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October 20, 1971 No. 528 H-13 Divisional International Finance Europe and British 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 12A 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 PART IV. SELECTEDC NT 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, wrtiich 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 Janua Weekly averages 'y 1 9 6 8 M i » ">• " « Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par U.S. dollar Below par Above par FRENCH FRANC- JAPALNESE YEN Par U.S. DUTCH GUILDER Below par M J S 0 1968 * * * * * * * * * * M J S 0 M 1969 Devaluation of the French franc from 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 the DM from 2 5 . 0 0 to 2 7 . 3 2 in U.S. cents. May 10, 1971 - Swiss f r a n c revalued; new par 24.485 U.S. cents. J 1970 S 0 M J 1971 s D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR WeeMy averages Jan 1968 May 10. 1 9 7 , Above par CANADIAN DOLLAR BELGIAN FRANC b ITALIAN LIRA 1968 CANADIAN DOLLAR Ratio scale, U.S. cents 1100 98 V CANADIAN DOLLAR 96 94 s 1970 * R a t e not s u p p o r t e d by Central Bank 1971 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11. 1971 — Per , Weekly averages r ent - Above par GERMANY NETHERLANDS FRANCE JAPAN Below par JUNE JULY AUG. SEPT. 1971 * Financial franc OCT. NOV. DEC. Chart I D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par BELGIUM U.K. SWITZ. ITALY US. Below par JUNE JULY AUG. SEPT. 1971 * For clarity the vertical scale is d o u b l e t h a t used in 1C OCT. NOV. DEC. Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per cent per a n n u m Weekly averages T — PREMIUM T 10 GERMAN MARK SWISS FRANC I 1 I I I I I I I II No quotation i I l I I I I 1,11 I 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages Per cent per a n n u m JAPANESE YEN r PREMIUM* I I I I I 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 n u m PREMIUM* DUTCH GUILDER CANADIAN DOLLAR FRENCH FRANC 20 24 DISCOUNT M J S D 1968 M J s 1969 * D e v a l u a t i o n of t h e F r e n c h f r a n c f r o m 4 . 9 4 to 5.55 for $ 1 . 0 0 . * * Can. $ rate not s u p p o r t e d by Bank of Canada. * * * No q u o t a t i o n D 32 M S 1970 D J 1971 S D Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per a n n u m 24 PREMIUM* 20 GERMAN MARK U S. DOLLAR DISCOUNT— M 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 Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures Per cent per a n n u m 1 PREMIUM* SWISS FRANC DISCOUNTM J S D M 1968 J S 1969 • D e v a l u a t i o n of the French franc from 4.94 to 5.55 for $ 1 . 0 0 D M J S 1970 D GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of a f t e r n o o n fixings U.S. dollar equivalent per fine ounce 42 38 M S D 1969 M S 1970 D M J 1971 S D S 1972 CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly a v e r a g e s Per cent per a n n u m EURO DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES P * r cent per annum Weekly averages EURO-SWISS FRANC J S D 1968 * May 10, 1971 - M J S 1969 Changed to O v e r n i g h t Euro $ Deposits. * * D r o p p e d as of August 18, 1971 S D 1970 D M J 1971 s D CALL MONEY RATES FOREIGN CURRENCIES* - ft VP r 1 1 1 1 1 1 1 1 r \A/ i i A ARAN - X v CA NADA 1 1 1 1 1 1 1 1 — \ Zi V 1 i i k - " \ Vv i i i i 1 1 1 1 SELECTED EEC CURRENCIES** Friday figures Per cent per annum FRANCE GERMANY NETHERLANI 1968 1969 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. 1971 n Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday f i g u r e s Per c e n t per a n n u m 25.50 OVERNIGHT 1-MONTH CALL 7 DAY S M D M 1969 J S 1970 * M a y 1 2 / 7 1 — c h a n g e d to O v e r n i g h t Euro-Dollar Deposits * * J u l y 1 - c h a n g e d to 7-Day Euro-Dollar D M J 1971 S D M J 1972 s D 15 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures l er cent per annurr I _| I 1 1 1 I I I M m j s 1969 d 1 1 I I I I 1 I I 1 I 1 1 I I I M m j s 1970 d m j 1 I I 1 I I 1 I I 1 I I 1 I 1 1 1 1 . s 1971 d m j s 1972 d NEW YORK-LONDON: YlfcLDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday f i g u r e s EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT S 1968 M J 1969 S D M S 1970 s D 1971 D Chart 7B ^ N E W Y O R K - L O N D O N : C O S T S O F U.S. D O L L A R F U N D S 3 - M O N T H DOLLAR DEPOSIT R A T E S - P R I M A R Y MARKET Wednesday f i g u r e s Per cent per a n n u m ; EURO-DOLLAR DEPOSIT 10 EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED'1 M S 1968 D J 1969 * A 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 S 1970 D S 1971 D Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO DOLLAR RATES Friday f i g u r e s Per cent per 14 12 EURO DOLLAR DEPOSIT 10 L| \\.r,r 8 HIRE PURCHASE COVERED 6 4 2 0 FAVOR HIRE PURCHASE 0 2 4 6 8 DIFFERENTIAL FAVOR EURO DOLLAR S D 1968 m J 1969 S D M J 1970 S D M J 1971 s 10 D Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Per cent per a n n u m Friday f i g u r e s 14 EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT £ COVERED FAVOR LOCAL AUTHORITY DIFFERENTIAL I I I I I I FAVOR EURO DOLLAR I 1 I I I J I I 1° Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per c e n t per a n n u m 3 - M O N T H TREASURY B LL RATES N 71J - A U.K. LOCAL AUTHORITY DEPOSITS * \ UA UNCOVERED LONDON Z V \ V N E W YORK II ! 1 1 1 1 1 1 1 1 II J S D 1969 * Plotted for c o m p a r i s o n p u r p o s e s M 1 II 1 1 1 1 II J 1970 S D 1 1 1 1 1 1 II M J S 1971 1 1 1 D 1 1 1 1 1 1 1 1 1 1 1 M J S 1972 D Chart 9 8 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s 4 RATE DIFFERENTIAL AND 3 - M O N T H FORWARD STERLING I PREMIUM 2 SPREAD IN FAVOR OF LONDON + 0 2 FORWARD RATE 4 6 8 10 DISCOUNT 12 4 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) | 2 IN FAVOR OF LONDON + 0 2 IN FAVOR OF NEW YORK 4 6 8 10 M J 1969 S D M J 1970 s D M J 1971 S D M J 1972 S D /fl, 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 1 12 II 10 >J y r i i D o n n i I AD tUnU'UULLnn COVERED & 1 1 1 I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 ,1 i 1 1 1 1 1 1 1 i 1 i DIFFERENTIAL I m j s d 1969 - No quotation i 1 i i 1 i i FAVOR FRANKFURT m 1 l I I l j l s 1970 1 I d I 1 1 I m I I j I I I s 1971 I I 1 d 1-1 FAVOR EURO DOLLAR I m I I I j I I I s 1972 I I d I -L 1> 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday r a t e s Per cent per a n n u r r IN T E R M S OF SWISS FRANCS A\ EURODOLLAR COVERED SWISS DEPOSIT RATE i l I I l I l I I l l DIFFERENTIAL I l l I l I I I l I l l I I I I I l I I i I I i FAVOR ZURICH FAVOR EURO-DOLLAR — No q u o t a t i o n C h a r t 11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday f i g u r e s Per cent per 10 BILL RATES 8 CAN. FIN. CO. PAPER 6 UNITED STATES TREASURY BILLS CANADIAN \ TREASURY BILLS 4 V 2 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR 777 a FORWARD RATE 2 7 + 0 2 GROSS SPREAD IN FAVOR OF CANADA DISCOUNT C O V E R E D RATE DIFFERENTIALS FAVOR CANADA 2 TREASURY BILLS + 0 FAVOR U.S. 2 FAVOR CANADA 2 PRIME FINANCE PAPER + 0 FAVOR U.S. M M Jj Ss D D 1969 M M J J S 1971 S D D M M J J 1970 S DD M M J J 1972 S D $ Chart 12A SELECTED SHORT-TERM INTEREST RATES* Per cent per a n n u m i V,1 - - ERMANY i i V L W . U.K. \\r k— / |/ rw nuTTiTIi V - 1111 11111I11i 1rl1i1i 1Ii i11 i 1i i 1 i i ! - — II II - J/ PAN V\ ^ \ l\ / . T f - '\r N \ u .S. v f\ canada\ - i i 1 i i 1 i i 1 I'I i i 1 i i 1 i i 1 i i 1 1 1 1 1 1 1 1 1 1 11 11 1 1 1 1 1 1 i Mi 11 i i 1 i i ! i i i 1968 1970 * 3 - m o n t h t r e a s u r y bill r a t e s for all c o u n t r i e s except Japan(Average rate on bank loans and d i s c o u n t s ) 1972 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * I - ; EURO-DOLLAR - LONDON i 8 ~ I 6 SWITZERLAND 4 2 0 1968 1970 * 3 m o n t h t r e a s u r y bill rate for U.S., S w i t z e r l a n d - 3 m o n t h deposit r a t e . * * 3 - m o n t h rate for U.S. dollar deposits m London. 1972 LONG-TERM BOND YIELDS Per cent per ar Weekly f i g u r e s 10 NETHERLANDS 8 6 SWITZERLAND I I 1 I I 1 I I 4 1 i I 1 I I 1 I I 1 I I 1 I 11 9 EURO-DOLLAR BONDS I I I I I 1 I I I I I I 1 I I I I I I I I I I I I I I I I I I 1 I I 1 I I 1 7 I I 1 I I 1I I I I 5 10 U.S. CORP. DOLLAR EURO BONDS Monthly figures 8 % U.S. CORP. Aaa BONDS I I U.S. CORP. DM EURO-BONDS- 1 i i I i i I 1968 i I i i I i i I 1969 6 I I l I I I I I I I I I I I I I I I I 1970 1971 1972 <lew series for Switzerland s t a r t s 8-2-68, U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro-Bonds starts 12-70. h New-Average y i e l d of all German P A. B o n d s begins 1-7-69. 4 CHART 14 INDUSTRIAL STOCK INDICES y > ~ ^\U.K. 1 1 I I I I ! 1 1 1 I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 i i l i i I i i l i i 400 SWITZERLAND 320 GERMANY 240 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 the Tokyo e x c h a n g e . * * Japan index of a l l i n d u s t r i a l and other s t o c k s t r a d e d on the f i r s t s e c t i o n of the Tokyo Stock Exchange. 1971 H. 13 No. IV. SELECTED C E N T R A L BANK DISCOUNT RATES 528 Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 5.5 S e p t . 23, France 6.75 May Germany 4.5 Oct. 1971 6.0 Mar. 13, 1971 6.5 Jan. 1971 5.0 Apr. 1, 1971 14, 1971 5.0 Apr. 5, 1971 5, 14, t 25, 1971 8, 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. 3, 1971 6. 0 Apr. 1, 1971 Canada 5.25 Feb. 24, 1971 5.75 Feb. 15, 1971 Japan 5.25 July 28, 1971 5.5 May 8, 1971 United States 5.00 July 16, 1971 4.75 Feb. 13, 1971 1971 3 0 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 Oct. Lower IB Upper Belgian franc Italian lire Canadian dollar German mark Dutch guilder Lower 2A 2B Upper Lower 3A 36 4 5A Upper i Middle Lower ! 53 Upper Lower i • 15 " Financial franc Actual rate + 3.720 + 2.95 8.813 " + + 6.717 " + 2.045 99.48 " " + 9.867 " + 7.670 Oct. German mark U.S. dollar Swiss franc French franc Oct. Gold price, U.S. dollar per ounce Oct. 15 Oct. 13 15 " 1.21 5.26 " + 1.96 + 1.07 " + 0.32 " + 3.23 " no quotes 15 - 0.54 - 0.80 " + 2.69 " + 1.45 42.60 5.09 " 5.29 " - 0.20 Oct. 15 Oct. 6.10 0.60 " 8 5.75 4.88 " : | + + " " j 2.657 + „ German mark Swiss franc U . K . pound Dutch guilder Canadian dollar French franc Japanese yen 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, Dav-to-Day Money Germany Call Money 1 Netherlands Call Mcney Rate M 13 " 15 5.88 " 15 7.00 Aug. 27 5.06 4.25 , 3^ IV-3 Chart Panel 6A Rate Date Series Euro-$ 7 - D a y Rate Oct. 5.25 15 Euro-$ 1-month Rate 6B 7A 6.06 Euro-$ 3-month Rate 6.50 Euro ) 6-month Rate 6.81 Upper Euro-$ 3-month Deposits Lower Differential Upper Euro-$ 3-month Deposits , 6.62 Euro-$ 3-month Deposits ( A d j . ) 8.28 U.S. Certificate of Deposits ( A d j . ) 5.58 Oct. 6. 62 13 U.S. Certificate of Deposits 7B Lower 5.34 + Differential: on Adj. Euro-$ Deposits + 2.70 + 1.04 on Unadj. Euro ) Deposits 8A Upper Euro-$ 3-month Deposits Oct. 7.56 1 7.23 Hire Purchase Deposits (covered) 8B - 0.33 Lower Differential Upper Euro ) 3-month Deposits 7.56 Local Authority Deposits (covered) 7.23 Lower - 0.33 Differential U.S. Treasury Bill rate 9A Oct. 4.35 15 U.K. Treasury Bill rate 9B 1.28 Upper 4.63 Local Authority Deposit (uncovered) Oct. 8 Spread (+= favor London) Oct. 15 5.19 + 0.28 + 1.93 3-month Forward Pound Lower Net Incentive (+= favor London) i + 2.21 IV-4 Chart Panel Series 10A Upper Euro-$ Deposits (covered) 10B Rate Date Oct. German Interbank Loan rate " Lower Differential " Upper Euro-$ Deposits (covered) 6 Oct. 13 6.22 -r 8.00 -- 11 Differential Upper Canadian Finance Paper Second 12A 13 1.29 2.00 + Oct. 15 0.71 5.38 U.S. Treasury Bill rate 4.35 Canadian Treasury Bill rate 3.83 U.S. Prime Finance paper (not plotted) 5.38 Bill rate differential - 0.52 Forward Canadian dollar + Third Net incentive on bills - 0.26 Bottom Net incentive on Finance Paper + 0.26 Upper U.K. Treasury Bill rate Oct. 15 U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate Oct. 13 July Oct. 15 U.S. Treasury Bill rate 4.63 7.88 7.598 3.83 4.35 Euro-$ Deposits Swiss 3-month Deposit rate 0.26 4.35 U.S. Treasury Bill rate 12B 7.88 +1.78r-- +2.52 Oct. Swiss Deposit rate Lower 6.62 6.50 " 13 2. OOp 4.35 13 IV-4 Chart Panel Series Date 13 Upper Netherlands A—i Canada ok.-.> r h United States Rate *7 1.C f L.'j, / Switzerland Middle * Germany % United Kingdom del- 7 •' (T Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds •1 i-f U.S. Corp. Aaa bonds Upper Switzerland 7 w (i'tf- if Germany United States Middle " 1 (i y 5* United Kingdom * * Japan United States * ** 3rV. 4 2ZZ2 • .aa/./i ' 3 3 ' tr ? Canada Lower 7-6x r / u U.S. Corp. DM Euro-bonds 14 m ^ f o •X'f " <7 I- /3 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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