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_ December 8, 1971 No. 535 H-13 ' I •x — Q .-- Division ofjgtemotionel Finance Europe end British Commonwealth Section 1ECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM V X \ 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 Rites, Major Currencies against U.S. Dollar Chart 3A and B - 3-Month Forward Exchange Rates, Major Currencies agalnst>U.K. Pound Chart 4 * - Gold Price In London PART II. SHORT-TERM INTEREST RATES - Call Money Rates Charts Chfcrt 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.-Switzerfand 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. Chart 1A V SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Janua, " » 1 9 6 8 '"E"' 15 1971 Pe.ceM Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par US Below par Above par FRENCH FRANC- (NESE JAPAI YEN Par US DUTCH GUILDER Below par M J S D 1968 * * * * * * * * * * M J S 0 M 1969 Devaluation of the French 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. J 1970 S D M J 1971 S D \ Chart 1Q SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages January ^ - A u g u s t 15. 1971 Above par CANADIAN DOLLAR BELGIAN FRANC ITALIAN LIRA CANADIAN DOLLAR Ratio scale, U.S. cents 100 1 A " . ' \ / ^ A J h Vj 98 OA,NADIAN DlOLLAR J - 96 - 94 1 1 1 S 1970 *Rate not supported by Central Bank 1 1 D 1 i M i i J 1971 i S D b Chart 1C SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages M e f U l , 1971 - " Per cent Above par GERMANY NETHERLANDS FRANCE JAPAN U.S. Below par MAY JUNE JULY AUG. SEPT. 1971 Financial franc OCT. NOV. DEC. 4 Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 — Weekly averages Above par BELGIUM U.K. SWITZ. ITALY u.s Below par MAY JUNE JULY AUG. SEPT. 1971 *For clarity the vertical scale is double that used in 1C OCT. NOV. DEC. Chart 2A # 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly PREMIUMS- GERMAN MARK SWISS FRANC U.K. P O U N D DISCOUNT 1968 * No quotation. 1971 1970 1969 4 MONTH FORWARD YEN AGAINST U.S. DOLLAR P c cent per Weekly averages JAPANESE YEN PREMIUM* M J 1970 S D M J 1971 S D Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR ttccniy averages per cent per annum PREMIUM DUTCH GUILDER \ \- CANADIAN DOLLAR , FRENCH FRANC 20 DISCOUNT - M J S D 1968 M 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 quotation 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 24 PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNT— M J S D 1968 * No quotation. M J 1969 S D M J 1970 S D M J 1971 S D Chart 3B 4 ^ 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 •Devaluation of the French franc from 4.94 to 5.55 for $1.00 D M J 1970 S D M J 1971 S D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum EURO DOLLAR DEPOSITS CALL OVERNIGHT FUNDS FEDEI EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages ^ Per cent per annum EURO DM EURODOLLAR EURO-SWISS FRANC M J S D 1968 M J S 1969 * May 10, 1971 - Changed to Overnight Euro $ Deposits. * * Dropped as of August 18, 1971. D M J 1970 S D M J 1971 s D Chart 5B - j CALL MONEY RATES FOREIGN CURRENCIES* Friday figures Per cent per annum - I i hzk p \Aj v - 1 1 1 1 1 1 1 1 d - APAN -> ^\ — __ y .U.K. W j r Cfii N A D A 1 1 i i 1 1 1 1 1 1 l 1 1 I V1 h \ i i i i V i i i i SELECTED EEC C U R R E N C I E S * * v Per Friday figures cent P e r 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 LONOQN: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per 25.50 OVERNIGHT 1-MONTH CALL 7 DAY J s 1969 D J S 1970 *May 12/71-changed to Overnight Euro-Dollar Deposits * * J u l y 1-changed to 7-Day Euro-Dollar D M J 1971 S D M J 1972 S D \€ Chart BB LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum II * / . If r i m r \\6M0NTK d ^ WV/s-month i i 1i i 1i i 1i i M J S D i i 1i i 1 T i 1i i M 1969 J 1970 S D 1 111111111 1 M J S 1971 D 1 1 1 1 1 1 1 1 1 11 M J S 1972 D \l» N E W Y O R K - L O N D O N : Y I E L D S O N U.S. D O L L A R F U N D S 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum 14 - - 12 - EURO-DOLLAR DEP0SI1r 10 - V ~ ^ r\ U.S. CERTIFI GATE OF DEPOSIT \ - P M 1111 M 111 II 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 II 1 1 1 IN l/l DIFFERENTIAL 1 i II 1 1 1 FAVOR EURO DOLLAR - A/u \yvvz1 Iri J A " w v x / jI r 4 / V - II 1 II M M 1 1 1 1 II J S D ' 1968 l M M l M J l M S 1969 D 1 1 1 II M 1 1 1 1 1 1 J 1970 S D 1 1 1 1 1 1 1 1 1 II M J S 1971 D Chart 78 NEW YORK-LONDON: COSTS 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 EURO-DOLLAR DEPOSIT EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED* differei ADJUSTED1 FAVOR U.S. CERT. OF.DEPOSIT - S D 1968 M J 1969 * Adjusted for Reserve Requirement * * A d j u s t e d for 10% Marginal Reserve Requirement * * * Adjusted for 20% Marginal Reserve Requirement S D J 1970 S D M J 1971 S D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS hire purchase and euro d o l l a r rates Friday figures Per cent per annum EURO DOLLAR DEPOSIT i] 1YA/~ HIRE PURCHASE COVERED differential M J FAVOR EURO DOLLAR S D 1968 J 1969 S D M J 1970 S D M J 1971 S D 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 14 12 EURO-DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT COVERED 4 2 + 0 + 0 2. 4 6 8 differential M J 10 FAVOR EURO DOLLAR S D 1968 M J 1969 s D M J 1970 S D M J 1971 S D i p Chart 9a INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 3-month treasury b l l rates .N\, I N r r~77f ti J \ U.K. LOCAL AUTHORITY DEPOSITS* \ v - wy \ y UNCOVERED • ' LONDON a N j VNEW YORK I I 1 J I m 1 M j 1 11 s ii d 1969 * Plotted for comparison purposes m 111111111 j 1970 s o 1 11ii m j I ii 1ii s d 1971 1 11 11111111 m j s 1972 d Chart 98 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures '* Per cent per rate d i f f e r e n t i a l and 3-month f o r w a r d sterling i 4 PREMIUM) 2 SPREAD IN FAVOR OF LONDON + 0 2 FORWARD RATE 4 6 8 10 DISCOUNT 12 4 FAVOR LONDON differential 2 + 0 2 4 6 8 FAVOR NEW YORK 10 M J S D 1969 m J 1970 S D m S J 1971 9 D m J 1972 S D t f v Chart 10A 3 - M O N T H FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK f r a n k f u r t interbank loan rate vs. l o n d o n euro d o l l a r rate Per cent per annum Wednesday rates in terms o f dm GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED differential FAVOR FRANKFURT FAVOR EURO DOLLAR -i-l-L-l M I I J 1.1 1_L - S I D 1969 No quotation I I M I I I I J 1970 I I S I I I I D I M I 1 I I J* 1971 I I S I I I D I, I M I I 1 I J 1972 I I- I S I D ] 14 Chart 10B 3 - M O N T H FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Per cent per an Wednesday rates 14 IN TERMS OF SWISS FRANCS 12 10 8 EURODOLLAR COVERED 6 4 2 SWISS DEPOSIT RATE i i 1 i i I i ' I i I ' ' i 1 ' » 1 i ' I i 0 i FAVOR ZURICH DIFFERENTIAL 2 + 0 2 4 6 I M J S D 1969 - No quotation M l l I I J 1970 I I S I I I D I I I I I I I » I I I 1 I I I FAVOR EURO DOLLAR I t I 1 I I I 1 8 Chart 11 3 - M O N T H INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures - b i l l rates LCAN. UNITED STATES TREASURY BILLS FIN. CO. PAPER CANADIAN \ X TREASURY BILLS V b i l l r a t e d i f f e r e n t i a l and f o r w a r d canadian d o l l a r aaa "f A FORWARD RATE T PREMIUM GROSS SPREAD IN FAVOR OF CANADA DISCOUNT covered rate d i f f e r e n t i a l s FAVOR CANADA TREASURY BILLS FAVOR U.S. FAVOR CANADA PRIME FINANCE PAPER FAVOR U.S. M J S D 1969 M J 1971 s D M J 1970 S D M J 1972 S D Chart 12A SELECTED SHORT-TERM INTEREST RATES* x - u - •rmany - l x \ l A v . u.k. v 11 1 1 1 1 1 1 1 1 1 1 1 - 11 11 1 1 1 1 111 . l ^1 - i r 1 i i 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 1 t.s. [\\ I - j# pan V\ f - T - ' v ' \\ u v canada\ • 1 1 1 1 1 1 1 1 1 1 1 i i 1 ii 1968 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 1 .5. / \ ¥A l-l 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 L^an Rate) - 1 1 1 1 1 1 1 1 1 1 1 1972 Chart 128 SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO DOLLAR - LONDON I m 1 i : I i i 1 i i I i i I i i 1 i i 1 i i I i i I i i I i i 1 i i 1 i 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. i I i i 1i i 1i i I i i 1i i 1i i I i i 1 o 1972 LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS CANADA U.S. US. SWITZERLAND 11 U.K. GERMANY EURO DOLLAR BONDS 10 U.S. C O R P . D O L L A R E U R O - B O N D S Monthly figures U.S. C O R P . A a a B O N D S U.S. C O R P . D M E U R O - B O N D S — 1968 1969 1970 1971 1972 * N e w 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. •s CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 320 280 X/200 1 1 1 I I 1 ! 1 1 1 i - i i 1 i i i i i 1 i - s, I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 160 , ' v vV f. yy J i ZV— 400 Xr—SWITZERLAND 320 —wMaERMANY Z^-X " /X V/v\u.s. i i ; i i 1 i i I i i i i I ii I i i I M i I i i II 1 i i ! i i 1 i i ^JAPAN / v v X / 240 a / ^ I i I i W i - v 400 z 320 - 240 Z i i ii i i i ii r i i 1 1 1 M 1 M 1969 _ 1 M V\CANADA 1 1 1 M 1 II 1970 1 II 1 1 1 1 1 1 II 1971 f 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. 1 1 1 ' H. 13 No. 535 Country ft IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Sept. 23, 6.50 Oct. Germany 4.5 Oct. Italy 4.5 Netherlands Switzerland 1971 6.0 Mar. 25, 29^4971 6.75 May 13, 1971 14, 1971 5.0 Apr. 1, 1971 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 3, 1971 6.0 Apr. 1, 1971 24, 1971 Belgium 5.5 France 1971 United Kingdom 5.0 Sept. Canada 4.75 Oct. 25, 1971 5.25 Feb. Japan 5.25 July 28, 1971 5.5 May 8, 1971 United States 4.75 Nov. 11, 1971 5.0 J u l y 16, 1971 3 0 ; IV 2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Series Date Swiss franc Rate Dec. + 3.613 3 U.K. pound Lower IB French franc Japanese yen Upper Lower + 3.941 Financial franc + 2.86 +10.213 Belgian franc + 8.614 Italian lire + 2.608 Canadian dollar Actual rate 99.71 German mark +11.023 + 9.510 Dutch guilder 2A German mark Dec. 3 + 1.29 Swiss franc 2B Upper + 4.72 U.K. pound + 2.01 Dutch guilder + 0.96 Canadian dollar + 0.55 French franc Lower + 5.10 n. a. Japanese yen 3A 3B » German mark - U.S. dollar - 2.05 + 1.47 * Swiss franc French franc 4 5A + 3.92 Gold price, U.S. dollar per ounce Upper Overnight Euro-$ deposits 43.67 Dec. 1 5.46 Federal Funds 4.68 Middle Differential 0 . 78 Lower Euro-currencies: Euro DM Nov. 26 Upper Japan, Unconditional Money " 5.50 U.K., 2-day Local Author. Deps. " 4.19 Canada, Day-to-day Loans 1 Lower France, Day-to-Day Money Dec. Nov. 1 26 Germany, Call Money Dec. 3 Netherlands, Call Money Nov. 19 i 3.97 0.62 Euro Swiss Fr. 56 1.47 3.73 5.25 6.00 y - 3.18 N IV-3 Chart Panel 6A - 6B Series Date Euro-S 7 - d a y Rate Dec. * Upper 3 5.25 Euro-$ 1-month Rate 6.94 Euro-S 3-month Rate 6.44 Euro-S 6-month Rate 7A Rate Euro-$ 3-month Deposits ^ X - Dec 6.44 6.38 1 U.S. Certificate of Deposits Lower 7B 4.88 Differential Upper + 1.50 Euro-S 3-month Deposits Lower 6.38, Euro-S 3-month Deposits (Adj.) 7.98 U.S. Certificate of Deposits (Adj.) 5.08 Differential: on Adj. Euro-S Deposits + 2.84 on Unadj. Euro-S Deposits 8A Upper Euro-S 3-month Deposits + 1.24 Nov. 6.69 19 Hire Purchase Deposits (covered) Lower - Differential Upper 8B Lower a « Upper Lower 1 n.a. Euro-S 3-month Deposits 6.69 Local Authority Deposits (covered) 3.71 Differential 9A 9B z n. a . - " U.S. Treasury Bill rate Dec. U.K. Treasury Bill rate " 3 2.98 4.21 4.29 Local Authority Deposit (uncovered) Nov. 26 Spread (+= favor London) Dec. 3 4.72 + 0.08 3-m##f Forward Pound + 2.56 Net Incentive (+= favor London) + 2.64 - > < IV-4 Rate Chart Panel Series Date 10A Upper Euro-* Deposits (covered) Dec. German interbank Loan rate " 6.75 Lower Differential " + 1.56 10B Upper Lower Upper 11 Euro-S Deposits (covered) " 1.72 " 1.50 i Differential Canadian Finance Paper " Dec. 3 12A Canadian Treasury Bill rate 3.33 4 . 75 Bill rate differential Net incentive on bills Bottom Net incenti e on Finance Paper Upper U.K. Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate ^ " + 0.33 V Dec. 4.21 " Dec. 4.29 1 6.75 September 7.543 Dec. 3.33 U.S. Treasury Bill rate 3 Canadian Treasury Bill rate Swiss 3-month Deposit rate , -0.30 " " Euro-) Deposits • 0.88 + 0.58 Japanese Average rate U.S. Treasury Bill rate 12B 4.50 U.S. Prime Finance paper (not plotted) Third Lower 0.22 4.21 " Forward Canadian dollar - 5.19 Swiss Deposit rate U.S. Treasury Bill rate Second 1 3 4.21 6.44 " 1.50 4.21 ' IV-5 Chart Panel Series Date 13 Upper Netherlands Nov. 19 7.15 Canada Dec. 1 5.96 Switzerland Nov. 26 4.86 Germany Nov. 15 7.93 Nov. 26 8.43 Dec. 3 7.4 Rate United States Middle . * 5.45 United Kingdom Euro-dollar bonds Lower r 1* Upper > U.S. Corp. Dollar Euro-bonds October 7.77 U.S. Corp. DM Euro-bonds " 7.23 U.S. Corp. Aaa bonds " 7.3$ Switzerland , f — 366.3 Nov. 19 Germany Nov. 23 - United States Dec. 3 Middle United Kingdom Dec. 3 245.71 Canada Nov. 25 195.63 Japan Nov. 27 413.68 United States Dec. 3 213.55 Lower • * ^241.2 213.55 New -- Average yield of A L L 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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