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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 - 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 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-J 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.-Switzerland 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 was published under that title through December 31, 1968. The changes in the format and order of the charts are explained in the Supplement to the series, which accompanied issue dated January 1, 1969 All series and their sources are fully described in a Supplement dated April 7, 1971. NOTE: An Appendix explaining the new series plotted on Chart 1A is attached to this issue. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below pai Above par FRENCH FRANC- JAPANESE YEN I DUTCH GUILDER Below par J S D 1968 * * * * * * * * * M S D 1969 D e v a l u a t i o n of the French, f r a n c f r o m 4 . 9 4 to 5.55 for $1.00. Rate not s u p p o r t e d by Central Bank. R e v a l u a t i o n of the DM f r o m 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents. May 10, 1971 - Swiss franc revalued; new par 24 485 U S cents J 1970 S D M J 1971 S D Chart IB SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par 1.2 CANADIAN DOLLAR BELGIAN FRANC ITALIAN LIRA 1 1-2 M J S D M J S D M J S D M J 1969 1968 S D 1971 CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale, U.S. cents Ratio scale, U.S. cents I 100 ' 30 98 CANADIAN DOLLAR I 96 DUTCH _ GUILDER *•' ^ 94 GERMAN MARK 1971 * Rate not supported by Central Banl 1970 1971 Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per a n n u m Weekly averages T PREMIUM + 1 10 s G E R M A N MARK | SWISS FRANC POUND DISCOUNT M J S D M 1968 * No quotatlon J 1969 S D 10 M J S D M 1970 J S D 1971 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m JAPANESE YEN Chart Z L 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Wee kly averages Per cent per a n n u m DUTCH GUILDER vv! y h Vv^sf r r CANADIAN DOLLAR FRENCH FRANC I ! 16 20 24 28 I M M I I 1 DISCOUNT- M i l l J S , j i 1 I I I I I I I I I i I I ,1 I I I I I 1 1 I i I I i I I D M 1968 J S 1969 * D e v a l u a t i o n of t h e F r e n c h f r a n c f r o m 4.94 to 5.55 for $1.00. * Can. $ rate not s u p p o r t e d by Bank of Canada. * * No q u o t a t i o n D M J S 1970 D M _l_j 32 J 1971 S D C h a r t 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per cent per a n n u m PREMIUM GERMAN MARK U.S. DOLLAR DISCOUNT — M J S D M 1968 * No q u o t a t i o n . J 1969 S D S 1970 D M J 1971 S D C h a r t 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per c e n t per a n n u m PREMIUM SWISS FRANC FRENCH FRANC DISCOUNTM J S D 1968 M J S 1969 • D e v a l u a t i o n of t h e F r e n c h f r a n c f r o m 4.94 to 5.55 for $ 1 . 0 0 D M J 1970 s 20 D J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS W e e k ' s a v e r a g e of a f t e r n o o n fixings U.S. d o l l a r e q u i v a l e n t per fine ounce 44 42 40 38 36 34 J S D M 1968 S M D J 1969 S 1970 U.S. dollar equivalent per fine ounce 35.3 35.2 35.1 35.0 * M a r k e t closed M ar c h 15-April 1, 1 9 6 8 J 1967 S D M 1968 M J 1971 MARKET SUPPORTED BY GOLD POOL M D s D CHART 5A CALL MONEY RATES DOLLAR F U N D S Weekly average? Per cent pe EURO DOLLAR DEPOSITS CALL • OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages EURO DM EURO DOLLAR EURO-SWISS FRANC May 10, 1971 - Changed to Overnight Euro $ Deposits 12 CALL M O N E Y RATES IOREIGN CURRENCIES* f nrl,iy figures Per cent per a n n u m CANADA SELECTED EEC CURRENCIES Per cent per a n n u m Friday figures FRANCE GERMANY NETHERLANDS 1968 1969 1970 * Japan, U n c o n d i t i o n a l Money, U.K., 2 day Local Authority Deposits; Canada, Day to-day Loans, weekly average * * G e r m a n y , Call Money; France, Day to day Money; N e t h e r l a n d s , Call Money, weekly average LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a Friday f i g u r e s 25.50 OVERNIGHT 1-MONTH CALL M J S D 1968 M J S 1969 * May 1 2 / 7 1 - c h a n g e d to Overnight Euro-Dollar Deposits D M J 1970 S D M J 1971 S D Chart 68 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures * Per c e n ! per a n n u m ,6 MONTH 3-MONTH M S D 1968 S 1969 D S 1970 S 1971 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS < M O N T H DOLLAR DEPOSIT R A T E S - S E C O N D A R Y MARKET 12 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT j S D 1968 D S 1969 1970 1971 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 Per r e n t per a n n u m Wednesday f ^ ' f 1 14 T EURO-DOLLAR DEPOSIT ADJUSTED EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED Adjusted tor Reserve R e q u i r e m e n t * * Adjusted tor 10% M a r g i n a l Reserve Requirement * " * * Adjusted for 20% M a r g i n a l Reserve R e q u i r e m e n t Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO-DOLLAR RATES Per cent per a n n u m Friday figures - 14 -7 12 EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED i rv\ DIFFERENTIAL s D 1968 J 1969 s D J 1970 s D S 1971 0 \ 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 Per cent per a n n u m EURO DOLLAR DEPOSIT I LOCAL AUTHORITY DEPOSIT ! 1 COVERED T FAVOR LOCAL AUTHORITY DIFFERENTIAL i FAVOR EURO-DOLLAR S 1968 J , 1969 s D S 1970 S 1971 D 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 - M O N T H TREASURY B I L L RATES I U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED LONDON NEW YORK j 1968 Plotted for c o m p a r i s o n purposes 1969 1970 s 1971 Chart 9B INTEREST ARBITRAGE: UNITED STATES A N D UNITED KINGDOM F n d a y 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 SPREAD IN FAVOR OF LONDON FORWARD RATE Vx IN FAVOR OF LONDON FAVOR OF NEW YORK RATE D I F F E R E N T I A L W I T H FORWARD EXCHANGE COVER (NET INCENTIVE) | M J S D M 1968 J 1969 S D M J S 1970 D M J S 1971 D /V Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT I N T E R B A N K LOAN RATE VS. L O N D O N EURO-DOLLAR RATE Wednesday rates Per cen 14 IN TERMS OF D M 10 1 GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO DOLLAR 1968 1969 1970 Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. L O N D O N EURO-DOLLAR RATE W e d n e s d a y rates Per cent per annu IN T E R M S OF SWISS FRANCS L 1 12 EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR J 1968 1969 S D M J 1970 S j 3 - M O N T H INTEREST ARBITRAGE: UNITED STATES - CANADA f- ridav t i g u r e s B I L L RATES CAN. FIN. CO. PAPER 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 C O V E R E D RATE D I F F E R E N T I A L S FAVOR C A N A D A TREASURY BILLS FAVUR U S FAVOR CANADA u PRIME FINANCE PAPER FAVOR U S l i . , M ' ! .x_L. : J S D M 1968 J 1969 S D M J S 1970 D M - L i . J J 1 i S 1971 1 1 1 1 1 i D SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m GERMANY U.K. U.S. 1 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 ount r ie s except Japan(Average rate on bank loans and d i s c o u n t s ) 1971 9 i h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per ( en! p r ' EURO-DOLLAR - LONDON U.S. SWITZERLAND 1 1 1 1 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 m London 1971 i 1 :: u m LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m 1 10 NETHERLANDS ! CANADA SWITZERLAND I I I I I I I ! II I 1 I 11 li 1 I II 11 11 I-Li. LI-. 4 EURO DOLLAR BONDS Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1 Li 1967 L i J _ L J u l i _ L _ L l J L l ± i 1. .LLj 1968 1969 1970 1971 New series for S w i t z e r l a n d starts 8 2-68, U S Corp Dollar Euro-Bonds and U S. C o r p 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 4 I9b8 INDUSTRIAL STOCK INDICES 1 1— j 100 320 280 I ! U.K. ; f ; : 200 ; ' . ; 160 ~"~T 400 SWITZERLAND 320 GERMANY 240 U.S. n~ JAPAN 400 i 320 240 CANADA 160 1968 1969 1970 * Japan index of 225 i n d u s t r i a l and other 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 the first section of the Tokyo Stock Exchange. 1971 H. 13 No. 511 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 6.5 Dec. 10, 1970 France 6. 75 May 13, 1971 6.5 Jan. 8, 1971 Germany 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 5.5 May 5. 75 Jan. 20, 1971 United States 4.75 Feb. 13, 1971 5.0 Jan. 19, 1971 1, 1971 8, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Series Date Rate Swiss franc June 18 -0.205 June 18 +0.788 * German mark U.K. poiyid Lower IB * Dutch guilder French franc June 18 +0.435 Japanese yen " +0.716 Belgian franc June 18 40.395 " -0.008 Italian lire *Canadian dollar * * 2B June 18 40.54 Swiss franc " +1. 71 German mark 2A U.K. pound " Upper Dutch guilder if Canadian dollar " Tower French franc Japanese ven " 3A German mark U.S. dollar 3B Swiss franc French franc 4 Gold price, U.S. dollar per ounce 5A Upper ***0vernight Euro-$ deposits Middle Federal Funds Differential Lower Euro-currencies: Euro $ Lower IB irk 2B Lover See Appendix - 2. Digitized for*** FRASER +1.18 " 40.80 » +2.12 " +1.02 June 18 39.78 June 16 4. 65 4.89 -0.24 June 18 " " 5.65 6.22 3.32 Japan, Unconditional Money June 11 6.50 U.K., 2-day Local Author. Deps. June 18 5.69 Canada, Day-to-day Loans June 9 2.80 France, Day-to-Day Money June 18 6.12 Germany, Call Money Netherlands, Call Money * June 18 " Euro Swiss Fr. Upper +1.50 -0. 20 " Euro DM 5B -0.91 +2.06 U.S. cents Canadian dollar German mark Dutch guilder Japanese yen (see Appendix) 7.00 " June 4 1.00 IV-3 Chart Panel 6A *Euro-$ Overnight Rate 6B 7A Date Series Upper June 18 6.81 Euro-$ 3-month Rate 7.06 Euro-$ 6-month Rate 7.31 Euro-S 3-month Deposits June 16 Differential +1.68 Upper Euro ) 3-month Deposits 7.06 Euro-) 3-month Deposits (Adj.) 8.82 U.S. Certificate of Deposits (Adj.) 5. 79 Differential: on Adj. Euro-$ Deposits +3.03 +1.27 on Unadj. Euro-$ Deposits June 4 Euro ) 3-month Deposits Upper Hire Purchase Deposits (covered) 8B -1.30 Lower Differential Upper Euro-$ 3-month Deposits 7.19 U.S. Treasury Bill rate 9A Upper Lower * 6A - O v e r n i g h t : 5.58 - 1 . 61 Differential Lower May 7.19 5.89 Local Authority Deposits (covered) 9B 7.06 5.38 Lower Lower 8A 4.50 Euro-S 1-month Rate U.S. Certificate of Deposits 7B Rate June 18 4.81 U.K. Treasury Bill rate 5.53 Local Authority Deposit (uncovered) 6.34 Spread (+= favor London) +0.72 3-month Forward Pound -0.92 Net Incentive (+= favor London) -0.20 7 14 21 28 25.50r 6.75r 8.64r 6.00r June 4 11 18 7.50r 6.00r 4.50 IV- 4 Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) June 16 Lower Differential German Interbank Loan rate 10B Upper Lower 11 Upper Second 12A Rate 6.51 6.88 +0. 37 Euro-S Deposits (covered) 5.35 Swiss Deposit rate 3.50 Differential Canadian Finance Paper -1.85 June 18 3.75 U.S. Treasury Bill rate 4.81 Canadian Treasury Bill rate 3.02 U.S. Prime Finance paper (not plotted) 5.19 Bill rate differential -1. 79 Forward Canadian dollar +1.56 Third Net incentive on bills -0.23 Bottom Net incentive on Finance Paper +0.12 Upper U.K. Treasury Bill rate June 18 5.53 U.S. Treasury Bill rate " 4.81 German Interbank Loan rate " 6.88 Lower 12B Japanese Average rate April 7.655 Canadian Treasury Bill rate June 18 3.02 U.S. Treasury Bill rate " 4.81 Euro-S Deposits " 7.06 Swiss 3-month Deposit rate " 3.50 U.S. Treasury Bill rate " 4.81 ^-A IV- 5 Chart Panel Series 13 Upper Netherlands June 4 7.12 Canada June 9 6.74 United States June 16 6.07 Switzerland June Middle Lower * Germany Date Middle United Kingdom June 11 9.37 Euro-dollar bonds June 18 7.56 U.S. Corp. Dollar Euro-bonds April 8.12 " May 7.17 7.78 Switzerland June 18 393.7 Germany June 15 273. 60 United States June 18 United Kingdom Canada Lower 5.33 8.04 U.S. Corp. Aaa bonds Upper 4 May 28 U.S. Corp. DM Euro-bonds 14 Rate * * Japan United States 212.82 " 210.49 June 10 223.05 June 18 431.46 " 212.82 • 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. APPENDIX The following exchange rate data are now included in the H.13 series of charts CHART 2A A panel showing 4-month forward Japanese yen has been added. The 4-month forward rate is more representative of forward cover operations in Japan than the 3-month rate shown in other/panels of this chart for European currencies. The Bid one per forward rate plotted is the weekly average of mid-points of daily forward and Ask quotations on the Tokyo money market. The spot rate used is the plotted in Chart 1A and the forward premium or discount is expressed in cent per annum. The source of 4-month forward yen is Japan Economic Journal and the series has been back-plotted to July 1, 1970. H.13 Data for all points plotted on new panels (Per cent per annum) 4-month forward Japanese yen 1970 4-month forward Japanese yen 1971 July 4 11 18 25 +2.07 +2.33 +2.48 +2.34 Jan. 9 16 23 30 +1. 17 +1.46 +1.61 +1.31 Aug. 1 8 15 22 29 +1.80 +1.42 +0. 76 +0.58 +0.80 Feb. 6 13 20 27 +1. 14 +1.20 +1.23 +1. 75 Mar. Sept. 5 12 19 26 +0.86 +1.04 +0.97 +0. 69 6 13 20 27 +2.03 +2.43 +2.48 +2.03 Apr. Oct. 3 10 17 24 31 +0. 68 +0. 64 40.62 +0.63 +0. 66 3 10 17 24 +2.31 +2. 73 +2. 79 +2.67 May Nov. 7 14 21 28 +0.58 +0.58 +0.62 40.69 1 8 15 22 29 +2. 76 +3.49 +5.24 +5.36 +6.15 June Dec. 5 12 19 26 31 40.85 40.81 40.85 40.94 4 11 +5.56 +5.07 +1.01 APPENDIX - 2 May 7, 1971 - Call Euro-$ changed to Overnight Euro-$ Overnight 1971 May Differential 12 19 26 9. 86r 5. 29r 5.81r + 5. 27r + 0.74r + 1.13r June 2 9 16 15.93r 5.04r 4.64 +11.llr + 0.27r - 0.24
@FedFRASER