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September 27,/ 1972 No. 577_ 17/4 no« J// H.13 M 7 5 St, W7Z 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 - 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 6 - Interest Aibitrage: U.S.-Germany and U S -Switzerland Chart 11 - Interest Aibitrage: United Stales-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. LATEST FIGURES PLOTTED ON THE CHARTS NOTE: This series is a continuation of the CAPITAL MARKETS DEVELOPMENTS ABROAD, which has been publirted under that title throw# December 31, 1968. The changes in the format and order of the charts are hilly explained in the Supplement to the series, which accompanied issue dated January 1,1969. Chart 1A SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent GERMAN MARK I.K. POUND I | Central 1 SWISS FRANC 1 I DUTCH GUILDER FRENCH FRANC JAPANESE YEN J 1972 * Pound floated June 23. 197^ S D s M 1973 D ag uY SPOT EXCHANGE RATE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages Per cent BELGIAN FRANC Central ITALIAN M J S D M 1972 J 0 S 1973 jk Ratio scale, U S cents CANADIAN DOLLAR ^ / V L—1 L: l : ! I ! ! : 1970 111 1 I 1 1 1 1 1 1 1 1 1 1971 1 1 1 1 1 1 11 1972 1 1 1 fp C t w t 1C SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U S. DOLLAR May 11. 1971 - Dec 17, 1971 Weekly averages Per cent Above par NETHERLANDS JAPAN 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 11. 1 9 7 1 - Oec 17. 1971 Above UJL ITALY UJL ITALY US SWITZ. MAY JUNE JULY AUG SEPT 1971 * F o f clarity the vertical scale is double that used m 1C OCT. MOW OEC <3^ Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U S. DOLLAR Weekly averages Per cent per annum PREMIUM CANADIAN DOLLAR U.K. POUND DISCOUNT- GERMAN MARK 1 o DISCOUNT - PREMIUM DUTCH GUILDER DISCOUNT- s 1969 1970 * Larachar Dollar Rate rivi supported b\ Bank Canada ** Nc quotation • D S 1971 S 1972 D Chart 2 8 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST US. DOLLAR Weekly averages ' ' I ' ' I ' ' I ' ' I ' ' I ' ' I ' ' I |LU • ' I 1 ' I 1 1 I ' 1 I 1 1 I 1 1 I 1 1 I 1 1 112 FRENCH FRANC m j s 1970 d m i i i i i i i i i 1 , i i i i i i i i i i 1 e j s d m j s d 1971 1972 12 IS 24 i I ' ' I i ' I i i M J S 0 19S9 * Devaluation of the French franc from 4.94 to 5 55 for S I 00 # * W o quotation \ Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST UJT. POUND Friday figures Per cent per annum 20 GERMAN U S. DOLLAR DISCOUNT M S D 1969 * No quotation. M J 1970 S M J 1971 S D M S 1972 D 3-MONTH FORWARD EXCHANGE-MAJOR CURRENCIES AGAINST U X POUND Friday figures Fer cent per enevm PREMIUM FRANC FRENCH FRANC DISCOUNT - M J s D 1969 # M J S 1970 D M J 1971 S D M J S 0 1972 Devaluation of the French franc from 4.94 to 5 55 for $1.00 i GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 80 CHART SA CALL MONEY RATES DOLLAR FUNDS EURO-CURRENCIES Weekly awn#** * May 10. 1971 - Changed to Euro $ Deposits eiTAfi Y3/OM JJA3 :ALL MONEY RATES (ELECTED fOREIGN AND EEC CURRENCIES . . . • Pet ceat per an 12 ridayfigures 8 n r :v- 4 ^ LA NETHERLANDS 0 8 4 0 12 8 4 0 1972 nee. Day tP day Mone^„ NetherJands, Call Money weekly average Japan, Unconditional Money ada. Day to j a y Loans, weekly average; Germany, Call Money. U K . 2 day Local Authority Deposits C l w t 6A * M « y 12/71-changed to Overnight Euro-Dollar Deposits * * J u l y l -changed to 7-Day Euro-Dollar Chart 6B LONDON: EURO DOLLAR DEPOSIT RATES Friday figures /r Per cent per annum Ik h A fv\p / 1\ A V V h vJ i L Jv m Vp^34IONTH ' ,A Z>A V V 1 ! ! I 1 1 1 I i 11 1! 1I 1 1 1 1 11 11 1 1 1 1 1i 1i 11 i 1i 11 i i 1 i i M J S D 1969 M J 1970 S D M J S 1971 D M J S 1972 O Chart 7A NEW YORK-LONDON: YIELDS ON US. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures Per EURO-DOLLAR DEPOSIT US. CERTIFICATE OF DEPOSIT DIFFERENTIAL FAVOR EURO DOLLAR EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s 0 1969 M S 1970 0 M J 1971 s o M J 1972 S 0 Chart 7B NEW YORK-LONDON: COST OF US. DOLLAR FUNDS 3-month d o l l a r deposit r a t e s - p r i m a r y market Wednesday figures Per cent per annum EURO-DOLLAR DEPOSIT 1 ADJUSTED EURO DOLLAR DEPOSIT US. CERTIFICATE OF DEPOSIT I ADJUSTED s EURO DOLLAR OVER V U.S. CERTIFICATE OF DEPOSIT • S D 1969 ADJUSTED* M D 1970 * Adjusted for Reserve Requirement * * Adjusted for 10% Marginal Reserve Requirement * * * A d | u s t e d for 20% Marginal Reserve Requirement S 1971 D D 1972 Chart «A UNNDON: COVERED YIELDS ON US. DOLLAR fUWOS HIRE PURCHASE AMD EURO-DOLLAR RATES Friday figures Par cent per annum COVERED FAVOR HIRE PURCHASE m differential J FAVOR EURO DOLLAR S D 1969 M J S 1970 * Hire Purchase temporarily suspended as of August 11 D M J 1971 S D M J 1972 S D Chart 88 LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY A N D EURO DOLLAR RATES Friday figures Per cent per annum EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT "COVERED -L.J i_l.l FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR DIFFERENTIAL 1969 1970 1971 1972 Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures Far cant per 3 month treasury b i l l rates uj(. l 0 c a a u t h o r i t y deposits UNCOVERED york M J s 0 1*69 •Plotted for comparison purposes M J 1970 s 0 « J 1*71 s o m J 1972 s o INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Per cent per annum Friday figures "1 4 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I DISCOUNT FAVOR LONDON DIFFERENTIAL FAVOR N E A YORK M i l l 1969 1970 1971 1972 Li_l Chart 10A 3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - GERMAN MARK f r a n k f u r t i n t e r b a n k l o a n r a t e vs. l o n d o n e u r o d o l l a r r a t e Wednesday rates in t e r m s o f dm loan r a t e EURO-DOLLAR differential FAVOR EURODOLLAR I I 1 I 1 I t I I I I — No quotation ?$> 3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - SWISS FRANC z u r i c h deposit r a t e vs. l o n d o n e u r o d o l l a r r a t e Wednesday rates Per IN TERMS OF SWISS FRANCS EURO-DOLLAR COVERED SWISS DEPOSIT RATE i i I i i I i i 1 i i 1 ' ' 1 i ' I i i I i differential FAVOR EURO DOLLAR I I I I I I 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 1 No quotation Chert 11 3-MONTH INTEREST ARBITRAGE UNITED STATES - CANADA Friday figures Per cent peri 1 - b i l l rates .can. f x . co. united states treasury bills 2 b i l l r a t e d i f f e r e n t i a l and f o r w a r d canadian d o l l a r a/va 1 aforward rate 2 . + 0 g r o s s spread in f a v o r o f 2 DISCOUNT covered rate d i f f e r e n t i a l s 2 treasury + 0 2 FAVOR CANADA 2 prime finance paper + 0 FAVOR U S 1 l l s M D 1969 J 197c S D M J 1971 S D M J 1972 S D Chart 12A SELECTED SHORT-TERM INTEREST RATES* us. JAPi 1968 1970 • 3-month treasury bill rates for ail countries except JapanfAverage rate on bank loans and discounts) and Germany(lnterbank Loan Rate) 1972 Chert 128 SELECTED SHORT-TERM INTEREST RATES * Per cent per annum 12 EURO DOLLAR - LONDON 10 8 6 SWITZERLAND 4 2 0 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 V LONG-TERM BOND YIELDS Per cent per * * * * * * WMMy figures 10 i i I i i I i i 1 i "i i i I i i I i i I i i 1 i i i i 1 i i 1 1 i i 4 11 I UC. V Z 1 1 1 1 1 1 It 1 1 1 1 1 I I I Monthly figures 1 1 1 1 1 1 I l 1 I I 1 I I 1 I I 1 i 1 1 1 1 1 1 1 II II 1 1 1 1 I I 1 - 1 1 US. CORP. DOLLAR EURO-BONOS US. CORP. AM BONOS I I IM. COW. DM EUDOaONM i i 1 : 1 1 1 i i i 1 i i i 1 i 1 1 1 i 1 i i 1 i i i i i 1 i i 1 i 1 i i i 1 i i i i i i i i i i i 1 i i i i i 1 i i i 196# 1969 1970 1971 1972 * New series for Switzerland starts 8-2-66, U.S. Corp. Dollar Euro-Bonds and U S Corp. DM Euro-Bonds starts 12 70 * * Hew Average yield of a# German PA Bonds begins 17-69 New series F starts 12-71. CHART 14 1956=100 INDUSTRIAL STOCK INDEXES 280 united s t a t e s ^ z x i f % x / a x 200 i i 1i i 1m ! i i i i 1 iV v i i 1 i i i i 1 i i 1 i i I i i i i l 11 l 11 l m 480 switzerland ^ V v A V H . / - / V A rXT 360 - \ united kingdom 1 1 1 1 1 1 1 1 1 1 1 : 1 1 1 1 1 1 1 1 1 1 1 / i i 1 i i 1 i i 1 i i japan/^ 1 - v \ 240 i l 1 i l 1 l l I l l f 160 / 480 - 360 germany - 240 V canada ii f 1 1 1 1 1 1 I ii 1969 \ j i i ! i i 1 i i 1 i i 1 l l 1 1 1 1 1 1 1 l 1 1971 1 1 1 1 11 1 1 1 ii 1972 Japan index of 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. 1 H. 13 No. 3?7 Country IV. SELECTED CENTRAL BANK DISCOUNT RATES Current Rate In Effect Since Previous Rate 4_n March 2. 197: 4.5 5. 75 A o r i l 6 . 1972 6.0 J a n . 13. 1972 3.0 Feb. 25. 197: 4.0 Dec. 23. 1971 6-0 Ap»-41 in a i q : ? A S n*»f" 3.0 S e p t . 8r 1972 4.0 March 1, 1972 3.75 Sept- 15 r 19 if 3.0 -Tulv 10. 1967 6.0 June 5.0 S e p t . 3 . 1971 In Effect Since EEC.: Belgium France Germany Italy Netherlands Switzerland United Kingdom Canada Japan United States 2 2 . 197 1 Feb. 5 . 1972 16, 1971 4.75 n/.fr 95, 1Q71 5.25 Feb. 24. 1971 4.25 June 24. 1972 4.75 Apr. 2 9 , 1971 4.75 HOY. 11. 1971 4.59 ..Per IT 1971 . V * " IV 2 L A T E S T FIGURES P L O T T E D ON T H E CHARTS Chart 1A I Panel Series Upper Date Sept. 22 Swiss franc U.K. pound Lower Actual Rate " French franc Japanese yen IB Upper " M Belgian franc Italian lire " Canadian dollar Lower Actual Rate " German mark " Dutch guilder 2A 2B Upper Lower German mark „ Swiss franc " U . K . pound " Dutch guilder " Canadian dollar " French franc " Japanese yen 3A „ German mark U.S. dollar 36 Swiss franc 4 5A Upper " French franc " Gold price, U.S. dollar per ounce .. Overnight Euro-S deposits " Middle Differential " Lower Euro-currencies; Euro DM Euro Swiss Fr. 53 Sept. 20 Federal Funds Upper Japan, Unconditional Money U.K., 2-day Local Author. Deps. Canada, Day-to-day Loans Lower j F r a n c e , Day-to-Day Money ! Germany, Call Money i Netherlands Call Money Sent. 22 " Sept. 15 " Sept. 20 Sept. 22 " Aug. 25 Rate +1.297 2hk.21 +2.10k +2.287 +1.929 -0.011 101.81 +0.867 +0.480 +3.53 +4.18 -2.77 +3.52 +0.06 +0.86 N.A. +6.69 +2.72 +5.U8 +3.48 63.93 4.52 4.93 -0.4l 1.08 0.90 4.25 6.25 3.t5 4.00 4.88 0.63 IV-3 Rate Series Date 6A Euro-S 7-Day Rate Sept. 22 Euro-S 1-month Rate 5.06 6B Euro-S 3-month Rate 5.31 Chart Panel Euro-S 6-month Rate 7A Upper Euro-S 3-month Deposits 6.06 Sept. 20 U.S. Certificate of Deposits 7B 5.15 Differential Upper Euro-S 3-month Deposits 5.31 Euro-S 3-month Deposits (Adj.) 6.61* Lower +0.16 5.32 +1.32 Differential: on Adj. Euro-S Deposits on Unadj. Euro-S Deposits 8B Upper -0.01 Euro-S 3-month Deposits Aug. 25 Hire Purchase Deposits (covered) TEMPORARIL r SUSPENDED Lower Differential TEMPORARIL'r SUSPENDED Upper Euro-S 3-month Deposits Au*. 25 - Lower Differential U.S. Treasury Bill rate 9A U.K. Treasury B i l l rate Local Authority Deposit (uncovered) Upper Spread (+= favor London) 3-month Forward Pound Lower Net Incentive ( + - favor London) 5.53 5.53 4.81 Local Authority Deposits (covered) 96 5.31 Lower U.S. Certificate of Deposits (Adj.) 8A 5.62 -0.72 Sept. 22 4.60 „ 6.6l Sept. 15 7.38 Sect. 22 +2.01 .. -3.20 .. -1.19 IV-4 Chart Panel Series 10A Upper Euro-) Deposits (covered) Rate Date Sept. 20 German Interbank Loan rate 10B 11 1.70 5.25 Lower Differential Upper Euro-* Deposits (covered) 1.12 Swiss Deposit rate 1.50 +3.55 Lower Differential Upper Canadian Finance Paper +0.38 Sept 22 5.25 U.S. Treasury Bill rate h.6o Canadian Treasury B i l l rate 3.49 U.S. Prime Finance paper (not plotted) 12A 5.00 Bill rate differential -1.11 Forward Canadian dollar +0.0U Third Net incentive on b i l l s -1.07 Bottom Net incentive on Finance Paper +0.29 Upper U . K . Treasuiy Bill rate Second Sect 22 U.S. Treasury B i l l rate German Interbank Loan rate Lower Japanese Average rate Canadian Treasury Bill rate U.S. Treasury B i l l rate 12B 6.6l U.60 Sept. 20 July Sept. 22 it 5.25 7.010 3.49 U.60 Euro-S Deposits Sept. 20 5.31 Swiss 3-month Deposit rate Sept. 22 1.50p U.S. Treasury B i l l rate " 4.60 IV-5 Chart Panel Series 13 Upper Netherlands Date Canada Aim. 25 6.o4 Sept 20 7.22 ii 5.16 Aug. 25 4.93 United States Switzerland Middle * Germany United Kingdom Lower U.S. Corp. Dollar Euro-bonds U.S. Corp. DM Euro-bonds U.S. Corp. Aaa bonds 14 Upper Switzerland Germany United States Middle United Kingdom Canada Lower ** Japan United States Series geries F f Rate Sept. 7 7.89 Sept. 1 9.60 August 8.00 6.1*7 " » aevz. 8 ™ 51 . ,7.19 Wf .b N.A. p Sept. 15 301.2 Sent. 22 246.59 " 266.46 Sept. 14 Sept. 9 Sep t. 16 267.54 715.21 719.^7 Sept. 22 246.59 * 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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