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.A (mf . /A vt of Intfcnational Finance Europe iwealth Section 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 12 A 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 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 April 7,1971. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages January 196S August 15, 1971 Above par SWISS FRANC 1.6 GERMAN MARK Par U.K. POUND U.S. Below par Above par FRENCH FRANC- JAPANESE YEN U.S. DUTCH GUILDER Below par J S D 1968 * ** * * * * * * * M J S D M 1969 Devaluation of the French franc from 4.94 to 5.55 for $1.00. Rate not supported by Central Bank. Revaluation of the DM from 25.00 to 27.32 in U.S. cent*. May 10, 1971 - Swiss framTrevalued; new par 24.485 U.S. cents. J 1970 S D M J 1971 S D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages J'""3" 1968 Au8us ' 15 ' 1971 Above par CANADIAN DOLLAR BELGIAN FRANC m ITALIAN LIRA Below par CANADIAN DOLLAR r / J * Ratio scale, U.S. cents k /v J v z ^ ~ \ lV . J 100 98 CAINADIAN DOLLAR - 96 - 94 1 S 1970 *Rate not supported by Central Bank l . D 11 11 M J 1971 S i i D y J Chart 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 - Weekly averages Per cent Above par GERMANY NETHERLANDS FRANCE JAPAN with U.S. dollar Below par MAY JUNE JULY AUG. SEPT. 1971 Financial franc OCT. DEC. L Chart I D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR MAY JUNE JULY AUG. SEPT. 1971 * F o r 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 Per cent per annum Weekly averages GERMAN MARK SWISS FRANC U.K. P O U N D DISCOUNT M J S D 1968 ' N o "uotation- M J S D M J 1969 S D M J 1970 S D 1971 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages P y cent per annum A JAPANESE YEN PREMIUM* I I I M I J_L I J 1970 S D M J—L J_L J 1971 S D Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per annui PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 DISCOUNTM J S D M 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. * * * No quotation D M J 1970 S D M J 1971 S D Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM 20 GERMAN MARK V U.S. DOLLAR DISCOUNT— M J S D 1968 * No quotation. M J 1969 S D M J 1970 S D M J 1971 S 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— M J s D M 1968 J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 D M 20 J 1970 S D M J 1971 S D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 46 42 38 34 M J S T M 1969 J S 1970 D M J 1971 S D M J S 1972 D CALL MONEY RATES DOLLAR FUNDS Per cent per annum Weekly averages EURO DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS V^V EURO-CURRENCIES Per cent per annum Weekly averages 12 EURODM EURODOLLAR I 1 1 EURO-SWISS FRANC J—L J—L M J S J_L D M 1968 _L_L I I J l I S 1969 * May 10, 1971 - Changed to Overnight Euro $ Deposits. * * Dropped as of August 18, 1971. D 1 I I l Chart 58 CALL MONEY RATES FOREIGN C U R R E N C I E S * Friday figures Per cent per annum SELECTED EEC C U R R E N C I E S ' Friday figures FRANCE 1968 1969 1970 1971 * 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. Vl LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures 25.50 1-MONTH I I 1 II M I I I I I I I I I 1 I I 1 II J S D M 1969 J I I I 1 I I I II S 1970 D M 1 I—f—I I I I I I I I I I I I I I I 1 2 J S 1971 D M J S D 1972 * M a y 12/71-changed to Overnight Euro-Dollar Deposits * * July 1-changed to 7-Day Euro-Dollar J LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 12 L jh A p r \ p 10 i \ A} V V / / A i v\ V ^ 3 - M 0 N T H 1 i i M 1 i i 1 i J i i i i 1 1 1 1 1 1 I I 1969 1 I I 1 1 1 I I M S 1970 1 1 1 1 I I J 1971 1 1 I 1 1 1 1 1 1 I I S 1972 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per 14 12 EURO DOLLAR DEPOSIT 10 8 U.S. CERTIFICATE OF DEPOSIT 6 4 DIFFERENTIAL FAVOR EURO DOLLAR 4 2 + 0 2 M J S D 1968 J 1969 S D J 1970 s s D 1971 D Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 - M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y MARKET Wednesday figures Per cent per annum 14 EURO DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E O F D E P O S I T ADJUSTED* DIFFERENTIAL *! /I \ - j l - \ l\J\ v v w ^ - Mi , My f i j u ii 1 i i 1 i i 1 i FAVOR U.S. CERT. OF DEPOSITU 1 1 1 1 I I I 1 1 1 1 i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 J 1968 1969 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement Digitized for * * *FRASER Adjusted for 20% Marginal Reserve Requirement 1970 S D M J 1971 S D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday figures 14 12 EURO-DOLLAR DEPOSIT 10 8 HIRE PURCHASE COVERED 6 4 2 0 0 2 4 6 8 DIFFERENTIAL M J FAVOR EURO DOLLAR S D M 1968 J 1969 S D M J 1970 S D M J 1971 S D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures 14 12 EURO-DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT COVERED 4 2 0 + 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 M J 1971 S D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures .' Per cent per annum 1 3-MONTH TREASURY B LL RATES f\J W l ^ J A \ U K. LOCAL AUTHORITY DEPOSITS * \ UNCOVERED S\j^ LONDON / V | V l V N E W YORK 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1969 * Plotted for comparison purposes 1970 1 1 1 I 1 1 M 1971 1 I I 1 1 1 1 i 1 I I 1972 1 1 1 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures 1 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING | r K f ^\A y A SPREAD IN FAVOR OF LONDON FORWARD RAT 4 i / PREMIUM! i E \J DISCOUNT " u h i 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 I 1 1 I 1 1 1 1 1 1 1 1 1 1 1 1 1 FAVOR LONDON DIFFERENTIAL i / /i-/\_ Vs/ A A \N ^ A K s / I \" VV Jf\ v Z FAVOR NEW YORK 1 1 1 1 1 1 1 1 1 1 1 M J S i i 1 M D 1969 1 i i 1 i i J 1970 S D 1 1 1 1 1 1 1 1 1 1 1 M J 1971 S D 1 1 1 1 1 I 1 1 1 1 1 M J S 1972 D yv Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Per cent per annum Wednesday rates 14 GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO DOLLAR -Ll-I M I I I l-J-L J S D I I I I I I I I I I I I I I I I I I I I I -1- 1971 1972 M 1969 - No quotation J 1970 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 i i I i i l i i I i i A AAi DIFFERENTIAL i i 1 i M \r vy 1 i Nv i 1 i J i S I i i D 1 M 1969 No quotation J S 1970 D FAVOR ZURICH r y i 1 1 1 1 1 1 1 1 1 1 1 M i i I i i I i i I i i i i J i i i i S 1971 i D i i i M FAVOR EURO-DOLLAR 1 1 1 1 1 1 1 1 1 1 l J S I 1972 D 1-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA riday figures Per cent per ar 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 1 I I I | I I | I I | I I 10 8 CAN. FIN. CO. PAPER 6 UNITED STATES TREASURY BILLS CANADIAN TREASURY BILLS 4 2 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR 2 FORWARD RATE + 0 2 GROSS SPREAD IN FAVOR OF CANADA COVERED RATE DIFFERENTIALS 2 TREASURY BILLS + 0 2 2 PRIME FINANCE PAPER + 0 FAVOR U.S. I I I 1 I I I 1 I I I J 1-1-i S 1969 M I I I I J 1971 I I S I _L I I D M I I I I I J 1970 I S I I I I I I I I I I I I I D ^ M J 1972 S D ¥> Chart 12A SELECTED SHORT-TERM INTEREST RATES" Per cent per annum GERMANY U.K. US. i 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 * Per cent per annum EURO DOLLAR - L O N D O N US. SWITZERLAND 1968 1970 * 3-month treasury bill rate for U S , Switzerland-3-month deposit rate. * * 3-month rate for U.S. dollar deposits in London. 1972 LONG-TERM BOND YIELDS Per cent per annum Weekly figures 10 SWITZERLAND 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 l I l I I I 1 I I 1 1 I I I 1 I I I I I I 1 I II U.S. C O R P . A m I I I I I I I I I I I I I I I I I I I I I I I 5 BONDS I U.S. C O R P . D M E U R O B O N D S 1968 M U.S. C O R P . D O L L A R E U R O - B O N D S Monthly figures . 1 1 1 . 1 LLLI I I I I I I I I-I i i i i 1 i i I i i I i I I I 1 i l l-i i 1 I l 1969 1970 I i i 1 i i li_i±L-L±L-Ll 1971 L L ! J j J 1972 * New series for 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 all German P A. Bonds begins 1-7 69 L i J 4 CHART 14 58=100 STOCK INDICES io scale 320 280 .U.K. 200 160 400 SWITZERLAND 320 GERMANY 240 U.S. 160 JAPAN 400 320 240 CANADA 160 1968 1969 1970 lapan 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. 1971 H. 13 No. 5 3 1 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since 6.0 Mar. 25, 1971 29, 1971 6.75 Hay 13, 1971 Apr. 1, 1971 E.E.C.: Belgium 5.5 Sept. 23, 1971 France 6.50 Oct. Germany 4.5 Oct. 14, 1971 5.0 Italy 4.5 Oct. 14, 1971 5.0 Apr. 5, 1971 Netherlands 5.0 Sept. 15, 1971 5.5 Apr. 5, 1971 Switzerland 3.75 Sept. 15, 1969 3.0 July 10, 1967 6.0 Apr. 5.0 Sept. Canada 4.75 Oct. 25, 1971 5.25 Feb. 24, 1971 Japan 5.25 July 2 8 / 1971 5.5 May United States 5.0 July 16, 1971 4.75 Feb. 13, 1971 3, 1971 1, 1971 United Kingdom 8, 1971 ^ IV-2 LATEST FIGURES PLOTTED ON THE CHARTS t Chart Panel 1A Upper Series Date Swiss franc Nov. Rate 5 +2.295 +3.876 U.K. pound Lower IB Upper French franc Financial franc +2.55 Japanese yen +9.175 Belgian franc +7.560 +2.038 Italian lire Lower 2A Upper 2B Lower 3A 3B 4 5A Upper Canadian dollar Actual rate +9.666 Dutch guilder +8.178 German mark +0.87 Swiss franc +4.60 U.K. pound 40.14 Dutch guilder Canadian dollar 40.52 +0.12 French franc +4.90 n. a. Japanese yen German mark 40.84 U.S. dollar Swiss franc -0.27 +3.60 French franc +4.50 Gold price, U.S. dollar per ounce Nov. 5 Overnight Euro-S deposits Nov. 3 5.25 " 5.17 Middle Differential " +0.08 Lower Euro-currencies: Euro DM Upper Japan, Unconditional Money U.K., 2-day Local Author. Deps. Lower 4.35 3.65 3.65 5 4.38 0.62 29 5.50 4.88 " Oct. " Nov. 3 3.43 France, Day-to-Day Money Nov. 5 H 5.62 Netherlands, Call Money * 3 — 10 — 17 — Nov. Canada, Day-to-day Loans Germany, Call Money * - Sept. 42.22 Federal Funds Euro Swiss Fr. 5B 99.55 German mark Sept. 24 — 3.65 Oct. 1 - - 5.08 8 — 5.30 Oct. 2Q Oct. 15 — 22 — 29 — 5.12 5.38 5.35 5.38 5.38 7p\ IV-3 Chart Panel 6A Rate Date Series Euro-) 7 - d a y r a t e Nov. 5 Euro-) 1-month Rate 6B 7A 7B Upper 5.12 Euro-$ 3-month Rate 6.06 Euro-) 6-month Rate 6.12 Euro-) 3-month Deposits Nov. 3 4.94 Lower Differential 1.00 Upper Euro ) 3-month Deposits 5.94 Euro-) 3-month Deposits (Adj.) 7.42 U.S. Certificate of Deposits (Adj.) 5.16 Differential: on Adj. Euro-) Deposits +2.26 on Unadj. Euro-) Deposits Upper Euro-) 3-month Deposits 40.78 Oct. 15 Hire Purchase Deposits (covered) 8B Lower Differential Upper Euro-) 3-month Deposits Lower 9A Differential 6 . 63 6.98 +0.35 6.63 " Local Authority Deposits (covered) 9B 5.94 U.S. Certificate of Deposits Lower 8A 5.00 6.98 40.35 " U.S. Treasury Bill rate Nov. U.K. Treasury Bill rate " 5 4.06 4.51 Local Authority Deposit (uncovered) Oct. 29 Upper Spread (+= favor London) Nov. 5 3-month Forward Pound " 40.26 Lower Net Incentive (+= favor London) " 40.71 5.09 40.45 3 - IV-4 Chart Panel Series Date 10A Upper Euro ) Deposits (covered) Nov. 3 5.16 German Interbank Loan rate " 7.38 Lower Differential " +2.22 Upper Euro-) Deposits (covered) " 1.28 Swiss Deposit rate " 2.00 p 10B 11 Lower Differential Upper Canadian Finance Paper " 40.72 Nov. 5 5.00 U.S. Treasury Bill rate " 4.06 Canadian Treasury Bill rate " 3.28 U.S. Prime Finance paper (not plotted) 12A Rate 4.93 -0.78 Second Bill rate differential Forward Canadian dollar " 40.12 Third Net incentive on bills " -0.66 Bottom Net incentive on Finance Paper - 40.19 Upper U.K. Treasury Bill rate Nov. 5 4.51 U.S. Treasury Bill rate " 4.06 German Interbank Loan rate " 7.38 Japanese Average rate " 7.573 Lower 12B Canadian Treasury Bill rate " 3.28 U.S. Treasury Bill rate " 4.06 Euro-) Deposits 6.06 Swiss 3-month Deposit rate 2.00 p U.S. Treasury Bill rate " 4.06 IV-5 Chart Panel Series Date 13 Upper Netherlands * Oct. 29 7.07 Canada Nov. 3 6.10 " 5.28 Oct. 29 4.97 " 7.93 " 8.69 United States Switzerland Middle Germany United Kingdom Lower Euro-dollar bonds Nov. 5 7.65 U.S. Corp. Dollar Euro-bonds September 8.45 U.S. Corp. DM Euro-bonds 14 Upper " 7.33 U.S. Corp. Aaa bonds October 7.39 Switzerland Nov. 5 352.70 Germany United States Middle ' United Kingdom Canada Lower * - Sept. 3 - - 7.09 10 — 7.57 17 — 7.45 Rate Oct. 29 238.40 Nov. 5 210.48 " 224.56 Nov. 28 195.49 Japan Oct. 30 390.55 United States Nov. 5 210.48 Sept. 24 - - 7.45 e Oct. 1 — 7.30 8 - - 7.25 Oct. 15 - - 7.11 22 — 6.98 29 — 7.07
@FedFRASER