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February 9, 1972 He. 544 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOUtD OF GOVERNORS OF THE FEDERAL RESERVE SUITE* 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 - 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 theformatand 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. \ K ^ SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent At! , GERMAN MARK Central rate against ddfar SWISS FRANC f U K. POUND 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 . 1 1 . 1 . 1 7 J / /DUTCH GUILDER Central rate against 1 US I FRENCH FRANC 1 j j JAPANESE YEN i i 1 i i 1 i 1972 i 1 i i .. . l I 1 1 I l 1 1 1973 l I 1 1 l I Bet 1 SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages tt-nt BELGIAN FRANC ITALIAN LIRA M J D S M J 1972 D S 1973 Ratio scale. U S cents n CANADIAN DOLLAR 102 100 96 92 M J S 1970 0 M J 1971 s D J 1972 s 0 \WA Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 - Weekly averages Per cent Above par GERMANY NETHERLANDS FRANCE JAPAN with U.S. dollar Below par MAY JUNE JULY SEPT AUG. 1971 * Financial franc OCT NOV. DEC. \K Chart I D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR 11. 1 9 7 1 - U.K. ITALY us 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 averages Per cent per annum PREMIUM* ; S GERMAN MARK SWISS FRANC *JJ' | U.K. POUND DISCOUNT J M 5 D 1968 * No quotatlon s S 1969 D J M 1970 S D 1971 4 MONTH FORWARD YEN AGAINST U S. DOLLAR Weekly averages P « c e n t per annum - - J - IAPANIESE YL:N - - r - \A PREM IUM + 1 1 1 1 1 M i J 1970 i 1 1 S D A 11 i M i i J 1971 i i S i D h i Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S DOLLAR PREMIUM DUTCH DOLLAR 20 24 DISCOUNT- M J S D i m M J S 1969 • Oqraluation 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 0 \(fo Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM* 20 GERMAN MARK U.S. DOLLAR DISCOUNTM J S D 1968 * No quotation. M J 1969 S D M J 1970 S D M J 1971 S D Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM nunc FRANC M J s 0 M IMS J $ iWO * Devaluation of the F r e w * kmc free 4-HteS.SS for $1.00 0 • 20 J 1070 S 0 M J 1071 S 0 spp s GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce - - - I - Z >1 i j \ r r y A/ r rA - - I _r I 1 M I I J S i i D 1969 l l M 1 I i i J \ S 1970 i D i i I i M J i i 1971 S i i i i D M i i J i i i i S 1972 D CHART 5A CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages 1 16 I i H EURO-DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS 1 - EURO-DOLLAR OVER FEDERAL FUNDS 1 1 VvV I! 1 / t y W \fyvyl i I 111111 ! Vv 1/v I 11111111 1! - J : nvv 1 1 1 ! 11 II i , , : i 1M 1i i I ii EURO-CURRENCIES Weekly averages Per cent per annum 12 EURO-SWISS FRANC 11 I I I I I I 1 I I I I I 1 I 1 1 1 1 1 I I 1 1 i 1 * May 10, 1971 - Changed to Overnight Euro $ Deposits 111! Chart 5B CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per annum 12 FRANCE UNETHERLANDS I i i 1i i I i i i i i i i i I i i I 8 JAPAN CANADA /VV ^ ' " ' V - x v \ v 1 11111 111 11 1 11111111 11 v 1 1111i 11111 i i 1 i i 1i i ! i i France, Day-to-day Money, Netherlands, Call Money, weekly average Japan, Unconditional Money; Canada, Day-to-day Loans, weekly average; Germany, Call Money; U K , 2 day Local Authority Deposits 0 / U>' LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 2550 1 MONTH 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 I I I I I I I I I I I I I I 2 *May 12/71-changed to Overnight Euro Dollar Deposits * * J u l y 1 -changed to 7-Day Euro-Dollar d 7 Chart 6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annur mf\ L / J/ /i Jb r \ V\ 6-MONTJ1 J V M V MONTH i i 1i i 1i i 1 i i M J S D 1969 1 11111I 1111 M J 1970 S D I l 1I I 111111 M J S 1971 D I I 1I 111I 111 M J S 1972 D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent pe- i EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT DIFFERENTIAL FAVOR EURO DOLLAR EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J S D 1969 M S- 1970 S D 1971 M S 1972 Chart 7B NEW YORK-LONDON: COST 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 MARKET Wednesday figures Per cent per annum EURO DOLLAR DEPOSIT ADJUSTED EURO DOLLAR DEPOSIT , U S. C E R T I F I C A T E O F D E P O S H ADJUSTED I *i ' I 1 I I 1 I 1 1 I I I 1 I 1 I I 1 I I 1 I I i A 1 ^ n - k Ml Yfm V \J\ '"t E U R O D O L L A R O V ER U.S. C E R T I F I C A T E OF D E P O S I T W ADJUSTED* ft/ v i i ! M M 1 i J i S 1 i D i V 1 1 1 1 1 1 1 1 1 1 1 M 1969 J S 1970 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * A d j u s t e d for 20% Marginal Reserve Requirement D y » 'V i M i i i 1 i J i i S 1971 i D \ V i 11 M 1 1 1 J 1 1 1 S 1972 11 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR H RE PURCHASE DIFFERENTIAL M J s o 1969 J 1970 s D ~ s M 1971 D M J 1972 s D j + Chart 88 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS L O C A L A U T H O R I T Y A N D E U R O - D O L L A R RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR DIFFERENTIAL 1 l i 1 1 I 1 I 1 I I 1 I 1 1 1 I 1 1 I I 1 I 1 I I i I 1 1 1 I I I I 1 I I INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 12 3 - M O N T H TREASURY B I L L RATES i 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 NEW YORK I I I M I I I J I I S I I I I I D 1969 * Plotted for comparison purposes I M I I I I J 1970 I S I I I D I I I M I I I J I I I S 1971 I I I D I I M I I I I I J I I I S 1972 I O I 10 0 Chart 9B i INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I 4 PREMIUM DISCOUNT l DIFFERENT,AL 1 A . /in / A M/ 1/ jv ' / V \ . ^ r v \ / y w v FAVOR lONCON FAVOR NEW YORK n i M l 1 1 1 M 1 1 1 1 i 1 i i 1 i i J S D 1969 M J 1970 S M 1 1 1 1 1 1 1 1 1 1 1 , 1 1 1 1 1 1 1 1 1 1 1 D J 1971 S D M J 1972 S D 7 Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS LONDON EURO DOLLAR RATE Wednesday rates Per cent per, 14 IN TERMS OF DM 12 10 GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED 1 1 1 1 i 1 1 . 1 1 1 1 i DIFFERENTIAL i I I 1 1 1 FAVOR FRANKFURT FAVOR EURO-DOLLAR 1 I 1 I I I I I I I 1 No quotation Chart 1 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE i i I i i I i i I DIFFERENTIA! jji \ V A A \ N i i 1 ,• ^ i i I i i I i V v \>V i I i i FAVOR ZURICH V V FAVOR EURO DOLLAR 1 1 1 1 1 1 1 1 1 1 1 M J S 1969 No quotation 1 1 1 1 1 1 1 1 1 1 1 i i 1 i i 1 i i 1 i i .. I I 1 l 1 1 I l 1 l l J 1970 S M J 1971 S D M J 1972 S D Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent peri 10 - BILL RATES s CAN. FIN. CO. PAPER 6 UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS 4 2 PREMIUM BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR 2 FORWARD RATE + 0 GROSS SPREAD IN FAVOR OF CANADA 2 DISCOUNT COVERED RATE DIFFERENTIALS FAVOR CANADA 2 + 0 2 2 • 0 M J 1969 S D M J 1971 s 0 M J 1S70 s 0 M J 1972 S 0 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum GERMANY UK. U.S. 9 PAN US. CANADA 1968 1970 * 3 month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany<lnterbank Loan Rate) 1972 Chart 12B SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO DOLLAR - L O N D O N 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 1 $ Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum j ^^NETHERLANDS Wy^XcANAE z u.s. SWITZERLAND" U.S. %v>i 1 1 1 1 1 1 1 1 11 11 11 11 1 1 1 11 1 11 1 1 1 1 1 1 1 1 1 I I 1 1 1 1 11 I 11 11 11 11 11 11 1 1 1 1 1 r I I.K. •ERMANY EURO-DOLLAR BONDS _I_LJ i i . l i i 1 i i 1 1 1 1 1 1 1 1 I 1 I 11 11 1 1 1 1 11 1 1 1 1 1 1 1 I 1I 1 1 1 1 1 1 1 1 1 U.S. CORP. DOLLAR EURO-BONDS Monthly figures U.S. CORP. Aaa BONDS U S. CORP. DM EURO-BONDS 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 * * * New series F starts 12 71. CHART 14 INDUSTRIAL STOCK INDICES TV/ X > K - A VA/i i i 1 i i 1 I i ! i ii i 1 i i 1 i i 1 i M i 1 1 1 1 1 11 11 11 1II 1 II 1 1 1 SWITZERLAND 320 GERMANY (40 US. 160 JAPAN 400 320 CANADA 160 1968 1969 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. 544 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium France Germany 4.5 Feb. 6.0 Jan. 13. 1972 4.0 5, 1972 5.0 Jan. 6. 1972 6.50 Oct. 29. 1971 (Vf-_ 16, 1071 Dec. 23. 1971 4.5 4.5 Oct. 14. 1971 s.n ipr- Netherlands 4.5 Ian. 6, 1972 5.0 lent.15. 1971 Switzerland 3.75 Sept. 15, 1969 3.0 rulv 10. 1967 Sent. 3. 1971 6.0 Anr. 1. 1971 Italy United Kingdom 5.0 \ 1071 Canada 4.75 Oct. 25, 1971 5.25 Feb. 24. 1971 Japan 4.75 Dec. 29, 1971 5.25 Julv 28. 1971 United States 4.50 Dec. 13, 1971 4.75 Nov. 11, 1971 I p IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc U.K. pound French franc Japanese yen Feb. 4 Belgian franc Italian lire Canadian dollar German mark Dutch guilder «i •i Lower IB Upper Lower 2A 2B Upper Lower 3A 3B 4 5A Upper Middle Lower 5B Upper Lower 1 " " Actual Jan. 28 " Feb. 4 German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen Feb. 4 German mark U.S. dollar Swiss franc French franc Feb. 4 n Gold price, U.S. dollar per ounce Feb. 4 Overnight Euro-$ 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, Call Money Feb. 2 " " " " " " " Rate -0.629 -0.181 -0.088 -0.469 +2.115 -0.956 99.42 +0.381r 40.748 +1.984 +1.04 +4.36 -0.19 +0.07 -0.01 -0.20 +1.56 +0.12 +3.70 -0.15 47.90 5.07 3.23 1.84 Jan. 28 ii " ii Jan. 26 Feb. 4 ii Dec. 17 4.08 0.62 5.25 4.88 3.65 5.38 4.12 5.33 IV - 3 Chart Panel Rate Series Date 6A Euro-S 7-day Rate Feb. 4 3.50 Euro-$ 1-month Rate " 4.50 6B Euro-* 3-month Rate " 5.19 Euro-S 6-month Rate " 5.69 7A Upper Euro ) 3-month Deposits Feb. 2 U.S. Certificate of Deposits Lower 7B Upper Lower 3.65 Differential +1.23 Euro ) 3-month Deposits 4.88 Euro-S 3-month Deposits (Adj.) 6.10 U.S. Certificate of Deposits (Adj.) 4.08 Differential: on Adj. Euro-S Deposits +2.02 on Unadj. Euro-S Deposits 8A Upper Euro-S 3-month Deposits +0.80 Jan. 21 Hire Purchase Deposits (covered) 8B 5.34 5.03 Lower Differential Upper Euro-S 3-month Deposits 5.34 Local Authority Deposits (covered) 5.12 Lower -0.31 Differential U.S. Treasury Bill rate 9A -0.22 Feb. 4 U.K. Treasury Bill rate 9B 4.88 3.24 4.29 Local Authority Deposit (uncovered) Jan. 28 Upper Spread (+= favor London) Feb. 4 +1.05 " -0.13 Lower Net Incentive (+= favor London) 3-month Forward Pound Feb. 4 4.88 40.92 IV-4 Rate Chart Panel Series Date 10A Upper Euro-S Deposits (covered) Feb. 2 German Interbank Loan rate " 5.12 Lower Differential " +0.73 10B Upper Lower 11 Upper Second 12A 4.39 Euro-S Deposits (covered) " 0.51 Swiss Deposit rate " 1.50 Differential " +0.99 Canadian Finance Paper Feb. 4 4.00 U.S. Treasuiy Bill rate " 3.24 Canadian Treasury Bill rate " 3.46 U.S. Prime Finance paper (not plotted) " 3.88 Bill rate differential " +0.22 Forward Canadian dollar " -0.08 Third Net incentive on bills " +0.14 Bottom Net incentive on Finance Paper " +0.04 Upper U.K. Treasuiy Bill rate Feb. 4 4.29 U.S. Treasuiy Bill rate " 3.24 Lower 12B German Interbank Loan rate Feb. 2 5.12 Japanese Average rate November 7.488 Canadian Treasuiy Bill rate Feb. 4 3.46 U.S. Treasuiy Bill rate " 3.24 Euro-S Deposits " 5.19 Swiss 3-month Deposit rate " 1.50 Feb. 4 3.24 U.S. Treasury Bill rate IV-5 Chart Panel Series Date 13 Upper Netherlands Dec. 17 7.35 Canada Jan. 26 6.27 United States Feb. 2 5.60 Switzerland Jan. 28 4. 76 Jan. 21 7.52 United Kingdom Jan. 28 8.18 Euro-dollar bonds Feb. 4 7.2 U.S. Corp. Dollar Euro-bonds * * * January Middle Lower * Germany U.S. Corp. DM Euro-bonds *** U.S. Corp. Aaa bonds 14 Upper Middle 7.81 " 7.15 " 7.19 Switzerland Feb. 4 415.8 Germany Jan. 21 266.8 United States Feb. 4 235.05 " 272.69 United Kingdom Canada Lower Rate See below ** Japan United States Feb. 3 238.98 Jan. 29 472.57 Feb. 4 235.05 * 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. *** Series F starts December 1971 Canadian Industrial Stock Index -- Jan. 6 13 20 27 Feb. 3 - 232.66 237.97 239.55 237.40 238.98
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