The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
r
SELECTED INTEREST &
EXCHANGE RATES
FOR MAJOR COUNTRIES &
THE US.
WEEKLY SERIES OF CHARTS
BOUO 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.-Geniiany 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-Tern 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
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.
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR
Weekly averages
Per cent
Above
GERMAN MARK 4
I.K. POUND ;
against
SWISS FRANC
DUTCH GUILDER
FRENCH FRANC
against
JAPANESE YEN
Below
J
1972
^Pound floated June 23, 1972
1973
Chart I B
SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR
Weekly averages
BELGIAN FRANC
Central
rate
against
US
ITALIAN URA
l
I
1
I
M
I
1
I
J
i
1
I
I
I
I
I
I
I
I
I
I
LL
1973
1972
Jw
CANADIAN DOLLAR
/
I
J
S
tT
A J
102
100
98
V
94
i i i i i 1 1 1 1 1 1
M
J
S
1970
1 1 1 1 1 1 1 1 1 1 1
M
J
1971
S
D
i i 1 i i 1 i i 1 i i
M
J
1972
£
92
Chart 1C
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
May 11, 1971 - Dec 17, 1971
Weekly averages
Per cent
Above par
GERMANY
NETHERLANDS
FRANCE
JAPAN
Par
U.S.
Below par
MAY
JUNE
JULY
AUG.
SEPT.
1971
* Financial franc
OCT.
NOV.
DEC.
Chart I D
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR
May 11. 1 9 7 1 - Dec 17, 1971
BELGIUM
UJC.
swrrz.
ITALY
U.S.
dollar
Below par
MAY
JUNE
JULY
SEPT.
AUG.
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
CANADIAN DOLLAR
U K. POUND
DISCOUNT-
PREMIUM +
GERMAN MARK
DISCOUNT—
PREMIUM*
DUTCH GUILDER
S
D
1969
J
S
1970
* Canadian Dollar Rate not supported by Bank of Canada
* * No quotation
D
J
1971
s
D
M
J
1972
S
D
i6
3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR
Weekly averages
1 1
I
1 1
I
Per cent per annum
1 1
I
1 1
I
1
1
I
1 1
I
1 1
I LtiuL' I "
| "
I ' I I ' I I "
, ' ' I
1
I I u
SWISS FRANC
FRENCH FRANC
? ' y y " ! T - 1 . • 11 •
* Devaluation of the French franc from 4.94 to 5.55 for $1.00.
* * No quotation
•
Chart 3A
3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
20
PREMIUM
GERMAN MARK
US. DOLLAR
DISCOUNTJ
S
D
1969
#
No quotation.
S
1970
D
S
1971
D
M
J
1972
S
D
\tifl
Chart 38
3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND
Friday figures
Per cent per annum
PREMIUM
FRANC
FRENCH FRANC
DISCOUNT—
M
S
D
1969
#
J
S
1970
Devaluation of the French frame from 4.94 to 5.55 for $1.00
D
J
1971
S
D
M
J
S
D
1972
I
GOLD PRICE IN LONDON, 12.5 Kg BARS
Week's average of afternoon fixings
U.S. dollar equivalent per fine ounce
70
60
50
j
S
D
M
1969
J
1970
S
S
D
M
J
S
1971
S
D DH
MJ
J
1972
s
D
CHART 5A
CALL MONEY RATES
DOLLAR FUNDS
Weekly averages
Per cent per annum
1™
1EURO-OOULARDEPOSITS
CALL 'OVER#IIGHT
-
16
-
12
!
: AW
-
M
FEDERAL FUNDS
EURCI-DOLLAR OVER FEDERAL
n»V./ l / V ^ d
1 VVv
w
I 1 I 1 1 1 1 1 1 1 1
yv
*
i i l i i l i i l i i
J
i I
-
i i 1 i i 1 i i 1 i i
EURO-CURRENCIES
Weekly averages
EURO-SWISS FRANC
I I I I I 1I I 1I I
F
Way i o , 1971 - Changed to Overnight Euro $ Deposits.
-
i VV
vW
,
1 1 1 II
;
1 1 1 11 1
Chart 5B
CALL MONEY RATES
SELECTED FOREIGN AND EEC CURRENCIES
Friday figures
Per cent per annum
X
~
v
w \ „ ,
FRANCIE
r
r
n
-
V
i
1 !
1 1 i 1 1 11 i
i i 1 i i 1 i i 1 i i
HERLA 5
h
i i l l l l l I 1 1h i iTi
^
1
i It
i h
i
JAPAN
-
CANADA
1 1 ll
1 ll
1ll
1
1 1ll
1ll
1 1 1 1
1 1ll
11 1 1ll
1
1 1 ll
D
M
1ll
1ll
1
J
s
D
GERMANY
UK.
M
s
D
M
1969
J
1970
S
D
M
J
S
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
* M a y 12/71-changed to Overnight Euro-Dollar Deposits
• * July-1 -changed to 7-Oay Euro-OoMar
Per cent per an
Chart 6 8
LONDON: EURO DOLLAR DEPOSIT RATES
Friday figures
Per cent per annum
12
Lfjk /I
jUn/i
/
f
\^
10
v v
/
/
1^1
v»
*
^
k/fv
3-WONTH
/
'
w
V
6
V
4
! M 1 1 1 1
M
ii 1M
i 1111
J
S
D
1969
M
! i i I i i
J
1970
S
D
l l 111111111
M
J
S
1971
D
i i i i i i i i i M
M
J
S
1972
2
D
Chart 7A
NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET
Wednesday figures
Per c w t per emmwrn
EURO-DOLLAR DEPOSIT
U-S- CERTIFICATE OF DEPOSIT
FAVOR EURO-DOLLAR
DIFFERENTIAL
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
m
M
jJ
sS
1969
dD
mM
j J s
1970
s
o 0
mM j J s
1971
s
d
oh
Mj
J
1972
S
0
Chart 7B
NEW YORK-LONDON: COST OF US. DOLLAR FUNDS
3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET
Per cent per annum
Wednesday figures
e u r o d o l l a r deposit
ADJUSTED *
euro d o l l a r deposit
u s. c e r t i f i c a t e o f deposit
ADJUSTED *
euro d o l l a r over
U s. c e r t i f i c a t e o f deposit
ADJUSTED
* Adjusted for Reserve Requirement
* * Adjusted for 10% Marginal Reserve Requirement
* * * A d j u s t e d for 20% Marginal Reserve Requirement
Chart 8A
LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS
hire purchase and euro-dollar r a t e s
Friday figures
Per cent per annum
HIRE PURCHASE
COVERED
M
J
S
O
M
1969
J
1970
S
D
M
J
S
1971
O
M
J
1972
S
0
-Lv
Chart 8B
LONDON: COVERED YIELDS ON U S. DOLLAR FUNDS
LOCAL AUTHORITY AND EURO DOLLAR RATES
Friday figures
Per cent per annum
—
jvv
eui
d o l l a r deposit
-
j
iJ
:! ;
I I
!
I
!
i
1 I
1 1 1
DIFFERENTIAL
'
!
-
local authority
_
i
i deposit
! COVERED
-
|
1 1 1 I I
1 1 1 1 1 1 i
1 1 1 1 1 1 1 1 1 I I
1 1 1 1 1 1 1 I I
1 1 1
12
y>n
Chart 9A
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Par cent per annum
3-month treasury b i l l rates
UXLOCA
AUTHORITY DEPOSITS
UNCOVERED
NEW YORK
U
M
#
JJ
S
S D
DI
1969
Plotted for comparison purposes
IM
J
J S
1970
sD
ID
f
M
l
JJ
1971
Ss
D
D
M
MJ
J
1972
S
D
Chart 9 6
INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM
Friday figures
Per cent per annum
PREMIUM,
rate d i f f e r e n t i a l and 3-month f o r w a r d
sterling
i
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
0
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
IN TERMS OF DM
GERMAN INTERBANK
LOAN RATE
euro-dollar
COVERED
DIFFERENTIAL
FRANKFURT
FAVOR EURO-DOLLAR
M
J
S
D
M
1969
No quotation
J
1970
S
D
M
J
1971
S
D
M
J
1972
S
D
Chart 10B
3-MONTH FUNDS INTEREST ARBITRAGE: EURODOLLAR - SWISS FRANC
ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE
Wednesday rates
Per cent per,
IN TERMS OF
FRANCS
COVERED
DEPOSIT HATE
DIFFERENTIAL
FAVOR EURO-DOLLAR
S
D
1969
No quotation
J
1970
S
D
M
J
1971
S
D
M
J
1972
S
D
3-MONTH INTEREST ARBITRAGE UNITED STATES - CANADA
Friday figures
Per cent p e r *
T r r - f T - T r r
, BILL RATES
1 1 1 1 1 1 1 1 1 1 1
\
V
1 1 | 1 1 | 1 1 | II
>5^
-
N. FIN. CO PAPER
CANADIAN
TREASURY B H I S V
-
BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR
FORWARD RATE
A
CROSS SPREAD IN FAVOR Of CANADA
COVERED RATE DIFFER!ENTIALS
fMOHamOA
TREASURY BILLS
PRIME FINANCE PAPER
FAVOR u s .
1 1 1 1—1 L l . 1 1J—L_ L l J
I I I I I
M
J
S
D
1969
M
10
A
\VVxzvx
UNITED STATES
TREASURY BILLS
1 1 | 1 1 | 1 1 | 1 1
J
1970
S
D
M
II
I 11 I I I
J
1971
S
I I I I I I I I 1 I I
J
s
1972
Chart 12A
1
SELECTED SHORT-TERM INTEREST RATES*
-
LV/w.
yi
-
[RMANY
UJC
U
.8.
nl
1
fVi
1 1 1 1 1 1 1 1 1 I I1 1 1 1 1 1 1 111 1 111 1 1 1 1 1 1
-
M M
I N 11111111
-
J4 PAN
VL
—-
y
^
-
Ya!
\\U8
CANAOA\
-
1 1 1 1 1 1 1 1 11 11 11
1 1 I 1 1 111
1 1I 11
1968
• 3-month treasury bill r
and Germany* Interbank Loan Rale)
Ax
1 1 1 111I I 1 I I 1 I I 1 I I1 1 1 1 1 1 J 1111
1970
1S72
Chart 128
SELECTED SHORT-TERM INTEREST RATES*
Per cent per annum
US.
1970
* 1 month treasury m rate for U.S.. Switzerland-3^iwntli deposit rate.
• • 3 month rait for U.S. dollar deposits in London.
1972
Chart 13
LONG-TERM BONO YIELDS
Weekly figures
Pe< ceit pe' annum
10
1 8
L L x i i - j i r n T T i i 11 i 1 1 1 1 1 1 1 i j - j . I i I.J i i . i j i l i I_L.
w l i
i
i i l u l l
MON,HIY TG
. URES
i I i i lii III I i i I l
!
xj
J.—• J -i J j
U.S. COUP. DOLLAR EUROBONDS
I
US. CORF. 0 « EURO-BONDS
'
i i i i
196#
#
' ' I 1 I ' I
1969
1
' I ' ' i I ! i I ! '
1970
1
1971
W e e se<«e$ 1or SwUerland starts 6 2-68, U S Corp Dollar E u r o B o w H and u s '*•-<{. DM l u ' u bon-j-,
# #
W w A i w r i e e yield ef en G e n e w F A Bonds begms 1 7 * 9
series F starts 12 71
1972
CHART 14
INDUSTRIAL STOCK INDEXES
200
UNITED STATES
400
UNITED KINGDOM
240
160
JAPAN
360
GERMANY
240
CANADA
\ J
160
1969
1970
1971
* Japan index of 225 industrial and other stocks traded on Tokyo exchange.
* * Japan index of all industrial and other stocks traded oh the first section of the Tokyo Stock Exchange.
1972
H. 12
No. 568
Country
IV. SELECTED CENTRAL BANK DISCOUNT RATES
Current Rate
In Effect Since
Previous Rate
4 o
March 2. 1972
4.5
5. 75
Anrll
3.0
Feb.
4.0
A r r n in
L n
March 1 .
In Effect Since
E.E.C.:
Belgiue
France
Gem**
Italy
Netherlands
Switzerland
UnHfcd Kingdom
Canada
Japan
United States
6.
197:
6.0
25.
197:
4.0
M>-
A 5
w.#-
197:
4.5
ten
191
io: 3
5.
1972
11-
1972
23.
1971
1 ^ 1071
*r
1972
3.75
Sept.
15r
3.0
lk.lv 1 0 .
1967
6.0
June
2 2 . 197
5.0
Sept.
1.
1971
4.75
n-«-
?q j 1071
5.25
Feb.
24.
1971
4.2S
June 2 4 .
4.75
Anr. 29. 1971
4.50
Iter. I X lazj. I
1971
4.75
1 HffTfl 11. 1971
IV 2
LATEST FIGURES PLOTTED ON THE CHARTS
Chart
Panel
Series
1A
Upper
Swiss franc
U.K. pound
French franc
Japanese yen
Lower
IB
Upper
"
•«
„
+1.900
-6.500
+2.300
+2.300
July 21
Upper
German mark
Swiss franc
U.K. pound
Dutch guilder
Canadian dollar
French franc
Japanese yen
German mark
U.S. dollar
Swiss franc
French franc
July 14
ii
M
+9.06
+2. 79
+6.46
+3.95
Gold price, U.S. dollar per ounce
July 21
65.22
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 July 12France, Day-to-Day Money
Germany, Call Money
Netherlands, Call Money
July 19
ii
i«
4.89
4.47
40.42
3A
3B
4
Upper
Middle
Lower
56
••
Lower
Lower
5A
July 21
Actual 244.64
Rate
Belgian franc
Italian lire
Canadian dollar
German mark
Dutch guilder
2A
2B
Date
Upper
Lower
«
r*t*
M
•1
II
••
i«
ii
••
*'
July 14
••
••
•«
July 19
July 21
J u l y 21
June 30
+2.200
0.000
101.64
+1.900
+1.900
+4.90
+4.62
-3.02
+5.01
40.14
+1.14
n.a.
0.50
2.50
4.25
7.50
3.55
3.50
3.50
0.56
0.85
IV-3
Chart
Panel
6A
6B
7A
Upper
Series
Date
Euro-* 7-Day Rate
July 21
„
5.88
Euro~$ 1-month Rate
Euro-J 3-month Rate
•i
5.69
Euro-* 6-month Rate
•1
6.25
Euro-$ 3-month Deposits
July 19
„
U.S. Certificate of Deposits
76
Lower
Differential
Upper
Euro-$ 3-month Deposits
7.02
5.14
Differential: on Adj. Euro-$ Deposits
4-1.88
on Unadj. Euro-$ Deposits
Upper
Euro-$ 3-month Deposits
40.48
July 7
Hire Purchase Deposits (covered)
86
Lower
Differential
Upper
Euro-) 3-month Deposits
4.86
5.50
U.K. Treasuiy Bill rate
Local Authority Deposit (uncovered)
96
Upper
-4.68
Differential
U.S. Treasury Bill rate
9A
Spread (+= favor London)
-0.82
July 21
3.85
July 14
8.06
Julv 21
4-1.82
„
3-«on1h Forward Pound
Lower
s sn
-0.64
Local Authority Deposits (covered)
Lower
5.62
6.86
5.62
U.S. Certificate of Deposits (Adj.)
8A
5.69
+0.78
Euro-) 3-month Deposits (Adj.)
Lower
Rate
5.67
-3.43
Net Incentive (f= favor London)
||
-1.61
IV-4
Chart
Panel
Series
10A
Upper
Euro-J Deposits (covered)
Date
J u l v 19
Gem an Interbank Loan rate
Lower
108
Upper
+3.70
Euro-S Deposits (covered)
1.17
Swiss Deposit rate
11
Differential
Upper
Canadian Finance Paper
2.00®
-0.83
J u l y 21
U.S. Treaswy Bill rate
3.33
U.S. Prime Finance paper
(not plotted)
4. 75
Bill rate differential
-0.52
Forward Canadian dollar
12A
Third
Net incentive on bills
Bottom
Net incentive on Finance Paper
Upper
U.K. Treasury Bill rate
40.24
-0.28
40.49
J u l v 21
U.S. Treasury Bill rate
Japanese Average rate
Canadian Treasury Bill rate
4.56
May
J u l v 21
U.S. Treasuiy Bill rate
12B
Euro-S Deposits
5.67
3.85
German Interbank Loan rate
Lower
5.00
3.85
Canadian Treasury Bill rate
Second
0.86
4.56
Differential
Lower
Rate
7.191
3.33
3.85
ii
5.69
Swiss 3-month Deposit rate
„
2-00D
U.S. Treasury Bill rate
„
3.85 '
f
1
(0f«
IV - 5
Chart
Panel
Series
13
Upper
Netherlands
Date
June 30
Canada
Julv 19
United States
* Germany
United Kingdom
Lower
U.S. Corp. Dollar Eun>^onds Serles
U.S. Corp. DM Euro-bonds
e
14
Switzerland
F
5.03
June 30
8.04
Julv 14
9.26
M»y
Julv 7 -
Middle
United Kingdom
Canada
Lower
** Japan
7 07
6.62
June
Julv 14
Germany
United States
7.32
Julv 7
„
U.S. Corp. Aaa bonds
Upper
6.97
5.42
Switzerland
Middle
Rate
7.23
420.4 - 432.5
294.2
July 21
241.10
July 14
282.89
Julv 13
253.47
July 15
630.82
United States
July 21
241.10
* 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.
@FedFRASER