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February 23, 1972 No. 546 H-13 Dtvisiw ef ktemetlwd Fiwce Ew##e mi Brillsli f — — H H I I SecHw iCTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS M M ® 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-) 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 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 January 1, 1972. Chart 1A SPOT EXCHANGE RATI S - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent Above GERMAN MARK against U.K. POUND SWISS FRANC DUTCH GUILDER JAPANESE YEN FRENCH FRANC against U.S. J 1972 s D 1973 o SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages 1 2 / BELGIAN FRANC u s f ITALIAN LIRA J I I I I I I J I J I I L I I I I I s I I J 1972 I s 1973 Ratio scale. U S cents 102 CANADIAN DOLLAR ^ / A.J v > 100 W r / ' 98 i i V t 94 i i 1 i I J 1 1 1 1 1 1 s D 1970 i i i M i i i J 1971 I i i S i i ! i i i i i i D 1972 I i ; i i i 92 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR 11. 1971 - Weekly averages Par cent Above par GERMANY NETHERLANDS FRANCE JAPAN U.S. dollar Bekm JUNE JULY AUG SEPT. 1971 Financial franc OCT. NOV. DEC. zP Owl ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR 11. 1971- Above p«r UK. swnx ITALY U.S. MAY june JULY AUG. SEPT. 1971 OCT. NOV DEC 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages PREMIUM 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 cent per annum Weekly averages JAPANESE YEN PREMIUM M J S D M J S D CMS 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES Pet cent pec j\ DUTCH GUILDER CANADIAN \ KH1AR »A , A j 1 /I /FREHCH FRANC DISCOUNT «' J s D M 1969 J s 1999 • OwwlMtiwi ef me French frewc frew 4.S4 • • $S§ fcr $1.00. M C w l f«t» w < i M p p i r t k l - t •( C I I I I I * * * No quotation 0 M J 1970 S D M J 1971 S 0 Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per ceat per annum 24 PREMIUM 20 GERMAN MARK U S. DOLLAR s D 1968 * No quotation M J 1969 S D M J 1970 S D M J 1971 S D C M at 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U K POUND Fiiiay figures Per cent per annum SWISS FRANC FRENCH FRANC m M J $ 0 J $ r 0 IMS IKS •Oewtwtsen e« Mm Frew*fcwwI m 4*4to S.SStor$1.00 7 M J 1970 s D « J ISii S 0 1* Chart 4 GOLD PRICE IN LOUDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 50 46 42 38 34 M J S D 1969 M S 1970 D D 1971 S 1972 0 CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages EURO-DOLLAR DEPOSITS CALL OVERNIGHT 4 FEDERAL FUNDS JJ\ J1 - EURC1-DOLLAR OVER FEDERAL FUNDS 1 vyw/ W 1 VVN i i 1 i i 1 M 1 i i i 1/v i 1 i w v* i 1 i i 1 i i I I 1 1 1 1 1 1 1 1 1 , , - : I.I 1 1 1 1 1 EURO-CURRENCIES Weekly averages Per cent per annum EURODM EURO-SWISS FRANC M J S D 1969 M J s 1970 * May 10. 1971 - Changed to Overnight Euro $ Deposits. D S M 1971 D S 1972 D CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per an 12 8 4 NETHERLANDS i i 1i i I i i 1i I 1i I 1l I 1I l I I 0 8 4 I l I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I I 1I I 1I I 0 12 8 4 0 nee, Day-to-day Money; Netherlands, Call Money, weekly average. Japan, Unconditional Money; iada, Day to day Loans, weekly average; Germany, Call Money; U K., 2-day Local Authority Deposits. IV LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum i J S 1970 r 12/71-changed to Overnight Euro-Mar Deposits «ty 1—changed to 7-Oey Euro-Dollar D J 1971 S D M J 1972 S O Chart 66 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures f»r ceet p* • \ J U 6-Morm h ihi 1 l / v \f\ t 1 1 1 1 1 1 1l 1I 11 l 1l 11 I l 1 lIIl 1 1 1 1 1 11111111 1 1 1 1 1 1 M J S O 1969 M J 1970 S O M J S 1971 O M J S 1972 D 2?^ Chart 7A NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS 3-MONTH DOUAR DEPOSIT RATES—SECONDARY^MARKET Wednesday figures " Per cent pet «nnum 71 U S CERTIFICATE OF DEPOSIT I i i I i i I i i 1i i I i i 1i i 1i i I i i 1ii 1i i I i i I i i I i i I i i I i i 1 DIFFERENTIAL FAVOR EURO-DOLLAR ' Mxi r i - A A Wvx/lA I v V El IRO-OOUAR OVER U.S. GERTIFICATE OF DEPOSIT \ 1 l I 1I l 11l 1l l l I 1I I 1I l 1l l M J S 0 M J D 1969 1970 i i I i i 1i i 1i i M J 1971 S 1 1111I 1I , i I * J 1972 S D £ f \ Chart 76 NEW YORK-LONDON COST OF U.S. DOLLAR FUNDS 3 M O N T H DOLLAR D F P n s i r p a i r s - P R I M A R Y MARKET Wednesday figures Per cent per annum /^EURO-DOLLAR DEPOSIT ADJUSTED EURO D O L L A R D E P O S I T US. i 1 J i i I i i I i i I i i I i / h , 1/ 11 ( , M !\7\VL 1 ! , J I S 1 I D I 1 1 I H 1969 1 1 1 ! \ J \ n \ V V 1 1 1 .1 _L_L J S 1970 •Adjusted for Reserve Requirement * * Adiusted-for 10% Marginal Reserve Requirement • • • A d j u s t e d for 20% Margma. kt-erve Requirement - *•*11 EURO-DOLLAR OVER V 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 / v CERTIFICATE OF DEPOSIT ADJUSTED 1 i A V i/yv 4fk I •• / i D 1 1 1 1 1 1 1 1 1 1 L M J 1971 S D 1 1 1 1 1 1.1 1J—l_J_. M J S 1972 D 2 Chart 8A . >< LONDON: COVERED YIELDS ON U S. QOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures ctf re* ! ' ' 12 — i \ EURODOLLAR DCPOSI r : /\A/lI / w * y i HIRE PURCHASE 1 COVERED - - I I 1 1 1 1 1 1 1 I I 1 1 1 I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 i i I ,\ i/l A / v y Ka/^1 V 1 1 FAVOR HIRE PURCHASE m - - DIFFER 1111 M 1111 J S D M M 1969 1 1 1 1 1 1 1 J S 1970 . M II 11111I i 111M D M J d 1971 D M FAVOR EURO DOLLAR i 11I 1I 1M J 1,72 S D I: COVERED YIFI DS ON U.S. DOLLAR FUNDS 12 9 6 LOCAL AUTHORITY DEPOSIT 3 + 0 I I i I I 1 I 1 1 I 1 1 I I I 1 I 1 11 1 I I 1 I 1 I I I I I I 1 I I I I I 1 II 1 I I I I I FAVOR LOCAL AUTHORITY + 0 3 6 FAVOR EURO DOLLAR 1969 1970 1971 1972 9 P? Chart W ** MTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Fridey figures Per cent per annum 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED LONDON NEW YORK M J s D 1969 * Plotted for comparison purposes http://fraser.stlouisfed.org/ "1 Federal Reserve Bank of St. Louis y J 1970 s D M J 1971 s 0 M J 1972 S 0 2\t> Chart 9B INTEREST ARBITRAGE UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum PREMIUM] RATE DIFFERENTIAL AND 3 MONTH FORWARD STERLING | SPREAD IN FAVOR OF LONDON FORWARD RATE FAVOR LONDON DIFFERENTIAL M s J 1969 http://fraser.stlouisfed.org/ i Federal Reserve Bank of St. Louis 1970 D M S 1971 D M J 1972 S 0 4 01 CMIM M 0 O N T H 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 LOAN NATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO-OOUAR • S D If 1969 No quotation J 1970 S D If J 1971 S 0 m J 1972 s 0 Chart 108 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent IN TERMS OF SWISS FRANCS 14 12 10 * ; EURODOLLAR COVERED 6 4 9 2 SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL • 0 . 2 ! •f 0 2 4 i S FAVOR EURO DOLLAR S 1969 No quotation 1970 M J 1971 S 0 M J 1972 S 0 • 1 3-MONTH INTERES1 ARBITRAGE: UNITED STATES - CANADA Friday figures I I | I I | I I | II bill rates BILLS 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 FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA covered rate differentials FAVOR CANADA TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER FAVOR U S i j J ixlJ 1969 i_Li_i 1 1 I I 111 I I I IP Cfcert I U SELECTED SHORT-TERM INTEREST RATES' Per cent per annum GERMANY U.K. US JAPAN CANADA! 1968 1970 * 3-month treasury m lor oM countries escapt Japan(Avera§e rate on bank loons end discounts j f f A Germen^leWrW# Leon Kate) 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 .n London. 1972 Chert 13 ^ LONG TERM BOND YIELDS Weekly ) cures Per cent per annum NETHERLANDS CANADA US. SWITZERLAND 11 U.K. GERMANY EURO DOLLAR BONDS 10 T U S. CORF. DOLLAR EURO-BONDS Monthly figures ». Aaa BONDS US. US. CORP. DM EURO-BONOS 1968 19*9 1970 1971 1972 * N e * series for S i t u r t e e i starts t t-CA. U.S. Cerp. OeMar Euro-Bonds and U.S. Corp DM Euro Bonds starts 12 70 * * # # * * Awerege yield «f Carmem f A Beads begins 1-7-69. • * * ; N e w series F starts 12 71 , CHART 14 1958=100 INDUSTRIAL STOCK INDEXES Ratio scale 280 r_yv i UNITED STATES , A w 200 i 1 1 ! : • ! 1 i ! ' i 1 1 1 N 11 11 1 1 1 1 1 i i 1 i i i i i Vi ! i 480 z SWITZERLAND 360 fss UNITED KINGDOM r i L j m f 240 j ! i i 1 i i 1 i i 1 1 1 1 1 i1i 1 i1i11 1i 1i1!1 i1i 1 1 1 1 ! 160 JAPAN/^ 1 h r : 480 360 GERMANY Z ^ X z Y 240 ' CANADA i 1969 I I 1970 1 ! I I 1 i 1971 * Japan index of 225 i n d u s t r i a l and other stocks traded on Tokyo exchange. * * Japan index of all i n d u s t r i a l and other stocks traded on the first section of the Tokyo Stock Exchange. i i i i 1972 i i i H. 13 IV. SELECTED CENTRAL BANK DISCOUNT RATES No. 456 Country v Current Rate In Effect Since Previous Rate In Effect Since EEC.: Belgium France Germany Italy 4.5 Feb. 6.0 4.0 5 , 1972 5.0 Jan. Jan. 13. 1972 6.50 Oct. 29. 1971 Dec. 23. 1971 4.5 fW. 6. 1972 1L 1071 4.5 Oct. 14. 1971 S.O kpr. S; 1971 Netherlands 4.5 Jan. 6 , 1972 5.0 l e n t . 1 5 . 1971 Switzerland 3.75 Sept. 15, 1969 3.0 rulv 10. 1967 5.0 S e p t . 3. 1971 6.0 A o r . 1. 1971 United Kingdom Canada 4.75 Oct. 25, 1971 5.25 Feb. 24. 1971 Japan 4.75 Dec. 29, 1971 5.25 J u l v 28. 1971 United States 4.50 Dec. 13, 1971 4.75 Nov. 11, 1971 IV-2 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 U.K. pound French franc Japanese yen F e b . 18 Lower IB Upper Lower 2A 26 Upper Lower 3A 3b 4 5A Upper Middle Lower 5b Upper Lower i 1 •i ii •• ii Belgian franc Italian lire Canadian dollar A c t u a l r a t e German mark Dutch guilder German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen Rate -0.350 -0.190 +0.559 +1.332 +2.239 - 0 . 867 99.52 +1.502 +2.169 " || || || n +1.27 +4.31 -0.52 +0.72 " : ii •i " -0.68 ii -0.32 ii ii German mark U.S. dollar Swiss franc French franc ii +1.94 +0.30 +4.00 +0.21 Gold price, U.S. dollar per ounce ii 48.16 Overnight Euro-S 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, CalJ Money " •i F e b . 16 || || F e b . 18 " Feb. 4 " " " " " 11 9 18 18 28 3.25 3.43 -0.18 3.75 0.62 5.00 4.69 3.85 5.25 3.62 2.78 IV - 3 Chart Panel 6A Euro-S 7-Day 6B 7A Upper Rate Date Series Rate Feb. 18 3.50 Euro-S 1-month Rate ii 4.56 Euro-$ 3-month Rate H 5.00 Euro-$ 6-month Rate it 5.56 Feb. 16 4.94 Euro-S 3-month Deposits U.S. Certificate of Deposits 7B 3.50 Lower Differential ii +1.44 Upper Euro-S 3-month Deposits ii 4.94 Euro-S 3-month Deposits (Adj.) 6.18 U.S. Certificate of Deposits (Adj.) Lower 3.95 Differential: on Adj. Euro-S Deposits ii +2.23 on Unadj. Euro-S Deposits 8A Upper Euro-$ 3-month Deposits +0.99 Feb. 4 Hire Purchase Deposits (covered) 86 Lower Differential Upper Euro-S 3-month Deposits Lower 9A -0.61 5.16 Local Authority Deposits (covered) ii 4.55 Differential n -0.61 U.S. Treasury Bill rate it 2.97 U.K. Treasury 6ill rate Local Authority Deposit (uncovered) 96 Upper 4.32 Feb. 11 4.88 18 +1.35 Spread (+= favor London) 3-month Forward Pound Lower 5.16 4.55 -0.44 Net Incentive (+- favor London) " +0.91 IV- 4 Chart Panel Series 10A Upper Euro-S Deposits (covered) Date Feb. 16 German Interbank Loan rate Lower 10B Upper II „ Differential Euro-) Deposits (covered) 11 Differential Upper Canadian Finance Paper Feb. 18 Canadian Treasury Bill rate II U.S. Prime Finance paper (not plotted) 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate U.S. Treasuiy Bill rate German interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 12 B -0.18 \ 4.50 1 2.97 j ! 3.40 3.75 Bill rate differential Forward Canadian dollar 4.88 +0.96 0. 50d II • U.S. Treasury Bill rate Second 3.92 0.68 Swiss Deposit rate Lower Rate +0.43 n -0.92 -0.49 -0.17 4.32 II 2.97 Feb. 16 4.88 December 7.457 Feb. 18 3.40 U.S. Treasury Bill rate II 2.97 1 Euix>-$ Deposits „ 5.00 * Swiss 3-month Deposit rate II 0. 50p U.S. Treasury Bill rate Feb. 18 2.97 Vti IV-5 Chart Panel Series Date 13 Upper Netherlands Jan. 7 Jan. 28 7.17 6.93 Feb. 9 6.51 Canada United States 16 5.53 11 4.69 Jan. 31 7.45 Switzerland Middle " * Germany United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds * * * U.S. Corp. DM Euro-bonds Rate Feb. 11 8.34 Feb. 18 7.2 January 7.81 ii 7.15 *** U.S. Corp. Aaa bonds 14 Upper Switzerland Germany 7.19 Feb. 11 415.7 Feb. 7 275.2 United States Middle Canada Lower 18 United Kingdom ' * Japan 237.57 278.07 " 10 239.84 " 12 481. 75 United States " 18 237.57 * 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 Slock Exchange. *** S e r i e s F.
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