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3, 1972 No. 556 H-13 Division of Internet ieed Fiitwce Ewe## m4 Beitidi Ceeewwwl* Soctiee L- v-* 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 3AandB - 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 Januaiy 1, 1969. All series and their sources are fully described in a Supplement dated January 1, 1972. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR J Weekly averages 4 GERMAN MARK c ~ iAIH 1y rate US V SWISS FRANC f/ 1 1 1 1 1 i• 1 1 1 1 . J - . 1 1 1 1 1 1 1 1 1 i 1 1^ J J DUTCH GUILDER F V •RENCH FRANC 'r rate <UjS. ^ If JAPANESE YEN l l ! i i i i 1972 i l i i - i l I 1 1 1 I 1 1973 1 1 1 I 1 1 Bel 1 Chert I B SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages 2 FRANC agamst U S J I I I I I I I i 1 L J I J I I 1972 I I elJ L 1973 Ratio scale. U S cents 102 CANADIAN DOLLAR ^ 100 W / A . *J V r V i i i i i 1 1 1 1 1 1 I I 1 i I 1 I J 1970 1971 i 1 i I 1 1 1 i 1 1 1 1 1 1 i J 1972 \ Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11, 1971 - Dec 17, 1971 GERMANY NETHERLANDS FRANCE JAPAN with U.S. Below MAY JUNE JULY SEPT. AUG. 1971 * Financial franc OCT. NOV. DEC & Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11 1971- Dec 17, 1971 BELGIUM U.K. SWITZ. ITALY U.S. MAY JUNE JULY AUG. OCT. 1971 *For clarity the vertical scale is tonWe that w e d *m 1C NOV. DEC 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages PREMIUM CANADIAN DOLLAR U.K. POUND DISCOUNT- GERMAN MARK DISCOUNT PREMIUM DUTCH GUILDER i i i DISCOUNT — | J ] J L i : i J 1_L_1 1-1 I I I I I I I I J S D M 1969 J S 1970 *• Canadian Dollar Rate not supported by Bank of Canada * * No quotation D | | I 1 I I I I I I I I M J S 1971 D Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Per cent per annum Weekly averages SWISS FRANC FRENCH FRANC DISCOUNT- 1 M J S D 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 * * No quotation Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per a n n u m PREMIUM GERMAN MARK U S. DOLLAR L- s D 1969 * No quotation. s M 1970 D _L _ L J — 1 M J 1971 L J_1 S S 1972 D Chart 38 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT- J S D 1969 M J S 1970 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 D S 1971 M J 1972 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 - - / - /f >V A /AW ir 1 1 M 1 1 - 1 1 J S 1 1 1 1 D M 1969 1 1 1 1 1 1 i i i i S D M J J 1970 i\i V i i 1971 S y - - i i i i D M i i J i i 'i i S 1972 D CHART 5A CALL MONEY RATES DOLLAR FUNDS Per cent per #m*wm Weekly averages „ 1EtlftO-OOULA* 01EPOMTS CALL 1OVEMIIGHT I I l - 12 i i : AW & - \L FEDCRAL FUNDS 1 MIl W* J J 1I - EURO1-DOLLAR OVER FEDERAL FUNDS 1 I vVv \az\a} W w M \pj i i 1 i i 1 i i 1 i i i i 1 i i 1 i i 1i i IS - J I . l n l n 1 i i : V\ Mr i i 1 i i 1 i i 1 i i EURO-CURRENCIES Per cent per annum Weekly averages 12 EURO-SWISS FRANC 1 i i 1 i i I i i 1 i i 1 M J S D M 1969 1 1 1 1 1 J I i S 1970 * May 10. 1971 - Changed to Overnight Euro $ Deposits. 1 D M J 1971 S O M J S 1972 D hart SB :ALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES riday figures Per cent per an 12 - 8 FRANCE - 4 i J 1 1 1 M 1 1 1 1 M 1 1 1 1 M 1 1 u 1 1 1 n V JNE- FHERLAND:s , 11 . . I . . ! i 11 i i 1 i i 1 i i 0 8 4 I I I 1 I 1 I I 1 I I 1 I I I I I 1 I I I I I I I I I I I I I I 1 I I 1 I I 1 I I 1 I I I I 0 12 8 4 0 ince, Day-to-day Money, Netherlands, Call Money, weekly average Japan, Unconditional Money; lada, Day-to-day Loans, weekly average;Germany, CalTMoney;U K , 2 day Local Authority Deposits bW LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures 25.50 1 MONTH 7-DAY 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 I I I I I I I I I I I I I I I I I I I J S D M 1969 J S 1970 • M a y 12/71—changed to Overnight Euro-Dollar Deposits * * J u l y l-changed to 7-Day Euro-Dollar D M J S 1971 O M J S 1972 D 2 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum VJ i 1 W\Vjf3-MONTH 1 1 1 1 1 1 1 1 1 1 1 M J S 1i D 1969 i 1 i i 1 ii M J 1970 S 1 i i D ' 1 1 1 1 1 1 1 1 1 II M J S 1971 D ill 1 t 4 V 1 1 1 1 1 1 1 1 1 1 1 M J S 1972 D Chart 7A NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum j rnfl •JjJA f j - A EURO-DOLLAR DEPOSIT - - A \ y s - US. CI[RTIFICATE OF DEPOSIT II 1 1 1 1 1 1 1 1 1 II ^ • V 1 1 1 1 1 1 1 1 1 1 l I 1 l I 1 l l 1 I l 1 1 1 1 1 1 1 1 1 1 l DIFFERENTIAL FAVOR EURO-DOLLAR AA ' AAjJI r i w / j rA/V - ElIRO DOLLAR OVER U.S. 0 ERTIFICATE OF DEPOSIT I 1 1 M 1 1 1 I I J S i 1 11 D M 1969 i 1 i J i 1 i S 1970 i D 1 i i M i J i 1 i S i 1 i D 1971 i t 1 i i f I I l 1 1 1 1 1 1 1 I I J 1972 S D Chart 7B NEW YORK-LONDON: COST OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Wednesday figures Per cent per EURO DOLLAR DEPOSIT i ADJUSTED EURO DOLLAR DEPOSIT U S. CERTIFICATE OF DEPOSIT I ADJUSTED EURO DOLLAR OVER V U S. CERTIFICATE OF DEPOSIT ADJUSTED' S D 1969 M J 1970 •Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * A d j u s t e d for 20% Marginal Reserve Requirement S D M J 1971 S D M J 1972 D Chart 8A LONDON: COVERED YIELDS ON U S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures 12 EURO DOLLAR DEPOSIT HIRE PURCHASE COVERED 3 + 0 1 FAVOR HIRE PURCHASE f 0 3 6 FAVOR EURODOLLAR _L M S 1969 1970 1971 1972 0 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum 1 1 1 f/\ I EURO DOLLAR DEPOSIT 12 | 1 J -J* 7 - r - M r 1 1 i 1 i i 1 i i LOCAL AUTHORITY DEPOSIT COVtRfcD ~ 1 i i I I 1 i i 1 I I 1 i i ! 1 1 1 1 1 1 1 1 1 1 1 I 1 1 1 1 1 1 1 1 1 1 1 FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR DIFFERENTIAL I I 1 M 1 I I 1 11 I I I I I I I I I I I I Ul Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum ] 3-MONTH TREASURY B LL RATES N * V U.K. LOCAL AUTHORITY DEPOSITS* \ 1 UNCOVERED ^ N/-\A S\jJ\ LONDON a M A yx VNEW YORK 1 1 1 1 1 1 1 1 1 1 1 M j S 1 1 1 1 1 1 1 1 1 1 1 O 1969 * Plotted for comparison purposes M i S 1970 O 1 1 1 1 1 1 1 l M J S 1971 1 I I O 1 1 1 1 1 1 1 1 1 1 1 H J S 1972 O Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I PREMIUM, 2 SPREAD IN FAVOR OF LONDON + 0 2 FORWARD RATE 4 6 8 10 DISCOUNT 12 FAVOR LONDON DIFFERENTIAL 4 2 + 0 2 4 6 8 FAVOR NEW YORK 10 M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D V>tt 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 annum IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO-DOLLAR J S D 1969 No quotation M J 1970 S D M J 1971 S D M J 1972 S D 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 FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M S D 1969 No quotation M J 1970 S D M J 1971 S D M J 1972 S D titi Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum — BILL RATES CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR AV /A a FORWARD RATE PREMIUM \ GROSS SPREAD IN FAVOR OF CANADA DISCOUNT COVERED RATE DIFFERENTIALS FAVOR CANADA TREASURY BILLS FAVOR U S- FAVOR CANADA PRIME FINANCE PAPER —Xa M J S D 1969 M J 197C s J 1971 s D M J 1972 S 0 Chart 12A SELECTED SHORT-TERM INTEREST RATES* f - GERMANY - 1 " 1 1 1 1 1 1 1 1 1 M - 1 1 1 II 1 1 1 1 II 1 1 1 1 1 1 I I 1 I I Mi ir ll 1i l1l IiIlI l I1I I - J# PAN V\ - \ X - U \\ ' CANADA^ - I\ Va! I I 1 I I 1 1 1 1 IM I 1 M 1 I I 1 I I I I 1 i I 1 l l 1 I II I 1 i I 1 M l I I 1 1 1 1 1 1 i i 111 1968 1970 * 3-month treasury bill rates for all countries except Japan(Avera«e rate on bank loans and discounts) and Germany(lnterbank Loan Rate) 1972 </SELECTED SHORT-TERM INTEREST RATES* Per cent per annum EURO DOLLAR - LONDON J I 1 I I I I I I 1 I I I M I I I 1 1 I I I I I 1 1 1 I I I I I 1 I I I I 1 I I 1 I I I I I I I 1 1 1 I I M 1968 1970 * 3-month treasury bill late 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 Weekly figures Per cent per annum NETHERLANDS CANADA u.s. US SWITZERLAND II UK GERMANY EURO DOLLAR BONDS' U S. CORP. DOLLAR EURO-BONOS Monthly figures US. CORP. Aaa BONDS — US. 1968 # 1969 DM EURO-BONDS 1970 1971 1972 N e w series for Switzerland starts 6 2-68, 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. Euro-Dollar Bonds suspended as of 3-3-72. CHART 14 1958=100 INDUSTRIAL STOCK INDEXES Ratio scale 280 UNITED STATES - 200 1 1 1 1 1 1 1 1 1 II i i ! i i 1i i 1i i i i 1 iVy i i 1i i i i I i i 1i i 1i i 480 J\ SWITZERLAND X / " : 360 V UNITED KINGDOM / i i 1 i i 1i i 1i I 240 Vwr" 11111111111 1 11111 1111! JAPAN/' : 1 i i 1 i i 1i i 1i i b / : . Z GERMANY V\ M I M I M I M 1970 \ J i i 1 i i 1 i i 1i i 1971 1 1 1 1 11 II 1972 * 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. : 240 CANADA r 480 360 V — ~ v - x 1 1 I 11 1 1 1 1 1 I 1 1969 1 111 H. 13 No. IV. SELECTED CENTRAL BANK DISCOUNT RATES Country In Effect Since Previous Rate 4_n March 2. 1973 4 5 Feb. S 75 A o r t l 6. 197: 6.0 J a n . 13. 1972 3.0 Feb. 25. 197: 4.0 Dec. 23. 1971 Current Rate In Effect Since E.E.C.: Belgium France Germany Italy L Switzerland n 3.75 United Kingdom Canada Japan United States i n a 10* 4.0 Netherlands Sept. 15r A 5 197' 4.5 191 14, 1072 1071 .Tan. 6. 1072 3.0 Mv 10. 1067 6.0 Amr. 1 . 1071 s.n Sept. 4.75 n^t- 9Sa 1Q71 5.25 Feb. 24. 1071 4. 75 Dec. 29. 1971 5.25 J u l y 2 8 . 1971 n. 1971 - 4.75 MOT. 11. 1971 4.50 Mfli-rh 1 f 5. —Dec 3r 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc U.K. pound French franc Japanese yen A p r i l 28 ii it 11 Lower IB Upper Lower 2A 2B Upper Lower 3B 4 Upper Middle Lower 5B „ Upper Lower II Actual rate German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen «• ii „ +1.52 +3.42 -0.06 +2.83 -1.18 40.21 n. a. ii ii ii ii H 1, April 21 „ ii Gold price, U.S. dollar per ounce April 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 Netherlands. Call Money A p r i l 26 28 +1.81 40.02 +2.90 40.29 49.41 3.63 4 ?0 ii -0.57 A p r i l 21 ii " -0.611 40.200 +1.608 +1.1 fin +1.501 -0.473 ion.77 +1.386 +0.836 n German mark U.S. dollar Swiss franc French franc 3A 5A Belgian franc Italian lire Canadian dollar German mark Dutch guilder Rate 14 21 2.40 n r as s,nn 4.31 1Q 28 98 April 7 4.88 2.00 0.75 IV - 3 Chart Panel 6A Date Series Euro-) 7 day Rate Euro-J 1-month Rate 6B 7A Upper Euro ) 3-month Rate „ „ U.S. Certificate of Deposits 7B Lower Differential Upper Euro-S 3-month Deposits Euro-S 3-month Deposits (Adj.) U.S. Certificate of Deposits (Adj.) Lower Differential: on Adj. Euro ) Deposits on Unadj. Euro-S Deposits 8A Upper 4.00 Euro-* 6-month Rate Euro-) 3-month Deposits Euro-) 3-month Deposits 8B Lower Differential Euro-) 3-month Deposits Local Authority Deposits (covered) Lower 9B Upper Spread (+= favor London) „ „ „ „ Net Incentive (+= favor London) 40.50 5.00 6.25 „ +1.51 „ 40.26 A p r i l 14 4 . 74 5.44 A fin „ „ „ -0.64 S LL 4.67 - 0 77 Apv41 9ft \LA 4.21 A p r i l 21 Apri1 28 3-month Forward Pound Lower 5.56 5.00 U.K. Treasury Bill rate Local Authority Deposit (uncovered) 5.00 4 . 50 Differential U.S. Treasury Bill rate 9A 4.56 A p r i l 26 Hire Purchase Deposits (covered) Upper Rate „ 40.73 -0-04 40.69 IV-4 Chart Panel Series 10A Upper Euro-$ Deposits (covered) Date Rate A p r i l 26 3.55 German Interbank Loan rate 10B Lower Differential Upper Euro-) Deposits (covered) 6.96 +1.39 1.89 Swiss Deposit rate Lower 11 Upper i Differential Canadian Finance Paper A p r i l 28 U.S. Treasury Bill rate L. Bill rate differential 12A Bottom Net incentive on Finance Paper Upper U.K. Treasury Bill rate -1.20 -1.16 40.33 ApW1 ?R U.S. Treasury Bill rate 12B Polmifli-y Canadian Treasury Bill rate A p r i l 28 Euro-) Deposits Swiss 3-month Deposit rate U.S. Treasury Bill rate LR 5.00 Japanese Average rate U.S. Treasury Bill rate 6. 21 3 German Interbank Loan rate Lower 35 •w.nfi Forward Canadian dollar Net incentive on bills 5.88 3.5 U U.S. Prime Finance paper (not plotted) Third p 3.68 Canadian Treasury Bill rate Second sn - n . 39 „ „ „ „ 7.360 3.56 3,68 5 on I SO p 3.4$ IV - 5 Chart Panel Series 13 Upper Netherlands April 7 Canada Switzerland * Germany United Kingdom 19 7-10 •• 96 5.60 " 14 4.86 " 14 7.63 " 7 8.78 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 A 90 " United States Middle Rate Date SU6P4 nded March 8.17 „ 6.88 7.24 A p r i l 7ft 431.6 " 21 302.0 " 28 243.40 " 91 297.64 " 20 >46.01 " 14 160.86 United States 143.40 " 28 * 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