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APrrTF?7C March 8, 1972 No. 548 H-13 Q u T V ' ^ V 3 Dwisi* el k t w i i e a d Fieec# Ee*pe e J M M * C e e w m l * S e l h i SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. 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 6 - 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-S 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.-Germ aiy and U.S.-Switzerland Chart 11 - Interest Aibitrage: United States-Canada Chart 12A 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. 3 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages 2 r GERMAN MARK rate r M , POUND _doljar_ -SWISS FRANC- _1 fr J_ -I _l L_ L_!J , 0 E BOTCH GUILDER / 1 j f F R E N C H FRANC ! i i i i i i 1972 i i i i i i i i , , i J , 1973 , , i , , B, i 3 ^ 1 Chart I B SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent BELGIAN FRANC US ITALIAN LIRA Below J M S M D J 1972 S D 1973 Ratio scale, U S. cents CANADIAN DOLLAR w y ^ v 1 1 1 1 1 1 1 1 1 1 1 M v J S 1970 D 1 1 1 1 1 1 1 1 1 1 1 M J S 1971 D i M i 1 i J i 1 i S 1972 i 1 i D i SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 - Dec. 17, 1971 Above par GERMANY NETHERLANDS FRANCE JAPAN Par Below par JUNE JULY SEPT. AUG. 1971 * Financial franc OCT. NOV. DEC. Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR 11. 1 9 7 1 - Dec 17, 1971 Above par BELGIUM U.K. SWITZ. ITALY Par US MAY JUNE JULY AUG. SEPT. 1971 *For clarity the vertical scale is double that used in IC OCT. NOV. DEC 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per ann 6 CANADIAN DOLLAR + 0 U.K. POUND 6 DISCOUNT 6 GERMAN MARK + 0 - V DISCOUNT- 6 PREMIUM I DUTCH GUILDER + 0 I i i I i i I i i I I' M J S D 1969 M I ' i I i ' I 11°"" J S 1970 Canadian Dollar Rate not supported by Bank of Canada. * No quotation. D M i I • . I i . J S 1971 D M J S 1972 D 6 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages I ' 1 I Per cent per a n n u m 1 1 I 1 1 I 1 1 I ' 1 I M I MJ,uM I ' 1 I M , r-rp-T-y-TT r - r — 12 SWISS FRANC I I I 1 • I • I 1 M J S 1 1 1 1 1 1 1 1 1 I m D 1970 I I I I I I I I I I I * Devaluation of the French franc from 4 . 9 4 to 5 . 5 5 for $1.00. * * No quotation M J S 1971 D M I 1 11 1 1 1 1 11 6 J S D 1972 1 1 I 1 1 J_i 1 I 1 1 C h a r t 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM* 20 GERMAN U S. D O L L A R DISCOUNT— M J S D 1968 * No quotation. M J 1969 S D M J 1970 S D M J 1971 S D Chart 38 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum SWISS FRAMC FRENCH FRANC DISCOUNT— M J S D 196S 4 M J S 19S9 Devaluation of the French franc from 4 *4 to 5.55 for f 1.00 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 50 46 42 3# 34 M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D CHART 5A CALL MONEY RATES DOLLAR FUNDS Per cent per annu Weekly averages EURO-DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS - 1 1 EURC1-DOLLAR OVER FEDERAL FUNDS I M t / 1/tyW 1 vvv - vw 1 11 1 11 1 1 1 11 1 1 1 1 1 1 1 1 1 11 J - ! IVv , , 1 , , 1 , , 1 i i 1 1 1 1 1 1 1 1 1 1 1 EURO-CURRENCIES Weekly averages Per cent per annum 12 EURO-SWISS FRANC i i I i i 1 i i I i i I i i 1 i i I i i 1 M J S D M 1969 * May 10, 1 9 7 1 - J S 1970 Changed to Overnight Euro $ Deposits. D M J 1971 S D M J S 1972 D Chart 58 CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per „ FRANCE NETHERLANDS V A JAPAN - CANADA \a 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 II i i 1 i i 1 i i 1 i i i i 1 i i 1 i i 1 i i m I GERMANY - J 1 1 1 iWl U ' i i ! i i ! i i m j s i ! ,i d 1969 L , r 1 11 ! 1 i 1 1 1 1 1 m j s d 1970 . 1 i 4 f Jl 1 1 I 1 m j i i 1 i i s d J v i i I i i 1 i i 1 i i m j s d 1971 France. Day to day Money, Netherlands, Call Money, weekly average. Japan, Unconditional Money; Canada, Day-to-day Loans, weekly average; Germany, Call Money;U K., 2-day Local Authority Deposits - 1972 39? Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 25.50 OVERNIGHT 1-MONTH CALL [7-OAY M J s D 1969 e M J S 1970 May 12/71-changed to Overnight Euro-Dollar Deposits **July 1 -changed to 7-Day Euro-Dollar D M J 1971 S D M J 1972 S 0 Chart 6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1 Mr \\ 6 l l 0 , m i fl VMfs-UOHTH b 1 1111111111 M J S i i 1i i 1ii D 1969 M J S 1970 1ii D 1 1111111111 M J S 1971 O \ II M 111111111 J S 1972 O Chart 7A NEW YORK-LONDON: YIELDS ON U S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Per cent per annum Wednesday figures CERTIFICATE OF DEPOSIT I I I I I I I I I I I I I I 1 l l I I I 1 I I I l I 1 I I 1 I I I I I I I I 1 I I 1 I I 1 I I DIFFERENTIAL FAVOR EURO DOLLAR AAM r T wvx/ A l\ V A!v - El IRO DOLLAR OVER U.S. CIERTIFICATE OF DEPOSIT 1 11 1 1 1 1 11 I I M J S 1969 ll j 1970 s 1 II 1 ll J 1971 M 1 I I s D 1 I i i m M J 1972 i i ; S 2 Chart 7B NEW YORK-LONDON: COST OF U.S. DOLLAR FUNDS 3-month d o l l a r deposit r a t e s - p r i m a r y market Wednesday figures Per cent per annum ^EURODOLLAR DEPOSIT ADJUSTED EURO DOLLAR DEPOSIT FICATE OF DEPOSIT ADJUSTED I I I I I 1 1 1 1 I I EURO-DOLLAR OVER U S. CERTIFICATE OF DEPOSIT ADJUSTED 1969 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * A d j u s t e d for 2 0 % Marginal Reserve Requirement 3 1 5 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS h i r e purchase and euro d o l l a r r a t e s Friday figures Per cent per a r n u r r EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EUPJ COLLAR S D 1969 M S 1970 D S 1971 D S 1972 D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS l o c a l a u t h o r i t y and e u r o d o l l a r r a t e s Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT "COVERED FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR differential 1969 1970 1971 1972 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures cent per annum 12 1 3-MONTH TREASURY B LL RATES ' r/\Jt A , JL UJC. LOCAL AUTHOWTY DEPOSITS* UNCOVERED Z . J LONOON A . | V I /J V i l E W YORK 1 1111111111 J s 1969 * Plotted for comparison purposes I 1111ll 1111 j s 1970 1 11111111( 1 J s 1971 111111111 ii J s 1972 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum r a t e d i f f e r e n t i a l and 3-month f o r w a r d sterling | PREMIUM, SPREAD IN FAVOR OF LONDON FORWARD RATE DISCOUNT FAVOR LONDON DIFFERENTIAL FAVOR NEW YORK M J S D 1969 M J 1970 S 0 M J 1971 S D M J 1972 S D Chart IDA 3 MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Per cent per annum IN TERMS OF DM 14 LOAN KATE DIFFERENTIAL - Mo quotation f ,n Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC z u r i c h deposit 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 Per cent per annum in t e r m s o f swiss f r a n c s EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH differential FAVOR EURODOLLAR M J S D 1969 No quotation M J 1970 s D M J 1971 S D M J 1972 S 0 Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures P*F #*MWM - b i l l rates CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS TREASURY BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE GROSS SPREAD M FAVOR OF COVERED RATE DIFFERENTIALS FAVOR CANADA FAVOR U S FAVOR CANADA PRIME FINANCE PAPER PRWE FAVOR U S M J SS 1969 D0 MM J J S 1971 S D DM MJ J 1970 S S DD MM j J 1972 S 0 Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum 10 11111111111 11111111111 - 11111111111 f M 111111111 - j# pan v\ i r ^ - \\wj . v canaoaI ax Ya i i 1 i i 1 i i 1 i il 1 1 1 I 1 I l 1 1I I I 1 M 1 1 1 1 11 11 1 1 1 1 1 1 i 11 11 11 1 1 1 1 1 1 1 1968 1970 3-month treasury biM rates for aM countries emce#t Japan(Awerage rate on bank loans and discounts) and Germany(Merbanfc Loan Rate) 1972 2^ Chart 12B SELECTED SHORT-TERM INTEREST RATES * EURO DOLLAR - LONDON SWITZERLAND 1968 1970 • S-month treasury bill rate for U.S.. Switzerland-3-month deposit rate. # # 3-month rate for U.S. dollar deposits in London. 1972 4 ^ ) Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS f y& / CANADA U.S. US. SWITZERLAND 11 U.K. GERMANY EURO DOLLAR BONDS 10 U.S. CORP. DOLLAR EURO-BONOS Monthly figures >. Aaa BONOS US. ^ - U . S . CORP. DM EURO-BONDS 1968 1969 1970 1971 1972 * N e w series for Switzerland starts 8 2-66, 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. * * * New series F starts 12-71. CHART 14 1958=100 INDUSTRIAL STOCK INDEXES ! Ratio scale 280 ! UNITED STATES 200 , W y , 1 ,, 1 11 11111111 1 11111 11111 480 J \ SWITZERLAND X / 360 V - fsj UNITED KINGDOM 1 1 11 111111 1 b 240 i i 1 i i 1 i i 1 i i 1 11 11111111 - I / JAPAN / 1 1 11 111 111 11 / J : 480 360 ' A i zv GERMANY / v / z ^ x J/ r v 240 r CANADA 1 1 1 1 ! i !-i 1 1969 i I 1, i 1! ! i 1 i i ! i 1970 i ! i i ! i i 1 i : 1971 Japan index of 2 2 5 i n d u s t r i a l and other stocks t r a d e d on Tokyo exchange. ' * Japan index of a 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 11 i i 1 1 1 1 1 1972 H. 13 ^ IV. SELECTED CENTRAL BANK DISCOUNT RATES No. 548 Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium France Germany Italy 4.0 March 2, 1972 4.5 Feb. 6.0 Jan. 13. 1972 6.50 Oct. 29. 1971 3.0 Feb. 25, 1972 4.0 Dec, 23, 1971 5. 1972 4.5 Oct. 14. 1971 s.o Ipr Netherlands 4. 0 March 1. 1972 4.5 Jan. 6. 1972 Switzerland 3.75 Sept. 15, 1969 3.0 rulv 10. 1967 5.0 Sent. 3. 1971 6.0 Anr. 1. 1971 United Kingdom Canada \ 1Q71 4.75 Oct. 25, 1971 5.25 Feb. 24. 1971 Japan 4.75 Dec. 29, 1971 5.25 Julv 28. 1971 United States 4.50 Dec. 13, 1971 4.75 Nov. 11, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Series Swiss franc Lower IB Date Upper Rate March 3 +0.018 French franc Japanese yen +0.968 +1.566 Belgian franc +2.241 Italian lire Lower Upper 2B -0.986 Canadian dollar 2A Actual Rate 99.88 German mark +1.232 Dutch guilder +2.167 German mark +2.07 Swiss franc +4.49 U.K. pound Dutch guilder -0.34 +1.26 Canadian dollar -1.19 French franc Lower Japanese yen Feb. German mark 3A 4 25 -0.11 +0.57 +2.17 March 3 it +0.30 Swiss franc ii +3.92 French franc •i 0.29 U.S. dollar 3B -0.806 U.K. pound Gold price, U.S. dollar per ounce March 3 Overnight Euro-$ deposits March 1 48.20 . Upper 5A 1 " 3.18 Middle Differential " 2.96 Lower Euro-currencies: Upper 33 Lower Euro DM March 3 2.32 Euro Swiss Fr. March 3 0.00 Japan, Unconditional Money Feb. 11 5.00 U.K., 2-day Local Author. Deps. Canada, Day-to-day Loans Feb. Feb. 25 23 5.25 3.70 Trance, Day-to-Day Money March 3 4.62 " 4.06 Germany, Call Money i 6.14 Federal Funds 1 Netherlands. Call Money Feb. 25 1.45 0 ? IV - 3 Chart Panel 6A Euro-S 6B 7A Upper 7-Day Rate March 3 Euro-S 1-month Rate Euro-S 3-month Rate •• Euro-S 6-month Rate II 5.31 March 1 4.81 Euro-S 3-month Deposits 3.74 Differential ii +1.07 Upper Euro-S 3-month Deposits M 4.81 Euro-S 3-month Deposits (Adj.) II 6.01 U.S. Certificate of Deposits (Adj.) ii 4.01 Differential: on Adj. Euro-S Deposits Upper Euro-S 3-month Deposits Hire Purchase Deposits (covered) II +2.00 «i +0.80 Feb. 18 5.06 «• 4.43 Lower Differential Upper Euro-S 3-month Deposits ii 5.06 Local Authority Deposits (covered) ii 4.63 Differential ii -0.43 March 3 3.40 Lower -0.63 U.S. Treasury 6ill rate 9A U.K. Treasury Bill rate 4.30 Local Authority Deposit (uncovered) 96 4.50 4.69 Lower on Unadj. Euro-S Deposits 86 3.88 ii n Lower 8A Rate U.S. Certificate of Deposits % 76 Date Series Upper Spread (+= favor London) 3-month Forward Pound Lower Net Incentive (+- favor London) 1 Feb. 25 5.31 March 3 +0.90 11 -0.40 +0.50 IV-4 Chart Panel Series 10A Upper Euro-S Deposits (covered) Date March 1 German Interbank Loan rate 106 Lower Differential Upper Euro-S Deposits (covered) 11 Differential Upper Canadian Finance Paper 1.94 0.40 0. 50p +0.10 March 3 U.S. Treasury Bill rate 3.38 U.S. Prime Finance paper (not plotted) 3.75 Bill rate differential -0.02 Forward Canadian dollar 12A Third Net incentive on bills Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate -1.08 -1.10 +0.17 4.30 U.S. Treasury Bill rate German Interbank Loan rate Lower 3.40 March 1 4.75 Japanese Average rate Decmeber 7.457 Canadian Treasury Bill rate March 3 3.38 .. 3.40 Euro-S Deposits ii 4.69 Swiss 3-month Deposit rate it 0.50 •i 3.40 U.S. Treasury Bill rate 12B 5.00 3.40 Canadian Treasury Bill rate Second 2.81 4.75 Swiss Deposit rate Lower Rate U.S. Treasury Bill rate IV-5 Chart 13 Panel Upper Series Dale Netherlands Feb. 18 Feb. 25 6.68 6.63 Canada Feb. 23 6.46 United States Switzerland Middle * Germany United Kingdom 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 Rale March 1 5.53 Feb. 25 Feb. 15 Feb. 23 4.60 7.'27 Feb. 25 8.31 March 3 7.2 Jan. 7.86 „ February 6.88 7.27 March 3 421.5 Feb. 29 287.4 March 3 244.01 Feb. 25 289.57 Feb. 24 244.14 Feb. 26 498.94 March 3 244.01 * 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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