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May 26, 1971 No. 507 H-13 . ^ Division of International Finance Europe and British Commonwealth Section • 7 - . . SELfCTED INTERESTS" 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.-Gemtany and U.S.-Swltzerland 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 has been published under that title through December 31, 1968. The changes in the format and order of the charts are fully explained in the Supplement to the series, which accompanied issue dated January 1, 1969. - 7 C h a r t 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t Above pai SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par U.S. Below par Above par FRENCH FRANC- JAPAIINESE YEN with U.S. DUTCH GUILDER Below par M J 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 Percent Above par 1.2 CANADIAN DOLLAR BELGIAN FRANC n ITALIAN LIRA 1.2 Below par M J S D 1968 M J 1969 * Can. $ rate not s u p p o r t e d by Bank of Canada. S D M J 1970 S D M J 1971 S 0 % Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per c e n t per a n n u m Weekly averages 16 1 PREA<IUM + 12 iERMZIN MAIRK V A <• v / A / v\ vx V A, M r 7 V I / A ! 1 & K ASVfISS FlRANG V h \ V if I Aj.k. POUNI) z 11 1 12 disco UNTi i 1 1 1 1 1 M J S D M 1968 * No quotation. J S 1969 D M i i J S 1970 1 1 D „ 1 1 M J 1971 16 Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Wee kly a v e r a g e s Per cent per a n n u m PREMIUMS- DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 28 DISCOUNT M J S D 1968 # M J S 1969 Devaluation of the French franc from 4.94 to 5.55 for $1.00. * * Can. $ rate not supported by Bank of Canada. * * * No q u o t a t i o n D 32 M J 1970 S D J 1971 S D C h a r t 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per cent per a n n u m 24 PREMIUM 20 GERMAN MARK U.S. DOLLAR DISCOUNT— M S D 1968 * N o quotation. M J 1969 S D J 1970 S D M J 1971 S D Chart 3 8 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per c e n t per a n n u m PREMIUM* 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 W e e k ' s a v e r a g e of a f t e r n o o n f i x i n g s U.S. d o l l a r e q u i v a l e n t per fine ounce 44 42 40 34 M J S D M 1968 J 1969 S D M J S 1970 D M J 1971 MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce 35.3 35.2 35.1 35.0 * M a r k e t closed March 15-April 1, 1 9 6 8 I s D CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages OVERNIGHT EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO-CURRENCIES Per cent per annum Weekly averages r • 12 EURO-SWISS FRANC j M J S D 1968 * May 10, 1971 - M J S 1969 Changed to Overnight Euro $ Deposits 1971 0 Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Friday figures Per cent per a n n u m ARAN JU.K. CANADA SELECTED EEC CURRENCIES** * Per Friday f i g u r e s cent per a n n u m FRANCE GERMANY NETHERLANDS M J S D 1968 J 1969 S D J S D M 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. J 1971 S D C h a r t 6A LONDON: EURO-DOLLAR DEPOSIT RATES Per cent per annurr Friday f i g u r e s 10 CALL OVERNIGHT 1968 1969 * May 1 2 / 7 1 - c h a n g e d to Overnight Euro-Dollar Deposits LONDON: EURO DOLLAR DEPOSIT RATES 1 | Friday figures ! Per cent per a n n u m i — 1 ! 1 12 1 AI ^ /I A r i i \ : i J f \ V 1 i 10 i 1 , A 6 MONTH f t ! ! |..... ! y \\ i I ! : V / I ' : j 3-MONTH V I n i 1 ! i w\ VI 1 I M i i 1 i i J ! ! S i i D ! i M 1968 I i 1 • II J ! 1 1 S 1969 D i' . 1 1 I 1 M I 1 ! ! M i l l ' i 1 1 i ^ i Ul ! i I !i I ; I i r t r r I i 1 ! i i J i i S 1970 1 1 1 . . . i l l ! D M J 1971 S D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cei EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M S 1968 S 1969 D D 1970 1971 Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday f i g u r e s Per cent per EURO-DOLLAR DEPOSIT ADJUSTED -1 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED 1 1 EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT S s D 1968 1969 * Adjusted for Reserve R e q u i r e m e n t * * Adjusted for 10% M a r g i n a l Reserve Requirement * * * A d | u s t e d for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t J 1970 S D D 1971 -Chart 8 A \ LONDbN: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday f i g u r e s Per cent per a n n u m EURO DOLLAR DEPOSIT — q — l Y / v ^ HIRE PURCHASE COVERED FAVOR HIRE PURCHASE DIFFERENTIAL M J ! FAVOR EURO-DOLLAR S D M 1968 S 1969 D M J 1970 S D M J 1971 S D Chart 8 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO-DOLLAR RATES Friday f i g u r e s Per cent 14 12 EURO DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT I I 'i COVERED j 4 2 0 T T FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL J FAVOR EURO DOLLAR S D 1968 J 1969 S D S 1970 M J 1971 S D INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per a n n u m i j f ! ; i r r ~ 3-MONTH TREASURY BILL RATES ' U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED I NEW YORK Plotted for c o m p a r i s o n purposes n : 12 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT FORWARD RATE 2 IN FAVOR OF LONDON RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) s D 1968 J 1969 s D J 1970 s D J 1971 S D /r 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 a n n u m IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED I DIFFERENTIAL 1 \A. , U vrA ! M I 1 1 i ! J 1 S i ! D I 1 i i M 1968 FAVOR FRANKFURT 1 i : ; : J ! i S 1969 \i i , 1 V A " ! i FAVOR EURO DOLLAR V D M j J S 1970 D M J S 1971 D ! 4'; Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per a n n u m IN TERMS OF SWISS FRANCS ; EURO-DOLLAR SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL , FAVOR EURO DOLLAR M S D 1968 S 1969 D S 1970 D J 1971 S D 2 f Chart 1 1 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s I Per cent per a n n u m BILL RATES CAN. FIN. CO. PAPER CANADIAN ^ TREASURY BILLS UNITED STATES TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR AV1 FORWARD RATE / ' v GROSS SPREAD IN FAVOR OF CANADA COVERED RATE DIFFERENTIALS TREASURY BILLS | PRIME FINANCE PAPER FAVOR U S M S D 1968 S 1969 D s S 1970 1971 Chart 12A ir SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m GERMANY U.K. U.S. 9 JAPAN U.S. CANADA 1967 1968 1969 1970 * 3 m o n t h t r e a s u r y b i l l rates for all c o u n t r i e s except J a p a n f A v e r a g e rate on bank loans and d i s c o u n t s ) and G e r m a n y ( l n t e r b a n k Loan Rate) 1971 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * EURO-DOLLAR - LONDON U.S. SWITZERLAND 1967 1969 * 3 m o n t h t r e a s u r y 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 •1 LONG-TERM BOND YIELDS Weekly figures Per cent per a n n u m NETHERLANDS j CANADA . U.S. SWITZERLAND 11 U.K. EURO DOLLAR BONDS GERMANY 10 Monthly figures U.S. CORP. DOLLAR EURO BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1967 1968 1969 1970 1971 * New series for S w i t z e r l a n d s t a r t s 8-2 6 8 , U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro- Bonds s t a r t s 12 70, Euro-Dollar Bonds starts 4-2-71 * * New-Average yield of all German P A. Bonds begins 9-4-70. CHART 14 INDUSTRIAL STOCK INDICES 320 J 280 .U.K. —i 2 0 0 400 SWITZERLAND H 320 GERMANY 240 U.S. 160 - - ^JAPAN - - 1 I 1 1 1 1 1 ! 1 I 1 II 1 1 I I II 1968 1969 1 1 1 1 1 1 II 1 II 1 II ii 1970 * Japan index of 225 i n d u s t r i a l and o t h e r stocks t r a d e d on the Tokyo exchange. * * Japan index o f a l l i n d u s t r i a l and other stocks t r a d e d on the f i r s t section of the Tokyo Stock Exchange. 1 i i 1 ii 1971 1 i i H. 13 No. 507 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 Dcc. 10, 1970 France 6. 75 May 13, 1971 ,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 Netherlands 5.5 Apr. 5, 19 71 6.0 Aug. 4, 1969 Switzerland 3.75 St-pt.15, 1969 3.0 July 10, 1967 United Kingdom 6.0 Apr. 1, 1971 7.0 Apr. 15, 19 70 Canada 5. 25 Feb. 24, 1971 5. 75 Feb. 15, 1971 Japan 5.5 Hoy 8, 1971 5. 75 Jan. 20, 1971 United States U. 75 Fob. jj, 1971 5.0 Jan. 19, 1971 r 4 iv-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper ! ! j Series Date Swiss franc May 21 German mark French franc j May 21 + 0.80] May 21 4- 0 . 3 7 1 Japanese yen 4- 0 . 7 2 1 " Belgian franc May 21 Italian lire + 0. 746 + 0.373 " Canadian dollar -- German mark 2A May 21 Swiss franc 26 3A U.K. pound " Dutch guilder M Canadian dollar " French franc " 4 - 4- 0 . 1 8 " " + 0.98 + 3.27 French franc " + 41.06 8. 15 4.55 Overnight Eurc-$ deposits- Middle Federal Funds Differential Lower Euro-currencies: Euro S May 2] Euro DM * May 1 2 / 7 1 - - i-.Vi + " die" 6.50 0.81 " 0. 75 Japan, Unconditional Money " 6.50 U.K., 2-day Local Author. Deps. " 6.50 Canada, Day-to-day Loans May 5 France, Day-to-Day Money " 14 5. 75 Germany, Call Money " 21 0.50 Netherlands, Call Money " 7 4.00 changed t o O v e r n i g h t E u r o - $ D e p o s i t s 1.37 May 21 Upper Lower + 2.24 Swiss franc May 12 19 May May Upper 1.09 + 2.26 + 1.24 May 21 Euro Swiss Fr. 5B 1.46 U.S. dollar Gold price, U.S. dollar per ounce 5A + + 3.08 " German mark 3B 0.023 - - Dutch guilder i IB - - - U.K. pound Lower Rate 3.30 IV-3 Chart Panel Series OA Euro-$ O v e r n i g h t R a t e * Euro-$ 1-month Rate 6B Rate Date May 7 l:i§ 2.88 li 6.25 May 21 Euro-$ 3-month Rate 6.81 " 7. 06 Euro-$ 6-month Rate 7A 76 7.06 May 19 Upper Euro-$ 3-month Deposits U.S. Certificate of Deposits " 5.02 Lower Differential " + 2.04 Upper Curo-S 3-month Deposits 7.06 Euro-S 3-month Deposits (Adj.) 8.82 U.S. Certificate of Deposits (Adj.) 5.26 Differential: on Adj. Euro-$ Deposits Lower " on Unadj. Euro-$ Deposits 8A Upper Euro-S 3-month Deposits •+ 3 . 5 6 + 1.80 7.22 May 7 Hire Purchase Deposits (covered) CB Luv. PI Differential 'Jppei l : uiu-$ 3-mc till Deposits Lower Differential Local Authority Deposits (covered) U.S. Treasury Bill rate 9A VB May 7 / 2 1 - - " 5. 16 " " - " Local Authority Deposit (uncovered) " 2.06 4.28 May 21 U.K. Treasury Bill rate 5.52 6. 56 + 1. 24 1.17 3 month Forward Pound " - Net Incentive (+- favor London) " + 0.07 Changed t o O v e r n i g h t E u r o - $ -1.88 7.22 Spread (+= favor London) Upper Lower * 5.34 IV-4 Chart Panel 10A Upper Series Euro-$ Deposits (covered) Rate Date May 19 4.87 German Interbank Loan rate Lower 10B Upper Lower 11 Upper 12A Euro-S Deposits (covered) 4.03 3.50 Differential Canadian Finance Paper " 21 3.88 " " 4.28 Canadian Treasury Bill rate " " " " Net incentive on bills Upper U.K. Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate 4.88 - Forward Canadian dollar Net incentive on Finance Paper 2.89 | May 21 Bill rate differential Third 126 - 0.53 U.S. Treasury Bill rate Bottom Lower + 1.25 Swiss Deposit rate U.S. Prime Finance paper (not plotted) Second 6. 12 Differential 1.39 + 1.21 - 0. 18 + 0.21 May 21 " " Japanese Average rate March Canadian Treasury Bill rate May 21 5. 52 4.28 6. 12 7. 663 2.89 U.S. Treasury Bill rate " 4.28 Euro-$ Deposits " 7.06 Swiss 3-month Deposit rate " 3. 50 U.S. Treasury Bill rate " 4 . 28 IV- 5 Chart Panel Series Date 13 Upper Netherlands May 7 Middle Canada " 5 6.62 " 19 6.12 Switzerland " 13 5.34 " 7 7.99' " 14 9.24 " " 14 21 7.65 7.71 United Kingdom * * * Euro-dollar bonds U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds Switzerland Upper 14 Middle 7.31 " 7.25 April May 21 386. 70 Germany " 14 271.40 " 21 226.90 United Kingdom " 21 220.92 * * Japan 1 8.03 March United States Canada Lower 7.12 United States * Germany Lower Rate United States " 13 219.46 " 21 412.08 " 21 226.90 * 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. * * * New s e r i e s - - April 2/71
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