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1 November 3, 1971 No. 530 H-13 Division of Internet ion el Finance Ewrepe end British Common wee Ith Section f&M b y 0 fJ-3 SELECTED 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 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 Jam,ary Weekly averages 1968May 10 1971 ' Percent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below par FRENCH FRANC- JAPANESE YEN 4-S with U.S. DUTCH GUILDER par M J S D 1968 * * * *** **** M J S c M 19S9 Devaluation of the French franc from 4.94 to 5.55 for f 1.00. Rate not supported by Central Bank. Revaluation of the DM from 25.00 to 27.32 in U.S. cents. May 10, 1971 - Swiss franc revalued; new par 24.485 U.S. cents. J 1970 S 0 M J 1971 S D H SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages j a n 1968-Ha, 10. 1971 Above par CANADIAN DOLLAR BELGIAN FRANC ITALIAN LIRA Below par CANADIAN DOLLAR Ratio scale, U.S. cents 100 " k / \ y ^ A J V CAIMADIAN C•OLLAR z f . 98 J - 96 - 94 I I l S 1970 *Rate not supported by Central Bank 1 i i i D 1971 i 1 1 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 per weeKiy averages cent Above par GERMANY NETHERLANDS FRANCE JAPAN with U.S. Below par JUNE JULY SEPT. AUG. 1971 * Financial franc OCT. NOV. DEC. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages May 11, 1 9 7 1 - ^ , 7* 6 5 4 3 SWITZ. 2 1 Par with U.S. 5 clarity the vertical scale is double that used in 1C Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per annum Weekly averages GERMAN MARK SWISS FRANC V \ U.K. P O U N D DISCOUNT M J S D 1968 * No quotation M J S D J M 1969 S D M 1970 J S D 1971 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages P y cent per annum JAPANESE YEN PREMIUM M J 1970 S D M J 1971 S D Chart 28 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per averages 8 PREMIUM 4 DUTCH GUILDER + 0 CANADIAN DOLLAR FRENCH FRANC 4 8 12 16 20 24 28 DISCOUNTJ M ' S D 1968 M 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 32 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 U.S. DOLLAR DISCOUNT— S M D 1968 * No quotation. M J 1969 S D M J 1970 S D M J 1971 S D Chart 38 3-MOINTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per annum PREMIUM* SWISS FRANC FRENCH FRANC DISCOUNTM J S D 1968 M J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 D M J 1970 S 0 M J 1971 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 50 46 38 34 M J S 1969 J 1970 S D M J 1971 S D M J 1972 S D CALL MONEY RATES DOLLAR FUNDS Weekly averages Per cent per annum EURO DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS m EURO-CURRENCIES Weekly averages Per cent per annum 12 EURODM EURODOLLAR EURO-SWISS FRANC M J S D 1968 M J S 1969 * May 10, 1971 - Changed to Overnight Euro $ Deposits. * * Dropped as of August 18, 1971. D M J S 1970 D M J S 1971 D Chart 58 CALL MONEY RATES FOREIGN C U R R E N C I E S * Percent per annum - 12 \A/ft fyvP - 1 1 1 1 1 1 1 1 1 1 1 1 - A Ar** fA ARAN -\ ., w n < CA i N A D A I I 1 1 1 1 1 l I I V i i \w i i X V - k/v 1 1 11 1 1 SELECTED EEC C U R R E N C I E S Per cent per annum 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. Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per 25.50 OVERNIGHT 11-MONTH CALL 7 DAY M J S D M 1969 J s 1970 *May 12»/71-changed to Overnight Euro-Dollar Deposits * * July 1 -changed to 7 Day Euro-Dollar 0 M J 1971 s D M J 1972 S D LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 12 L A 1 \ \ f 10 V V / M I^j hi 8 6 V M S - M O N T H 4 1 1 1 1 1 1 M M J ! S 1 1 D 1969 1 1 1 1 1 1 1 1 1 1 1 M J 1970 S D 1 1 1 1 1 1 1 1 1 1 1 M J S 1971 D 1 1 1 1 1 1 1 1 1 1 I M J S 1972 D 2 Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cen- ;,e' 14 12 EURO DOLLAR DEPOSIT 10 8 U.S. CERTIFICATE OF DEPOSIT 6 4 4 2 + 0 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT 2 M J s D 1968 M J 1969 S D M J 1970 S D M J 1971 S D 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3 - M O N T H D O L L A R DEPOSIT R A T E S - P R I M A R Y M A R K E T Wednesday f i g u r e s Per cent per 14 EURO-DOLLAR DEPOSIT ADJUSTED' 12 10 -EURO-DOLLAR DEPOSIT 8 U.S. CERTIFICATE OF DEPOSIT 6 4 6 EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED' 4 2 0 S D 1963 M J 1969 d j u s t e d 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 R e q u i r e m e n t * A d j u s t e d for 2 0 % M a r g i n a l Reserve R e q u i r e m e n t S D J 1970 S D M S 1971 D ?1 .ONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS tIRE PURCHASE AND EURO DOLLAR RATES riday figures Per cent per ar 14 12 10 8 £ HIRE PURCHASE COVERED 6 4 2 0 0 2 AVOR HIRE PURCHASE 4 6 8 DIFFERENTIAL I I I I I I I U I I I I U U L J FAVOR EURO DOLLAR U L i _i_l U U U 1 1 I I I I 11 Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT FAVOR LOCAL AUTHOR DIFFERENTIAL FAVOR EURO DOLLAR S D 1968 M J 1969 S D M J 1970 S D S M 1971 D Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 1 3-MONTH TREASURY B LL RATES ,/VY A fV J \ \ U.K. LOCAL AUTHORITY DEPOSITS * UNCOVERED — V-SA J \ j \ LOWIDON a. f \ J V N E W YORK 1 1 1 II M 1 1 1 1 1 1 J S D II M 1969 * Plotted for comparison purposes 1 1 1 1 1 1 1 1 1 J 1970 S D 1 1 1 II M 1 1 1 1 1 1 J 1971 S D 1 1 1 1 1 1 1 1 1 1 1 M J 1972 S 0 INTEREST ARBITRAGE: UNITED STATES ANb UNITED KINGDOM Friday figures Per cent per ai „ 4 PREMIUM RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING | 2 SPREAD IN FAVOR OF LONDON + 0 2 FORWARD RATE 4 6 8 10 DISCOUNT 1 I 1 I I I I I 1 I 1 1 1 I I I I I 1 1 .1 12 4 FORWARD EXCHANGE COVER RATE DIFFERENTIAL (NET INCENTIVE) 2 IN FAVOR OF LONDON + 0 2 FAVOR OF NEW YORK 4 6 8 M l J 1 I l I I I I I l 1 I I 1 I I I I I I I I I M 1 I I I 1 M 1 10 tp! 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 IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED DIFFERENTIAL FAVOR FRANKFURT FAVOR EURO DOLLAR I I I I I I I I I 1 1 — No quotation <p 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 EURODOLLAR COVERED SWISS DEPOSIT RATE i i I i i l i i I i i 1 i i I i ' I ' i I i ' FAVOR ZURICH DIFFERENTIAL I No quotation I I I I I I l I I I I I I I I I I I 1 I I I I I FAVOR EURO DOLLAR I I 1 I I I I Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES • CANADA Friday figures Per cent per 10 - BILL RATES 8 CAN. FIN. CO. PAPER v 6 UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS 2 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR am A FORWARD RATE PREMIUM 7 2 + 0 GROSS SPREAD IN FAVOR OF CANADA DISCOUNT COVERED RATE DIFFERENTIALS FAVOR 2 2 + 0 2 2 PRIME FINANCE PAPER + 0 1 M J S D 1969 M J 1971 s D M J 1970 s 1972 & Chart 12A SELECTED SHORT-TERM INTEREST RATES' Per cent per annum [GERMANY U.K. U.S. 9 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* - - - •fUJ AA r 7 : * 1 us - r ' / i J - , EURO DOLLAR - L 1 - vl fJ SWITZERLAHID 1 - - - - r 1 i i 1 i i 1 i i ! i I 1 1 1 I I 1 1 1 1 11 11 1 1 1 1 1 1 11 11 1 11 1 1 1 1 1 1 1 1 1 1 1 I I 1 1 1 1 1 1 1968 1970 1972 * 3-month treasury bill rate for U.S., Switzerland-3 month deposit rate. • * 3-month rate for U.S. dollar deposits in London. Chart 13 LONG-TERM BOND YIELDS Weekly figures Per cent per 10 - ^^ E T H E R U \NDS 'AfcA y A v /Vvx ^ / / I ^S, 8 V v 6 U.S. i i 1 i i 1 i i 1 i i \ SWITZERLA N D " 1 1 1 II 1 1 1 1 1 1 i i 1 i i 1 i i 1 i i ™^V 1 1 1 1 1 I II 1 1 1 II 1 1 1 1 1 1 1 1 1 4 11 U.K. 9 GERMANY EURO DOLLAR BONDS i—: 7 5 10 H U.S. CORP. DOLLAR EURO-BONDS Monthly figures 6 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. Tb CHART 14 1958=100 INDUSTRIAL STOCK INDICES Ratio scale 320 X L A / ' > 280 ^ X 1 1 1 1 1 1 ! 1 1 1 1 I I 1 1 1 1 1 1 1 1 1 i i W vV K > I ' i i p 1 i i I i i 200 1 1 1 1 1 1 1 1 1 1 1 - 160 . A A J ' \ 400 ^ " Z E R L A H D w - 320 —w>GERMANY V A A i i ! i i I I i 1 i I I i 1 I I 1 I 1 1 1 1 u f s 1 1 1 1W l 1 1 1 1 /~^~X ' 240 I I 1 1 1 1 1 1 1 I I ^ J A P A N / A" / \ 400 - 320 / A X " 240 V _ i i 1 1 1 1 i ! 1 1 1 1968 I I 1 I I 1 I I 1969 1 1 1 l l Z V \cANADA 1 1 I 1 1 1 1 1 I 1 1 1 1 1 1 1 1 1 1 1 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. 1971 160 H. 13 No. 530 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES 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. 6.75 May Germany 4.5 14, 1971 5.0 Apr. 1, 1971 14, 1973 5.0 Apr. 5, 1971 5, 1971 Oct. 29, 1971 13, 1971 Italy 4.5 Oct. Netherlands 5.0 Sept. 15, 1971 5.5 Apr. 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 May 8, 1971 United States 5.00 July 16, 1971 4.75 Feb. 13, 1971 3, 1971 1, 1971 3 0 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1A Upper Series Date Oct. 29 Swiss franc U.K. pound Lower IB Upper Lower 2A 28 French franc Japanese yen Lower 3A +2.52 +9.276 Belgian franc +7.179 Italian lire +2.051 99.79 Canadian dollar Actual rate German mark +9.765 Dutch guilder +7.985 Oct. 29 +4.70 U.K. pouno Dutch guilder -0.04 +0.46 Canadian dollar +0.03 French franc +4. 70 no quotes Japanese yen German mark 4 5A Upper Oct. 29 Swiss franc +4.41 French franc +5.80 Gold price, U.S. dollar per ounce Ott. 29 42.44 Overnight Euro ) deposits Oct. 27 4.64 Middle Differential Lower Euro-currencies: 5.11 -0.47 Euro DM Oct. 29 4.44 0.62 Oct. 22 5.50 Euro Swiss Fr. Upper Japan, Unconditional Money U.K., 2-day Local Author. Deps. Lower +1.44 40.54 Federal Funds 5B +0.80 Swiss franc U.S. dollar 3B +2.315 +3.893 Financial franc German mark Upper Rate 5.31 Canada, Day-to-day Loans Oct. 27 3.95 France, Day-to-Day Money Oct. 29 5.75 Aug. 27 5.06 Germany, Call Money Netherlands, Call Money 5.50 31 IV-3 Chart Panel Rate Series Date 6A Euro-S 7 - d a y R a t e Oct. Euro ) 1-month Rate " 6B Euro-$ 3-month Rate " 6.00 Euro-$ 6-month Rate " 6.12 7A 7B Upper Euro-$ 3-month Deposits Oct. 29 5.12 27 " 5.02 Lower Differential " +1.04 Upper Euro-S 3-month Deposits " 7.58 6.06 U.S. Certificate of Deposits (Adj.) Lower 5.39 Differential: on Adj. Euro-S Deposits +2.19 on Unadj. Euro-S Deposits 8A Euro-S 3-month Deposits Hire Purchase Deposits (covered) Lower Upper Lower Lower IS 6.63 6.98 " 40.35 6.63 6.98 " 40.35 Differential U.K. Treasury Bill rate Upper Oct. Euro-S 3-month Deposits U.S. Treasury Bill rate 9A +0.67 " Differential Local Authority Deposits (covered) 9B 6.06 U.S. Certificate of Deposits Euro-$ 3-month Deposits (Adj.) 8B 4.75 Oct. 29 4.30 4.53 " Local Authority Deposit (uncovered) Oct. 22 5.19 Spread (+= favor London) Oct. 29 +0.23 3-month Forward Pound " -0.66 Net Incentive (+= favor London) " -0.43 IV-4 Chart Panel Series Date 10A Upper Euro-* Deposits (covered) Oct. 27 Lower Differential " German Interbank Loan rate 10B Upper Lower 11 Upper Second 12A Rate 5.36 7.62 +2.26 Euro-* Deposits (covered) 1.25 Swiss Deposit rate 2.00 p Differential Canadian Finance Paper +0.75 Oct. 29 5.25 U.S. Treasury Bill rate 4.30 Canadian Treasury Bill rate 3.39 U.S. Prime Finance paper (not plotted) 5.06 Bill rate differential -0.91 Forward Canadian dollar +0.04 Third Net incentive on bills -0.87 Bottom Net incentive on Finance Paper 40.11 Upper U.K. Treasury Bill rate Oct. 29 U.S. Treasury Bill rate Lower 12B 4.53 4.30 German Interbank Loan rate Oct. 27 7.62 Japanese Average rate August 7.573 Canadian Treasury Bill rate Oct. 29 3.39 U.S. Treasury Bill rate 4.30 Euro-* Deposits 6.00 Swiss 3-month Deposit rate 2.00 p U.S. Treasury Bill rate 4.30 IV-5 Chart Panel Series Date 13 Upper Netherlands Aug. 27 7.08 Canada Oct. 27 6.08 United States Middle * " 5.41 Switzerland Oct. 15 4.97 Germany Oct. 22 7.98 " 8.62 United Kingdom Lower 14 . Upper Euro-dollar bonds Oct. 29 7.65 U.S. Corp. Dollar Euro-bonds September 8.45 U.S. Corp. DM Euro-bonds " 7.33 U.S. Corp. Aaa bonds " 7.44 Switzerland Germany United States Middle United Kingdom Canada Lower Rate * * Japan United States Oct. 22 " - 365.3 241.40 Oct. 29 211.24 " 229.84 Oct. 21 198.21 Oct. 23 388.68 Oct. 29 211.24 • 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.
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