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n v 1 N °-538 ifiS^Divlsioii c\lmem«Hoed Flee** Enrepemi Bftttih C——wwHh Soctifn .-is?* SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS L 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 - Call Money Rates Chart 6A and B - 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 States-United Kingdom Chart 10A and B - Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Chart 11 - Interest Arbitrage: United States-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 - Industiial Stock Indices PART IV. SELECTED CENTRAL BANK DISCOIMT 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. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR January 1968 August 15. 1971 Weekly averages SW SS F R A N C GERMAN MARK V U.K. POUND JAPANESE DUTCH GUILDER * * * * * * * * * * Devaluation of the French franc from 4.94 to 5.55 for 11.00. Rate not supported by Central Bank. Revaluation of the DM from 25.00 to27.32 in U.S. cents. May 10, 1971 - Swiss franc revalued; new par 24 485 U S cents M Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR 1968 Augus Weekly averages ' 15 - 1971 Above pai 1.2 CANADIAN DOLLAR r BELGIAN FRANC U.S. ITALIAN LIRA 1.2 M J s 0 1968 J s 0 M 1969 J s 0 M 1970 J 0 S 1971 CANADIAN DOLLAR Ratio scale, U S. cents 1100 /\ J 98 ^ CANADIAN DOLLAR 96 J S 1970 • R a t e not supported by Central Bank M J 1971 s D Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11. 1971 - Weekly averages Above par GERMANY NETHERLANDS FRANCE JAPAN Par with U.S. Below par MAY JUNE JULY AUG. SEPT. 1971 * Financial franc OCT. NOV. DEC If Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1 9 7 1 - Weekly averages Above par BELGIUM U.K. SWITZ. ITALY U.S. Below par MAY JUNE JULY SEPT. AUG. 1971 *For clarity the vertical scale is double that used in 1C OCT. NOV. DEC. 1 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum 10 PREMIUM- GERMAN MARK SWISS FRANC U.K. POUND DISCOUNTM J S D M 1968 J S D M J 1969 S J 0 S D 1971 1970 4-MONTH FORWARD YEN GAINST U.S DOLLAR Weekly averages P y cent per i JAPANESE YEN PREMIUM* 11 I I I M J—L _L_L J 1970 S D I I I I I I I M J 1971 _L_L S D Chert 28 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per ci PREMIUM DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC DISCOUNT M I S D 1968 M J S 1969 * Oevaluetion of the French frenc from 4.94 to 5.55 for $1.00. * * Can. 9 rete not supported by Benk of Canada. * * * No quotation I D M J 1970 S D M J 1971 S D 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 DISCOUNT— M J S D 1968 M J 1969 S D M J S D M 1970 * No quotation. J 1971 1 S D v> Chart 38 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH PRAHC DISCOUNT M J S D 1968 M J S 1969 •Devaluation of the French franc from 4.94 to 5.55 for $1.00 D 20 M J 1970 S 0 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 1972 CHART5A CALL MONEY RATES DOLLAR F U N D S Weekly averages Per cenl per annum EURO DOLLAR D E P O S I T S CALL O V E R N I G H T " i l l * 28 48" FEDERAL F U N D S EURO DOLLAR OVER F E D E R A L F U N D S M EURO-CURRENCIES Weekly averages Per cent ##f annum 12 EURO D M EURODOLLAR I I I EURO-SWISS F R A N C l _L_L M J S D M 1968 J l S 1969 * May 10, 1971 - Changed to Overnight Euro $ Deposits. * * Dropped as of August 18, 1971. l D I I M l J i I S 1970 i D i I i M i I i J i I i i I.-L-lJ S D 1971 0 Chart bB CALL MONEY RATES FOREIGN C U R R E N C I E S * Friday figures Per cent per annum - 1 - j y/V d P l 1 1 1 1 y i i APAN < XX 1 1 V CfiiNADA 1 1 i i i i 1 1 l V \ Vv V-x i 1 i i i SELECTED EEC C U R R E N C I E S * * N r Friday figures cent FRANCE GERMANY NETHERLANDS M J S D 1968 M 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 Pfr e n n u m V* Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 25.50 OVERNIGHT CALL 7-DAY M J S D M 1969 J S 1970 * M a y 12/71-changed to Overnight Euro-Dollar Deposits * * July 1 -changed to 7 Day Euro-Dollar 0 M J 1971 S D M J 1972 S D Chart 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 3-MONTH > NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - S E C O N D A R Y M A R K E T Wednesday figures EURO DOLLAR D E P O S I T U.S. C E R T I F I C A T E OF D E P O S I T I I 1 I I I 1 I 1 I I I I I 1 I I 1 I I I I I I I I I 1 I I 1 I 1 I I I l \ l/l DIFFERENTIAL I I 11 I 1 I FAVOR EURO DOLLAR - A " A/^ Vwvx/ A/Vx y v v z 1r - I I 1 l l M J 1 l l S 1 l l 111 111 D M J 1968 1969 1 1 1 1 1 S D 1 1 1 i M J 1 1 1 1 1 I I S 1970 D i M i I i J i I i S 1971 i 11 D i 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 M A R K E T Wednesday figures Per cent per annum 14 euro dollar deposit ADJUSTED euro dollar deposit u.s. c e r t i f i c a t e o f deposit ADJUSTED DIFFERENTIAL ADJUSTED FAVOR U.S. CERT. OF DEPOSIT I I 1 1 11 M l J l l S l U I D 1968 I I M u J I J 1969 •Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * Adjusted for 20% Marginal Reserve Requirement I I S I 1 D i 1 J, 1 _ u _ L I J _ L L M J 1970 S D L L J I L J h i Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS h i r e purchase a n d e u r o d o l l a r r a t e s Friday figures Per cent per annum EURO DOLLAR DEPOSIT | Ya/" HIRE PURCHASE COVERED differential M J FAVOR EURO DOLLAR S D 1966. M J S D M J 196* 1970 X S D M J 1971 S D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO DOLLAR RATES Friday'igures Per cent per annum 14 euro dollar deposit £ local authority deposit COVERED V V/ X A, L , \r V |V /j i rtr r r A 1ii v / -1III 1 -1j j II ii 1 ii V i : DIFFERENTIAL j 1 1 1 1 1 1 1 M J S i 1 1 1 1 1 1 D M J S I - A i 1968 - vy V \ 1969 i D M i i J i S 1970 - - 1 1 D 1 1 M FAVOR EURO DOLLAR 1 1 1 1 1 1 1 1 J S 1971 D 10 f > Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 3 - M O N T H TREASURY B I L L RATES u.k. l o c a l a u t h o r i t y d e p o s i t s UNCOVERED london new york M J S 0 1969 * Plotted for comparison purposes s M 1970 D M J 1971 s D M J 1972 S D Chart 96 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum : PREMIUM] RATE D I F F E R E N T I A L A N D 3 - M O N T H FORWARD STERLING I s p r e a d in f a v o r o f l o n d o n forward rate DISCOUNT FAVOR LONDON DIFFERENTIAL M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D 4 y Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. L O N D O N Wednesday rates EURO DOLLAR RATE Per cent per annum 14 german interbank loan rate eurodollar COVERED 1 DIFFERENTIAL A / UV/T.J i i i M i i i i J i i i V S D vV 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 l M M 1969 No quotation FAVOR FRANKFURT J JhlvVWM/ V J S 1970 O \ 1 1 1 1 1 l J S 1971 D FAVOR EURO-DOLLAR 1 1 f 1 1 f 1 1 i 1 1 M J S 1S71 D y : > w / v Chart I OB 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC Z U R I C H DEPOSIT RATE VS. L O N D O N EURO DOLLAR RATE Wednesday rates Per cent per annum IN T E R M S OF SWISS FRANCS m euro-dollar COVERED swiss deposit r a t e i i I i i I i i I i i 1 i i I i i I i i I i i A DIFFERENTIAL W FAVOR ZURICH A _A f Vv V 1 \ N V i i 1 i M i i 1 1 1 1 1 1 J S D M 1969 — No quotation i 1 i i 1 i J i 1 i S 1970 i D i i M I i i 1 i J 1971 i S 1 i D i FAVOR EURO DOLLAR 1 1 1 1 1 1 1 1 1 1 1 M J S 1972 D 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per annum 1 1 | 1 1 | 1 1 | 1 1 1 1 1 1 1 1 1 1 1 1 1 - BILL R A T E S ^ ^ ^ j \ v, . v 1 1 | 1 1 | 1 1 | 1 1 1 1 | 1 1 | 1 1 | 1 1 . \ y \ - S V C V v J ^ C A ' N. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN \ V TREASURY BILLS V v - /VvA. \ - BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS /A/v FAVOR U.S. FAVOR CANADA PRIME FINANCE PAPER w FAVOR U S. | I 1 i I 1 l l I II M J S 1-1-1 L _ L ± l L l - L - L D 1969 M J S 1971 D ± j J M I I I I I I I I J S 1970 D I I I I I I I I I I I M J 1972 S D 10 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum r V i - v l v \ i a v . - gl r m a n y lA u.k. - \U1.8. - " u k 1 i i 1 1 1 11 11 11 11 1 1 1 1 1 1 111 - 1 1 1 ii 1 1 1 1 1 1 v\ i n ii 1 m 111 1 1 1 1 1 1 1 1 1 1 1 - ja f a n /.IT \ - \\U.8. v f \ canada\ Va 111111111111 1 1 1 1 1 1 1 1 1 1 1 1968 # i 1 1 i 1 1 1 1 1 1 1 1 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) 1 1 1 1 1 1 1 1 1 1 1 1972 Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per annum 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 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per 10 NETHERLANDS 8 CANADA 6 U.S. U.S. SWITZERLAND 4 ' 11 U.K. 9 .GERMANY EURO DOLLAR BONDS 7 5 10 U.S. CORP. DOLLAR EURO-MUM Monthly figures 8 U S. CORP. Aaa BONDS U.S. CORP. DM EURO BONDS 6 4 1968 1969 1970 1971 1972 lew series for Switzerland starts 8-2 68, U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro-Bonds starts 12 70 New Average yield of all German P A. Bonds begins 1 7-69. CHART 14 1958=1: INDUSTRIAL STOCK INDICES Ratio s c : ' 31 281 v - u J- r / J I 1 1 II i i 1 i i 1 i i 1 i i 1 1 1 M 1 1 1 1 1 1 - " A vV A 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1II - \ ^ " V SWITZERLAND 32C wMSERMANY 7 \ / X\ vA\y.s. M l M l i i l i i I i i i i I i i 1 i i I i i - I W I a V / i i i i II ^JAPAN 1 1 1 1 1 1 11 1 ^ lr\Z » V >Z - Z V\CANADA i i 1 i i 1 i i 1 ii 1968 i i I II l i i 1 i i 1969 M 1 1 1 1 I 1 1 1 1 i i ! i i 1 i i 1 i i 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. 538 IV. SELECTED CENTRAL BANK DISCOUNT RATES . Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium France Germany Italy Netherlands Switzerland United Kingdom Canada Japan United States t a r . 25, 1971 5.5 Sept. 23, 1971 6.0 6.50 Oct. 29, 1971 6.75 4.0 Dec. 23, 1971 4.5 4.5 Oct. 14, 1971 5.0 Apr. 5, 1971 5.0 Sept. 15, 1971 5.5 Apr. 5, 1971 3. 75 Sept. 15, 1969 3.0 July 10, 1967 5.0 Sept. 6. 0 Apr. 4. 75 Oct. 2 5 , 1971 5.25 Feb. 2 4 , 1971 4. 75 Dec. 29. 1971 5.25 J u l y 2 8 , 1971 4.50 Dec. 13, 1971 4.75 Nov. 11, 1971 3. 1971 \ lay 13, 1971 V Dct. 14, 1971 I. 1971 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 TEMPORARILY SU SPEND ED* Lower Dec. 24 Upper German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen German mark U.S. dollar Swiss franc French franc Dec. 17 " - 0.85 - 2.05 + 0.41 +10. 30 Gold price, U.S. dollar per ounce Dec. 24 43. I t Overnight Euro-) deposits Federal Funds Differential Euro-currencies: JQDOdtX 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 Dec. 22 ii " 6.48 3.89 2.59 " n. a. Lower 3A 3B 4 5A Upper Middle Lower 5B Rate Belgian franc Italian lire Canadian dollar German mark Dutch guilder 2A 26 Date Upper Lower " " " " 1.62 3.36 0.95 0.70 0.59 + 0. 38 » " " " Dec. 17 Dec. 24 Dec. 17 D?c. 3 *H.10 weekly r e l e a s e (Spot r a t e s - c e r t i f i e d ) a v a i l a b l e on r e q u e s t . + + + + + n. a. 5.50 4.06 3.50 5.38 5.50 2.75 IV - 3 Chart Panel Series Date 7-Day E u r o t i d b a t m h t Rate 6A 6B Dec. 24 Upper 6.56 Euro-J.3-month Rate 6.25 Euro-$ 3-month Deposits 6.25 Dec. 22 U.S. Certificate of Deposits 7B Lower Differential Upper Euro-S 3-month Deposits + 1.54 6.19 7.74 U.S. Certificate of Deposits (Adj.) 4.86 Differential: on Adj. Euro-$ Deposits + 2.88 on Unadj. Euro ) Deposits 8A Upper Euro-) 3-month Deposits + 1.33 Dec. 10 Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-S 3-month Deposits - 4.03 6.56 2.40 Differential U.S. Treasury Bill rate 9A - 4.16 Dec. 24 U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 3-month Forward Pound Lower 6.56 2.53 Local Authority Deposits (covered) Lower 6.19 4.65 Euro-$ 3-month Deposits (Adj.) Lower 9.00 Euro-$ 1-month Rate Euro-$ 6-month Rate 7A Rate 3. 78 4.41 Dec. 17 4.44 Dec. 24 + 0.63 + 1.10 Net Incentive (+= favor London) + 1.73 3 IV - 4 Chart - 10A Panel Series Upper Euro ) Deposits (covered) Date Dec. 22 German Interbank Loan rate 10B Lower Differential Upper Euro-S Deposits (covered) 11 Differential Upper Canadian Finance Paper 6.75 2.79 1. SOp - 1.29 Dec. 24 U.S. Treasury Bill rate 1.09 U.S. Prime Finance paper (not plotted) Second 4.50 Bill rate differential - 0.69 Forward Cmadian dollar 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate + 0.56 - 0.13 + 0.42 Dec. 24 U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 12 B 4.38 3. 78 Canadian Treasury Bill rate t 4. 72 + 2.03 Swiss Deposit rate Lower Rate 4.41 3.78 Dec. 22 6.75 October 7.228 Dec. 24 „ 3. 09 U.S. Treasury Bill rate 3. 78 Euro-$ Deposits ii 6.25 Swiss 3-month Deposit rate it 1.50p U.S. Treasury Bill rate " 3.78 IV-5 Chart Panel Series 13 Upper Netherlands Canada United States Switzerland Middle * Germany United Kingdom Date Dec. 3 7.30 Dec. 22 6.13 II 5.61 Dec. 17 5.01 Nov. 30 7.93 Tk»r_ 17 8. 76 Euro-dollar bonds Lower 14 Upper U.S. Corp. Dollar Euro-bonds 7. 72 ii 7.22 U.S. Corp. Aaa bonds a 7.26 Switzerland United States United Kingdom Canada Lower 7.4 November U.S. Corp. DM Euro-bonds Germany Middle Rate Japan United States Dec. 17 380.6 Dec. 15 254.0 Dec. 24 227.67 Dec. 17 261.64 Dec. 16 216.30 Dec. 18 422.44 Dec. 24 227.67 • 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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