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Moy 17, 1972 No. 558 H-13 Divisiw •< ktgpsNB mmce f i p t mi Iritirfi Ctmmn i i>Wb SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS M M D OF GWEMOtSOr THE FEDEMLRESEtVE 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 Stales-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 hilly described in a Supplement dated January 1, 1972. lo&t Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent GERMAN MARK U.K. POUND SWISS FRANC Below 1 DUTCH GUILDER FRENCH FRANC Central rate against U.S. JAPANESE YEN Below s 1972 D M J 1973 S 0 Chart IB SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages 2 Central rate against US J I I I L J I I I I 1972 I I I I I I 1973 Ratio scale, U S cents tT 102 CANADIAN DOLLAR / A J V r 100 w 98 96 V i i 1 I I 1 i M J i 1 i S 1970 i i D i 1 i i M 1 i J 1971 i 1 i S i i D i 1 i M i 1 i J 1972 i 1 i i 670 Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR GERMANY NETHERLANDS FRANCE JAPAN Par US. MAY JUNE JULY AUG. SEPT. 1971 * Financial franc OCT. NOV. DEC. SPOT EXCHANGE HATES - MAJOR CURRENCIES AGAINST US. DOLLAR May 11, 1971- pec 17, 197_1 per 7* 6 5 4 BELGIUM 3 U.K. swrrz. 2 ITALY 1 PW M* U.S. MAY SEPT. JUNE IS71 OCT. NOV. DEC cvChart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum PREMIUM* CANADIAN DOLLAR U.K. POUND DISCOUNT- PREMIUM GERMAN MARK DISCOUNT- PREMIUM DUTCH GUILDER DISCOUNTS M 1969 1970 * Canadian Dollar Rate not supported by Bank of Canada. * * No quotation. D J 1971 S D M J 1972 S 0 Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Per cent per annum Weekly averages ' ' I 1 1 I ' 1 I 1 1 I 1 1 I 1 1 I 1 1 I 'PRUUL.1 I 1 1 I 1 1 I 1 1 I ' ' ! ' ' ! ' ' ' I 1 2 SWISS FRANC FRENCH FRANC I I I I I I I l I , , ,Tl I I I I I I I I I I I I I I I I I I I I I I 6 I I I I I I I I I M j 1972 * Devaluation of the Fremc* frame frwa 4.S4 te $.55 for $1 00 • • N o quotation S D 3-MONTH FORWAR^EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 20 GERMAN MARK U.S. DOLLAR i I i i 1 i i I i i I i i I i i I i i 1 i'i m i 1970 No quotation 1I I I I I 1I I I I I I I I 1I I I I I I 8 & Chart 3# 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST UK. POUND Friday figures Par cant par annum PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT M J S 0 1969 M 4 S 1970 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 0 M J 1971 S 0 M J 1972 S 0 Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce - r - - j / - / - / I 1X rA A/ r - A j\nr 1 1 11 11 11 11 11 11 11 1 M J S D M 1969 J S 1970 D M ii ii ii ii ii ii ii J 1971 S D M J S 1972 D V CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum 16 B 1 EURO-DOULAR DEPOSITS CALL OVER#ilGHT l j - - ! ! vJ - \w* L FEDCRAL FUNDS 1 - I I I I I I I I I I I 1111 I I I I I 1I 1 II 12 J I I I I I I I I I I I I I I I I I I I I I EURO-CURRENCIES Weekly averages 12 - J U/U / EU*0-SIIttSFHAIIc' i i i i i i . i i . i l i i n j s 1S6S tf 10. 1971 - o e 1 i i 1 1i1 1 1 i s o vm W OmawigM Ewe I Dipiiite i til i 1 11 M 1 i j s 1971 1 EUMMM /Vk 11 f T i 1 i i 1 M D M J IS72 S D Chart 5B CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per annum 12 i i 1 i i 1 i i 1 i i 1 i i 1 i i 1 ii NETHERLANDS I i i I i i 1i i 1i i I i i 1 i i Ti i 1 ii 1i i JAPAN - j i i 1i i 1 i i 1 i i CANADA V / i i 1 i i 1 i i 1 II II 1 11111111 1 11 111111l l France, Day to day Money, Netherlands, Call Money, weekly average. Japan, Unconditional Money; Day to day Loans, weekly average; Germany, Call Money;U.K., 2-day Local Authority Deposits Digitized Canada, for FRASER o LONDON: EURO DOLLAR DEPOSIT RATES Friday figures # May 12/71-changed to Overnight Enro-OoNar Deposits •*July-l—chenged to 7-Oey Cure-Dollar Chart 6B LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum \ J h iki V\ 6-MONTt i m VI V^Jfz-mOKTH ' id V 1 1 1 II M 111 11 1 J S D 1969 1 1111111111 M J S 1970 D II M 11 11II J 1971 S 11 1 D 1 1111111111 M J S 1972 D Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES—SECONDARY MARKET Wednesday figures Per cent per annum EURO-DOLLAR DEPOSIT U S. CERTIFICATE Of DEPOSIT DIFFERENTIAL FAVOR EURO-DOLLAR EURODOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J s o M 19S9 J 1970 $ 0 M J 1971 s D M J 1972 s 0 Chart 76 NEW YORK-LONDON: COST OF U S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures I Pef cent per EURO DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT I ADJUSTED EURO DOLLAR OVER V U S. CERTIFICATE OF DEPOSIT ADJUSTED' M J S D 1969 M S 1970 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * Adjusted for 20% Marginal Reserve Requirement D M J 1971 S D M J 1972 0 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURODOLLAR RATES Friday figures HIRE PURCHASE COVERED kaF ft m A L v FAV0 * WIRE PURCHASE v - - m i i M J S i . O 1 1 1 1 M 19*9 * 1 1 1 1 1 1 J 1970 S O I M i , ? T , T M T ? r I 1 I I 1 I I 1 i I j S 1971 O M J 1972 S O Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures 12 EURO DOLLAR DEPOSIT 9 6 LOCAL AUTHORITY DEPOSIT 3 "COVERED + 0 FAVOR LOCAL AUTHORITY + 0 3 6 FAVOR EURO-DOLLAR 1969 1970 1971 1972 9 Charttt INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Par cent per aaawm 3 MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED LONDON NEW YORK M J 1969 s D M * Plotted for comparison purposes J 1970 s D M J 1971 s 0 M J 1972 S 0 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures 1 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I r ^ \ A / S 4 PREMIUM i SPREAD IN FAVOR OF LONDON A 1 FORWARD RAT E y 1 I V 10 DISCOUNT n i l 1 1 1 1 1 I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 DIFFERENTIAL FAVOR NEW YORK I I I ( I I I I I I I 3-MONTH FUNDS INTEREST ARBITRAGE; EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per; 14 IN TERMS OF DM 12 10 GERMAN INTERBANK LOAN RATE • 6 EURO-DOL 4 COVERED 2 0 LJ- 4 DIFFERENTIAL FAVOR FRANKFURT 2 + 0 FAVOR EURO-DOLLAR ± M J S D M 1969 J 1970 S D M J 1971 S D M J 1972 S 2 0 few 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 SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR M J S D 1969 No quotation M J 1970 S D M J 1971 S D M J 1972 S D 2 3-MONTH INTEREST ARBITRAGE; UNITED STATES - CANADA Friday figures I I | I I | I I | I I I I | I I Perceetpere | I I | I I BILL RATES CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE GROSS SPREAD IN FAVOR OF CANADA COVERED RATE DIFFER NTIALS TREASURY BILLS FAVOR U S FAVOR CANADA PRIME FINANCE PAPER I I I I I I I I I II I I I I I I I II FWO* V * I I I I I I I I I I I I I I I 8<i Chart 12A SELECTED SHORT-TERM INTEREST RATES' Per cent per ammwm GERMANY U.K. US. JAPAN US CANADA^ IMS I f 70 IS71 Chart 12B SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO-DOLLAR - LONDON US. 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 0r13 Chart 13 LONG-TERM BONO YELOS Weak* figures P w c w t p w mmmmm NETHERLANDS Of US. SWITZERLAND II UK. GERMANY EUROI T 10 U S. CORP. DOLLAR EURO-BONOS Monthly figures BONDS US. CORP. DM EURO-BONDS i m 1HS *Ne« series for Siituriirt alerts 1970 • • Ne» Average yield ef afl Qmmm FA • • • i N e w series F starts 12 71. J**?*]Euro Dollar Bonds suspended as of 3-3 72. 1971, 1972 Owf. Drtir Cure-Bonds and U.S. Corp. DM Euro-Bonds starts 12-70. 174# CHART 14 1958=100 Ratio scale INDUSTRIAL STOCK INDEXES — UNITED STATES SWITZERLAND | UNITED KjNGDOM / | GERMANY 1969 * 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. 280 H. 13 No. 558 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since In Effect Since Previous Rate L. o March 2. 1972 4.5 5 75 A m r i l 6. 1972 6.0 •TflRTi P a 3.0 Feb. 25. 1972 4.0 n#c. 2 3 . 1971 4.0 ApWi i n A 5 E.E.C.: Belgium France Germany Italy Netherlands Switzerland United Kingdom Canada Japan United States 10" S. 1972 117? l A j 1071 n March 1 r 1972 4.5 t-n 3.75 Sept. 15. 191 3.0 -fcilw i n . 1467 6.0 A p r . 1 . 1471 A 5 n 6 1072 4.75 /V.«- 95, 1071 5.25 Mi. 4. 75 Dec- 29. 1971 5.25 J u l y 28. 1971 4.50 TWr 4.75 • f l ? . 11. 1 ) 7 1 13. 1971 24. 1471 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc U.K. pound French franc Japanese yen Lower IB Upper Belgian franc Italian lire Lower Canadian dollar German mark Dutch guilder 2A 2B Upper 3A 3B 4 Upper Middle Lower 5B May 12 " Upper Lower | Rate -0.516 +0.284 +2.053 +1.234 +1.860 -0.081 Actual rate 100.92 +1.438 +1.074 German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen Lower 5A Date +1.50 +2.92 -0.15 +2.37 -1.32 -0.47 na " +1.51 +0.12 +2.58 " 0 00 German mark U.S. dollar Swiss franc French franc Hay 5 Gold price, U.S. dollar per ounce May 12 52.96 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 May 10 " 3.59 4.20 " -0.61 Netherlands, Call Money " May 12 " 2.68 0.75 5.00 4.56 May 10 May 5 May 12 3.75 5.50 3.38 " May 5 A p r . 211 - May 5 0.63 1.11 IV-3 Chart Panel 6A Series Date Euro-* Overnight Rate May 12 Euro-$ 1-month Rate 68 7A 78 Upper " Euro-$ 3-month Rate •t 4.94 Euro-) 6-month Rate M 5.44 Euro-S 3-month Deposits May 10 Lower Differential " Upper Euro-J 3-month Deposits ti Euro-S 3-month Deposits (Adj.) it 6.10 U.S. Certificate of Deposits (Adj.) « 4.61 Differential: on Adj. Euro-) Deposits " +1.49 " +0.27 Upper Euro-S 3-month Deposits A p r i l 28 4.42 +0.46 4.88 5.00 Hire Purchase Deposits (covered) .. Lower Differential " -0.30 Upper Euro-$ 3-month Deposits " 5.00 Lower 9A Local Authority Deposits (covered) II Differential " U.S. Treasury Bill rate U.K. Treasury Bill rate Local Authority Deposit (uncovered) 98 4.88 •i on Unadj. Euro-S Deposits 88 3.19 4.38 U.S. Certificate of Deposits Lower 8A Rate Upper Lower May 12 4.70 4.51 -0.49 3.55 •• 4.20 May 5 4.69 Spread (+= favor London) ii 3-month Forward Pound " -0.21 " +0.44 +0.65 Net Incentive (+= favor London) IV-4 Date Rate Chart Panel Series 10A Upper Euro-* Deposits (covered) Lower Differential Upper Euro-* Deposits (covered) 1.87 Swiss Deposit rate 1.50 p May 10 German Interbank Loan rate 10B 11 Lower Differential Upper Canadian Finance Paper Second 4.75 +1.38 -0.37 May 12 6.00 U.S. Treasury Bill rate 3.55 Canadian Treasury Bill rate 3.54 U.S. Prime Finance paper (not plotted) 4.38 Bill rate differential Forward Canadian dollar 12A 3.37 -o.oi ;; -1.40 ! Third Net incentive on bills -1.41 Bottom Net incentive on Finance Paper +0.22 Upper U.K. Treasury Bill rate May 12 U.S. Treasury Bill rate German Interbank Loan rate Lower 12B 4.20 3.55 May 10 4.75 Japanese Average rate March 7.273 Canadian Treasury Bill rate May 12 3.54 U.S. Treasury Bill rate " 4.20 Euro-$ Deposits " 4.94 Swiss 3-month Deposit rate 1.50 p U.S. Treasury Bill rate " 4.20 & IV-5 Chart Panel Series 13 Upper Netherlands Rate Date A p r i l 28 „ Canada May 5 6.72 7.17 Mav 10 United Slates Saitzertaid Middle 5.59 A p r i l 28 - • Germany United Kingdom May 5 Se U S. Corp. DM Euro-bonds Upper ^ 5 ^ 5 Germany United SUtes Middle Lower |les „ U.S. Corp. Aaa bonds 14 4.99 A o r i l 21 7.86 8.78 •us pee led U.S. Corp. Dollar Eurobonds Switzerland 6.46 May 5 Bum-dollar bonds Lower 6.63 March 8.17 « 6.88 " 7.24 May 12 437.1 2*,2 • o r t l 28 May 12 439.0 240.74 United Kingdom May 5 298.15 Canada May 4 2*1.27 May 6 567.?2 May 12 239.31 • • Japan United Stales 239.31 • New - Average yield of ALL Gemw Public Aufcorities bonds eade i s of bwfcing key days. • • Beaming week eided September S, MW. the Japanese index plotted Is <ut e l all industrial a«d ofter s u d s en l i e First Section ef the Tokyo Sleek Exchange. 1
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