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J w i e * . 1972 No. 564 SELECTEDHNTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U S. WEEKLY SEMES OF CHARTS m w b o f e e v m o M o r t h e f e d e r a l k s o v c system #3 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 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 January 1,1972. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U6. DOLLAR Weekly averages F w cmt GERMAN MARlCl IX. POUND 1 DUTCH GUILDER FRENCH FRANC u.s. JAPANESE YEN M J 1972 * Pound floated June 23, 1972. S D M J 1973 s D Clwf i t SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR At r \ a ff BELGIAN \ FRANC A 1 4 J v 1 ITALIAN U M 1 ,1 1 1 1 1 1 1 1 1 1 i i 1 i i 1 i J J 1972 1971 i 1 i- i " i_J 92 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11. 1971 - Dec. 17, 197] Weekly averages Per cent Above par NETHERLANDS FRANCE JAPAN JUNE JULY AUG SEPT 1971 * Financial franc OCT WOV. DEC Chart 10 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR I I . 1971- Dec 17, 1971 IIJL ITALY MAY JUNE JULY OCT. 1971 mc. "3 ffo 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent per annum I | M CANADIAN DOLLAR U.K. POUND DISCOUNT GERMAN MARK i L DISCOUNT- PREMIUM I DUTCH GUILDER DISCOUNT — M J S D 1969 M J S 1970 * Canadian Dollar Rate not supported by Bank of Canada * * No quotation D M J S 1971 D M J S 1972 D I 6 Chart 2 8 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages 1 1| M | M | M ' ' 1" 1" i 1 H V v A 1 1 4 "7J " I ' M " ! " A ^ F* ENCH FRANC " w M i ii M «!'- 1 , , 1 , . 1 . . 1 1 1 1 ro J S O 1970 M J S O 1 i 1 111 1111 i M 1971 * Devaluation of the French franc frew 4 * 4 te 5 55 far S I 0 0 • • N o quotation S 1972 1 I I 1 I I I I 11 J O 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST UJC. POUND Friday figures Per cent per annum DISCOUNT - M J S S D 1969 * No quotation. 1970 S D 1971 D J 1972 S D Chart SB 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U K. POUND Friday figures Per cm* per * * * * * FRENCH FRANC OtSCOOWT- M J S 0 1*6* # M J S 1*7# Devaluation of the French franc from 434 «a 5 4 5 for $1.00 D M l 1971 S 0 « J IOT s 0 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce GHAUT SA CALL MONEY RATES DOLLAR FUNDS 1 1 Per cent per ennum 1 IS 1EURO-DOLLAR OfiPOSITS CAU. OVER*•CMT iiJ 1 I I : A W HlWl - * 12 I kJ i 1j u FEDERAL FUNDS 1 ' - w - EUROI-OOLLA* OVER FEDERAL FUMOS 1 v V - IfW vvv v* 1N : j i v .v V 1 1 1 1 1 1 1 1 i I i11 1i i11 i i 1 i 1i 1 1 1 1 1 1 i1 111 M1 111111 EURO-CURRENCIES Weekly averages Per c*m( per awiuw 12 EURO-SWISS FRANC I I I I I I I I 1 I I I I I I I I I I I J 1971 , 10, 1971 - Owieed to Owmuhr Eere $ O^OMts S O M J 1972 S 0 :ALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES riday figures Per cent per an 12 8 4 1 i i 1 i i 1 i i i i I i i 1 i i I i i 1 i iTi i I i i 1 i i 0 8 4 0 12 8 4 0 Day-to-day Money, Netherlands, Call Money, weekly average Japan, Unconditional Money; a, Day-to-day Loans, weekly average; Germany, Call Money; U K , 2 day Local Authority Deposits LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures ' M a y 12/71-changed to Overnight Euro-OoMer Deposits * * July.1-changed to 7-Day Euro-Dollar Chart 68 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 12 V J l A 6-MOfm1 1 VMfa-MONTH ' 6 A 1 m j v V 4 M i l t I 1 I l 1 I Ii i 1 i i 1 i i 1 i 1i 1 1 1 1 1 1 i1 i 11 1i i 11 i i 1 i i2 M J S D 1969 M J S 1970 D M J 1971 S D M J S 1972 D Chart 7A NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per 12 10 EURO-DOLLAR DEPOSIT 6 4 U.S. CERTIFICATE OF DEPOSIT 2 DIFFERENTIAL FAVOR EURO-DOLLAR 4 2 + 0 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 M J S D 1969 M J 1970 S D M J 1971 S 0 M J 1972 S 0 Chart 7B NEW YORK-LONDON: COST OF U S. DOLLAR FUNDS 3 - m o n t h d o l l a r deposit r a t e s - p r i m a r y m a r k e t Wednesday figures . cent per annum EURO DOLLAR DEPOSIT ADJUSTED 10 EURO DOLLAR DEPOSIT US. CERTIFICATE OF DEPOSIT I ADJUSTED EURO DOLLAR OVER V U S. CERTIFICATE OF DEPOSIT ADJUSTED' S D 1969 J 1970 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * ^Adjusted for 20% Marginal Reserve Requirement S D M J 1971 S D M J 1972 D Chart 8A LONDON: COVERED YIELDS ON US. DOLLAR FUNDS HIRE PURCHASE AND EURODOLLAR RATES Friday figures 12 r v \ ElMO-OOLUUt OEPOM • r V -J - i W II r A A A1 v HUE PURCHASE COVERED - i '• 11111111111 1 1 1 1 1 1 1 1 I 1 1 » i i i 1 i i 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 1 i l FAVOR HWC PURCHASE i v y m - d i f f e r ie n t i a l M i l M i l M J • i i i S 11111111111 D 1969 M J 1970 S D 1 i 1 i 1 1 i i 1 i 1 M J S 1971 D M J 1972 S D hartSB LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per ar 12 EURO DOLLAR DEPOSIT 9 6 LOCAL AUTHORITY DEPOSIT 3 COVERED + 0 I I I I I I I I I I I FAVOR LOCAL AUTHORITY + 0 3 6 FAVOR EURO DOLLAR INFERENTIAL I I 1 I 1 1 1 I 1 I I 1 1 I I I I I I I I I I I 9 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum I 3-MONTH TREASURY B LL RATES f\ r r z A 1 ***' J ^ J r r \ U.K. LOCAL AUTHORITY DEPOSITS* A UNCOVERED A f \ ' X \ M \ I f 1 1 1 1 I M J 1 1 I I S 1 1 1 1 1 1 1 1 1 1 1 D M 1969 •Plotted for comparison purposes j 1970 S A J D r V N E W YORK ^ 1 1 1 1 1 1 1 1 1 1 1 M J S 1971 O k A i i 1 M M i 1 i i 1 i i S 1972 O Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per r a t e d i f f e r e n t i a l a n d 3-month f o r w a r d sterling i PREMIUM | SPREAD M FAVOR OF LONDON FORWARD RATE DISCOUNT FAVOR LONDON differential 4 FAVOR NEW YORK M J S D 1969 J 1970 S D M J 1971 S D M J S D 1972 I #3 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum 14 IN TERMS OF DM 12 10 RATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO-OOUAR M J S D M 1969 No quotation J 1970 S 0 M J 1971 s 0 M J 1972 s 0 Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC z u r i c h d e p o s i t r a t e vs. l o n d o n e u r o d o l l a r r a t e Wednesday rates Pei IN TERMS OF SWISS FRANCS 14 12 10 8 EURODOLLAR COVERED 6 4. 2 SWISS DEPOSIT RATE 0 FAVOR ZURICH differential 2 + 0 2 6 FAVOR EURO DOLLAR S M D 1969 No quotation M J 1970 s D M J 1971 S D M J 1972 S D 8 Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Percent peri 10 - b i l l rates CAN. FIN. CO. PAPER * e UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS 4 2 b i l l r a t e d i f f e r e n t i a l a n d f o r w a r d canadian d o l l a r AA/ , A FORWARD RATE PREMIUM 7 2 + 0 GROSS SPREAD IN FAVOR OF CANADA 2 DISCOUNT covered rate differentials FAVOR CANADA 2 TREASURY BILLS + 0 FAVOR U.S. 2 FAVOR CANADA 2 PRIME FINANCE PAPER + 0 FAVOR U S. S D 1969 M J 197c S D M J 1971 S D M J 1972 S D Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum GERMANY U.K. US. # PAN US. CANADA) 1968 1970 * 3-month treasury bill rates for a i cewWee eecept Ja»aw<At»rage rate on bank loans and discounts) .and Germaay(l«tertaak Lean # # # 1972 #6 Chart 12B SELECTED SHORT-TERM INTEREST RATES' Per cent per annum EURO-DOLLAR - LONDON SWITZERLAND 1968 I I I I I I I I I I I I 1970 * 3-month treasury bill rate for U S , Switzerland-3 month deposit rate. * * 3-month rate for U S dollar deposits in London I 1 I I I I I II II 11 1972 111 0 LONG-TERM BOND YIELDS Weekly figures 10 6 6 SWITZERLAND X i i I i ' I i i 1 i i 4 11 9 7 I 1 I 1 1 I 1 I I 1 I 1 I I 1 I 1 I I I II 1 I i I I I I I I I I I I I 1 1 I I 1 I U.S. CORP. DOLLAR EURO-BONDS Monthly figures I I I I 1 I 5I I 1 I I 10 e U S. CORP. Aaa BONDS I I -U.S. CORP. DM EURO BONDS i i I i i I i i 1 i i i i I i i I i i I i i 1968 1969 i i 1 i i 1 i i I i i 1970 6 i i 1 i i I i i 1 i i 1971 i i 1 i i I i i I i 4' 1972 Jew 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 P A Bonds begins 1 7 69 h# New series F starts 12-71. <bjO CHART 14 INDUSTRIAL STOCK INDEXES UNITED STATES i i 1 i i 1 i i ! i i M 1 i MY i i 1 i i i i 1 i i 1 i i 1 i i 1 1 1 1 1 1 ! 1 1 II A SWITZERLAND K I 1 1 1 1 1 1 1 1 1 1 1 VT zVWx - UNITED KINGDOM 1 1 1 1 1 1 1 1 1 1 1 f 1 1 1 1 1 1 1 1 1 1 1 1 i i 1 i i 1 i i 1 i i - JAPAN/ I f r : - y V " v - x . - A j > 1 _ GERMANY W - /V v \ ^CANADA/^r^\^ I II 1 1 1 1 II 1969 1 1 1 i i 1 i i ! i i 1 i i i i 1 i i 1 i i 1 i i 1970 1971 1 1 1 1 1 1 II 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. 1 1 1 1 H. 13 No. 5 6 4 Country IV. S E L E C T E D C E N T R A L BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since 4_n M a r c h 2 . 1973 4.5 F»h. 5. 1972 S 7S A o r i l 6. 6.0 Jan. 13. 1972 3.0 Feb. 4.0 Dec 23. 4.0 Ap»41 in E.E.C.: Belgium France Germany Italy Netherlands Switzerland United Kingdom Canada Japan United States 1971 25. 197: iq- A 1971 16, 1071 S March 1 r 107: 4.5 6. 1072 3. 75 Sopt. 15. 194 3.0 Julv 10. 1967 6.0 Jun» 5.0 S*pt. A n 22. 197: 4.75 cu-r 1071 5.25 4.25 June 24. 1973 4.75 4.59 Dec 13, 1971 6.75 1. 197^ 2 4 . 1971 HOT* 11. 1971 IV-2 L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart Panel Series 1A Upper Swiss franc U.K. pound * French franc Japanese yen Lower Upper IB Lower 2A Upper 2B Lower 3A 3B 4 Upper 5A Middle Lower Upper 5B Lower i 1 *Pound f l o a t e d June 23. Belgian franc Italian lire Canadian dollar German mark Dutch guilder Date June 23 " " " „ " Actual rates " " " Rate +1.48 -1.57 +1.48 +2.26 +1.50 -1.26 101.958 +1.58 +1.38 German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen June 23 it German mark U.S. dollar Swiss franc French franc June 23 Gold price, U.S. dollar per ounce June 23 61.69 Overnight Euro-$ deposits Federal Funds Differential Euro-currencies: Euro DM Euro Swiss Fr. Japan, Unconditional Money U.K., 2-day Local Author. Deps. Canada, Day-to-day Loans France, Day-to-Day Money Germany, Call Money Netherlands, Call Money June 21 4.12 4.39 -0.27 " " " " " " " " " " June 16 " " June 9 June 14 J u n e 23 " June 2 +2.03 +1.98 +5.48 +2.69 -0.33 +0.62 n. a. +6.64 +8.43 +8.99 +9.28 3.25R 1.15R 4.75 4.31 3.60 3.75 1.00 2.65 IV-3 Chart Panel 6A Series Date Euro-) 7-day Rate June 23 7.00 Euro-S 3-month Rate is 6.00 Euro-$ 6-month Rate " Euro-* 1-month Rate 6B 7A 78 Upper Euro ) 3-month Deposits 5.06 M 4.62 Lower Differential •• Upper Euro-S 3-month Deposits " Euro-) 3-month Deposits (Adj.) •• U.S. Certificate of Deposits (Adj.) ii 4.86 « +1.46 Differential: on Adj. Euro-S Deposits Upper Euro-S 3-month Deposits Hire Purchase Deposits (covered) +0.44 5.06 6.32 June 14 Tun* 2 1 June 9 4.88 " 4.79 Lower Differential " -0.09 Upper Euro-S 3-month Deposits " 4.88 Local Authority Deposits (covered) " 4.54 Lower Differential || U.S. Treasury Bill rate 9A U.K. Treasuiy Bill rate Local Authority Deposit (uncovered) 9B 6.00 June 21 on Unadj. Euro-S Deposits 8B 6.00 U.S. Certificate of Deposits Lower 8A Rate Upper Spread (+= favor London) 3-month Forward Pound Lower -0.34 June 23 3.93 « 5.54 June 16 5.19 June 23 +1.61 .. -7.74 •• -6.13 Net Incentive (+= favor London) IV - 4 Chart Panel 10A Upper Series Euro ) Deposits (covered) Date June 21 German Interbank Loan rate 10B Lower Differential Upper Euro-* Deposits (covered) 11 Differential Upper Canadian Finance Paper +1.43 3.00 1.50p -1.50D June 23 U.S. Treasury Bill rate Second 3.93 3.45 U.S. Prime Finance paper (not plotted) 4.50 Bill rate differential Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate -0.48 -0.10 -0.58 +0.28 June 23 U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 12B 4.88 Canadian Treasury Bill rate Forward Canadian dollar 12A 3.07 4.50 Swiss Deposit rate Lower Rate 5.54 3.93 June 21 4.50 April 7.236 June 21 3.45 U.S. Treasury Bill rate it 3.93 Euro-) Deposits ii 6.00 Swiss 3-month Deposit rate «« U.S. Treasury Bill rate II l-50p 3.93 IV-5 Chart Panel Series 13 Upper Netherlands Date June 2 Canada J u n e 14 „ United States Switzerland Middle * Germany United Kingdom Lower U.S. Corp. Dollar Euro-bonds Series F 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 „ Rate 7.04 7.18 5.46 June 2 4.93 J u n e 15 7.95 J u n e 16 9.64 April 8.11 ii 6.97 Mav 7.30 J u n e 16 452.6 J u n e 15 301.4 June 23 246.75 „ 284.18 J u n e 15 259.64 Junp 17 614.41 June 23 246.75 • 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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