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t June 2, 1971 No. 508 H-13 Division of international Finance Europe and British Commonwealth Section ' i JU, / \ f (bei •% 6 " " O&pi-b-t. n - w j J u i /V/3 SEcicTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM z 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-S 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 12A 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. 3 Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above pai SWISS FRANC 1.6 GERMAN MARK U.K. POUND Above par FRENCH FRANC- JAPANESE YEN with DUTCH GUILDER Below par M J S D M 1968 * * * * * * * * * * J 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 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 u Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par 1.2 CANADIAN DOLLAR TSpPr M BELGIAN FRANC ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. $ rate not supported by Bank of Canada. S D M J 1970 S D M J 1971 S D Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR ! ' ! i ! ! j ; Weekly averages Per cent per annum PRE* AIUM + ! j i / V C 1 A J to \ ASW nss A A V ) \ z I z J U.K. &/ f i RANG 1 ! ; /,»: lz ' |V A V x I 1ERM/kN MA RK V POUNI J x r V j | i I I I ! | I i ! II : ! 1 1 M J S ii 1 1 1 D 1968 M 1 1 J 1969 S DISCO!UNT1 I I I I D M ,, i i i ii I J S 1970 D M i i i J 1971 S D 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUM* | DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC i M J S D 1968 M J DISCOUNT- 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 q u o t a t i o n D 32 M S 1970 S 1971 Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures' Per cent per annum 24 PREMIUM 20 GERMAN MARK V U.S. DOLLAR DISCOUNT— M J S D 1968 * N o quotation. S M 1969 D S 1970 D M J 1971 S D Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per c e n t per a n n u m PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNT— M 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 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 40 38 36 34 M J S D M 1968 S J M D J 1969 S 1970 U.S. dollar equivalent per fine ounce 35.0 * Market closed March 15-April 1, 1 9 6 8 J 1967 S D 1968 s M 1971 MARKET SUPPORTED BY GOLD POOL M D D CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages OVERNIGHT EURO-DOLLAR DEPOSITS FEDERAL FUNDS 1 1 v 1y l / v 1 EURO DOLLAR OVER FEiDERAL FUNDS V vv iWV \Af\f\i J < \iyj [ f y A AJ w I/V t ; ; ; . . i i : . . , . EURO-CURRENCIES Weekly averages EURO DM EURO-DOLLAR 1 EURO-SWISS FRANC M J S D 1968 h May 10, 1971 - M J S 1969 Changed to Overnight Euro $ Deposits. D M J S 1970 D M J S 1971 D CALL MONEY RATES FOREIGN CURRENCIES* Per cent per annum CANADA LECTED EEC CURRENCIES Per cent per a n n u m 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 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m 10 CALL OVERNIGHT 1968 1969 * May 1 2 / 7 1 - c h a n g e d to Overnight Euro-Dollar Deposits 1970 1971 Chart 6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per c e n t per a n n u m ,6 MONTH 3 MONTH J s uD 1968 " J 1969 S DD M J S 1970 D D M J S 1971 C h a r t 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m H 14 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT S s D 1968 1969 s 1970 1971 D 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 f i g u r e s EURO DOLLAR Per cent per a n n u m DEPOSIT ADJUSTED' - EURO DOLLAR DEPOSIT U.S. C E R T I F I C A T E OF DEPOSIT ADJUSTED' 1 EURO DOLLAR OVER U.S. C E R T I F I C A T E OF D E P O S I T D 1968 S 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 t 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 1970 D S 1971 D 12 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND Friday f i g u r e s EURO DOLLAR RATES Per cent per 14 12 EURO DOLLAR DEPOSIT 10 — ^ — i W = 8 HIRE PURCHASE COVERED I 6 4 2 0 FAVOR HIRE PURCHASE 0 2 4 6 8 DIFFERENTIAL ! FAVOR EURO DOLLAR S S D 1968 1969 D M S 1970 D M S 1971 D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per 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 S D 1968 M S 1969 0 M S 1970 S 1971 D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per 3 - M O N T H TREASURY BILL RATES U.K. LOCAL A U T H O R I T Y DEPOSITS UNCOVERED ! LONDON NEW YORK s S D 1968 * Plotted for c o m p a r i s o n purposes 1969 D M S 1970 S D 1971 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 I PREMIUM DISCOUNT FORWARD RATE IN FAVOR OF LONDON IIN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M S D 1968 M J 1969 S D S 1970 S D 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 RATE ^ EURO-DOLLAR 4 DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO DOLLAR S s D 1968 1969 D S 1970 S D 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 -I EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL , FAVOR EURO DOLLAR M S D 1968 M J 1969 S D M S 1970 S D 1971 D 2 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per a ILL RATES CAN. FIN. CO. PAPER 'A CANADIAN > TREASURY BILLS UNITED STATES TREASURY BILLS PREMIUM B I L L RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS PRIME FINANCE PAPER M S D 1968 J 1969 S D J 1970 s S 1971 D SELECTED SHORT-TERM INTEREST RATES* Per c e n t 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 b i l l rates for all c ou n t r i e s except Japan(Average rate on bank l o a n s and d i s c o u n t s ) and G e r m a n y l 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 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 L o n d o n 1971 LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND 11 U.K. — k 7 * EURO-DOLLAR BONDS — GERMANY 10 Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1967 1968 1969 1970 1971 * New series for S w i t z e r l a n d s t a r t s 8-2-68, U.S. Corp. Dollar Euro-Bonds and U S. Corp. DM Euro- Bonds starts 12-70, Euro Dollar Bonds starts 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 [- ^JAPAN L - r * i i ! "VXCANADA * 1 : 1 I I 1 ! ! 1 1 I '1 1 1968 1 I 1 1 I! 1969 1 II ! 1 1 1 1 1 1 I I 1 II ! 1 1970 * Japan index of 225 i n d u s t r i a l and o t h e r stocks t r a d e d on the 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 t h e f i r s t section of the Tokyo Stock Exchange. 1 1 1 1 II 1971 1 1 I H. 13 No. 508 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 6.0 Mar. 25, 1971 France 6.75 May 13, 1971 Germany 5.0 Apr. 1, 1971 Italy 5.0 Apr. 5, 1971 Netherlands 5.5 Apr. 5, 1971 6.5 Dec. 10, 1970 6.5 Jan. 8, 1971 6.0 Dec. 3, 1970 5.5 Mar. 9, 1970 6.0 Aug. 4, 1969 Switzerland 3.75 Sept.15, 1969 3.0 July 10, 1967 United Kingdom 6.0 Apr. 1, 1971 7.0 Apr. 15, 1970 Canada 5. 25 Feb. 24, 1971 5. 75 Feb. 15, 1971 Japan 5.5 May 8, 1971 5. 75 Jan. 20, 1971 United States 4.75 Feb. 13, 1971 5.0 Jan. 19, 19 71 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Series Date Swiss franc May 28 - 0.173 May 28 + 0.786 Rate German mark U.K. pound Lower Dutch guilder - - French franc May 28 Japanese yen " Belgian franc IB May 28 Italian lire " Canadian dollar German mark 2A " + 1.96 + 3.02 " - 1.01 Dutch guilder Canadian dollar French franc 3B 4 5A . Upper M French franc " * Overnight Euro-$ d e p o s i t s Middle Euro-currencies: Euro $ * May 28 May 26 " " Japan, Unconditional Money May 28 " " May 21 + + + + 3.97 0.71 3.27 1.23 40.85 5.00 4.68 + 0.32 6.91 0.84 1.34 6.50 U.K., 2-day Local Author. Deps. " 6.50 Canada, Day-to-day Loans " 26 2.19 France, Day-to-Day Money " 28 6.25 Germany, Call Money " 28 " 21 0.25 Netherlands, Call Money May- 7 / 2 1 - - changed t o O v e r n i g h t Euro $ + 0.27 Swiss franc Lower Lower " " Federal Funds Differential Upper + 2.43 + 1.14 Mav 28 Euro DM Euro Swiss Fr. 5B " U.S. dollar Gold price, U.S. dollar per ounce + 0.244 May 28 ii German mark + 0.732 - - U.K. pound 3A + 0.725 - - Swiss franc 2B - - + 0.493 0.97 IV-3 Chart Panel 6A * Euro-$ Overnight Rate 6B 7A 7B Date Series Upper Euro-$ 1-month Rate " 7.81 Euro-$ 3-month Rate " 7.50 Euro-$ 6-month Rate " 7.62 Euro-$ 3-month Deposits May 26 5.25 Lower Differential " + 1.81 Upper Euro-$ 3-month Deposits " 7.06 8.82 Upper Euro-$ 3-month Deposits (Adj.) » U.S. Certificate of Deposits (Adj.) » Differential: on Adj. Euro-$ Deposits " + 3.68 " + 1.92 Euro-$ 3-month Deposits " Lower Differential " Upper Euro-$ 3-month Deposits » Differential » * 5.30 - 1.70 7.00 5.24 - 1.76 May 28 4.26 May 21 6.56 U.K. Treasury Bill rate Local Authority Deposit (uncovered) 7.00 May 14 Local Authority Deposits (covered) U.S. Treasury Bill rate 9A 5. 14 May 14 Hire Purchase Deposits (covered) Lower 9B 7.06 " on Unadj. Euro-$ Deposits 8B 4.50 May 28 U.S. Certificate of Deposits Lower 8A Rate 5. 66 Upper Spread (+= favor London) " + 1.40 3-month Forward Pound " - 0.91 Lower Net Incentive (+= favor London) " + 0.49 May 7 / 2 1 - - changed t o O v e r n i g h t E u r o - $ IV-4 Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) May 26 Lower 10B 11 5.03 German Interbank Loan rate " 6.12 Differential " + 1.09 Euro-$ Deposits (covered) " 4.10 Swiss Deposit rate " 3. 50p Lower Differential " Upper Canadian Finance Paper * Upper - 0.60 4.00 May 28 U.S. Treasury Bill rate " 4.26 Canadian Treasury Bill rate " 2.97 U.S. Prime Finance paper (not plotted) 12A Rate 5.00 May 28 Second Bill rate differential Forward Canadian dollar " + 1.17 Third Net incentive on bills " - 0.12 Bottom Net incentive on Finance Paper " + 0.17 Upper U.K. Treasury Bill rate # Lower 12B •• May 28 - 1.29 5. 66 U.S. Treasury Bill rate " 4.26 German Interbank Loan rate " 6.12 Japanese Average rate March Canadian Treasury Bill rate May 28 7.663 2.97 U.S. Treasury Bill rate " 4.26 Euro-$ Deposits " 7.50 Swiss 3-month Deposit rate " 3 . 50p " 4.26 U.S. Treasury Bill rate IV-5 Chart Panel Series 13 Upper Netherlands May 21 Canada May | § Middle 14 Upper Middle Lower Rate 6.99 United States May 26 Switzerland May 13 5.34 May 21 8.02 * Germany United Kingdom Lower Date " 5.90 9.26 Euro-dollar bonds May 28 7.75 U.S. Corp. Dollar Euro-bonds April 8. 12 U.S. Corp. DM Euro-bonds " 7. 17 U.S. Corp. Aaa bonds " 7.25 Switzerland May 28 380.0 Germany " 21 271.80 United States " 28 223.89 United Kingdom " 28 215.42 Canada " 20 217.59 " 21 412.08 " 28 223,89 ** Japan 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.
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