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DIVISION OF I N T E R N A T I O N A L F I N A N C E BOA WD OF ( O V I I I N O M F E D E R A L R E S E R V E SYSTEM LIBP/.RY H.13 No. 229 January 5, 1966 JAN 1 2 19G6 CAPlfrAL MARKET DEVELOPMENTS ABROAD I. II. Ten Charts on F i n a n c i a l Markets Abroad L a t e s t Figures P l o t t e d i n H. 13 Chart S e r i e s , 1966 S e v e r a l changes are introduced in the c h a r t s in the H. 13 C a p i t a l Market s e r i e s w i t h t h i s i s s u e i n order to make a v a i l a b l e c e r t a i n new t e c h n i c a l d a t a . The main changes are: Chart 1 - the U. S. -U. K.-Canadian f i n a n c e company paper r a t e s e r i e s are p l o t t e d on a l a r g e r s c a l e . Chart 2 - the f u l l range of Euro-dollar d e p o s i t r a t e s (London) are p l o t t e d on a l a r g e r s c a l e ; f o r the f i r s t time, the covered a r b i t r a g e c a l c u l a t i o n s between Euro-dollar and U.K. l o c a l a u t h o r i t y d e p o s i t s and between E u r o - d o l l a r d e p o s i t s and U.K. h i r e - p u r c h a s e paper are p r e s e n t e d . Chart 3 - in Part I , the covered a r b i t r a g e c a l c u l a t i o n s between the Frankfurt interbank loan r a t e and the London Euro-dollar r a t e and between the Zurich d e p o s i t r a t e and the London Euro-dollar r a t e are p l o t t e d f o r the f i r s t time; i n Part I I , the p r i c e of gold i n London i s introduced. The appended data s h e e t i s new and expanded and p r e s e n t s the f i g u r e s p l o t t e d i n Charts 1 - 7 . An Annex c o n t a i n i n g a complete d e s c r i p t i o n of every s e r i e s of data p l o t t e d i n the c h a r t s t o g e t h e r w i t h t h e i r sources w i l l be published soon, s u p p l a n t i n g the Annex to H. 13, Number 164, of September 23, 1964. I. Ten Charts on F i n a n c i a l Markets Abroad Chart 1 - New York, London, Montreal: I n t e r n a t i o n a l Money Market Y i e l d s f o r U.S. D o l l a r I n v e s t o r s on 3-month Funds Chart 2 - London: Y i e l d s f o r U.S. D o l l a r I n v e s t o r s on 3-month Funds Chart 3 - London, Frankfurt, Zurich: Y i e l d s on 3month Bank Funds; P r i c e of Gold i n London Chart 4 I n t e r e s t A r b i t r a g e , New York/Canada Chart 5 I n t e r e s t A r b i t r a g e , New York/London Chart 6 Short-term I n t e r e s t Rates Chart 7 Long-term Bond Y i e l d s Chart 8 I n d u s t r i a l Stock I n d i c e s Chart 9 Spot Exchange Rates - Major Currencies Against U.S. D o l l a r Chart 10 - 3-month Forward Exchange Rates OFFICIAL USE ONLY (Decontrolled after six months) NEW YORK, YIELDS FOR LONDON, U.S. MONTREAL; DOLLAR INVESTORS ON 3-MONTH FUNDS DOLLAR DEPOSIT RATES: NEW Y O R K - L O N D O N EURODOLLAR DEPOSIT U . S . C E R T I F I C A T E OF D E P O S I T 1 E U R O - D O L L A R OVER U . S . C E R T I F I C A T E OF D E P O S I T F I N A N C E C O . P A P ER R A T E S ] c o v e r e d ) : Q U O T E D J N N E W Y O R K Fridoy figurei U.K. HIRE P U R C H A S E L P N D O N : YIELDS FOR U . S . DOLLAR EURO DOLLAR D E P O S I T RATES INVESTORS ON 3-MONTH FUNDS 9 0 DAY 1 8 0 DAY "30 HIRE PURCHASE AND LOCAL DAYf AUTHORITY CALL DEPOSIT RATES (covered) EURO-DOLLAR DEPOSIT HIRE P U R C H A S E T DIFFERENTIAL FAVOR HIRE P U R C H A S E FAVOR EURO-00LLAR LOCAL AUTHORITY DEPOSIT EURO DOLLAR DEPOSIT 1 DIFFERENTIAL F A V O R LOCAL AUTHORITY FAVOR E U R O D O L L A R 1964 1965 1966 11 L O N D O N , FRANKFURT, FRANKFURT INTERBANK ZURICH: LOAN YIELDS RATE VS. ON 3-MONTH LONDON BANK FUNDS EURO-DOLLAR IN INTERBANK RATE TERMS (COVERED) OF DM_ LOAN RATE EURODOLLAR ... I T DIFFERENTIAL FAVOR FRANKFURT FAVOR EURODOLLAR ZURICH D E P O S IT R A T E VS. LP NDO N E U R O - D O L LA R R A T E IN ( C O V ER E D) TERMS OF SWISS FRANCS EURO-DOLLAR SWISS DEPOSIT RATE I T DIFFERENTIAL FAVOR ZURICH FAVOR E U R O D O L L A R H PRICE OF G O L D IN L O N D O N 35.2 35.0 1964 1965 1966 INTEREST ARBITRAGE, UNITED STATES/CANADA Friday figures 3-MONTH TREASURY BILL RATES C A N . FIN. CO. P A P E R CANADA UNITED STATES BILL R A T E D I F F E R E N TI A L A N D F O R W A R D C A N A D IA N D OLJLA R S P R E A D IN F A V O R O F C A N A D A PRENiUM DISCOUNT FORWARD RATE 3-MON TH CO VERED RATE DIFFERENTIALS (NET IN C E N T I V E S ) FAVOR C A N A D A PRIME FINANCE PAPER FAVOR U.S. FAVOR CANADA ~ TREASURY BILLS F A V O R U.S. 1963 1964 1965 1966 INTEREST ARBITRAGE, Friday figures 3-MONTH U.K. TREASURY LOCAL NEW BILL AUTHORITY YORK/LONDON RATES LONDON DEPOSITS NEW JTATE DIFFERENTIAL FORWARD AND 3^ M O N T H STERLING SPREAD IN T FAVOR YORK OF T LONDON PREMIUM DISCOUNT FORWARD RATE DIFFERENTIAL WITH RATE FORWARD IN IN FAVOR OF 1964 NEW EXCHANGE FAVOR OF COVER (NET INCENTIVE) LONDON YORK 1965 1966 +_ SHORT-TERM INTEREST RATES * U.K. EURO-DOLLAR - LONDON U.S. GERMANY JAPAN U.S. CANADA SWITZERLAND 1963 1962 3-month treosury bill roiei for all countries except Jopon 1964 1965 1966 ( Average role on bank loom ond discounts ) and Switzerland ( 3 month deposit rote ) 3-month rote for U.S. dollor deposits in London. J LONG-TERM BOND YIELDS GERMANY U.S. 6 CANADA NETHERLANDS U.S. SWITZERLAND 1962 1963 1964 1966 INDUSTRIAL STOCK INDICES Aa GERMANY x f--. CWIT7FDI A N D \ S ^< \r U.K. V A w r<" I ^ u.s. s ^ r 11111111111 I II I I I I I II I I I I I I I I I I I I II II I I I I I II 300 250 JAPAN 200 CANADA US t^' 150 100 1963 1964 ^ ^ Switt Bonk Corporolion induilrml »lock index Japan: of 225 industrial and other stocks traded on the Tokyo entfcange. 1965 1966 \t> SPOT EXCHANGE RATES - M A J O R CURRENCIES A G A I N S T U.S. DOLLAR 1.6 S W I S S FRANC GERMAN MARK U.K. STERLING BELGIAN FRANC FRENCH FRANC T " ' w — DUTCH GUILDER I T A L I A N LIRA I Y c A N A D I A N DOLLAR JAPANESE YEN 1.2 1964 1965 1966 Below par 3-MONTH AGAINST FORWARD U. S. EXCHANGE RATES DOLLARS PREMIUM G E R M A N MARK SWISS FRANC I v POUND STERLING " DISCOUNTAGAINST P O UND S TERLI N G - L O N D O N 11\\ S W I S S FRANC G E R M A N MARK "JUL- S . DOLLAR OISCOUNTA G A I N ST P O U N D ST E R L I N G - LONDON DUTCH GUILDER BELGIANFRANC FRENCH FRANC J 1964 OISCOUNTS D M s J 1965 - 0 s M 1966 D H. 13 No. 229 L a t e s t F i g u r e s P l o t t e d i n H. 13 Chart S e r i e s , ( a l l f i g u r e s per c e n t per annum) Chart 1 Upper p a n e l (Wednesday, December 29 ) Euro-$ d e p o s i t 5.31 U . S . c e r t i f . of d e p o s i t 4.86 Lower p a n e l (Friday, ) December 31 F i n a n c e c o . paper: U.S. Canada H i r e - p u r c h a s e p a p e r , U.K. 5.00 5.33 5.83 Chart 4 (Friday, ) 4.41 4.45 Canada U.S. Spread f a v o r Canada +0.04 Forward Canadian t $ -0.67 N e t i n c e n t i v e (Canada + ) -0.63 5.88 Canadian f i n a n c e paper (December 24) ( F r i d a y , December 31 Treasury b i l l s : Euto-$ d e p o s i t s : Call 7-day 30-day ) Chart 5 December 31 4.50 4.62 5.18 December 31 Treasury b i l l s : Chare 2 (Friday, January 7 , 1966 1966 90-day 5.25 180-day 5 . 2 5 5.37 H i r e - p u r c h a s e paper (December 17) Local-authority deposit 5.54 (December 24) Chart 3 Upper p a n e l ( P e r i o d : November 2 4 - 3 0 ) I n t e r b a n k l o a n (mid p o i n t ) 6.56 EufO-$ d e p o s i t ( a v e r a g e ) 5.41 Lower p a n e l (Date: December 23 Z u r i c h 3-mo. d e p o s i t P r i c e of g o l d ( F r i d a y , December 24 _ ) 4.00 +0.91 Forward pound -1.03 Net i n c e n t i v e (U.K. +) -0.12 Chart 6 (Friday, December 31 Treasury b i l l s : U.S. 4.45 U.K. 5.36 ) Gerr ny Canada 3.88 4.41 Euro-$ d e p o s i t (London) 5,25 Z u r i c h 3-mo. d e p o s i t (Date: December 23 Japan c o m p o s i t e r a t e /"Date; October 29 4,00 J 7.660 Chart 7 U.S. G o v ' t . 5.36 4.45 Spread f a v o r U.K. 35.ISP For d e s c r i p t i o n and s o u r c e s of d a t a s e e s p e c i a l annex t o H. 13, Number 164, , September 23, 1964. U.K. . U.S. 4.50 (Wed., Dec. 2 9 ) U.K. War Loan ( T h u r s . , Dec. 3 0 ) 6 .61 German Fed. 7.,78 (Fri., S w i s s Confed. (Fri., Canadian G o v ' t . Dec. 17 Dec. ) 17) (Wed., Dec. 29 Netherlands Gov't, perpetual (Fri.. Dec. 24 ) 3. 98 ) 5. 45 5. 61
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