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V May 5, 1971 No. 504 H-13 Diylftto of International Finance Europe end British Commonwealth Section £><£• K-C&f" • ( L a f p r t a A - . / W c u J a V H'3 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. 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 Chart 6A and B Chart 7A and B Chart 8A and B Chart 9A and B Chart 10A and B Chart 11 Chart 12A and B - Call Money Rates London: Euro-) Deposit Rates New York - London: Yields on U.S. Dollar Funds London: Covered Yields on U.S. Dollar Funds Interest Arbitrage: United States-United Kingdom Interest Arbitrage: U.S.-Germany and U.S.-Switzerland Interest Arbitrage: United States-Canada 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. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below par Above par FRENCH FRANC- JAPANESE YEN J Par U.S. DUTCH GUILDER Below par S D 1968 M J S D 1969 * Devaluation of the French franc from 4 . 9 4 to 5.55 for $1.00. * * DM rate not supported by the Bundesbank. * * * Revaluation of the DM from 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents. M J 1970 S D M J 1971 S D M Chart I B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per c e n t A b o v e par 1.2 CANADIAN DOLLAR BELGIAN FRANC ITALIAN LIRA 1.2 Below par J D 1968 J M 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 S 1971 D 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages 1 | PRE* AIUM + i | i i ! k i j Ki r iERM/ \N MA RK 1 \ J \ S V I / I S S F l RANG c r m1 ! U A )j V \ V x / k i f J /U.K. POUNl) 1 , V M1 11 ! I M J S D M 1968 DISCOIUNT1 1 1 1 1 T 1 , J S 1969 D M i J 1970 i S i D i 1 1 M 1 J 1 1 1 S 1971 D Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annum PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 16 20 24 28 DISCOUNT J s D 1968 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 ; D 32 M S 1970 D M S 1971 D Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum 24 PREMIUM- 20 GERMAN MARK U.S. DOLLAR DISCOUNT — J S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D Chart 3 6 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT— M J S D 1968 # M J S 1969 D e v a l u a t i o n 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 GOLD PRICE IN LONDON, 12.5 Kg BARS U.S. dollar equivalent per fine ounce Week's average of afternoon fixings MARKET SUPPORTED BY GOLD POOL U S. dollar equivalent per fine ounce I I I M Market closed March 15-April 1, 1 9 6 8 11 1 I J 1117 I 11 S 1 D M l i l t CHART5A CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly average? CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURO DOLLAR OVER FEIDERAL FUNDS [ I 1 / M i, .L i : i i i i i i 1 i : 1 . i - i 1 ! 1 1. : 1 ,_.i i . a. 1 L 1 1 -lJ EURO-CURRENCIES Per cent per a n n u m Weekly averages 1 f 1 12 EURO DM EURODOLLAR • IFr 1 i EURO-SWISS FRANC I ] | "j ,i , J M J S D 1968 M J S 1969 D M J S 1970 D M 1971 \\ CALL MONEY RATES FOREIGN CURRENCIES* Friday figures Per cent per annum JAPAN .U.K. CANADA SELECTED EEC CURRENCIES** Friday figures Per cent per annum FRANCE GERMANY NETHERLANDS M J S s D 1968 1969 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 v>LONDON: EURO DOLLAR DEPOSIT RATES Per cent per a n n u m Friday f i g u r e s 12 CALL j J 1968 1969 1970 1971 5 2 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per a n n u m 1 13 i 12 m A t 1 f i I | 1 jj l / 1 F J 1 " " \ \ 10 i - M O N Im 1 -i i . ki 1 1 1 31 - M O N T H | ! ! I 1 : 1 ! i I ! 1 ! \l\ ,f( i 1' i : 1 I 1 i i ! i M i , | 1 i i 1 J ! 1 s 1 i 1 D 1968 1 J 1969 S D I I I ! i M J 1970 1 s 1 1 i i D 1 _i M i L L 1 J 1971 i _ i _ l S D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3 MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per a n n u m EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s 1968 s 1969 D D 1970 1971 Chart 78 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 a n n u m EURO-DOLLAR DEPOSIT 10 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT S D 1968 M S 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 * * * Adjusted for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t D S 1970 D 1971 \V Chart 8A ' LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per a n n u m EURO DOLLAR DEPOSIT i\ |V/vi HIRE PURCHASE COVERED L T T DIFFERENTIAL M J FAVOR HIRE PURCHASE j S FAVOR EURO DOLLAR D 1968 S 1969 D S 1970 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 14 12 EURO-DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT I COVERED 4 2 0 FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL M J 10 FAVOR EURO DOLLAR S D 1968 M J 1969 S D M J 1970 S D S 1971 D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m 12 I 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS* UNCOVERED 1 ; LONDON NEW YORK M J S 0 1968 * Plotted for comparison purposes S 1969 1970 s D 1971 D m . Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per a n n u m RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON FORWARD RATE 2 IN FAVOR OF LONDON (IN FAVOR OF NEW YORK j ! RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) s 1968 S 1969 D J 1970 S S D 1971 D Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates Per cen IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT v/v FAVOR EURO DOLLAR I M i I 1 I J 1 1 ! S ! ! ! i D 1968 M 1 1 ! ! J i m 1 1 1 S VI 0 1 1 1 J t M i J 1970 1 1 S i I 1 . D 1 J M 1 1 1 ! 1 1 J 1971 I S J ! D C h a r t 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE W e d n e s d a y rates Per cent per a n n u m IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO DOLLAR 3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA Friday f i g u r e s BILL RATES CAN. FIN. CO. PAPER UNITED STATES TREASURY BILLS TREASURY BILLS 1 BILL RATE DIFFERENTIIAL AND FORWARD CANAlDIAN DOLLAR h ~ FOR*fARD RATE v yAV^ PREMIUM • /V (j\ GROSS SPREA D IN FAVOR OF CANADA DISCOUNT 1 1 • 1 ! 1 1 1 J 1 1 1 1i : ; : i i : ; _Li l . i i 1 i 1.1 i 1 J 1 1_ -" t COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR U S PRIME FINANCE PAPER FAVOR CANADA FAVORUS I 1 1 I 1 I i 1 1 i i i l I 1 11 1 1 i 1 i I . : 1 : I i i i 1 i J 1968 1969 1970 1971 | Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per j Vi GERMANY - ^ J n u . K . - 1 1— U JV / \ y y k 1 ! 1 1 i ! i i , 1 ! 1 11 11 111 1 11 11 1 11 1 1 1 1 1 1 1 1 - i V i 1 i V ' i 1 i i : i ! i 1 1 1 1 1 1 i -- JAPAN l \ l i A ! ! • 1 i U.S. - J . \ / CANADA M - ! : 1 ! ! I 1 1 1 I 1 1 1 1 1 1 1 1 1 1 1 1 1967 1968 1 1 1 1 1 1 1 1 1 1 1 1969 1 1 1 1 1 1 I I 1 I I 1970 * 3 m o n t h t r e a s u r y bill 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) 1 ! 1 1 1 1 1 1 1 1 1 1971 SELECTED SHORT-TERM INTEREST RATES" Per cent per a n n u m 12 EURO-DOLLAR - LONDON 10 4 8 SWITZERLAND LJ 1 ! i i l l J J 1 I _ L L L 1 1 11.11 . : 1 i 1 1 ! i ! i ! l i 1 ! 1 ! ! 1 1 i l l 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 m L o n d o n 1 1 J JU I I l i 1971 •2 LONG-TERM BONO YIELDS Weekly figures Per cent per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND T U.K. -fcj EURO DOLLAR BONDS GERMANY L i J i J 1 1 i ! ! 11 l.J 1 1.1 1 1 1 1 1 1 . . ' U. 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 C o r p DM Euro Bonds s t a r t s 12 70, Euro Dollar Bonds start 4 2 71 * * Nt-w Average yield of all G r ^ U d n PA Bond', begms 9 4 / 0 9 CHART 14 INDUSTRIAL STOCK INDICES 1 320 280 U.K. 200 SWITZERLAND 4 400 GERMANY 240 US. 160 JAPAN 400 320 240 CANADA 160 1969 1970 * Japan index of 225 industrial and other stocks traded on the Tokyo exchange * * Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange H. 13 No. 504 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 Dec. 10, 1970 France 6. 5 Jan. 8 , 1971 7.0 Oct. 20, 1970 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 , 1971 6.0 Aug. 4 , 1969 Switzerland 3.75 Sept. 15, 196S 3.0 J u l y 10, 1967 United Kingdom 6.0 Apr. 1, 1971 7.0 Apr. 15, 1970 Canada 5.25 Feb. 24, 1971 5. 75 Feb. 15, 1971 Japan 5.75 Jan. 20, 1971 6.0 Oct. 28, 1970 United States 4.75 Feb. 13, 1971 5.0 Jan. 19, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Lower Series Date Swiss franc Rate A p r i l 30 + 1.759 German mark " + 0.722 U.K. pound " Dutch guilder " + 0.798 + 0.615 " + 0.704 " + 0.710 French franc Japanese yen IB Belgian franc „ + 0.738 Italian lire " + 0.432 Canadian dollar - - German mark 2A A p r i l 30 + 0.70 " + 2.72 Swiss franc U.K. pound 2B 3A German mark 3B " " - 0.30 A p r i l 30 + 2.85 U.S. dollar " + 1.79 Swiss franc H French franc " + 4.25 + 1.49 A p r i l 30 Upper Call Euro-$ deposits A p r i l 28 M Middle Federal Funds Differential Lower Euro-currencies: Euro $ " Euro DM Euro Swiss Fr. 5B Upper Lower - 2.14 + 1.21 + 0.89 Gold price, U.S. dollar per ounce 4 5A " „ Dutch guilder Canadian dollar French franc - - Japan, Unconditional Money A p r i l 30 39.24 5.22 4.14 + 1.08 " 5. 68 3.72 " 4. 18 A p r i l 23 6.75 » 6. 56 Canada, Day-to-day Loans " 28 2.35 France, Day-to-Day Money " 23 5. 50 Germany, Call Money ,, 23 ii 23 2.12 U.K., 2-day Local Author. Deps. Netherlands, Call Money 1.00 IV-3 Chart Panel Series 6A Euro-) Call Rate 6B Euro-) 6-month Rate 7A 7B Upper A p r i l 30 5.25 Euro-* 1-month Rate " 5.88 Euro-) 3-month Rate " 6.31 " 6.81 A p r i l 28 6.06 U.S. Certificate of Deposits " 4.81 Lower Differential " + 1.25 Upper Euro-) 3-month Deposits " 6. 06 Euro-) 3-month Deposits (Adj.) " 7.58 Lower Euro ) 3-month Deposits U.S. Certificate of Deposits (Adj.) " 4.86 Differential: on Adj. Euro-) Deposits " + 2.72 " + 1.20 on Unadj. Euro-) Deposits 8A 8B Upper Euro ) 3-month Deposits Hire Purchase Deposits (covered) " Lower Differential » Euro-) 3-month Deposits " Upper Lower Upper " Differential " 4.44 - 1.50 5.94 4.13 - 1.81 A p r i l 30 3.93 U.K. Treasury Bill rate " 30 5.55 Local Authority Deposit (uncovered) „ 23 6.69 Spread (+= favor London) " 30 + 1. 62 " 3-month Forward Pound Lower 5.94 A p r i l 16 Local Authority Deposits (covered) U.S. Treasury Bill rate 9A 9B Rate Date Net Incentive (+- favor London) 30 - 2.13 March 26 April 2 " 9 + 0.40 - 0.19 - 0.72 30 - o!51 1 IV- 4 Chart Panel Upper 10A Series Euro-S Deposits (covered) German Interbank Loan rate 10B Lower Differential Upper Euro-) Deposits (covered) Swiss Deposit rate 11 Lower Differential Upper Canadian Finance Paper Rate Date April April April " April " April " April " April " 21 28 21 28 21 28 21 28 22 28 22 28 A p r i l 30 U.S. Treasury Bill rate Canadian Treasury Bill rate Bill rate differential Forward Canadian dollar Third Net incentive on bills Bottom Net incentive on Finance Paper Upper 12A " U.K. Treasury Bill rate German Interbank Loan rate Lower 12 B 3.88 2.95 4.38 " - 0.98 " + 0.81 - 0.17 " A p r i l 30 U.S. Treasury Bill rate - 3. 5 0 r 3.22 3.50* 3.50 0.00r + 0.28 3.93 U.S. Prime Finance paper (not plotted) Second 5. 0 5 r 5.61 6.12 6.25 + 1.07r + 0.64 + 0.31 5.55 3.93 " 6.25 Japanese Average rate February 7.676 Canadian Treasury bill rate A p r i l 30 2.95 U.S. Treasury Bill rate 3.93 Euro-$ Deposits 6.31 Swiss 3-month Deposit rate 3.50 U.S. Treasury Bill rate 3.93 IV- 5 Chart Panel Series 13 Upper Netherlands April 16 23 6.95 6.85 Canada April 28 6.44 Date Rate United States 5.88 Switzerland Middle United Kingdom Euro-dollar bonds Lower New S e r i e . A p r i l 1/7. U.S. Corp. Dollar Euro-bonds Upper Lower 5.33 23 7.87 " 23 9.19 " 30 7. 70 8.03 7.31 " U.S. Corp. Aaa bonds April Switzerland April 30 408.2 " 23 261.80 Germany Middle 23 " March U.S. Corp. DM Euro-bonds 14 " * Germany 7.25 United States " 30 234.36 United Kingdom " 30 216.60 Canada „ 22 225.49 " 23 4 1 1 . 20 " 30 234.36 ** Japan United States * 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 series beginnign week of April 1, Euro dollar bonds. 1971 for average yield of seven
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