y ARAN V 1 _ < CAiNADA f^\ - V "X \ Vv V 1 1 1 1 I 1 1 1 i i 1 1 l l 1 1 i i i i - A 1 1 s i i i i SELECTED EEC CURRENCIES** Friday figures Per cent per annum FRANCE GERMANY NETHERLANDS M J S D 1968 M J 1969 S D M J S D M 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. J 1971 S D Chart 6A LONDON: EURO-DOLLAR DEPOSIT RATES Percent per annum Friday figures 25.50 1-MONTH CALL 7-DAY M J S D M 1968 # J S 1969 M a y 12/71-changed to Overnight Euro-Dollar Deposit* * * July 1-changed to 7-Day Euro-Dollar D M J 1970 S D M J 1971 s D Chart 6B Friday figures 13 12 11 10 9 8 7 6 5 4 3 2 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J S D 1968 J 1969 S s D 1970 D M S 1971 D Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 - M O N T H D O L L A R DEPOSIT R A T E S - P R I M A R Y M A R K E T Wednesday figures . Per cent per annum EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E O F D E P O S I T ADJUSTED* I 1 I I 1 1 I I I I 1 1 1 I I 1 I I I I I I I I I I I I I I I I I I I EURO DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T ADJUSTED* I I I I I I I I I I I I I I I I I I I * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * Adjusted for 20% Marginal Reserve Requirement I I I I I I I I I I I I I I I I I K-/ I I I I I 1 I I 4 # V J l Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT 1 '—^ HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D S M 1968 1969 D M S 1970 D M J 1971 S D n LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Per cent per annum Friday figures 14 EURO DOLLAR DEPOSIT \ fV LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL I I I [ I FAVOR EURO DOLLAR L I I D M J 1969 S D M J S 1970 D M J S 1971 D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED LONDON NEW YORK M J S 0 1968 * Plotted for comparison purposes M J 1969 s D M J 1970 S 0 M J 1971 S 0 Chart 9B 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 V \ 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) J S D 1968 M J 1969 s D M J 1970 S D 12 M J 1971 S 0 f Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED 4 DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO-DOLLAR M J S 1968 D S 1969 D M J 1970 S D M J 1971 S D Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS: LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL M J S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D 2 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per an BILL RATES CAN. FIN. CO. PAPER 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 • ISCOUNT 2 COVERED RATE DIFFERENTIALS FAVOR CANADA 2 TREASURY BILLS + 0 FAVOR U.S. 2 FAVOR CANADA PRIME FINANCE PAPER 2 + 0 FAVOR U.S. S D 1968 S 1969 D S 1970 D M J 1971 S D Chart 12A SELECTED SHORT-TERM INTEREST RATES'* Per cent per annum 10 GERMANY U.K. U.S. 9 JAPAN US. CANADA 1967 1968 1969 1970 * 3 month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) 1971 o^\ Chart 126 SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO DOLLAR - L O N D O N U.S. SWITZERLAND 1967 1969 * 3-month treasury bill rate for U.S., Switzerland-3 month deposit rate. * * 3-month rate for U.S. dollar deposits in London. 1971 Chart 13 LONG-TERM BOND YIELDS Per cent per a n n u m 10 Weekly figures NETHERLANDS CANADA SWITZERLAND I 1 1 I ' ' ' M ' ' I 1 I I l ' I I I I I I I I I I I I 1 1 I I I I I i l I I I I I I I I I 1 I 1 1 I I 1 I EURO DOLLAR BONDS M i l 1 1 1 1 1 1 1 | | | | i I I I I I I 1 1 1 1 1 1 1 1 1 1 1 1 I I i i ' I I I I I I I I I I ' ' l I I I I Monthly figures 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. CORP. A a a B O N D S 1 1 1 1 1 1 1 1967 1111 I I I 1 1 1 1 1 1 1 MLLLLLLLLJ 1968 * New series for Switzerland starts 8-2-68, U.S. Corp. 1969 i i M 1970 M 1 I I I I I I I I I I ' 1971 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 | 1 i M CHART 14 INDUSTRIAL STOCK INDICES 320 . 280 X 1 1 ! II 1 ! 1 1 1 1 1! 1 M 1 1 1 1 1 1 > - K VAr V ' A i i i i i i i i i i i 200 1 1 1 II 1 1 1 1 1 1 160 400 SWITZERLAND 320 GERMANY 240 U.S. 160 JAPAN 400 320 240 CANADA 160 1968 1969 1970 lapan 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. 520 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 Mar. 9, 1970 Aug. 4, 1969 Italy 5.0 Apr. 5, 1971 5.5 Netherlands 5.5 Apr. 5, 1971 6.0 Switzerland 3.75 Sept.15, 1969 3.0 J u l y 1 0 , 1967 United Kingdom 6.0 Apr. 1971 7.0 Apr. 1 5 , 1970 Canada 5.25 Feb. 5.75 Feb. 15, 1971 Japan 5.25 J u l y 28, 1971 5.5 May United States 5.00 J u l y 16, 1971 4.75 Feb. 1, 24, 1971 8, 1971 13, 1971 'i IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc U.K. pound French franc Japanese yen Lower IB Upper Lower 2A 26 Upper Lower 3A 3B 4 5A Upper Middle Lower 5B Upper Lower ! i 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 Rate Date Aug. 13 + 0.657 4- 0 . 8 0 6 + 0.735 + 0.736 " " " „ » Aug. 20 + 0.746 + 0.686 99.05 29.42 28.77 " „ + + + + + + " " " " " " 2.18 4.67 0.10 2.91 1.45 5.18 6.50 German mark U.S. dollar Swiss franc French franc Aug. 13 Gold price, U.S. dollar per ounce Aug. 20 43.20 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. 18 12.14 + 1.96 - 0.18 + 4.54 + 5.80 " " " 5.59 + 6.55 Dropped At g. 18, 1971 4.92 Aug. 13 " 2.32 " 6.25 5.38 " " " Aug. 18 Aug. 23 " 20 July 30 3.93 5.75 6.38 1.45 IV - 3 Chart Panel Rate Series Date 6A Euro-) Overnight Rate Aug. 20 Euro ) 1-month Rate " 9.38 6B Euro ) 3-month Rate " 8.31 Euro-$ 6-month Rate " 8.12 7A 7B Upper Euro-$ 3-month Deposits " 5.88 Lower Differential " + 2.37 Upper Euro-J 3-month Deposits " 8.25 Euro-$ 3-month Deposits (Adj.) " 10.31 U.S. Certificate of Deposits (Adj.) " 5.92 Differential: on Adj. Euro-$ Deposits " + 4.39 " + 2.33 on Unadj. Euro-$ Deposits 8B Upper Euro-$ 3-month Deposits Hire Purchase Deposits (covered) " 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 8.25 Aug. 18 U.S. Certificate of Deposits Lower 8A 10.00 Upper Lower Aug. 6 7.56 5.79 - 1.77 7.56 5.60 - Aug. 20 1.96 4.49 5.73 " Aug. 13 5.94 Spread (+= favor London) " 20 + 1.24 3-month Forward Pound " 20 - 0.24 Net Incentive (+= favor London) " 20 + 1.00 l IV-4 Chart Panel 10A Upper Lower 10B 11 Upper Series Euro ) Deposits (covered) Date Aug. 18 7.50 Differential n. a. Euro-* Deposits (covered) 2.95 Swiss Deposit rate 3.50p Lower Differential Upper Canadian Finance Paper Aug. 20 Canadian Treasury Bill rate 3.75 U.S. Prime Finance paper (not plotted) 5.50 Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate Lower 4- 1.13 — ii + 0.39 + 0.38 Aug. 20 5.73 U.S. Treasury Bill rate 4.49 8.31 Japanese Average rate i - 0.74 German Interbank Loan rate Canadian Treasury Bill rate 12B 4.75 4.49 Bill rate differential 1 + 0.55 U.S. Treasury Bill rate Second r, n. a. German Interbank Loan rate Forward Canadian dollar 12A Rate June Aug. 20 i i 7.618 3.75 U.S. Treasury Bill rate 4.49 Euro-) Deposits 8.31 Swiss 3-month Deposit rate 3.50p U.S. Treasury Bill rate 4.49 *V * % - % IV-5 Chart Panel Series 13 Upper Netherlands J u l y 30 Canada Aug. 11 7,17 United States Aug. 18 6.54 Switzerland Aug. 6 5.45 " 8.34 Middle Lower * Germany Upper " 9.31 " 20 7.68 U.S. Corp. Dollar Euro-bonds 8.30 June " 7.25 U.S. Corp. Aaa bonds July 7.64 Switzerland Aug. 13 409.8 270.40 " United States " 20 221.46 United Kingdom " 20 229.61 Aug. 12 218.45 " 14 468.80 " 20 221.46 Canada Lower 7.24 Euro-dollar bonds Germany Middle Rate United Kingdom U.S. Corp. DM Euro-bonds 14 Date ** Japan United States * 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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