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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 ^ ^ No. 251 BOARD O F G O V E R N O R # J u n e 8 , 1966 1 CAPITAL MARKET Q|=VFI nPUFKg$_ABROAD I. II. I. Ten C h a r t s on F i n a n c i a l M a r k e t s Abroad L a t e s t F i g u r e s P l o t t e d i n H.13 C h a r t S e r i e s , 1966 Ten C h a r t s on F i n a n c i a l M a r k e t s Abroad Chart Chart Chart Chart Chart Chart Chart Chart Chart Chart 1 - New York, London, M o n t r e a l : Y i e l d s f o r U.S. D o l l a r I n v e s t o r s on 3-month Funds 2 - London: Y i e l d s f o r U.S. D o l l a r I n v e s t o r s on 3-month Funds 3 - I n t e r e s t Arbitrage: Frankfurt/London, Zurich/London 4 - I n t e r e s t A r b i t r a g e : New York/Canada 5 - I n t e r e s t A r b i t r a g e : New York/London 6 - S h o r t - t e r m Bond Y i e l d s 7 - L o n g - t e r m Bond Y i e l d s 8 - Spot Exchange R a t e s - - M a j o r C u r r e n c i e s A g a i n s t U.S. D o l l a r 9 - 3-month Forward Exchange R a t e s 10 - I n d u s t r i a l S t o c k I n d i c e s Europe and B r i t i s h Commonwealth S e c t i o n OFFICIAL USE ONLY ( D e c o n t r o l l e d a f t e r s i x months) NEW YORK, LONDON, MONTREAL! YIELDS FOR U.S. DOLLAR DOLLAR DEPOSIT INVESTORS O N 3 - M O N T H FUNDS RATES: NEW Y O R K . L O N D O N EURO DOLLAR D E P O S I T 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 D E P O S I T FINANCE CO. PAPER RATES ( c o v e r e d ) . QUOTED IN NEW YORK CANADIAN FINANCE COMPANY U.K. HIRE PURCHASE U.S. FINANCE COMPANY Sept. Mar. 1964 Dec. Mar. Jea. 1965 Sept. Dec. Mar. !••. 1966 Sept. Dec. NDS L O N D O N : YIELDS FOR U . S . DOLLAR I N V E S T O R S O N 3 - M O N / EURO D O L L A R D E P O S I T RATES fp DAY 1 8 0 DAY - 3 0 DAY— CATL 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 ) EURO DOLLAR DEPOSIT HIRE P U R C H A S E r T DIFFERENTIAL fOR HIRE P U R C H A S E FAVOR E U R O D O L L A R LOCAL AUTHORITY DEPOSIT EURO-DOLLAR DEPOSIT r DIFFERENTIAL FAVOR LOCAL AUTHORITY ; 1964 1965 AV0R EURODOLLAR 1966 (Interest a r b i t r a g e : FRANKFURT f r _ a n k f u r t / l o n d o n , INTERBANK LOAN RATE V S . z u r I C H / l o n d o n LONDON E U R O - D O L L A R~R A T E ( C O V E R E D ) IN TERMS OF DM I N T E R B A N K LOAN R A T E EURODOLLAR r T DIFFERENTIAL FAVOR EURODOLLAR ZURICH DEPOSIT RATE VS. LONDON I EURO DOLLAR I RATE IN (COVERED) TERMS F O \ / SWISS FRANCS EURO-DOLLAR S W I S S DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOFL EURODOLLAR H PRICE OF G O L D IN L O N D O N 35.2 1964 1965 1966 INTEREST ARBITRAGE, 3-MONTH TREASURY UNITED STATES/CANADA BILL RATES 6 CAN. FIN. CO. (PAPER 4 CANADA ^ ^ UNITED STATES BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR S P R E A D IN F A V O R O F C A N A D A PREMIUM \ — DISCOUNT FORWARD RATE 3-MONTH COVERED RATE DIFFERENTIALS (NET INCENTIVES) FAVOR CANADA PRIME FINANCE PAPER FAVOR U . S . FAVOR CANADA ~ TREASURY BILLS FAVOR U . S . 1963 1964 1965 1966 INTEREST ARBITRAGE/ Friday figures 3-MONTH TREASURY NEW BILL Y O R K / L O N D O N RATES LONDON U.K. LOCAL AUTHORITY D E P O S I T S NEW YORK i RAT E D I F F E R E N T I A L FOR W A R D AND STERLING I I 1 3-MONTH I I 1 I R S P R E Z ID IN FAVOR ! O F LIDNDON I 1 \ 1 iV - F'REMIUIM / J 1 r 1 1 ,1 V/ RATE EIISCOUI f• O R W A RD RA iTE 1 I I L 1 N I I I I 1 1 DIFFERENTIAL I | WITH 1 1 1 1 FORWARD I -///*' V 1 1 I l 1 EXCHANGE COVER I I (NET I , 1 1 INCENTIVE) IN F A V O R OF L O N D O N IN F A V O R OF NEW YORK 1963 1964 1965 | | 1966 i i SHORT-TERM INTEREST RATES * U.K. EURO DOLLAR - LONDON U.S. V > ^ V .LJ \ SWITZERLAND JAPAN GERMANY CANADA U.S. 1962 1963 1964 1965 ] 3-month treosury bill rates for all countries escept Japan (Average rale on bank loom and ducounfi) 5witzerlandf3 month deposit role) and Germany (interbank Loan Rate) month rale lor U S dollar deposits in London 1966 LONG-TERM BOND YIELDS GERMANY EURODOLLAR BONDS U.S. CANADA NETHERLANDS U.S. SWITZERLAND 1962 1963 1964 1965 SPOT EXCHANGE RATES - M A J O R CURRENCIES A G A I N S T U.S. DOLLAR 1.6 S W I S S FRANC 1.2 G E R M A N MARK Z/v U.K. STERLING F R E N C H FRANC BELGIAN FRANC DUTCH GUILDER Above par J A P A N E S E YEN 3-MONTH Friday figures AGAINST FORWARD U. S. EXCHANGE RATES DOLLARS p. PREMIUM* GERMAN MARK SWISS FRANC POUND STERLING" DISCOUNTA G A I N ST POUND STERLING - L O N D O N PREMIUM* |\\ S W I S S FRANC - G E R M A N MARK — U. S . DOLLAR DISCOUNTAGAINST POUND STERLING - LONDON PREMIUM* DUTCH GUILDER BELGIAN FRANC FRENCH FRANC M J DISCOUNTS 1964 D M J 1965 s D S' M 1966 0 INDUSTRIAL STOCK INDICES ,„8:|00 Ratio icoU SWITZERLAND GERMANY U.K. U.S. 300 250 JAPAN 200 U.S. 150 100 1963 1964 Swiii Bonk Corporation industrial stock inde* " Japan: inde* of 225 industrial and other stocks I 1965 1966 H. 13 No.251 J u n e 8, 1966 (all figure:s per cent per annum) Upper Panel Chart 1 (Wednesday. June 1 5,. 8 1 Euro-$ Deposit Treasury bills: 5..47 U.S. certif. of deposit ) (Friday, J u n e 3 Lower Panel Chart 5 (Friday, J u n e 3 ) Finance co. paper: U.S. Canada Hire-purchase paper, U.K. 5. 38 5. 84 5. 82 Spread favor U.K. +0.99 Forward pound -0.6? Net incentive (U.K. +) +0.37 Chart 2 (Friday, J u n e 3 Chart 6 (Friday, J u n e 3 Euro-$ deposits: Call 7-day 30-day 5.31 5.50 5.62 Treasury bills: 180-day 5-75 5 .^8 Hire-purchase paper (May 27) 6 .03 Local-authority deposit (May 27) 5 .59 Upper Panel Chart 3 (Period: -31 Interbank loan (mid-point) 6.. 3 1 Euro-$ deposit (average) 5. 86 Lower Panel Price of gold (Friday, May 27 ) Chart 4 (Friday, June 3 ) 6 .31 5 .75 ) 4 .06 ) 7,.570 Chart 7 35. 144 ) * Zurich 3-mo. deposit (Date: May 15 Japan composIt rate F e b . 25 (Date: ) 4 . 71 U.K. War Loan (Thurs..June 2 ) 6 . 87 U.S. Gov't. (Wed., 4 . 06 Zurich 3-mo. deposit 4.53 5.52 4.96 U.S. U.K. Canada Interbank loan rate (German) (May 31) Euro-$ deposit (London) ) May 15 (Date: 5.5? TTST" U.K. U.S. June 1 ) 7. 78 Swiss Confed. (Fri., May 27 ) 3. 94 Canadian Gov't. 5.69 German Fed. (Fri. . May 27 (Wed..Junel) Netherlands Gov't perpetual 3% (Friday, May 27 ) 5. 97 6. 41 Canada U.S. Spread favor Canada 4 . 96 4 . 53 +0.43 Euro-$ bonds (Fri., J u n e 3 Forward Canadian $ -0.22 For. descriptions and sources of data, see special supplement to H.13, Number 239, March 16, 1966. Net incentive (Canada +) +0.21 Treasury bills: Canadian finance paper 6. 12 A p r i l 23 30 4.06 4.06 May 4.06 4.06 7 15 )
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