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DIVISION O F I N T E R N A T I O N A L F I N A N C E BOAKD O F t O V I R N O M H. 13 No. 305 June 28, 1967. (CAPITAL MARKET)DEVELOPMENTS ABROAD I. II. II.t .t Ten C h a r t s on F i n a n c i a l Markets 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 Chart S e r i e s , 1967 Ten C i h a r t s on F i n a n c i a l M a r k e t s Abroad Chart 1 Chart 2 Chart 3 Chart Chart Chart Chart Chart 4 5 6 7 8 Chart 9 Chart 10 New York, London, M o n t r e a l : 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 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 I n t e r e s t Arbitrage: Frankfurt/London, Zurich/London I n t e r e s t A r b i t r a g e : New York/Canada I n t e r e s t A r b i t r a g e : New York/London Short-term I n t e r e s t Rates Long-term Bond Y i e l d s 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 3-month Forward Exchange R a t e s 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 . OFFICIAL USE ONLY ( D e c o n t r o l l e d a f t e r s i x months) NEW YORK, LONDON, MONTREAL: YIELDS FOR U . S . D O L L A R DOLLAR DEPOSIT INVESTORS O N RATES: 3-MONTH FUNDS NEW Y O R K - L O N D O N Wednetdoy figurei P# EURO-DOLLAR D E P O S I T — U . S . CERTIFICATE OF D E P O S I T EURO DOLLAR OVER i U . S . CERTIFICATE OF D E P O S I T FINANCE CO. PAPER RATES ( c o v e r e d ) : QUOTED IN NEW YORK U.K. HIRE PURCHASE CANADIAN F I N A N C E COMPANY U.S. FINANCE COMPANY Mar. 1965 1966 1967 LONDON: Y I E L D S FOR U . S . E U R O - D O L L A R DEPOSIT DOLLAR INVESTORS ON 3-MONTH FUNDS RATES 3 0 DAY 1 8 0 DAY CALL HIRE PURCHASE A N D LOCAL AUTHORITY DEPOSIT RATES (covered) HIRE P U R C H A S E EURO-DOLLAR D E P O S I T | DIFFERENTIAL j i FAVOR HIRE P U R C H A S E I ^ | FAVOR E U R O - D O L L A R , : , i EURO-DOLLAR D E P O S I T y ^ P ^ - ^ ^ ^ : LOCAL AUTHORITY DEPOSIT 1 FAVOR LOCAL AUTHORITY DIFFERENTIAL Z-X V ^ ! 1966 FAVOR EURO-DOLLAR I I INTEREST A R B I T R A G E : F R A N K F U R T / L O N D O N , Z U R I C H / L O N D O N FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE ( C O V E R E D ) IN INTERBANK LOAN RATE TERMS OF D M EURO-DOLLAR DIFFERENTIAL | 1 ! 1 FAVOR FRANKFURT 1 ! / j V 1 W : ! 1 ! ! ! ZURICH DEPOSIT I I ! ! RATE i j | ! VS. 1 1 1 LONDON ! EURO ! ! DOLLAR 1 : 1 i i i ! h / r — / V f . / y v TERMS 1 i EURO-DOLLAR 1 ! 1 1 1 i 1 I FAVOR EURO-DOLLAR RATE ( C O V E R E D ) IN ! 1 J A OF SWISS FRANCS V ! i SWISS DEPOSIT RATE ^ I i ! DIFFERENTIAL I FAVOR ZURICH ' 1 1 j I I H i I I 1 I- PRICE OF G O L D IN L O N D O N i 1 I I I ! 1 1 ! ! 1 i 1 i u s dollar ' i i INTEREST ARBITRAGE, 3-MONTH TREASURY UNITED STATES/CANADA BILL RATES CAN. FIN. CO. P A P E R UNITED S T A T E S BILL RATE D I F F E R E N T I A L AND FORWARD CANADIAN DOLLAR PREMIUM S P R E A D IN F A V O R O F C A N A D A FORWARD RATE 3-MONTH COVERED RATE D I F F E R E N T I A L S (NET DISCOUNT INCENTIVES) FAVOR CANADA I PRIME FINANCE PAPER | FAVOR U . S . FAVOR CANADA ~ TREASURY BILLS M J S S M 1964 1965 D M J 1966 S S 1967 D OE, NEW 3-MONTH TREASURY BILL YORK/LONDON RATES U.K. LOCAL AUTHORITY D E P O S I T S LONDON /V NEW YORK RATE D I F F E R E N T I A L AND 3-MONTH FORWARD STERLING S P R E A D IN F A V O R OF L O N D O N PREMIUM FORWARD RATE RATE D I F F E R E N T I A L WITH FORWARD EXCHANGE COVER v"\| (NET DISCOUNT INCENTIVE) IN FAVOR OF L O N D O N IN F A V O R OF NEW YORK 1964 1965 1966 1967 SHORT-TERM INTEREST RATES * E U R O D O L L A R - LONDON + SWITZERLAND LONG-TERM BOND YIELDS Weekly figures P, NETHERLANDS CANADA U.S. SWITZERLAND GERMANY EURO DOLLAR B O N D S 1963 * ** 1964 1965 Average of yield* for four foreign government dollar bond* quoted m London New series for Germany Harts 7 9 65 New series for Switzerland starts 3.3 67 1966 1967 SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR SWISS FRANC 1.2 GERMAN M A R K - - U.K. STERLING FRENCH FRANC BELGIAN FRANC, DUTCH GUILDER C A N A D I A N DOLLAR ITALIAN LIRA J A P A N E S E YEN M J S 1965 0 M J 1966 S o M 1967 J 3-MONTH AGAINST FORWARD \* E X C H A N G E RATES U.S. D O L L A R S — N E W YORK PREMIUM S W I S S FRANC IA 'W G E R M A N MARK POUND STERLING OISCOUNT- PREMIUM+ \ FRENCH FRANC DUTCH GUILDER C A N A D I A N DOLLAR DISCOUNT- AGAINST Friday figures POUND STERLING — L O N D O N Per cln| per annum PREMIUM + \ S W I S S FRANC k | * A / ,\ GERM AN MARK K v v\n_ U . S . DOLLAR \ i W I'vA /\ ; xyl Vrx W 'M-zjX \ H r " i V i ! i ! DISCOUNT- I 1965 1966 i : i 1 , 1967 1 1 i I 1 INDUSTRIAL STOCK INDICES 311 321 210 SWITZERLAND 240 200 GERMANY i 160 120 360 320 280 JAPAN 240 200 CANADA 160 1964 1966 1967 W-* June 28, 1967 r H. 13 No. 305 II. L a t e s t F i g u r e s P l o t t e d In H. 13 C h a r t S e r i e s , 1967 ( a l l f i g u r e s p e r c e n t p e r annum) Chart 1 Chart 5 ( F r i d a y , J u n e 23 ) Euro-$ d e p o s i t 5., 32 U.S. c e r t i f . of d e p o s i t 4.,83 Lower P a n e l ) June 23 (Friday, U.S. Canada H i r e - p u r c h a s e p a p e r , U.K. 4., 38 4. 96 "39 F i n a n c e co. p a p e r : ' ~ Treasury b i l l s : Spread f a v o r U.K. +1.. 77 Forward pound - .39 Net i n c e n t i v e (U.K. +) +1. 38 Chart 6 ( F r i d a y , June 23 ) Chart 2 (Friday, June 23) Treasury b i l l s : 4.94 5.12 90-day 180-day 5.31 5.50 Hire-purchase paper ( J u n . 16) ( J u n . 23) L o c a l - a u t h o r i t y d e p o s i t ( J u n . 16) ( J u n . 23) Chart 3 Upper P a n e l ( P e r i o d : June 23 5.88 O S 5.50 5775 ) Interbank loan (mid-point) 4.06 Euro-$ d e p o s i t (average) 5.31 Lower P a n e l (Date: June 15 ) Z u r i c h 3-month d e p o s i t P r i c e of gold (Friday, June 16 ) June 23 Chart 4 ( F r i d a y , June 23 ) Treasury b i l l s : Canada U.S. Spread f a v o r Canada 4. 25* Canadian f i n a n c e paper 4.06 E u r o - $ d e p o s i t (London) 5. 31 Z u r i c h 3-month d e p o s i t (Date: June 15 J a p a n composite r a t e (Date: A p r i l 28 (Wed., German Fed. ( F r i . , Canadian G o v ' t . • + . 67 5. 25 4.25* ) 7.31 June 21 ) U.K. War Loan ( T h u r s . , June 22 ) 35.184 ,22 ) Chart 7 U.S. G o v ' t . Swiss Confed. ( F r i . , Forward Canadian $ Net i n c e n t i v e (Canada + ) I n t e r b a n k l o a n r a t e (German) 35.190 4..24 3,.35 + .,89 3.35 5.12 4.24 U.S. U.K. Canada Euro-$ d e p o s i t s : Call 30-day 5,,12 3., 35 U.K. U.S. June 23 ) June 23 ) (Wed., 6.87 4.70** June 21) 5.97 N e t h e r l a n d s G o v ' t , p e r p e t u a l 3% (Friday, June 16 ) 5. 61 Euro-$ bonds ( F r i . , 6.30 June 23 ) 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 t o H.13, Number 239, March 16, 1966. * Previous May 23 31 June 7 rates: - 4.25 - 4.25 - 4.25 ** New s e r i e s : June 2 - 4.75 9-4.70 16 - 4 . 6 7
@FedFRASER