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May 24, 1972 No. 559 N-13 D m e i * elIBHWUM* F I N N * E w e p e W H t * C I \ „ a N \M imMm (*•*% SELECTEB1NTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES O F 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 - 34lonth 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 12 A 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. IPS Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent GERMAN MARK U.K. POUND SWISS FRANC DUTCH GUILDER Tbove FRENCH FRANC against US detlar JAPANESE YEN Below J 1972 S D M J 1973 S D - s p Chart IB SPOT EXCHANGE RATE • MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent BELGIAN FRANC Central rate U.S. ITAUAN URA S J M M D s J 1972 0 1973 Ratio scale. U.S. cents 102 CANADIAN 100 98 96 94 M J s 1970 0 M J 1971 s 0 M J 1972 S o Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR GERMANY NETHERLANDS FRANCE JAPAN US Bctow par MAY JUNE JULY SEPT. AUG. 1971 0 Financial franc OCT. NOV. DEC. ¥ Chart 10 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST \f&. DOLLAR Itoy 11. 1 9 7 1 - Dec 17. 1971 " ^ ^ O e c i 7 9 7 U.K. swnx ITALY us. MAY JUNE JULY AUG. SEPT 1971 •For clarity the vertical scale is double that used in 1C OCT. 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 DISCOUNT- DUTCH GUILDER DISCOUNT — S S D 1969 1970 * Canadian Dollar Rate not supported by Bank of Canada * * No quotation D M J 1971 S D J 1972 S D 7$ Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Per cent per annum Weekly averages SWISS FRANC FRENCH FRANC 1970 1971 1972 JAPANESE YEN 1969 * Devaluation of the French franc from 4 94 to 5.55 for $1.00. • * No quotation 1972 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum i PRE*IIUM + - - - - 1 1 - - V j U i - V V GERMAN MARK i m hiA ft! - • US . DOLL/IR 1 1111111111 1969 # No quotation. 111111111m*T i 1970 i l l . ! , 1971 i i 1 i i 1i i 1i i 1972 Chart 38 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC s M D 1969 J 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 )Q Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce CHART 5A -fy CALL MONEY RATES DOLLAR FUNDS Weekly averages L II EURO-DOL LAR DEPOSITS CALL OVER#WIGHT I L I I - 16 - 12 I 1 I AW M - •/ W [L FEDERAL FUNDS 1- i i I i i i i 1 i i I i i 1 i i i i I i i 1 i i I EURO-CURRENCIES Weekly averages Per cent per annum 12 EURO-SWISS FRANC i I i i 1 l i 1 i i i i i i i i i i i i i i M J S D M 1969 1 J S 1970 May 10, 1971 - Changed to Overnight Euro $ Deposits. D M J 1971 S D M J S 1972 D 1)V Chart 5B CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per annum 12 FRANCE JAPAN - "A 1 1 1 1 1 1 1 1 1 II 1 11 11 1 1 1 1 1 1 CANADA i i 1 i I 1 i i 1 i I I I I I 1 I l l I I I I I I 1 I I 1 I I I I I 1 I I I It M J S O 1969 M J 1970 S D M J 1 1 1 1 1 1 1 11 1 1 I I I 1 I I 1 I I 1 I I 1 I I I I I 1 0 S D M 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 J S 1972 D 7$ I LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum x 25.50 OVERNIGHT [1-MONTH CALL [7-DAY M J S D M 1969 J s 1970 • M a y 12/71-changed to Overnight Euro-Dollar Deposits • # J u l y - 1 -changed to 7-Day Euro-Dollar D M J 1971 s 0 M J 1972 s 0 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum jniV \ / i /1 jj J \ I FL V V vj y v III VMA-MONTH xA A V ! 11111111111 M J S I I 1 I I 1 I I 1 I I D M 1969 J 1970 S D 1 1 1 1 1 1 1 1 1 1 1 M J S 1971 D \ 1 1 1 1 1 1 II M J S 1972 1 1 1 D 1\f Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Per cent per annum Wednesday figures 12 - J tJ fvV 10 EURO DOLLAR DEPOSIT - A r v ^ v XV vrV V / V - U.S. CjERTIFICATE OF DEPOSIT i i 1i i 1i i 1i i ^' - V 1 1 1111111111i i 1i i 1 i i 1 i i II 1 II 1 111 1 1 FAVOR EURO DOLLAR DIFFERENTIAL - A/Id A A , vy^ WV\X ElIRO DOLLAR OVER U.S. CIERTIFICATE OF DEPOSIT i i 1i i ! i i 1 i i M J S D i i ! i i 1i i 1i i M 1969 J S 1970 D i i 1i i 1 i i 1i i M J S 1971 D 1 11 111111 11 M J S 1972 D Chart 78 NEW YORK-LONDON: COST OF U S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per annum Wednesday figures EURO DOLLAR DEPOSIT ADJUSTED EURO DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT ADJUSTED I I I I I I I I I I I I I 1 I I I I I I I I EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED D M J 1971 •Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * Adjusted for 20% Marginal Reserve Requirement S D M J 1972 Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J FAV( S 0 1969 M J 1970 s D M J 1971 S D M J 1972 S 0 + LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT COVERED I 1 I 1 1 I I I 1 I I I I I 1 I I I I 1 1 I 1 I 1 1 I I I I 1 1 I I 1 1 1 1 M I I 1 1 I I FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR DIFFERENTIAL I I I I I I I I I I I I I I I I I I I I I I Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures N r cant per 3-MONTH TREASURY BILL RATES U K. LOCAL AUTHORITY DEPOSITS UNCOVERED NEW YORK M J S D 1969 •Plotted for comparison purposes M J 1970 S D M J 1971 s D M J 1972 $ 0 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum PREMIUM, RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I SPREAD M FAVOR O F L O N D O N FORWARD R A T E FAVOR LONDON DIFFERENTIAL FAVOR NEW YORK M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D if CaurtlM 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - dEftMAN MARK FRANKFURT MTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Fercwtper/ IN TERMS OF DM RATE DIFFERENTIAL M J s 0 1969 H J 1970 s o M J 1971 s o M $ J 1971 •V 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 EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOft ZURICH DIFFERENTIA! FAVOR EURO-OOUAR M J s D 1969 No quotation M J 1970 S D M J 1971 S D M J 1972 S D 2 Chart 11 3 - M O N T H INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent peri 10 - BILL RATES • CAN. FIN CO. PAPER 6 UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS 4 2 PREMIUM BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR AA* A FORWARD RATE 2 A + 0 GROSS SPREAD IN FAVOR OF CANADA 2 DISCOUNT COVERED RATE DIFFERENTIALS FAVOR CANADA 2 TREASURY BILLS + 0 FAVOR U S 2 FAVOR CANADA 2 PRIME FINANCE PAPER + 0 FAVOR U S M M JJ 1969 SS DD MM J J S S 1970 D D M M J J S 1971 S D DW MJ J 1972 S D SELECTED SHORT-TERM INTEREST RATES* GERMANY U.K. U.S. JAPAN US. CANADA! 1968 # 1970 3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany(lnterbank Loan Rate) 1972 Chart 12B SELECTED SHORT-TERM INTEREST RATES Chart 13 LONG-TERM BOND YIELDS WaafcJy figures Per cent per annum NETHERLANDS CANADA ua. ,a4 US. SWITZERLAND 11 UJC. US. Monthly figures UJS. 196S 19§9 OH 1970 1971 1972 * Hew series for S m t n r M starts # 2 4 # . U S Carp. Cellar Euro-Bonds and U.S. Corp. DM Euro-Bonds starts 12-70. # # New-Average yield of aN Qarmaa PA. Bands , # e New series F starts 12-71. • • • • Euro-Dollar Bonds suspended as of 3 3 72. 1-7-69. CHART 14 INDUSTRIAL STOCK INDEXES 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. H. 13 No. 559 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES In Effect Since In Effect Since Previous Rate 4_n March 2. 197: 6-5 5 75 A p r i l 6. 197: 6.0 Jan. 13. 19 72 3.0 Feb. 25. 197: 4.0 Dec. 23. 1971 L q 14, 4.5 Tan. 6. 1972 Current Rate EEC.: Belgium France Germany Italy Netherlands Switzerland United Kingdom Canada Japan United States iq: 7 4.0 April i n l n March 1. 197: 5. 1972 1971 1. 7S Kppt. 15. 19( 3.0 Ti.lv 10. 1967 s.n Sept. 3. 1971 6.0 Aor. 1. 1971 4. 75 rw ic?1 5.25 Feb. 24. 1971 4. 75 Iter- 29. 1971 5.25 July 28. 1971 4.M IW 4.75 Nov. 11. 1971 11, 1971 T IV 2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc U.K. pound French franc Japanese yen May 19 Lower Upper IB Belgian franc Italian lire Canadian dollar German mark Dutch guilder Lower 2A Upper 2B Lower 3A 5A Upper Middle Lower 5B Upper 1 ! 1 Lower • 1 l " " +1.190 «i " +1.884 -0.113 101.05 +1.275 " +0.917 " Actual rate " ii +1.72 " +2.92 " -0.30 +2.42 " -1.58 -C.54 n. a . " " German mark U.S. dollar Swiss franc French franc May 19 " +2.05 +0.25 +2.65 « +0.15 Gold price, U.S. dollar per ounce May 19 55.88 Overnight Euro-S 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 Netherlands. Call Money May 17 36 4 -0.697 +0.271 +2.068 " German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen Rate «• -9.65 May 19 " May May May May 3.67 4.32 " 10 12 18 19 1.38 0.75 " 4.75 4.56 3.71 5.00 1.25 May 5 1.11 IV Chart Panel 6A 3 Series Date Euro S Overnight Rate May 19 3.81 M 4.25 Euro S 1-month Rate 6B 1 i 7A 7B Upper Euro $ 3 month Rate " Euro S 6-month Rate M Euro S 3-month Deposits 4^69 H 4.39 Lower Differential H +0.30 Upper Euro $ 3-montli Deposits Lower 4.69 " Upper Differential: on Adj. Euro S Deposits •y Euro S 3-month Deposits 86 Differential Upper Euro-S 3 month Deposits Lower I 9A 9B Upper Lower y / /" z 4.51 -0.49 " 5.00 Local Autiiority Deposits (covered) " 4.51 Differential •• -0.49 U.S. Treasury Bill rate > +1.25 +0.08 5.00 Hire Purchase Deposits (covered) Lower 5.86 4.61 on Unadj. Euro S Deposits s 5.31 May 17 U.S. Certificate of Deposits (Adj.) i 4.81 U.S. Certificate of Deposits Euro S 3-month Deposits (Adj.) 8A Rate May 19 3.72 U.K. Treasury Bill rate <• 4.20 Local Authority Deposit (uncovered) «• 4.88 Spread (+= favor London) it 3-month Forward Pound " -0.38 " +0.10 Net Incentive (+= favor London) +0.48 _ IV-4 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Date May 17 German Interbank Loan rate 10B Lower Differential Upper Euro-$ Deposits (covered) .. „ „ „ Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper n May 19 2.93 4.50 +1.57 1.79 1.50P -0.29 6.00 „ „ 3.61 U.S. Prime Finance paper (not plotted) „ 4.38 Bill rate differential ii „ - 0.11 Forward Canadian dollar -1.72 Third Net incentive on bills „ -1.83 Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate U.S. Treasury Bill rate Canadian Treasury Bill rate Second 12A Rate Lower „ -0.10 May 19 4.20 „ U.S. Treasury Bill rate Hay 17 4.50 Japanese Average rate March 7.273 Mav 19 3. 61 „ „ „ 3.72 U.S. Treasury Bill rate 3.72 German Interbank Loan rate Canadian Treasury Bill rate 12 B 3.72 Euro-* Deposits Swiss 3-month Deposit rate U.S. Treasury Bill rate y 4.81 1.50p 3.72 IV-5 Chart Panel Series 13 Upper Netherlands Date Canada Rate May 5 6.83 Mav 17 7.17 May 12 4.99 Hav 5 7.82 United States 5.52 Switzerland Middle * Germany United Kingdom Mav 12 Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds Serlc8 U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower SUSP4 ** Japan United States |t p 8.80 nded March 8.17 „ 6.88 „ 7.26 May 12 639-0 Mav 15 309.6 Mav 19 263.76 Mav 12 297.59 Mav 11 263.57 Mav 13 569.06 May 19 243. 76 * 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 Slock Exchange:
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