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June 16, 1971 No. 510 H-T3 ^ Division of International Finance Europe and British Commonwealth Section .vv - , X .,A / t 6*s>- B d l . ^ • ^ - ' 3 "SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. 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.-Swltzerland 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. </ Chart 1A SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par SWISS FRANC 1.6 f GERMAN MARK U.K. POUND Par Below par Above par FRENCH FRANC- JAPANESE YEN I U.S. DUTCH GUILDER Below par 1968 1969 Devaluation of the French franc f r o m 4.94 to 5.55 for $1 00 Rate not supported by Central Bank. Revaluation of the DM f r o m 25.00 to 27.32 • ' — i in n U.S. U.S. cents. cents. May 10, 1971 - Swiss franc revalued; - cents. i; new par 24.485 U.S. 1970 1971 w Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above pa; 1.2 CANADIAN DOLLAR BELGIAN FRANC , ITALIAN LIRA 1.2 Below pai M S J D 1968 S S D 1969 S D 1970 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 _ l 94 j 27 J s 1971 * Rate not supported by Central Bank D S 1970 D J 1971 S D Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM- GERMAN MARK SWISS FRANC U.K. POUND VX DISCOUNTM J S D M 1968 * No quotation. J 1969 S D M J 1970 S D M J 1971 S D Chart 28 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 DISCOUNTM J S D 1968 J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * Can. $ rate not supported by Bank of Canada. * * * No quotation D 32 M J 1970 S S D 1971 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— M J S D 1968 * N o quotation. M J 1969 S D M J 1970 S D M J 1971 S D Chart 38 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 1968 M J S 1969 "Devaluation of the French franc from 4.94 to 5.55 for $1.00 D J 1970 S D M J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar e q u i v a l e n t per fine ounce Week's average of afternoon fixings MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce I I I ,1 I I I I I I I I I I M * M a r k e t closed March 15-April 1, 1968 J 1967 S D » 1968 CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum EURO-DOLLAR DEPOSITS OVERN GHT T FEDERAL FUNDS EURO-CURRENCIES Weekly averages Per cent per annum 1 r S D EURO DM EURO-DOLLAR EURO-SWISS F R A N C M J S D M 1968 May 10, 1971 - J S 1969 Changed to Overnight Euro $ Deposits. D M J S 1970 D M J 1971 ] 12 Chart 5B CALL MONEY RATES FOREIGN C U R R E N C I E S * Per cent per anm SELECTED EEC C U R R E N C I E S * * Per cent per annum Friday figures FRANCE 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 Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum OVERNIGHT 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 D M J S 1970 D M J S 1971 D Per c e n t per a n n u m ,6-MONTH 3-MONTH M S D 1968 M J 1969 S D M S 1970 D M S 1971 D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per c PI.: EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s 1968 s s 1969 1970 s 1971 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 - M O N T H 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 a EURO DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E OF M 1 I I 1 I I 1 II EURO DOLLAR I 1 I II 1 I I I I I DEPOSIT ADJUSTED I I I I I I I I I I I OVER U.S. C E R T I F I C A T E O F DEPOSIT ADJUSTED -L-1—1 1 1 1 1 1 I I 1 1 1-L.I I I I Li I I i l l 1 1 . 1 - L l . L 1.1 1 .L.I. 1 ! J . 1 J _ L l 1 1 ± _ U M J S D M 1968 J 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 * * * A d j u s ( e d for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t S D M J 1970 S D M J 1971 S D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO-DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED j T FAVOR HIRE PURCHASE m DIFFERENTIAL : FAVOR EURO DOLLAR j 1 10 s D 1968 M S 1969 D M J 1970 S D M S 1971 D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO-DOLLAR RATES Friday figures Per cent • 14 12 EURO DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT 4 2 0 T FAVOR LOCAL AUTHORITY 0 2 4 6 8 M 10 FAVOR EURO DOLLAR DIFFERENTIAL S D 1968 M J 1969 S D M S 1970 D S 1971 D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m 12 3 - M O N T H TREASURY BILL RATES U.K. LOCAL A U T H O R I T Y DEPOSITS UNCOVERED 10 NEW YORK Plotted for c o m p a r i s o n purposes INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM .Friday f i g u r e s Per cent per a n n u m RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT ! FORWARD RATE 2 IN FAVOR OF L O N D O N (IN FAVOR OF NEW YORK j RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) 12 S D 1968 M J 1969 S D M J 1970 S D M S 1971 D C h a r t 10A 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 R A T E ^ EURO-DOLLAR COVERED DIFFERENTIAL J S D 1968 M J 1969 S FAVOR FRANKFURT j FAVOR EURO DOLLAR | D S D 1970 1971 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 IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL M J S D 1968 M S 1969 D S 1970 s D 1971 D j 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per a n n u m - — I 10 B I L L RATES PAPER TV UNITED STATES TREASURY BILLS TREASURY BILLS _ i B I L L RATE DIFFERENT IAL AND FORWARD CANAIDIAN DOLLAR W | ^ FOR*fARD RATE V- ! 1 I 1 ! . . vV M | DISCOUNT TREASURY BILLS FAVOR U S PRIME FINANCE PAPER I i 1 1 iJ FAVOR CANADA COVERED RATE DIFFERENTIALS . PREMIUM aA" V J GROSS SPREA D IN FAVOR OF CANADA 1 1 1 1 1 I I 1 1 1 1 1 1 1 I I 1 1 1 .... . FAVOR CANADA FAVOR U S Chart 12A SELECTED SHORT-TERM INTEREST RATES* V GERMANY I 1 1 1 I I 1 1 I 1 - V JAPAN l \ s JLAU.S. \ / \J N. / \ / CANADA V | V - 1 ! 1 1 i 1 1 1 1 1I 1I 1 1 1 1 1 ! 11 111 1 1 1 1 1 1 1 1 1968 1969 11 i 111 m 111 1970 * 3 - m o n t h t r e a s u r y b i l l 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) " 1 ! ! I ! 1 II 1 II 1971 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * EURO-DOLLAR - LONDON U.S. SWITZERLAND 1967 1969 * 3 - m o n t h t r e a s u r y 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 /) r Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m 1 10 NETHERLANDS CANADA U.S. SWITZERLAND 11 U.K. ^ ^ F E U R O - D O L L A R BONDS GERMANY 10 Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS -LLLLLl i 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 INDUSTRIAL STOCK INDICES "~"l 320 280 U.K. 200 j 160 SWITZERLAND 400 - 320 4 240 GERMANY U.S. 160 ^JAPAN 11 ** r 1 / \ r X ! - ^V\CANADA 1 i 1 1 1 1 ! ! 1 1 1 M 1968 1 I I 1 I I 1 I l 1969 1 1 1 1 1 1 1 1 1 1 1 ! 1 1 1 1 1 1 1 1 1 ! 1970 * Japan index of 225 i n d u s t r i a l and other stocks traded on the Tokyo exchange. * * Japan index of all industrial and other stocks t r a d e d on the first section of the Tokyo Stock Exchange. 1971 H. 13 No. 510 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate Previous Rate In Effect Since In Effect Since E.E.C.: 1971 6.5 Dec. May 1 3 , 1971 6. 5 Jan. 8, 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 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, Japan 5. 5 May 8, 1971 5. 75 Jan. 2 0 , 1971 United Stales 4.75 Feb. 5.0 Jan. Belgium 6.0 Mar. 2 5 , France 6. 75 Germany 1 3 , 1971 J 10, 1970 197i 1971 19, 1971 r / Z IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc German mark June 11 - 0.104 U.K. pound June 11 + 0.801 Japanese yen June 11 June 4 June 11 + 0.516 + 0.718 + 0.728 Belgian franc June 11 + 0.665 + 0.086 Lower * Italian lire Canadian dollar German mark Swiss franc 2A " June 11 " U.K. pound 26 Dutch guilder Canadian dollar French franc 3A German mark U.S. dollar Swiss franc 3B French franc 4 Gold price, U.S. dollar per ounce Upper Middle Lower 5B Upper Lower O v e r n i g h t Euro-$ d e p o s i t s Federal Funds Differential Euro-currencies: Euro $ june 4 Euro DM June 4 Euro Swiss Frjune 4 Japan, Unconditional Money U.K., 2-day Local Author. Deps. - 1.16 " + 2.13 + 1.30 " - 0.26 June 11 + 1.65 " . + 0.98 + 2.37 " + 0.87 " June 11 June 9 .. 39.98 6.69 4.55 4.77 - 0.22 & June 11 & June 11 6. 25r - - 6 . 1 7 ! 0.88r -- 2.40 & June 11 1.25r -- June 4 " 6.50 6.56 June 9 June 4 2.80 6.88 Germany, Call Money June 11 June 4 6.62 1.00 U . S . Cents Canadian d o l l a r German mark Dutch g u i l d e r for*FRASER * May 7 / 2 1 - - C a l l Euro-$ changed t o O v e r n i g h t Euro-$ Digitized " Canada, Day-to-day Loans France, Day-to-Day Money Netherlands, Call Money *1B + 1.78 + 2.06 M II 5A Rate Dutch guilder French franc IB Date 98.03 Ml 2.10 IV-3 Chart Panel 6A 6B 7A Upper 7B Date E u r o - $ O v e r n i g h t Rate June 11 : 2.00 Euro-$ 1-month Rate " : 7. 12 Euro-$ 3-month Rate " 7. 12 Euro-S 6-month Rate " 7.38 June 9 7. 25 U.S. Certificate of Deposits " 5.30 Lower Differential " + 1.95 Upper Euro-) 3-month Deposits " 7.25 Euro-) 3-month Deposits (Adj.) » 9.06 U.S. Certificate of Deposits (Adj.) " 5.53 Lower Euro-) 3-month Deposits Differential: on Adj. Euro-) Deposits on Unadj. Euro-) Deposits 8A Upper Euro-) 3-month Deposits Hire Purchase Deposits (covered) 86 Lower Differential Upper Euro-) 3-month Deposits Local Authority Deposits (covered) Lower 9A 9B Upper Lower * Rate Series Differential May 21 " 28 May 21 28 May 21 28 May 21 28 May 21 28 May 21 28 + 3.53 + 1.72 - - 6.88 7. 63 5.59 6.07 1.29 1.56 6.88 7.63 5.47 5.94 1.21 1.69 U.S. Treasury Bill rate June 11 4. 56 U.K. Treasury Bill rate " 5.53 Local Authority Deposit (uncovered) June 4 Spread (+= favor London) 6.81 June 11 + 0.97 3-month Forward Pound *' - 1.16 Net Incentive (+= favor London) " - 0.19 1 May 7 / 2 1 - - C a l l changed t o O v e r n i g h t E u r o - $ . " June 9 IV-4 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Lower Differential Upper Euro-) Deposits (covered) Swiss Deposit rate " Date June 9 5.31 " 6.38 " + 1.07 " 4.95 German Interbank Loan rate 10B 11 Lower Differential Upper Canadian Finance Paper 3.88 U.S. Treasury Bill rate " 4. 56 Canadian Treasury Bill rate " 3.00 June 11 5.13 _ Bill rate differential " - 1.56 Forward Canadian dollar " + 1.27 Net incentive on bills " - 0.29 Bottom Net incentive on Finance Paper " + 0.08 Upper U.K. Treasury Bill rate June 11 5.53 U.S. Treasury Bill rate " 4. 56 German Interbank Loan rate " 6.38 Third 12A " 3. 50p - 1.45 June 11 U.S. Prime Finance paper (not plotted) Second Rate Lower 12B Japanese Average rate April 7.655 Canadian Treasury Bill rate June 11 3.00 U.S. Treasury Bill rate June 11 4.56 Euro-$ Deposits " 7.12 Swiss 3-month Deposit rate " 3.50 June 11 4 . 56 U.S. Treasury Bill rate IV-5 Chart 13 Panel Upper Series Date Netherlands May 28 June 4 7.18 7.12 Canada June 9 6.74 " 5.91 United States Switzerland Middle Lower * Germany June 4 May 28 June 4 9.41 Euro-dollar bonds June 11 7.72 U.S. Corp. Dollar Euro-bonds April 8.12 U.S. Corp. DM Euro-bonds Upper Switzerland 7.17 May June 11 Germany United States Middle Lower 5.33 8.04 United Kingdom U.S. Corp. Aaa bonds 14 Rate " 6 June 11 7.78 393.4 273.20 226.45 United Kingdom " 206.56 Canada " 3 217.74 ** Japan United States June 11 422. 15 " 226.45 * 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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