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BOARD O F t O V I R N O M F E D E R A L R E S E R V E SYSTEM H. 13 J a n u a r y 8 , 1969. No. 384 I JAt. i s II. ogAPITAL MARKET DEVELOPMENTS ABROAD r t s on F i n a n c i a l M a r k e t s Abroad L a t e s t " F i g u r e s P l o t t e d i n H.13 C h a r t S e r i e s , 1969 O a p i ^ I. L Ten C h a r t s on F i n a n c i a l M a r k e t s Abroad Chart Chart Chart Chart Chart Chart Chart Chart Chart Chart 1 - New York, London: Y i e l d s on U.S. D o l l a r Funds 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 3 - Interest Arbitrage: Fraikfurt/London, Zurich/London 4 - I n t e r e s t A r b i t r a g e : New York/Canada 5 - I n t e r e s t A r b i t r a g e : New York/London 6 - Short-Term I n t e r e s t R a t e s 7 - Long-Term Bond Y i e l d s 8 - Spot Exchange R a t e s - - M a j o r C u r r e n c i e s A g a i n s t U.S. D o l l a r 9 - 3-Month Forward Exchange R a t e s 10 - I n d u s t r i a l Stock I n d i c e s Europe and B r i t i s h Commonwealth S e c t i o n . NOT FOR PUBLICATION DECONTROLLED AFTER SIX MOITTHS I s NEW Y O R K - L O N D O N : YIELDS O N U . S . 3 - M O N T H DOLLAR DEPOSIT RATES DOLLAR FUNDS Wednesday ligurei Per cent per annum EURO DOLLAR D E P O S I T U . S . C E R T I F I C A T E OF D E P O S I T 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 CALL EURO DOLLAR DEPOSIT RATE VS. U.S. FEDERAL FUNDS RATE C A L L E U R O DOLLAR D E P O S I T S FEDERAL FUNDS E U R O D O L L A R OVER F E D E R A L F U N D S Mar. Jun. Sept. Dec. 1965 Mar. Jun. 1966 Sept. Dec. Mar. Jen. 1967 Sept. Dec. Mar. Jan. 1968 Sept. Dec. LONDON: YIELDS EURO-DOLLAR FOR U . S . DEPOSIT DOLLAR INVESTORS ON 3-MONTH FUNDS RATES P«r cent per onnum Fridoy figures 3 0 DAY CALL 1 8 0 DAY 9 0 DAY M J S 0 1965 M J 1966 s D M J 1967 S D M I 1968 S D l LONDON: YIELDS FOR HIRE PURCHASE A N D Friday figures U.S. DOLLAR LOCAL INVESTORS O N AUTHORITY 3-MONTH D E P O S I T RATES l FUNDS (covered) HIRE P U R C H A S E FAVOR HIRE P U R C H A S E FAVOR E U R O - D O U A R EURO-DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT f \r y U ^ V " ! r V A r\ h ; ! D I F F E R E N T 1A L | I 1 1 1 1 1 | J S 1 1 1 1 D 1965 M i i I J 1966 - 1 j i i i S i i i i | i i ! i 1967 : : I s 111] I EUR6-D OLLAR i 1968 $ o I INTEREST ARBITRAGE: F R A N K F U R T / L O N D O N , FRANKFURT INTERBANK LOAN RATE V S . ZURICH/LONDON LONDON EURO-DOLLAR RATE (COVERED) IN TERMS OF DM EURO-DOLLAR INTERBANK LOAN RATE r T FAVOR FRANKFI DIFFERENTIAL FAVOR E U R O - D O L L A R ZURICH DEPOSIT RATE V S . LONDON EURO-DOLLAR RATE (COVERED) IN TERMS OF SWISS FRANCS EURO-DOLLAR SWISS DEPOSIT RATE 1 1 DIFFERENTIAL FAVOR ZURICH FAVOR E U R O D O L L A R H PRICE OF G O L D IN LONDON 35.5 45. 35.4 43. 35.3 35.2 31.0 35.1 37.0 35.0 M J s 0 1965 * Morltef closed March 15-April 1, 1968. M J 1966 S 0 M J 1967 35.0 s 0 M J 1968 $ 0 INTERS! ARBITRAGE, 3-MONTH TREASURY UNITED BILL STATES / C A N A D A RATES j CAN. FIN. CO. I UNITED PAPER STATES ; C A N A D A V BILL T RATE^DIFFERENTIAL AND T CANADIAN FORWARD SPREAD DOLLAR T 2 IN F A V O R OF C A N A D A FORWARD RATE DISCOUNT 3-MONTH COVERED RATE DIFFERENTIALS (NET u TREASURY PRIME INCENTIVES) FAVOR CANADA BILLS FINANCE PAPER FAVOR U.S. 1965 1966 1967 1961 1 INTEREST ARBITRAGE, 3-MONTH TREASURY NEW YORK/LONDON B I L t RATES U.K. LOCAL AUTHORITY D E P O S I T S jlLONDON / NEW YORK 1965 1966 1967 1968 % INTEREST ARBITRAGE, RATE D I F F E R E N T I A L NEW AND YORK/LONDON 3-MONTH FORWARD 4 STERLING SPREAD IN FAVOR OF LONDON 2 PREMIUM 0 DISCOUNT FORWARD RATE 2 V \ 4 6 8 10 ] IN 1 FAVOR 1 OF 1 LONDON IN FAVOR OF NEW T r I 2 0 YORK 2 4 I DIFFERENTIAL WITH FORWARD EXCHANGE i i i i i i : i i i i i i i i i i i i i j ~ ~ 1965 1966 COVER (NET I N C E N T I V E ) i i i i i i i i i i i i I ~ " ~ 1967 I 1968 A S H O R T - T E R M INTEREST RATES* EURODOLLAR U.K. "yU-S. /y,—V ^SWITZERLAND 9 JAPAN 1964 1966 1965 >3-month treasury bill rales for all countries except Japan Switzerland (3 month deposit rate) and Germany ""j** 3-month rote for U.S. dollar deposits in London (Average rate on bonk loans and discounts) Interbank Loon Rate) 1967 1968 K L O N G - T E R M B O N D YIELDS 8 7 6 5 SWITZERLAND 4 3 9 8 7 EURO-DOLLAR BONDS 6 5 8 7 6 II 1964 1965 1966 Ueroge of yields for four foreign government dollar bonds quoted in London Jew series for Germany starts 7 9 65 4ew series for Switzerland starts 3 3 67 Jew series for Netherlands starts 1 7-66 New series for Switzerland starts 8 2-68 1967 1968 I V C h a r t 8A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par 1.6 i SWISS FRANC / GERMAN MARK U.K. STERLING Below par S Above par | I DUTCH GUILDER U.S. J FRENCH FRANC * - JAPANESE YEN ; M J S D M 1966 Devaluation of the pound sterling from $2.80 to $2.40. ' J 1967 S D M J 1968 s D M J 1969 s Below par D n Chart 8B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par BELGIAN FRANC Par with U.S. Below par M J S D M 1966 J 1967 S D M J S 1968 D M J S 1969 D Chart 9A 3-MONTH FORWARD EXCHANGE RATES AGAINST U.S. D O L L A R S - N E W YORK Friday figure? Per cent per a n n u m PREMIUM GERMAN MARK SWISS FRANC POUND STERLING ^VX f DISCOUNT- DUTCH GUILDER A / -Ay +1 CANADIAN DOLLAR 10 FRENCH FRANC DISCOUNT— s S D 1966 1967 D J 1968 s D M J 1969 s D \ Chart 9B 3-MONTH FORWARD EXCHANGE RATE AGAINST POUND STERLING-LONDON Friday f i g u r e s P e r c e n t per 1 PREKI I U M + i- ' - ' 1 " ' ! ! ; ' GERMAN h1 A ^ ~ 1 - ' P 1 • Jr v v ; S. DOLLAR V . i iNc l.sJ y t ' M FRENCH FRANC A _ j ' ' ; 1966 . 1967 DISCOIU N T I 1968 1969 ' " \6 INDUSTRIAL STOCK INDICES 360 320 280 240 SWITZERLAND 200 U.S. GERMANY 160 U.K. 120 f 360 ' 320 280 JAPAN 240 CANADA 200 U.S. 160 120 1965 • * * 1966 Swiss Bonk Corporation industrial stock index Japan index of 225 industrial and other stocks traded on the Tokyo exchange 1967 1968 . J a n u a r y 8 , 1969 H. 13 No.384 II. a. L a t e s t F i g u r e s P l o t t e d i n H. 13 S e r i e s ( a l l f i g u r e s i n p e r c e n t p e r annum) Chart 1 Chart 4 Upper P a n e l s (Tuesday, Dec. 31 Euro-$ d e p o s i t ) U.S. c e r t i f . of d e p o s i t 7.21 F e d e r a l Funds 5.95 ) -0.24 Net i n c e n t i v e (Canada + ) -0.20 Canadian F i n a n c e paper PahpI (Dec. 27) Chart V f " (Friday, .Tan. 3 Jan. 3 Euro-$ d e p o s i t s (Friday, T.owpt +0.04 Forward Canadian d o l l a r C h a r t 2A Upper P a n e l 6.11 Spread ( f a v o r Canada +) Dec. 31 C a l l Euro-$ deposit 6.15 U.S. 6.58 Lower P a n e l s (Tuesday, Jan. 3 (Fridayj T r e a s u r y b i l l s : Canada 7.00 Call 7 .50 30-day 1 ,75 QO-dav 7,,25 180-day ) 3 ) U.K. L o c a l A u t h o r i t y d e p o s i t n.a. Treasury b i l l s : 6. 63 6.11 U.K. U.S. C h a r t 5B Spread ( f a v o r U.K. +) 7,•19 +0.52 Forward r a t e -3.29 Net i n c e n t i v e (U.K. +) -2.77 C h a r t 2B Chart 6 Hire-Purchase ( ) Local Authority ( ) n. a . Euro-$ d e p o s i t ( ) n. a . Upper P a n e l (Friday, Treasury B i l l s Chart 3 Jan. 3 ) U.S. U.K. Canada 6.11 6.63 6.15 7.25 E u r o - $ d e p o s i t (London) I . Upper P a n e l ( P e r i o d : 6- sn > - ^ Jan. 1- 7 ) Lower P a n e l I n t e r b a n k Loan ( m i d - p o i n t ) n. a . German I n t e r b a n k loan r a t e ( Jan. 1-7 ) n.a. Euro-$ d e p o s i t s (average) n. a . Z u r i c h 3-month d e p o s i t (Dec. 16-23) n.a. J a p a n Composite R a t e ( ) ru a . U.S. T r e a s u r y b i l l s ( J a n . 3 ) 6.11 Lower P a n e l ( d a t e : Jan. 1-7 ) Z u r i c h 3-mo. d e p o s i t Euro-$ r a t e (covered) ( _) I I . P r i c e of Gold (London) ( a v e r a g e - w e e k ended n.a. 41.91 Jan.3 ) J a n u a r y 8, 1969 H. 13 No. 384 —' II. b Chart 7 C h a r t 9A Upper P a n e l U.S. G o v ' t . (Friday, (Tues„, Dec. 31) 5.76 Jan. 3 Against U.S. d o l l a r s Upper Panel N e t h e r l a n d s Govt. ( F r i . , Canadian G o v ' t . (Wed., ) n.a. Swiss f r a n c s +2.41 J a n . 1 ) 7.35 German marks +4,65 £ sterling -3.29 Swiss G o v ' t . Composite (Fri. , ) n.a. Lower Panel Middle Panel U.K. War Loan (Thus. , Euro-$ bonds ( F r i . , J a n . 2) Jan. 3 ) 8.05 7. 5 4 Lower Panel U.S. Euro-bonds ( Nov. 30 ( Dec. 31 U.S. C o r p o r a t e Aaa ( Nov. 30 ( Dec. 31 Chart 8A Jan. 3 ) (Friday, ) ) ) ) 7, . 1 1 7 = 17 6,.19 6,.45 French f r a n c -9.40 Dutch g u i l d e r +1.08 Canadian d o l l a r -0.19 Chart 9B (Friday, Jan. 3 Against pound s t e r l i n g Upper Panel German mark +7.86 U.S. d o l l a r +2.77 Lower panel Upper P a n e l Swiss f r a n c French f r a n c Swiss f r a n c s +1,,47 German marks U.K. £ s t e r l i n g - 0 . ,04 - 0 . 66 Upper P a n e l Germany ( Dec. 20 .( P e c . 27 Switzerland ( Jan. 3 French f r a n c s - 0 . 25 Dutch g u i l d e r s +0. 21 J a p a n e s e yens +0. 60 Belgian francs Canadian d o l l a r s Italian lira Chart 10 ( I n d e x ; 1958 = 100) U.K. ( Lower P a n e l Chart (3B (Friday, Jan. 3 - 0 . 40 +0, 77 +4.83 +5.22 285.1 ) ) ) 256.6 260.8 35Z3 Lower Panel U.S. ( ) _ ) Jan. 3 Jan. 3 ) Canada ( ) Japan ( ) +0f 14 For d e s c r i p t i o n s and s o u r c e s of d a t a , see S p e c i a l Supplement No. 343-S March 27, 1968. Digitized for dated FRASER ) 209.4