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Z October 11, 1972 No. 579 H-13 Dtviiiaa OF Intotslioad Fimmc# E W # P # ##W BmNmh >\6*>: ——%S •' f/- / ? C W M « ' I « I 4 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM 0 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 6 - 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-S 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-Switzertmd Chart 11 - Interest Arbitrage: United States-Canada Chart 12 A 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, which accompanied issue dated January 1,1969. All series and their sources are fully described in a Supplement dated January 1,1972. v SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages GERMAN MARK X. POUND rate against US. dollar SWISS FRANC -J I I DUTCH GUILDER 2 FRENCH FRANC rate U.S. JAPANESE YEN -1 J 1972 e Pound floated June 23, 1972. 1973 L_!JIow Chart I B SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOUAR Weekly averages Per cwH FRANC US ITALIAN M s J M D J 1972 0 S 1973 Ratio i, US 102 100 98 96 M J S 1970 D M J 1971 s D M J 1972 S o Chart 1C SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 - Dec 17. 1971 Weekly averages Per cent Above par GERMANY NETHERLANDS FRANCE JAPAN Par US MAY JUNE JULY AUG. SEPT 1971 * Financial franc OCT NOV. DEC. Yjfrt Chart ID SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11. 1971- Dec 17, 1971 Per cent Above UJC swnx ITALY UJC Par ITALY Mttl swnx MAY JUNE JULY AUG. SEPT. 1971 •for clarity the vertical scale is double thai used m 1C OCT. NOV. DEC. ' 0 ^ V Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent ^ annum PREMIUM* CANADIAN DOLLAR U.K. POUND PREMIUM GERMAN MARK DISCOUNT- DUTCH GUILDER DISCOUNT S s D 1969 1970 * Canadian Dollar Rate not supported by Bank of Canada D M S 1971 D S M 1972 D 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Per cent per annum Weekly averages SWISS FRANC FRENCH FRANC DISCOUNT- 1970 1971 1972 24 1972 * Devaluation of the French franc f r o m 4 94 to 5 55 for $1.00 • • N o quotation a-v ^ Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U K. POUND Friday figures Per cent per annum PREMIUM GERMAN MARK MS. DOLLAR I No quotation I I DISCOUNT - <5> o 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per FRENCH FRAMC DISCOUNT - 1 1 11 I I 1 11 I U M J S 0 wm II J S m * Devaluation oi the French kanc from 4 94 to 5 56 tor $ 1 0 0 0 ) J J--L1 J I 1 J J 1 ) 1 I 1I ) i I M ^ 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U S dollar equivalent per tine ounce - ! r L - r 1 l L i r . i i!ii' ii1 ii i i I 1 II ! 1 ! : 1 M M J S D 1969 M J S 1970 D M i 1 i i 1 i i 1i i J S 1971 O i i1 ii Ii i Ii f M J S 1972 D \ CHART 5A CALL M O N E Y R A T E S 1I : mmram 1 1 1 I 1 1 &W 12 - \L^ - kJ FESe u u - H i w i - 1 EUM i-OOLLAIt OVER FEfKAAL F t W O s I c y VYV ; I 1 ! I ! i ; 1 ! ! •w l/v te w J 1 I l 1 1 1 1 1 1 ! 1 _L_ 1 1 1 1 1 1 1 1 1 i _ l _ EUROCURRENCIES Weekly averages i - • i i I i i l i i l J _i__ Per cent per annum 12 EIMO-SWISS FIUMC i i I i i I ; i 1 i i 1 I » I I I 1 I I 1 J i * May 10. 1971 - Changed to Overnight Euro f Deposits. *\\c Chart SB CALL MONEY RATES SELECTED FOREIGN AND EEC CURRENCIES Friday figures Per cent per annum ; V - I FRANCE V ^ l • rV ]ill i,!f\ j I ! ! 1 1 1 1 1 1i i _ II ! 1 1 1 II 1 II j Jh\T v[ ^ NETHERLAND! 1 1 1 i 1 1 I I 1 1 ! 15 | V 1 1 1 j ' ^ / \ - . ^ ^ JAPAN \a/|X CANADA i | ^ ! 1 ! 1 i i : I ! i 1 i i 1i i 1! i i ! i i ! 1 i ; ' iTTi i 1 11 ; i 1 1 i 1 1 ! 1 i I 1 ! 1 - ..._i. .. : 1; - ~ - — GERMANY ! f *if Wmk i ' ~ h p r 1 VM-U z r i n i ! j ! i , , i , i ! .V 1 , , ! , « i i : i i . i i i I i i M J S D M 1969 J S 1970 D M J S D M 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 Chart 6A LONDON: EURODOLLAR DEPOSIT RATES Per cent per annum Friday figures J S 0 1969 M J S 1970 *May 12/71-chanfed to Overnight Euro-Dollar Deposits * * July-1 —changed to 7-Day Euro-Dollar O Chart 6 6 LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 4 I ' I I I I I I I I I I M J S I 1I I I I 1I 1I I D 1969 M J 1970 S D I I 1I I 1I I 1I 1 M J S 1971 D I I I I I I I I I I I M J S 1972 D 2 Chart 7A NEW YORK-LONDON. YIELDS ON US. D O O M FUNDS 3-MONTH DOOM) DEPOSIT RATES—SECONDARY MARKET Wednesday figures Far cart par « M I I « US. CERTIFICATE OF DEPOSIT FAVOR EURO DOLLAR DIFFERENTIAL EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M J s 0 1969 J 1970 s 0 M J 1971 s D M J 1972 S o p Chart 78 NEW YORK-LONDON: COST OF US. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-PRIMARY MARKET Per cent per annum Wednesday figures ADJUSTED EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT I I I 1 I I i I I I 1- EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED * Adjusted for Reserve Requirement * * Adjusted for 1 0 * Marginal Reserve Requirement * * * A d j u s t e d for 20% Marginal Reserve Requirement ADJUSTED * I I i l l 1 I i i I l i l 1 chart* loudon: covered y e w s on us. hire purchase and e u r o d o l l a r r a t e s n. r 12 \ C W O B O U J M DBWWtr V \ j < f1 AAa l V I 1 - H M E PURCHASE COVERED f V1 1 - - i i 1 M 1 M 1 1 1 I I 1 i i 1 1 1 I 1 1 1 I I 1 1 1 1 I I iv i K I I 1 1 1 1 1 1 1 1 1 M Ji A. Ha/V1 y FAVOR HIRE PURCHASE k^r . m - /I DIFFERIENT1AL M i l M i l M j S 1 1 1 l - L u D M 19*9 J M i M S i O 1970 * Hire Purchase temporarily suspended as of August 11 M t I I f 1 i l i 1 i J 1971 i S 1 i D i i M i i J 1972 S 0 Chart 88 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT ' COVERED j 1 i Jj FAVOR LOCAL AUTHORITY V v n . a . FAVOR EURO DOLLAR ; DIFFERENTIAL 1969 1970 1971 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Far ceet f#r awwei 3 - M O N T H TREASURY 8 LL RATES 7 \ \ U J L l o c a l a ( jT H o e m r d e p o s i t s * UWCOVOttD A L J /y iw — pU/T ^ \ A london A. K l r V i e w 1 1 1 1 1 1 1 1 1 1 1 M j S O 1 9 6 9 # Plotted for comparison purposes 1 1 1 1 1 I 1 1 1 I I M j S O 1 9 7 0 I M i 1 I J yomc I 1 M 1 I I S O 1971 1 1 1 1 H i i J M i S 1972 M D eft Chart 96 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum PREMIUM | RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I spread m f a v o r o f l o n d o n forward rate DISCOUNT FAVOR LONDON DIFFERENTIAL FAVOR NEW YORK M J S D 1969 M J 1970 S d M J 1971 S D M J 1972 S d 4 Chert 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday rates Per cent per annum IN TERMS OF DM german interbank loan rate eurodollar COVERED DIFFERENTIAL No quotation 1 14 ^ 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 euro-dollar COVERED swiss d e p o s i t r a t e FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR m J S 0 1969 No quotation s m 1970 D m J 1971 S D m J 1972 S D 2 Chart 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures FWceelperw i | i i | i i | 11 BILL RATES I I | I I | I I | I I M | II | II | 1 1 1 6 4 2 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR forward rate am 2 + 0 2 gross spread m f a v o r o f canada ENTIALS COVERED RATE DIFFEREI 2 , treasury bills 4- 0 2 2 finance paper + 0 j j M J S D 1969 j 1 1 1 1 1 j 1 j-l-j- j M J 197f S D j j M i i 1 1-1-1 1 i J S 1*71 O fmkm vs. i i i i i i i i i i i M J S 1972 D SELECTED SHORT-TERM WTEREST RATES* ujl l uj. 1 9 7 2 1 ^ ° ^ Chart 126 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum euro d o l l a r - london 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 Weekly figures Pe< cent per at 10 6 4 11 9 7 5 US. Monthly figures 10 CORP. DOLLAR EURO-BONDS s / US. 1 I I 1 I I I II U3 CORP. D M EURO-BONDS I I I I I I I I I I 1 I 1 M 1968 1969 CORP. A a a BONOS I I I ll 1970 6 I 1 I I I 1 I 1 I I 1 M 1971 I I I I I I I I I I I I I I I 1972 lew series for Switzerland starts 8 2-68. U S Corp. Dollar Euro-Bonds and U S Corp OM Euro-Bonds starts 12 70 New Average yield of all German P A Bonds begins 1 7-69 L * New series F starts 12-71. 4 CHART 14 1958=100 Ratio scale INDUSTRIAL STOCK INDEXES 280 ^^ united states — Z ^ih v ^ v - w 200 1 1 1 1 1 1 1 1 11 1 1 i i 1 imr i i 1 i i 1 1 1 1 1 1 1 1 1 i! i i 1 i i 1 i i 1 i i / switzerland ^ V A ^ - A V r W 480 : 360 v - u n i t e d kingdom / 240 r 11111111 i 111 111111111 1 11 1 1 i 1 11 1 1 i i ! i i I i i 1 i i M ! japany h t / : 480 v 1 i 1 v - 360 v-X A germany z r ^ x canada I , , i : , h ! : , i / \ 240 v j 1 1 1 i 1 1 1 1 1 11 11 11 1 1 1 1 111 l 11 1 1 1 1 1 1 1 1 1969 1970 1971 Japan index o< 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 Exchange. 1972 H. 13 Mo. 579 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate to Effect Since E.E.C.: Belgium Frence Germany Italy Netherlands Switzerland United Kingdom Canada Japan United States 4 n S 75 A m r l l 6 . 1973 4.5 F*b 5 . 1972 6.0 I-n 11 1972 3.0 Feb. 25. 197; 4.0 4.0 Apwi io: A 5 4W 3.0 S e p t . 6 . 1972 4.0 March 1 . 1972 3.0 fc.1v 10. 1967 5.0 3 in 3.75 S*pt. 1 5 . 6.0 June 4.75 rv.«- 191 2 2 . 197 95^ 1071 4.25 4.50 H f . . -L3. 1971 - 1Aj 1471 197; 5.25 24. 1971 4.75 A p r . 29m 1971 4.75 HOT. 11. 1971 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 ; 26 Lower j 3A 3B 56 Oct. ACTUAL RATE 6 Upper Middle Lower ! Upper 1 \ j Lower +I.1U3 " 212.32 +2.00L +2.299 " +1.367 -0.1^2 101.66 +0.5W +0.193 ACTUAL RATE German mark U.S. dollar Swiss franc French franc Overnight Euro-S 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 +3.^ " +2.97 • 2 . 46 +3.70 +0.14 +0.66 " N. A. " +5.^2 +2.03 +3.60 +2.61 j 61.91 j k.62 5.15 -0.53 ' " | i Gold price, U.S. dollar per ounce 4 5A Rate Date Oct. 1 " " S e p t . 29 I 2.08 1.75 " S e p t . 22 29 k.25 k.25 S e p t . 29 Oct. 4 sept. 6.88 3.75 ir:uu Oct. 6 S e p t . 15 S e p t . 22 5.62 0.50 0753 IV-3 Chart Panel Rate Date Series 6A Euro-$ 7-Day Rate Euro-S 1-month Rate " 5.31 6B Euro-$ 3-month Rate " 6.00 Euro-S 6-month Rate " 6.25 7A 7B Upper Oct. 6 Oct. U 5.88 U.S. Certificate of Deposits " 5.20 Lower Differential " +0.68 Upper Euro-S 3-month Deposits " 5.88 Euro-S 3-month Deposits (Adj.) " 7.35 Euro-S 3-month Deposits U.S. Certificate of Deposits (Adj.) Lower 5.t2 Differential: on Adj. Euro-S Deposits +1.93 on Unadj. Euro-S Deposits Upper +0.46 II 8A Euro-S 3-month Deposits Hire Purchase Deposits (covered) Lower Differential Upper Euro-S 3-month Deposits SUSPE3 [BED Local Authority Deposits (covered) Differential Upper >. 1 ;. 8 S e p t . 15 S e c t . 22 15 22 U.S. Treasury Bill rate Oct. 6 U.K. Treasury Bill rate " Local Authority Deposit (uncovered) 9B sep' Sep, ii Lower 9A Spread (+= favor London) 5.U& 5.38 U.TOr b.60 '•-If? -u.oor -u.cu -.95 -0.<5 U.62 6.53 S e p t . 29 7.56 Oct. 6 +1.91 3-month Forward Pound Lower 5.38 SUSPEMl )ED 11 8B k.88 -2.30 Net Incentive (+= favor London) " -0.39 IV-4 Chart Panel Series 10A Upper Euro-) Deposits (covered) Rate Date O c t . 1+ German Interbank Loan rate 10B 11 6.38 Lower Differential Upper Euro-) Deposits (covered) 2.98 Swiss Deposit rate 1.50p Lower Differential Upper Canadian Finance Paper Second 12A 2.39 +3.99 -1.1+8 Oct. 6 5.13 U.S. Treasury Bill rate h.62 Canadian Treasury Bill rate 3.1+9 U.S. Prime Finance paper (not plotted) 5.00 Bill rate differential -1.13 Forward Canadian dollar +0.16 Third Net incentive on bills -0.97 Bottom Net incentive on Finance Paper +0.29 Upper U.K. Treasury Bill rate 6.53 U.S. Treasury Bill rate German Interbank Loan rate Lower 128 1.62 Oct. h 6.38 Japanese Average rate July 7.010 Canadian Treasury Bill rate Oct. 6 " h.62 Euro-$ Deposits " 6.00 Swiss 3-month Deposit rate " 1.50p " 1+.62 U.S. Treasury Bill rate 1 3.1+9 U.S. Treasury Bill rate . Canada Rate II Upper Date 00 H 13 Series II Panel I$ Chart Oct. k United States S e p t . 29 * Germany United Kingdom Lower 14 U.S. Corp. Dollar Euro-bonds SERIES " 9.57 August " " Germany 4.98 7.87 U.S. Corp. Aaa bonds 6-14 -ok 6 6.96. " U.S. Corp. DM Euro-bonds SERIES F Switzerland Upper f N.A. N.A. 5.43 " Switzerland Middle 5 2 8.00 6.47 7.19 S e p t . 29 U59.6 " 297.0 United States Middle Lower . United Kingdom Oct. 6 272.24 Canada S e p t . 28 268.83 S e p t . 30 733.0 • • Japan United States * Hew - 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.
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