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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
BOARD O F 8 0 V I R N 0 M
OF THE
F E D E R A L RESERVE SYSTEM
April 27, 1966. '
H. 13
No. 245
CAPITAL MARKET DEVELOPMENTS ABROAD
i.
II.
Ten Charts on Financial Markets Abroad
Latest Figures Plotted in H.13 Chart Series, 1966
Note
on Chart 6
In this issue of the H.13 series, the three-month German interbank loan rate is introduced in Chart 6 in place of the German Treasury
bill rate. From January 1962 until December 31, 1965, the rate was
calculated as the mid-point of the highest and lowest rates quoted by
Frankfurt banks on business days in the periods ending on the reporting
dates: 7th, 15th, 23rd, and final day of the month. Data was supplied
by the Deutsche Bundesbank. Beginning on January 7, 1966, however,
the figure charted is the average of the mid-points of the highest and
lowest rates quoted by selected German banks, reported daily in the
Frankfurter Allgemeine Zeitung and calculated for business days in
periods ending on the 7th, 15th, 23rd and final day of each month.
I.
Ten Charts on Financial Markets Abroad
Chart
Chart
Chart
Chart
Chart
Chart
Chart
Chart
Chart
Chart
1 - New York, London, Montreal: Yields for
U.S. Dollar Investors on 3-month Funds
2 - London: Yields for U.S. Dollar Investors
on 3-month Funds
3 - Interest Arbitrage: Frankfurt/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.
OFFICIAL USE ONLY
(Decontrolled after six months)
NEW YORK, L O N D O N , MONTREAL:
YIELDS FOR
DOLLAR
U . S . DOLLAR
DEPOSIT
INVESTORS O N
RATES, NEW
3 - M O N T H FUNDS
YORK.LONDON
EURO-DOLLAR D E P O S I T
U . S . CERTIFICATE OF D E P O S I T
|
E U R O D O L L A R OVER
U . S . CERTIFICATE OF DEPOSIT
FINANCE
CO.
d). QUOTED
PAPER RATES {
IN
NEW
YORK
CANADIAN FINANCE
COMPANY
U.K. HIRE PURCHASE
ITXI
U.S. FINANCE COMPANY
Mar.
Jun.
1964
Sept.
Dec.
Mar.
Jun.
1965
Sept.
Dec.
Mar.
Jaa.
1966
Sept.
L O N D O N : YIELDS FOR U . S . DOLLAR
E U R O - D O L L A R D E P O S I T RATES
Fridqy figures
9 0 DAY
/TA/J|1Aa
11
1 8 0 DAY
hX
M
/
V
V
I I
1
o
11111
HIRE P U R C H A S E A N D
Friday ligur
r
M U
/
1
/
A
FUNDS
L
30 D,V
A/vV
11!
J
3-MON£t*
i M
L - /
w
V V j U
A
INVESTORS ON
LOCAL
ii
11111
1 1
i i
1 1
1 1
A U T H O R I T Y D E P O S I T RATES ( c o v e r e d )
EURO DOLLAR DEPOSIT
A
-
1
-
HIRE PURCHASE W
1
1
1
DIFFERENTIAL
FAVOR HIRE P U R C H A S E
FAVOR E U R O D O L L A R
I I
_L_L
I I
I I
l
I I
l
LOCAL AUTHORITY DEPOSIT
1
EURO
I
'
D I F F E R E N T I A L
A
L
-LAR D E P O S I T
l
|
l
M
|
FAVOR LOCAL AUTHORITY
- A
FAVOR E U R O D O L L A R
1
1
1
1
l
l
1964
i
i
1
1
1
i
V 1 1
1965
i
i
i
i
1
1
l
1966
1
1
l
1
1
[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 ,
FRANKFURT
INTERBANK
LOAN
RATE VS.
ZURICH/LONDON
LONDON
EURO
DOLLAR
RATE ( C O V E R E D )
I N TERMS OF
DM
INTERBANK LOAN RATE
EURODOLLAR
.DIFFERENTIAL.
FAVOR FRANKFURT
FAVOR EURODOLLAR
I I I I I
J_L
ZURICH DEPOSIT
RATE VS.
LONDON
J _ L
I 1 1 I 1 I I
_ 1 _ L
EURO-DOLLAR
RATE ( C O V E R E D )
N TERMS/OF SWISS FRANCS
EURODOLLAR
S W I S S D E P O S I T RATE
nz
I
l
DIFFE R E N T I A L
I
H
1
1
1 1
1
i
A
'\
!
v-Y
1
M
i
i
PRICE OF G O L D IN L O N D O N
i
v
"V
a
O
i
I I
1 1
1
1
1
1
FAVOR ZURICH
FAV OR EURO!DOLLAR
1
1
1
1
1
1
1
1
INTEREST
3
ARBITRAGE,
. M O N T H
TREASURY
UNITED
BILL
STATES/CANADA
6
RATES
C A N . FIN. CO. IPAPER
4
CANADA
. - • " ' U N I T E D STATES
BILL
RATE
DIFFERENTIAL
AND
F O R W A R )
CANADIAN
DOLLAR
SPREAD IN FAVOR OF CANADA
PREMIUM
DISCOUNT
l
FORWARD RATE
r\t
3.MONTH C O V E R E D K A T E D I F F E R E N T I A L S ( N E T I N C E N T I V E S |
PRIME FINANCE PAPER]
FAVOR CANADA
/VV W A
FAVOR U.S.
FAVOR CANADA
T R E A S U R Y BILLS
FAVOR
1963
1964
1965
1966
INTEREST A R B I T R A G E ,
Friday figures
3-MONTH
TREASURY
NEW
BILL
YORK/LONDON
RATES
U.K. LOCAL AUTHORITY D E P O S I T S
NEW YORK
,
j=r4r-=^'
RATE D I F F E R E N T I A L
FORWARD
AND
3-MONTH
STERLING
S P R E A D IN FAVOR OF LONDON
FORWARD RATE
RATE D I F F E R E N T I A L W I T H F O R W A R D
E X C H A N G E COVER (NET
IN FAVOR OF LONDON
IN FAVOR OF NEW YORK
II1 I II I II I II I I 1 I I 1 I
INCENTIVE)
SHORT-TERM
INTEREST
RATES*
U.K. I
EURO DOLLAR - LONDON
US
SWITZERLAND
JAPAN
GERMANY
CANADA
U.S.
1962
1963
* • 3-monlh ir.oiury bill com (e> oil couniri»i «»c»pl Jcpon
and Swilz«rland!f3month deposit rate)
3-mon7h ral« tor U S. dollc
1964
1965
(Averoge role on bank loam and discounts)'
1966
LONG-TERM
BOND
YIILDS
Weekly figures
GERMANY
U.K.
EURO-DOLLAR BONDS
U.S.
CANADA
NETHERLANDS
U.S.
SWITZERLAND
1962
*Atrerege of yields l<
1963
1964
1965
1966
SPOT 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
1.6
S W I S S FRANC
1.2
GERMAN MARK
U.K. STERLING
BELGIAN FRANC.
FRENCH FRANC
DUTCH GUILDER
CANADIAN DOLLAR
ITALIAN LIRA
JAPANESE YEN
1.2
J
s
1964
0
M
J
1965
s
D
M
)
s
D
1966
I
10
3-MONTH
fridoy Figurei
F O R W A R D E X C H A N G E RATES
A G A I N S T U . S. D O L L A R S
PREMIUM*
GERMAN MARK
S W I S S FRANC
" " R O U N D STERLING
DISCOUNT-AGAINST
POUND
STERLING - L O N D O N
PREMIUM
11\\ S W I S S FRANC
- G E R M A N MARK
U. S. DOLLAR
DISCOUNTA G A I N ST P O U N D
STERLING - L O N D O N
A DUTCH GUILDER
BELGIANFRANC
FRENCH FRANC
OISCOUNTS
M
1964
0
M
J
1965
S
0
M
J
1966
s
D
INDUSTRIAL
STOCK
INDICES
l95e:100
Ratio teal*
SWITZERLAND
GERMANY
U.K.
U.S.
300
250
JAPAN
200
CANADA
l^'
U.S.
150
100
1963
1964
Swiss flank Corporation industrial stock index
Japan: index of 225 industrial and other stocks traded on the Tokyo exchange
1965
1966
H. 13
No. 245
II. 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 , 196 6
( a l l f i g u r e s per c e n t per annum)
April 27, 1966.
Chart 1
Chart 4
Upper panel
(Wednesday,
J
April 20
(Friday,
Euro-$ d e p o s i t
5.75
U.S. c e r t i f . of d e p o s i t
5.25
Lover p a n e l
(Friday,
April 22
5. 25
"375T
6.14
Finance c o . paper: U.S.
Canada
Hire-purchase paper, U.K.
+0.35
Forward Canadian $
-0.15
Net i n c e n t i v e (Canada + )
+0. 20
Canadian f i n a n c e paper
5.75
Chart 5
(Friday,
April 22
5.31
5.50
5.62
April 22
Treasury b i l l s :
Euto-$ d e p o s i t s :
Call
7-day
30-day
4.97
4.62
Canada
U.S.
Spread favor Canada
Chart 2
(Friday,
April 22
treasury b i l l s :
90-day e
180-day _
Hire-purchase paper
(April 15)
Local-authority deposit
(April 15)
Chart 3
Upper panel
( P e r i o d : April 8-15
5. 75
5.88
6.05
Eupo-$ d e p o s i t (average)
5. 75
Lower panel
(Date: March 15
4.00
**Zufrich 3-mo. d e p o s i t
P r i c e of gold
(Friday, April 15
+0.87
Forward pound
- 0 . 80
N e t i n c e n t i v e (U.K. + )
+0.07
Chart 6
(Friday,
5.93
J
35.126
* Euro-$ bonds
6. 20
/April 22)
** Feb. 23
3. 88
Feb. 28
3.88
Mar. 7
4. 00
April 22
Treasury b i l l s :
U.S.
4.62
U.K.
5.49
4.00 (Apr. 8)
4.97
Germany
Canada
Buro-$ d e p o s i t (London)
5.75
**Zurich 3-mo. d e p o s i t
(Date:
March 15
Japan composite r a t e
(Date:
February 28
January 5l
Chart 7 *
4.00
U.S. G o v ' t .
For d e s c r i p t i o n and s o u r c e s
of data s e e s p e c i a l annex
t o H. 13, Number 239, .
March 16, 1966.
5.49
4. 62
Spread f a v o r U.K.
5.49
Interbank l o a n (mid p o i n t )
U.K.
U.S.
7.570
7.580
(Wed., Apr. 2CD
4.64
"U.K. War Loan (Thurs., Apr. 21)
6.80
)
7.98
Swiss Confed. ( F r i . , Apr. 15 )
3.93
Canadian G o v ' t .
5.69
German Fed. ( F r i . , Apr. 15
(Wed., Apr. 20 )
Netherlands G o v ' t , p e r p e t u a l 3%
(Fri.,
April 15
)
5.85
@FedFRASER