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December 1 2 , H-13 1973 Release No. 640 j Division of international Finance, Statistical & Data Management Unit SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES O F CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM //V H.13 December 1 2 , 1973 R e l e a s e N o . 640 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 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 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, tfiich accompanied issue dated January 1,1969. All series and their sources are fully described in a Supplement dated January 1, 1972. • \ ' Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages 40 30 GERMAN MARK V BELGIAN FRANC N / ; SWISS FRANC JAPANESE YEN CANADIAN DOLLAR M J 1972 S D M J s 1973 Weekly averages (week ending on Friday) of daily offered rates in the New York market as per cent above or below Smithsonian D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages. 30 20 FRENCH FRANC / J DUTCH GUILDER ITALIAN LIRA against U.K. P O U N D M J 1972 S D J S 1973 Weekly averages (week ending on Friday) of daily offered rates in the New York market as per cent above or below Smithsonian D 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCES AGAINST U S. DOLLAR Weekly averages Per cent per annum PREMIUM CANADIAN DOLLAR U.K. P O U N D PREMIUM GERMAN MARK DISCOUNT PREMIUM DUTCH GUILDER DISCOUNT - M J S D M 1970 J S 1971 * Canadian Dollar Rate not supported by Bank of Canada. See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 2-3. M J 1972 s D M S 1973 D Chart 28 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCES AGAINST U.S. DOLLAR Weekly averages * Per cent per annum PREMIUM FRENCH FRANC DISCOUNT PREMIUM SWISS FRANC ' w A h-* DISCOUNT - M J S D 1970 M J S D 1971 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 2-3. M J 1972 S ! D M J 1973 S D Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST. U.K. POUND Friday figures Per cent per annum GERMAN MARK U.S. DOLLAR DISCOUNT - J S D M 1970 J s 1971 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, • D M J 1972 S D M J 1973 S D % 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum SWISS FRANC FRENCH FRANC I DISCOUNT I I I 1 I I I 1 I I I 1970 I I t I I I I I I 1971 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, p. 3. I I I I I I I I I I I 4 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 120 90 60 30 M S 1971 D J 1972 See DESCRIPTION AND SOURCES of DATA, January 1, 1973, p. 4 S •D M J 1973 S D Chart 5A CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly averages 14 CALL EURO-DOLLAR DEPOSITS OVERNIGHT EURO-DOLLAR DEPOSITS FEDERAL FUNDS DIFFERENTIAL FAVOR EURO DOLLAR EURO-DOLLAR OVER FEDERAL FUNDS FAVOR ' I 1 1 I I 1 ! I 1 I I I I 1 I I I 1 1 1 I I I I I 1 I .J. . EURO-CURRENCIES Weekly averages EURO-DM 1 •T EURO-SWISS FRANC II 1 1 1 I I I I I 1 I 1 1 I I 1 I I 1 I I I I I 1 i i I i * Changed from CALL to OVERNIGHT Euro dollar deposits. May 10. 1971 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 4 6 Chart 58 CALL MONEY RATES S E L E C T E D F O R E I G N A N D EEC C U R R E N C I E S Friday figures rri m 1 i i 1 i i 1 i Per cent per j L * 1 FRANCE, f , ./ I 1 IF Vms LJ i1 1 I y W I I I NETHERLAf 1 I I 1 l ! 1 : i i l l JAPAN CANADA U.K. GERMANY S M 1970 S 1971 D J S D M 1972 France, Day-today 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. See DESCRIPTION AND SOURCES OF DATA, January 1, 1973. pp. 4 6. J 1973 S D Chart 6A LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures 15 o c Per cent per annum 12 OVERNIGHT 8 7-DAY May 12/71—changed to Overnight Euro-Dollar Deposits * * July 1-changed to 7-Day Euro-Dollar See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, p. 6. 6 # LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures A/ \ V v - X 1 / vAV IV W ^ ' J 3-MONTH - - - 1 1 1 1 1 1 1 1 i 1 1 Vv l i 1 l 1 1 1 l 1 l 1 1 1 ! 1 1 1 1 1 1 1 1 A LyA v 6-MONTH v A / v a A W ^ M I r l I I I I 1 12 f]. 10 - - - i < i i i i i i i i i i 1970 i I i i l i i 1 i i 1971 See DESCRIPTION AND SOURCES OF DATA, January 1. 1973, p. 6. i i i i i 1972 i i i 1 1 1 1 1 1 1 1 1 1 1 1973 1 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS I MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per at 12 10 8 EURO-DOLLAR DEPOSIT 6 V * 4 U.S. CERTIFICATE OF DEPOSIT i i [ i i I 2 FAVOR EURO DOLLAR DIFFERENTIAL 4 + 0 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 M J S D M 1970 J S D 1971 : DESCRIPTION AND SOURCESOF DATA, January 1, 1973. pp 6 7 M J S 1972 D 1973 Chart 7B NEW YORK-LONDON: COST 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 figures P(tr/c«nt per annum EURO-DOLLAR DEPOSIT ADJUSTED' A EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF D E P O S I T ADJUSTED V EURO DOLLAR OVER " U S. C E R T I F I C A T E O F D E P O S I T ADJUSTED M J S D 1970 M J S D 1971 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * Adjusted for 20% Marginal Reserve Requirement See DESCRIPTION AND SOURCES OF DATA, January 1. 1973, pp. 6-7. M J 1S72 ^ S D M J 1972 S D / • ^ C h a r t 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE P U R C H A S E / S T E R L I N G CD's vs EURO-DOLLAR RATES Per cent per a n n u m Friday figures 12 EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED STERLING CD's COVERED „ FAVOR STERLING CD's DIFFERENTIAL / FAVOR EURO-DOLLAR M ! I ! 1 M i i 1 i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 I I j 1971 1972 Hire Purchase suspended August 1 1, 1972 and Sterling Certificates of Deposit begin August 11, 1972 See DESCRIPTION AND SOURCES OF DATA. January 1. 1973. pp 7-8. 1973 1 I I s )1 Chart 88 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Per cent per annum Friday figures 12 EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED I I I I I I FAVOR LOCAL AUTHORITY - DIFFERENTIAL ,n A KaF y 1 1 1 1 1 1 1 1 1 M M J * S Vvi aAvai ] i 1 1 1 1 1 1 1 1 1 I 1 D M 1970 J S D 1971 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 7-8. 1 1 1 1 1 1 1 1 1 1 1 J 1972 S D 1 i FAVOR EURO DOLLAR i 1 i M i I M J 1973 1 i i S INTEREST ARBITRAGE: UNITED KINGDOM AND UNITED STATES Per cent per a n n u m Friday f i g u r e s 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY UNCOVERED DEPOSITS NEW YORK -| 12 LONDON. NEW YORK I M J S D M 1970 . J I I S I I I D 1971 * Plotted for c o m p a r i s o n purposes See DESCRIPTION AND SOURCES OF DATA, J a n u a r y 1, 1973. pp. 8 - 9 I I I M I i I J 1972 I 1 I S D M I I I j 1973 i I I S I D I I 0 Chart 9B INTEREST ARBITRAGE: UNITED KINGDOM AND UNITED STATES Friday figures Per cent per annum •I I | I I j I ! | II | I I | II | I I | II | I I j I I | I I | ! I I I I RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON ivvX//l/ FORWARD RATE DISCOUNT RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER I I I I I 1 I I 1 I I I I I 1" I I I I I 1 I I I I I 1 M M J S D M 1970 J S I I I 1 M D 1971 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp.8-9. FAVOR LONDON 1972 FAVOR NEW YORK 1 i l i I I 1 l l I I- l Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR-GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Per cent per a n n u m Wednesday rates GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED FAVOR FRANKFURT DIFFERENTIAL FAVOR EURO-DOLLAR S D 1970 S D 1971 See DESCRIPTION AND SOURCES OF DATA, lanuary 1, 1973, pp. 9 1 0 . — No q u o t a t i o n S 1972 D M S 1973 D 4 - 1 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 SWISS DEPOSIT RATE EURO-DOLLAR COVERED A FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M J S D M 1970 J S D 1971 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 9-10. M J 1972 S D M J 1973 S D Chart 11 3-MONTH INTEREST ARBITRAGE: CANADA - UNITED STATES Per cent per annum Friday figures m i m BILL RATES I I | I I | I I | I I | i i UNITED STATES TREASURY BILLS CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS PREMIUM BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA DISCOUNT FAVOR CANADA COVERED RATE DIFFERENTIALS . ~ V \ y / TREASURY fL 1 J S D M 1970 > FAVOR U.S. J S D 1 ! 1 1 1 1 1 1 1 1 1 M J S D 1971 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 10-11. V v 1 1 1 ! ! 1 i : 1 , . 1 ; ; 1 : 1 1 1 ! 1 II M PRIME FINANCE PAPEF 1972 1 1 1 1 1 1 1 1 1 1 1 M J S D 1973 ^ Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m A GERMANY V N/va/V- U.S. J. 12 U.K. U.S. JAPAN 1970 1971 1972 1973 3-month treasury bill rates for all countries except JapamAverage rate on bank loans and discounts) and Germany (interbank loan rate) See DESCRIPTION AND SOURCES OF DATA. January 1. 19 75. pp i I i 2 1974 Chart 128 SELECTED SHORT-TERM INTEREST RATES Per cent per annum 12 EURO DOLLAR - LONDON r \ s \ M —l 1 \ v1—i v r \ L/\ y V ' 1 1 1 II 1 II 1 II ii i 1 L'V 11 i 1 i i i L J 1 H l i i \ i J SWITZERLAND i I i I i ! I ,_L U.S. V\ y \ \ t / V J r W AV\ vA *V CANADA; i i 1 i i 1 i i 1 i i 1 I 1 I 1 1 I I 1 1 1 1 1 1 1 1 1 1 i 1 I i 1970 1971 1972 See DESCRIPTION AND SOURCES OF DATA, January 1, 1973, pp. 1 1 1 2 . 1 / > II 1 i ! i . 1 1 ! ; 1 1 1 1 ! i 1 J 1 1 1 1 1973 1974 8 LONG-TERM BOND YIELDS Weekly figures Per cent per am - NETHERLANDS _ W \ ^ u , . SWITZERLAND M l - : ! A 1 . : : I ! 1 1 1 1 i1 1 1 I I 1 1 1 11 1! :! i1 , l1 1l ! 1 l i • , : A 1 " U.K. j \ / - X X rv.y V/VJ\ "x \ r yN GERMANY/ y CANADA ^ - : 1 1 1 1 1 1 1 11 ! 11 1 i 1 1 1 1 1 1 M o n t h l / figures U.S. CORPORATE. DOLLAR EUROBONDS Aaa BONDS DM EURO-BONDS 1970 1971 1972 See DESCRIPTION AND SOURCES OF DATA. January I, 1973, pp 12 15. j 1973 1974 Chart 14 INDUSTRIAL STOCK INDEXES Ratio scale, 1958=100 320 UNITED STATES - / W ^ v 240 i i i i i i i i i i i i i 1 i i 1 i i 1 ii i i 1 i i 1 i i 1 II JAPAN - 960 SWITZERLAND z^V Vv S'WITZERLAND \ 640 480 r UNITED KING DOM | - / 4 GERMANY ^/^vZcANADA 1 1 1 1 1 1 1 1 1 1 1 i i 1 II 1970 1 i i 1 i i 1971 i i ! i i J ii 1972 1 I 1 V ^ —Z german/X 1 1 1 1 1 1 1 1 1 1 1 1973 320 December 1 2 , 1973 | V SELECTED CENTRAL BANK DISCOUNT RATES Release No. 640 Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 7.75 France Oct. 2 9 , 1973 7.0 Oct. 4 , 1973 Sept. 20, 1973 9.5 August 2, 1973 Germany 7.0 June 1, 1973 6.0 May 3 , 1973 Italy 6.5 Sept. 15, 1973 4.0 April 10, 1973 8.0 Dec. 6 , 1973 7.0 Oct. 1 6 , 1973 11.0 Netherlands **United Kingdom 11.50 July 27, 1973 9.00 July 20, 1973 Switzerland 4.5 Jan. 1 , 1973 3.75 Sept. 15, 1973 Canada 7.25 Sept. 13, 1973 6.75 August 7, 1973 Japan 7.0 Aug. 2 9 , 1973 6.0 July 2, 1973 7.5 Aug. 1 4 , 1973 7.0 July 1, 1973 United States **Effective October 13, 1972, the Bank of England replaced its traditional Bank Rate with a fluctuating "minimum lending rate" based on average Treasury bill tender rate. IV-2 H . 13 December 1 2 , LATEST FIGURES PLOTTED ON THE CHARTS 1973 R e l e a s e No. 6 4 0 Chart Panel Series Date 1A Swiss franc Dec. IB U.K. pound " IB 1A French franc " Japanese yen Rate 7 20.33 -10.39 12.97 9.96 1A Belgian franc M IB Italian lire » 11.99 -4.69 1A Canadian dollar " 0.53 1A IB German mark " 22.35 Dutch guilder " 2A „ German mark ii ii H Swiss franc U.K. pound 28 Upper 3A Dutch guilder Canadian dollar II French franc II German mark 3B 4 5A 5B Upper Swiss franc ii French franc " -1.09 0.25 -5.49 -2.54 0.38 Nov. 3 » U.S. dollar. 15.87 -1.08 4.39 4.60 3.92 3.19 Gold price, U.S. dollar per ounce Dec. 7 Overnight Euro-S deposits Dec. 5 104.75 9.59 Federal Funds II Middle Differential " 10.17 -0.58 Lower Euro-currencies: Euro DM II 15.44 Euro Swiss Fr. » Upper Lower Japan, Unconditional Money 9.38 U.K., 2-day Local Author. Deps. Nov. Nov. 23 30 9.25 13.63 Canada, Day-to-day Loans Dec. 7 6.53 11.50 France, Day-to-Day Money Germany, Call Money Netherlands. Call Money " ii Nov. 13.19 30 7.88 IV-3 Chart Panel 6A 7A Upper Rate Date Series Euro-$ Overnight Rate 6B December 1 2 , 1973 R e l e a s e No. 6 4 0 Dec. 7 „ Euro-S 3-month Rate M 10.75 Euro-$ 6-month Rate H 10.38 Euro ) 3-month Deposits 11.56 Dec. 5 U.S. Certificate of Deposits 7B Lower Differential Upper Euro-$ 3-month Deposits +0.93 10.38 11.28 U.S. Certificate of Deposits (Adj.) II Upper Euro-$ 3-month Deposits S t e r l i n g CD's 8B +1.64 II Nov. (covered) 10.16 9.49 Differential „ -0.67 Upper Euro-$ 3-month Deposits ii 10.16 Local Authority Deposits (covered) || 9A Differential U.S. Treasury Bill rate Local Authority Deposit (uncovered) Upper Spread (+= favor London) 3-month Forward Pound Lower 8.99 II Dec. -1.17 7 „ U.K. Treasury Bill rate 9B +0.74 23 Lower Lower - 9.64 Differential: on Adj. Euro-$ Deposits on Unadj. Euro-$ Deposits 8A 10.38 9.45 Euro-$ 3-month Deposits (Adj.) Lower 9.75 Euro-$ 1-month Rate 7.55 12.32 Nov. 30 15.13 Dec. 7 +4.77 „ -5.47 Net Incentive (+= favor London)' " -0.70 y H . 13 December 1 2 , 1973 R e l e a s e No. 6 4 0 IV - 4 Chart Panel Series 10A Upper Euro-J Deposits (covered) „ Dec. German Interbank Loan rate 10B 11 12A i. 10.38 Swiss Deposit rate „ Lower Differential Upper Canadian Finance Paper „ Dec. 7 4.50 -5.88 9.13 U.S. Treasury Bill rate „ Canadian Treasury Bill rate „ U.S. Prime Finance paper (not plotted) ,, Bill rate differential || -1.32 Forward Canadian dollar || „ +0.48 „ +1.36 Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate 7.55 6.23 8.25 -0.84 12.32 U.S. Treasury Bill rate H 7.55 German Interbank Loan rate II 13.00 Japanese Average rate Canadian Treasury Bill rate October 7.706 Dec. 6.23 7 U.S. Treasury Bill rate 13.00 Euro-) Deposits (covered) Upper 12B 11.44 +1.86 Differential Lower 5 „ Lower Second Rate Date Euro-) Deposits Swiss 3-month Deposit rate 7.55 II „ 10.75 4.50 U.S. Treasury Bill rate " 7.55 V/ IV-5 Chart Panel Series 13 Upper Netherlands December 12, 1973 Release No. 640 Canada Nov. 30 8.24 7 7.63 Dec. * -United States „ Switzerland Germany Middle U.S. Corp. Dollar Euro-bonds^ Series G U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Switzerland Upper . Series G Nov. 16 5.92 7 9.56 Nov. 30 12.21 October 8.16 „* 7.82 November Nov. 30 Germany United States United Kingdom Middle Canada Lower ** Japan United States * • 6.72 Dec. United Kingdom Lower Rate Date 7.67 335.9 251.2 7 214.55 Nov. 30 204.26 Dec. Nov. 16 219.80 Nov. 30 782.01 7 214.55 Dec. New- Average yield on selected 10 year constant maturity bonds due or callable in 10 years. * * 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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