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July 12, 1972 No. 566 H-13 Division of latweelieed Finowce Europe mi British CmmmwmUk Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD 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 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 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. f V SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages GERMAN MARK 2 U.K. POUND dUi? SWISS FRANC i i I I i I I i i i I I i i °, I DUTCH GUILDER 2 FRENCH FRANC against du.s. JAPANESE YEN _l I I J 1972 * Pound floated June 23, 1972. 1973 I L_ Chart I B SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent Above BELGIAN FRANC Central US dollar ITAUAN URA Below M J S M D J 1972 S D 1973 Ratio scale, U.S. cents 102 CANADIAN DOLLAR 100 98 96 94 92 M J S 1970 D M J 1971 S D M J 1972 D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11. 1971 - Dec Weekly averages 17 1971 Per cent Above par GERMANY NETHERLANDS FRANCE JAPAN US. dollar MAY JUNE JULY AUG SEPT. 1971 * Financial franc OCT NOV. DEC. Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11. 1971- Dec 17. 1971 UJC. ITALY US MAY JUNE JULY SEPT AUG 1971 • f o r clarity the vertical scale is double that used in 1C OCT. NOV Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum PREMIUM CANADIAN DOLLAR U.K. POUND DISCOUNT- PREMIUM GERMAN MARK PREMIUM DUTCH GUILDER s 1969 1970 * Canadian Dollar Rate not supported by Bank of Canada * * No quotation D M J 1971 S D M J 1972 S D Chart 28 3 MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent per annum PREMIUM* FRENCH FRANC DISCOUNT- 1 1 I 1» I 1I I 1 1I * Devaluation of the French franc from 4.94 to 5.55 for $1.00 • * No quotation I I 1 1 I I II 1 I I 3-A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM U S. DOLLAR . . i i • . i i 1 ! T T " f T i 1 J ..j_L j u u u u No quotation Chart 38 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U K. POUND Friday figures Per cent per annum PREMIUM FRANC FRENCH FRANC DISCOUNT - M J S D M 1969 J S 1970 'Devaluation of the French franc from 4.94 to 5.55 for $1.00 D J 1971 S D S 1972 D GOLD PRICE IN LONDON. 12.5 Kg BARS Week's average of afternoon fixings U S dollar equivalent per fine ounce I 80 70 60 50 40 S S D 1969 1970 S D 1971 D s M 1972 D q f l CALL MONEY RATES DOLLAR FUNDS cent per annum , 16 i I 1EURO-OOUARDE POSITS CALL <JVERNICHT - J - i i i i 1 I 12 1 j / V ^ A I - I I l p FEDERAL FUNDS i1 — - H J ii - EUROi-OOtiAR OVER FEDERAL FUNDS \kA — i 1 M 1 I M ! I EURO-CURRENCIES Weekly averages : I 1 i i 1 i i 1 i j 1,1 i i 1 I l 1 i i 11 I Per cent per en EURO-SWISS FRANC i i i . ' . l 1969 * Hay 10, 1971 - Changed to Overnight Euro $ Deposits - 1WV \|W , 1 , , 1 M i Chart 5B CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per annum FRANCE NETHERLANDS ^ JAPAN CANADA 1 1 1 ! 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 i i 1 i i 1 M 1 i i ii 1 i i 1 i i 1 i i GERMANY U.K. S D 1969 M S 1970 D S D 1971 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 M D 1972 LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures OVERNIGHT 1 MONTH * M a y 12/71—changed to Overnight Euro Dollar Deposits * * July-1-changed to 7-Day Euro-Dollar LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1 12 JL d /Mi / 1 \ /to Y r / 10 A V) ihJ 1 L / v v\ ifl J V\\^3-mOKTH w V 1 1 1 1 ! ! 1 1 i i M 1 1 1 1 1 1 II J 1969 1970 1 II 1 1 1 1 1 1 1 1 1 1 1 s 1971 V i i i M i i i i M j s 1972 NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures 12 h\ii - 10 A EURO-DOLLAR DEPOSIT (J - - - US. CI•RTFICATE OF DEPOSIT i i 1 i i 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 1 1i i ! i i 1 i i 1 i i • V i i 1 I i 1 i i 1 i : FAVOR EURO-DOLLAR DIFFERENTIAL A i\ r v - WVV^ ElIRO DOLLAR OVER U.S. 0 ERTIFICATE OF DEPOSIT i i 1 i i ! i i 1 i iM J S D i i 1 i i ! i i 1 i i M 1969 J 1970 S D i i 1 i i 1 i i 1 l i M J S 1971 D i i 1 i i 1 i i 1 i i M J S 1972 D 1 % Chart 7B NEW YORK-LONDON: COST OF U.S. DOLLAR FUNDS 3 - M O N T H D O L L A R DEPOSIT R A T E S - P R I M A R Y M A R K E T Wednesday figures Per cent p#»r annum EURO-DOLLAR DEPOSIT ADJUSTED * 10 EURO DOLLAR DEPOSIT \ W V Wux/ I \ \ / J* : \ s W v X z T i i . i i I i i 1 i i I U S. C E R T I F I C A T E O F D E P O S I T ~ 1 1 ADJUSTED * M i i i i i u i i i i ! i i I i i : 1 1 1 1 1 1 1 1 I EURO DOLLAR OVER U S. C E R T I F I C A T E O F D E P O S I T ADJUSTED 1969 1970 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * ^Adjusted for 20% Marginal Reserve Requirement 1971 1972 1 1 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 COVERED v J — FAVOR EURO DOLLAR DIFFERENTIAL M FAVOR HIRE PURCHASE S D M 1969 J 1970 S D M J 1971 S D M J 1972 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 r 1_L.J LOCAL AUTHORITY DEPOSIT COVERED JJ__1.J_1_L._L . l J J_i J_J i _ L l_i J _ L ! FAVOR LOCAL AUTHORITY %\p\ FAVOR EURO DOLLAR DIFFERENTIAL 1969 1970 1971 1972 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per am 3-MONTH TREASURY BILL RATES M J S D M 1969 # Plotted for comparison purposes J 1970 S D M J S 1*71 D M J S 1*72 D Chart 98 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I PREMIUM] SPREAD M FAVOR OF LONDON FORWARD RATE DISCOUNT FAVOR LONDON DIFFERENTIAL M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D 4 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 annum ] 14 IN TERMS OF DM I GERMAN INTERBANK LOAN RATE EURO-OOUAR COVERED DIFFERENTIAL FAVOR EURO DOLLAR I I I 1 I I I I 1 I 1 — — No quotation 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Per cent per annum Wednesday rates IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE i i I i i I i i I i ' DIFFERENTIAL I i i I i i I i i I i i I i FAVOR ZURICH FAVOR EURO-DOLLAR I i i 1 I I I I I 1 l i I I l I i i I l l I l l I I I I I I I I I 1969 No quotation 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures 10 8 CAN FIN. CO. PAPER 6 UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS 4 2 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR ' 2 AFORWARD RATE " " . + 0 GROSS SPREAD IN FAVOR OF CANADA 2 DISCOUNT COVERED RATE DIFFERENTIALS FAVOR CANADA 2 TREASURY BILLS + 0 FAVOR U S 2 2 • FINANCE PAPER t 0 M JJ SS D D M 1969 M J J S 197C sD DM M J SJ 1971 DS e D . M 1 J 1972 s D Chart 12A SELECTED SHORT-TERM INTEREST RATES* ux 1968 1S70 • 3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany! Inter bank Loan Rate) ^ (cfc Chart 12B SELECTED SHORT-TERM INTEREST RATES* Per cent per 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 in London. 1972 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum 10 SWITZERLAND " I i i I i i I i i X i i 1 i i 1 i i 1 i i ! i i I i i I i i 1 i 1i I I I 1 I I I I I I 1 4 11 I IK. • - 1 1 1 1 1 1 1 1 1 1 1 .J* •ERMANY 1 1 1 1 1 1 1 1 1 1 1 i i 11 i 11 i 1 1 1 I I 1 I I 1 I I 1 I I II 1 1 1 1 1 1 1 I I 10 U S CORP. DOLLAR EURO-BONDS Monthly figures U.S. CORP. A l l BONDS I U S. CORP. DM EURO-BONDS i i I i i I i i 1 i i i i I i i I i i I i ' 1968 1969 » i I ' i I ' i 1 ' i 1970 i i -I i i I i i 1 i ' 1971 i ' I ' » < i i I i t 1972 * New 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 alt German P A Bonds begins 1 7-69. * * * New series F starts 12-71. 4 V CHART 14 1958=100 INDUSTRIAL STOCK INDEXES Ratio scale 280 L , UNITED STATES _ y \ I 200 i 1 i 1 i ! 1 i i 1 1 1 \ i i ! I n V I I 1 I I 1 1 1 ! J \ 1 1 1 1 1 1 1 SWITZERLAND z^ 1 1 1 1 1 1 1 II V r : 1 ! 1 480 360 L | UNITED KINGDOM \ r i \ r X i i ! 1 i ! 1 1 i / 240 I 1 ! i i I i i ! i i 1 i i 1969 i i 1 i i 1 i i 1 l i i i 1 i i 1 i i 1 i i 1970 ' Japan index of 225 mdustn- 1 and other stocks traded on Tokyo exchange. * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. 1972 H. 13 No. 566 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since 4.n March 2. 1972 4.5 r»h. 5. S 75 Anril 6. 1975 6.0 Jma. 13. 1972 3.0 F#b. 25. 1971 4.0 D*c_ 23. 1971 E.E.C.: Belgium France Gemany Italy Metheriands Switzerland United Kingdom Canada Japan United States 6 0 Appii L n Mareh 1 r 3. 75 S»pt 15- 6.0 Jun* 2 2 . 197 6 . 75 fv-t- 9*:^ 4.25 June 2 4 . 4.50 —Dec in io- 3 L S 1A, 197: 4.5 ton A 191 3.0 fc.lv 10. 5.0 S*?t. 1071 5.25 1975 4.75 11. 1971 . 4.75 1972 1071 107? 1967 3 1971 F#h. 24. 1971 NflTa 11. 1971 IV 2 LATEST FIGURES PLOTTED )N THE CHARTS Chart Panel 1A Upper Lower IB Upper Series Date Swiss franc July Rate 7 -7.000 French franc +2.300 Japanese yen +2.600 Belgian franc +2.300 Italian lire Lower Canadian dollar German mark flat Actual rate 101.57 +2.200 Dutch guilder 2A 2B Upper Lower 3A +2.300 German mark +3.95 Swiss franc +2.60 U.K. pound Canadian dollar -2.56 + 3 . 98 -0.08 French franc 40.94 Japanese yen n. a. Dutch guilder German mark July 7 U.S. dollar 3B 4 Upper +2.08 it +4.08 French franc «» +2.97 Overnight Euro-$ deposits Federal Funds | 1 Middle Differential Lower Euro-currencies: Euro 5 58 j „ July 5 » Julv 7 Euro Swiss Fr. Upper Japan, Unconditional Money U.K., 2-day Local Author. Deps. Lower 3.57 4.61 0.88 2.44 J u n e 30 ,, 4.25 Canada, Day-to-day Loans July 5 7.75 3.31 France, Day-to-Day Money J u n e 30 «i 3.25 I* 0.85 ! I Germany, Call Money 1 i Netherlands, Call Money 65.70 -1.04 " Euro DM | +6.38 Swiss franc Gold price, U.S. dollar per ounce 5A +2.200 U.K. pound 3.75 IV - 3 Chart Panel 6A Series Euro-$ Date 7-Day Rate July 7 Euro-) 1-month Rate 68 Upper Euro-S 3-month Deposits 5.44 6.06 Julv 5 U.S. Certificate of Deposits 7B Lower Differential Upper Euro-$ 3-month Deposits 40.64 5.56 6.95 U.S. Certificate of Deposits (Adj.) 4.86 Lower Differential: on Adj. Euro-$ Deposits Upper „ _ .4 *Mkts. C l o s e 1* r . Euro-S 3-month Deposits June 22 June 23 +2.09 on Unadj. Euro-S Deposits 8B 40.70 5.69 Hire Purchase Deposits (covered) n.a. Lower Differential n. a. Upper Euro-$ 3-month Deposits 5.69 Local Authority Deposits (covered) Lower Differential U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B 5.56 4.92 Euro-$ 3-month Deposits (Adj.) 8A 4.38 5.25 Euro-$ 3-month Rate Euro-* 6-month Rate 7A Rate Upper Spread (+= favor London) -1.15 „ July 7 „ June 30 July 7 3-month Forward Pound Lower -6.84 3.96 5.61 7.62 +1.45 -2.50 Net Incentive (+= favor London) " -1.05 j IV-4 Chart Panel Series 10A Upper Euro-* Deposits (covered) July 5 German Interbank Loan rate 106 Rate Date Lower Differential Upper Euro-) Deposits (covered) 1.24 „ 4 . 75 „ 2.96 „ 3.51 Swiss Deposit rate Lower 11 Upper Dif,erential July 7 2.00* 0 . 8 8 H June : l ( - 1 . 0 0 r ) j u n e 2 8 ( - i ? 2 6 r f U j u l v ( l V-0.96) Canadian Finance Paper July U.S. Treasury Bill rate „ Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) 4.88 3.96 3.48 h 4.63 „ -0.48 Forward Canadian dollar i. -0.04 Third Net incentive on bills it -0.52 Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate Second 12A 7 Bill rate differential „ Julv 7 U.S. Treasury Bill rate Japanese Average rate July 5 May Canadian Treasury Bill rate Euro-S Deposits Swiss 3-month Deposit rate * J u n e 7 — 2.OOr 14 - - 2 . O O r 3.48 3.96 n 5.44 ii June 2 1 — 2 . 0 0 r 28 — 2.OOr 7 „ July U.S. Treasury Bill rate 4.75 7.191 Julv U.S. Treasury Bill rate 126 5.41 3.96 Gem an Interbank Loan rate Lower +0.21 7 2.00* 3. 96 : IV-5 Chart Panel Series 13 Upper Netherlands Date -J u n * J , June 16 Canada United States Switzerland Middle * Germany United Kingdom Lower U.S. Corp. Dollar Euro-bonds S e r l e s F U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany Middle United Kingdom Canada Lower ** Japan 6.87 6.84 6.89 6.97 July 5 7.42 Julv 5 5.49 June 16 5.01 June 23 7. 99 June 30 9.48 May 7.97 „ 6. 62 „ June 30 „ 1$ United States |t June 23 June 30 Rate 7.30 419.5 296.4 243. 70 246.32 July 7 284.41 June 29 251.32 Julv 1 620.12 Julv 7 246.32 United States * 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.
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