The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
v
H. 13
So. 336.
^
-
-
.
f
(
OF THE
PEDEWAL WESERVE SYSTEM
February 7, 1968.
,'CAPITAL MARKET DEVELOPMENTS ABROAD
V
I.
II.
Ten -Charts on Financial Markets Abroad
Latest Figures Plotted in H.13 Chart Series, 1968
I.
Ten Charts on Financial Markets Abroad
Chart
Chart
Chart
Chart
Chart
Chart
Chart
Chefrit
1
Chart
Chart
1 - New York, London, Montreal: Yields for
U. S.4 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.
NOT FOR PUBLICATION
DECONTROLLED AFTER SIX MONTHS
'
,
0-
N I W Y O R K , L O N D O N , M O N T H A Li
YIELDS FOR U.S. DOLLAR INVESTORS O N 9 - M O N T H FUNDS
DOLLAR DEPOSIT RATES. NEW YORK-LOItfrON
Wednesdoy figurti
r«
EURO DOLLAR DEPOSIT
U.S. CERTIFICATE OF DEPOSIT
EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT
FINANCE CO. PAPER RATES ( c o v e r e d ) : QUOTED IN NEW YORK
U.K. MIRE PURCHASE
CARADIAN FINANCE
~rT^—COMPANY
U.S. FMARCE C M P A R Y ,
Mar.
lei.
Sept.
msy
Dec.
Mar.
Jie.
Sept.
1111
lee.
Her.
lie.
Sept.
111?
Dec.
Ear.
lea.
Sept.
Ill
Dec.
>choll
•
,
L O N D O N : YIELDS FOR U.S. DOLLAR INVESTORS O N 3 - M O N T H FUNDS
EURO-DOLLAR
Friday figures
DEPOSIT
RATES
! 3D DAY
i 90 DAY
180 DAY
CALL
HIRE
PURCHASE
AND
LOCAL
AUTHORITY
DEPOSIT
RATES
(covered)
HIRE PURCHASE
EURO-DOLLAR DEPOSIT
FAVOR HIRE P U R C H A S E
FAVOR E U R O D O L L A R
EURO-DOLLAR DEPOSIT]
LOCAL AUTHORITY DEPOSIT
DIFFERENTIAL
FAVOR LOCAL A U T H O R I T Y
FAVOR E U R O D O L L A R
1965
1966
1967
1968
I
INTEREST ARBITRAGE:
FRANKFURT/LONDON,
FRANKFURT INTERBANK
LOAN
ZURICH/LONDON
RATE V S . L O N D O N
E U R O D O L L A R RATE ( C O V E R E D )
1
l
I N Tf : R M S O F D M
I N T ERBANK
-
A
LOAN RATE
u
f
N
p
A
&
•
AA;
h
y
vV ^
EUR 0 D O L L AR
y
I
i
4
I
D I F F E R E N T 1A L
r ^ \
!
i
I
ZURICH
!
1
!
1
;
D E P O S I T RATE
r
1
VS.
v
\
i
1
LONDON
/
i
EURO
1
I
1^
DOLLAR
r
V
RATE
>
/
r /
1
1
FAV OR FRANKFURT
1
1
I I I
' !
1
i l l ; . : . -
(COVERED)
I N TERMS OF S W I S S F R A N C S
EURODOLLAR
SWISS
DEPOSIT
RATE
FAVOR ZURICH
DIFFERENTIAL
FAVOR E U R O - D O L L A R
S
PRICE OF G O L D
IN
LONDON
35.3
35.0
1965
1966
1917
1968
I N T E R S ! ARBITRAGE, U N I T E D STATES / C A N A D A
Friday figures
.
3-MONTH
TREASURY
BILL
RATES
Per cenl per annum
j
CAN. FIN. CO. PAPER
UNITED STATES
V
CANADA^
—:—I
BILL
RATE
1
!
1
DIFFERENTIAL
1
AND
:
FORWARD
i
1
C A N A D I A N
f
1—
2
DOLLAR
SPREAD .IN FAVOR OF CANADA
FORWARD RATE
DISCOUNT
S ^ O N T H
;
,
:
COVERED
/\
•
1
RATE
,
DIFFERENTIALS
-
,
(NET
1
;
1
INCENTIVES)
,
l
a TREASURY BILLS
PRIME FINANCE PAPER
; FAVOR
1965
1966
U.S.
INTEREST ARBITRAGE, NEW Y O R K / L O N D O N
3-MONTH
TREASURY
BILL
RATES
U.K. LOCAL AUTHORITY DEPOSITS
LONDON
X
NEW YORK
RATE
DIFFERENTIAL
AND
3-MONTH
FORWARD
STERLING
SPREAD IN FAVOR OF LONDON
PREMIUM
FORWARD RATE
/v/>X
RATE
DIFFERENTIAL
WITH
FORWARD
EXCHANGE
COVER
DISCOUNT
(NET
IN FAVOR OF LONDON
INCENTIVE)
aA
IN FAVOR OF NEW YORK
2 33
0
1965
1966
1967
1968
.1.
S H O R T - T f R M INTEREST RATES *
Is-
EURO DOLLAR - LO NOON t
•
1
1
I
1
1
„ ^ A
U.S.
1
- J
L.
:
V - ^ SWITZERLAND
/ f \
•
i !
M
M
I I I j I II
1963
I I
! 1 1 I I II
I
I I I I
1
M
! ! M
! 1 1 1 1 1 II
1 1 1 L
1 I 1 1 •• I I I I 1 I I 1 1 I I I 1 I
1964
V
j
w .
i
I 1 1 1 I i 1 1 ! 1 1 ; i ! 1 ! 1 M
i
: M
I 1 I I I 1 I I I I i 1 I I I I I I I I II
1965
* 3-month treasury bill roles lor all countries except Japan (Average rale on bank loons and discounts)
Switzerland (3-month deposit rale) and Germany (interbank Loan Kate)
f" 3-month rale lor U S dollar deposits in London
JV
1966
1967
:
1 I 2
L O N G - T E R M B O N D YIELDS
Weekly figures
!
NETHERLANDS
SWITZERLAND
r
1
F V V
..
—
^
V
—
>x
x.;
F X..
.
('
^:
GERMANY
£ ' '
-
v
.
EURO-DOLLAR BONDS*
x y
u.s.
1
:
:
: : ! i M
! I
! ! ! : !
M
'! ! !
1963
Average of yields for four foreign government dollar b
New series for Germany Hons 7 9-65
New series for Switzerland starts 3-3-67
1
. !
1
1
! !
1 1
1965
s quoted m London
!
i
i
!
i
1
1
I 1
1
i
1966
i
!
'
M
'1
1
i
I I
1 1 I I
1967
I I
4\
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR
S W I S S FRANC
f
jr
:
! .
GERMAN M A R K }
V
I
U.K. S T E R L I N G
B E L G I A N FRANC
DUTCH GUILDER
FRENCH FRANC
C A N A D I A N DOLLAR
I T A L I A N LIRA
JAPANESE YEN
J
s
D
M
1965
*
Devaluation of the pound sterling from $2 80 to $2 40
J
1966
S
D
M
S
1967
D
M
J
1968
S
0
w
3-MONTH
AGAINST
F O R W A R D E X C H A N G E RATES
U.S. D O L L A R S — N E W YORK
PREMIUM*
GERMAN MARK
/K\
SWISS FRANC
: / / \ h
,
POUND STERLING
DISCOUNTPR EM IUM-*DUTCH GUILDER
\ F R E N C H FRANC
C A N A D I A N DOLLAR
DISCOUNTAG A I N S T POUND STERLING — L O N D O N
Per cent per annum
PREMIUM*
G E R M A N M A R K J,
S W I S S FRANC
U.S. DOLLAR
DISCOUNT
1965
1967
1966
1968
I N D U S T R I A L STOCK INDICES
320 '
i
SWITZERLAND
240
200
GERMANY
120
360
280
JAPAN**
240
V—-
CANADA
200
160
1964
1965
Sw nt Bonk Corporation industrial stock index
Jopon: index of 225 industrial and other stocks traded on the Tokyo exchange
1966
1967
H. 13
No. 336
February 7, 1968.
II.
Latest Figures Plotted in H. 13 Chart Series, 1968
(all figures per cent per annum)
"
Chart 1
(Wednesday,
Upper Panel
Jan. 31
Euro-$ deposit
5.38
U.S. certif., of deposit
Lower Panel
Treasury bills:
)
5. 25
U.S.
Canada
Hire-purchase paper, U.K.
5, 11
5. 22
4.62
5.06
5.44
5 .44
Hire-purchase paper
4,. 71
4,. 77
Chart 3
(Period: . j a n . 24-31
Interbank loan (mid-point)
3,,56
Euro-$ deposit (average)
3,,15
Lower Panel
Forward pound
-2,,59
- :o2
Chart 6
(Friday,
Feb. 2
(Date:
Dec. 15. 1967
Zurich 3-month deposit
Price of gold
(Friday,
Jan. 26
Treasury bills:
35.,198
)
)
Canada
U. S.
Spread favor Canada
6. 15
4. 81
+1. 34
Forward Canadian $
-1.20
Net incentive (Canada +)
+ .14
Canadian finance paper
4. 81
7. 38
6..15
U.S.
U.K.
6. 50
3. 56
Interbank loan rate (German)
(Jan. 24-31)
Euro-$ deposit (London)
.)
5. 44
Zurich 3-month deposit
(Date:
Dec. 15, 1967)
Japan composite rate
(Date:
Oct. 27, 1967)
4. 00
7, 32
Chart 7
U.S. Gov't. (Wed. ,
1
)
5.05
Feb. 1
)
7.19
26
)
6.,62
)
)
)
4. 73
4. 70
6. 71
Jan. 31
U.K. War Loan (Thurs.,
4.,00
Chart 4
(Friday,
Feb. 2
)
Canada
90-day
180-day
Local-authority deposit
Upper Panel
+2.,57
Net incentive (U.K. +)
Treasury bills:
Euro-$ deposits:
7,.38
4,.81
Spread favor U.K.
\
Chart 2
(Friday,
Feb. 2)
)
U.K.
U.S.
5.,19
Feb. 2
(Friday,
Finance co. paper:
Call
30-day
Chart 5
(Friday,
Feb. 2
)
Jan.
Swiss Confed. (Fri.
Jan.
Jan.
., J a n .
19
25
31.
Netherlands Gov't, perpetual 3%
(Friday,
Jan. 19
)
6.09
Euro-$ bonds (Fri.,
7.52
Feb. 2
)
For descriptions and sources of data, see
special supplement to H.13, Number 239,
March 16, 1966.
@FedFRASER