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1 June 9, 1971 No. 509 H-13 Division of International Finance Europe and British Commonwealth Section LI3RAR* JUN .17 ' (id ,y/l • 7\ • • - C d f i - h d OF RICHPTO!® 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 / / / 2 L T A B L E 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 bA 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 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 I B is attached to this issue. z-: C h a r t 1A SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages SWISS FRANC i ( GERMAN MARK U.K. POUND Below par r Above par FRENCH FRANC- JAPANESE YEN Par U.S. DUTCH GUILDER Below par S D 1968 * * * * * * * * * * M J S D M 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 franc revalued; new par 24.485 U S cents. J 1970 S D M J 1971 S D Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t CANADIAN DOLLAR BELGIAN FRANC Below par CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages Ratio scale, U.S. cents Ratio scale, U.S. cents 100 CANADIAN DOLLAR DUTCH J . GUILDER GERMAN MARK 1971 * Rate not supported by Central Bank 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t per a n n u m PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND V X DISCOUNTM J S D 1968 * No quotation. M J 1969 S D M S 1970 D J 1971 S D C h a r t 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m PREMIUMt DUTCH GUILDER CANADIAN DOLLAR ! y| / FRENCH FRANC 24 28 , J s D 1968 DISCOUNT- 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 q u o t a t i o n D : 32 J 1970 S D S 1971 1 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Pei r e n t per a n n u m 24 PREMIUM 20 GERMAN MARK V U.S. DOLLAR DISCOUNT— M J S D M 1968 * No quotation. J 1969 S D M J 1970 S D M J 1971 S D Chart 3 8 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per a n n u m SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1968 M J S 1969 * Devaluation 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 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 44 42 40 38 M J S D 1968 J S M D J 1969 S 1970 U.S. dollar equivalent per fine ounce 35.3 35.1 35.0 * Market closed March 15-April 1, 1 9 6 8 S D M 1968 M J 1971 MARKET SUPPORTED BY GOLD POOL J 1967 D S D CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per a n n u m 12 EURO DOLLAR DEPOSITS CALL | OVERNIGHT 8 FEDERAL FUNDS 4 EURO DOLLAR OVER FEDERAL FUNDS 2 + 0 2 EURO-CURRENCIES Weekly averages Per cent per annum EURO DM EURODOLLAR EURO-SWISS FRANC S D 1968 * May 10, 1971 - S 1969 Changed to Overnight Euro $ Deposits. D S 1970 D M S 1971 Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Per cent per annum Friday figures - - 12 fvAyd k v - u - ARAN K1V : V \ w\, i ii i i ii ii ii i1 1111 l 1 111111 1 A— < __ : - • " v . CA NADA SELECTED EEC CURRENCIES* Per cent per annum Friday figures 1 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 f/ Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Percent per annum 1-MONTH CALL OV [RNIGHT S S D 1968 1969 * May 1 2 / 7 1 - c h a n g e d to Overnight Euro-Dollar Deposits D J 1970 S D s M 1971 D Chart 6 8 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures 13 12 11 10 .6-MONTH 9 8 3 MONTH 7 6 5 4 3 2 M S D 1968 M J 1969 S D M S 1970 D M J 1971 S 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 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s 1968 1969 s 1970 s 1971 D Chart 76 NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per annum EURO-DOLLAR DEPOSIT ADJUSTED EURO DOLLAR DEPOSIT U S. CERTIFICATE O f ADJUSTED4 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED' S D 1968 S 1969 * Adjusted for Reserve Requirement * * A d j u s t e d for 10% Marginal Reserve Requirement * * * Adjusted for 20% Marginal Reserve Requirement D S 1970 D S 1971 Chart 8A LONDON: COVERED YIELDS ON US, DOHA* FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures 14 12 10 [— 8 HIKE PURCHASE COVERED 6 4 2 0 FAVOR HIRE PURCHASE 0 Ml 2 4 6 8 DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1968 D 1969 S 1970 D M J 1971 S D .ONDON: COVERED YIELDS ON U * QOUJtlt FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday figures Per cent per ai 14 12 EURO DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT COVE MO 4 2 0 FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL 10 FAVOR EURO DOLLAR S D 1968 S 1969 D M J 1970 S D M J 1971 S D Chert 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum e 3-MONTH TREASURY BILL RATES U.K. LOCAL UNCOVERED LONDON NEW M J S D 1968 * Plotted for comparison purposes M J 1 H S $ D • J 1#7# $ D M J 1971 S D Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD m FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE T T 2 T IN FAW* OF LONOOft RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) s D 1968 M S 1969 D J 1970 S D M S 1971 D Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per ar 14 IN TERMS OF DM 12 10 8 GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED 6 4 2 0 4 DIFFERENTIAL FAVOR FRANKFURT 2 w - A „/L . 1 1 1 1 1 1 1 1 1 1 I J S 1968 I I I I I I I I I I 1HI V + 0 FAVOR EURO DOLLAR I I I I I I I I I I I • J s 1 1 1 1 1 1 1 1 1 1 1 1970 1971 M J S 2 Chert 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cent per 14 IN TERMS OF SWISS FRANCS 12 10 EURODOLLAR COVERED 8 6 SWISS DEPOSIT RATE 4 2 FAVOR ZURICH DIFFERENTIAL 2 + 0 2 4 6 FAVOR EURO DOLLAR D 1968 M J I960 s D M S 1S70 S D 1971 D 8 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Per cent per at Friday f i g u r e s 10 BILL RATES CAN. FIN. CO. PAPER 8 6 UNITED STATES TREASURY BILLS TREASURY BILLS 4 BILL RATE DIFFERENTIAL^AND FORWARD CANADIAN DOLLAR 2 FORWARD RATE + 0 GROSS SPREAD M FAVOR O f CANADA i iH i i 1 i i I I I i 1 I I 1 1 I I 1 I I 1 I I I I I 1 11 DISCOUNT I I I 1 2 FAVOR CANADA COVERED RATE DIFFERENTIALS 2 TREASURY BILLS + 0 FAVOR U S 2 1 PRIME FINANCE PAPER FAVOR CANADA 2 0 FAVORUS 1968 sp' Chart 12A SELECTED SHORT-TERM INTEREST RATES'* Per cent per annum r~U - - GERMANY V vT\U.K. W\ > * - L * h 11111111111 11111111111 1 1 1 1 1 1 1 1 1i V 1l 1M 1 1 1 1 I I 11111111111 - V - JAPAN K \ AAU-S* - c c f " - CANADAX^I IX V M - 1 i 111111111 1967 I I 1 1 1 1 1 1 1 1 11 111 1 1 1 1 1 1 1 1968 1969 11 1 1 I 11 1 1 M 1 1i M i M i M 1970 * 3 month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) / 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 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 Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m 1 10 NETHERLANDS —fSWITZERLAND | n i l ! M i l ! ! 1 I I 1 1 1 1 1 1 1 I 1I I I U M i 1 11 11! 1 1 I UK EURO DOLLAR BONDS GERMANY Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1968 * 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, E i r o Dollar Bonds start 4 2 71 * * New Average yield of all German PA Bonds begins 9 4 70 1.1- 4 CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 320 280 A - ^\U.K. 200 1 i i ! i i 1 i i 1 i i -• i i 1 i i 1 i i 'v w f - J A V 1 i 1 i W—V- 1 1 1 1 i X I I 1 1 I I 1 1 I I 1 l l 1 1 1 z^ v SWITZERLAND 160 400 320 ^-w^GERMANY 240 X y v \ ; i ! i i 1 ! i 1 i i i i ! i i ! i i 1 i i i i i u $ iW i 1 1 1 i m ! . ^ J A P A N - * r W v x . i i 1 i i i i y - / i 400 320 240 A / \ C A N A D A 1 1 i 1 f 1 1 ! 1 1 1 1 1 1 1 1 1 1 1 1 1 I I 1968 1969 1 1 1 I I 1 1 1 1 I I ! 1 1 1 1 1 1 1 1 I I 1970 * Japan index of 225 i n d u s t r i a l and other stocks traded 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. 509 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 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 Aug. 4, 1969 13, 1971 Netherlands 5. 5 Apr. 5, 1971 6.0 Switzerland 3. 75 Sept.15, 1969 3.0 July 10, 1067 United Kingdom 6.0 Apr. 7.0 Apr. 15. 19 70 Canada 5.25 Feb. 24, 1971 5. 75 Feb. Japan 5.5 May 5. 75 Jan. 20, 19 71 United States A. 75 Feb. 13, 1971 5.0 Jan. 19, 1971 1, 1971 8, 1971 !5, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS ! Chart 1A - Panel Series Date Upper Swiss franc June 4 - U.K. pound June 4 + 0.740 French franc June 4 + 0.349 Rate 0.322 Lower Japanese yen Belgian franc IB June 4 + 0.713 " + 0.064 Italian lire * See Appendix for back data German mark 2A June 4 2B 3A 3B 4 5A 5B U.K. pound - 0.92 Dutch quilder + 2.70 Canadian dollar + 1.36 French franc + 0.41 German mark + 3.40 U.S. dollar + 0.98 Swiss franc + 2.77 French franc + Gold price, U.S. dollar per ounce Upper June 2 Middle Federal Funds Differential Lower Euro-currencies: Euro $ June 4 Lower " Euro DM " Euro Swiss Fr. » 4.82 + 1.28 8.33 0.83 0.83 Japan, Unconditional Money May 28 6.50 May 21 6.50 Canada, Day-to-day Loans June 3 2.70 France, Day-to-Day Money " 4 6.88 Germany, Call Money U.S. Cents Canadian dollar German mark Dutch guilder ** May 7/21 -- Call Euro-$ changed to Overnight Euro-$ 8.40r-4.77c 5.21r-6. 10 U.K., 2-day Local Author. Deps. Netherlands, Call Money 1T, 1. 16 40. 66 June 4 May 12 - 19 - 26 - June 2 ** Overnight Euro-$ deposits Upper + 2.99 + 2.74 Swiss franc " 4 May 21 June 4 6.62 0.97 98.48 28! 11 IV-3 Chart Panel Series Rate Date May 21 6A Euro-$ Overnight Rate 6B May 28 June^4 7B Upper June 4 7. 31 Euro-$ 3-month Rate " 7. 31 Euro-$ 3-month Deposits " 5.26 Differential " + 2.68 Upper Euro-$ 3-month Deposits » 7. 94 Euro-$ 3-month Deposits (Adj.) " 9.92 U.S. Certificate of Deposits (Adj.) « Differential: on Adj. Euro-$ Deposits " + 4. 66 " + 2.68 Upper Euro-$ 3-month Deposits Lower Differential " Upper Euro-$ 3-month Deposits » Local Authority Deposits (covered) " Lower Differential » Hire Purcnase Deposits (covered) 9A Upper 7.00 May 14 5. 30 " - 1.70 7.00 5.24 - 1.76 June 4 4.18 U.K. Treasury Bill rate June 4 5.52 Spread (+= favor London) 3-month Forward Pound Lower 5.26 U.S. Treasury. Bill rate Local Authority Deposit (uncovered) 96 7.94 Lower on Unadj. Euro-$ Deposits 8B 7. 31 " June 2 U.S. Certificate of Deposits Lower 8A 3.75 Euro-$ 1-month Rate Euro-S 6-month Rate 7A 2.25 3.50r Net Incentive (+= favor London) * May 7/21 -- Call changed to Overnight Euro-$. May 28 June 4 » 6. t;i + 1.34 - 1.06 + 0.28 IV- 4 Rate Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) June 2 German Interbank Loan rate " Lower Differential " Upper Euro-$ Deposits (covered) " 4.44 Swiss Deposit rate " 3.50 10B 11 Lower Differential Upper Canadian Finance Paper 12A 6. 12 + 1.72 -0.94 June 4 4.00 U.S. Treasury Bill rate " 4.18 Canadian Treasury Bill rate " 2.99 " 5. 13 U.S. Prime Finance paper (not plotted) Second " 4.40 Bill rate differential " - 1.19 Forward Canadian dollar " + Third Net incentive on bills " + 0. 11 Bottom Net incentive on Finance Paper " + 0. 17 Upper U.K. Treasury Bill rate June 4 5. 52 U.S. Treasury Bill rate " 4. 18 German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate 126 1.30 7.31 March June 4 7.663 2.99 U.S. Treasury Bill rate 4. lb Euro-$ Deposits 7. 31 Swiss 3-month Deposit rate 3. 50 U.S. Treasury Bill rate 4.18 IV- 5 Chart Panel Series 13 Upper Netherlands May 21 Canada June 4 United States June 2 Switzerland Middle Rate Date U.S. Corp. Dollar Euro-bonds " 28 8.04 " 21 Upper 7.76 April 8.12 » 7. 17 U.S. Corp. Aaa bonds June 4 Switzerland June 4 Germany United States Middle United Kingdom Canada Lower ** Japan United States 9.26 June 4 U.S. Corp. DM Euro-bonds 14 5.78 5.32 United Kingdom Lower 6.44 May 19 * Germany Euro-dollar bonds 6.99 May 28 June 4 " May 27 7.78 391.7 277.20 226.80 214.92 214.72 June 4 413.50 " 226.80 * 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 IB Two panels have been added showing exchange rates for currencies not supported by central banks: a) b) Canadian dollar, starting June 1, 1970; German mark and Dutch guilder, starting May 10, 1971. The rates of these currencies are expressed in U.S. cents per unit of foreign currency and are weekly averages of daily certified noon rates in New York. Source is Federal Reserve Bank of New York. H. 13 Data for all points plo tted on new (U.S. cents) H. 13 issue dates 1970 June 5 12 19 26 July Aug. Sept. Oct. Nov. Canadian dollar* 96.8 96.2 95. 7 96.2 3 10 17 24 31 96.7 96.7 96.7 96.9 97. 3 7 v4 21 28 97.7 97.6 98.1 98. 1 5 12 19 26 98.2 98.4 98.8 98.4 2 9 16 23 30 98.1 97.8 97. 7 97.9 98.0 6 13 20 27 98.0 97.9 98.0 98. 2 * - Floated June 1, 1970. ** - Floated May 10, 1971. H. 13 issue dates 1970 Dec. 4 11 18 25 1971 Jan. Canad ian dollar* German mark*- Netherlands guilder** 98.0 98.0 98. 1 98.5 1 8 15 22 29 98.9 98.8 98. 7 98.9 99.0 Feb. 5 12 19 26 99.2 99.2 99.2 99.4 Mar. 5 12 19 26 99.3 99. 6 99.4 99.2 Apr. 2 9 16 23 30 99.2 99.3 99.3 99.2 99.1 May 7 14 21 28 99.2 99.2 99.1 99.1 28.15 28.36 28.27 28.18 28.23 28.14
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