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DIVISION O F I N T E R N A T I O N A L F I N A N C E BOARD OF GOVERNORS F E D E R A L RESERVE SYSTEM H. 13 No. 9h February 8 , 1963 Fir VCAPljTAL MARKET DEVELOPMENTS ABROAD . - i Io Canada I I , Nine Charts on Financial Markets Abroad Io Canadag Money and C a p i t a l Markets During December and January During t h e period under review <> the Canadian d o l l a r has remained strong i n f o r e i g n exchange markets except f o r a b r i e f r e l a p s e s e v e r a l days e a r l y i n February caused by p o l i t i c a l u n c e r t a i n t i e s „ The spot r a t e declined from 92.95 U.S. cents on January 30 t o a low of 9206? cents on February 6 but was a t 92.81 cents on February 8 = Continued s u b s t a n t i a l borrowings i n the United S t a t e s by Canadian l o c a l governments and corporations and the t r a n s f e r of funds borrowed i n October by the Federal Government supported the Canadian currency„ In a d d i t i o n s U.S. s t a t i s t i c s through November suggest t h a t Canada's t r a d e balance with t h i s country has been improving since the middle of 1962. Nonetheless, reserve s t a t i s t i c s f o r December and January i n d i c a t e t h a t the period of r a p i d reserve a c c r u a l s by the Bank of Canada appears to be p a s t f o r the present„ The November 13 cut i n Bank r a t e Has n o t been followed by any appreciable decline i n bond y i e l d s i n Canadian markets„ TieIds have i n f a c t eased only f r a c t i o n a l l y . Government of Canada bonds were about as high i n l a t e January as they were i n l a t e October* (See Table 1») Yields i n l o c a l government and corporate bonds declined only from a UO-bond coverage of 5>»f?l per cent on October 31 t o 5*Ul per cent on January 31° Table 1„ Canada ° Selected S e c u r i t y Yields s Fnd of Month or l a s t Wednesday i n Month ~ [ i n per cent per annum) Federal Governments Treasury b i l l s Bonds s 196U 1967-68 1975-78 1996-98 Other bond y i e l d s : Provincials Municipals Public u t i l i t i e s Industrials Average Oct 0 1 9 6 2 Nov, , Dec, 1963 Jan. Uo27 3.71 3-91 3.65 iw23 L.56 5.11 5.12 3.98 ii.iii 5.06 5-07 ii-00 U.30 5-07 5-07 3.98 It. 36 5-05 5.01 r S.L6 5,63 5-a 5-59 5-39 5.U2 535 5-itii 5-59 5-32 5.38 3%3 5-36 5-5U 5-U3 5.2 9 ISl 531 OFFICIAL USE ONLY DECONTROLLED AFTER SIX MONTHS OFFIGIAL_USEJ^M - 2 - The y i e l d on Treasury b i l l s jumped i n l a t e December to 3=91 p e r cent from a mid-November lew of 3»71 p e r -:-.enb b u t by January 31 had reached 3,6$ per c e n t , Continuing purchases by t h e c h a r t e r e d banks which u t i l i z e d the proceeds from a r u n - o f f of loans accounted f o r the p r e s s u r e on b i l l r a t e s i n January„ The Bank of Canada added, t o i t s s e c u r i t y p o r t f o l i o i n December b u t was a s e l l e r of s e c u r i t i e s during January* i n p a r t t o absorb the p o s t - C h r i s t m a s r e f l o w of currencyo Short-term funds continued to flew i n t o Canadian f i n a n c e paper i n modest amounts during the p e r i o d under r e v i e w . On an a r b i t r a g e b a s i s s the d i f f e r e n t i a l i n favor of the Canadian Treasury b i l l i n December s h i f t e d by e a r l y February i n t o a d i f f e r e n t i a l i n f a v o r of the U0S0 b i l l 0 (See Table 10 and Chart 1-,) During 1962^ Canadian banks appear to have added some (C)$h50 m i l l i o n t o t h e i r non-Canadian d o l l a r (mostly U.S, d o l l a r ) a s s e t s and some (C)$570 m i l l i o n t o t h e i r l i a b i l i t i e s » (See Table 5 0 On the l i a b i l i t y side* non-bank d e p o s i t s rose by n e a r l y (C)$£00 m i l l i o n ^ On t h e a s s e t side* loans and d e p o s i t s with o t h e r banks were sharply higher with c a l l loans i n New York moderately down on the year-o Money market, Canadian short—term money r a t e s dropped a b r u p t l y in the wake of the sharp November 13 c u t i n t h e Bank r a t e , (See Chart 1 and Table 10 o ) From L„09 p e r c e n t t h e week preceeding 3 the weekly a u c t i o n r a t e on 91-day-Treasury b i l l s f e l l to 3,62 per cent on November 15, The b i l l y i e l d p a r t i a l l y recovered to about 3=8 p e r c e n t by the following week,, and* with some s l i g h t f u r t h e r i n c r e a s e 5 held f a i r l y steady a t around 3=9 per centthrough December 0 The r a t e d e c l i n e d g r a d u a l l y but s t e a d i l y during January., and reached 3,6$ per cent by January 31 (see Tables 10 and 11 and Chart- F \ By mid-November5 f o r the f i r s t time s i n c e e a r l y June 5 the spread of the Canadian b i l l (weekly a u c t i o n ) - r a t e over t h e U»S0 Treasury b i l l narrowed t o l e s s than one p e r c e n t . With f u r t h e r d e c l i n e s i n the Canadian b i l l r a t e during January* and a modest r i s e i n the U,S, b i l l rate., t h i s spread narrowed f u r t h e r t o 0 = 72 per cent by the end of January 0 The covered i n c e n t i v e i n f a v o r of the Canadian b i l l was n e g l i g i b l e by the end cf January = (See Table 10 and Chart 1 , ) Canadian f i n a n c e paper r a t e s during November-January followed the f l u c t u a t i o n s i n Treasury b i l l y i e l d s . The uncovered spread between U0S0 and Canadian r a t e s remained around one per cent, f o l l o w i n g t h e mid-November d e c l i n e i n . s h o r t - t e r m r a t e s , The covered i n c e n t i v e i n favor of Canadian f i n a n c e paper f e l l from 0,51 per cent on November 21 tc a - 0 , 0 6 per cent on February I» (See Table 2 , ) - OFFICIAL USE ONLY OFFICIAL USE ONLY - 3 - Table 2 . UoSo and Canadian Finance Paper Rates and Arbitrage Calculation ( i n per cent p e r annum) 90-day Forward u. s . Canada Spread Exchange October 5 26 November 9 16 23 December 7 1U . January h 11 18 25 February 1 5.00 L.25 U.25 3.75 U.00 U.oo U.00 Uo00 Uooo U.00 luoo 3.75 2.50-3.00 2#63-2.88 2.50-3.00 2.50-3*00 2.50-3.00 3.00-3,13 3.00-3,25 3,00.3,13 3.00-3,13 3.00 2.88-3,00 3.00 2.25 - 1,19 1.50 1.00 1.25 0.9L 0.88 0.91 0.9U 1.00 1.06 0,75 -1.68 -lolU -1.01 -0.81 -0.7U -0.71 -o.5U -0.61 -0.81 -0.87 —0.8l —0 081 Net Incentive +0.57 +0.35 +0.U9 +0.19 +0.51 +0.20 +0.3L +0.3; +0.13 +0.13 +0.25 -0.06 Bond marketo Yields on s h o r t - and intermediate-term Canadian Treasury s e c u r i t i e s shared i n t h e g e n e r a l mid-November decline i n Canadian i n t e r e s t r a t e s , but moved up l a t e r i n the month„ (See Tables 1 and 11 and Chart 6 . ) During December and January t h e s e y i e l d s moved s l i g h t l y and i r r e g u l a r l y lower. At the end of January, y i e l d s on Treasury bonds stood a t l e v e l s which were, i n g e n e r a l , only s l i g h t l y above the r e c e n t low l e v e l which followed the mid-November Bank action» (See Table 30,) Yields i n t h e corporate and l o c a l government s e c t o r s a l s o eased moderately during t h e p e r i o d . On January 16, the Minister of Finance marketed a new $350 m i l l i o n i s s u e of two Government of Canada s h o r t - t e r m bonds divided between; $125 m i l l i o n of 3 - 1 A per cent bonds due February 1, I96I45 and $225 m i l l i o n of 3-1/2 per cent bonds due February 1 , 1966 , t o y i e l d U.02 and U.U9 per c e n t . P a r t of t h i s loan w i l l be used to make advances to the Canadian National Railways i n connection with a $250 m i l l i o n debt maturity t o be met i n February and the remainder w i l l be f o r g e n e r a l Treasury purposes. On January 9 , t h e Minister announced t h a t only $12 m i l l i o n of the $UU9 m i l l i o n 5-1/2 p e r cent bond due on A p r i l 1 ( 1 9 6 3 ) w i l l have t o be redeemed f o r cash* Some $U37 m i l l i o n of these bonds were exchanged f o r a 5-1/2 per cent i s s u e due A p r i l 1 , 1976= Borrowings i n the United S t a t e s . As a r e s u l t of Canadian market i n the second half of l a s t y e a r , Canadian l o c a l governments borrowed h e a v i l y i n the U.S. markets, as moderate l e v e l of borrowing during the f i r s t s i x months of OFFICIAL USE ONLY conditions i n t h e corporations and compared with the y e a r . New OFFICIAL USE ONLY -k - Canadian i s s u e s payable i n U.S. funds amounted t o over $700 m i l l i o n during 1962—between f o u r and f i v e times the t o t a l f o r 1961 (see Table 3 ) , according to e s t i m a t e s of A, E. Ames and Company. Total Canadian i s s u e s payable i n U.S. funds during 1962 were estimated a t $81|0 million,, as compared with $130 m i l l i o n i n 1961, by Woods, Gundy, and Company Limited, i n the Canada Gazette (January h , p . 1 6 ) . Table 3° Canada:, Sales of New Government, Municipal, and Corporation Bonds Payable i n U0S0 Funds Time Period Total Year t o Dec. 31 1952 1961 1960 700.7 2 # . 0 ll|.8 .U 28 3 o2 — January 1962 t o 1961 t o I960 to 103-5 117 oil 238.O - June: July 9 July 10 July 13 1962 September October November December Source: 259.9 52.5 212.9 23.5 Gov't. Provincial D i r e c t Guaranteed Corporation 17 o 5 92.0 UU»7 296.5 2f>o0 67:0 110.9 80.3 52.0 1.5 26.U 110.7 25.O 250. Municipal 8.0 15.0 79.0 7,5 26.L 122.0 103.0 91.0 50.3 1.9 1.8 .8 16.0 35.7 133.0 A, E. Ames & Co., "Weekly Bond Sales S u m m a r y ~ I t was r e c e n t l y announced t h a t , the Quebec Ifydro E l e c t r i c Commission has arranged f o r a loan of $300 million—the l a r g e s t loan n e g o t i a t e d by a f o r e i g n group i n the UoS. since the end of World War I , and the l a r g e s t loan ever received by Canadians from the United S t a t e s . The funds w i l l be used t o f i n a n c e the n a t i o n a l i z a t i o n of 11 p r i v a t e e l e c t r i c firms i n Quebec. The i s s u e c o n s i s t e d of 25-year 5 per cent bonds r e p o r t e d l y sold t o y i e l d 5.12 per c e n t ; i t . w a s sold through h0 U.S. investment houses and placed p r i n c i p a l l y with l a r g e l i f e insurance companies, Proceeds of the i s s u e r e p o r t e d l y w i l l be c r e d i t e d t o Quebec i n a s e r i e s of draw-downs over the next s e v e r a l months. In a d d i t i o n , many smaller Canadian borrowers continue t o be a c t i v e i n the New York market. Yields on Canadian local-government and p r i v a t e s e c u r i t i e s have declined i n r e c e n t months by about l / h t o 1/2 per c e nt (see Table U)j but prospective borrowers continue to f i n d a f i n a n c i n g - c o s t d i f f e r e n t i a l i n favor-bf New York i n t h e order of 1/2 per c e n t . OFFICIAL USE ONLY OFFICIAL IEE ONLY - 5>, - During October, trade i n outstanding s e c u r i t i e s between Canada and the U.S a resulted i n a net flow into Canada of approximately $26.8 million• United States r e s i d e n t s were net purchasers of both Canadian ($2U million) and f o r e i g n (primarily U0S0—$3 million) s e c u r i t i e s i n October, During November, however, flows of outstanding s e c u r i t i e s reversed, and Canadians made net repurchases from the U9S<> of both Canadian ($13,1 million) and foreign ($9<>5 million) issues 9 amounting t o a t o t a l of $22-.6 million. No information i s available on s e c u r i t i e s transactions since November. Bank loans and bank liquidity<> General loans of Canadian chartered banks declined somewhat more than seasonally during November and Decembers thus ending an uninterrupted advance (seasonally adjusted) of some two and one-half y e a r s . On an unadjusted b a s i s , a mild decline i n general loans continued through January 11, As loans declined, the chartered banks acquired Treasury bonds and ( p a r t i c u l a r l y in January) Treasury b i l l s , Although somewhat eased from the levels of November and early December, cash reserves remain near the 8 per cent legal minimum0 Continued purchases of Treasury b i l l s moved the liquid a s s e t r a t i o to almost 18-1/2 per cent, well above the agreed minimum of 15 per cent (see Table b)» Table it, ~~ Average of Wednesdays s July August September October November December * January * Average f o r week ending: December 5 12 19 26 January 2 9 16 23 30 Canadian Chartered Banks: Cash Reserves & Other Assets (In millions of d o l l a r s or per cent) ~ Liquid Canadian GovernCash Cash Liquid Asset General Treasure ment Bonds £/ Reserves Ratio Assets Ratio Loans jy B i l l s 1,159 1,151 1,113 1,106 1,113 1*129 1,139 8.20 8.12 8.11) 8.18 8.Hi 8,16 8.13 2,195 2,201, 2,205 2,370 2,1)96 2,502 2,583 15.53 15.56 16.12 17.53 18.25 18.09 18.1)3 6,61)9 6,709 6,718 6,61)9 6,528 6,1)1)5 n.a. 908 987 989 1,119 1,181) 1,112 1,281) 2,212 1,932 1,892 1,893 2.061) 2.201, 2,217 1,106 1,112 1,159 1,11*3 1,13b 1,133 1,11,1, l,lh9 1,137 7.99 8.Oh 8.38 8.26 8.09 8.09 8.16 8.20 8.11 2,522 18.23 2,1)91) 17.96 2,1)79 17.92 2,509 18.11) 2,51)5 18.16 2,500 17.81) 2,536 18.10 2,573 18.36 2,583 . 18.1)3 6,501 6,1)91 6,1.78 6,1)1)5 6,1)1)7 6,387 6,31,6 6,323 n.a. 1,211) 1,192 1,11)1 1,112 1,153 1,168 1,199 1,255 1,281) 2,091) 2,091, 2,198 2,201, 2,198 2,215 2.201, 2,212 2,217 _W Monthly data are f o r the l a s t Wednesday of the month, as of date indicated, V Weekly f i g u r e s are holdings Preliminary Source % Bank of Canada, Weekly Financial S t a t i s t i c s and S t a t i s t i c a l Summary, June 1962, OFFICIAL USE ONLY OFFICIAL US;- ONLY Canadian banks operations i n UoSe d o l l a r s a Non«Canadian~currency deposits iii CanadiaE^banks increased &223 million during the month of October then; folloifing a month of negligible c h a n g e t h e s e deposits declined by $2U0 million in December (see Table ^)= Both of these s h i f t s are probablyexplained by window-dressing operations of banks—the October inflow r e f l e c t i n g window-dressing- operations by Canadian banks which prepare statements a t the end of October s and the outflow over the year=end accounted f o r by a movement to banks outside Canada f o r similar purposes* After declining i n Decembers Canadian banks apparently r e b u i l t t h e i r c a l l loans i n the New York market i n • January» During 19625 Canadian bariks. increased t h e i r foreign-currency l i a b i l i t i e s (probably largely UCS0 d o l l a r s ) by ihcir .v 3 V,50 Table 5. ~ ~ Total Outstanding Dec, I960 Dec. 1961 Dec. 1962 Changes During% 1961: I II III IV 1962: I II III IV Oct. Nov. . Dec. Canadian Chartered Banks2 Non^Canadian-Currency Assets and L i a b i l i t i e s ~ ~ (millions of Canadian d o l l a r s ) ASSETS Deposits w/other Banks Call Loans Securities Other Leans Total 531.5 1,007.3 1,20L,0 81L5 81,3.8 683.7 556.8 672.7 705.2 813.7 1,068,7 1,365.9 2,716.5 3,592.5 3,958.8 + 82.5 +189.2 + 93.9 +110.2 =113.9 f2pl,7 -137.5 + 19.0 +221.1 " 68 e C +149.5 -186,5 -106,2 +236.2 -200.1 +266.8 +121.9 + 89.8 + 55.1 - 20.1 -231.6 +170.1 - 78.5 + 78.6 - 79.9 - 77.2 + 211,.I4 +135;8 "166.5 -151.2 +108.8 - 9.8 =250.2 LIABILITIES Deposits by other Other Banks Deposits Total k6.9 702.5 693.8 2,007.1 2,785.9 3,261.1 2,651.3 3,188.L 3,957.9 - 59.1 + 88,6 + 32.5 +193.0 +130.6 +1*71.3 = 16.9 +138.k + 31.9 +135.7 +111.8 +251,9 +526.2 +171.3 -170.9 +180.7 +509.3 +203.2 -59.1 + lit. 5 + ^,5 +117.2 + 90.0 + 9.8 + 33.6 + 16*6 +162.6 +185,9 - 19.3 +127.1 +319.1 + 33.7 -225.7 +210.6 +327.2 - 78.7 + 19.1 +11*6.1 + 51.0 =178,0 +289.2 +198.1 = 1.2 -•16.6 +222.8 + 0.9 -2140.3 OFFICIAL USE ONLY + 78.6 -129.1 + 77.5 - 35.7 + 76.7 - 50.1 - 62,3 OFFICIAL USE ONLY - 7 - C a l l Loans i n the New York Market, end of Month millions) U.S. a / Foreign Agencies Other c, Total a / Canadian b / Banks Table 6 . Date 1960-December 1961-December 1962: June July August September October November December 1 9 6 3 : January 23 1,196 1,963 1,361 1,01*2 - 1,11a 2,020 r / 2,086 ~ 1,M7 2,618 2,003 20 50 69 Hi UU ; U2 r / 6U 69 75 n.a. 829 809 5U1 173 73U 708 782 706 6& n.a. 819 8# : 610 U87 778 750 r / - 8L6 775 709 763 a / Estimates by New York S t a t e Banking Department. ]b/ Gall Loans, as r e p o r t e d by Canadian banks s converted i n t o U.S. d o l l a r s a t end-of-month exchange r a t e s . c / Residual • r / Revised. Foreign t r a d e . There was no sign of s i g n i f i c a n t improvement i n Canada's commodity t r a d e during the t h i r d q u a r t e r of 1962 5 the l a t e s t a v a i l a b l e s t a t i s t i c s . On a s e a s o n a l l y - a d j u s t e d b a s i s , the t r a d e surplus of $6 m i l l i o n was below the f i g u r e f o r the t h i r d q u a r t e r of 1961. (See Table 7 . ) However, a p r e l i m i n a r y estimate suggests a marked r i s e i n the t r a d e surplus f o r the f o u r t h q u a r t e r , U.S. t r a d e s t a t i s t i c s show t h a t our e x p o r t surplus f o r t h e t h i r d q u a r t e r of 1962 and f o r October and November was below the corresponding f i g u r e s f o r 1961. (See Table 7») Table 7» Canada: Foreign Trade, Quarterly Monthly Average I * 19 6 1 II III IV 19 62 II III I IV 1 . Canadian t o t a l t r a d e (seasonally a d j u s t e d i n m i l l i o n s of Can. $5 Canadian d a t a ) Exports Imports Balance U61 127 "3U 1+76 U9U 505 U71 IE 517 532 "33 $07 U90 ™17 5UU 559 2 . U.S. t r a d e with Canada (unadjusted i n m i l l i o n s of U.S. U.S. Exports U.S. Imports U.S • Surplus 296 23b 62 330 26U 66 301 289 12 332 30U 26 a / ^ Estimated from annual d a t a . b / Two months average. OFFICIAL USE ONLY 308 270 38 392 319 73 " 52U 520 a / $72 a / 520 a / "3F U.S. d a t a ) ; 313 311 2 b / 338 b / 332 6 ~~ OFFICIAL USE ONLY Foreign exchange. O f f i c i a l reserve f i g u r e s i n d i c a t e a l o s s i n exchange r e s e r v e s during December of $68.1 m i l l i o n and- a gain of $123.1 m i l l i o n during January. Special t r a n s a c t i o n s r e f l e c t e d i n these changes include the r e v e r s a l , during December, the $75 m i l l i o n i n r e c i p r o c a l currency arrangements remaining with t h e Federal Reserve System and t h e Bank of England, and r e c e i p t i n January of t h e remaining $125 m i l l i o n i n proceeds of the Government of Canada borrowing i n the U.S. If these s p e c i a l non-market t r a n s a c t i o n s had "hot taken p l a c e , o f f i c i a l r e s e r v e s would have increased approximately $7 m i l l i o n during December and declined about $2 m i l l i o n i n January (see Table 8 ) 0 Table 8 . Canadas O f f i c i a l Holdings of Gold and UoSo Dollars Gold July August September October November December January 669.0 673.8 683.0 688.6 69k.7 702.3 708.5 n.a. UoSo d o l l a r s ' Total (thousands) (US$ t h o u s . ) 1,139.7 1,808.7 l,Wi0.6 2S11U.U 1 S 6U7.6 2,330.6 1,756.0 2,UUUo6 1,919.2 2,613.9 1,905.2 2,607.5 1,830.9 2,539.1 n.a. 2,662.5 Change during period (US $ m i l l i o n ) +708.7 +305.7 +216.2 +llli.O +169.3 - 6.U - 68 ol +123.1 Stock market* Movements i n the Canadian D.B.S. i n d u s t r i a l s index and t h e New York Standard and Poor I n d u s t r i a l s index showed considerable s i m i l a r i t y during December and January<> Both i n d i c e s declined s l i g h t l y i n e a r l y December and required t h e remainder-of t h a t month to recover the s l i g h t l o s s . Both advanced s t r o n g l y throughout January, however, and by January 2h had reached l e v e l s about 5 per cent above those of l a t e November (see Table 9)• Table 9 . Canadian and U0S0 I n d u s t r i a l Stock P r i c e s Average f o r week ending 1962: November 1 8 15 22 DBS I n d u s t r i a l s a / 115.5 118.6 122.3 12L.0 NoYo Standard and Poor I n d u s t r i a l s Jy = 59.36 61.31 62.93 63.55 29 125-5 611.97 December 6 12U.8 65.71 13 123.1; 65.38 20 . 123.3 65.L3 27 12U.7 65.82 1963: January 3___ 126.8 66.28 10 129.6 67.L9 17 129.6 67.99 2k 131.6 68,58 31 n0a0 69.18 a / This s e r i e s i s the r e c e n t l y - p u b l i s h e d DBS index of 76 i n d u s t r i a l s (19*^6=100), and r e p l a c e s the older DBS index of 66 i n d u s t r i a l s (1935-1939= 100) p r e v i o u s l y r e p o r t e d i n Capital Markets Developments Abroad s e r i e s f o r Canada, b / Average f o r the week ended on Friday 0 X - 9 Table 10, Canada; Treasury B i l l Yields and Exchange Rates 3-mo. T r e a s . b i l l a r b i t r a g e c a l c u l a t i o n In 3-mo. f a v o r Can. Canada U.S. DifferCan.# y ence bill c/ ±/ £/ 1962-High Low 1962-July Dec, 19 6 13 20 27 2,98 2.6k 2,93 2,8% 2,85 2.89 2.98 5.51 3.01 5.51 3,81 3.8k 3.9k 3.91 2,59 0.22 2,58 0.97 0,99 0,96 0.93 0.13 -2,1.3 -2,02 —0,67 -o.5k -0.60 -0.61 0.8k =0,11 +0,56 +0,30 +o.k< +0.36 +0.31 Spot Caii.$ (U.S. cents) 95.75 91.73 92.72 93.00 92.0k 92.98 92.8k Finance paper ' 90-179 days 30-89 days • — — «e«o k-l/k-k-" k-k-l/k — —- — — ~ — . 92.86 1.08 . k-l/k 2,86 ~o,5k +o.5k k 3.9k 3 k-l/k 92,6k 0.96 2,89 10 - 0 . 7 k +0.22 k 3.82 92,86 k-l/k -0.8k + 0 . 1 2 2,91 k 17 3.81* 0.93 — - 0 , 6 1 +0,23 92,92 0.8k 2,9k 3.78 2k 92.80 k-k-l/ —0,6k +0.08 3-3/k-k 0,72 2,93 3.65 31 b / Spread between spot and 3-month forward r a t e i n per c e n t a / Thursday q u o t a t i o n s , 0/ Net of d i f f e r e n c e i n b i l l y i e l d l e s s discount on per annum. Discount equals ( - 7 . 3-month Canadian d o l l a r . 1963-Jan. Table H . Selected Government of Canada S e c u r i t y Yields 6-mo<, T r e a s . b i l l s Spread over Canada y U.S. b / 1962-High Low 1962-July Dec, 1963-Jan, 19 5 12 19 26 2 9 16 23 30 Spread Canada over U.S. d/ 1/ Long-term bonds 120 y e a r ) 135 y e a r ) Spread Spread over Canada Canada over U.S. h / e/ U.S. f / &/ 11.73 Intermediate 5,7k 3,18 2.8k 0.19 5.20 k,0k 1,33 0.00 5.7k 3,9k 3.96 k.08 k.oi k.06 3.96 3,98 3,88 3,77 2.59 1,03 1,08 1.17 1.10 1,12 1,02 1,02 0,9k 0.78 5=11 k,k3 k.39 k,39 k.39 k.k8 k.36 k.33 k.37 k.29 1.16 0.83 0.91 0.92 0.97 0.88 0,88 0,78 0.76 1.1)7 0.73 5.20 14.81 1,29 0,86 5.1.8 l,kk 1,16 5.06 1.18 5.06 1,18 5.051.21 5.06 1.21 5.08 5.03 - 1.16 1.17 5.01 1.12 5.00 1,12 li.99 5.15 5.09 5.07 5.07 5.07 5.10 5.02 5.03 5.01 5.01 1,03 1.17 1.16 1.16 1.17 1,17 1.09 1.10 1.03 1.05 a / Average y i e l d a t weekly tender on Thursday. ~~ ~~~ b / Spread between Canadian a u c t i o n r a t e and composite market y i e l d of U.S. b i l l on c l o s e of business Thursday, c / Government of Canada 2-3/k per cent of June 1967-68. d / Spread over U.S. Government 2-1/2 per cent of 1 9 6 3 - 6 8 . e / Government of Canada 3 - l / k per cent of October 1979® 7 / Spread over U.S. Government 3 - l / k per cent of 1978-83. g / Government of Canada 3—3/U per cent of September 1996 - March 1998. Digitized FRASER h / for Spread over U.S. Government of 1995 o jlNTEREST Ithundoy ARBITRAGE, UNITED STATES / CAN ADA I i g u r« t THREE-MONTH TREASURY BILL RATES vvV/Tj/*v-vy RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR EXCHANGE COVER S P R E A D IN F A V O R OF C A N A D A + RATE DIFFERENTIAL WITH FORWARD MET I N C E N T I V E I N F A V O B O F C A N A D A + J 1959 I960 1961 1962 w INTEREST ARBITRAGE/ NEW Y O R K / L O N D O N F r i d o y <i g u r 3-MONTH JRATE P«r t i n | TREASURY DIFFERENTIAL 3-MONTH BILL RATES AND FORWARD | STERLING SPREAD IN 'FAVOR Of RATE DIFFERENTIAL FORWARD LONDON WITH EXCHANGE 1959 COVER I960 1961 1962 pn onnun INTEREST ARBITRAGE FOR GERMAN COMMERCIAL BANKS Friday llguf«« 3-MONTH TREASURY - EURO-DOLLAR m G f S M A N BILLS, DEPOSIT INTtBBANK INTERBANK LENDING RATE AND RATES 10AN BAT! tUIO-DOltAI GERMAN TREASURY B I l l S ^ RATE DIFFERENTIAL INTE8IANK RATE AND FORWARD DEUTSCHE MARK LOAN RATE DIFFERENTIAL HIT INCENTIVE:. V m WITH FORWARD EXCHANGE COVER IN F A V O R OF F R A N K F U R T ( + ) INTERBANK 10AN RATE TREASURY BI11S I960 Note: 1961 Special forward rat# oyoilabte to German commercial banks M62 INTEREST "3-MONTH ARB1TRA GE, TREASURY INTERBANK FRA N K F URT / BILLS LENDING LOND O N AND RATES \ A GERMAN INTERBANK RATE DIFFERENTIAL A N D | - 3 - M O N T H FORWARD STERLING V—/ RATE r DIFFERENTIAL i t i i WITH FORWARD NET I N C E N T I V E O F U N I T E D K I N G D O M OVER t A /\ i EXCHANGE i i COVER GERMAN TREASURY BIllS -L u, GERMAN INTERBANK LOAN RATE SHORT-TERM INTEREST RATES * / V CANADA 1958 1959 1961 3 month Ireoiury bill rotei lor all countnei e.cepi Japan (3 monlh interbank depoiil role) and Switzerland (3 month deponl role) 3 month rate lor U S dollar depoiili in London \5 LONG-TERM BOND YIELDS INDUSTRIAL STOCK INDICES" 1962 Note: Japan' Index of all itocki traded on Tokyo exchange \ 1 S P O T E X C H A N G E RATES - MAJOR CURRENCIES AGAINST U.S^ DOLLAR 3-MONTH FORWARD 'AGAINST U. S. [AGAINST POUND EXCHANGE DOLLARS STERLING MtEMIUW* AGAINST POUND RATES - LONDOJ± GERMAN STERL N G - LONDON DUTCH FRENCH MARK GUILDER F R A N C j% ,1
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