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SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE US. WEEKLY SERIES O F CHARTS BOARD OF GOVERNORS OF THE FEDERAL RESERVE SYSTEM T A B L E OF CONTENTS PART I. EXCHANGE RATES AND GOLD PRICES V 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. Chart 1A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages January 1 9 6 8 - M a , 10, 1971 Percent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Par with U.S. Below par Above par FRENCH FRANC- JAPANESE YEN 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 t o 5.55 for $1.00. Rate not supported by Central Bank. Revaluation of the DM f r o m 25.00 t o 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 M SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Week,,,,,,age, » • » » * ' 3 7 1 Above par Below par CANADIAN DOLLAR Ratio scale. U S cents 100 S 1970 # R a t e not supported by Central Bank D 1971 Chart 1C -V SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR May 11, 1971 - Weekly a v e r a g e s Per cent ! - GERMANY / - NETHERLANDS / , ' - - - - 1 FRANCE*/ JAPAN 1 1 1 1 1 1 1 MAY I JUNE I I JULY I ! I I I 1 I AUG. I I SEPT. 1971 ' F i n a n c i a l franc - I 1 1 1 1 1 1 1 1 1 1 1 OCT. NOV. DEC. SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages . May 11, 1 9 7 1 - - ; | U , Per cent i Above par — 7* BELGIUM U.K. ITALY ; SWITZ. Below par .5 MAY JUNE JULY AUG. SEPT 1971 * For clarity the vertical scale is d o u b l e of that used m 1C NOV DEC •n 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum GERMAN MARK SWISS FRANC U.K. POUND M J S D M 1968 ~ No quoUtion J 1969 S D M J 1970 S D M J S D 1971 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages P y cent per annum % Chart 2B 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 24 28 DISCOUNT M J 1968 s D M J S 1969 * Devaluation of the 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 D 32 M J 1970 S D M J 1971 S D • 4 C h a r t 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday f i g u r e s Per cent per a n n u m 24 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 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 • J 1970 S D M J 1971 S D Chart 4 GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of a f t e r n o o n fixings U.S. d o l l a r equivalent per fine o u n c e 34 M J S D 1969 M J 1970 S D M J 1971 S D M J 1972 S D CHART5A CALL MONEY RATES DOLLAR FUNDS Per cent per a n n u m Weekly averages EURO DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS EURO DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages Per cent per annum EURO DM EURODOLLAR EURO-SWISS FRANC M J S D 1968 * May 10, 1971 - M J s 1969 Changed to Overnight Euro $ Deposits. * * Dropped as of August 18, 1971. D M J 1970 s D M J 1971 S D )3 Chart 5B CALL MONEY RATES FOREIGN CURRENCIES* Per cent per annum Friday figures - - 12 \f\Jd v " Y 1 1 1 1 1 1 1 1 y y I APAN V c#iNADA i i i i l 1 1 1 1 1 l 1 V\ k - \ vv i i 1 I , , SELECTED EEC CURRENCIES Per cent per annum Friday figures 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 Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures 25.50 1-MONTH CALL 7-DAY M S D 1968 # M J S 1969 M a y 1 2 / 7 1 - c h a n g e d to Overnight Euro-Dollar Deposit*, * * July 1 - c h a n g e d to 7-Day Euro-Dollar e D M J 1970 S D M J 1971 S D 1< LONDON: EURO DOLLAR DEPOSIT RATES Per cent per annum Friday figures 3-MONTH s C h a r t 7A NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday f i g u r e s Per cent per a n n u m EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT M S D 1968 M S 1969 D M J 1970 S D J 1971 S D 17 Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH DOLLAR Wednesday f i g u r e s DEPOSIT R A T E S - P R I M A R Y MARKET Per cent per a n n u m 14 EURO DOLLAR DEPOSIT ADJUSTED EURO-DOLLAR DEPOSIT U.S. C E R T I F I C A T E O F * : DEPOSIT ADJUSTED n EURO-DOLLAR OVER U.S. C E R T I F I C A T E OF ' D E P O S I T 1 -"""Km j - M i i 1 i i M 1 i J i 1 i S - 1 V h r\ 1 S/vMr/A y \\r /us \ ! f i 1968 1 I M L 1 L L .1 J 1969 * Adjusted 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 LA11 i M LL D l\ L I D 1 1 1 1 1 M 1 1 1 J 1970 1 1 1 S D I I 1 I I M 1 I I J 1971 1 I I S D C h a r t 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 a n n u m EURO-DOLLAR DEPOSIT •—H | W = HIRE PURCHASE COVERED FAVOR HIRE PURCHASE 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 EURO DOLLAR DEPOSIT 10 8 6 LOCAL AUTHORITY DEPOSIT COVERED 4 2 0 FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL M J FAVOR EURO-DOLLAR S D 1968 M J 1969 S D M J 1970 S D M J 1971 S D r Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per c e n t per a n n u m Friday f i g u r e s 12 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED NEW YORK i 1 i M i 1 i J i S 1 i i I D i M 1968 Plotted for c o m p a r i s o n p u r p o s e s i 1 i i 1 i J i I S 1969 i i D 1 i M i 1 i i I i J i 1 i S 1970 i D I i M i I i i I i J i I S 1971 i D i I 2 Chart 9B INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday f i g u r e s Per cent per a n n u m 1 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING PREMIUM SPREAD IN FAVOR OF LONDON FORWARD RATE 1 1 K DISCOUNT IN FAVOR OF LONDON A ; 1 JV/v . A " W A p/ X M WV I / . T ' Y IN FAVOR OF NEW YORK 10 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) 12 M 1968 1969 J 1970 S 1971 %/y C h a r t 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE Wednesday r a t e s Per c e n t p e r a n n u m IN TERMS OF DM A GERMAIN INTERBJINK LOAN RATEYS EURO DOLLAR || M COVERED 1 KLT 1 I I I I I i I I I I I i A i 1 M i i 1 i J i S M 1 1 1 I ' l l 1 1 I D M 1968 J | S 1969 I I I I I I I I I I I 1 A vA-V J ^ FAVOR EURO DOLLAR i i 1 i . 1 i , I 1 1 1 1 1 1 1 1 1 1 FAVOR FRANKFURT 1 , Uv/1 DIFFERENTIAL j\ L L 1 T \ j D 1 l 1 1 1 1 1 I M J 1970 1 l S l D 1 1 1 1 1 M J I 1 1 1 1 S 1971 D 1 c h a r t 10B 3-MONTR FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE W e d n e s d a y rates Per cent per IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO DOLLAR M J S D 1961 M S 1969 D s M 1970 D S 1971 D 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Per c e n t per a n n u m Friday f i g u r e s 10 BILL RATES CAN. FIN. CO. PAPER CANADIAN TREASURY BILLS UNITED STATES TREASURY BILLS I I I I I I I I I BILL RATE DIFFERENT!IAL AND FORWARD CANAI )IAN DOLLAR PREMIUM FORW ARD RATE A AM V _L_j\/ll 1 1 1 1 1 1 1 GROSS SPREAD IN FAVOR OF CANADA 1 1 1 1 1 1 1 1 1 1 1 1II 1 II 1 1 1 1 1 1 ,/x % ii COVERED RATE DIFFEF(ENTIALS \ A a/\ ) h w m /DISCOUNT 1 i IVI i 1 ii FAVOR CANADA TREASURY BILLS y ^ v v Wl J W ' V FAVOR U.S. FAVOR CANADA PRIME FINANCE PAPER \ A A. . fx ZX /\ VY V FAVOR U.S. ii 1 i i 1 ii M J \ 1 M S D 1968 II M l II l 1 1 l 1 1 J 1969 S D II M 1 1 1 1 1 1 1 1 1 J S 1970 D II M I 1 1 1 II J S 1971 1 1 1 D >• SELECTED SHORT-TERM INTEREST RATES'* Per cent per a n n u m 10 GERMANY iru U j ii 1 i i 1 i I I i i 1 i r I i i 1 i I I I I I 1 1 ! 1 ! ! i - - :V JAPAN i T \ Jj \J J U JSS~\ hZ • jXJ / rv- y V 1A U.S. - % / CANADA \ v 1 \ v V ¥/•, i 1 1 1 ! 1 I 1 1 ! 1 11 ! 1 1 1 1 i 1 i! :; i -i 1968 1967 ! ; i : i i i i M i i i h i I i i 3 - m o n t h t r e a s u r y b i l l rates for all c o u n t r i e s except j a p a n ( A v e r a g e rate on bank loans and d i s c o u n t s ) and G e r m a n y f l n t e r b a n k Loan Rate) 1! I 1 1 1 1 1 1 1 1 C h a r t 12B SELECTED SHORT-TERM INTEREST RATES * Per cent per a n n u m EURO DOLLAR - LONDON U.S. SWITZERLAND 1967 1969 1971 * 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 d e p o s i t rate. * * 3 m o n t h rate for U.S. dollar d e p o s i t s in L o n d o n . / LONG-TERM BOND YIELDS Weekly figures Per c e n t per a n n u m NETHERLANDS CANADA U.S. SWITZERLAND U.S. 11 U.K. EURO DOLLAR BONDS GERMANY 10 Monthly figures U.S. CORP. DOLLAR EURO-BONDS U.S. CORP. DM EURO-BONDS U.S. CORP. Aaa BONDS 1967 1968 1969 1970 1971 * New series for S w i t z e r l a n d s t a r t s 8 - 2 - 6 8 , U.S. Corp. Dollar Euro-Bonds and U.S. C o r p . DM Euro- Bonds s t a r t s 12-70, Euro-Dollar Bonds start 4-2-71. * * New-Average yield of all German P A. Bonds begins 9-4-70. CHART 14 v INDUSTRIAL STOCK INDICES y v I I ! I I 1 M 1 1 1 1 1 1 1 1 1 1 VAr V r 1 1 1 1 I I 1 1 1 1 1 1 1 I I I I 1 I I 1 l 1 1 I I 400 SWITZERLAND 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 o t h e r stocks t r a d e d on the Tokyo exchange. * * Japan index of all i n d u s t r i a l and other stocks t r a d e d on t h e f i r s t section of the T o k y o Stock Exchange. 1971 H. 13 No. 523 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 6.0 Mar. 25, 1971 6.5 Dec. 10, 1970 r -nee 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 Aug. 4, 1969 Netherlands 5.5 Apr. 5, 1971 6.0 Switzerland 3.75 Sept.15, 1969 3.0 J u l y 1 0 , 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 J u l y 28, 1971 5.5 May 8, 1971 United States 5.00 J u l y 16, 1971 4.75 Feb. 13, 1971 IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel 1 Series Date Swiss franc Sept. Rate + 2.204 10 + 2.444 + 3.92 U.K. pound French franc Japanese yen + 6.110 Belgian franc ( I + 3.417 + 1.657 98.43 Italian lire Canadian dollar 2A 2B F i n a n c i a l franc Actual rate German mark + Dutch guilder + 5.016 German mark + 3.39 Swiss franc + 6.06 U.K. pound + Upper Dutch guilder Canadian dollar + 3.39 + 1.19 + 6.52 Lower Japanese yen French franc 3A no quotes German mark 3B 4 5A Upper Sept. U.S. dollar " Swiss franc 1.80 " + 4 . 64 Gold price, U.S. dollar per ounce ii Overnight Euro-$ deposits Sept. Middle Differential » Lower Euro-currencies: + " » Lower - — French franc Federal Funds Upper 10 1.53 - 1.16 + 3.43 Euro DM Euro Swiss Fr. 5B 7.965 8 5.17 - 6.08 1.17 U.K., 2-day Local Author. Deps. Sept. 1 " 3 5.19 Canada, Day-to-day Loans France, Day-to-Day Money Sept. Germany, Call Money Netherlands, Call Money 10 5.73 0.56 " Japan, Unconditional Money Sept. 41.59 6.00 4.06 " 8 10 5.88 S e p t . 10 Aug. 20 - 27 6.69 6.05 5.06 31 IV-3 Chart Panel 6A Series Euro-) 7 Day Rate Sept. Euro-$ 1-month Rate t>B 7A Upper Lower 7B Upper Lower Upper " 8.12 " 8.06 Euro-S 3-month Deposits Sept. U.S. Certificate of Deposits " Differential " 2.89 8.44 " 10.55 U.S. Certificate of Deposits (Adj.) " 5.64 " + 4.91 Differential: on Adj. Euro ) Deposits Euro-) 3-month Deposits Differential Lower Differential U.S. Treasury Bill rate U.K. Treasury B ill rate Local Authority Deposit (uncovered) + " Euro-) 3-month Deposits Lower 5.55 Euro-) 3-month Deposits Lower Upper 8.44 8 Euro-) 3-month Deposits (Adj.) Local Authority Deposits (covered) 9B 8.25 Euro-) 3-month Rate Upper 9A ' Euro-S 6-month Rate Hire Purchase Deposits (covered) 8B 6.38 10 " on Unadj. Euro ) Deposits 8A Rate Date Spread (+= favor London) + " 2.80 Aug. Sept. Aug. Sept. Aug. Sept. 27 3 27 3 27 3 9.13 9.25 5.33 4.51 - 3.80 - 4.74 Aug. Sept. Aug. Sept. Aug. Sept. 27 3 27 3 27 3 9.13 9.25 5.24 4.45 - 3.89 - 4.80 Sept. 10 4.62 4.72 " Sept. Sept. 5.50 3 10 + 0.10 3-month Forward Pound " + 1.01 Net Incentive (+= favor London) " + 1.11 IV- 4 Chart Panel Series Date 10A Upper Euro-$ Deposits (covered) Sept. Lower 10B 11 Upper 5.14 8 German Interbank Loan rate " 7.62 Differential " + 2.48 Euro-J Deposits (covered) " 2.23 Swiss Deposit rate " 2. OOp Lower Differential " Upper Canadian Finance Paper Sept. - 0.23 4.75 10 U.S. Treasury Bill rate " 4.59 Canadian Treasury Bill rate " 3.70 U.S. Prime Finance paper (not plotted) " 5.44 Bill rate differential " - 0.89 Forward Canadian dollar " + 1.26 Third Net incentive on bills " + 0.37 Bottom Net incentive on Finance Paper " + 0.57 Upper U.K. Treasury Bill rate Second 12A Rate Sept. U.S. Treasury Bill rate Lower 12B 10 4.59 " German Interbank Loan rate Sept. Japanese Average rate June Canadian Treasury Bill rate Sept. 4.75 8 7.62 10 3.70 7.618 U.S. Treasury Bill rate " 4.59 Euro-$ Deposits » 8.12 Swiss 3-month Deposit rate " 2.OOp U.S. Treasury Bill rate " 4.59 : IV- 5 Chart Panel Series Date 13 Upper Netherlands Aug. " Canada Middle * Germany United Kingdom Euro-dollar bonds Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds 14 Upper Middle , 7.24 ' 7.08 8 6.42 3 5.24 .1 5.49 Sept. Aug. 31 Sept. " 8.18 3 io 8.99 : July Switzerland Sept. 7.59 3 Germany " 7 United States " 10 United Kingdom United States 7.75 7.34 " August * * Japan i 8.34 U.S. Corp. Aaa bonds Canada Lower 20 27 Sept. United States Switzerland Rate 403.3 261.40 226.55 239.71 Sept. 2 220.46 •i 4 404.12 " 10 226.55 * 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 Exchange.
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