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• OAHO O F O O V E R N O R S H. 13 No. 367 September 11, 1968 fAPITAL MARKET DEVELOPMENTS ABROAD I. ""Tettf Charts on Financial Markets Abroad II. Latest Figures Plotted in H.13 Chart Series, 1968 Od'futoL I. ( Ten Charts on Financial Markets Abroad Chart Chart Chart Chart Chart Chart Chart Chart Chart Chart 1 - New York, London: Yields on U.S. Dollar Funds 2 - London: Yields for U.S. Dollar Investors on 3-Month Funds 3 - Interest Arbitrage: Frai kfurt/London, Zurich/London 4 - Interest Arbitrage: New York/Canada 5 - Interest Arbitrage: New York/London 6 - Short-Term Interest Rates 7 - Long-Term Bond Yields 8 - Spot Exchange Rates--Major Currencies Against U.S. Dollar 9 - 3-Month Forward Exchange Rates • 10 - Industrial Stock Indices Europe and British Commonwealth Section. NOT FOR PUBLICATION DECONTROLLED AFTER SIX MONTHS NEW Y O R K - L O N D O N : YIELDS O N U . S . DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES Wednesday figures Per cent per EURO-DOLLAR DEPOSIT i. C E R T I F I C A T E OF D E P O S I T EURO 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 EURO DOLLAR D E P O S I T S FEDERAL FUNDS EURO D O L L A R OVER F E D E R A L F U N D S Mir. Jun. Sept. Die. 1965 Mar. Jrni. 1966 Sept. Dec. Msr. le*. 1967 Sept. Dec. Mar. Jun. 1968 Sept. Dec. L O N D O N : YIELDS EURO-DOLLAR Friday figures FOR U.S. DOLLAR INVESTORS O N 3 - M O N T H FUNDS DEPOSIT RATES Per cent per 30 DAY CALL 180 DAY 9 0 DAY M J S D M 1965 i S 1966 D M J S 1967 D M J S 1968 D v v L O N D O N : YIELDS FOR U.S. DOLLAR INVESTORS O N 3 - M O N T H FUNDS HIRE PURCHASE AND LOCAL AUTHORITY DEPOSIT RATES (covered) EURO-DOLLAR DEPOSIT. HIRE PURCHASE FAVOR HIRE PURCHASE DIFFERENTIAL FAVOR EURO-DOLLAR EURO DOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT FAVOR LOCAL A U T H O R I T Y DIFFERENTIAL fOR E U R O D O L L A R 1965 1966 1967 1968 ? r I INTEREST ARBITRAGE; FRANKFURT FRANKFURT/LONDON, INTERBANK LOAN RATE VS. ZURICH/LONDON LONDON EURO-DOLLAR RATE (COVERED) IN TERMS OF DM EURO-DOLLAR INTERBANK 1 1 DIFFERENTIAL 1 L. ^ r 1 ! 1 I I ZURICH ! 1 ! DEPOSIT I I j I I RATE 1 VS. 1 ; 1 1 !i 1 ! i ! I ! 1 1 | i i ) I | A i 1 RATE | W i , LONDON LOAN , 1 , EURO i ! | DOLLAR RATE ' A ! SWISS 1 ! ! FAVOR FRANKFURT i J ^ \ J \ : : fii , - - j m o » EU.-DOLL,, (COVERED) IN EURO I . TERMS OF SWISS FRANCS DOLLAR DEPOSIT RATE FAVOR Z U R I C H DIFFERENTIAL FAVOR E U R O - D O L L A R I ' i 1.1 H PRICE OF GOLD IN LONDON 35.5 45.0 35.4 43.0 35.3 41.0 35.2 39.0 35.1 37.0 35.0 II 1965 ll 35.0 1 1 II i 1 I J s 1966 1968 Market doled March 15 April 1, 1968 T i I • INTERS? ARBITRAGE, UNITED STATES / C A N A D A Fridoy figures 3-MONTH TREASURY RATES BILL Per cent per annum j CAN. FIN. CO PAPER ! UNITED STATES CANADAV BILL 1 RATE 1 1 1 DIFFERENTIAL r AND FORWARD , C A N A D I A N 2 DOLLAR I SPREAD IN FAVOR OF CANADA •1 N T T / f FORWARD RATE DISCOUNT 3 - M O N T H C O V E R E D RATE DIFFERENTIALS (NET INCENTIVES) FAVOR C A N A D A TREASURY BILLS PRIME FINANCE PAPER FAVOR U.S. FAVOR CANADA 1965 1966 1967 1968 1 INTEREST ARBITRAGE, NEW Y O R K / L O N D O N 3-MONTH TREASURY BILL RATES U.K. LOCAL A U T H O R I T Y D E P O S I T S S* «. j . INTEREST RATE ARBITRAGE, DIFFERENTIAL NEW AND YORK/LONDON 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON DISCOUNT! FORWARD RATE v \ RATE DIFFERENTIAL WITH IN FAVOR OF LONDON IN FAVOR OF NEW FORWARD 1965 1966 EXCHANGE 2 YORK COVER (NET 1967 INCENTIVE) 1968 SHORT-TERM INTEREST RATES* EURO-DOLLAR - LONDON t 7U.K. /"S. ^y-V 1 SWITZERLAND 9 JAPAN CANADA I GERMANY 1964 1966 1965 Switzerland ^3-month deposit rate) and Germany 3 month rate for US dollar deposits in London ^Interbank Loon Rolei 1967 1968 NETHERLANDSt for Germany sta for Switzerland for Netherlands SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR S W I S S FRANC n 4/ GERMAN M A R K - 4 U.K. S T E R L I N G BELGIAN FRANC DUTCH GUILDER FRENCH FRANC CANADIAN DOLLAR I T A L I A N LIRA X/ \ JAPANESE YEN 1965 * Devaluation of the pound sterling from $2 80 to $2 40 1966 1967 1968 3 - M O N T H FORWARD EXCHANGE RATES AGAINST Fridoy figures U.S. DOLLARS —NEW YORK Per cent per annum GERMAN MARK / * X \ S W I S S FRANC \ J POUND S T E R L I N G DISCOUNT- PREMIUM* D U T C H GUILDER FRENCH FRANC X A C A N A D I A N DOLLAR FRENCH FRANC DISCOUNT- AGAINST POUND STERLING — L O N D O N PREMIUM* G E R M A N MARK | S W I S S FRANC I W U . S . DOLLAR DISCOUNT- 1965 ING? 1966 1968 9 INDUSTRIAL STOCK INDICES l958,00 360 320 280 240 SWITZERLAND U.S. 200 GERMANY 160 UK 120 360 320 280 JAPAN 240 CANADA 200 US 160 120 1965 * * * 1966 Swiss Bonk Corporation industrial stock index Japan index of 225 industrial and other slocks traded on the Tokyo exchange 1967 H. 13 No. 367 ,, . September 11, 1968, II.a Latest Figures Plotted in H.13 Chart Series, 1968 (all figures per cent per annum) Chart 1 (Wednesday, Sept. 4 Upper Panels Euro-$ deposit 6.06 U.S. certif. of deposit 5.83 Lower Panels (Wednesday, Sept. 4 Chart 4 (Friday, Sept. 6 ) Treasury bills: Canada 5.44 U.S. ) 5.20 Spread favor Canada +p.24 Call Euro-$ deposit 5.97 Forward Canadian dollar -Q.89 Federal Funds 5.84 Net incentive (Canada +) -p.fis Canadian Finance paper Chart 2 (Friday, Sept. 6 6.12 Chart 5 (Friday, Sept. 6 ) ^ ) Upper Panel - Euro-$ deposits: Treasury bills : U.K. Call 30-day 5.88 6.00 SO-day 180-day 6.00 6.25 6. 78 U.S. Middle Panel 5.20 Spread favor U.K. Hire-purchase paper Aug. 30 5.10 Euro-$ deposit 6.16 Aug. 30 +1.58 U.K. local authority deposit Chart 6 (Friday, Sept. 6 Lower Panel Treasury bills : U.S. Local-authority deposit Au&30 5.20 5.10 6 U.K. Euro-$ deposit Aug. 30 - 78 6.16 Canada I. 7.91 Chart 3 Upper panel (Period; Sept. 1-7 Interbank Loan (mid-point) 3.62 Euro-$ deposits 3.56 (average) ) 5.44 Interbank loan rate (German) ( Sept. 1-7 ) Euro- $ deposit (London) 3.62 6. 00 Zurich 3-month deposit Lower Panel (date Aug. 15 ) Zurich 3-month deposit -*• 75 Euro-$ rate (covered)sept. 7 4.QQ (Date: Aug. 15 ) 3.75 ) 7.52 Japan Composite rate II. Price of gold (Friday, Sept. 6 ) 39.96 (Date: July 31 ) H. 13 No. 367 September 11, 1968. - II. b Chart 9 Chart 7 U.S. Gov't.(Wed., Sept. 4 U.K. War Loan (Thurs.,Sept. 5 ) German Fed. (Fri., Sept. 6 Swiss Confed. (Fri., (Friday,Sept. 6 ) 5.08 7.61 ) Against U.S. dollars; ) 6.24 Swiss francs +2.00 Dutch Glds. +1.22 ) German marks +2.50 Fr. Francs -i. 29 £ Sterling Can. $ -0.89 Canadian Gov't. (Wed. ,Sept. 4) n. a. 6.48 -2.81 Against pound sterling: Netherlands Gov't. (Friday, Aug. 30 ) 6.52 Swiss francs +4.12 Euro-$ bonds (Fri., Sept. 6 ) 7.61 U.S. dollars +2.41 U.S. Euro-bonds ( ) 7. 16 U. S. Corporate Aaa ( Aug. 31 ) 6.02 Aug. 31 Ger. marks +5.49 Chart 10 U.S. ( Chart 8 (Friday, Sept. 6 ) Sept. 6 ) 222. 2 Japan ( Sept. 6 ) 301. 7 U.K. (Fri. , Sept. 6 ) 285.6 Swiss francs +1.55 Dutch Glds.-Q.43 German marks +0.68 Can. $ +0.76 Switzerland (Frio-Sept. 6 U.K. £ Ster. -0. 72 It. Lire 4-0. 30 Germany ( Aug. 30 ) 270.4 +0.21 Canada ( ) 209.3 Belgian francs-Q.53 Jap. Yens Aug. 29 ) French francs -Q.74 For descriptions and sources of data, see Special Supplement No. 343-S dated March 27, 1968. 340.3
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