August 18, 1971 No. 519 V H«13 Division of lnttn^tionol Finonc# Europe and British Common weolth Section r ' ;;,3 SELECTED INTEREST & EXCHANGE RATES FOR MAJOR COUNTRIES & THE U.S. 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-) 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.
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Per cent Above par SWISS FRANC 1.6 GERMAN MARK U.K. POUND Below par Above par JAPAI tnese YEN FRENCH FRANC- Par US dollar DUTCH GUILDER Below par M J S D M J S D M J S D M J S D * 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. Digitized for FRASER
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages Above par l_ CANADIAN DOLLAR j BELGIAN FRANC J Below par CURRENCIES WITH FLOATING EXCHANGE RATES Weekly averages '! Ratio scale, U S cents Ratio scale, U S cents 1 100 CANADIAN DOLLAR DUTCH GUILDER GUILDER PAR /* GERMAN MARK MARK PAR ; j i i,,,,,! 1971 * Rate not supported by Central Bank 1970 1971
Chart 2A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages PREMIUM* GERMAN MARK SWISS FRANC U.K. POUND DISCOUNT 4-MONTH FORWARD YEN AGAINST U.S. DOLLAR Weekly averages - 1 j " - 1 j i i ' J lapanese YE :N -! 1 \rj - - PREMI,uw+ I 1 1 j 1 I 1 I i! i I 1 I 1 1 1! 1 1 1 1 1 I 1 M J S D M J S D 1970 1971 i
I? Chart 2B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.S. DOLLAR Weekly averages PREMIUM DUTCH GUILDER CANADIAN DOLLAR \ - y >. FRENCH FRANC 20 24 28 DISCOUNT- s D M J S D J M J S D M J S D * Devaluation of the French franc from 4.94 to 5.55 for $1.00. 32 ** Can. $ rate not supported by Bank of Canada. *** No quotation
1 Chart 3A 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM- 24 20 GERMAN MARK U.S. DOLLAR DISCOUNT M J S D M J S D M J S D M J S D *No quotation.
Chart 3B 3-MONTH FORWARD EXCHANGE - MAJOR CURRENCIES AGAINST U.K. POUND Friday figures PREMIUM* SWISS FRANC FRENCH FRANC M DISCOUNT J s D S D M S D M J M S D Devaluation of the French franc from 4.94 to 5.55 for $1.00 20
c \ GOLD PRICE IN LONDON, 12.5 Kg BARS Week's average of afternoon fixings U.S. dollar equivalent per fine ounce 44 42 40 38 36 M J S D M J S D M J S D M J S D 34 MARKET SUPPORTED BY GOLD POOL U.S. dollar equivalent per fine ounce 35.3 33.2 35.1 35.0 M J * Market closed March 15-April 1, 1968
CHART5A CALL MONEY RATES DOLLAR FUNDS Weekly averages EURO-DOLLAR DEPOSITS CALL OVERNIGHT FEDERAL FUNDS EURO-DOLLAR OVER FEDERAL FUNDS EURO-CURRENCIES Weekly averages EURO DM L EURO-DOLLAR h EURO-SWISS FRANC M S D J S D S D * May 10. 1971 - Changed to Overnight Euro $ Deposits. ** Dropped as of August 18, 1971. S._L_i D
Chart 56 CALL MONEY RATES FOREIGN CURRENCIES* Friday figures JAPAN SELECTED EEC CURRENCIES' Friday figures FRANCE NETHERLANDS M J S D M J S D M J S D M J S D * 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.
Chart 6A LONDON: EURO DOLLAR DEPOSIT RATES Friday figures 25.50 OVERNIGHT 1-MONTH CALL 7 DAY S D S D M J S s D * May 12/71-changed to Overnight Euro-Dollar Deposits) * * July 1 -changed to 7-Day Euro-Dollar
\3 LONDON: EURO-DOLLAR DEPOSIT RATES Friday figures 3-MONTH 1968
NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES-SECONDARY MARKET Wednesday figures EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT s D S D S S
Chart 7B NEW YORK-LONDON: COSTS OF U.S. DOLLAR FUNDS 3-MONTH Wednesday figures DOLLAR DEPOSIT RATES-PRIMARY MARKET 14 EURO-DOLLAR DEPOSIT ADJUSTED EURO DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT ADJUSTED EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ADJUSTED* J Wi 1 i UVA '1:Jll ' - v\ V r t L (\ \ /u/s ^ f/ 1 \ / M l 1 1 1 1 1 1 1 1 1 1 1 II 1 II 1 II 1 1 1 M i i i 11 i 11 i i M111111111 i M J S D M J S D M J M J 1968 1969 1970 1971 Adjusted for Reserve Requirement ** Adjusted for 10% Marginal Reserve Requirement *** Adjusted for 20% Marginal Reserve Requirement
Chart 8A LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS HIRE PURCHASE AND EURO-DOLLAR RATES Friday figures Per cent per 14 EURO DOLLAR DEPOSIT 12 10 ^ [Ya/- HIRE PURCHASE 8 6 4 2 0 FAVOR HIRE PURCHASE 0 2 4 6 8 DIFFERENTIAL M FAVOR EURO-DOLLAR S S S S D M J D J D J D J 10
Chart 8B LONDON: COVERED YIELDS ON U.S. DOLLAR FUNDS LOCAL AUTHORITY AND EURO DOLLAR RATES Friday figures Per cent per 14 EURO-DOLLAR DEPOSIT 12 10 8 LOCAL AUTHORITY DEPOSIT COVERED 6 4 2 0 FAVOR LOCAL AUTHORITY 0 2 4 6 8 DIFFERENTIAL FAVOR EURO DOLLAR M S D M J S D M J S D M J S D Digitized for FRASER
\«Chart 9A INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS UNCOVERED LONDON NEW YORK J M J S D M S S M J S D D M J D * Plotted for comparison purposes
Chart 98 INTEREST ARBITRAGE: UNITED STATES AND UNITED KINGDOM Friday figures RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON Per cent per 4 2 FORWARD RATE PREMIUM DISCOUNT + 0 2 4 6 8 10 IN FAVOR OF LONDON 12 2 + 0 2 [IN FAVOR OF NEW YORK 4 6 8 10 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) M J S D M J S D M J S D M J S D 12
3-MONTH FUNDS INTEREST ARBITRAGE: EURO-DOLLAR - GERMAN MARK FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF DM GERMAN INTERBANK LOAN RATE EURODOLLAR COVERED DIFFERENTIAL 1 kj\a la-a-u- r ^ v v A WM/ FAVOR FRANKFURT i i i i i i i i i i i 1 1 1 1 1 1 1 1 1 1 1 FAVOR EURO DOLLAR i i 1 i i 1 i i! i i M J S D M J S D M J S D M J S D
3-MONTH FUNDS INTEREST ARBITRAGE: EURO DOLLAR - SWISS FRANC ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE Wednesday rates IN TERMS OF SWISS FRANCS EURODOLLAR COVERED SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH I I I I 1 I I I 1 I I I I I 11 1 II, FAVOR EURO-DOLLAR I 1 I
11 3-MONTH INTEREST ARBITRAGE: UNITED STATES - CANADA Friday figures BILL RATES CAN. FIN. CO. PAPER Per cent per ai 10 8 6 UNITED STATES TREASURY BILLS CANADIAN > TREASURY BILLS 4 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR FORWARD RATE PREMIUM 2 + 0 GROSS SPREAD IN FAVOR OF CANADA IISCOUNT 2 COVERED RATE DIFFERENTIALS TREASURY BILLS FAVOR CANADA 2 + 0 PRIME FINANCE PAPER FAVOR U.S. FAVOR CANADA 2 2 + 0 FAVOR U.S. J S D M J S D J S D M J S D
Chart 12A SELECTED SHORT-TERM INTEREST RATES* 10 11 I III II11 111111111 11 111111111 i n 11111111 - Vt JAPAN - IA lau.s. - - vr CANADA^ \ h YJ ' 11111111111 111M1111M M i M111111 1 1 1 1 1 1 II 1 1 11111111111 1967 * 3-month treasury bill rates for all countries except Japan(Average rate on bank loans and discounts) and Germany(lnterbank Loan Rate)
Chart J"2B SELECTED SHORT-TERM INTEREST RATES* EURO DOLLAR - LONDON SWITZERLAND 1967 1969 1971 * 3 month treasury bill rate for U.S. Swilzerland-3 month deposit rate. ** 3 month rate for U S. dollar deposits in London Digitized for FRASER
/ft Chart 13 LONG-TERM BOND YIELDS Weekly figures NETHERLANDS CANADA U.S. SWITZERLAND U.S. 11 U.K. EURO DOLLAR BONDS GERMANY Monthly figures 10 U.S. CORP. DOLLAR EURO BONDS U.S. CORP. Aaa BONDS U.S. CORP. DM EURO-BONDS 1967 * New series for Switzerland starts 8-2-68, U.S. Corp. Dollar Euro-Bonds and U.S. Corp. DM Euro- Bonds starts 12-70, Euro-Dollar Bonds start 4-2-71. ** New-Average yield of all German P A. Bonds begins 9-4-70.
CHART 14 INDUSTRIAL STOCK INDICES 1958=100 Ratio scale 320 280 - ^\ U ' K ' /s 200 1 1 I 1 1 1 1 1 1 1 1 1 I 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 II 1 1 1 1 1 1 1 1 1 1 - - ^ T A / V ZV L " v vv Xr SWITZERLAND - 400 320 ^ wmsermany 240 VAA U S! 1 I 1 1 1 1 1 1 1 1 I I 1 I I 1 I I 1 I I 11 11 W I 1111 I I 1 I I 1 I I 1 I I - - z ^ "PAN y-z 400 320 - - \r /^~ 240 / V\CANADA 1 1 1 1 1 1 1 1 M 1 1111 i i M 11 i II 1 1 1 1 1 1 11 1 1 1 1 1 1 1 1 1 1 # Japan index of 225 industrial and other stocks traded on the Tokyo exchange. ** Japan index of all industrial and other stocks traded on the first section of the Tokyo Stock Exchange.
H. 13 No. 519 IV. SELECTED CENTRAL BANK DISCOUNT RATES Country Current Rate In Effect Since Previous Rate In Effect Since E.E.C.: Belgium 6.0 Mar. 25, 1971 6.5 Dec. 10, 1970 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 5.5 Apr. 5, 1971 6.0 Aug. 4, 1969 Switzerland 3.75 Sept.15, 1969 3.0 July 10, 1967 United Kingdom 6.0 Apr. 1, 1971 7.0 Apr. 15, 1970 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
IV-2 LATEST FIGURES PLOTTED ON THE CHARTS Chart Panel Series Date Rate 1A Upper Swiss franc Aug. 13 + 0.657 U.K. pound + 0.806 Lower French franc " + 0.735 Japanese yen " + 0.736 IB Upper Belgian franc + 0.746 Italian lire " + 0.686 Lower Canadian dollar " 98.64 German mark 11 29.42 Dutch guilder " 28.77 2A German mark + 2.18 Swiss franc " + 4.67 U.K. pound " - 0.10 2B Upper Dutch guilder " + 2.91 Canadian dollar " + 1.45 French franc " + 5.18 Lower Japanese yen " + 6.50 3A German mark Aug. 13 + 1.96 U.S. dollar i - 0.18 3B Swiss franc " + 4.54 French franc " + 5.80 4 Gold price, U.S. dollar per ounce it 43.26 5A Upper Overnight Euro-$ deposits Aug. 4 5.82 Federal Funds u 5.59 Middle Differential " + 0.23 Lower Euro-currencies: Dropped Ai g. 18, 1971 Euro DM Aug. 6 3.98 Euro Swiss Fr. " 4.22 5B Upper Japan/Unconditional Money " 6.25 U.K., 2-day Local Author. Deps. " 5.69 Canada, Day-to-day Loans Aug. 11 4.10 Lower France, Day-to-Day Money Aug. 6 5.50 Germany, Call Money Aug. 13 4.94 ' Netherlands, Call Money JuK Id
IV-3 Chart Panel Series Date Rate 6A Euro-) Overnight Rate Aug. 13 6.00 Euro ) 1-month Rate " 8.75 6B Euro-) 3-month Rate.. 8.38 Euro-$ 6-month Rate 8.00 7A Upper Euro-* 3-month Deposits Aug. 11 7.75 U.S. Certificate of Deposits ii 5.88 Lower Differential it +1.87 7B Upper Euro-) 3-month Deposits ii 7.75 Euro-) 3-month Deposits (Adj.) ii 9.69 U.S. Certificate of Deposits (Adj.) " 6.26 Lower Differential: on Adj. Euro-$ Deposits " +3.43 on Unadj. Euro-) Deposits " +1.49 8A Upper Euro-) 3-month Deposits July 23-30 6.44 6.72 Hire Purchase Deposits (covered) 5.53 5.81 Lower Differential -0.91-0.91 8B Upper Euro-) 3-month Deposits Local Authority Deposits (covered) 6.44 6.72 5.22 5.50 Lower Differential -1.22-1.22 9A U.S. Treasury Bill rate Aug. 13 5.10 U.K. Treasury Bill rate 5.63 Local Authority Deposit (uncovered) Aug. 6 6.06 9B Upper Spread (+= favor London) " +0.53 3-month Forward Pound ii +0.40 Lower Net Incentive (+= favor London) " +0.93 Digitized for FRASER
0 IV-4 Chart Panel Series Date Rate 10A Upper Euro ) Deposits (covered) Aug. 11 5.72 Lower German Interbank Loan rate " 7.50 Differential 10B Upper Euro-f Deposits (covered) ii Swiss Deposit rate Lower Differential 11 Upper Canadian Finance Paper U.S. Treasury Bill rate Canadian Treasury Bill rate U.S. Prime Finance paper (not plotted) +1.78 2.72 3.50 p 40.78 Aug. 13 4.88 ft It 5.10 3.92 5.75 Second Bill rate differential.. -1.18 Forward Canadian dollar.. +1.34 Third Net incentive on bills Bottom Net incentive on Finance Paper 12A Upper U.K. Treasury Bill rate U.S. Treasury Bill rate +0.16 +0.47 Aug. 13 5.63 ii 5.10 German Interbank Loan rate " 7.50 Lower Japanese Average rate May 7.640 Canadian Treasury UiII rate Aug. 13 3.92 U.S. Treasury Bill rate " 5.10 12B Euro-* Deposits " 8.38 Swiss 3-month Deposit rate U.S. Treasury Bill rate ii 3.50 p " 5.10
IV-5 Chart Panel Series Date Rate 13 Upper Netherlands July 23-30 7.33 7.24 Canada Aug. 4-11 7.27 7.17, United States Aug. 11 5.92 Middle Switzerland * Germany July 30 5.45 Aug. 6 8.34 United Kingdom " 9.31 Lower Euro-dollar bonds U.S. Corp. Dollar Euro-bonds ^ Aug. 13 7.64 June 8.30 14 Upper Switzerland U.S. Corp. DM Euro-bonds» 7.25 U.S. Corp. Aaa bonds July 7.64 Germany United States Middle United Kingdom ii Lower Canada ** Japan United States Aug. 13 409.8 Aug. 6 275.0 Aug. 13 211.93 231.41 Aug. 5 215.01 Aue. 7 458.76 i lug. 13 211.93 * 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.