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July 28, 1971 No. 516 H-13 ^ H 1 Division oHpl^mationol Finonce Europe and British Commonwealth 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 - 34lonth Forward Exchange Rates, Matfor 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 Chart 6A and B Chart 7A and B Chart 8A and B Chart 9A and B Chart 10A and B Chart 11 Chart 12A and B - Call Money Rates London: Euro-S Deposit Rates New York - London: Yields on U.S. Dollar Funds London: Covered Yields on U.S. Dollar Funds Interest Arbitrage: United States-United Kingdom Interest Arbitrage: U.S.-Germany and U.S.-Switzerfand Interest Arbitrage: United States-Canada 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 Per cent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par U.S. Below par Above par FRENCH FRANC- JAPANESE YEN Par U.S. DUTCH GUILDER Below par M J S D 1968 * * * * * * * * * M J S D M 1969 Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00. 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 f r a n c revalued; new par 24.485 U.S. cents. J 1970 S D M J 1971 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages • Percent Above par 1.2 CANADIAN DOLLAR 1 i K BELGIAN FRANC ITALIAN LIRA 1.2 Below par M S D S 1968 D J 1969 S D M 1970 J D 1971 CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale, U.S. cents Ratio scale, U.S. cents 30 100 98 CANADIAN DOLLAR 96 DUTCH 28 94 GERMAN MARK S 1971 * Rate not supported by Central Bank D S 1970 D M S 1971 Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per a n n u m Weekly averages PREMIUM GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Per cent per a n n u m Weekly averages - i IAPAN ESE YlEN - l PREM IUM + 1 1 1 M - i 1 1 - r V\ a/] - 1 k - J 1970 1 S 1 1 D 1 1 M i i 11 J 1971 11 S D Chart 2 8 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 26 DISCOUNT- M J' S 1966 D M J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $ 1 . 0 0 . ## C a n . $ 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 FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM 20 GERMAN MARK U.S. DOLLAR DISCOUNT— J S D 1968 * N o quotation. M J 1969 S D M J 1970 S D M J 1971 S D 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC DISCOUNT— M J S D 1968 M J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $ 1 . 0 0 D M J 1970 S D M J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce U.S. dollar equivalent per fine ounce * M a r k e t closed March 15-April 1, 1 9 6 8 CHART5A CALL MONEY RATES DOLLAR FUNDS Per c e r t per a n n u m Weekly averages EURO-DOLLAR DEPOSITS CALL'OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages Per cent per annum EURO DM . EURO DOLLAR " EURO-SWISS FRANC S * May 10, 1971 - s D 1968 1969 Changed to Overnight Euro $ Deposits. 1970 D S 1971 D Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Per cent per annum JAPAN SELECTED EEC CURRENCIES Per cent per annum Friday figures FRANCE 1968 1969 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. 1971 LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per annum Friday figures 25.50 OVERNIGHT 1-MONTH CALL 7-DAY M S D 1968 S 1969 * May 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 S S 1970 1971 D LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per a n n u m Friday figures ! I i 1 } / 1 1 1 \ i f U 11 A \ 1 A € i MONTH y r ! : • ; 1 U .! 1 t i 1 1 i 1 1° . J 1 I : ' : 1968 ' —4 - ! M H | J 1 • i 1 \ 3-MONTH i 13 1 ! I : 1969 S D : ! ! : ! i j .L M M J 1970 ; i i s ! ' I I . i i i I i ! I i ! ! I I i D M J 1971 S D 12 Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s 1968 s 1969 D S 1970 D 1971 Chart 7B NEW YORK-LONDON: COSTS 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 14 EURO-DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO-DOLLAR OVER | U.S. CERTIFICATE OF DEPOSIT ADJUSTED i l l l L I . I 1 i l L.iJ_Li l J i s 1970 * Adjusted tor Reserve Requirement * * Adjusted for 10% Marginal Reserve Requir * * * Adjusted for 20% Marginal Reserve Requirement 1 1 X i 1 i 1 i ... J 1971 S D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS «r HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per 14 12 EURO DOLLAR DEPOSIT 10 |Y/v^HIRE PURCHASE I COVERED 8 | 6 4 2 0 T FAVOR HIRE PURCHASE 0 2 4 6 8 DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1968 J 1969 S D J 1970 S D S 1971 Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures 14 12 EURO-DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT COVERED 4 2 0 FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL M J 10 FAVOR EURO-DOLLAR S D 1968 M S 1969 D D 1970 J 1971 S D Y-: INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 1 r 3 - M O N T H TREASURY BILL RATES i ! U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED NEW YORK * Plotted for comparison purposes Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures | Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING ^ S P R E A D IN FAVOR OF LONDON + PREMIUM DISCOUNT FORWARD RATE \ \ V \ T I 2 IN FAVOR OF LONDON I 'IN FAVOR OF NEW YORK | RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) ! S 1968 J 1969 s D J 1970 S s D 1971 3 MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE p g r ce Wednesday rates IN TERMS OF DM I GERMAN INTERBANK LOAN RATE EURO DOLLAR COVERED FAVOR FRANKFURT DIFFERENTIAL FAVOR EURO DOLLAR 1968 1969 1970 1971 j C h a r t 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Per cent per a n n u m W e d n e s d a y rates IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA BILL RATES V CAN. FIN. CO. PAPER , Vi CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS : PREMIUM B I L L RATE D I F F E R E N T I A L A N D F O R W A R D C A N A D I A N D O L L A R FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA DISCOUNT FAVOR C A N A D A C O V E R E D RATE D I F F E R E N T I A L S TREASURY BILLS FAVOR U S FAVOR CANADA , PRIME FINANCE PAPER V M J S D M 1968 J H S 1969 K D j A f \ M J S 1970 D M J S D 1971 n r\ t SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m GERMANY U.K. U.S. 9 JAPAN U.S. CANADA 1967 1968 1969 1970 * 3 m o n t h t r e a s u r y bill rates for all c o u n t r i e s except J a p a n l A v e r a g e 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 SELECTED SHORT-TERM INTEREST RATES' Per cent per a n n u m EURO DOLLAR - LONDON SWITZERLAND .11 U.I I I I i.l I 1967 1969 3 m o n t h treasury bill 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 London 1971 LONG-TERM BOND YIELDS Per cent per a n n u m Weekly figures 10 - NETHERLANDS CANADA v/Vvj SWITZERLAND be.- 1 ^ I 1 1 1 I I 1 I I 1 1 1 i 1M1 11 * 7 7 7 7 1 " i 11 i i 111 111 1 I I 1 I I 1 I I 1 1i i ii ii i i I i r EURO-DOLLAR BONDS I I I I I I I I I I I 1 I 11 I 1 11 1 I I I 1 I 1 I I I I I I I I I I I I I I I I 5 10 Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS I I I I II I 1 I I 1967 I I I I M I II I I 1968 II I 1 I I I I I I I 1969 1 I I I I II 1 I I I 1970 -LI I I I I I 1 I I 1 1 4 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 INDUSTRIAL STOCK INDICES 320 280 U.K. 200 160 400 SWITZERLAND 320 GERMANY 240 U.S. 160 - ^ y A P A N - z ~/y^V - V i i 1 i i 1 M 1 i i ii 1968 1 i i 1 i i 1 i i 1969 VCANADA 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1970 1971 * 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. H. 13 No. 516 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 6.0 France Germany Mar. 25, 1971 6.5 Dec. 10, 1970 6.75 May 13, 1971 6.5 Jan. 8, 1971 5.0 Apr. 1, 1971 6.0 Dec. 3, 1970 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 July 10, 1967 United Kingdom 6.0 Apr. 7.0 Apr. 15, 1970 Canada 5.25 Feb. 24, 1971 5.75 Feb. 15, 1971 Japan 5.25 July 28, 1971 5.5 May United States 5.00 | July 16, 1971 4.75 Feb. 13, 1971 1, 1971 8. 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Lower Series Date Rate Swiss franc July 23 - " U.K. pound " 28.82 + 0.778 French franc " + 0.727 Japanese yen " + 0.732 Dutch guilder IB 2ft 13 Belgian franc it + 0.739 Italian lire •> + 0.302 Canadian dollar 98.13 July 23 Swiss franc » + + U.K. pound " Dutch guilder „ + 2.17 Canadian dollar » + + + 1.31 p.3/ 4.93 + + 1.19 0.80 German mark 2A • 2B French franc 3A Tapan y e n T i l l y 16 July 23 German mark " U.S. dollar 3B 4 Upper •• + 2.21 + 1.49 July 23 41.29 July 21 O v e r n i g h t _$ deposits Differential Euro-currencies: Euro $ " 6.10 4.90 2.30 " Euro Swiss Fr. Japan, Unconditional Money 6. sn .Tilly 16 U.K., 2-day Local Author. Deps. 5.62 " Canada, Day-to-day Loans France, Day-to-Day Money Julv 1421 3 23 S 25 ?6 i:4i Germany, Call Money * 83 6.50 Netherlands, Call Money ^Floating rates in U.S. cents 0.05 - July 23 Euro DM 5.43 5.46 " Middle Lower 0.64 » Lowpr Upper - Swiss franc Federal Funds 5B 0.40 1.75 French franc Gold price, U.S. dollar per ounce 5A 0.115 German mark **Jap. yen " June 19 + 5.85 r 26 4.86 r 3 16 S:82Z 4.93 r n 3.50 f, IV-3 Chart Panel 6A 6B Series Date 7 day Euro-) Call Rate July Rate 23 Euro-* 1-month Rate 6.25 Euro ) 3-month Rate it 6.38 7.06 11 Euro-S 6-month Rate 7A 7B Upper Euro ) 3-month Deposits July 21 U.S. Certificate of Deposits " 5.79 Differential " 40.46 Upper Euro-} 3-month Deposits " 6.25 Euro-) 3-month Deposits (Adj.) Lower Differential: on Adj. Euro ) Deposits on Unadj. Euro-) Deposits Upper Euro-) 3-month Deposits 7.81 " 6.05 " +1.76 +0.20 „ July Hire Purchase Deposits (covered) 8B 9-16 6.38 6.38 9-16 5.76 6.02 Lower Differential 9-16 -0.62-0.36 Upper Euro-) 3-month Deposits 9-16 6.38 6.38 Local Authority Deposits (covered) 9-16 5.57 5.67 > Differential 9-16 Lower U.S. Treasury B i l l rate 9A U.K. Treasury B i l l rate Local Authority Deposit (uncovered) 9B 6.25 Lower U.S. Certificate of Deposits (Adj.) 8A 6.25 » Upper Lower July 23 -0.81-0.71 5.28 5.56 " July 16 6.09 Spread (+= favor London) " 23 + 0 . 28 3-month Forward Pound " 23 -0.96 Net Incentive (+= favor London) " 23 -0.68 IV-4 Chart Panel Series Date 10A Upper Euro-) Deposits (covered) July 21 German Interbank Loan rate 10 B Lower Differential Upper Euro-) Deposits (covered) 11 Upper Second 12A " +1.83 4.64 3.50P -1.14 Differential Canadian Finance Paper 5.79 7.62 Swiss Deposit rate Lower Rate July 23 4. 75 U.S. Treasury B i l l rate 5.28 Canadian Treasury B i l l rate 3.45 U.S. Prime Finance paper (not plotted) 5.56 Bill rate differential -1.83 Forward Canadian dollar +1.28 Third Net incentive on b i l l s -0.55 Bottom Net incentive on Finance Paper +0.47 Upper U.K. Treasury B i l l rate Lower 12B July 23 5.56 U.S. Treasury B i l l rate 5.28 German Interbank Loan rate 7. 62 Japanese Average rate Hay 7.640 Canadian Treasury B i l l rate July 23 3.45 U.S. Treasury B i l l rate " 5.28 Euro-S Deposits " 6.38 Swiss 3-month Deposit rate " 3.50P U.S. Treasury B i l l rate 5.28 -:A IV-5 •> Chart Panel Series Date 13 Upper Netherlands July 16 Canada United States Middle * 14 Upper 5.89 16 5.40 Germany " 15 8.34 United Kingdom " 16-23 9.03 " 23 U.S. Corp. Dollar Euro-bonds 8.30 «• 7.25 U.S. Corp. Aaa bonds H 7.64 Switzerland United Kingdom Canada * * Japan United States July 23 " 407.4 15 268.20 " 23 July 16 Julv 23 221.84 " 9.31 7.58 June U.S. Corp. DM Euro-bonds United States Lower m It July 21 " Germany Middle 7.47 Switzerland Euro-dollar bonds Lower " Rate mir 216. 73 15 i. 19 457.65 " 23 221.84 * New -- Average yield of A L L 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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