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I February 24, 1971 No. 494 H-13 Division of International Finance Europe and British Commonwealth Section v iV.-v A ? . / <2 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS 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 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 PART IV. - Long-Term Bond Yields - Industrial Stock Indices 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 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. V SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND U.S. Below par Above par FRENCH FRANC- JAPANESE YEN U.S. DUTCH GUILDER Below par J S D M 1968 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 27.32 in U.S. cents. M J 1970 S 0 M J 1971 s D Chart I B SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Percent Above par 1.2 CANADIAN DOLLAR iPpirK BELGIAN FRANC 1.2 Below par M J S D M 1968 J 1969 * Can. $ rate not supported by Bank of Canada. S D M J 1970 S D M J 1971 S 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. POUND V \ DISCOUNTM J S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D V Chart 2B 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT M 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. D 32 M J 1970 S D M J 1971 S D Chart 3A 3-MONTH FORWARD EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 20 GERMAN MARK U.S. DOLLAR DISCOUNT— M J S D 1968 M J 1969 S 0 M J 1970 S D M J 1971 S D 3-MONTH FORWARD EXCHANGE RATES - 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 . 0 0 D M J 1970 S D M J 1971 S D 4 GOLD PRICE IN LONDON, 12.5 Kg BARS 'Veek's average of afternoon fixings U.S. dollar equivalent per fine ounce 42 38 36 34 M S D M 1968 J 1969 S D M J S 1970 U.S. dollar equivalent per fine ounce 11.3 35.2 35.1 M J 1971 MARKET SUPPORTED BY GOLD POOL * Market closed March 15-April 1, 1968 D s D CHART5A CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly averages FEDERAL FUNDS EUR 0 DOLLAR 0 VER FE: d e r a l f u n i )S y s , v / W V V vM T - ! 1 M i l i i i i i \l V A M ,1 If 1 1 M i U i / / w 11 l |yv 11 \/ \J1 - M 1 1 1 1" i i i i i i EURO-CURRENCIES Weekly averages Per cent per annum 12 EURO-SWISS FRANC i i i i i I l i I I Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Per cent per annum Friday figures SELECTED EEC CURRENCIES* Per cent per a n n u m Friday figures FRANCE GERMANY NETHERLANDS 1968 1969 * Japan, Unconditional Money; U.K., 2-day Lor»' * * * Germany, Call Money; France, Da" 1970 1971 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m 1-MONTH V Chart 6 8 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum — \ \ 1 r ~ | iA6 i i V x 3 MONTH 1 . - I, 1 - ! j i i j i ! j • : 1 1; 1 i ! 1 : M | ! I ! : ! ; ! ! . I 1 I i K ; 1 1 i-MONlFH I i : ^ 1 ! ! J ! S ; I D : 1 M 1968 J S 1969 D M i ! ; i ; ! J ! 1 S 1970 1 1 ! D 1 M i ! ! 1 1 J i i S 1971 1 D 1 C h a r t 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT - - V w v \ X sA X M V Z 1r EU RO DOLLAR OVER U.S. CIERTIFICATE OF DEPOSIT II i .11 1 I I 1 ; 1 1968 II i 1! i 11 I l-l 1969 - : i i 1 i ! : , 1970 : ; , " l I 1 i l i M 1971 i i i NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS , 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday f i g u r e s EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED* EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED LiiJ 1 I 1 I I 1 I 1 1 1 1 1 I I 1 I 1 1 1 i J I i 1 1 I 1 1J_1 J 1 M J S D 1968 * Adjusted for Reserve R e q u i r e m e n t M J 1969 Adjusted for 10% M a r g i n a l Reserve Requirement Digitized for** **FRASER * 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 1970 S D M J 1971 S D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per EURO-DOLLAR DEPOSIT — q [ w : HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL j S FAVOR EURO DOLLAR D 1968 J 1969 S D M J 1970 S D J 1971 S D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT | COVERED | FAVOR LOCAL AUTHORITY DIFFERENTIAL J FAVOR EURO-DOLLAR S D 1968 S 1969 D S 1970 D M J 1971 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m 12 3 MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED LONDON . * Plotted +or comparison purposes INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE 2 IN FAVOR OF LONDON IIN FAVOR OF NEW YORK j RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) S 1968 1969 D J 1970 s D M J 1971 S D 9 Chart 10A 3-MONTH INTEREST ARBITRAGE: U.S. - GERMANY FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per annum 14 IN TERMS OF DM 12 GERMAIN INTERB/*NK LOAN RATE r-v_^ V x - o — i i i i i 1 i i I i i lr aZ \aaJK EURO DOLLAR COVERED 4 ^ i i ! i i j J i j ^ 1 i i y 1 P \ i i 1 S 1 1 i 1 I ! I ; i i i i ! i i 1 i i DIFFERENTIAL v-/\-y\ Vn |l/V\ 1 <J vZ M V 1 1 1 1 1 1 1 1 V s 1968 j 1969 ^ M ! i i 1 i i ! i i FAVOR FRANKFURT V FAVOR EURO DOLLAR i i i i i i i i i i i 1970 i i ! i i 1 i i ! i i j s 1971 V Chart 10B 3-MONTH INTEREST ARBITRAGE: U.S. - SWITZERLAND ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH : DIFFERENTIAL r \ nj\ A A L1 / A1 V V \ 1 ! ! 1 i ! i ' I 1 1 M J s D V i i 1 i i ! 1968 M ' J 1969 j 1 S D M J , FAVOR EURO DOLLAR ! 1 1 J ! 1 ! 1 J 1970 S D M J 1971 S D 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per 10 B I L L RATES CAN. FIN. CO. PAPER 8 6 CANADIAN > TREASURY BILLS UNITED STATES __ TREASURY BILLS 4 B I L L RATE D I F F E R E N T I A L A N D F O R W A R D C A N A D I A N D O L L A R 2 FORWARD RATE + 0 GROSS SPREAD IN FAVOR OF CANADA DISCOUNT 2 C O V E R E D RATE D I F F E R E N T I A L S FAVOR CANADA 2 TREASURY BILLS + 0 2 FAVOR CANADA PRIME FINANCE PAPER 2 0 FAVOR U.S. S D 1968 S 1969 D S 1970 D M S 1971 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m • W L - GERMANY i V s U.K. - P 1n \ \ 11 n - ^ 1 1 1 M 1 I 1 i ! 1I I 1 I I 1 1 1 1 I I 1 1 1 ! 1 1 1 1 U1| I1 1 1 1 i 1 I' 1 I 1M 1 1 1 1 1 1 i 1 1! - L j\ \ - / A\ \ kCyJlt - JAPAN U TAU.S. - CANA^VA \\ U xi s vN I ' - I I 1 I I H ! ! ! ! ! I ! 1 ! ! 1 I 1 1 1 1 ! ! M 1 1!1 1 1 1 I 1 I I 1 1 ! 11 I I 1 1 1 1 1 1 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 Japan(Average rate on bank loans and d i s c o u n t s ) 1971 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per a n n u m EURO DOLLAR - LONDON U.S. SWITZERLAND 1967 1969 1971 * 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 Per cent per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND 11 U.K. EURO DOLLAR BONDS GERMANY 1 10 Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1967 1968 1969 1970 1971 * New series for S w i t z e r l a n d starts 8-2-68, U.S. Corp. Dollar Euro-Bonds and U.S. C o r p DM Euro- Bonds starts 12-70. * * New-Average yield of all German P A. Bonds begins 9-4-70. INDUSTRIAL STOCK INDICES 1 320 280 .U.K. 200 160 400 SWITZERLAND i 320 GERMANY 240 U.S. 160 JAPAN 400 320 240 CANADA 160 1968 1969 1970 * Japan index of 225 i n d u s t r i a l and o t h e r stocks t r a d e d 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. 1971 H. 13 No. 494 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since E.E.C. Belgium 6. 5 Dec. 10, 1970 7.0 Oct. 22, 1970 France 6.5 Jan. 7.0 Oct. 20, 1970 Nov. 18, 1970 8, 1971 Germany 6.0 Dec. 3, 1970 6.5 Italy 5.5 Mar. 9, 1970 4.0 Aug. 14, 1969 Netherlands 6.0 Aug. 4, 1969 5.5 Apr. Switzerland 3. 75 Sept. 15, 1969 3.0 July 10, 1967 United Kingdom 7.0 Apr. 15, 1970 7.5 Mar. Canada 5. 75 Feb. 15, 1971 6.0 Nov. 12, 1970 Japan 5. 75 Jan. 20, 1971 6.0 Oct. 28, 1970 United States 4. 75 Feb. 5.0 Jan. 19, 1971 i 3 j 1971 9, 1969 5, 1970 IV- 2 L A T E S T FIGURES P L O T T E D ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc Feb. Lower IB German mark " U.K. pound " Dutch guilder " Rate 19 +0.814 40.800 +0.714 French franc " +0.643 Japanese yen " Belgian franc „ + 0 . 688 Italian lira " 40.283 Canadian dollar 2B 3A Feb. 4 5A Upper -0.39 U.K. pound " -3.80 Dutch guilder " Canadian dollar " 40.08 -1.03 French franc " -0.72 German mark Feb. „ 19 +2.51 +2.95 Swiss franc " + 2 . 69 French franc " +2.72 Gold price, U.S. dollar per ounce Feb. 19 Call Euro-$ deposits Feb. 17 Differential Lower Euro-currencies: Euro S Euro DM " Euro Swiss Fr. " Japan, Unconditional Money Feb. 4.21 40.07 " Feb. 38.85 4.14 " Middle -0.98 " Federal Funds 5B 19 Swiss franc U.S. dollar 3B 4 0 . 744 - German mark 2A 4-1. 777 19 4. 78 6.35 4.52 12 7.25 U.K., 2-day Local Author. Deps. " 7.44 Canada, Day-to-day Loans " 5.15 France, Day-to-Day Money Feb. Germany, Call Money Netherlands, Call Money 19 6.00 12 6.85 7.50 " Feb. IV - 3 Chart Panel 6A 6B 7A Upper Lower 78 Upper Series Date Euro-$ Call Rate Feb. 4.81 Euro-$ 3-month Rate " 5.44 Euro-$ 6-month Rate " 5.75 Euro-$ 3-month Deposits Feb. 5.44 " 4.28 Differential " +1.16 " 5.44 Euro-S 3-month Deposits j Differential: on Adj. Euro-$ Deposits " 6.80 " 4.47 " +2.33 " +0.97 Upper Euro-$ 3-month Deposits Hire Purchase Deposits (covered) " Lower Differential " -1.14 Upper Euro-$ 3-month Deposits " 5.88 Local Authority Deposits (covered) " 4. 68 Lower Differential 9A 9B 17 U.S. Certificate of Deposits on Unadj. Euro-$ Deposits 86 4.25 .. U.S. Certificate of Deposits (Adj.) 8A 19 Euro-$ 1-month Rate * Euro-$ 3-month Deposits (Adj.) Lower Rate Upper Jan. Feb. U.K. Treasury Rill rate " -1.20 19 3.37 6.60 Local Authority Deposit (uncovered) Feb. 11 7.59 Spread (+= favor London) Feb. 19 +3.23 Net Incentive (+- favor London) I * - Adjusted for 20 per cent Marginal Reserve Requirement. 5.88 4 . 74 " U.S. Treasury Bill rate 3-month Forward Pound Lower 29 " -3.57 " -0.34 IV-4 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Date Feb. 17 German Interbank Loan rate 10B Lower Differential Upper Euro-S Deposits (covered) 11 Differential Upper Canadian Finance Paper Second 12A 6.46 7.38 +0.92 Feb. 10 Swiss Deposit rate Lower Rate 5.83 4. 75 -1.08 Feb. 19 5.75 U.S. Treasury Bill rate 3.37 Canadian Treasury Bill rate 4.47 U.S. Prime Finance~paper (not plotted) 4.31 Bill rate differential +1.10 Forward Canadian dollar -1.01 Third Net incentive on bills +0.09 Bottom Net incentive on Finance Paper +0.43 Upper U.K. Treasury Bill rate 6. 60 U.S. Treasury Bill rate 3.37 German Interbank Loan rate Lower 12 B " 7.38 Japanese Average rate December 7. 693 Canadian Treasury Bill rate Feb. 19 4.47 U.S. Treasury Bill rate " 3.37 Euro-S Deposits " 5.44 Swiss 3-month Deposit rate Feb. 12 4. 75 U.S. Treasury Bill rate Feb. 19 3.37 IV-5 Chart Panel Series 13 Upper Netherlands Date Feb. 12 7.32 " 6.56 United States Feb. 17 5.91 Switzerland Feb. 5 5.53 Canada Middle Lower * Germany " 7.74 United Kingdom Jan. 29 9.58 Euro-dollar bonds Feb. 19 7.42 December Januarv December January 8.08 7. 60 7.59 7.32 U.S. Corp. Aaa bonds January 7.36 Switzerland Feb. 12 375. 7 r Germany Feb. 15 269.0 United States Feb. 19 218.10 * * * U.S. Corp. Dollar Euro-bonds * * * U.S. Corp. DM Euro-bonds 14 Upper United Kingdom Middle Canada Lower * ** Rate " 186.09 Feb. 11 219.17 Japan Feb. 5 355.67 United States Feb. 19 218.10 New -- Average yield of ALL German Public Authorities bonds made as of banking key days. ** *** Beginning week ended September 5 , 1 9 7 0 , the Japanese index plotted is that o f all industrial and other stocks on the First Section of the Tokyo Stock Exchange. Series revised. j
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