Full text of H.13 Selected Interest and Exchange Rates, Weekly Series of Charts : March 13, 1968

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D I V I S I O N OF I N T E R N A T I O N A L F I N A N C E

BOARD OF e O V E R N O R S

H . 13
No. 341

March 13, 1968.

CAPITAL MARKET DEVELOPMENTS ABROAD
I.
II.

^

Z

Ten Charts on Financial Markets Abroad
Latest Figures Plotted in H.13 Chart Series, 1968

}

I.

Ten Charts on Financial Markets Abroad

Chart
Chart

1
2

Chart

3

Chart
Chart
Chart
Chart
Chart

4
5
6
7
8

Chart 9
Chart '10

New York, London: Yields on U.S. Dollar Funds
London: Yields for U.S. Dollar Investors on
3-Month Funds
Interest Arbitrage: Frankfurt/London,
Zurich/London
Interest Arbitrage: New York/Canada
Interest Arbitrage: New York/London
Short-Term Interest Rates
Long-Term Bond Yields
Spot Exchange R a t e s — M a j o r Currencies
Against U.S. Dollar
3-Month Forward Exchange Rates
Industrial Stock Indices

Europe and British Commonwealth Section.




NOT FOR PUBLICATION

DECONTROLLED AFTER SIX MONTHS

1
NEW Y O R K - L O N D O N : YIELDS O N U . S . DOLLAR FUNDS
3 - M O N T H D O L L A R DEPOSIT RATES
Wednesday figures

EURO-DOLLAR DEPOSIT

I

L
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OF D E P O S I T

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CALL EURO DOLLAR DEPOSIT RATE VS. U.S. FEDERAL FUNDS RATE
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FEDERAL FUNDS
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E U R O - D O L L A R OVER F E D E R A L F U N D S
I I I I 1 I 1 I 1 I L i 1 1 1 1 1 1 I

Mar.

Jun.
Sept.
1965

Dec.

Mar.




Jun.
Sept.
1966

Dec/

Jun.
1967

Sept.

Dec.

1
Mar.

Jun.
1968

Sept.

Dec.

-?}
L O N D O N : YIELDS FOR U.S. DOLLAR INVESTORS O N 3 - M O N T H FUNDS
EURO DOLLAR DEPOSIT RATES
Friday figure!

30 DAY

HIRE PURCHASE A N D LOCAL AUTHORITY DEPOSIT RATES ( c o v e r e d )
Friday figures

:

Per cent per annum

'
\ HIRE PURCHASE

^

T

\

!.

EURO-DOLL AR DEPOSIT

Y

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FAVOR HIRE PURCHASE
1
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LOCAL A U T H O R I T Y DEPOSIT

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1

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v

V

1

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!
1
FAVOR LOCAL AUTHORITY

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1965




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1966

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1967

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FAVOR EURODOLLAR
; M
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1968

S

I

I N T H I S T ARBITRAGE: F R A N K F U R T / L O N D O N , Z U R I C H / L O N D O N
FRANKFURT INTERBANK L O A N RATE VS. L O N D O N EURO DOLLAR RATE (COVERED)
IN TERMS OF DM
INTERBANK

LOAN RATE

EURODOLLAR

FAVOR FRANKFURT

DIFFERENTIAL

Z U R I C H D E P O S I T RATE V S .

LONDON

EURO-DOLLAR

RATE (COVERED)

FAVOR EURO DOLLAR
I N TERMS OF SWISS FRANCS

EURO-DOLLAR

SWISS

DEPOSIT

RATE
FAVOR ZURICH

DIFFERENTIAL

FAVOR EURODOLLAR
H

PRICE o r

GOLD

IN

LONDON
35.3

35.0
1965




1966

1967

1968

5

I N T E R S ! A R B I T R A G E , U N I T E D STATES / C A N A D A
Friday figures
3-MONTH

TREASURY BILL RATES

C A N . F I N . CO
—

PAPER

1

UNITED STATES

CANADAV

r
1
1
r
BILL RATE D I F F E R E N T I A L A N D

.
F O R W A R D C A N A D I A N DOLLAR

2

S P R E A D I N FAVOR OF C A N A D A

FORWARD RATE

V/-

DISCOUNT

3 - M O N T H C O V E R E D RATE D I F F E R E N T I A L S (NET I N C E N T I V E S )

FAVOR CANADA

TREASURY BILLS

PRIME FINANCE PAPER
FAVOR U.S.
FAVOR CANADA

FAVOR U.S.
1965




1966

1967

1968

INTEREST A R B I T R A G E , N E W Y O R K / L O N D O N
3 - M O N T H TREASURY BILL RATES
U.K. LOCAL AUTHORITY DEPOSITS

LONDON

V

NEW Y O R K

RATE D I F F E R E N T I A L A N D 3 - M O N T H F O R W A R D STERLING

S P R E A D I N F A V O R OF L O N D O N

1

FORWARD RATE

DISCOUNT

!/

RATE D I F F E R E N T I A L W I T H F O R W A R D E X C H A N G E COVER (NET I N C E N T I V E )
I

IN FAVOR OF L O N D O N

Ji\

I

IN FAVOR OF NEW Y O R K

2330
1965




1966

1967

19M

SHORT-TERM INTEREST RATES*

EURODOLLAR - LONDONT

7U.K

yu.s.
SWITZERLAND

9

JAPAN

CANADA I
/ w
U.S

GERMANYJ

1964

• 1966

1965

*3 month treasury bill rates for all countries except Japan ^Average role on bank loons and discount!,
'

Switzerland (3monlh deposit rate and Germany

"j"3 month role for U S dollar deposits in London

.




Interbank Loon Rale)

1967

1968

€

•

L O N G - T E R M B O N D YIELDS
Weekly figures

Per cent per annum

NETHERLANDS

CANADA

U.S.

SWITZERLAND

GERMANY

EURO-DOLLAR BONDS

1963

1964

1965

*
Average of yfelds for four foreign government dollar bond* quoted in London
* *
New series for Germany start, 7 9 65
* * * New series for Switzerland starts 3 3 67




1966

1967

SPOT EXCHANGE RATES - MAJOR CURRENCIES A G A I N S T U.S. DOLLAR

SWISS FRANC
1.2

GERMAN MARK

A

j
U.K. STERLING

BELGIAN FRANC
l/V

DUTCH GUILDiR

FRENCH FRANC

CANADIAN DOLLAR

ITALIAN LIRA

JAPANESE Y E N -

s

M
1965

J

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1966

S

D

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J

1967

$

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M

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1966

I

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3 - M O N T H F O R W A R D E X C H A N G E RATES
A G A I N S T U.S. DOLLARS — N E W YORK
Friday figures

6

PREMIUM*

4
GERMAN MARK
2

SWISS FRANC

0
POUND STERLING

2
4

DISCOUNT-

6
4

PREMIUM*
DUTCH GUILDER

2

FRENCH FRANC

0

2

C A N A D I A N DOLLAR
DISCOUNT-

4

A G A I N S T POUND STERLING — L O N D O N
Friday ligurei

:
PRE*HUM*

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GER M A N M A R K J/ I
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SUH S S FFI A N C

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Per cent per annum .
to

6

4

r O

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W

f

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0

U.S. DOLLAR
1 1
M

1 1
1 1
J
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1965

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1967

, DISCIOUNT1 1 1 1 1
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1966

II

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1 1
1 1
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1968

2

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195810 0f

I N D U S T R I A L STOCK I N D I C E S

Ratio scale.

,
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SWITZERLAND*

U.K.

,

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360

320

280
JAPAN

CANADA

1965
Swiss Bonk Corporation industrial stock index
Japan: index of 225 industrial and other slacks traded on the Tokyo exchange




1966

1117

\>
H. 13
No. 341

March 13, 1968.
II.

Latest Figures Plotted in H. 13 Chart Series, 1968
(all figures per cent per annum)

Chart 1
(Wednesday,

Upper Panels

March 6

)

Euro-$ deposit

5. 75

U.S. certif. of deposit

5.40

Lower Panels

(Wednesday,

March 6
5. 25

Federal funds

4.85

5.38
5.75

)

90-day 180-day

5. 81
6.06
5.27

Local-authority deposit
(March 1)

5.08

Chart 3
(Period:
March 1-7

Interbank loan (mid-point)

)

(Date:

Zurich 3-month deposit
Price of gold
(Friday,
March 1

)
2.75*

35.198

Chart 4
(Friday, March 8 )
Treasury bills:

Canada
U.S.
Spread favor Canada

Forward Canadian $
Net incentive (Canada +)
Canadian finance paper




Forward pound

-7.01

Net incentive (U. K. +)

-4.92

U.S.
U.K.
Canada

)

.5,06
7.15

6. 61

3.48

Interbank loan rate (German)
(March 1-7)
Euro-$ deposit (London)

5.81

Zurich 3-month deposit
(Date:
Feb. 15
)
Japan composite rate
(Date:
Dec. 29, 1967)

2. 75*
7.35

Chart 7
U.S. Gov't. (Wed. , Mar. 6

Feb. 15

5,06
+2.09

3-48

Euro-$ deposit (average)
Lower Panel

7. 15

Spread favor U.K.

Treasury bills:

Hire-purchase paper
(March 1)

Upper Panel

U.K.
U. S.

Chart 6
(Friday,
March 8

Euro-$ deposits:
Call
30-day

Treasury bills:

Chart 5
March

)

Call Euro-$ deposits

Chart 2
(Friday, March

(Friday,

)

U.K. War Loan (Thurs. ,Mar. 7 )

7.25

)

6.67

)

4.52

Canadian Gov't. (Wed. , Feb. 2 8 )

6.97

German Fed. (Fri. ,

Mar. 8

Swiss Confed. (Fri., Feb. 29

Netherlands Gov't, perpetual 3%
(Friday,
Mar. 1
)

6.12

6.61

Euro-$ bonds (Fri.,

1.62

For descriptions and sources of data, see
special supplement to H. 13, Number 239,
March 16, 1966.
*Jan. 23 3.00
31 2.75

5.06
+ 1.55

- 0.07
6.75

-Feb.

7

Mar.

2.75

_)

7.46