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V November 24, 1971 No. 533 H-13 Divl s lonoiJiitemetlonol Finance Europe end British Commonwealth Section SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM I 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.-Germany and U.S.-Switzerland Chart 11 - Interest Arbitrage: United States-Canada Chart 12A 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, ttfiich accompanied issue dated January 1,1969. All series and their sources are fully described in a Supplement dated April 7,1971. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages J a n u a r , 1968 August 15. 1971 Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par U.S. Below par Above par FRENCH FRANC- JAPAINESE YEN Par DUTCH GUILDER Below par M J S D 1968 * * * * * * * * * * M J S D M 1969 Devaluation of the French franc f r o m 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 t h e DM from 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents. May 10, 1971 - Swiss f r a n c r e v a l u e d ; new par 2 4 . 4 8 5 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 J a n u a r y ^ A u g u s t 15, 1971 Above par CANADIAN BELGIAN FRANC ITALIAN LIRA Below par CANADIAN DOLLAR Ratio scale, U.S. cents 1 A . ' . J 1 h Vv / VJ 100 98 CAINADIAN DIOLLAR - 96 - 94 l l s 1970 * R a t e not s u p p o r t e d by Central Bank i i 1 l M J 1971 i i S 5 " 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. Below par MAY JUNE JULY AUG. SEPT. 1971 * Financial franc OCT. NOV. DEC. Chart I D SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 — Weekly averages Above par BELGIUM U.K. SWITZ. ITALY Par U.S. Below par MAY JUNE JULY SEPT. AUG. 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 Weekly averages Per cent per a n n u m PREMIUM* GERMAN MARK SWISS FRANC | U.K. ROUND DISCOUNTJ M S D 1968 * No quotation M J S D J M 1969 S D M 1970 S D 1971 4 MONTH FORWARD YEN AGAINST U.S. DOLLAR P % cent per annum Weekly averages JAPANESE YEN PREMIUM M J 1970 S D M J 1971 S D Chart 2 8 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent per a n m PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 DISCOUNT- M J S D 1968 M J S 1969 * Devaluation of the French franc from 4 . 9 4 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 Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST ILK. POUND Friday figures Per cent,per annum PREMIUM* 20 GERMAN MARK U.S. DOLLAR DISCOUNT— M J S D 1968 * No q u o t a t i o n . M J 1969 S D M J 1970 S D M J 1971 S D \0 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM > SWISS FRANC FRENCH FRANC M J S D 1968 M J S 1969 * Devaluation of t h e French franc from 4 . 9 4 to 5 . 5 5 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 f CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per a n n u m EURO DOLLAR DEPOSITS CALL OVERNIGHT , FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS \ilMr it EURO-CURRENCIES Weekly averages Per cent per annum 12 EURO DM EURODOLLAR EURO-SWISS FRANC M J S D M 1968 h y May 10, 1971 - J S 1969 Changed to Overnight Euro $ Deposits. * Dropped as of August 18, 1971. D M J S 1970 D M J S 1971 D Chart 5 8 CALL MONEY RATES FOREIGN CURRENCIES* Friday figures Per cent per _ - - d A'r-1 : V 1 1 X - v c« LNADA i i 1 1 : ARAN v/V XX y 1 1 1 1 1 1 1 1 V- V ~\ \ ^/\r i i i i y k / ^ V i i 1 1 1 i i SELECTED EEC CURRENCIES* Per cent per annum Friday figures FRANCE GERMANY NETHERLANDS M J S D 1968 M J 1969 S D M 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 Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per 25.50 OVERNIGHT 1-MONTH CALL ^7 DAY M J s D M 1969 J s 1970 * M a y 1 2 / 7 1 - c h a n g e d to Overnight Euro-Dollar Deposits * * July 1 - c h a n g e d to 7 Day Euro Dollar D M J 1971 s D M J 1972 S D Chart 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum |1K A /1 / K 6-MONTt1 \ J d / VK/Ts-month 1 1 1 1 1 1 II i i 1i i 1i i 1i i M J S D 1969 M J 1970 111 S D 1 111 111I 111 M J 1971 S D 1 I 1 11 1 II M J 1972 1II S D NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per c e n ' t f EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT DIFFERENTIAL FAVOR EURO DOLLAR S D 1968 M J 1969 S D M S 1970 D S 1971 a \ A NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per a n n u m Wednesday figures euro d o l l a r deposit ADJUSTED e u r o - d o l l a r deposit u.s. c e r t i f i c a t e o f deposit ADJUSTED* i i i i i i i i i i i DIFFERENTIAL ADJUSTED FAVOR IKS. CERT. OF DEPOSIT- i i i i i i i i i i i i 1i i i i i i i i 1i i i i i 1i i 1i i i i i i fi 1968 * A d j u s t e d f o r Reserve R e q u i r e m e n t * * A d j u s t e d for 10% M a r g i n a l Reserve R e q u i r e m e n t * * * A d j u s t e d f o r 2 0 % M a r g i n a l Reserve R e q u i r e m e n t i i i i i i Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Per cent per a n n u m Friday f i g u r e s euro d o l l a r deposit ' l| ( w : h i r e purchase COVERED DIFFERENTIAL M J FAVOR EURO DOLLAR S D 1968 M 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 Per cent per annum e u r o d o l l a r deposit local authority deposit COVERED DIFFERENTIAL M J 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 a n n u m 3-MONTH TREASURY B LL RATES - N . f A A , J u.k. l o c a l au t h o r i t y deposits * \ \ UNCOVERED —"J77f v x ^ A ]* l o n d o n /v k a ft ' v n e w york 1 i i 1 i I 1 i i 1 i i M J S D 1969 # Plotted for comparison purposes ii M 1111111ii J S 1970 D m M 1m J 111111 S 1971 D 1 1 1 1 1 1 1 1 1 1 1 M J S 1972 O Chart 9 8 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 1 ' RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING | r ^ \ a PREMIUM i s p r e a d in f a v o r o f l o n d o n forward rati 4 z A eV/ ] DISCOUNT 1 I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 DIFFERENTIAL j ^ Z A \v A. YV- 1 1 1 II 1 1 1 1 1 1 II 1 II 1 1 1 1 1 1 i Vak/} I l r FAVOR LONDON \ FAVOR NEW YORK M i l i I i i I i i J S 1969 1 1 1 1 1 1 1 1 1 1 1 M J 1970 S 1 1 1 M 1 1 1 1 1 1 1 j 1971 s 1 1 1 1 1 1 1 1 1 1 1 J 1972 S Chert 10A 3 - M O N T H FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum 14 IN TERMS OF DM german interbank loan rate eurodollar COVERED i i i i i i i i i j 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 m 1 DIFFERENTIAL IvJV/l ,i J vV i i i i i m i i j 0 FAVOR FRANKFURT Am WVA/ v FAVOR EURO DOLLAR i i i i i r i i i i V i i i i i i i i i i i 1 1 1 1 1 1 1111111 111 1 1 1 1 1 M J S D 1969 — — No quotation M J S 1970 D M J S 1971 D M J S 1972 D Chart 10B 3 - M O N T H 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 euro-dollar COVERED swiss deposit r a t e i i i l l i i i i i i jji DIFFERENTIAL V .a r A I i i i i i i i l i l FAVOR ZURICH , • v NV i i l M i 1 i i J i 1 S i i i D 1969 - No quotation i i i i i i J 1970 i i S i 1 i D 1 1 1 1 1 1 1 1 I M J 1971 I 1 FAVOR EURO DOLLAR 1 1 1 1 1 1 1 1 1 1 j 1972 s o C h a r t 11 3 - M O N T H INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s P e r c e n t per annuhn 1 1 | 1 1 | 1 1 | 1 1 1 1 1 i 1 1 1 1 1 1 1 - BILL RATES \ v . V united states treasury bills 1 1 1 1 1 1 1 1 1 1 1 , I V \ \!CA \yCVyVx - 1 1 1 1 1 1 1 1 1 1 1 - n. f i n . co. paper Canadian ^ x x treasury bills V . - V \ \ \ / ^ /Vv^\ BILL RATE DIFFERENTIA L AND FORWARD CANADI/W DOLLAR aforward r PREMIUM - - X, V \ ^ y * / v " g r o s s s p r e a d in fav4o r o f c a n a d a DISCOUNT COVERED RATE DIFFER : n t i a l s FAVOR CANADA t r e a s1ury b i l l s . - z v A / a r\ f\ n - f\ a i FAVOR U.S. FAVOR CANADA VZ%v] f i n a n c e paper - V u / a - ^ z x - v V V v FAVOR U.S. 1 1 1 1 1 1 1 1 1 1 1 M J S D 1969 1 1 1 1 1 1 1 1 I 1 1 M J S 1971 D 1 1 1 1 1 1 1 1 1 1 1 M J S 1970 D 1 1 1 11 1 1 1 1 1 1 M J 1972 10 z Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per annum 10 i i I i i 1 i i I i i 1 i i 1 i i 1 i i I i i I i i I i i 1 i i I i i 1 i r l - — - J# PAN V\ ^ i i 1 i i I i i 1 i i I i i 1 i i I i i / . i t - I X \ v V .8. j\ CANAD/Vi Ya 1 1 1 1 1 I 1 1 1 1 1 i i 1 i i 1 i i 1 i i 1968 I I 1 I 1 1 1 1 1 1 1 I I I I I l I I l I I 1970 * 3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany(lnterbank Loan Rate) 1 1 1 1 1 1 1 1 1 1 1 1 1972 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum euro-dollar - london 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 r l 1968 i i h 1970 * 3-month treasury bill rate for U.S., Switzerland-3-month deposit rate. #* 3-month rate for U.S. dollar deposits in London. i I i i I i i I i i I i i I i i 11 i 11 1972 i 11 i I o Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per 10 NETHERLANDS 8 CANADA 6 U.S. SWITZERLAND 4 11 U.K. 9 GERMANY EURO DOLLAR BONDS 7 5 10 T U.S. CORP. DOLLAR EURO-BONDS Monthly figures 8 U.S. CORP. Aaa BONDS U.S. CORP. DM EURO-BONDS — 6 4 1968 1969 1970 1971 1972 lew 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. CHART 14 INDUSTRIAL STOCK INDICES x l X 1 1 1 1 1 1 1 1 1 1 1 1 1 11 1 11 1 1 ii \ U K p - 111 m 111111 V ii 1 ii 1 1 1 1 11 400 SWITZERLAND GERMANY U.S. 160 JAPAN 400 320 240 CANADA 160 1968 1969 1970 * Japan index of 2 2 5 i n d u s t r i a l a n d o t h e r s t o c k s t r a d e d on t h e T o k y o e x c h a n g e . * * Japan i n d e x o f a l l i n d u s t r i a l a n d other s t o c k s t r a d e d on t h e f i r s t s e c t i o n of the T o k y o Stock Exchange. 1971 H. 13 No. 5 3 3 Country IV. S E L E C T E D C E N T R A L B A N K D I S C O U N T R A T E S Current Rate In Effect Since Previous Rate In Effect Since > E.E.C.: Belgium 5.5 Sept. 23, 1971 6.0 Mar. 25, 1971 France 6.50 Oct. 29, 1971 6.75 May 13, 1971 Germany 4.5 Oct. 14, 1971 5.0 Apr. 1, 1971 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 United Kingdom 5.0 Sept. 6.0 Apr. Canada 4.75 Oct. 25, 1971 5.25 Feb. 24, 1971 Japan 5.25 July 28, 1971 *.5.5 4.75 Nov. 11, 1971 5.0 J United States 3, 1971 May 1, 1971 8 , 1971 J u l y 16, 1971 - IV-2 L A T E S T F I G U R E S P L O T T E D ON T H E C H A R T S Chart Panel Series Date 1A Upper Swiss franc U . K . pound French franc Japanese yen Nov. Lower IB Upper Upper German mark Swiss franc U . K . pound Dutch guilder Canadian dollar French franc Japanese yen +1.37 +5.15 +0.83 40.94 40.36 +4.82 n.a. German mark U.S. dollar Swiss franc French franc 40.72 -t).98 +3.43 +3.63 3A 38 4 Upper Middle Lower 5B Financial franc +2.279 +3.892 +2.44 +9.540 Lower Lower 5A 19 Belgian franc Italian lire Canadian dollar German mark Dutch guilder 2A 2B Rate Upper Lower | +7.716 +1.959 99.66 +9.627 +8.472 Actual r a t e Gold price, U.S. dollar per ounce Nov. 19 42.94 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 Nov. 17 5.15 4.84 0.31 12 2.49 0.62 5.50 4.38 3.73 5.25 3.75 5.38 " " Nov. " it " Nov. Nov. 17 19 " Nov. 5 IV - 3 Chart Panel 6A 6B 7A Upper Series Date Euro-$ 7 - d a y r a t e Nov. 7B Upper 5.75 Euro-$ 3-month Rate " 6.75 Euro-S 6-month Rate " 6 . 75 Euro-s 3-month Deposits Nov. 8B Euro-s 3-month Deposits ^ 9B +2.53 +0.98 Hire Purchase Deposits (covered) Euro-$ 3-month Deposits Lower " " Oct. 22 - 29 Upper Upper 7.74 5.21 Oct. 22 Nov. 5 O c t . 22 Nov. 5 Oct. 22 Nov. 5 Oct. 22 Nov. 5 Oct. 22 Nov. 5 Differential 9A " " Euro-S 3-month Deposits Local Authority Deposits (covered) • 6.19 " Differential: on Adj. Euro-S Deposits Lower Lower 6.19 4.88 +1.31 on Unadj. Euro-S Deposits Upper 17 " Differential U.S. Certificate of Deposits ( A d j . ) 8A 5.25 " Euro-s 3-month Deposits ( A d j . ) Lower 19 Euro-S 1-month Rate U.S. Certificate of Deposits Lower Rate Differential U.S. Treasury Bill rate Nov. U.K. Treasury Bill rate " 16 6.25 6.06 6.03 5.54 4.53 n.a. 29 - 0 . 7 1 - 1 . 5 3 29 29 6.25 6.06 6.03 5.54 4.46 4.64 29 - 0 . 7 1 - 1 . 6 0 -1.39 29 4.06 4.49 Local Authority Deposit (uncovered) Nov. 12 4.84 Spread (+= favor London) Nov. 19 +0.43 3-month Forward Pound " +1.09 Net Incentive (+= favor London) " +1.52 IV-4 Rate • Chart Panel Series Date 10A Upper Euro-S Deposits (covered) Nov. 17 " 6. 62 Lower Differential " +1.96 Upper Euro-J Deposits (covered) " Swiss Deposit rate " German Interbank Loan rate 10B 11 Lower Differential Upper Canadian Finance Paper * Second 12A 4.66 " l.OS 2.00 p 40.92 " 4. 62 Nov. 19 U.S. Treasury Bill rate " Canadian Treasury Bill rate " 3.26 U.S. Prime Finance paper (not plotted) " 4.75 ' 4.06 Bill rate differential " -0.80 Forward Canadian dollar " ,40.44 Third Net incentive on bills " -0.36 Bottom Net incentive on Finance Paper " +0.31 U . K . Treasury Bill rate " >>, Upper U.S. Treasury Bill rate German Interbank Loan rate Lower 12B „ 4.49 " 4.06 Nov. 17 6.62 Japanese Average rate September 7.543 Canadian Treasury Bill rate Nov. 19 3.26 U.S. Treasury Bill rate " 4.06 E u r o - ) Deposits " 6.75 Swiss 3-month Deposit rate U.S. Treasury Bill rate '» " 2.00 p 4.06 IV- 5 Chart Panel 13 Upper ^ L & Middle c Lower 14 Upper Middle Series Date Netherlands Nov. 5 7.05 Canada Nov. 17 6.16 ^ U n i t e d States " 5.32 Switzerland Nov. 12 4.91 *^Krmany Nov. 5 7.95 United Kingdom Nov. 12 8.43 Euro-dollar bonds Nov. 19 7.4 U.S. Corp. Dollar Euro-bonds September 8.45 U.S. Corp. DM Euro-bonds September 7.33 U.S. Corp. Aaa bonds October Switzerland Nov. 19 366.3 Germany Nov. 5 232.0 United States Nov. 19 206.28 United Kingdom Canada Lower Rate * * Japan United States * 7.39 " 236.06 Nov. 11 196. 64 Nov. 13 394.09 Nov. 19 206.28 * 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 E x c h a n g e
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