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SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS MMMO OF 6OVEM0K OF TW FGDQML KStXit fKTCM TABLE OF CONTENTS PARTI. 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.-Switzertand Chart 11 - Interest Arbitrage: United States-Canada Chart 12A and B - Selected Short-tern Interest Rates PART III. LONG-TERM INTEREST RATES AND STOCK INDICES Chart 13 Chart 14 - Long-Tern 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, vtfiich accompanied Issue dated January 1,1969. All series and their sources are fully described in a Supplement dated January 1, 1972. \ SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Above GERMAN MARK 2 K POUND Centr rate SWISS FRANC I I I I I I DUTCH GUILDER I I I I 1 Below I Above 2 FRENCH FRANC C; * r • US. JAPANESE YEN _J M I I L_ _J I I 1_ J J 1972 1973 * Pound floated June 23, 1972. Chart I B SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent Central ITALIAN LIRA Ratio scale, U.S. cents Ratio scale, U S cents CANADIAN DOLLAR UJC. POUND 260 240 I i I i i I i i i I I Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11. 1971 - Dec. 17, 197] Weekly averages Per cent Above par GERMANY NETHERLANDS FRANCE JAPAN Par US dollar MAY JUNE JULY AUG. SEPT 1971 Financial franc OCT. NOV. DEC CHert 10 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR 11. 1971- Dec. 17, 1971 UJC ITALY UX ITALY US MAY JUNE JULY OCT. AUG. 1971 • f o r clarity the vertical scsle is dowtote that wed in 1C NOV. DEC. 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent per annum CANADIAN DOLLAR U.K. POUND GERMAN DISCOUNT- DUTCH GUILDER , DISCOUNT — i I I I I I I I I 1970 1969 * Canadiar Dollar Rate ' s u p p c t e d by Bank of Canada 1971 1972 \*v 3 - M O N T H F M W A f t O EXCHANGE - M A X * C U M E W O E S A C A M C T U J . O O t L M Weekly averages 1 1| M | M j M " 1 " 1 " ! u u u : i ' ' i • 1 1 M • | ! ! | M | 1" T " 4] -tjW ~\A U *w r-\ ^ \ m EUCH FRANC ' . . I M T i J S D 1970 M 1i i 1i i 1i i J S D i i 1i i 1ii M 1971 * Devaluation of the French franc from 4 94 to 5 55 for $1.00 • • N o quotation J S 1972 1 / 1i i O Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM GERMAN MARK U S. DOLLAR DISCOUNT M J S D 1969 * No quotation. M J 1970 S D M J 1971 S S D 1972 D I Chart 38 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST UK. POUND Friday figures Per cent per annum PREMIUM SWISS FRANC FRENCH FRANC DISCOUNT - S M D M 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 D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 1 - r / I r 1 1 I ' ! ; i f A ' i l l ! M ! 1 : ' J S ; ! 11 11 D M 1969 J 1970 D / ^ 1 I ! 1 1 1 1 1 ! 1 1 ! i i i 111 i i i i i ! i ' 11 S A M J S 1971 D M J S 1972 D ™ y*1 CHART 5A CALL MONEY RATES DOLLAR FUNDS Weekly averages I I I EURO-DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUWDS EURO-DOLLAR OVER FEDERAL /V^ EURO-CURRENCIES Per cent per annum Weekly averages 12 EURO-SWISS FRAWC I ' 1" S I i i I i i D 1969 * Way iO, 1971 - Char-Fe<J to Overnight Euro $ Deposits Chart 58 CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per annum FRANCE NETHERLANDS \-^__^JAPAN - v ~ II 1 I I - i ^ i 1 1 II II 1 1 1 1 II 1 II 1 CANADA 1 1 1 1 1 ! l I II m i i i 1 i i 1 M GERMANY U.K. M S D 1969 M S 1970 D M J S D 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 1972 S D v f f i ' ClWt «A UNDO*. EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per awNMe 25.50 12 OVERNIGHT 10 11-MONTH 6 6 7-OAY 4 2 M J s D M 1969 J s 1970 * M » y 12/71-changed to Overnight Euro-Dollar Deposits # # July-1-changed to 7-Day Euro-Dollar D M J 1971 s 0 M J 1972 s 0 \<p Chart 6 8 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum ! I i I i , I I / | A, ikJ I / v V\ li / v A tiiU 1J ! k V V j M i 1 1 1 1 I 1i iII1 i i 1 i i 1 iI t1 1 1 1 1 1 1 1 1 M J S D 1969 M J 1970 S D M J S 1971 D M J S 1972 D Chert 7A H E W Y O R K - U M H O O * Y I E L D S O N US. D O O M FUWOS 3-WOWTH DOLLAR DEPOSIT RATES—SECONDARY MARKET 12 I Kyi -VJt /y - EUKWIOUAR DEPOSIT A ik / VK V - - - W U.S.G ERTFtCATE OF DEPOSIT i i 1 i i ! i i I i i ! 1 1 1 1 1 11 11 1 1I I I11l I V 1 1 1 1 1 1 J 1 1-1 1 I I FAVOR EURO-DOLLAR DIFFERENTIAL • A/u , A h - V v wvxZ W E l WO-DOOAR OVER U.S. 0 EOTiFICATE OF DEPOSIT r ! 1 ! ! 1 1 1 11 1 i 1 M J S D 1969 i i 1 i i i i i 1 i i J i l l l l l l l i . i l . I I 1 l I 1i I 1 1 i . M W J S 1970 ' D M J 1971 S D J S If72 O Chert 78 NEW YORK-LONDON: COST OF US. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PR WARY MARKET Wednesday figures l Per cent per EURO DOLLAR DEPOSIT ADJUSTED ' EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT I ADJUSTED' T EURO DOLLAR OVER V U.S. CERTIFICATE OF DEPOSIT I S ADJUSTED1 D 1969 J 1970 * Adiusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * A d | u s t e d for 2 0 * Marginal Reserve Requirement S D M J 1971 S D J 1972 D ctmtm LOMDON: C X W O E D Y B U I S O H M S . HIRE PURCHASE MM) EURODOLLAR RATES 12 > \ A \ E U W M M U M ocracrr i: 1 " An II f 1 1 1 1 II 11 - V A/Aa v' HIRE PURCHASE COVERED nouses-* 1 1 1 1 11 II 1 II 1 II II 1 1 1 1 II 1 II A A L M A m i i 1 ii FAV0 1 i i 1 i i * STERLING CD s 1 - - DIFFER! M i l FTfr l l i i m j s d 1IM i i 1 i i 1 i i 1 i I m j s d 1§70 * Hire Purchase temporarily suspended as of August 11 * * Sterling Certificates of Deposit started as of August 11 i i 1 i i 1 i i 1 J .1 , i / i T m ' T n m j s d m j s 1971 1*72 I 0 Chart 8 8 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Fer cent per annum EURO-DOLLAR DEPOSIT i LOCAL AUTHORITY DEPOSIT ^COVERED FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR I DIFFERENTIAL 1969 1970 1971 1972 O w l 9* MTEflEST A U B H i l A C E ; t W I E D STATES A N D M U T E D K M G D O M 3-WOWTH TREASURY BILL RATES YORK W J S D 1969 * Plotted for comparison purposes M J S 1970 O M J S 1971 D I I J S 1972 O C l w t 96 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I 4 PREMIUMi 2 SPREAD m FAVOR OF + 0 2 FORWARD RATE 4 6 8 10 DISCOUNT c DIFFERENTIAL tVOR LONDON 12 4 2 + 0 2 4 6 8 FAVOR NEW YORK 10 M J S D M 1969 J 1970 S D M J 1971 S D M J 1972 S 0 ChartlM 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE IN TERMS OF DM LOAN RATE i DIFFERENTIAL 1 . u v i J ^ j4lv \i ,1 M J S 1969 No quotation D i i 1i i 1i i 1i i M J S D 1970 , FAW"0« FRANKFURT An) FAVO* EUH0-00LUW 1 1 11 I 111 1 1 1 1 1I 1I 1i 1 11I M J S O M J S D 1971 1972 Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE Per cent per annum Wednesday rates IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE i I i i I i i l i i I i i I i i 1 i i I i i DIFFERENTIAL I l I l l I l I I I 1I I 1I I 1 I I l I I I I I I I I — — No quotation ; 1 ' FAVOR EURO-DOLLAR ' • I ' « I '' I 1 "I 4# 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures 1 1 | 1 1 ] I! - BILL RATES | M 1 1 | 1 1 | 11 ] 11 II | 1 1 | 1 1 | 1 1 1 1 | II | II | 1 1 N. FIN. CO PAPER - UNITED STATES TREASURY BILLS CANADIAN \»\ TREASURY BILLsV S\\#*Ar / w O \ MEIWW BILL RATE DIFFERENT!* L AND FORWARD CAMADUW DOLLAR ARMR>ARD> f V ^ v VAyv y / v / v V\ v r-, A / GROSS SPREAD M FAW M OF CANADA OKCOUeT COVERED RATE DIFFER [NTIAIS MKKCtfMOA WRY SILLS v w , 1 A J\ \ y v V V ^ ^ / w v = FW i OeCMMCA Vr^VVj FMIANCE PAPER \ A 1 / V 1 / yf z X v v ' V y fWWvV 1 I ! 1 ! i 1 1 1 !111 1 I I 1 1 i 1 1 11 1 1 1 I I I 1 1 11I I I 1 1 1 1 1 1 M J 196# S O i l J it7c S ' O M J vnx S D H J f wn P Chert 12A SELECTED SHORT-TERM INTEREST RATES* UJL WJLj us. 19ft 1S70 * 3 month treasury bill rates for all countries except Japan(Averaee rate on bank loans and discounts) and Germanydnterbank Loan Rate) 1972 f&v,v SELECTED SHORT TERM INTEREST RATES Per cent per annum EIMCCMXJLLAR - LONDON I I I II 1 I I 1 I 1 I I I I I 1 I I 1 I I I 1 i I I I I I 1 I I I I 1 1 11 I I t I I I I I I I I I I I 1968 e 1970 3-month treasury bill rate for U.S.. Swtaerland-3-month deposit rate. • • 3 month rate for U.S. dollar deposits in London. 1972 & LONG-TERM BOND VELDS Per cent per annum Weekly figures i i 1 1 I i l I I I I 1 I 1 I I 1 1 I 1 1 I I I I I I I I 1 I I 1 1 1 I I I 1 I I 1 I 1 1 I I I I I I 1 I 1 1 I 1 US. COUP. DOLLAR EMM-MMDS Monthly figures us. a w . o n Eueo-eowos 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 1 i i 1 i i I i i 1 i i I i i I i i I i i I i i I i i I i i I i i I 4 1968 1969 1970 1971 1972 New series lot Switzerland starts 8 2-68. U S Corp. Dollar Euro Bonds and U S Corp DM Euro Bonds starts 12 70 # New Average yield of ati German PA Bonds begins 1 7 4 9 * * New series F starts 12 71 I CHART 14 INDUSTRIAL STOCK INDEXES L^ ! UNITED STATES - 200 1 i i 1 i i 1 i i 1 i ! : i i ! i Vv i i i ii ii 1 i i 1 i i 1 i.i i i 1 i i i i i 1 i i L vx | SWITZERLAND 360 UNITED KINGDOM F i 1 1 I : 1 : 1 • ! ! ! ! L 1 ! 1 ! 1 J i i i 1 i i Ii i Ii i 1 1 1J ! 1 1 1 _L _L_ ! JAPAN/ 1 240 1 1 1 1 1 1 1 — / " 360 GERMANY ' 240 - i 1 I I ' . : ! ! ! ! I 1 \ I !1 1 1969 . 1 1 1 r 1 1 ! CANADA 1 \ J 11 1 1 l 1 1 1 l 111 1l 111 1 1 1 1 1 1 1970 1971 * 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 Exchanse. 1972 MowtiLi 1, 1972 M-13 Ho582 CflMBftry IV. SELECTED CBITtAL BASK MSCOWIT HATES Current ftaie In Effect Since fteviatfs fate In Effect Since E.E.C.: Frece tana* 4.0 March 2 , 1972 4.5 Feb. 5. 1972 5.75 A p r i l 6 , 1972 6.0 Jan. 13, 1972 Oct. 9 , 1972 3.0 Feb. 2 5 , 1972 3.5 HHy 4.0 A p r i l 1 0 , 1975 4.5 Oct. 14, 1972 irthrrlwdf 3.0 Sept. 8 , 1972 4.0 March 1 , 1972 Switzerland 3.75 S e p t . 1 5 , 196$ 3.0 #WWKh#dem 6.0 June 2 2 , 1972 5.0 Sept. 3, 1971 CmWe 4.75 Oct. 25, 1971 5.25 Feb. 2 4 , 1971 4.25 June 2 4 , 1972 4.75 A p r i l 29, 1971 4.50 Dec. 13, 1971 4.75 Nov. 11, 1971 United Stoles J u l y 10, 1967 • • E f f e c t i v e O c t o b e r 1 3 , 1 9 7 2 , t h e Bank o f E n g l a n d r e p l a c e d i t s t r a d i t i o n a l Bank R a t e v i t h a f l u c t u a t i n g " m i n i m m l e n d i n g r a t e " based on a v e r a g e T r e a s u r y b i l l tender rate. O c t o b e r 27, 1972 . . . . 7,50 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series 1A Upper Swiss franc U.K. pound French franc Japanese yen i Lower IB Upper Lower Belgian franc Italian lire Canadian dollar German mark Dutch guilder Upper German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen 2A 2B Lower 3A 3B Upper 1 1 | Middle Lower , j 4 5A 5B Upper Lower Date O c t . 27 Actual Rate Rate +1.043 235.66 +1.521 +2.364 +1.519 -0.537 101.81 +0.437 +0.237 Actual Rate +2.22 +2.22 -2.76 +2.26 40.11 -0.37 EA +4.69 +5.08 German mark U.S. dollar Swiss franc O c t . 1 3 3 . 9 2 * French franc O c t . 20 j O c t . 27 e e t . zu ; O c t . 27 +2.39 C> c t . 2 0 +3.76 27 + 3 . 6 8 (>ct. 20 +1.81 27 + 2 . 2 4 Gold price, U.S. dollar per ounce ; O c t . 27 Overnight Euro-S deposits Federal Funds Differential Euro-currencies: Euro DM fl 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 j O c t . 25 j • c t . 20 27 27 f •ct. 20 j O c t . 13 | O c t . 20 ! O c t . 18 O c t . 27 " S e p t , 22 64.66 5.13 5.01 +0.12 2.33D 1.33p 4.38 6.75 3.60 5.88 6.06 0.53 2.19P 4.38p IV - 3 Chart Panel 6A Series Dale Euro-S 7-Day Rate O c t . 27 7A 78 Upper 5.06 Euro-S 3 month RMe " 5.94 Euro-S 6-month Rate W 6.25 O c t . 25 5.86 Euro-S 3-month Deposits U.S. Certificate of Deposits M Lower Differential « Upper Euro-S 3-month Deposits M 5.88 Eum-S 3-month Deposits (Adj.) •1 7.35 U.S. Certificate of Deposits (Adj.) M Lower Differential: on Adj. Euro-S Deposits Upper Euix>-$ 3-month Deposits on Unadj. Euro-S Deposits 8A S t e r l i n g C e r t i f i c a t e s o f Depos: t 8B 5,22 0.66 5-53 +1.82 M 40.35 O c t . 13 6.06 H 4.88 Lower Differential M -lrl* Upper Euro-S 3-month Deposits H 6.06 Local Authority Deposits (covered) H 4.88 Differential M -1.18 O c t . 27 4.65 H 6.80 Lower U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) 98 5.00 " Euro-S 1-wHh Rate 66 tale Upper Spread (+= favor London) O c t . 20 7.44 O c t . 27 +2.15 3 month Forward Pound Lower Met Incentive (+= favor London) -2.82 - -0.67 IV - 4 Chart Panel Series 10A Upper Euio-S Deposits (coveted) Dale O c t . 25 German Interbank Loan rale 10B 11 3.76 7.12 Lower Differential Upper Euro-S Deposits (coveted) 3.67 Swiss Deposit rale 2.50p Lower Differential Upper Canadian Finance Paper +3.36 -1.17 O c t . 27 U.S. Treasury Bill tale 3.48 U.S. Prime Finance paper (not plotted) Second 5-13 4.65 Canadian Treasury Bill tale 5.13 Bill rate differential -1.17 Forward Canadian dollar 12A Rale +0.04 Third Net incentive on bills -1.13 Bottom Net incentive on Finance Paper +0.04 Upper U.K. Treasury Bill rate 6.80 U.S. Treasury Bill rate 4.65 Lower German Interbank Loan rate O c t . 25 7.12 Japanese Average rate Aueust 6.896 Canadian Treasury Bill rate O c t . 27 3.48 U.S. Treasury Bill rate 128 Euro-* Deposits 4.65 5.94 Swiss 3-month Deposit rate 2.50p U.S. Treasury Bill rate 4.65 IV-5 C M Pand Series 13 Upper Ifcfteta* 6 ~ t - 22 6.04 Canada Oct. IS 6.82 Veiled Stoles O c t . 25 5.39 O c t , 13 5.06 O c t . 15 7-S3 Seitanrtand Ueitod ringdne A T - ?" U.S.Ceto.OoltorBW*ee^rl^F Lower M l to* U.S. Co*. f » Dim taedr S e r i e < , . . « F U.S. Coip. Aaa bends 14 m 20 27 6 13 rj-tf 64/.V 453,0 SI 292.4 United Kingdom O c t . 27 O R . 20 O c t . 27 251.14 272.80 2*7.19 Canada O c t . 19 263.95 Japan Oct. 7 742.73 United States O c t . 27 251.14 Switzerland Upper * Canny United States Middle Lower " IM 6.66 UK. Oct. Oct. Oct. * Mew - Average yield of ALL German Public Authorities bonds made as of baiting key days. • • Beginning week ended September 5,1970, the Japanese index plotted is that of ail industrial and <Hher stocks on the First Section of the Tokyo Stock Exchange.
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