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Jv'y l». W 2 N e . i 6 7 H-tl Oiwiio «Hm«Mlnd F i — » E — f i«»n i i r t H i r t l » JUL—^ ^ FED~.il-"- - -—»k*L *>. — •.» OF RICHMOND SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOMK) OF GOVEftNOKS OF THE FEDEMAL AESEftVE 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 full)/ described in a Supplement dated January 1, 1972. < $ l t SPOT EXCHANGE RATES MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent AJ G E R M A N MARK / a fly I V V SWISS FRANC I i / 1 1 1 i 65 41 i . DUTCH GUILDER / against U.S. i i 1 i 1 i 1 1 1 1 1 1 1 1 1 1 / \ 1 .J Kj < V v RENCH FRANC T rate <UjS. ^ I I JAPANESE YEN 1 1 ! 1 ! ! 1972 * Pound floated June 23, 1972 1 1 1 1 1 l l 1 1 1 1 1 1 1973 1 1 1 1 1 1 Bel 1 1\17 SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent BELGIAN FRANC us ITALIAN URA Below J M S 0 J M 1972 S D 1973 /% Ratio scale, U.S. cents CANADIAN DOLLAR A J / V / V i i i i M J i 1 1 1 1 1 1 . S 1970 D 1 1 1 1 1 1 1 1 1 1 1 i M M J 1971 S D i 1 i i 1 i J 1972 i 1 i j i D Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11, 1971 - Weekly averages Dec. 17, 197) Per cent GERMANY NETHERLANDS FRANCE JAPAN Par U.S. Below par MAY JUNE I | JULY SEPT. AUG. 1971 * Financial franc i OCT. NOV. DEC. VI Chart 10 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11, 1 9 7 1 - Dec. 17, 1971 Weekly Above par BELGIUM U.K. SWITZ. ITALY Par U.S. dollar 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* CANADIAN DOLLAR U K. POUND DISCOUNT- PREMIUM GERMAN DISCOUNT- DUTCH GUILDER J S D 1969 S 1970 * Canadian Dollar Rate not supported by Bank of Canada * * No quotation D M J 1971 s D M J 1972 s D Chart 26 3 MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent per annum T T ] i i j i r j T T - i 12 SWISS FRANC FRENCH FRANC 11111 1111 y y w - 1 . • i. • i . , i. • I . . i . . i . . i 11111111111 M J S . D 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * N o quotation i 6 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 20 PREMIUM GERMAN MARK U S. DOLLAR i ' DISCOUNT- I I I i__L_L i -1—1—I—1—I—I j 1 _ 1 1.1.1 L.±_L_l-J_LJ_l ±_L_i 1_L . M 1969 J 1970 S D M J S 1971 D M J S 1972 D 8 Chart 3B 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST U.K. POUND Per cent per annum Friday figures FRENCH FRANC DISCOUNT L L j 1,1 1 1 J 1 1 S 1969 1970 * Devaluation of the French franc from 4 94 to 5 55 for $1 00 0 M A J 1 1 1 .1 1 i J i 1_ GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 1 I - j 1 ' - J ' 1 ! \ ~ V X ^ I ! \ j : ! 1! ! 1! 11! 11! 1111111111 r M J 1971 S D M J 1972 S 0 CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent pe> annum 1 16 i i n EURO DOLLAR DEPOSITS CALL OVERNIGHT | - EURO1-DOLLAR OVER FEDERAL FUNDS i m \ / l / i Vvv 1i i 1i i I i i A,} \m i i 1i i 1i i 1i i L - : J 1 fUv 1 11 11I 1 11 . i 1 1 1 1 11 II 1 II EURO-CURRENCIES Weekly averages Per cent per annum 12 • i i i 1 1 1 1 1 1 1 1 ' M J S D 1969 11 ' 11 i 1 1 ' M J S 1970 * May 10. 1971 - Changed to Overnight Euro $ Deposits. D i i 11111 K J 1971 i 11 i m S D j M i 11 i i 11 J 1972 S 0 Chart 58 CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per FRANCE U NETHERLANDS JAPAN CANADA GERMANY J rx /\rfi\k r If ' rH " 1 1 r m j s U I i j ' A M ! d i i ! i i j i i ! m j s d 1969 1970 1 111 m j m M s Y ' Ijjf 11 1 1 11 11111111 d m j 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 . 1972 Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per 25.50 OVERNIGHT 1-MONTH CALL r7-DAY" M J s 0 M 1969 # J s 1970 M a y 12/71-changed to Overnight Euro-Dollar Deposits ## J u l y l - c h a n g e d to 7 Day Euro-Dollar 0 M J 1971 S D M J 1972 S 0 Chart 68 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per AN j\\ ff\nr / A \ \ YV 1 / fa h M vi Vl A j 1 V^Jja-moKm V ii 1i i 1i i 1i i M J S 1969 M J 1970 S 11111111111. i I 1M 1i I 1i i I I 1I I 1I l I I l 0 D M J 1971 S V D M J 1972 S D NEW YORK-LONDON: YIELDS ON U S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum i I 12 i w EURO DOLLAR DEPOSIT - hTV/Xji D XL - - U.S. CE•RTIFICATE OF DEPOSIT i i 1 i i 1 ii 1i i II V 1I I 11I 1I l 11 11! 1 111111 • 1 1 1 1 1 1 1 1 1 1! . DIFFERENTIAL FAVOR EURO-DOLLAR j A, " Aa^i wv\XA/v - - ElIRO-DOLLAR OVER U.S. CIERTIFICATE OF DEPOSIT I 1 I I 1 I I ! I I 1 I M I D 1969 I W M I M J 1970 I M S I I D I L I M 1 L I J 1971 1 I I S I D I 1 M M 1 I J 1972 I 1 I S I 0 10 Chart 76 NEW YORK-LONDON: COST OF U S. DOLLAR FUNDS 3-month dollar Wednesday figures deposit rates-primary market Per cent per annum euro dollar deposit ADJUSTED EURO DOLLAR DEPOSIT ificate of I EURO D O L L A R OVER U S. C E R T I F I C A T E O F D E P O S I T ADJUSTED* 1970 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * *Ad|usted for 20% Marginal Reserve Requirement I I I I deposit ADJUSTED I I I I I I Chart 8A LONDON: COVERED YIELDS ON US. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Far c w t per annum — \ EURO-DOLLAR DEPOSIT - r ; HIRE PURCHASE COVERED : - 1 111111111111 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 I 1 1 1 1 1 1 i i 1 i i I i i 1 i i FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1969 M J 1970 S D M J 1971 S D M J 1972 S 0 Chart 8B LONDON: COVERED YIELDS ON U S. DOLLAR FUNDS l o c a l authority and euro d o l l a r rates Friday figures I Per cent per annum 1 r, r r t / 1 V ! , j 1 \ W I EURO DOLLAR DEPOSIT I i LOCAL AUTHORITY |I DEPOSIT COVERED - i i V 1 | 11 H 1 1 II i II II 1 1 1 1 1 1 1 1 1 i 1 1 1 II I II 1 1 1 II 1 II 111 ' 1 11 FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR DIFFERENTIAL 1969 1970 1971 1972 f?3 INTEREST ARBITRAGE: UNITED STATES AND UNITED KWGOOM Per cent per annum Friday figures 12 3-MONTH TREASURY BILL RATES 1w ujc. l o c a l authority deposits* UNCOVERED new york I I I 1I I 1I I I I 11I I I I I I I I I I I I I I I 1I 1I I I I I 11 J 1 I I I I I I 2 Plotted for comparison purposes Chart 9 8 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum PREMIUM | RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I spread m f a v o r o f london forward rate 10 DISCOUNT FAVOR LONDON DIFFERENTIAL FAVOR NEW YORK M J s D 1969 M J 1970 S D M J 1971 S D M J 1972 S D Chart10A 3-MONTH 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 RATE 4 DIFFERENTIAL FAVOR EURO-OOUAR M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S 0 Chart 108 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC z u r i c h d e p o s i t r a t e vs. l o n d o n e u r o d o l l a r r a t e Wednesday rates Per cent per 14 in t e r m s o f s w i s s f r a n c s 12 10 8 _COVERED 6 4 2 SWISS DEPOSIT RATE 0 2 differential + 0 2 4 6 FAVOR EURO-DOLLAR 8 M J S D 1969 No quotation M S 1970 D M J 1971 S D M J 1972 S D Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Per cent per ernium Friday figures ~n 'T~rry TT- ri | i i | M | i i II | I ! | I I | I I b i l l rates BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR j FORWARD HATE » forim n GROSS SPREAD M FAVOR Of CAMAOA COVERED RATE DIFFERENTIALS TREASURY e m s FAVOR U S FAVO* U S m j 1969 M i l s d j j 1lj_Lj 1Ji_l1i jJ-XjJ-i l! i i I M i i II iI iI JI I I I I I j s o m j s d w j s d 1972 1S7C «71 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum GERMANY UJC JAPi U.S. CANADA 1968 1970 * 3 month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany*Interbank Loan Rate) 1972 >60° SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO-DOLLAR - LONDON I I I I I I I I I I I I I I I I I I I I I I 1968 M 1 1 I I I I i I I I I I 1 I I I 1 I 1 I I 1 I I 1 I I 1 I I I I I 1 0 1970 1972 * 3-month treasury bill rate for U.S., Switzerland - 3 - m o n t h deposit rate. • * 3-month rate for U S dollar deposits in London. Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum US. IfS. 1m l • emimiv 1 1 1 1 1 1 1 1 11 1 i i 1 1 1 1 1 1 11 11 1 1 1 1 i i i m m 1 ii w v a 11 i 1 i i 1 1 l 1 1 l 1 1 | j 1 US. Monthly figures US. -us. 1968 >. o h e u e o - b o w o s 1970 1971 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 all German P A Bonds begins 1 7-69. * * # New series F starts 12-71. \tp nCHART 14 1958=100 INDUSTRIAL STOCK INDEXES Ratio scale 280 UNITED STATES 200 i i 1 i i 1 i i 1i i 1 111 11111 11 1 11 11111111 480 J\ ^ V / ^ v SWITZERLAND - / 360 Vz - UNITED KINGDOM / i i 1ii 1i i 1i i i i 1i i 1 i i 1i i 1969 1 11111 11111 1970 240 l 1 1 1 1 1 II 1971 * Japan mde» of 225 i n o u i " d' and other storks traded on 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 1972 111 # H. 1? No. 567 Country In Effect Since In Effect Since Previous Rate 4_n March 2. 197: 4.5 Feh. 5. 1972 5. 75 A p r i l 6. 1972 6.0 Jan. 13. 1972 3.0 Feb. 25. 197: 4.0 Dec. 23. 1971 Current Rate E.E.C.: Belgium France Germany Italy Netherlands Switzerland United Kingdom Canada Japan United States 4.0 apr-n i n , iq: 7 L. 5 16, 1971 March 1. 197: 4. 5 Tan. 6. 1972 3.75 Sept. 15, 1 9 « 3.0 .Tul v 10. 1967 6.0 June 5.0 Sept. 3. 1971 6.75 n^f 95, 1c71 5.25 Feb. 24. 1971 4.25 June 24. 1972 4.75 Anr. 2 9 i 1971 4.59 tor,. 4.75 N o t . 11. 1971 l n 22. 197:: 13.19.7.1 . 9 I IV. SELECTED CENTRAL BANK DISCOUNT RATES IV 2 L A T E S T F I G U R E S P L O T T E D ON T H E C H A R T S 1 1 Chart Panel Series Date 1A Upper Swiss franc U . K . pound French franc Japanese yen J u l y 14 Lower Upper IB Lower Canadian dollar German mark Dutch guilder 2A Lower 3A +2.300 40.100 »t Actual rate 101.64 +2.200 +2.300 •• " +4.35 +3.05 -3.21 +4.43 -0.05 40-84 n.a. " " ** 11 11 „ " +9.06 +2.79 it it +6.46 +3.95 Gold price, U.S. dollar per ounce 4 1 j +2.300 +2.200 „ German mark U.S. dollar Swiss franc French franc 3B -6.541 •t " German mark Swiss franc U . K . pound Dutch guilder Canadian dollar French franc Japanese yen Upper 26 +2.300 » •• Belgian franc Italian lire I Rate Upper 5A Middle Lower Upper 5B ! Lower i • 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 T u i v 7 . 3 . 8 8 Netherlands Call Money 65.16 4.30 4.62 -0.32 J u l v 12 •• 0.50 J u l y 14 i« 2.50 4.25 6.88 3.31 3.75 Julv 7 " July 5 J u l y 14 3.12 Tuly 14 June 30 | 0.85 IV - 3 * Chart Panel 6A Euro-S 6B 7A 7-Day Rate J u l y 14 „ 5.00 Euro-* 1-month Rate 5.69 Euro ) 3-month Rate •• 5.69 Euro-$ 6-month Rate (• 6.25 J u l y 12 5.31 Upper Euro-S 3-month Deposits Lower Differential „ Upper Euro-S 3-month Deposits ii Euro-$ 3-month Deposits (Adj.) ii 6.64 U.S. Certificate of Deposits (Adj.) i« 5.14 ii +1.50 •• 40.17 U.S. Certificate of Deposits 78 Lower Differential: on Adj. Euro-S Deposits on Unadj. Euro-S Deposits 8A 86 Rate Date Series Upper Euro-S 3-month Deposits 4.94 40.37 5.31 5.31 June 30 Hire Purchase Deposits (covered) ii 3.65 Lower Differential ii -1.66* Upper Euro-S 3-month Deposits f« 5.31 Local Authority Deposits (covered) II 3.96 Lower Differential U.S. Treasury Bill rate 9A „ -1.35 J u l v 14 3.94 U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 5.34 7.38 July 7 4-1.40 J u l v 14 3-month Forward Pound Lower -3.58 Net Incentive (+- favor London) •• 1 -2.18 IV - 4 Chart Panel Series 10A Upper Euro-* Deposits (covered) Date J u l y 12 German Interbank Loan rate 10B Lower Differential Upper Euro-* Deposits (covered) 11 Differential Upper Canadian Finance Paper +3.63 2.65 2.00D - 0 . 65 -Tulv 14 U.S. Treasury Bill rate 3.41 U.S. Prime Finance paper (not plotted) -0.53 Forward Canadian dollar 12A Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate +0.02 -0.51 ft 5.34 J u l y 12 4 . 75 „ Lower Japanese Average rate Canadian Treasury Bill rate Euro-) Deposits Swiss 3-month Deposit rate U.S. Treasury Bill rate ' 3.94 Hay 7.191 ; J u l v 14 3.41 \ 3.94 I U.S. Treasury Bill rate 12B - +0.15 J u l y 14 U.S. Treasury Bill rate German Interbank Loan rate t 4 . 75 Bill rate differential Third 4.88 3.94 Canadian Treasury Bill rate Second 1.12 4 . 75 Swiss Deposit rate Lower Rate ,, 5.69 „ 2.00p .. 3.94 IV-5 Chart Panel Series 13 Upper Netherlands Date Rate June 30 Canada J u l v 12 United States June 2 3 June 30 * Germany United Kingdom Lower U.S. Corp. Dollar Eum-bwwk^eriesF U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower ** Japan 7.39 5.46 Switzerland Middle 6.97 ,, S.Olest. 5.06 June 30 8.04 Julv 9.30 7 May 7.97 || 6.62 June 7.23 June 30 419.5 Julv 294.2 7 J u l v 14 ? 4 1 /fo Julv 982.89 14 Julv 6 254.48 July 8 640.64 J u l v 14 243.40 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. 1
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