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BOARD O F e O V E R N O R S
DIVISION O F I N T E R N A T I O N A L F I N A N C E
H. 13
No. 182
February 10, 1965
CAPITAL MARKET DEVELOPMENTS ABROAD
I.
II.
I.
Nine Charts on Financial Markets Abroad
Latest Figures Plotted in H.13 Chart Series, 1965
Nine Charts on Financial Markets Abroad
Chart 1 - International Money Market Yields for
U.S. Dollar Investors
Chart 2 - Interest Arbitrage, United States/Canada
Chart 3 - Interest Arbitrage, New York/London
Chart U - Interest Arbitrage for German Commercial
Banks
Chart 5 - Short-term Interest Rates
Chart 6 - Long-term Bond Yields
Chart 7 - Industrial Stock Indices
Chart 8 - Spot Exchange Rates - Major Currencies
Against U.S. Dollar
Chart 9 - 3-month Forward Exchange Rates
OFFICIAL USE ONLY
(Decontrolled after six months)
INTERNATIONAL
3-MONTH
MONEY
EURO-DOLLAR
N E W YORK OFFER
Friday figures
MARKET
YIELDS
U.S. DOLLAR
FOR
D E P O S I T VS. C E R T I F I C A T E
RATES O N
SELECTED
3-MONTH
OF
INVESTORS
DEPOSIT
INVESTMENTS
: TREASURY BILLS- Fully H e d g e d
n
j
iij.
1963
1964
194$
INTEREST A R B I T R A G E , UNITED STATES / C A N A D A
Per
3 - MONTH
ten!
p*
T R E A S U R Y BILL R A T E S
UNITED STATES
RATE DIFFERENTIAL A N D
/
RATE
A -t
>J
/\
w
FORWARD
CANADIAN
DISCOUNT
FORWARD
DIFFERENTIAL W I T H
RATE
FORWARD
IN
FAVOR
EXCHANGE
Thursdoy figure* 1962 Fridny therpoll#
COVER
(I
OF C A N A D A
IN F A V O R
DOLLAR
OF UNITED STATES
**
I
INTEREST ARBITRAGE, NEW
YORK/LONDON
3 - M O N T H T R E A S U R Y BILL R A T E S
RATE
DIFFERENTIAL
F O R W A R D
-
AND
3 - M O N T H
j
STERLING
A
RATE DIFFERENTIAL W I T H
FORWARD
EXCHANGE
COVER
(NET I N C E N T I V E )
INTEREST
ARBITRAGE
FOR
GERMAN
COMMERCIAL
3 - M O N T H T R E A S U R Y BILLS, I N T E R B A N K L E N D I N G
E U R O - D O L L A R DEPOSIT RATES i
j
;
BANKS
RATE
AND
A
RATE
DIFFERENTIAL
AND
FORWARD
DEUTSCHE
MARK
S P R E A D IN F A V O R O f F R A N K F U R T
-
RATE
.
rJ
r
r
.
DIFFERENTIAL WITH
\
i 963
,
FORWARD
,
,
RATE
/
EXCHANGE
A INTERBANK 10AN
1964
,
COVER
i
i
r
(NET I N C E N T I V E )
1 96 5
Chort
5
V
S H O R T - T E R M INTEREST R A T E S *
•VI
..J..I : : i : I i. i. 1 :
a n d S w i t z e r l a n d {3 m o n t h
H r p o s i r r n >»»)
L O N G - T E R M U O N D YIELDS
Chart 7'
INDUSTRIAL STOCK
INDICES
Ratio iceli
SWITZERLAND'
Chart I
S P O T E X C H A N G E RATES - M A J O R CURRENCIES A G A I N S T U . S . DOLLAR
V\
19*3
19 64
IftS
P"
vo
3-MONTH
FORWARD
EXCHANGE
RATES
hiiejLfigwrei
AGAINST
U.S.
DOLLARS
AGAINST POUND
STERLING
- LONDON
AGAINST
STERLING
- LONDON
POUND
6
1963
1964
196$
H.13
No, 182
February 10, 1965
II.
Latest Figures Plotted In H.13 Chart Series 1965
Per cent
per annum
Chart 1
Upper panel
Feb» 3
(Wednesday,
Chart 5
(Friday, F e b * 5
t
except as noted)
)
Euro-$ deposit
h*$0
U.S. certif. of deposit
li.Ui
Treasury
Lower panels
(Friday, Feb, 5
Treasury bills:
)
U.S.
3.87
U.K.
3.71
Canada
3.U7
Finance Co. paper:
U.S.
ii.00
Canada
iu15
U.S.
3.89
U.K.
6.32
Germany
3.12
Canada
3.63
3.25
Euro-$ deposit (London)
U.5Q
Japan: composite rate
(Date: Oct* 30 )
7.990
Chart 6
Bonds:
Chart 2
Feb» 5
Treasury bills:
)
Canada
3.63
U.S.
3.89
Spread favor Canada
-0.26
Forward Canadian dollar
-0.23
Net incentive (Canada +)
-0.19
Chart 3
(Friday, F e b «
bills:
Swiss 3-month deposits
(Date: Jan, 15
)
U.5o
Hire-purchase paper, U.K.
(Friday,
Per cent
per annum
S
Treasury bills:
)
U.K.
6.32
U.S.
3.89
Spread favor U.K.
+2.L3
Forward pound
-2.55
Net incentive (U.K. +)
-0.12
Digitized forFor
FRASER
description and sources
September 23, 1964.
U.S. govt.
Feb. 3
(Wed.,
1.18
U.K. war loan
(Thurs., F e b . U
6.U1
German Fed. Railway
(Fri. ,
Feb. 5
6.19
Swiss Confederation
(Fri.,
Jan. 29
U.05
Canadian govt.
(Wed. ,
Feb. 3
U.99
Netherlands government
perpetual
(Fri.,
Jan. 22
)
5.03
of data see special annex to H. 13 Number 164,
@FedFRASER