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J u l y 7, 1971 No. 513 H-13 Diviiion^pf^ntemotionol Finance Eur opt and British Commonwealth Section JI *i> ** ELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. W E E K L Y SERIES O F 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 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 I ^ I 1.6 , GERMAN MARK U.K. POUND , Below pai T JAPANESE YEN Above par FRENCH FRANC- | 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 $1.00. 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 i o . 1971 - Swiss franc revalued; new par 24 485 U S cenfs S 1970 D S 1971 D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t 1.2 CANADIAN DOLLAR BELGIAN FRANC ITALIAN LIRA 1.2 Below pai J M S D J M 1968 S M D 1969 J S D M 1970 S 1971 CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale, U.S. cents Ratio scale, U.S. cents 100 CANADIAN DUTCH DOLLAR 28 94 GERMAN MARK 27 M S 1971 * Rate not supported by Central Bank D S 1970 s D 1971 D Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages PREMIUM^ SWISS FRANC DISCOUNT M J S D M 1968 * No qu0tatl0n J S D M J 1969 S D M 1970 J S D 1971 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages Per cent per annum JAPANESE M J 1970 S D YEN M J 1971 S D Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per a n n u m PREMIUM + r DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT- 1968 1969 Devaluation of the French franc from 4.94 to 5.55 for $1.00. Can. $ rate not supported by Bank of Canada. * No q u o t a t i o n ; 19 70 1971 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 — M J S D 1968 * N o quotation. M J 1969 S D J 1970 S D 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 DISCOUNTM J S D M 1968 S 1969 • D e v a l u a t i o n of the French franc from 4.94 to 5.55 for $ 1 . 0 0 D 20 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 44 42 40 38 36 34 M J S D 1968 D S M 1969 S 1970 U.S. dollar equivalent per fine ounce 35.3 35.1 35.0 S * Market closed March 15 April 1, 1 9 6 8 M 1968 M J 1971 MARKET SUPPORTED BY GOLD POOL 1967 D s D CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages EURO DOLLAR DEPOSITS CALL'OVERNIGHT FEDERAL FUNDS r " i i\. A 1 ^ v i A„AA Y EURO DOLLAR OVER FE:DERAL. FUNDS ; L/H V V V 1W VVv M yV/V VN r 1 ' 1 i 1 i 1 I .1 1 J EURO-CURRENCIES Weekly averages Per cent per ann EURO DM EURO-DOLLAR EURO-SWISS FRANC M J S D 1968 h M J S 1969 May 10. 1971 - Changed to Overnight Euro $ Deposits D M J 1970 Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Per cent per annum Friday figures CANADA SELECTED EEC CURRENCIES* Per cer t per annum Friday figures FRANCE GERMANY NETHERLANDS 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 \V Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a n n u m Friday figures 25.50 OVERNIGHT 1-MONTH CALL 7-DAY i M J S D M 1968 J . 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 D _ M L J S 1970 D : M J S 1971 D 2 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures • Per cent per a n n u m 6-MONTH 3 MONTH 2 s D 1968 S 1969 D S 1970 D M J 1971 S D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 M O N T H DOLLAR DEPOSIT R A T E S - S E C O N D A R Y M A R K E T Wednesday figures Per i e f EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT | s 1968 1969 1970 1971 ; NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS i M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y MARKET Per cent per a n n u r Wednesday figures 14 EURODOLLAR X . DEPOSIT ADJUSTED I EURO DOLLAR U.S. C E R T I F I C A T E DEPOSIT OF DEPOSIT ADJUSTED H I EURO DOLLAR V OVER I U.S. C E R T I F I C A T E OF | DEPOSIT ADJUSTED* | rj\ : ^ ! r V I A A lr r /-V v JY \ ! M :i i l l l 1 1 1 l__Ll i 1 1 L_. i J ! l L ! i i 1 11 L l l l L , 11 J S D M 1968 J S 1969 * A d j u s t e d for R e s e r v e R e q u i r e m e n t * * A d j u s t e d for 10% M a r g i n a l R e s e r v e R e q u i r e m e n t * * *FRASER A d j u s t e d f o r 2 0 % M a r g i n a l Reserve R e q u i r e m e n t Digitized for D 12 M J 1970 S D M i i l . l l l i .1..LJ J S 1971 D 6 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO DOLLAR RATES Friday figures Per cent per a n n u m ! EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED ! \A-\- FAVOR HIRE PURCHASE TM DIFFERENTIAL M S D 1968 J 1969 s s D 1970 s D 1971 D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO-DOLLAR RATES Friday f i g u r e s EURO-DOLLAR DEPOSIT LOCAL DEPOSIT COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL 1968 FAVOR EURO DOLLAR 1970 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m Friday f i g u r e s 12 3-MONTH TREASURY BILL RATES ' U.K. LOCAL A U T H O R I T Y UNCOVERED DEPOSITS J Plotted for c o m p a r i s o n purposes 2 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures ! Per cent per a n n u m RATE D I F F E R E N T I A L A N D 3 - M O N T H FORWARD STERLING " S P R E A D IN FAVOR OF LONDON DISCOUNT FORWARD RATE IN FAVOR OF LONDON 'IN FAVOR OF NEW YORK 10 RATE DIFFERENTIAL W I T H FORWARD EXCHANGE COVER (NET INCENTIVE) i—i—i— 1 ; M J S D M 1968 J S 1969 D M J S 1970 D 1 12 M J S 1971 D 3 MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS- LONDON EURO DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE ^ EURO-DOLLAR COVERED FAVOR F R A N K F U R T DIFFERENTIAL FAVOR EURO D O L L A R 1968 1969 1970 1971 , Chart 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 IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURIC DIFFERENTIAL FAVOR EURO DOLLAR 1968 1969 1970 1971 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s ! B I L L RATES CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS PRFMIUM 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 DOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA LI i l l ! J COVERED RATE D I F F E R E N T I A L S DISCOUNT !'! i I ! ! : FAVOR CANADA TREASURY BILLS FAVOR U S PRIME FINANCE PAPER FAVOR CANADA FAVOR U S 2 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per . i n n u m n 10 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 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 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per a n n u m EURO-DOLLAR - LONDON U.S. SWITZERLAND 1967 l u J . L i L . j l 11 L u _ L i 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 L o n d o n L l l l 1971 f / : LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS CANADA U.S. SWITZERLAND 11 U.K. f EURO DOLLAR BONDS GERMANY 10 T Monthly figures U.S. CORP. DOLLAR EURO BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 111 1 .l_LLi 1 1 . 1 1 1 1 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 PA Bonds begins 9 4 70 Z 1958=100 INDUSTRIAL STOCK INDICES Ratio scale r - 280 ^\u.K. 200 II i i ! m : i 1 ! i I i i ! i i ! ! I 1 1 1 I 1 1 1 ii : i : i X—SWITZERLAND VZ^V- - : —V~^M3ERMANY / Xyvxu.s. I I I h II, i l l I I I . i l l • A i W : ; / M m 160 i i 1 i i 1 i i 1 i i JAPAN k " V x ^ . 400 / - ."I ^V\CANADA 1 1 II 1 ! 1 1 II 1968 ii 1 i i ! II 1969 1 II II 1 1 1 1 1 1 1 II M 1970 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. i M i M 1971 i M H. 13 No 5 n Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 6.0 Mar. 2 5 , 1971 6.5 Dec. 10, 1970 France 6. 75 May 13, 1971 6.5 Jan. 8, Germany 5.0 Apr. 1, 1971 6.0 Dec. 3, 1970 1971 Italy 5.0 Apr. 5, 1971 5.5 Mar. 9 , 1970 Netherlands 5.5 Apr. 5 , 1971 6.0 Aug. 4 , 1969 1969 3.0 J u l y 10, 1967 7.0 Apr. 15, 1970 5. 75 Feb. 15, 1971 5. 75 Jan. 2 0 , 1971 5.0 Jan. 19, 1971 Switzerland 3. 75 Sept.15, United Kingdom 6.0 Apr. 1, 1971 Canada 5.25 Feb. 24, 1971 Japan 5.5 May United States 4. 75 Feb. 8, 1971 13, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper * Series Date Swiss franc German mark July 2 U.K. pound Lower * " 28.06 + 0.659 " + 0.729 „ German mark Swiss franc 97.79 „ " + 0.16 + 1. 66 - 0.82 + 1.70 ii + 1.23 June 26 + 3.'01 German mark U.S. dollar Swiss franc French franc July 2 + 0.144 Gold price, U.S. dollar per ounce July 2 40.11 Upper Call Euro-$ deposits June 30 4.40 Middle Federal Funds Differential 3A 3B 4 Lower 5B + 0.199 " " Dutch guilder Canadian dollar French franc J a p a n e s e ven + 0.428 " July 2 U.K. pound 5A + 0.792 " Italian lire * Canadian dollar 2B 28.57 " Dutch guilder Belgian franc 2A - 0.083 " French franc Japanese yen IB Rate Upper Lower " " + 0.44 II " 5.07 - 0.67 Euro-currencies: Euro $ Euro DM Euro Swiss Fr. Julv 2 Japan, Unconditional Money June 25 6.50 " 5.94 " U.K., 2-day Local Author. Deps. Canada, Day-to-day Loans France, Day-to-Day Money Germany, Call Money Netherlands, Call Money * F l o a t i n g r a t e s i n U.S. + 0.45 + 1.96 cents | 5.58 7.21 4.88 June 23 2.65 July 2 7.38 " 7.38 June 18 2.10 IV-3 Chart Panel 6A Rate Date Series July 2 4.75 " 6. 12 Euro-$ 3-month Rate " 6.50 Euro-S 6-month Rate " 7.00 June 30 6.50 Euro-S 7-Day Rate Euro-$ 1-month Rate 6B 7A 7B Upper Euro-$ 3-month Deposits U.S. Certificate of Deposits " Lower Differential M Upper Euro-$ 3-month Deposits " 6.50 8.12 Lower 8B Upper Euro-$ 3-month Deposits (Adj.) " » 5.79 Differential: on Adj. Euro-$ Deposits " + 2.33 " + 0.71 Euro-$ 3-month Deposits June 18 7.06 Hire Purchase Deposits (covered) " 5.62 Lower Differential " - 1.44 Upper Euro-$ 3-month Deposits " 7.06 Local Authority Deposits (covered) " 5.62 Differential " - 1.44 Lower 9A 9B + 0.92 U.S. Certificate of Deposits (Adj.) on Unadj. Euro-$ Deposits 8A 5.58 • U.S. Treasury Bill rate June 25 4.76 U.K. Treasury Bill rate " 5.53 Local Authority Deposit (uncovered) " 6.34 Upper Spread (+= favor London) Lower Net Incentive (+= favor London) 3-month Forward Pound June 25 " + 0.77 -0.87 - 0.10 " IV- 4 Chart Panel Series 10A Upper Euro-) Deposits (covered) Date June 30 7.00 " 7.00 German Interbank Loan rate 10B 11 Lower Differential " 0.0 Upper Euro-$ Deposits (covered) " 4.99 Swiss Deposit rate " 3.50 " - 1.49 Lower Differential Upper Canadian Finance Paper July 2 4.00 " 5.14 U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) 12A Rate " 3.33 " 5.50 Second Bill rate differential " - 1.81 Forward Canadian dollar " + 1.10 Third Net incentive on bills " - 0.71 Bottom Net incentive on Finance Paper " + 0.40 Upper Lower U.K. Treasury Bill rate July 2 5.53 U.S. Treasury Bill rate " 5.14 German Interbank Loan rate " 7.00 Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate 12B April July 2 7.655 3.33 5.14 Euro-$ Deposits 6.50 Swiss 3-month Deposit rate 3.50 U.S. Treasury Bill rate 5.14 IV - 5 Chart Panel Series 13 Upper Netherlands Junt* 18 7. 1 1 Canada Jttm* lb b„ 86 " 6.. 07 Date Rate United States Switzerland Middle * Germany United Kingdom June 18 5.38 J mi f 23 8. 28 Juno 25 9. 32 Euro-do liar bonds U.S. Corp. Dollar Euro-bonds Lower " 7.58 May 8.24 " 7. 34 U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper July 2 401.4 Germany Junv 30 266.20 United States July 2 222.21 United Kingdom Middle Canada Lower 7,78 Switzerland ** Japan United States " 216.15 June 24 219.60 June 28 444.58 July 2 222.21 * 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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