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ELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. WEEKLY SERIES OF CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM T A B L E 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, which 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 January 1968 May 10. 1971 Percent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND U.S. Below par Above par FRENCH FRANC- JAPA YEN U.S. DUTCH GUILDER Below par M 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. cents. May 10, 1971 - Swiss franc revalued; 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 Jan 1968 May 10, 1971 Above par CANADIAN DOLLAR BELGIAN FRANC ITALIAN LIRA CANADIAN DOLLAR Ratio scale, U.S. cents r 100 ' h < V / A J " AV yS / 98 / C A , NADIAN D•OLLAR - 96 - 94 1 l 1 S 1970 *Rate not supported by Central Bank 1 l D M i 1 J 1971 S i D SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 - Weekly averages Above par GERMANY NETHERLANDS FRANCE JAPAN 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 Weekly averages 1971 Per rent Above par BELGIUM U.K. SWITZ. ITALY Below par 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 U.K. P O U N D DISCOUNT M J S D 1968 * No "uotation M J 1969 S D M J 1970 4 MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages P f f cent per annum JAPANESE YEN 1970 Chert 2B ^ 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR 1 !< 1 PREIWIIUM+ A 7^ d du r V-v " 1 CANADI DOLLAR jf A % k w w "AT < n j\ % rjy J ITCH G UILDE R K J S\-/( - W E N C H 1F R A N C V \ Id1 / A l 1 l 1 m i i i J S i l D 1968 I M l , , , J S DISCOl, N T 1 1 1 D 1969 * Devaluation of t h e French franc f r o m 4.94 to 5.55 for $1.00. * * Can. $ rate not s u p p o r t e d by Bank of Canada. * * * No quotation M 1 1 J S 1970 D M J i S 1971 i i i 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— M J S D 1968 * No quotation. M J 1969 S D M J 1970 S D M J 1971 S D 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 1968 M J S 1969 * Devaluation of the French franc from 4.94 to 5.55 for $1.00 D M 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 50 46 42 38 M J S D 1969 M J 1970 S D M S 1971 D M J 1972 s D \V CALL MONEY RATES DOLLAR F U N D S Weekly averages Per cent per annum EURO D O L L A R D E P O S I T S CALL O V E R N I G H T FEDERAL F U N D S E U R O DOLLAR OVER F E D E R A L F U N D S \l 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 i i I i i I i i I i i I i i I I EURO-CURRENCIES Weekly averages i I 1 I 12 EURO D M EURO-SWISS F R A N C i J S D 1968 M J i I S 1969 > May 10, 1971 - Changed to Overnight Euro $ Deposits. h 2 Per cfent per annum EURODOLLAR M 1 * Dropped as of August 18, 1971. i D i I i M i I i J _L_L _L_L i S 1970 D M J S 1971 D Chart SB CALL MONEY RATES FOREIGN C U R R E N C I E S * Friday figures Per cent per annum - ! 1 - v . 1 1 1 1 1 1 \N d V 1 kv JARAN y & k < C f i iNADA 1 1 1 1 1 i i 1 1 1 1 l I 1 1 fA V\ \ i i i i - Vv i 1 1 i 1 1 . SELECTED EEC C U R R E N C I E S * * Friday Per c e n t figures Pcr annum FRANCE GERMANY NETHERLANI M J S D M J S D M J S D M J 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. S D Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures Per cent per annum 25.50 OVERNIGHT 1 MONTH CALL 7 DAY M J S D M 1969 J S 1970 *May 12/71-changed to Overnight Euro-Dollar Deposits * * J u l y 1-changed to 7 Day Euro Dollar n D M J 1971 S D M J 1972 S 0 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 1 I k fll m f i / J / / I 1 i V J i V \ 6-MONTh M 1 W V / 3 - M 0 N T H i i 1 i M I 1 I J i 1 1 1 S 1969 D — " 1 1 1 1 1 1 1 1 1 1 1 M J S 1970 D 1 1 1 1 1 1 1 1 1 1 1 M J 1971 S D 1 1 1 1 1 1 1 1 1 1 1 M J S 1972 D Chart 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per cent per annum EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT J S D 1968 M J 1969 S S D 1970 M J 1971 S 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 rent u - 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 EURO D O L L A R O V E R U.S. C E R T I F I C A T E O F D E P O S I T j ADJUSTED* I L . I _L_L 1968 1969 * Adjusted for Reserve Requirement **Adjusted for 10% Marginal Reserve Requirement * * * Adjusted for 20% Marginal Reserve Requirement 1970 1971 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE A N D EURO DOLLAR RATES Friday figures Per cent per annum E U R O DOLLAR D E P O S I T : i| |Y.v° HIRE PURCHASE COVERED FAVOR HIRE PURCHASE FAVOR EURO DOLLAR DIFFERENTIAL M J S D M 1968 J 1969 S D M J 1970 S D M J 1971 S D LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL A U T H O R I T Y A N D EURO-DOLLAR RATES Friday figures Per cent per 14 12 EURO DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT COVERED 4 2 0 FAVOR LOCAL AUTHORITY 0 2 4 6 8 M J 10 FAVOR EURO DOLLAR DIFFERENTIAL S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D V Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Per cent per annum 1 3 - M O N T H TREASURY B LL RATES N J A \ U.K. L O C A L A U T H O R I T Y D E P O S I T S * UNCOVERED \ A \ LONDON~YX^X / lk V N E W 1 1 1 1 1 1 1 1 1 I I M J S I I D 1969 M 1 1 1 1 I I J 1970 S I 1 1 I I D M YORK 1 1 1 1 1 1 1 I I J - S 1971 D 1 1 1 1 1 1 I I M J S 1 1 1 D 1972 * Plotted for comparison purposes I i INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures 4 1 RATE D I F F E R E N T I A L A N D 3 - M O N T H FORWARD STERLING | / A PREMIUM i 2 SPREAD IN FAVOR O F L O N D O N r ^ \ A E\J FORWARD RATI 10 DISCOUNT ! 1 1 I I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 I I 1 1 1 1 1 1 I I 1 1 1 1 1 1 I I 1 1 1 i i i 1 ? I < I F&TE D I F F E R E N T I A L W l TH FORWARD EXCHANGE COVER (NET INCENTIVE) \ Y KJ\_ 1 I N FAV OR O F LONDON T V A A 1 W \ / v AT) ZV IN FAV O R O F N E W YORK f i I 1 I I I I I J I I S I I I D 1969 1 1 1 1 1 1 1 1 1 1 1 M J 1970 S D 1 1 1 I I M J 1 I I S 1971 I I I D i , 1 1 1 1 1 ! 1 i M J S 197. . i D ! 1 1 1 12 Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK F R A N K F U R T INTERBANK LOAN RATE VS. L O N D O N Wednesday rates EURO DOLLAR RATE Per cent per annum 14 IN TERMS OF D M GERMAN INTERBANK LOAN RATE EURO-DOLLAR COVERED I I I I 1 I I I 1 1 I I I I I I I 1 1 I 1 DIFFERENTIAL i i M i i i i J i S i i V D I I J, J i I vv 1 1 1 1 1 1 1 1 1 1 1 M 1969 No quotation J S 1970 D I I I I I I I I I I 1 I I I I A 1 I I I I I I I I FAVOR FRANKFURT wY' i i 1 i M i 1 i J i S 1 i i D FAVOR EURO DOLLAR 1 1 1 1 1 1 1 1 1 1 1 M J 1971 S 1972 """ D Chart 10B 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC Z U R I C H DEPOSIT RATE VS. L O N D O N EURO DOLLAR RATE Wednesday rates Per cent per annum IN T E R M S OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M J S D 1969 No quotation M J 1970 S D M J 1971 S D M J 1972 S D 2 <1* 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures Per cent per annum | 1 1 | 1 1 | ! 1 I I 1 I j— BILL RATES I I 1 i I 1 I I 1 I I 1 1 1 1 1 1 1 1 1 1 1 i i I i i I i i I i i N-. i ^ v u - UNITED STATES TREASURY BILLS U / v y z X ^ ^ ~ \ x - N. FIN. CO. PAPER C A - CANADIAN \ \ TREASURY BILLS V \ W PREMIUM BILL RATE DIFFERENT!/ L AND FORWARD CANADI/IN DOLLAR AFORWARD R sr~. "\y" . - GROSS SPREAD IN FAV )R OF CANADA DISCOUNT " C O V E R E D RATE DIFFER [NTIALS ^ S\J\ FAVOR CANADA . r\ j\ AA TREAj IURY BILLS % / \ r I A A FAVOR U.S. FAVOR CANADA V/%V) j . j M J S D 1969 i M 1 i i J 1971 S FINANCE PAPER v v i / v . / y ^ v V v FAVOR U.S. 1 1 1 1 1 1 1 1 1 1 1 i i 1 i i 1 i i 1 i i D M J 1970 S D M J 1972 S D 10 SELECTED SHORT-TERM INTEREST RATES* Per cent per annum GERMANY U.K. U.S. 9 JAPAN U.S. CANADA' 1968 1970 * 3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany(lnterbank Loan n 1972 1)° Chart 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per annum EURO-DOLLAR - LONDON U.S. SWITZERLAND 1968 1970 * 3-month treasury bill rate for U.S., S w i tz e r la n d - 3 - mont h deposit rate. * * 3-month rate for U.S. dollar deposits in London. 1972 LONG-TERM BOND YIELDS Per cent oer annum Weekly figures 10 INDS m: y A v U.S. ^ A v W/ / V^^u.s/^v SWITZERLAND ^ 1 | i i 1 i i 1 i i I T T 1 1 1 1 1 1 1 1 I1I 11 1I I 1 I I 1 I I I I1 1 1 1 1 1 ! 1 1 1 I I I 1 I I 1 1 1 1 I I ~ U.K. - y \ n A. yvT V > 11 i /V/AGERMANY \ - M ^ EURO DOLLAR BONDS I I 1 M 1 I I 1 I I1 1 1 1 1 1 1 f\ 111 11 I I 1 1 1 1 I 1I 1 1 1 1 I I I 1M1 i M i M 1 1 1 10 i U.S. CORP. DOLLAR EURO-BONDS Monthly figures - ^ 1 1 1 1 1 1 1 1 1 1 1 1968 ~^A% J 1 1 1 1 1 1 1 1 1 1 1 1969 U.S. CORP. Aaa BONDS 11 tP. DM EURO-BONDS 1 1 1 1 1 1 1 1 1 1 1 1970 - i i 1 i i 1 i i 1 i i 1 I 1 I I 1971 * New series for Switzerland starts 8-2-68, U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro-Bonos stans u * * New-Average yield of all German P A. Bonds begins 1-7-69. 1 I I 1972 /0 1 l l CHART 14 INDUSTRIAL STOCK INDICES A w M 1 i i 1 M I M l l 1 l I 1 I I X I I I K > U i I I ^ 1 1 1 1 1 1 'rX V I i 1 l l 1 i SWITZERLAND I • 1 I I 400 320 GERMANY 240 U.S. 160 JAPAN 400 320 240 CANADA 160 1968 1969 1970 * Japan index of 225 i n d u s t r i a l and other stocks traded on the Tokyo exchange. * * j a p a n index of all industrial and other stocks t r a d e d on the first section of the Tokyo Stock Exchange. 1971 H. 13 No. 526 Country f 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 6.75 May 13, 1971 6.5 Jan. 8, 1971 Germany 5.0 Apr. 1, 1971 6.0 Dec. 3, 1970 Italy 5.0 Apr. 5, 1971 5.5 Mar. 9, 1970 Netherlands 5.0 Sept. 15, 1971 5.5 Apr. 5, 1971 10, 1967 Switzerland 3.75 Sept. 15, 1969 3.0 July United-Kingdom 5.0 Sept. 3, 1971 6.0 Apr. Canada 5.25 Feb. 24, 1971 5.75 Feb. Japan 5.25 July 28, 1971 5.5 United States 5.00 July 16, 1971 4.75 1, 1 9 7 1 15, 1971 May 8, 1971 Feb. 13, 1971 3° IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date 1A Upper Swiss franc U.K. pound French franc Financial franc Japanese yen Oct. Lower IB Upper Belgian franc Italian lire Canadian dollar German mark Dutch guilder Lower 2B Upper Lower German mark U.S. dollar Swiss franc French franc 3A 3B ; < A Upper Middle Lower | 1 Upper Lower \ | + 6.157 + 2.039 " 99.05 +10.391 + 7.561 M + 1.41 " " " + + + + " + 7.29 " no quotes " " " 1 S e p t . 24 " \ ranee, Day-to-Day Money Germany Call Mcney ' I M ether Lands C iey • '? c ' Jn " ,, Actyfdfrate Overnight Euro-S deposits Federal Funds Differential Euro-currencies: Euro DM Euro Swiss Fr. Japan, Unconditional Money U.K., 2-day Local Author. Decs. Canada, Day-to-day Loans T " / y f " " Oct. Sept. 29 5.18 5.43 - 0.25 1 " Sept. •i 24 " 29 Oct. 1 ,S e p t . 24 Aug. 1.10 2.86 2.37 5.22 42.66 u Oct. + + 6.55 2.20 2.28 0.81 1 " I + 3.086 + 3.468 + 2.65 + 7.340 " Gold price, U.S. dollar per ounce 4 1 " German mark Swiss franc U.K. pound Dutch guilder Canadian dollar French franc Japanese yen 2A Rate 27 6.40 1.35 6.00 5.19 4.28 6.25 6.75 5.06 IV - 3 Chart Panel Series Rate Date 6A Euro-$ 7 Day Euro-$ 1-month Rate " 6B Euro-$ 3-month Rate " 7.38 Euro-$ 6-month Rate " 1, 38 7A Upper Rate Oct. Euro-$ 3-month Deposits Lower 7B Upper Lower 8B 7.69 29 " Differential " + 2.11 Euro-$ 3-month Deposits » 7.69 Euro-$ 3-month Deposits (Adj.) " 9.61 U.S. Certificate of Deposits (Adj.) » Differential: on Adj. Euro-$ Deposits " + " + 1.90 5.79 9.1: Ir 7.94 8.25 6.84 7.03 Euro-$ 3-month Deposits Hire Purchase Deposits (covered) " " " Lower Differential " " " " - 1 . 9 : >r Euro-$ 3-month Deposits •• » " 9.1: i r 7.94 8.25 Local Authority Deposits (covered) " " 7 . 0 tr 6.72 7.06 Upper Differential Sept. 3 - " " U.S. Treasury Bill rate 9A U.K. Treasury Bill rate Local Authority Deposit (uncovered) Upper Spread (+= favor London) 3-month Forward Pound Lower Net Incentive (+= favor London) 10 - 17 3.82 Upper Lower 9B 6.75 5.58 on Unadj. Euro-$ Deposits 8A - Sept. U.S. Certificate of Deposits 5.25 1 " 7.2 .r " - 2 . 1 Lr f • Oct. 1 Oct. -1.22 -1.19 4.52 ^ 4.77 " Sept. -1.10 -1.22 24 5.28 + 0.25 1 + 1.88 " X + 2.13 IV- 4 Chart Panel Series 10A Upper Euro-S Deposits (covered) Sept. German Interbank Loan rate 10B 11 " 7.50 Lower Differential " Euro ) Deposits (covered) " 0.97 Swiss Deposit rate " 2. O O p Lower Differential. Upper Canadian Finance Paper Second + + " OcV. 1 ' " 4.52 " 3.95 " 5.44 Bill rate differential Third Net incentive on bills Bottom Net incentive on Finance Paper U.K. Treasury Bill rate U.S. Treasury Bill rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate - 0.57 " -v / Euro-) Deposits Swiss 3-month Deposit rate U.S. Treasury Bill rate + 0.75 " + 0.18 " + 0.31 Oct. 1 4.77 4.52 " Sept. 29 7.50 1 3.95 7,598 July Oct. U.S. Treasury Bill rate 12 B 1.03 5.00 U.S. Treasury Bill rate Forward Canadian doliar Upper 0.69 Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) 12A 6.81 29 , Upper - • Rate Date 4.52 " Sept, Oct. Oct. " 24 1 8. 50r 7.38 1 2.OOp 4.52 IV- 5 Chart Panel Series 13 Upper Netherlands Canada Date Aug. 27 7.08 Sept. 29 6.47 United States Switzerland Middle * Germany 5.00 8.13 24 8.51 " 7.75 Germany United States United Kingdom Canada I t Lower 24 15 " Switzerland Middle Sept. Sept. " U.S. Corp. DM Euro-bonds Upper 5.51 Euro-dollar bonds U.S. Corp. Aaa bonds 14 " United Kingdom U.S. Corp. Dollar Euro-bonds Lower Rate United States August 7.57 " 7.59 " Sept. " Oct. Sept. 8.70 24 379.4 23 248.60 1 220.44 24 239.76 " 23 215.15 " 25 409.74 1 220.44 Oct. . * 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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