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DIVISION Or INTERNATIONAL FINANCE H. 13 » r »*" OF THE FEDERAL RESERVE SYSTEM • December 13, 1967 No. 329 CAPITAL MARKET DEVELOPMENTS ABROAD I. II. Ten Charts on Financial Markets Abroad Latest Figures Plotted in H.13 Chart Series, 1967 (y\(Lh.k-<LA 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 Y O R K , L O N D O N , M O N T R I A L : YIELDS FOR U.S. DOLLAR INVESTORS O N 3 - M O N T H FUNDS DOLLAR DEPOSIT RATES: NEW YORK-LONDON Wednesday figures EURO-DOLLAR DEPOSIT ! U . S . C E R T I F I C A T E OF D E P O S I T EURO DOLLAR OVER U.S. C E R T I F I C A T E OF .DEPOSIT FINANCE CO. PAPER RATES (covered): QUOTED IN NEW YORK U . K . HIRE P U R C H A S E \ i CANADIAN FINANCE / * COMPANY U.S. FINANCE COMPANY Mar. Jee. Sept. In. Ih. 1115 lee. 1911 Sept. lac. Mar. lea. 1917 Sept. lac. Mar. Jee. IMS Sept. lec. LONDON: YIELDS EURO-DO>LL'AR Friday figu FOR DEPOSIT U.S. # * % & * * INVESTORS ON 3-MONTH FUNDS RATES1 30 DAY HIRE PURCHASE AND LOCAL AUTHORITY DEPOSIT RATES (covered HIRE PURCHASE EURO-DOLLAR DEPOSIT DIFFERENTIAL FAVOR H I R E P U R C H A S E FAVOR E U R O D O L L A R EURO-DOLLAR LOCAL DIFFERENTIAL AUTHORITY DEPOSIT DEPOSIT F A V O R L O C A L A U T H O R TY FAVOR EURO-DOLLAR I ' " " R E S T ARBITRAGE: F R A N K F U R T / L O N D O N , Z U R I C H / I O N D O N FRANKFURT INTERBANK LOAN RATE VS. LONDON FllRO D O U AO R A T COVERED) IN TERMS INTERBANK OF DM LOAN RATE EURO-DOLLAR FAVOR FRANKFURT FFERENTIA FAVOR ZURICH DEPOSIT RATE VS. LONDON EURODOLLAR RATE EURO DOLLAR |C C V : R E D ) IN TERMS OF SWISS FRANCS EURO DOLLAR SWISS DEPOSIT RATE FAVOR FAVOR 2X ZURICH EURODOLLAR PRICE OF GOLD I N L O N D O N 35.3 35.0 1965 1966 1967 1968 1 I » 8 EST ARBITRAGE, UNITED STATES/CANADA Per cent p * • < MONTH TREASURY BILL RATES CAN FIN m PAPER IINITi ri ' TAT[S BILL RATE T DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM SPREAD IN FAVOR OF CANADA FORWARD RATE 3-MONTH COVERED RATE DIFFERENTIALS (NET 2 INCENTIVES PRIME FINANCE PAPER TREASURY B I L L S — \ 1964 1965 1966 1967 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 PI <\i LONDON V RATE DIFFERENTIAL AND 3-MONTH NEW YORK FORWARD x - \ STERLING S P R E A D IN FAVOR OF LONDON F O R W A R D RATE RATE D I F F E R E N T I A L WITH FORWARD EXCHANGE COVER DISCOUNT (NET IN FAVOR OF L O N D O N INCENTIVE] di A IN FAVOR OF NEW YORK 1965 1ISS 1967 1968 ! SHORT-TERM INTEREST RATES * FIIRO DOLLAR - LONDON + SWITZERLAND GERMANY jnd (3 month deposit L O N G - T E R M B O N D YIELDS tigurei Pi WMIIIV NFJHERIANDS CANADA SWITZERLAND GERMANY EURO D O L L A R B O N D S 1M5 1*4 1M3 A»ere*e el >iel* ler leer letelee f m m m — M r bee* «e«ed ,» Leedee * * * New »eri#« ler ferae*? iterli 7-f•** * * * New ieriei lor Switzerland uorti 3-3-671 m i 1117 SPOT EXCHANGE RATES - M A J O R CURRENCIES A G A I N S T U. V DOUAR SWISS FRANC G E R M A N MARK U.K. STERLING B E L G I A N FRANC DUTCH GUILDER FRENCH FRANC CANADIAN DOLLAR I T A L I A N LIRA JAPANESE YEN M J S D 1965 M J 1966 S j 1967 s M J 1968 S 3 - M O N T H F O R W A R D i X C H A N O l RATIS AGAINST.U.S. D O L L A R S - N E W YORK SWISS FRANC GERMAN MARK POUND STERLING DISCOUNT- PREMIUM xFRENCH DUTCH GUILDER FRANC - C A N A D I A N DOLLAR DISCOUNT AGAINST Friday figures POUND STERLING — L O N D O N PREMIUM S W I S S FRANC GERMAN MARK U . S . DOLLAR DISCOUNT 1965 1966 1967 INDUSTRIAL STOCK INDICES wss 100 Ratio icole 360 320 280 SWITZERLAND 240 200 U.S. ^ GERMANY 160 120 360 320 280 JAPAN 240 200 CANADA 160 120 1964 1965 1966 1967 December 13, 1967 H. 13 No.329 II. Latest Figures Plotted in H. 13 Chart Series, 1967 (all figures per cent per annum; Upper Panel Chart 1 (Wednesday, Euro-$ deposit Nov. 29 Dec. 6 U.S. certif. of deposit Lower Panel (Friday, Chart 5 (Friday, Dec. Dec. 6 6. 81r Treasury bills: 6.25 5.62 __ Dec. 8 5.38 Finance co. paper: U.S. Canada Hire-purchase paper, U.K. 5.99 4.98- Spread favor U.K. +2.43 Forward pound -2.83 Net incentive (U.K. +) + Chart 6 (Friday, Dec. 8 Chart 2 (Friday, Dec. 8 ) Treasury bills: Euro-$ deposits: Call 30-day 5.00 6.38 > 90-dak 180-day Hire-purchase paper (Dec. 1) Local-authority deposit (Dec. 1) Chart 3 Upper Panel (Period: ^6.25 6.25 6.50 Dec,• 1-7 3.98 Euro-$ deposit (average) 4.14 (Date: Nov. 15 Zurich 3-month deposit Price of gold (Friday, Dec. 1 ) 35.199 4.89 7.32 5.45 U.S. U.K. Canada 3.98 Zurich 3-month deposit (Date: Nov. 15 Japan composite rate (Date: Sept. 29 ) 4. ")C ) 7. 21' Chart 7 U.S. Gov't. ) 4.00 ) Interbank loan rate (German) (Dec. 1-7) Euro-$ deposit (London) 6.62 Interbank loan (mid-point) Lower Panel 7.32 4,89 U.K. U.S. (Wed. , U.K. War Loan (Thurs., German Fed. (Fri. , ) 5.26 Dec. 7 ) 7.17 Dec. 6 Dec. 8 Swiss Confed. (Fri., ) 6.68 Nov. 24 ) 4. 68 ) Canadian Gov't. (Wed., Chart 4 (Friday, Dec. 8 ) Dec. 6 ) 6.51 Netherlands Gov't, perpetual 3% (Friday, Dec. 1 ) 6.09 Canada U.S. Spread favor Canada 5.45 4.89 + .56 Euro- $ bonds (Fri., 7.32 Forward Canadian $ - .32 For descriptions and sources of data, see special supplement to H.13, Number 239, March 16, 1966. Net incentive (Canada +) - .24 Treasury bills: Cajiadian^finance paper 5,25 Dec. 8 )
@FedFRASER