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JumZI. 1972 NO. M3 H-13 mitMhkCmm—lthdh» (3i% SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS I M M D OF fiOWnOB OF tME FEBQUL K K M mTEH TABLE OF CONTEXTS PARTI. EXCHANGE KATES AMD GOLD PRICES Chart 1A and B - Spot Exchange Bates, R*or Currencies lgaiart U.S. Dollar Chart 2A and B - 3-Ronth Forward Exchange Rates, Rafrr Cunendes against U.S. Dollar Chart 3A and B - 3-Ronth Forward Exchange Rates, Ra#or Cunendes against OXPMd Chart 4 - Gold Price to London PART II. SHORT-TERR INTEREST RATES Chart 5 - Call Honey Rates Chart 6A and B - London: Euro-$ Deposit Rates Chart 7A andB -New Yort- London: Yields on U S. Dollar Funds Chart 8A and B - London: Covered Yields on U.S. Dollar Funds Chart 9A andB - Interest Arbitrage: United States-United Kingdom Chart 10A and B - Interest Arbitrage: U.S.-Ge*any and U.S.-Switzerland Chart 11 - Interest Arbitrage; United States-Canada Chart 12A and B- Selected Short-ten Interest Rates PART III. LORG-TERR INTEREST RATES ARC STOCK RIOICES Chart 13 Chart 14 - Long-Tern Bond Yields - Industrial Stock Indices PART IV. SELECTED CENTRAL BANK DISCOUNT RATES AND LATEST FIGURES PLOTTED OR THE CHARTS NOTE: This series is a continuation of the CAPITAL MARKETS DEVELOPRERTS ABROAD, which was published under that title through December 31,1968. The changes in the format and order of the charts are explained in the ^upplwiit to the series, which accompanied issue dated January 1, MM. All series and their sources are hilly described in a Supplement dated January 1,1172. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent GERMAN MARK UJ(. POUND SWISS FRANC 1 DUTCH GUILDER FRENCH FRANC Central US JAPANESE YEN M J 1972 s 0 J 1973 s D Chart IB SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U3. DOLLAR Weekly averages Far cent BELGIAN F R A N C ITAUAN M J s M D J 1972 0 s 1973 Ratio scale, U.S. cents 102 100 9€ 94 92 M J S 1970 D M J 1971 s 0 M J 1972 s o SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11. 1971 - Dec 17 1971 GERMANY NETHERLANDS FRANCE JAPAN us. dollar JUNE JULY AUG SEPT 1971 * financial franc OCT NOV DEC. Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR 11. 1971- Dec. 17, 1971 BELGIUM UK. SWITZ. ITALY MAY JUNE JULY SEPT AUG. 1971 •For clarity the vertical scale is double that used in 1C OCT. NOV. DEC. X Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM C A N A D I A N DOLLAR U.K. POUND DISCOUNT- PREMIUM GERMAN MARK DISCOUNT- PREMIUM DUTCH GUILDER DISCOUNT— M J S D 1969 M J S 1970 * Canadian Dollar Rate not supported by Bank of Canada * * No quotation. D J 1971 S D M J 1972 S D <&> 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages 1 1 1 1 1 1 1 I 1 1 1 Per cent per annum 1' ' I " 1 1 1 | 1 1 1 ' ' 1 ' ' 1 ' ' 1 M | 1 1 | I I 4 7 SW ISS F R A N C 1 V x A K K v / v FR ENCH F R A N C 1/1/ I I I N I I I I M J S U m O 1970 12 18 24 I I I I I I 11 I I I M J S 0 1969 • Devaluation of the French franc from 4.94 to 5.55 for $1.00. * • No quotation FTM 1 . . J 1 . S 1971 - 1 . D - i M i 1 i J i 1 i S 1972 i 1 i O i 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum i PRE UIIUM + - - - - 1 - - \ 11 V j u - G E R M A N MARK V i A J 4 1 1 U - u 11/ F T i U S. D O L UkR 1 1 1 . 1 1 1 1 1 1 1 1 I I > I I T FT i I I I M J 1969 h No quotation. 1970 S D M 1i i 1 i i 1 i i J S 1971 D 1 1 1 1 1 I 1 1 1 1 1 1 M J S 1972 D Chart 38 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST UK. POUND Friday figures f t r cent per #m**m PREMIUM* SWISS FRANC F R E N C H FRANC DISCOUNT— M J S D M 1969 J S 1970 •Devaluation of the French franc from 4.94 to 555 for $1.00 D M J 1971 s D M J 1972 S 0 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce Week's average of afternoon fixings 80 60 40 M J s D 1969 M J 1970 S D M S 1971 D M J 1972 S D CHART 5A CALL MONEY RATES DOLLAR F U N D S Weekly averages Per cent per E U W O - O O U X DEPOSITS FEDERAL FUNDS EURO-CURRENCIES Weekly averages EURO-SWISS F R A N C 1969 1970 * May 10, 1971 - Changed to Overnight Euro $ Deposits. 1971 1972 :ALL MONEY RATES •ELECTED FOREIGN AND EEC CURRENCIES riday figures Per cent per an 12 8 4 •A NETHERLANDS i i i i i 1i i I i i I i i 0 8 4 I I I I I I I 0 12 8 4 0 ince, Day-to-day Money; Netherlands, Call Money, weekly average. Japan, Unconditional Money; nada, Day-to-day Loans, weekly average; Germany, Call Money;U.K., 2-day Local Authority Deposits Chert 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Fur cent per emewm 25.50 1-MONTH CALL 7-DAY M J S D 1969 # M J S 1970 May 12/71-changed to Overnight Euro-Dollar Deposits July-l-changed to 7 Day Euro-Dollar ## 0 M J 1971 S D M J 1972 s D %O LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum k&A M/1 / r 12 \* \ w JJ 10 H IH-L 1 K P J \J\ A vMa-WOWTH V V i i 1i i 1i i 1i i M J S D 1969 11111111111 M J S 1970 D 1 111 11 11 1II M J S 1971 O i i 1i i 1i i 1i i 1 M J S 1972 D Chert 7A NEW YORK LONDON: YIELDS ON U*. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures US. CERTIFICATE OF DEPOSIT FAVOR EURO-DOLLAR DIFFERENTIAL EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J S D 1969 M J 1970 S D M J 1971 s D J 1972 S 0 NEW YORK-LONDON: COST OF U.5. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per annum Wednesday figures EURO DOLLAR DEPOSIT ADJUSTED * EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED *Ad|usted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement •••Adjusted for 20% Marginal ftnerve Requirement Chert 8A LONDON: COVERED YIELDS ON U.8. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures N r ceet per emmwrn EURO DOLLAR DEPOSIT MWE PURCHASE COVERED T FAVOR HIRE PURCHASE — EURO-OOUAR M J 1969 1970 1971 1972 Chart 88 LONDON: COVERED YIELDS ON U.8. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT , LOCAL AUTHORITY DEPOSIT fCOVERED FAVOR LOCAL AUTHORITY FAVOR EUROtXJLLAH DIFFERENTIAL 1970 1971 1972 + Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Par cant par annum 3 - M O N T H TREASURY B I L L RATES U.K. LOCA UNCOVERED M # J 1969 S D Plotted for comparison purposes M J 1970 S AUTHORITY DEPOSITS D M J 1971 S D M J 1972 S 0 E$° Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum PREMIUM, RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I SPREAD M FAVOR OF FORWARD RATE DISCOUNT FAVOR LONDON DIFFERENTIAL i "FAVOR NEW YORK M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D 4 3 MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per wmim IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED i—Li i DIFFERENTIAL 4 FAVOR FRANKFURT FAVOR EURO-DOLLAR _.1_1 J 1 I 1 - 1 M J S D 1969 M J 1970 s D M J 1971 S D M J 1972 S 0 Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR M J S 0 M 1969 ——— No quotation J 1970 S 0 M J 1971 s D M J 1972 S D 2 Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent peri 10 - BILL RATES 8 -CAN. FIN. CO. PAPER 6 UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS 4 2 PREMIUM BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR | AV1 a FORWARD RATE 7 2 + 0 GROSS SPREAD IN FAVOR OF CANADA 2 DISCOUNT COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS 2 + 0 FAVOR U S. 2 FAVOR CANADA 2 PRIME FINANCE PAPER + 0 FAVOR U S J 1969 SS D0 MM J J 197C S S D D M M J J S 1971 S D D M MJ J 1972 S 0 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum GERMANY U.K. US. JAPAN U.S. CANADA! 1968 1970 * 3-month treasury bill rates for all countries except Japen(Average rate on bank loans and discounts) . and Germanyflnterbenk Loan Rata) 1972 Chart 128 SELECTED SHORT-TERM INTEREST RATES* EURO-DOLLAR - LONDON US. SWITZERLAND 1968 1970 * 3-month treasury bill rate for U.S., Switzerland-3 month deposit rate. • • 3-month rate for U S. dollar deposits in London. 1972 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS CANADA U.S. US. SWITZERLAND II U.K. GERMANY U S. CORP. DOLLAR EURO-BONDS Monthly figures U S. CORP. Aaa BONDS U S. CORP. DM EURO-BONDS 1968 1969 1970 1971 1972 *New series for Switzerland starts 8-2-68, U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro-Bonds starts 12-70. # # New Average yield of all German PA. Bonds begins 1 7 69 * * " New series F starts 12-71. CHART 14 INDUSTRIAL STOCK INDEXES U N I T E D STATES / V v 1 1 1 1 1 1 1 1 1 1 1 l I 1 iV r i i 1 i t 1 i i 1 i i : SWITZERLAND k - A ~ A I 1 1 1 1 1 1 1 1 1 1 1 l I 1 I I r XT - j UNITED KINGDOM I I I I I I I I I I 1 1 1 1 1 1 1 1 1 1 1 1 / 1 1 1 1 1 1 1 1 1 1 1 I I 1 I I 1 I I 1 I I -* : JAPAN/ - 1 J 613 12 r : 1 X R ^ ^ V \ _ GERMANY X " - "ICANADA^^ 11 1 1 1 1 1 I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1969 1970 I L 1 L L 1 11 1 I 1 I 1 1 1 L 1 1 1 1 1 1 1971 * Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. 1972 CHART 14 INDUSTRIAL STOCK INDEXES 280 UNITED STATES 200 480 SWITZERLAND 360 UNITED KINGDOM 240 480 JAPAN 360 GERMANY 240 CANADA 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 on the first section of the Tokyo Stock Exchange. 1972 CHART 14 1958=100 Ratio scale INDUSTRIAL STOCK INDEXES 280 UNITED STATES ^z*ZNY' 200 1 1 1 1 1 1 1 1 1 1 1 i i 1 i N r i 1 I 1 II 1 111 1 1 i l i i 111 M i M 111 SWITZERLAND K - A 1 1 1 1 w 1 1 - 1 1 1 v , / w 360 v ^ - UNITED KINGDOM / 1 1 1 1 1111111111 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 M 111 r : V " ^ v x / / Z V V A V ^ 613 12 : 480 360 ^ . X z Z " 1 — r " X " ^ ^-V^nAVV/\ / CANADA \ J ' i i I I i I i i 1i i 1970 1 11 111 111II 1971 II 1 II 1 1111 I 1972 # Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. f / GERMANY 1 1111111I 11 1969 240 240 CHART 14 INDUSTRIAL STOCK INDEXES UNITED STATES SWITZERLAND UNITED KINGDOM 1969 * Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. H. 13 No. 563 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate 4 n M a r c h 2 . 1972 6.5 Feb. 5 r 1972 S 7S A n r t l 6. 1972 6.0 Jan. 13. 1972 In Effect Since E.E.C.: Belgium France Germany Italy Netherlands Switzerland United Kingdom Canada Japan United States 3.0 Feb. 25. 197: 4.0 Dec. 23. 1971 4.0 A r i-n i n A s Inf L n March 1 r 197: io: ? 4.5 1A, 1071 Ten. 6. 1972 3.75 S e p t . 15 r 19< 3.0 .Tulv 10. 1967 S.n S e p t . 3. 1971 6.0 Anr. 1 . 1971 4.75 nn«- 1071 5.25 Feb. 26. 1971 4.75 Dec. 29. 1971 5.25 July 28, 1971 4.75 HOY. 11. 1971 4.50 IV-2 L A T E S T FIGURES P L O T T E D ON T H E C H A R T S Chart Panel Series Date 1A Upper Swiss franc U . K . pound F r e n c h franc Japanese yen June 16 Lower Upper IB Canadian dollar German mark Dutch g u i l d e r 2A 2B Upper Lower 3A 3B 4 i 5A Upper Middle Lower Upper 5B Lower i ' ! •1 1 +0.58 .. -0.110 +2.140 +1.270 ii ii „ B e l g i a n franc I t a l i a n lire Lower Rate +1.980 40.190 102.430 +1.800 +1.450 n A c t u a l Rate ii II German mark Swiss franc U . K . pound Dutch guilder C a n a d i a n dollar F r e n c h franc J a p a n e s e yen June 16 German mark U . S . dollar Swiss franc French franc June 16 Gold price, U.S. dollar per ounce June 16 61.35 Overnight Euro-$ deposits F e d e r a l Funds Differential Euro-currencies: Euro DM Euro Swiss Fr. Japan, U n c o n d i t i o n a l Money U . K . , 2 - d a y L o c a l Author. D e p s . Canada, Day-to-day Loans F r a n c e , D a y - t o - D a y Money Germany, C a l l Money N e t h e r l a n d s C a l l Money June 14 4.15 A £6 -0.31 +1.55 +1.75 -0.69 +2.36 -1.04 +0.31 n.a. II ii " n +3.34 +1.23 +2.73 +1.74 n II „ II June 16 3.38 1.19 .Tune 9 4.75 4.31 3.75 3.62 3.06 2.65 June 7 June 16 II June 2 1 IV - 3 Chart Panel 6A Rate Date Series Euro-S 7 - D a y Rate June 16 4.25 it 4.69 Euro-S 1-month Rate 6B 7A Euro-S 3-month Rate H Euro-S 6-month Rate II 5.25 J u n e 14 4 . 75 Upper Euro-S 3-month Deposits Lower Differential Upper U.S. Certificate of Deposits 76 ii 40.15 Euro-S 3-month Deposits Euro-S 3-month Deposits ( A d j . ) ii 5.94 U.S. Certificate of Deposits ( A d j . ) „ Lower Differential: on Adj. Euro-S Deposits Upper Euro-S 3-month Deposits II II June 2 Hire Purchase Deposits (covered) 86 4 . 75 4.74 +1.20 +1.27 4.72 4.57 Lower Differential Euro-S 3-month Deposits „ -0.15 Upper Local Authority Deposits (covered) ii 4.45 Differential ii -0.27 June 16 3.85 Lower U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 96 4.60 „ „ on Unadj. Euro-S Deposits 8A 4.88 Upper „ June 9 Spread (+= favor London) 3-month Forward Pound Lower H 4 . 72 5.46 5.94 +1-61 II -1.62 II - 0 . 0 1 Net Incentive (+= favor London) | IV-4 Chart Panel Series 10A Upper Euro-S Deposits (covered) Date June 14 German Interbank Loan rate 10B Lower Differential Upper Euro-S Deposits (covered) 11 Differential Upper Canadian Finance Paper +1.44 2.88 1.50 -1.38 ' June 16 3.85 Canadian Treasury Bill rate 3.49 U.S. Prime Finance paper (not plotted) 4.37 Second Bill rate differential Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate 1 -0.36 -0.72 -1.08 +0.52 June 16 5.46 June 14 4.62 U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate U.S. Treasury Bill rate 12B 5 . 75 U.S. Treasury Bill rate Forward Canadian dollar 12A 3.18 4.62 Swiss Deposit rate Lower Rate Euro-$ Deposits Swiss 3-month Deposit rate 3.85 April 7.236 June 16 3.49 „ „ U.S. Treasury Bill rate " 3- 85 6 A8 ISO* 3.85 IV-5 Chart Panel Series 13 Upper Netherlands Date Canada United States Switzerland Middle * Germany United Kingdom Rate June 2 7.04 June 7 7.22 J u n e 14 5.46 June 2 4.93 June 7 7.82 June 9 9.52 Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower * " Japan United States S e r i e s F April „ 8.11 6.97 May 7.30 June 16 452.6 June 7 307.0 June 16 245.39 «• 2 7 6 . 78 June 8 255.91 June 10 613.12 June 16 245.39 * 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 F i r s t Section of the Tokyo Stock Exchange.
@FedFRASER