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Moy 10, 1972 No. 557 H.13 Dm si. i d F i w c e Ewroye mi British 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 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 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 31,1%8. The changes in the format and order of the charts are explained in the Supplement to the series, which accompanied issue dated January 1,1%9. All series and their sources are fully described in a Supplement dated January 1, 1972. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent Above 2 GERMAN MARK U.K. POUND Central rate against d U i? SWISS FRANC I. . • I I I 1 I I I I DUTCH GUILDER 1 N Below I Abl wV -RENCH FRANC Central rate against dUi? / I JAPANESE YEN t i i i 1 i i ! i i—1—i—i— i i 1 I i 1 1 i J 1972 1973 i i | 1 . i i Bel 1 Chart I B SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages A I BELGIAN FRANC / I\ / rate against / ITALIAN LIRA / 1 1 1 1 M 1 1 1 1 J j 1 1 i S l l D i i M 1 i i 1972 1 i 6 J B i T< D 1973 Ratio scale, U.S. CANADIAN DOLLAR ^ 100 V V A V 1 1 1 1 1 1 1 1 1 1 1 M J S 1970 D i i i M i i i J 1*71 i i i S i i 102 1 1 1 1 1 1 1 1 1 1 1 M J 1972 S "•6 Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 - Dec. 17, 1971 Above par GERMANY NETHERLANDS FRANCE JAPAN Par MAY JUNE JULY SEPT. AUG. 1971 * Financial franc OCT. NOV. DEC. Chart I D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1 9 7 1 - Dec. 17, 1971 BELGIUM U.K. swrrz. ITALY U.S. MAY JUNE JULY AUG. OCT. 1971 *For clarity the vertical scale is «e*Me feat w e * in 1C NOV DEC. Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM CANADIAN DOLLAR U.K. POUND DISCOUNT GERMAN MARK - V DISCOUNT PREMIUM* DUTCH GUILDER I I i i i i i I i i 1 i i M J S D 1969 I I I DISCOUNT— M J S D 1970 * Canadian Dollar Rate not supported by Bank of Canada. * * No quotation i l l I I I i i I i i 1 i i I i i I i i I i i I i i I i i i i i I i i I i i I i i M J S 1971 D M J S 1972 D 6 Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum 1 1 1 1 1 1 1 1 1 1 1 I ' " l " l ! 1 | 1 1 | 1 1 | II 1 4 sw ISS FRANC I 1 FR ENCH FRANC * w U T 1 " 1 i i 1 i i 1 i i , , 1 , , 1 , , 1 M J S D 1970 M J S D 1 1 1 1 1 1 1 1 1 1 1 M 1971 S 1972 i • Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * No quotation J D Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per ai PREMIUM GERMAN MARK U.S. DOLLAR s D 1969 * No quotation. J 1970 s D M J 1971 s D M J 1972 S D Chart 38 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures . pef cen( per SWISS, FRANC FRENCH FRANC DISCOUNT- M S D 1969 M J S 1970 * Devaluation of the French franc from 4 94 to 5 55 for $1 00 S D 1971 D M J 1972 s D a n n u m v x V GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce - - / f - / " / - / 1 'v A; 4 ^Inr 1 1. M 1 1 1 1 J S 1 1 D 1969 1 1 1 1 M 1 1 J S 1970 i i D A r 1 i i i i M J r 1 1 1971 S - 1 1 1 1 D M 1 1 J 1 1 S 1972 1 1 D CHART 5A CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages 16 i i II EURO-DOLLAR Deposits CALL OVER#IIGHT ! | i 1 12 i & - V"M I L1 W - FEDIERAL FUNDS i - EURO-DOLLAR OVER FEDERAL FUNDS 1 Vvf i i 1 i i 1 i i 1 i i l/Hr \j*\ y^\pi 111 M 111111 JJ II ws i i 1 i i 1 i i 111 w VV i i 1 M 1 M 1 ii EURO-CURRENCIES Weekly averages Pec cent per annum 12 I I I I I I 11 I I I * May 10, 1971 - Changed to Overnight Euro $ Deposits. Chart 5B CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES* Friday figures Per cent per annum 12 i i 1 ii -—-v. NETHERLANDS 1 i i 1 i i 1 i iT i i I i i I i i L_/— JAPAN - "A 1 1 1 1 1 1 1 1 1 1 I 1 I 1 1 1 1 1 1 1 1 1 I 1 1 II CANADA 1 I I 1 I 1 1 I 1 I I 1 l I 1 I I 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 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures OVERNIGHT 1 MONTH I I I I I I I • M a y 12/71-changed to Overnight Euro-Dollar Deposits * * July 1-changed to 7-Day Euro-Dollar Chart 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Far cent per annum V J 6-MONTI h ihJ 1 k/v I mV x 1 II 1 1 1 1 II M J 1 1 1 1 ! 1 1 1 I II 1 II S D 1969 M J 1970 S D 1 1 1 1 1 1 1 1 1 1 1 M J S 1971 D M M 1 II J 1 II 1 II S D 1972 Chart 7A NEW YORK-LONDON: YIELDS ON U S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum 12 1 jv\/i •JjJA fj v XV k U.S. CERTIFICATE OF DEPOSIT 1i i 1 i i 1 i i 1 i i - , jVL V Y S - 1 1 1 1 1 1 1 11 1 1 10 EURO-DOLLAR DEPOSIT 1 - V i i 1 i i 1 i i 1 i i 1 11 1 1 1 II DIFFERENTIAL 1 1 1 FAVOR EURO-DOLLAR j A " AAM Vy^ r A / V wvx/l - El RO DOLLAR OVER U.S. GERTIFICATE OF DEPOSIT i i M 1 i i 1 i J i S 1 i i O i i M 1969 1 i i 1 i J 1970 i S 1 i i D i i M 1 i J i ! i S 1971 i 1 i D i M M 1 i j i 1 M 1 i S O 1972 i Chart 78 NEW YORK-LONDON: COST OF U S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per annum e u r o - d o l l a r deposit ADJUSTED euro d o l l a r deposit u s. c e r t i f i c a t e o f deposit ADJUSTED I I 1 1 I 1 I 1 I I I EURO-DOLLAR OVER U S. CERTIFICATE OF DEPOSIT ADJUSTED * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * *Adjusted for 20% Marginal Reserve Requirement Chart 8A LONDON: COVERED YIELDS ON U S. DOLLAR RINDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per annum EURO-DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D + Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum e u r o d o l l a r deposit l o c a l authority deposit "COVERED FAVOR LOCAL AUTHORITY FAVOR EURO-DOLLAR DIFFERENTIAL 1969 1970 1971 1972 + & INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 12 1 3-MONTH TREASURY B LL RATES / J A UJC. l o c a l AUt m o r i t y deposits* S UNCOVERED A A \\ A. a M \ z v w v o r k 1 1 I M I 1 1 1 1 1 1 1 J S 1 i M 1969 # Plotted for comparison purposes 1 1 1 1 1 1 1 1 1 J 1970 S 0 1 1 1 1 1 1 1 1 1 1 1 M J 1971 S 0 I i 1 i J 1 i i 1 i i M J 1972 S Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING | r ^ \ a 4 PREMIUM. spread in f a v o r o f l o n d o n J /I 1 forward r a t E v v 1 DISCOUNT 1 1 1 11 1 1 1 1 1 1 A 1 1 1 II 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 II DIFFERENTIAL 1 r Jf] /* i i i 11 M a~ J W A A / V 1 1 1 II i i J i \aJ\JY |f FAVOR NEW YORK i S 1 II M • i 1 II FAVOR LONDON i i I D 1969 I 1 I I M 1 l J 1970 I 1 I S i I i i i i i i i i i i I I D D 1971 1 1 1 1 I I M J 1972 1 1 1 S D Chart I OA 3 MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM german interbank loan rate eurodollar COVERED DIFFERENTIAL FAVOR FltANKFlMT FAWMCIMO-OOUAJt M J s 0 1969 No quotation M J 1970 s 0 M J 1971 s 0 M J 1972 $ 0 Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED DEPOSIT RATE DIFFERENTlAl FAVOR EURO-DOLLAR M J S D 1969 No quotation J 1970 S D M J 1971 S D M J 1972 S D 1 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures II 11111 I 1 1 1 I I - b i l l rates \ V | 1 1 | II V , \ | 1 1 1 1 | 1 1 ] II m | 1 1 | i t | i i | m J, \ Kciin . m . oo. m k r - UNITED STATES TREASURY MLLS - m S ^ m u s v s — b i l l r a t e different!* l l and f o r w a r d canaduln d o l l a r ARNNMND a V\y-v Vx V V r- MOSS SPREAD M FAV Ml Of CANADA ;r^\ V mmimt " c o v e r e d r a t e d i f f e r [ntials fw M—CMMSi x VVVm URY BILLS /^vm/ \ a J\ ji a i / S j w \ / \y v j \ v Jr v^VS7 1 1 1 1 1 1 1 1 1 1 1 H j s O M J mcmmm RNANCE PAPER 1 1 1 1 1 1 1 1 11 1 IK* fmot u4 S 1*70 O v v v i i 1 i i 1 ii M J ltn S O i 1 ii ii 1 i i I I . « * • » * " 11 1 l-ll- J Wl t O C l w t 12A SELECTED SHORT-TERM INTEREST RATES* US. 1970 vm Chart 128 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum euro-dollar - l o w uj. switzerland 1968 1970 * 3-month treasury bill rate for U.S., Switzerland-3-month deposit rate. # * 3-month rate for U S dollar deposits in London. 1972 Chart 13 LONG-TERM BOND YIELDS r figures 10 6 III I I T l l l l I I I 1 I I I I I I I I I I I I III I I I I I 1 I I I I I 1I 1 4 11 I euro-dollar b o n d s ™ I 1 I II I I I I I I I I I I 1 I I 1 I I I 1 I I I I 1 I I I I 1 I I 1 I I I I I I I I I I 1 u.s. c o r p . d o l l a r e u r o - b o n d s Monthly figures 7 • ' 11 1 I 1 1 I 1 I I I 10 0 US. c o r p . dm e u r o - b o n d s I I I I I 1 I I 1 I I I 1 I 1 I I I I i 1 I I 1 I 1 l i 1968 1969 6 I I I I I I I I I I I I I I I I I I I 1 I I I 1 I 1 I 1 I I I 1970 1971 1972 lew series for S w U e r l w d starts g - 2 - t t . ' u . S . Carp. Dollar Euro-Bonds and U S Corp. OM Euro-Bonds starts 12-70. Hew Average yield of a * German F A . Bonds begins 1 7 4 # • New series F starts 12-71. * * Euro-Dollar Bonds suspended as of 3-3-72. 4 w> CHART 14 INDUSTRIAL STOCK INDEXES 280 united states 200 480 switzerland 360 u n i t e d kingdom 240 160 japan 360 germany 240 canada 160 1969 1970 1971 * Japan index of 225 industrial and other stocks traded on Tokyo exchange. * * Japan mde% of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange. 1972 H. 13 No. 557 Country ' IV. SELECTED CENTRAL BANK DISCOUNT RATES In Effect Since In Effect Since Previous Rate 4. n March 2. 197: 4.S Feb 5 7S A p r i l 6 . 197: 6.0 J a n . 13. 1972 3.0 Feb. 25. 1975 4.0 Dec. 2 3 . 1971 4.0 Api.*i in LS fV-f- Current Rate E.E.C.: Belgium France Gemtany Italy Netherlands Switzerland United Kingdom Canada Japan l n March 1 r 197: 4.5 3. 7S S p p t . I S . 196< 3.0 J u l v 1 0 . 1967 s n S p p t . 3. 1971 6.0 Apr. 1 . 1971 1 c 71 5.25 F e b . 24. 1971 2 9 . 1971 5.25 J u l y 28. 1971 4.75 4.75 4.59 DPC. . ..Der-,..L'L_ 1SLZJ - 4.75 s 16, 1<i 71 Ten. 6 . 1972 1 United States iq: 7 5 . 1972 IV-2 L A T E S T F I G U R E S P L O T T E D ON T H E C H A R T S Chart Panel Series Date 1A Upper Swiss franc U . K . pound French franc Japanese yen May 5 -0.601 «• +0.203 +1.866 +1.215 Lower IB Upper Lower 2A Upper 2B Lower 3A 3B 4 Upper 5A Middle Lower 5B , Upper Lower 1 Belgian franc Italian lire Canadian dollar German mark Dutch guilder " " " ii Actual rate " " " Rate +1.719 -0.344 100.75 +1.332 +0.829 German mark Swiss franc U . K . pound Dutch guilder Canadian dollar French franc Japanese yen May 5 it German mark U.S. dollar Swiss franc French franc A p r i l 28 " +1.57 +0.05 +2.61 +0.15 Gold price, U.S. dollar per ounce May 5 50.52 " " " " II " " Overnight Euro-$ deposits May 3 Federal Funds " Differential " Euro-currencies: Euro DM A p r i l 8 - May 5 " Euro Swiss Fr. " A p r i l 28 Japan, Unconditional Money U . K . , 2-day Local Author. Deps. " Canada, Day-to-day Loans A p r i l 2 6 - M a y 3 France, Day-to-Day Money May 5 Germany, Call Money " Netherlands. Call Money A p r i l 1 4 •- A p r i l 2 1 +1.52 +2.93 -0.13 +2.65 -1.28 -0.34 3.77 4.25 -0.48 3 . 4 4 p. 0.75 5.00 4.50 2.53 0.75 3.65 5.50 3.94 0.70 3.80 0.60 IV-3 Chart Panel 6A Date Series Euro-J 7-Day Rate Mav 5 3.86 Euro ) 3-month Rate it 4.94 Euro-) 6-month Rate it 5.44 Euro-S 1-month Rate 6B 7A Upper Euro-$ 3-month Deposits 4.50 Mav 3 U.S. Certificate of Deposits 7B Lower Differential Upper Euro-$ 3-month Deposits Differential: on Adj. Euro-S Deposits Euro-S 3-month Deposits 86 Differential Upper Euro-S 3-month Deposits Local Authority Deposits (covered) Lower Differential U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 9B Upper Spread (+= favor London) 6.18 A p r i l 21 „ 4.94 4.61 +1.57 40.33 5.19 4. 71 -0.48 A o r i l 21 „ Hay 5 II A p r i l 28 Mav 5 3-month Forward Pound Lower „ •1 Hire Purchase Deposits (covered) Lower 40.45 || on Unadj. Euro-S Deposits Upper „ „ U.S. Certificate of Deposits (Adj.) 8A 4.94 4.49 Euro-$ 3-month Deposits (Adj.) Lower Rate 5.19 4.58 -0.61 3.44 4. I f 4.56 40. 75 -0.22 Net Incentive (+= favor London) " 40.53 IV-4 Chart Panel Series 10A Upper Euro ) Deposits (covered) Date May 3 German Interbank Loan rate 10B 11 3.37 5.00 Lower Differential Upper Euro-) Deposits (covered) 2.02 Swiss Deposit rate 1.50p Lower Differential Upper Canadian Finance Paper Second 12A Rate +1.63 -0.52 May 5 5.88 U.S. Treasury Bill rate 3.44 Canadian Treasury Bill rate 3.53 U.S. Prime Finance paper (not plotted) 4.37 Bill rate differential +0.09 Forward Canadian dollar -1.28 Third Net incentive on bills -1.15 Bottom Net incentive on Finance Paper 40.23 Upper U.K. Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate May 5 ft 3.44 May 3 5.00 February 7.340 May 5 U.S. Treasury Bill rate 12B 4.19 3.53 3.44 Euro-) Deposits ii Swiss 3-month Deposit rate " 1.50p «• 3.44 U.S. Treasury Bill rate 4.94 IV-5 Chart Panel Series 13 Upper Netherlands Date Canada United States Switzerland * Germany Middle United Kingdom Euro-dollar bonds U.S. Corp. DM Euro-bonds A p r i l 21 6.54 Mav 3 7.08 •i 5.58 A p r i l 21 „ 4.88 A o r i l 28 8. 63 F March „ Switzerland Upper Germany United States United Kingdom Middle Canada Lower ** Japan United States 8.17 6.88 U.S. Corp. Aaa bonds 14 7.86 suspenc ed U.S. Corp. Dollar Euro-bondSg^^ Lower Rate 7.24 Hay 4 434.Op A p r i l 28 298.2 Hay 5 240.51 A p r i l 28 298.04 A p r i l 27 A p r i l 22 A p r i l 2f 244.58 552.22 556.68 Hay 5 240.51 * 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.
@FedFRASER