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V Febry*fy\l7, 1971 No. 493 y Hfl3 Divirton of International Fineice Ewepe and British Common wool* Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS I* BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM T A B L E 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-$ Deposit Rates Chart 7 A 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 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. LATEST FIGURES PLOTTED ON THE CHARTS NOTE: This series is a continuation of the CAPITAL MARKETS DEVELOPMENTS ABROAD, which has been published under that title through December 31, 1968. The changes in the format and order of the charts are fully explained in the Supplement to the series, which accompanied issue dated January 1, 1969. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC 1.6 GERMAN MARK U.K. P O U N D U.S. Below par Above par FRENCH FRANC- JAPANESE YEN | U.S. DUTCH GUILDER Below par M J S D 1968 M J S D 1969 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00. * * DM rate not supported by the Bundesbank. * * * Revaluation of the DM from 25.00 to 2 7 . 3 2 in U.S. cents. M S 1970 D M J 1971 S D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR BELGIAN FRANC HQ ITALIAN LIRA 1.2 Below par M J S D J M 1968 1969 * Can. $ rate not supported by Bank of Canada. S D J 1970 S D M S 1971 D Chart 2A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* - . GERMAN ! MARK SWISS FRANC U.K. P O U N D V \ ! J S D 1968 M J 1969 S DISCOUNTD j M S 1970 D J 1971 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum 8 PREMIUM* DUTCH GUILDER CANADIAN DOLLAR A *l\ FRENCH FRANC DISCOUNT M J S D M 1968 J 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. M J S 1970 D M J S 1971 D 1 Chart 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* 20 GERMAN MARK U.S. DOLLAR DISCOUNT — J S D M 1968 S 1969 D M S 1970 D M J 1971 S D 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per cent per annum SWISS S D 1968 M J FRENCH FRANC DISCOUNT- , S 1969 * Devaluation of the French franc from 4.94 to 5 55 for $ 1 . 0 0 FRANC D 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 44 42 40 38 36 S D 1968 M S D S 1969 1970 1971 M A R K E T S U P P O R T E D BY GOLD POOL US dollar equivalent per fine ounce 35.3 35.1 S 1967 * Market closed March 15-April 1, 1 9 6 8 D M 1968 S D D CALL MONEY RATES Per cent per a n n u DOLLAR FUNDS Weekly .iverape^ 12 CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS Per cent per a n n u m EUROCURRENCIES r Weekly averages r ' 12 EURO DM EURODOLLAR 11, EURO-SWISS FRANC S D 1968 M J 1969 S D M J 1970 S D M J 1971 J Y\ Chart 5B CALL MONEY RATES FOREIGN C U R R E N C I E S * Per cent per annum Friday figures SELECTED EEC C U R R E N C I E S * Per cent per annum Friday figures FRANCE GERMANY NETHERLANDS 1968 1969 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. 1971 LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s M J Per cent per a n n u m S D 1968 M J S D M J S 1970 D 1971 3 LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per a n n u m 13 12 ! 11 10 6-MONTH 3 MONTH h — M J S D M 1968 J S 1969 D M J S 1970 D M J S 1971 D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 M O N T H DOLLAR Wednesday f i g u r e s DEPOSIT R A T E S - P R I M A R Y MARKET Per cent per a n n u m 1 EURO DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT—*- U.S. C E R T I F I C A T E OF EURO-DOLLAR DEPOSIT ADJUSTED* OVER U.S. C E R T I F I C A T E O F D E P O S I T ADJUSTED* i M J 1 S l ± _ L i i D M 1968 1 i i l l J 1969 * Adiusted for Reserve R e q u i r e m e n t * * Adjusted for 10% M a r g i n a l Reserve Requirement * * * A d j u s t e d for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t S D M J S 1970 D M J S 1971 D 14 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO DOLLAR RATES Friday figures Per cent per a n n u m 7 EURO-DOLLAR DEPOSIT PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL ! FAVOR EURO DOLLAR | 14 Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO-DOLLAR RATES Per cent per annum Friday figures EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL i FAVOR EURO DOLLAR I 1970 1 1 1 i 1 I 1971 i I I Y* INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum FT3 - M O N T H TREASURY B I L L RATES _T I i T 12 • I U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED 1 Plotted for comparison purposes 8 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday figures 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 I ; SPREAD IN FAVOR OF LONDON ' PREMIUM DISCOUNT - FORWARD RATE IN FAVOR OF LONDON /r IN FAVOR OF NEW YORK H 10 RATE DIFFERENTIAL W I T H FORWARD EXCHANGE COVER (NET INCENTIVE) ! 12 M J S 1968 M 1969 1970 J 1971 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE j EURO-DOLLAR COVERED FAVOR FRANKFURT j DIFFERENTIAL FAVOR EURO DOLLAR 1968 1969 1970 1971 I 'L\ 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Per cent per a n n u m Wednesday rates IN TERMS OF SWISS FRANCS 1 - — " j i 12 EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR J 8 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA ILL RATES CAN. FIN. CO. PAPER CANADIAN ^ TREASURY BILLS UNITED STATES TREASURY BILLS rtlLIVl lUM B I L L R A T E D I F F E R E N T I A L A N D F O R W A R D CANADIAN UULLAK FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA: DISCOUNT _L_LLl_L_L_LLll.i.!_L.i ; _ i f j | C O V E R E D RATE D I F F E R E N T I A L S I TREASURY BILLS I PRIME FINANCE PAPER S 1968 S 1969 D. S 1970 D S 1971 D SELECTED SHORT-TERM INTEREST RATES' P f cent per annum ' ' GERMANY : U.K. 1 9 JAPAN U.S. CANADA 3 1967 1968 1969 1970 * 3 - m o n t h t r e a s u r y bill rates for all c o u n t r i e s except J a p a n i Average rate on bank loans and d i s c o u n t s ) and G e r m a n y ) I n t e r b a n k Loan Rate) 1971 SELECTED SHORT-TERM INTEREST RATES" Per cent per a n n u m ^ 12 EURO-DOLLAR - LONDON SWITZERLAND * 3 - m o n t h treasury bill rate for U S . S w i t z e r l a n d —3 m o n t h deposit rate * * 3 m o n t h rate for U S dollar d e p o s i t s in L o n d o n LONG-TERM BOND YIELDS Weekly figures CANADA NETHERLANDS U.S. SWITZERLAND U.K. GERMANY EURO DOLLAR BONDS Monthly figures U S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1966 * 1967 New series for Switzerland starts 3 3 67 * * New series for Switzerland starts 8 2 68 * * * New Average yield of all German P A Bonds begins 9 4 7u. 1968 1969 1970 CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 460 H 400 SWITZERLAND - 1968 1969 * Japan index of 2 2 5 industrial and other stocks traded on the Tokyo exchange * * Japan index of all i n d u s t r i a l and other stocks t r a d e d on the first section of the Tokyo Stock Exchange 1970 280 I H. 13 No. * 9 3 IV. L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series Date 1A Upper Swiss franc Feb. German mark Lower 28 3A U.K. pound " " +0.662 French franc " 4 0 . 634 " 4 0 . 701 Belgian franc " 40.731 Italian lira " 40.113 Canadian dollar - - - - Feb. -0.31 U.K. pound " -3.20 40.49 Dutch guilder " Canadian dollar " -1.04 French franc " -0.61 German mark F e b ^ 11 +2.05 .. + 2 . 68 French franc 5A 5B Upper -0.92 " " +2.33 " +2.28 Swiss franc 4 11 Swiss franc U.S. dollar 3B +1.764 40.788 +0.675 Dutch guilder German mark 2A 11 " Japanese yen IB Rate Gold price, U.S. dollar per ounce Feb. 11 Call Euro-J deposits Feb. 10 38.84 5.35 Federal Funds " 3.59 Middle Differential " + 1 . 76 Lower Euro-currencies: Euro $ " 5. 75 Upper Lower Euro DM " 7.35 Euro Swiss Fr. " 6.08 7. 25 Japan, Unconditional Money Feb. 5 U.K., 2-day Local Author. Deps. " 7.25 Canada, Day-to-day Loans " 5.25 France, Day-to-Day Money Feb. Germany, Call Money Netherlands, Call Money 12 6.12 29 2.00 6.19 " Jan. V ' IV- 2 Chart Panel 6A Series Date Euro-S Call Rate Feb. Euro-S 1-month Rate 6B 7A 76 Upper 5.50 Euro-S 6-month Rate " 6.00 Euro-5 3-month Deposits " Feb. 5.56 " 4.48 Lower Differential " +1.08 Upper Euro-$ 3-month Deposits " 5.56 H 6.95 U.S. Certificate of Deposits (Adj.) " 4.47 Lower Differential: on Adj. Euro-S Deposits " 2.48 " 1.09 Upper Euro-S 3-month Deposits Jan. 22 5.63 Hire Purchase Deposits (covered) » 5.09 Lower Differential " -0.54 Upper Euro-S 3-month Deposits " 5.63 Local Authority Deposits (covered) " 5.09 Differential " -0.54 9A U.S. Treasury Bill rate Feb. U.K. Treasury Bill rate " Local Authority Deposit (uncovered) Upper Lower * 10 5.38 U.S. Certificate of Deposits Lower 9B 4.88 „ on Unadj. Euro-S Deposits 8B 11 Euro-$ 3-month Rate * Euro-S 3-month Deposits (Adj.) 8A Rate 3.62 6.66 5 7.56 Spread (+= favor London) " +3.04 3-month Forward Pound " -3.17 Net Incentive (+= favor London) " -0.13 Adjusted for 20 per cent Marginal Reserve Requirement. Feb. 11 rf\ IV- 3 Chart Panel Series 10A Upper Euro ) Deposits (covered) Lower Differential Upper Euro ) Deposits (covered) Feb. German Interbank Loan rate 10B Swiss Deposit rate Lower 11 Upper Differential Canadian Finance Paper 12A +1.02 3 10 3 10 3 10 6.08 5.83 4.75 4.75 -1.33 -1.08 Feb. 11 5.88 U.S. Treasury Bill rate " 3.62 Canadian Treasury B i l l rate " 4.71 " 4.50 Bill rate differential " +1.09 Forward Canadian dollar " -1.05 " 40.04 Net incentive on bills Net incentive on Finance Paper Upper U.K. Treasury Bill rate Feb. U.S. Treasury Bill rate " German Interbank Loan rate 7.50 " Third 12B 7.50 Feb. Feb. Feb. Feb. Feb. Feb. Bottom Lower 10 " U.S. Prime Finance paper (not plotted) Second Rate Date 40.33 " 11 6. 66 3.62 7.50 " Japanese Average rate December 7.693 Canadian Treasury Bill rate Feb. 4.71 11 U.S. Treasury Bill rate » Euro-$ Deposits " 5.56 Swiss 3-month Deposit rate " 4 . 75 U.S. Treasury Bill rate 3.62 3.62 3 0 IV- 4 i Chart Panel Series Date 13 Upper Netherlands Jan. 29 7.34 Canada Feb. 6.53 Feb. 10 5.88 Switzerland Feb. 5.53 Euro-dollar bonds U.S. Corp. Dollar Euro-bonds 5 Jan. 29 United Kingdom Lower 5 United States * Germany Middle Rate 9.58 " 7.48 November U.S. Corp. DM Euro-bonds 14 Upper Lower * ** 8.24 7.83 U.S. Corp. Aaa bonds January Switzerland Feb. 5 Feb. 11 Germany Feb. 5 United States Feb. 12 United Kingdom Middle 7. 67 " 7.36 375.5 376.0 260.0 217. 64 180.54 " Canada Feb. 4 219.17 Japan Feb. 5 355.67 United States Feb. 12 217.64 Nev -- Average yield of ALL German Public Authorities bonds made as of banking key days. ** Beginning veek 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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