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D I V I S I O N OF I N T E R N A T I O N A L FINANCJ BOARD O F O O V K N N O M H. 13 N o . 363 August 14, 1968. CAPlJAW MARKET DEVELOPMENTS ABROAD I. II. Ten Charts on Financial Markets Abroad Latest Figures Plotted in H. 13 Chart Series, 1968 QsLfut«~( 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: Fraikfurt/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 NOT FOR PUBLICATION DECONTROLLED AFTER SIX MONTHS NEW Y O R K - L O N D O N : YIELD* O N 3-MONTH DOLLAR DEPOSIT RATES Wednetdoy figures Per cent per EURO-DOLLAR DEPOSIT ._i U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT CALL EURO-DOLLAR DEPOSIT RATE VS. U.S. FEDERAL FUNDS RATE CALL EURO DOLLAR DEPOSITS FEDERAL F U N I S T EURO DOLLAR OVER FEDERAL FUNDS Mar. Jan. Sept. 1965 Dec. Mar. In. Sept. 1966 Bee. Mar. Jaa. 1967 Sept. Bee. Mir. Jan. Sept. 1966 Dec. 3 L O N D O N : YIELDS EURO-DOLLAR FOR U . S . DOLLAR INVESTORS O N 3 - M O N T H FUNDS D E P O S I T RATES 3 0 DAY CALL 1 1 1 DAY SO DAY M J 1965 S - D M J 1966 s I • J 1967 s I S N 1966 D M L O N D O N : YIELDS FOR U . S . D O L L A R I N V E S T O R S O N 3 - M O N T H F U N D S HIRE PURCHASE A N D L O C A L A U T H O R I T Y D E P O S I T RATES ( c o v e r e d ) P*f «•"< P er annum Friday figures EURO DOLLAR DEPOSIT. HIRE P U R C H A S E FAVOR HIRE P U R C H A S E DIFFERENTIAL FAVOR EURO-DOLLAR 8 — r EURO-DOLLAR DEPOSIT LOCAL A U T H O R I T Y DEPOSIT 1 1 -j DIFFERENTIAL 1965 F * 0 R EURO OOLLAR 1966 1967 1968 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 I N T E R B A N K L O A N RATE VS. L O N D O N EURO D O L L A R RATE (COVERED) I r ; i IN TERMS OF DM - ! • K E U R ll - D O L L l I R £ V 1 1 1 1 i i 1 1 i I I 1 1 1 1 1 i 1 1 1 i | W - 1 1 Wi1?1,1 1 1 1 Pf \ v$ A j 1 i DIFFERENTIAL M | 1 1 1 1 I I - FAVOR EURODOLLAR 1 1 1 1 I 1 1 1 ZURICH DEPOSIT RATE VS. L O N D O N EURO DOLLAR RATE (COVERED) IN TERMS OF SWISS FRANCS S W I S S I E P 0 S I T RATE DIFFERENTIAL H 35.5 TT 45.0 35.4 43.0 35.3 41.0 35.2 30.0 35.0 35.0 37.0 N » J 1965 $ D Mork.i cloi.d March IS-April 1. 1*61 • J 1MI $ I • J 1967 $ I $ 1 1968 I I N T E R S T A R B I T R A G E , U N I T E D STATES / C A N A D A Fridoy figures 3 - M O N T H TREASURY BILL RATES Per cent per j C A N . F I N . CO. PAPER UNITED S T A T E S CANADA BILL RATE D I F F E R E N T I A L A N D F O R W A R D C A N A D I A N DOLLAR PREMIUM S P R E A D IN FAVOR OF C A N A D A FORWARD RATE DISCOUNT 3 - M O N T H C O V E R E D RATE D I F F E R E N T I A L S (NET I N C E N T I V E S ) FAVOR C A N A D A TREASURY B I L L S ! PRIME F I N A N C E PAPER i F A V O R U.S. F A V O R U.S. 1965 IMS 1117 1SCI 1 INTEREST ARBITRAGE, NEW Y O R K / L O N D O N 3 - M O N T H TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS LONDON NEW YORK 1965 1S66 1117 111! $ INTEREST A R B I T R A G E , N E W Y O R K / L O N D O N Per cent per annum RATE D I F F E R E N T I A L A N D 3 - M O N T H F O R W A R D STERLING S P R E A D I N F A V O R OF L O N D O N PREMIUM DISCOUNT FORWARD RATE V \ T RATE D I F F E R E N T I A L W I T H F O R W A R D 1965 1966 2 E X C H A N G E COVER (NET I N C E N T I V E ) 1117 ISM ° \ SHOI EURO DOLLAR - LONDON t f"7^' X 9 JAPAN CANADA I U.S. GERMANY 1964 965 "j" 3 month role tor U S dollar deposit* m London 1966 1967 19SI LONG-TERM BOND YIELDS —NETHERLANDS CANADA US SWITZERLAND GERMANY UK EURO-DOLLAR BONDS U.S. EURO-DOLLAR BONDS U.S. CORP. Aaa BONDS 1964 1965 1966 1167 1968 w SPOT EXCHANGE MATES - MAJOE CU11ENCIIS AGAINST U.S. DOLLAt SWISS FRANC j — GERMAN MARK — V U.K. STERLING BELGIAN FRANC DUTCH GUILDER FRENCH FRANC CANADIAN DOLLAR JAPANESE YEN M * J 1965 S D M Devaluation of the pound sterling from $2 80 to $2 40 i 1966 $ I • J 1967 S I • J 1961 $ I \> 3 - M O N T H FORWARD I X C H A N O K RATKS A G A I N S T U.S. DOLLARS —NEW YORK Fridoy figures GERMAN MARK S W I S S FRANC Z X h - POUND STERLING IISCtVNT- DUTCH GUILDER [ • — F R E N C H FRANC CANADIAN DOLLAR •ISCtVNT- AGAINST POUND STERLING — L O N D O N GERMAN MARK SWISS FRANC xA . DOLLAR 1965 1117 1111 1101 INDUSTRIAL STOCK INDICES 195e=ioo Roiio icole 360 320 280 240 SWITZERLAND 200 GERMANY 160 U.K. 120 360 320 210 240 200 U.S. 110 120 1965 * ## 111! Swiss lank Corporation industrial stock index. Japan index ol 225 industrial and ether stocks traded on the Tokyo exche*«o 1117 1161 H. 13 No. 363 II. a Latest Figures Plotted in H. 13 Chart Series, 1 9 6 8 (all figures per cent per annum) Chart 1 (Wednesday, Upper Panels Aug. 7 Euro-$ deposit 5. 88 U.S. cartif. of deposit 5. 83 August 14, 1968. Chart 4 (Friday, ) Treasury bills: Canada Aug. 9 5.71 U.S. 4.94 Spread favor Canada +0. 77 Call Euro-$ deposit 5. 80 Forward Canadian dollar -1.54 Federal Funds 6.08 Net incentive (Canada +) -0. 77 Lower Panels (Wednesday, Aug. 7 ) Canadian Finance paper Chart 2 (Friday, Aug. 9 n. a. Chart 5 (Friday, Aug. 9 ) > ) Upper Panel - Euro-$ deposits: Call 30-day 5.75 6.00 SO-day 180-day ~ Treasury bills: U.K. 6. 78 U.S. 4.94 5.94 6.25 Spread favor U.K. Middle Panel +1.84 Hire-purchase paper Aug. 2 5.97 U.K. local authority deposit Euro-$ deposit 6. 13 Chart 6 (Friday, Aug. 2 7.78 Aug. 9 Lower Panel Local-authority deposit Aug. 2 5. 79 Euro-$ deposit 6.13 Aug. 2 Treasury bills: U.S. 4,94 U.K. 6.78 Canada I. Chart 3 Upper panel (Period: Aug. 1-7 Interbank Loan (mid-point) Euro - $ deposits, ) 5t 71 Interbank loan rate (German) Aug. 1-7 ) ( 3.50 Euro- $ deposit (London) 5. 94 3.50 (average) 3. 39 Zurich 3-month deposit Lower Panel (date June 15 ) (Date: Zurich 3-month deposit 3.75 Euro-$ rate (covered) 4.30 June 15 ) 3.75 ) 7.52 Japan Composite rate (Date: II. Price of gold (Friday, Aug. 9 38.67 ) May 31 ) H. 13 No. 363 August 14, 1968. Chart 7 Chart 9 U.S. Gov't.(Wed., Aue. 7 U.K. W a r L o a n (Thurs.,Aug. German Fed. (Fri,, Swiss Confed. ) 5.02 1) 7.51 ) 6.31 Aug. 2 (Fri., July 19 ) Canadian Gov't. ) (Wed., n.a. n. a. Netherlands Gov't, (Fri.,' U.S. Euro-bonds ( Swiss francs + 1 . 7 8 Dutch Glds. + i . iq F r . Francs _2.9Ff £ Sterling Can. $ -l.44 -2.17 sterling: ) 6.56 Swiss francs + 3 . 3 5 Aug. ) 7.,60 U.S. dollars + 1 . 9 7 July 31 ) German marks +2.41 Aug. 2 9 Aug. 9 Against U.S. d o l l a r s : Against pound (Friday, Euro--$ bonds (Friday, Ger. m a r k s +4.63 ) 7. 29 Chart 10 U.S. Corporate Aaa ( July 31 ) 6. 24 U. S. ( Chart 8 (Friday, Aug. 9 ) Japan ( Aug. 9 Aug. ) 2 Swiss francs + 1 . 4 9 Dutch Glds.-O.12 ( Aug. 9 U.IC. (Fri., Aug. 9 German marks - 0 . 4 9 Can. $ Switzerland U.K. It. L i r e £ Ster. - 0 . 2 6 Belgian francs-0. 02 Jap. Yens F r e n c h francs 4-0.78 +0.58 Germany +0. 02 Canada ( ) ) 282.3 ?7i a Aug. 1 9 ) 210.7 206.3 335.6 ) n. a. ) 204.5* -0.74 For descriptions and sources of data, dated M a r c h 27, 1968. *July 18 25 279.0 (Fri,. Aug. ( 214.4 ) Special Supplement No. 343-S
@FedFRASER