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• OARO OF «OVE*NO*S
Diva ION or INTKKNATIOMAL FINANCE
H.13
July 10, 1961
No. 15"
^
gAriTM
MonurTnrvri nrwriiTi »nrrrnn
I. Canada
II. United Kingdom
III. Nine Charts on Financial Markets Abroad
I. Canada: Money and Capital Markets During June
Canadian financial markets reacted sharply to the expansionary budget
for I96I-62 introduced on June 20 and to the public dispute between the
Canadian Finance Minister and the Governor of the Bank of Canada over monetary and fiscal policies. Within two weeks' time, the short-term Treasury
bill yield declined 50 basis points and longer maturities were down about
25 basis points, even though a new Government issue was delivered to the
market earlier in the month.
At -the same time, the exchange rate declined sharply. / The
Canadian dollar went to a discount of about 3 per cent against the U.S.
dollar after the Finance Minister announced that "it will be government
policy to facilitate a movement" of the exchange rate "to a significant discount." , For this purpose, the Exchange Fund will "add substantial amounts
of holdings of United States dollars through purchases in the exchange
market" and will thereafter keep the rate "within a range appropriate to
Canada's changing economic situation."
The strongly expansionary Government program combines a large
budget deficit with a monetary policy designed to reduce the spreads
between Canadian and foreign interest^rates. The Finance Minister aims "at
replacing, from Canadian sources, an equivalent amount of funds that would
otherwise have been raised abroad." He also announced several steps
designed to lower Canadian interest rates by reducing capital market uncertainties through improved debt-management .procedures.
Money market. Money rates dropped sharply in mid-June following
indications of easier money policies and large deficit financing. The
average yield on the 3-month Treasury bill declined 50 basis points between
June 8. and June 22; at 2.55 per cent the bill yield was the lowest since
mid-October of I960. The 6-month bill declined 60 basis points between
June 1 and June 22 and was at 2.70 per cent on June 22 (see Table).
Average closing rates of day-to-day loans declined from 2.73 per cent at
end-May to 2.38 per cent.
The chartered banks. purchased $82 million of Treasury bills
during the month while the Bank of Canada sold $7h million and the public
sold $56 million. Maturing one-year Treasury bills amounting to $50 million
were retired during the month.
NOT FOR PUBLICATION
DECOMTBOUED AFTEB SIX MOHTES
I
NOT FOR PUBLICATION
- 2-
Spreads between Canadian and U.S. short-term rates narrowed with
the sharp decline in Canadian yields • The average yield on the Canadian
3-month bill exceeded the yield on the U.S. bill by 2k basis points on
June 22 compared with 77 basis points on June 1. However, after remaining
stable for five straight weeks the net incentive to hold the Canadian bill
rose to 0.50 per cent per annum last Thursday after the forward Canadian
dollar shifted from a discount to a premium (see Chart and Table).
Bond market. Bond yields declined substantially in mid-June
following the announced; Government policy of reducing interest rates to
discourage foreign capital inflows (see Chart and Table). During the month,
yields on medium- and long-term bonds were down as much as 28 basis points.
The October 1962 bond, which fluctuates erratically because it may be exchanged at any time for a 5-1/2 per cent, 1975 bond, declined over 1 per cent
in June. Most bond yields fell below the lows of last February and some
went below the levels of last October 27 (I960):
Maturity
Oct. 1962
Sept. 1965
Jan. 1975-78
Sept. 1983
I960 ,
Oct. 27 .
3.U3 ,
U.52
5.10
5.19
Feb. ,23
3.07
h.hl
5.07
5.09
1961
April 27
June 22
3.81
U.8o '
5.26
5.31
2.08
U-55
5.00
U.93
These yield declines narrowed the yield spread in favor of
Canadian over U.S. securities. Present spreads are the narrowest in eight
months. Changes in spread between selected comparable Canadian and U.S.
securities in June were:
May 31
91-day bill
182-day bill
8-year bond
20-year bond
35-year bond
0.77
0.70
0.96
1.36
1.U3
June 22
0.21;
0.19
0.61
0.93
1.23
Change during
period
-0.53:
-0.51
-0.35
-0.U3
-0.20
The new Government security issue announced last month (see Capital
Market Developments Abroad, June 12, 1961) was delivered in June and the
supply of bonds on the market rose about &II4.6 million. Holdings of Government bonds by the chartered banks, general public, and Bank of Canada all
rose by substantial amounts in June because of this issue (see Table).
According to A. E. Ames & Co., there were relatively few new
issues placed on the market in the first three weeks of June. Only $88
million of flotations .other than Government of Canada occurred of which
$11 million were^gold in the U.S. The Government issued $360 million of shortterm Treasury bills.
NOT FOR PUBLICATION
NOT FOR PUBLICATION
Jan. 1May 29
1. Government of Canada
Less short-term
Long-term issues
2. Other issues
3» Net long-term issues
Of which, sold in
United States
- 31961
May 29June 19
3,UU5
2,526
919
U80
U80
0
891
_98
1,810
98
106
11
Canadian budget and cash requirements> The Canadian Government
submitted a budget for the current fiscal year to the Parliament this month
with a $650 million deficit and with net nonbudgetary spending of $330
million. Thus, total new cash requirements will be about $1 billion compared with less than $300 million last year. The Treasury will also have
to refinance a maturity of $720 million in December 1961 and $53 million in
February 1962.
The Minister of Finance announced the Government's intention to
reduce Canadian interest rates through improved debt-management practices
and easier credit availabilities. Three changes in debt operations were
introduced to help steady the market. In the first place, to relieve
pressure on long rates, the Government announced its intention to continue
to borrow in the short end of the market in the next few months. Secondly,to reduce forced sales to make unemployment payments, the Unemployment
Insurance Fund holdings of marketable securities (about $2li5 million) are
to be converted into nonmarketable issues. Thirdly, a bond Purchase Fund
is to be established to provide for the orderly retirement of Government debt.
It is expected that these measures will steady the market and
remove fears and uncertainty regarding purchases and sales through the
Government accounts. Over the past year when interest rates rose there
was a large expansion in the money supply and a sizeable shift on the part
of the public away from security holdings into currency and deposits. Public
holdings of liquid assets, largely currency and deposits, rose $925 million
over the last half of I960 while interest rates were rising. These changes
in liquidity preference were brought about by a new large long-term Government issue in September I960 and uncertainty regarding debt-management
policy later in the year. However, in spite of improved debt-management,
new cash requirements to meet Government and non-Government needs in the
coming period of expansion will put pressure on the capital markets.
General bank loans and money supply. General bank loans seasonally
adjusted rose $U0 million in early June following a decline of $12 million
in the April-May period. The rise reflects in part the lowering of the ;
prime lending rate from £-3A per cent to 5-1/2 per cent on May 30. For the
first six months of the year, general loans rose $118 million or 2.3 per cent
(see Table).
NOT FOR PUBLICATION
NOT FOR PUBLICATION
-
h
-
Money supply seasonally adjusted rose about $h0 million over
the 6-week period ending in mid-June. During this period bank liquidity
- has increased some with liquid assets rising from a 17.3 per cent average
in.4pril to 17.7 per cent in May and 18.3 per cent over the first two
weeks of June (see Table).
Foreign exchange. The spot rate on the Canadian dollar fell sharply
in mid-June with the announcement of the Government's intention to reduce
the value of the Canadian dollar through the intervention of the Exchange
Fund. No target rate was set but the Government did indicate that the
appropriate rate might be a substantial discount for the Canadian dollar
against the United States dollar. After remaining relatively steady over
the last few months at about 1 per cent above the U.S. dollar, the Canadiandollar fell to a discount of 3 to U per cent in late June, the lowest
level since November 1951. There was heavy activity on the market and the
spread between buying and selling rates in the New York market widened to
3/8 of one cent from the normal spread of 1/32 of a cent, reflecting market
uncertainties. Later in the last, week of June the rate fluctuated narrowly
around 97 U.S. cents.
Previous to this, the Exchange Fund was used primarily as a
mechanism to smooth out large daily fluctuations. The size of the Fund's
foreign exchange holdings has not changed over recent years and maximum
monthly variations have been on the order of $100 million, less than 10
per cent of total holdings. The Minister indicated that the ultimate rate
would be dependent upon unrestricted supply and demand factors, but with
lower interest rates a lower exchange rate is anticipated.
With the sharp fall in the Canadian dollar, the 3-month forward
rate moved from a discount to a small premium and has fluctuated near flat
since that time. During the last two months, a discount of close to 0.50
per cent per annum prevailed. On June 22, the premium was 0.26 per cent per annum.
Stock exchange. The price of industrial stocks on the Canadian
exchanges tended to level off in June after rising steadily since last
October, about parallel to movements in the U.S. exchanges (see Chart). By
mid-June industrial stock prices in Canada were about 3U per cent above
October levels, compared with a rise of 23 per cent in the New York index.
A comparison of these changes with the New York Standard & Poor Index follows:
DBS
New York
Standard & Poor
October 6
21*6.1
56.63
December 29
275.9
61.27
May 25
332.2
70.23
June 1
330.1
70.53
8
328.7
70.71
15
329.7
69.62
The total volume of stock sales on the Canadian exchanges declined
somewhat in June to an average weekly level of $11 million in the first 3 weeks
of June compared with an average of $18 million a week in May.
NOT F0RPUBLICATION
-5-
Selected Canadian Money Market and Related Data
3-*o• Treas. bills
Canada
Spread
u.sj/ over U.S.
I960 - High .
Low
1961 - High
Low
5.1U
1.68
3.3U
2.55
U.53
2.10
2.5U
2.17
1.62
-0.82
1.10
0.2L
y
Net incentive to
hold Can.
billSA
Canadian dollar
)-mo. discount
forward premium(+%y
105.27
100.33
101.72
97.17
0.99
-0.91
0.26
-0.56
' ——
1.99
-0.57
0.89
0.22
May 18
101.28 101.1L
2.32
0.8U
0.29
3.16
-0.55
0.26
2.U2
0.72
25
101.33 101.20
-0.U9
3.17
June 1
0.22
101.19
0.77
101.33
-0.55
3.1b
2.37
8
0.26
0.69
101.25 101.1U
2.36
-0.U3
3.05
2.60
0.28
100.Ul 100.28
0.22
2.32
-0.50
15
22
0.26
G.%k
2.55
2.31
97.21
0.50
97.17
4>
a/ Average yield at weekly tender on Thursday.
b/ Composite market yield for the U.S. Treasury bill on Thursday oloee of business.
f
c/ In U.S. cents*
d/ Spread between spot rate and 3-month forward Canadian dollar on Thursday
V closing, expressed as per cent per annum.
i
*/ Spread over U.S. Treasury bill (column 3), plus 3-month forward discount or
A premium (column 6).
i
'
.
/
;
Selected Government of Canada Security Yields •
sy
s
t<
^.
6-mo. Treas. bills
Spread
t
y
I960 - High
Low
1961 - High
Low
5.33
1.99
3.63
2.70
Intermediate
bonds (8 yr.)
Spread
c
1.37
-0.86
1.15
0.19
.
•
Long-terfa bonds
(20 year)
(35 year)
i r
5.55
U.09
U.75
U.55
l.ll
0.21
1.16
0.61
5.U2
U.63
5.19
U.87
1.36 •
0.85
1.U0
0.93
-5.28
iw68
5.2S
5.02
May 18
1.10
0.89
5.12
1.38
5.08
4.70
3.3U
0.80
0.96
25
5.10
5.15
U.73
1.35
3.35
June 1
0.96
0.70
1.36
5.09
3.30
5.15
U.75
8
0.81
g.lU
3.18
1.27
5.10
0.57
U.7U
0.27
1.18
15
0.87
2.75
5.08 '
U.73
5.05
22
0.61
2.70
0.19
U.87
5.02
U.55
0.93
Average yield at weekly tender on Thursday.
r
Spread between Canadian auction rate and composite market yield of U.S.
bill on close of business Thursday#
0/ Government of Canada 2-3A per cent of June 1967-68.
3/ Spread over U.S. Government 2-1/2 per cent of 1963-68*
e/ Government of Canada 3-lA per cent of October 1979*
7/ Spread over U.S. Government 3-l/U per cent of 1978-83.
d Government of Canada 3-3A per cent of September 1996 - March 1998*
Spread over U.S. Government of 1995#
1.61
0.95
1.59
1.23
1.52
1.1*5
1.U3
l.3k
1.33
1.23
NOT FOR PUBLICATION
^
-
6
-
II, United Kingdom: Money and Capital Markets During June
Adverse economic trends in the British economy continued to unsettle financial markets in June. Yields in both money*and capital markets
rose further during the month as the financial community became increasingly
anxious about the near-term outlook0 It is expected that the "economic
regulators" presented in this year's budget may be introduced as soon as
the Finance Bill becomes law about the third week of July as part of a
program to relieve the build-up of demand pressures in the domestic economy
and to halt the external pressures on the pound-sterling0
The outflow of short-term funds continued in June and is considered in financial circles to be substantial although there are no reliable
official figures. A sharp increase in the discount on 3-month forward
sterling reflected the general uncertainty. Because of the wider forward
discount, there is now a substantial incentive to hold the United States
Treasury bill rather than the British bill, even though bill yields are much
higher in London.
Industrial prices on the London stock market have declined
sharply in recent weeks from a mid-May peak of 366 to 308 on July £. A
large number of new capital issues has contributed to market weakness.
Private credit continued to grow. The London clearing banks continued'to
expand advances to the private sector and to sell British Government
securities from mid-May to mid-June. Outstanding installment credit increased again in May for the third successive month in response to the
relaxation of restrictions in late January. The total debt is now only 2
per cent below the peak achieved in July I960, the last month before
restrictions were introducede
Money market. Money market rates continued to show a slight rise
in June. The yield on the United Kingdom Treasury bill rose from luUU
per cent in early June to ho5k per cent by the end of the month (see Table
and Chart 2). This rise reflected the expectation in the London banking
community of an imminent rise in Bank rate to slow down rising demand
pressures on domestic resources and to bolster foreign confidence in sterling.
However, there was no Bank rate adjustment in June.
The spread between U.K. and U.S. Treasury bill yields widened
from just Under 2 per cent early in June to 2.27 per cent by June 30.
Nevertheless, the incentive to move funds on a covered basis turned in
favor of New York during the first week in June and, with the sharp rise in
the discount on 3-month forward sterling, increased to 1.1*2 per cent by
..
the end of the month (see Chart 2).
Government securities market. The decline in prices on British
Government securities, which has continued almost unceasingly since the
final quarter of I960, accelerated somewhat in June. Yields on undated
securities rose sharply with 3-1/2 per cent War Loan reaching 6.6U per cent
by the end of the month (see Table and Chart 6). Short- and medium-term
NOT FOR PUBLICATION
NOT FOR PUBLICATION
- 7 -
yields also rose and were well above 6.35 per cent in late June. The continuing weakness in the Government securities market is due to a combination
of interconnected factors, including (a) small sales in a market in which
purchasers are very few; (b) the poor foreign -trade accounts and, in
particular, the U-l/2 per cent decline in exports over the three months
March through May; (c) the continuing outflow of short-term capital which,
in the absence of reliable statistics, is considered in the market still
to be of sizable proportions; (d) the expectation of general restrictive
measures by the authorities; and finally (e) the possibility of a substantial
volume of sales by institutional holders of Government securities when the
1
Trustee Bill'becomes law.
The British Aluminum Company has made the equivalent of a &L.7
million issue on the Swiss capital market to help finance its development
both in and outside the United Kingdom. The issue is an unsecured U.25 per
cent stock with a maximum maturity in 15 years, offered at par. In I960
the British Aluminum Company raised £l+ million in Switzerland on a U.50 per
cent stock. There have been only two other issues in Switzerland by
British companies in recent years.
New capital issues. New capital issues on the London market (excluding Treasury operations) during the first five months of 1961 totaled
£2U0.2 million compared with issues over the same period of I960 of £21iu5
million. Total new issues were broken down as follows (in millions of pounds):
Borrowers
1958
United Kingdom
Overseas
Total
132.0
3U.2
166.2
First five months of
I960
1959
191.7
25.8
217.5
188.2
26.3
211u5
1961
2iU;9
25.3
21*0.2
During May new issues for companies resident outside the United
Kingdom amounted to over £2U million. The high level of new capital issues
so far this year reflects## fact that industry's capital spending is
high and rising at atWrwhen profit margins are lower and tax charges
higher.
^
Clearing bank statistics. Loans of the London clearing banks
to private customers continued to rise in the month mid-May to mid-June by
£52 million to £3,U26 million. Sales of British Government securities by
the clearing banks were £22 million and the liquidity ratio rose to 32.2
per cent in mid-June from 31.5 per cent in mid-May. Recent figures for
the clearing banks are as follows (in millions of pounds):
/Jul rUH PUBLIC AT ION-
NOT FOR PUBLICATION
Total
"""1958
-Change
1959
1960
1961
Private
advances
June
to:
-June
- June
- April
May
June
Investments^
Liquidity
ratio
1,958
2,181
32.8
5Ul
571
280
2U
52
- 369
- U36
- 263
- 7
- 0.6
+ 0.6
-
22
— 0*8
-.0.5
+ 0.7
Installment credit. The total debt outstanding on installment
credit rose by £10 million in May to £9U9 million. This is the third
successive monthly increase in the debt since the partial relaxation in
restrictions on January 20 and the total is now only £22 million below the
all-time peak of July I960. Financehouse credit, principally
for motor v e h i c l e
financing, accounted for the rise. Recent
figures in installment credit outstanding are (in millions of pounds):
Household
goods stores
1959 - July'
i960 - July (peak)
December
1961 - March
April
May
273
332
325
312
308
306
Finance
houses
U69
639
610
622
631
6U3
Total
Change
7U2
971
935
93U
939
9U9
+ 229
- 36
1
+ 5
+ 10
Building societies. There was a slow down of receipts to building
societies during I960 as competing investment media absorbed a greater
volume of new funds. The total of share, deposit, and loan capital of
building societies increased in i960 by £206 million compared with a rise of
£276 million in 1959. The average over-all rate of interest on shares was
3.37 per cent (tax-paid) compared with 3.U3 per cent in 1959, while the
average mortgage interest was 5*89 per cent compared with 5*98 per cent in
1959• The recent increases by most building societies in the interest
rates on shares and loans should raise the level of rates for 1961 well
above those of 1959. In i960 there were 2.35 million borrowers with an
average mortgage debt of £1,112.
Foreign trade balance. Although the trade balance narrowed in
the three months, March through May, due to a 5-1/2 per cent decline in
seasonally adjusted imports from the level of the preceding three months,
the U-l/2 per cent decline in exports over the same period continued to
emphasize Britain's weak foreign trade position. Recent monthly averages
of seasonally adjusted trade figures (in millions of pounds) were:
NOT FOR PUBLICATION
NOT FOR PUBLICATION
-
-
I960 - I
II
III
IV
1961 - I
April
May
- 9 -
Exports
Reexports
Imports
Trade
balance
305
295
29CL
295
309
306
283
10
11
13
12
12
12
12
369
375
385
390
385
35U
366
- 5U
-69
- 82
- 83
-6k
- 36
- 71
Foreign exchange reserves. Official reserves of gold and convertible currencies fell by £kl million in June for the fifth monthlydecline in succession. This brought the level of reserves down to £990
million, the lowest level since March i960. Part of the decline (£7 million)
was due to special capital payments to the now-defunct European Payments
Union and to the United States. Much of the remainder of the outflow was
the result of short-term funds being withdrawn because of the generallyunfavorable economic position of Britain. Presumably, much of the outflow
is not recorded in the official figures because of intercentral bank
credits afforded to Britain.
Foreign exchange rates. Heavy sales of spot sterling, especially
in continental centers, forced the rate below 279 U.S. cents in early
June (see Table and Chart 8). After the middle of the month, the spot rate
fluctuated between 278.70 and 279*05 U.S. cents with (according to the
financial press) heavy Bank of England support. There has also been press
comment on the possibility of Bank of England operations in the forward
market. The per annum discount on 3-month forward sterling increased
sharply during June with the rate against the U.S. dollar on June 30 at
3.69 per cent and that against the German mark at $.86 per cent (see Table
and Chart 9) • Recent premiums on 3-month forward currencies against the
pound are as follows1 (in per cent per annum):
1961
January 6
April 7
June 30
U.S.
dollar
German
mark
Netherlands
guilder
1.07
1.88
3.66
1.62
3.60
5.86
2.31
U.lh
6.11
Swiss
franc
z
'
2.08
3-76
5.06
Stock market. Prices on the London stock market continue to
decline with the Financial Times industrial index dropping by 13 per cent
since early May (see Table and Chart 7) • The falling prices reflect fears
of investors concerning the possible introduction of further restrictions
on home demand, the uncertain external economic position and the increasing
supply of new capital issues in the market.
NOT FOR PUBLICATION
NOT FOR PUBLICATION
- 10
The shares of the Banque de Paris et des Pays-Bas, Farbwerke
Hoechst, Kundendreditbank and several other European undertakings are
soon to be offered on the London stock market.
British Commonwealth Section.
III. Nine Charts on Financial Markets Abroad
Chart 1 - Interest Arbitrage U.S./Canada
Chart 2 - Interest Arbitrage New York/London
Chart 3 - Interest Arbitrage New York/Frankfurt
Chart U — Interest Arbitrage Frankfurt/London
Chart _5> - Short-term Bond Yields
Chart 6 - Long-term Bond Yields
Chart 7 - Industrial Stock Indices
Chart 8 - Major Currencies in Terms of
Spot United States Dollar
Chart 9 - 3-month Forward Rate—London Quotations
United Kingdoms
Date
- 11 -
Treasury Bill Yields and Exchange Rates
Discount
3-mo. Treasury bill
. Differ- on 3-mo»
U.K.®/ UoS Jy
sterling®/
ence
Net
incentive
to hold .
U.S. bill*/
Exchange rate
Spot
sterling
Discount
on 3-mo.
sterling^/
I960 - High
Low
1961 - High
Low
5.68 ' 1,95
2.13
2.05
2.52
h.5k
2.18
h.17
3.63
-O.8I1
2.27
1.88
(P).6k
2.33
3.69
0.79
1.95
- .23
1.13
-I0U2
281.58
279.83
280.73
278.73
May 5
12
19
26
June 2
-9
16
23
\ 30
2.18
h.37
2.22
I1.32
li.lil
2.29
2.39
k.kk
2.U7
k.kk
2.35
k.k7
U.50
2.33
1.53 , 2.29
2.27
k.5h
2.19
2.10
2.12
2.05
1.97
2.12
2.17
2.25
2.27
1.82
1.76
1.70
1.76
1.93
2.22
2.U8
3.20
- 3.69
0.37
0.3l
0oU2
0.29
0.0k
-0.10
-0.31
-0.95
-1.U2
279.61
1.27
279.19
•1.23
279.22 t 1.19
279.17
1.23
279.09
1.35
279.98
1.52
279.73
1.73
278,82
2.23
278.82
2.57
a/
3/
0/
d/
e/
"f/
' 1.6U
(P).k7
2.57.
0.55
Average yield at Friday weekly tender.
Closing market yield for Friday in New York.
Spread between spot and forward rate in per cent per annum.
Net of difference in bill yield less discount on 3-month sterling.
Spot rate in New York market in U.S. cents.
Spread between spot and forward rates in U.S. cents•
United Kingdoms Selected Capital Market Yields
6-year
bond*/
l5-year
bondfi/
War
loan®/
Corals
Share, Yield
yields/
Share .
prices#/
I960 - High
Low
1961 - High
Low
6.11 __
k.93 1
6.37
5.95
6.00
5.33
6.kk
5.97
5.9k
5.-53
6L(%
5.95
5.70
5.02
6.15
5.7-0
k.96
3.7k
U.87
k.22
l.k9
0.63
1.75
0.97
228.6
29k.6
365.3
308.5
May 5
12
19
26
June 2
9
16
23
30
5.99
5.95 5.97
6.05
6.09
6.15
6.15
6.26
6.37
6.13
6.13
6.13
6.18
6.19
6.25
6.25
6.33
6.kk
6.19
5.9k
6.20 , 5.9k
6.23
5.98
6.28
6.08
6.08
6.33
6.U1
6.17
6.1|1
6.17
6.32
6,53
6.6U
6.k5
U.30
k.22
ho 33
k.33
k.53
k.58
k.73
k.83
U.87
1.6k
1.72
1.65
1.75
1.55
1.59
l.kk
l.k9
1.58
359.1
365 0 3
357.3
356.3
3k2.0
3kl.8
331.0
327.2
322.8
a/ 5-1/2 per cent Exchequer, 1966.
~
¥/ 3 per cent Savings Bond 1965-75.
c/ 3-1/2 percent War Loan (undated).
<V 2-1/2 per cent Consol (undated)
e/ Financial Times,
T/ Difference between yield on 2-1/2 per cent Consols and share yield.
5/ Financial Times.
INTEREST A R B I T R A G E ,
Thursday figures
:
UNITED S T A T E S / C A N AD A
T H R E E - M O N T H TREASURY
BILL RATES
CANADA
/
'
"
.
. UNITED STATES
RATE D I F F E R E N T I A L A N D
FORWARD
CANADIAN
DOLLAR
L?J.
i SPIIAD IN FAVOI OF CANADAf +
:
Vvl
I R A T E DIFFERENTIAL W I T H
F O R W A R D EXCHANGE COVER
i
NET INCENTIVE IN FAVOI OF CANADA +
v
INTEREST A R B I T R A G E ,
NEW
YORK
/
LONDON
Friday figures
Per cent per annum
3 - M ONTH
T R E A S U RY B I L L R A T E S
v
„r
w
/ "1
1 1
i
i
I I
1
! _ J
r IN—"
/ _ _ L L /A
- ^
1
1
YjV\
1
\
\
1k
V
NEW ro*K \_ t
1
1
I
I
-
1
1
1
1
1 1
1
1
RATE D I F F E R E N T I A L A N D
3-MONTH
FORWARD
RATE D I F F E R E N T I A L
STERLING
WITH
FORWARD EXCHANGE COVER
1959
1960
1961
I
I I
1
1
t o t ,
3-MONTH
GERMAN
TREASURY
3-MONTH
NEW
BILL
Y O R K / F R A N K f U R J
RATES
AND
INTERBANK
LOAN
RATES
GERMAN 3 - M O N T H
INTERBANK L O A N RATE
GERMAN 3 - M O N T H
TREASURY BILLS
U.S. TREASURY BILLS
RATE
DIFFERENTIAL
AND
FORWARD
DEUTSCHE
MARK
SPREAD I N F A V O R OF FRANKFURT
1 L O A N RATE
FORWARD RATE DISCOUNT {.—}
RATE
DIFFERENTIAL
WITH
FORWARD
EXCHANGE
COVER
NET I N C E N T I V E :
1
I4
I N F A V O R OF FRANKFURT < + )
Uj-A
IN F A V O R OF NEW YORK < - )
Noll:
Special forward dollar role (.either flat or premium on spot) available to German commercial bankt.
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
3 - M O N T H TREASURY BILLS
— A N D L E N D I N G RATES
/ "
LOAN BATE
TREASURY (ILLS
TREASURY BILLS
RATE D I F F E R E N T I A L
AND
FORWARD
STERLING
SPREAD IN FAVOR Of UNITED KINGDOM BILLS OVER:
GERMAN
\
INTERBANK \
LOAN BATE
3-MONTH FORWARD STERLING
PREMIUM+ 08 DISCOUNT-
RATE D I F F E R E N T I A L W I T H
•\A
LOAN RATE
FORWARD
EXCHANGE
COVER
S H O R T - T E R M I N T E R E S T RATES *
3-month trtoiury bill rotes for oil countries except Jopon (3-month interbank deposit rote)
and Switzerland (3 month deposit rote).
0
LONO-TIRM
ftOND
YIELDS
CANADA
IWITZIIIAND
^ ^ i i t . I L ill 1 ' I
Mil
1110
I l i i i. I i,l i^\y\
i Hi
INDUSTRIAL
STOCK
I N D I C E S / *
GERMANY
/
V.
(j)
SWITZIRIANI
4M
/
y
v
1
f "•
'
'
1 '
'
1 1 1 1 1
/
JAPAN y Z
U.S.
- ~ s
V X V ~ v ~ . z-X
,-
Z
CANADA,
-A_A, 1 I I i i I l l 1
195 8
1 1 1 1 1 1 1 11 11 11 1 1 1 1 I I l^u
1959
*
I960
__
Note:
Japan: Index of all ilock» traded on Tokyo exchange.
1941
\V
M A J O R C U R R E N C I E S I N TERMS OF THE SPOT U. S. DOLLAR
PI * CENT
Above
I
y\
por
1*0
3-MONTH
FORWARD
RATES - L O N D O N Q U O T A T I O N S
PREMIUM +
SWISS FRANC
PREMIUM +
FRENCH FRANC J
1961
@FedFRASER