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/ J u l y 14, 1971 N o . 514 H-13 / 0><i y < S v - - - U Division of International Finance Europe and British Common wealth Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. 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 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 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 Percent Abovepai SWISS FRANC 1.6 GERMAN MARK U.K. POUND with U.S. Below par Above par FRENCH FRANC- JAPANESE YEN with U.S. DUTCH GUILDER Below par M J S D 1968 M S D 1969 * Devaluation of the French franc from 4 . 9 4 to 5.55 for * 1 . 0 0 . * * Rate not s u p p o r t e d by Central Bank. * * * Revaluation of the DM from 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents. * * * May 10, 1971 - Swiss franc revalued; new par 24.485 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 Above pa CANADIAN DOLLAR BELGIAN FRANC ITALIAN LIRA M J S D M 1968 J S D M 1969 J S D M J 1970 S D 1971 CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale, U.S. cents Ratio scale, U.S. cents 100 CANADIAN DOLLAR DUTCH GUILDER GUILDER PAR GERMAN MARK 1971 * Rate not supported by Central Bank 1970 1971 / . Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per a n n u m Weekly averages 10 PREMIUM* > GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT 1968 h No quotation. 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m - H - U !, | 1 JAPANESE YEN i A . / M , 0 M J 1970 S D M J 1971 S D Chart 2 6 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m DUTCH GUILDER FRENCH FRANC 20 24 28 DISCOUNT- M S D M 1968 J S 1969 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00. * * Can. S rate not supported by Bank of Canada. * * * No q u o t a t i o n D 32 M J 1970 S D M J 1971 S D Chart 3A 3-MONTH fORVItoRCii'lXCHANGE ^IWAJOR CURRENCIES AGAINST U K POUND Friday figures" " ' Per cent per a i m u i f f 24 20 *16 GERMAN MARK V U S. DOLLAR DISCOUNT— M J S J D 1968 * N 6 Quotation ' 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 SWISS FRANC FRENCH FRANC DISCOUNT— M J S D M 1968 J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $ 1 . 0 0 D M 20 J 1970 s D M J 1971 S D Chart 4 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 34 M S D M 1968 s J M D S J 1969 1970 MARKET SUPPORTED BY GOLD POOL U S dollar equivalent per fine ounce ( / \ y V - 1 11 1 1 1 1 1 1 1 1 M J lit 7 * M a r k e t closed March 15-April 1, 1 9 6 8 S * 1 1 D M 1HI D M J 1971 s D CHART5A CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly average? EURO-DOLLAR DEPOSITS CALL i OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages Per cent per a n n u m EURO DM j. EURO DOLLAR h j r EURO-SWISS FRANC S D 1968 * May 10, 1971 - M Changed to Overnight Euro $ Deposits. S S 1969 1970 D S 1971 D Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Friday figures Per cent per annum - - 1 - r7 \AJd V< APAN A - y ' V CA INADA 1 1 I l l l 1 V_y" i V ~\ \ vv 1 1 1 1 i i SELECTED EEC CURRENCIES** Per Friday figures cent FRANCE GERMANY NETHERLANI s M 1968 J 1969 S D M J S D M 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. J 1971 s P e r annum LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per a n n u m Friday f i g u r e s 25.50 OVERNIGHT 1-MONTH CALL 7-DAY D s M 1968 1969 * M a y 1 2 / 7 1 - c h a n g e d to Overnight Euro-Dollar Deposits * * July 1 - c h a n g e d to 7-Day Euro-Dollar D M J 1970 s s D 1971 Chart 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures I 1 I 13 i 1 12 11 | ' 10 ki i-MON'r H i i 1 fv ! i 1 u ^ i 1 i \\ 1 i 3 MONTH V \ i ; . 111 ! ! 9 i i ! 1 8 Y \ 7 6 i 1 5 ! ! 1 •! ! ! i 1 1 ! i I U M J s ! 4 !, 1 ! i i S i 1 ! D 1968 M J 1969 s D 1 ! | H | J 1970 II s II 0 3 ! 1 1 1 ! ! 1 ; 1 J 1971 s D 2 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures ! 14 - - 12 - EURO DOLLAR DEP0SI1r - - A U.S. CERTIFIGATE OF DEPOSIT V 1 ! 1 II 1 II II 1 II 1 1 1 1 II 1 II 1 1 I II ! II 1 ! 1 X i/i A/U - i ! i i 1 ii A ' 1f T T EUIRO DOLLAR OVER U.S. CIERTIFICATE OF DEPOSIT 1 li M U 1 1 1 1 ! 1 J S D i i ! i i ! M M 1968 J 1969 S i i i D 1 1 I ! 1 1 I! i ! i. i i 1 : i 1 : : M J S 1970 D M J 1 S 1971 ! II D NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH 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 14 EURO-DOLLAR DEPOSIT EURO DOLLAR DEPOSIT U.S. C E R T I F I C A T E O F DEPOSIT ADJUSTED EURO-DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T ADJUSTED* I l l l j l . i i . L i l l i i . L l i l i l U J M 1968 1969 Adjusted 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 * * * Adjusted for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t J 1970 S D M J 1971 S D \ V C h a r t 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per a n n u m EURO-DOLLAR DEPOSIT —\\ iV/v" HIRE PURCHASE COVERED FAVOR HIRE PURCHASE 7 % DIFFERENTIAL s M D 1968 S 1969 D S 1970 D M J 1971 S D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday f i g u r e s Per cent per a 14 12 EURO DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT I I COVERED 4 2 0 FAVOR LOCAL AUTHORITY + 0 2 4 6 8 )IFFERENTIAL 1 , i i , i l 1968 FAVOR EURO DOLLAR I I I I I INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED LONDON - NEW YORK M J S D 1968 * Plotted for c o m p a r i s o n p u r p o s e s S 1969 D S 1970 D J 1971 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON \ PREMIUM DISCOUNT FORWARD RATE 2 IN FAVOR OF LONDON r ~ i — M s — i I i IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D 1968 M S 1969 S D 1970 S 1971 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per c e n t per a n n u m IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED 4 DIFFERENTIAL FAVOR EURO DOLLAR S D 1968 S 1969 D M S 1970 D S 1971 | D C h a r t 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE W e d n e s d a y rates Per cent per a n n u m EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR I ! : I 1__L ! L M J S D 1968 M J 1969 S D M 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 an 10 BILL RATES CAN. FIN. CO. PAPER 8 6 CANADIAN > TREASURY BILLS UNITED STATES TREASURY BILLS 4 PREMIUM BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR /VX /,v 2 FORWARD RATE V + 0 GROSS SPREAD IN FAVOR OF CANADA DISCOUNT 2 COVERED RATE DIFFERENTIALS FAVOR CANADA 2 TREASURY BILLS + 0 FAVOR U S 2 PRIME FINANCE PAPER FAVOR CANADA 2 0 FAVOR U.S. S D 1968 S 1969 D S 1970 S 1971 D < ; 3 C h a r t 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m GERMANY U.K. U.S. 9 JAPAN CANADA 1967 1968 1969 - 1970 * 3 - m o n t h t r e a s u r y b i l l rates for all c ou n t r i e s except Japan(Average rate on bank loans and d i s c o u n t s ) and G e r m a n y ( l n t e r b a n k Loan Rate) 1971 ' r C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per EURO-DOLLAR - LONDON U.S. SWITZERLAND 1967 1969 * 3 m o n t h t r e a s u r y b i l l 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 1971 LONG-TERM BOND YIELDS Weekly f i g u r e s Per cent per 10 NETHERLANDS 8 CANADA US. 6 SWITZERLAND 4 11 U.K. 9 7 EURO DOLLAR BONDS GERMANY 5 10 Monthly figures 8 U.S. CORP. DOLLAR EURO-BONDS 6 U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 4 1967 1968 1969 1970 1971 New series for Switzerland starts 8-2-68, U.S. Corp. Dollar Euro-Bonds and U S Corp. DM Euro- Bonds starts 12-70, Euro-Dollar Bonds start 4-2-71. * New-Average yield of all German P A. Bonds begins 9-4-70. /' CHART 14 1958=100 INDUSTRIAL STOCK INDICES 320 280 U.K. 200 160 X , - v SWITZERLAND w ^ — < - ^ G E R M A N Y V A A U . S . I I 1 1 1 1 i ! 1 1 1 i i ! i i ! M ! i \ i i 1 i W i A N i a / i M * 1 1 1 i 1 1 'i ! 1 ! I I ^ ./Vv/ - J A P V ~ v ^ _ - • ^ V \ i C A N A D A 1 ; 1 I I 1 : ! 1 1 1 1 1968 1 1 1 1 1 1 1 1969 1 1 1 1 1 1 1 I I 1 1 1 1 1 1 1970 1 1 * 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 a l l i n d u s t r i a l and other stocks t r a d e d on t h e first section of the Tokyo Stock Exchange. 1 1 1 1 1 1 1 1971 1 I I 1 H. 13 No 51,4- IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate Belgium (1.0 Mar. 2 5 , 1971 6. 5 Dec. France 6. 75 May 13, 1971 6.5 Jan. 8, Germany 5.0 Apr. 1, 1971 6.0 Dec. 3, 1970 Country In Effect Since E.E.C.: 10, 19 70 1971 Italy 5.0 Apr. 5 , 1971 5.5 Mar. 9 , 1970 Netherlands 5.5 Apr. 5, 1971 6.0 Aug. 4 , 1969 Switzerland 3. 75 Sept.15, 1969 3.0 J u l y 10, 1967 United Kingdom 6.0 Apr. 1, 1971 7.0 Apr. 15, 1970 Canada 5.25 Feb. 24, 1971 5. 75 Feb. 15, 1971 Japan 5.5 May 8, 19 71 5. 75 Jan. 20, United States 4.75 Feb. 5.0 Jan. 19, 1971 13, 1971 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Lower Series Swiss franc * German mark U.K. pound Date Rate July 9 - 0.509 28.57 " " * Dutch guilder French franc Japanese yen 2B n July 9 4 5A " + 2.06 Dutch guilder Canadian dollar it - 0.53 + 1.92 h r ii nC July 6 Middle Lower 5B German mark U.S. dollar Swiss franc French franc July 9 Gold price, U.S. dollar per ounce July 9 Upper Lower 1. " u Overnight deposits Upper Federal Funds Differential July 7 H L " Euro-currencies: Euro $ Euro DM Euro Swiss Fr. July 9 Japan, Unconditional Money July 2 U.K., 2-day Local Author. Deps. Canada, Day-to-day Loans France, Day-to-Day Money Germany, Call Money Netherlands, Call Money * floating 97. 75 + 0.08 H J a 8l nl #e ven 3B + 0.522 + 0.318 U.K. pound F l e 3A 4- 0. 718 + 0.714 " German mark Swiss franc 2A " H it Belgian franc Italian lire * Canadian dollar IB 4- 0. 767 28.03 r a t e s i n U.S. c e n t s + 1.35 - v. 31 + 3.05 + 0. 71 + 0. 54 + 1. 14 + 0.58 40.29 5.04 5. 18 - 0.14 " 5. 72 5.56 " 2.09 6. 50 " 5.81 " 4.08 6.25 " " 7. 38 " 4.35 - z 'Zl z IV-3 Chart Panel Series Date Rate 6A Euro-$ Euro-S 1-month Rate 6.06 6B Euro-$ 3-month Rate 6.38 7-Day Rate July 9 Euro-$ 6-month Rate 7A Upper Euro-) 3-month Deposits 7.06 July 7 U.S. Certificate of Deposits 7B Lower Differential Upper Euro ) 3-month Deposits + 1.00 6.62 8.28 U.S. Certificate of Deposits (Adj.) 5.92 Differential: on Adj. Euro-$ Deposits + 2.36 on Unadj. Euro-$ Deposits 8A Upper Euro-$ 3-month Deposits + 0.70 June 25 Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-$ 3-month Deposits Differential U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 3-month Forward Pound Lower Net Incentive (+= favor London) 6.81 5.50 - 1.31 6.81 Local Authority Deposits (covered) Lower 6.62 5. 62 Euro-$ 3-month Deposits (Adj.) Lower 5.38 5,43 " July 9 " - 1.38 5.33 5.50 July 2 6.31 July 9 + 0.17 " - 0.58 - 0.41 IV- 4 Chart 10A 10B 11 " Panel Series Date Upper Euro-$ Deposits (covered) July 2 6.69 German Interbank Loan rate " Lower Differential " + 0.93 Upper Euro-$ Deposits (covered) " 4.28 Swiss Deposit rate " 3.50 Lower Differential " - 0.78 Upper Canadian Finance Paper Second 12A Rate July 9 7.62 4.25 U.S. Treasury Bill rate " Canadian Treasury Bill rate " U.S. Prime Finance paper (not plotted) " Bill rate differential " - 1.86 Forward Canadian dol'ar " + 1.27 5.33 3.47 5.44 Third Net incentive on bills - 0.59 Bottom Net incentive on Finance Paper + 0.08 Upper U.K. Treasury Bill rate Lower July 9 " 5.33 German Interbank Loan rate " 7.62 Japanese Average rate Canadian Treasury Bill rate April Julv 9 U.S. Treasury Bill rate 12B 5.50 U.S. Treasury Bill rate 3.47 5.33 Euro-$ Deposits 6.62 Swiss 3-month Deposit rate U.S. Treasury Bill rate 7. 655 3.50 " 5.33 ¥ IV - 5 Chart Panel Series 13 Upper Netherlands July 2 7.32 J u l y 30 6.80 United States July 7 5.89 June 18 5.38 June 30 8.36 * Germany United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower Rate Canada Switzerland Middle Date ** Japan United States Julv 2 9.20 July 9 7„ 58 May 8.24 " 7.34 June 7.64 July 9 405.8 July 7 267.20 July 9 204.12 " 216.60 Julv 1 220.18 Julv 5 452.05 July 9 204.12 * 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. a
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