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June 30, 1971 No. 512 l£& I H-13 Di^oVion of Intemotionol Finonce Europe and British Commonwealth Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. W E E K L Y SERIES O F C H A R T S 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 12 A and B - Call Money Rates London: Euro-) 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 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. C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t A b o v e par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below par J__L Above par FRENCH FRANC- - JAPANESEYEN j U.S. DUTCH GUILDER Below par J s D 1968 * * * * * * * * * * M J S D M 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 B a r k . R e v a l u a t i o n of t h e 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. cenfs. J 1970 S D M J 1971 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par CANADIAN DOLLAR " BELGIAN FRANC ITALIAN LIRA i 1 2 Below par M J S M 1968 J 1969 S D M J S 1970 D M J S D 1971 CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale. U S cents . U S cents I 100 CANADIAN DOLLAR i DUTCH. GUILDER GUILDER PAR 94 GERMAN MARK 1971 * Rate not supported by Central Bank Chart 2A 3 - M O N T H FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m 1 10 PREMIUM N G E R M A N MARK SWISS FRANC U.K. POUND DISCOUNT 4 - M O N T H FORWARD YEN AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m JAPANESE YEN PREMIUM* C h a r t 2B 3 - M O N T H 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 24 28 : 1968 DISCOUNT- s S 1969 * Devaluation of t h e French 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 quotation D : 32 J 1970 S D S 1971 D 3 - M O N T H FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per cent per a n n u m 24 PREMIUM* GERMAN MARK U.S. DOLLAR DISCOUNT — J S D 1968 * No quotation. J 1969 D M J 1970 S 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 DISCOUNT— 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 20 M J 1970 S D M J 1971 S D GOLD PRICE IN L O N D O N , 1 2 . 5 K g BARS W e e k ' s a v e r a g e of a f t e r n o o n f i x i n g s U.S. d o l l a r e q u i v a l e n t per fine o u n c e 44 42 40 38 36 34 S D M 1968 S D M S 1969 1970 MARKET SUPPORTED BY GOLD POOL U S dollar equivalent per fine ounce r ZXyW- 1 1 1 1 1 1 1 1 1 1 1 M * M a r k e t closed M ar c h 15-April 1, 1 9 6 8 J 1967 S D i i M 1968 D M S 1971 D w CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly averages EURO-DOLLAR DEPOSITS - 12 CALL! OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FE DERAL FUNDS v ^ 4 l/Hr' WA*„/ lA/V II Vvv ' EURO-CURRENCIES Per cent per annum Weekly averages 12 EURO DM EURODOLLAR EURO-SWISS FRANC j M J S D 1968 May 10, 1971 - M J S 1969 Changed to Overnight Euro $ Deposits 1970 1971 0 C h a r t 5B CALL M O N E Y RATES FOREIGN CURRENCIES* Per cent per a n n u m Friday figures JAPAN CANADA SELECTED EEC CURRENCIES Per cent per a n n u m Friday figures FRANCE 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, w e e k l y 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 Friday f i g u r e s Per cent per a n n u m 25.50 OVERNIGHT 13 12 10 2 1968 1969 * May 1 2 / 7 1 - c h a n g e d to Overnight Euro-Dollar Deposits LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a n n u m Friday figures 13 12 10 3-MONTH vN E W Y O R K - L O N D O N : Y I E L D S O N U.S. D O L L A R F U N D S 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT D 1968 1969 1970 1971 Chart 78 N E W Y O R K - L O N D O N . C O S T S O F U.S. D O L L A R F U N D S 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday f i g u r e s 14 EURO DOLLAR DEPOSIT ADJUSTED** EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED I I M i l EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED* !, \ A A / Vx/ \ [ . ! 1 l. L l . 1 M i J 1 1 1 1 .l i 1 j 1 i l l J 1968 S 1969 Adjusted for Reserve Requirement * * Adjusted for 10°* M a r g i n a l Reserve Requirement * * * Adjusted for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t 1 1 i i J L i i 1 Li D M J 1970 S / i , D v L ; M i i_L.i i J S 1971 D Chart 8A L O N D O N : C O V E R E D Y I E L D S O N U.S. D O L L A R F U N D S HIRE PURCHASE AND EURO DOLLAR RATES Friday f i g u r e s Per cent per a n n u m 1 14 EURO-DOLLAR DEPOSIT HIRE PURCHASE ; FAVOR HIRE PURCHASE m DIFFERENTIAL s D 1968 M S 1969 D S 1970 D S 1971 I Chart 8B L O N D O N : C O V E R E D Y I E L D S O N U.S. D O L L A R F U N D S LOCAL AUTHORITY AND EURO DOLLAR RATES Friday f i g u r e s 14 12 EURO-DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT I COVERED ! 4 2 0 FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL | FAVOR EURO DOLLAR s D 1968 S 1969 D M J 1970 S D J 1971 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m 3-MONTH TREASURY BILL RATES i U.K. LOCAL AUTHORITY DEPOSITS ! UNCOVERED : j LONDON NEW YORK M S D 1968 * Plotted for c o m p a r i s o n purposes M S 1969 D S 1970 s D 1971 D Chart 9B INTEREST ARBITRAGE: UNITED STATES A N D UNITED KINGDOM Friday figures Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING i l l ! | SPREAD IN FAVOR OF LONDON f PREMIUM FORWARD RATE Wi _L_^. J 2 m FAVOR OF LONDON (IN FAVOR OF NEW YORK , RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) S 1968 1969 D S 1970 D M J 1971 s D / 3 - M O N T H FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - G E R M A N 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 ^ EURODOLLAR DIFFERENTIAL FAVOR FRANKFURT J 1968 1969 1970 S S D 1971 C h a r t 10B 3 - M O N T H FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Per cent per a n n u m W e d n e s d a y rates 14 IN TERMS OF SWISS FRANCS J 12 10 EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR : 3 - M O N T H INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per a n n u m BILL RATES CAN. FIN. CO. PAPER CANADIAN > TREASURY BILLS UNITED STATES TREASURY BILLS ILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS PRIME FINANCE PAPER FAVOR U.S. S D 1968 S 1969 D S 1970 1971 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m i - V" 1 - - GERMANY V -hu.K. nil 1 L /\y*W - / K M fi IW \ \ ft ,n ^ i 1 1 II 1 1 ! 1 1 I u i m i : i i i 1 i i IW i 11 i 11 i 11 i i 1 I 1I I 1 11! I 1 i rl i i I i i ! JAPAN U.S. CANADA 1967 1968 1969 1970 * 3 m o n t h t r e a s u r y bill rates for all c o u n t r i e s except J a p a n f A v e r a g e 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) 1971 1 i C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per a n n u m k EURO-DOLLAR - LONDON U.S. SWITZERLAND JLlll I I I ill 1967 ill 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 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 EURO-DOLLAR BONDS — GERMANY 10 Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS LL1 1 1 1967 1968 1969 1970 * New series for S w i t z e r l a n d starts 8 2 6 8 , U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro Bonds s t a r t s 12 70, Euro-Dollar Bonds start 4-2-71 * * New-Average yield of all German P A. Bonds begins 9-4-70. : '7 r F INDUSTRIAL STOCK INDICES I VV i ! : ! i ! 1 i i ! it ! ! i II !. II ! II X >'KM p 1 1 1 I II V i II ii fv 1 ii I M j 1 ! i : 1 400 SWITZERLAND i 320 GERMANY 240 ill 160 JAPAN 400 320 240 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 t h e first section of the Tokyo Stock Exchange 1971 H. 13 No 512 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate (). 5 In Effect Since E.E.C.: Belgium 6.0 Mar. 25, 1971 France 6. 75 May 13, 1971 6.5 Jan. 8, 1971 Germany 5.0 Apr. 1, 1971 b.O Dec. 3, 1970 Italy 5.0 Apr. 5, 1971 5.5 Mar. 9, 19 70 Netherlands 5. 5 Apr. 5, 1971 6.0 Aug. 4, 1969 Switzerland 3. 75 S e p t . 1 5 , 1969 3.0 July 10, 1967 7.0 Apr. 15, 1970 United Kingdom 6.0 Apr. 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 Dec. 10, 1970 8, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Series Date Swiss franc June 2 5 -0.250 June 2 5 +0.798 French franc June 2 5 +0.523 Japanese yen " 4 0 . 727 Rate * German mark U.K. pound Lower IB * Dutch guilder Belgian franc ii 40.512 Italian lire n +0.033 ^Canadian dollar June 2 5 4 0 . 38 Swiss franc " + 1 . 63 U.K. pound " -0.88 Upper Dutch guilder .. +1.67 Canadian dollar " +1.57 Lower French franc Japanese v e n M -0.21 40.47 German mark 2A * * 26 3A German mark U.S. dollar June 2 5 H 3B Swiss franc " +2.04 French franc " 40.50 June 2 5 40.20 Gold price, U.S. dollar per ounce 4 Upper 5A ***overnight Euro-$ deposits Federal Funds 5B Middle Differential Euro-currencies: Euro $ Lower " IB * 2B Lover Digitized for*FRASER '** See Appendix - 2 June 25 6.84 Euro DM " 7.53 Euro Swiss Fr. " 5.91 Japan, Unconditional Money June 1 1 6.50 U.K., 2-day Local Author. Deps. June 18 5 . 69 Canada, Day-to-day Loans June 2.80 France, Day-to-Day Money June 25 6 . 12 " 9 . 62 June 18 2 . 10 J u n e 25 " " J u n e 19 97.72 28.56 28.04 +3.06 Germany, Call Money Netherlands, Call Money * 4.50 4.96 -0.46 " Lower Upper June 2 3 +0.80 U.S. c e n t s Canadian d o l l a r German mark Dutch g u i l d e r Japanese yen ( s e e Appendix) 9 IV-3 Chart Panel Series 6A * Euro-$ 6B 7A Upper Overnight Rate Upper Lower 8B " 6. 50 " 6.81 Euro-$ 6-month Rate " 7.12 June 23 6.81 U.S. Certificate of Deposits " 5.50 Differential " +1.31 Euro-$ 3-month Deposits « 6.81 Euro-) 3-month Deposits (Adj.) " 8. 51 U.S. Certificate of Deposits (Adj.) " 5.95 Differential: on Adj. Euro-$ Deposits " +2.56 , +1.06 June 11 7.28 " Euro-$ 3-month Deposits Hire Purchase Deposits (covered) " 5. 65 Lower Differential " -1.63 Upper Euro-S 3-month Deposits " 7. 28 Local Authority Deposits (covered) " 5. 34 Lower Differential " -1.94 Upper 6A - Overnight: U.S. Treasury Bill rate June 25 4. 76 U.K. Treasury Bill rate " 5. 53 Local Authority Deposit (uncovered) " 6. 34 June 18 + 0 . 77 3-month Forward Pound " -0.87 Net Incentive (+- favor London) " - 0 . 10 Spread (+= favor London) Lower * 4. 12 Upper 9A 9B June 25 Euro-$ 1-month Rate on Unadj. Euro ) Deposits 8A Rate Euro-$ 3-month Rate Euro-$ 3-month Deposits Lower 78 Date May 7 16 21 28 25.5lr 6.75r 8.6'r 6 TTr June 4 7.5ir 11 18 6. 0 0 r t-.yi 25 i . 12 IV-4 Chart Panel Series 10A Upper Euro-) Deposits (covered; Lower 10B Upper Rate Date June 23 6.41 German Interbank Loan rate " 6.88 Differential " +0.47 Euro-* Deposits (covered) June 16 5. 35 " 3.50 " -1.85 Swiss Deposit rate 11 12A Lower Differential Upper Canadian Finance Paper June 25 4.00 U.S. Treasury Bill rate " 4. 76 Canadian Treasury Bill rate " 3.12 U.S. Prime Finance paper (not plotted) " 5.38 Second Bill rate differential " -1.64 Forward Canadian dollar " +1.56 Third Net incentive on bills " -0.08 Bottom Net incentive on Finance Paper " 40.18 Upper U.K. Treasury Bill rate Lower June 25 5.53 U.S. Treasury Bill rate " 4. 76 German Interbank Loan rate " 6.88 Japanese Average rate 12B A p ril 7.655 June 25 3.12 U.S. Treasury Bill rate " 4.76 Euro-) Deposits " 6.81 Canadian Treasury Bill rate Swiss 3-month Deposit rate June 18 3.50 U.S. Treasury Bill rate June 25 4. 76 IV - 5 Chart Panel Series 13 Upper Netherlands June 18 7. 11 Canada June 16 6.86 Date United States Switzerland Middle * Lower 14 Lower ** 6.0 7 5. 38 June 15 8.12 United Kingdom June 18 9.32 Euro-dollar bonds June 25 7.58 U.S. Corp. Dollar Euro-bonds May 8.24 U.S. Corp. DM Euro-bonds " 7. 34 U.S. Corp. Aaa bonds " 7.78 June 18 Germany June 23 268.80 June 25 219.95 " 211.10 Canada June 17 221.90 Japan June 25 438.57 " 219.95 United States - 393. 7 United States United Kingdom Middle " June 18 Germany Switzerland Upper Rate * 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. x b APPENDIX The f o l l o w i n g exchange r a t e data are now included in the H.13 s e r i e s of c h a r t s CHART 2A A panel showing 4-month forward Japanese yen has been added. The 4-month forward r a t e i s more r e p r e s e n t a t i v e of forward cover o p e r a t i o n s in Japan than the 3-month r a t e shown in other panels of t h i s chart f o r European c u r r e n c i e s . The Bid one per forward r a t e p l o t t e d i s the weekly average of m i d - p o i n t s of d a i l y forward and Ask q u o t a t i o n s on the Tokyo money market. The spot r a t e used i s the p l o t t e d in Chart 1A and the forward premium or d i s c o u n t i s expressed in cent per annum. The source of 4-month forward yen i s Japan Economic Journal and the s e r i e s has been b a c k - p l o t t e d to July I , 1970. H.13 Data f o r a l l p o i n t s p l o t t e d on new panels (Per cent per annum) 4-month forward Japanese yen 19 70 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 b Sept. , 5 12 19 26 +0.86 +1.04 +0.97 +0.69 13 20 27 +2.03 +2.43 +2.48 +2.03 Apr. 3 10 17 24 31 +0. 68 +0.64 +0. 62 40.63 +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 +0. 69 1 8 15 22 29 +2. 76 +3.49 +5.24 +5.36 +6.15 June Dec. 5 12 19 26 31 +0.85 +0.81 +0.85 +0.94 +1.01 4 11 1° +5.56 +5.07 + 3.06 Oct. " Mar. APPENDIX - 2 Hay 7, 1971 - Call Euro-$ changed to Overnight Euro-$ 1971 Overnight Differential May 12 19 26 9. 86r 5.29r 5.81r + 5. 27r + 0.74r + 1.13r June 2 9 16 23 15.93r 5.04r 4.65 4.50 +11.llr + 0.27r - 0.24 - 0.46