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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. 276 BOARD OF GOVERNOR# November 30, 1966 / I x. I. II, CAPITAL MARKET DEVELOPMENTS ABROAD Ten C h a r t s on F i n a n c i a l Markets Abroad Latest Figures Plotted H. 13 Chart S e r i e s , 1966 Ten C h a r t s on F i n a n c i a l Markets Abroad Chart 1 Chart 2 n hart 3 Chart Chart Chart Chart Chart 4 5 6 7 8 Chart 9 C h a r t 10 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 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 I n t e r e s t Arbitrage: Frankfurt/London, Zurich/London I n t e r e s t A r b i t r a g e : New York/Canada I n t e r e s t A r b i t r a g e : New York/London S h o r t - t e r m Bond Y i e l d s Long-term Bond Y i e l d s Spot Exchange Rates—Major C u r r e n c i e s Against U.S. D o l l a r 3-month Forward E:change R a t e s I n d u s t r i a l Stock 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; Y I E L D S FOR U . S . DOLLAR DOLLAR RATES: N E W DEPOSIT INVESTORS O N 3-MONTH FUNDS YORK-LONDON EURODOLLAR DEPOSIT U . S . C E R T I F I C A T E OF D E P O S I T E U R O - D O L L A R 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 COMPANYl U.K. HIRE PURCHASE U.S. FINANCE COMPANY Mar. Jun. 1964 Sept. Dec. Mar. Jun. 1965 Sept. Dec. Mar. Jun. 1966 Sept. Dec. LONDON; YIELDS EURO-DOLLAR FOR DEPOSIT U.S. DOLLAR INVESTORS ON 3-MONTH FUNDS RATES 1 8 0 DAY 9 0 DAY CALLl 30 D A Y - HIRE P U R C H A S E A N D LOCAL AUTHORITY 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 1 DIFFERENTIAL FAVOR EURO-DOLLAR LOCAL A U T H O R I T Y D E P O S I T EURO DOLLAR D E P O S I T - ] FAVOR LOCAL AUTHORITY FAVOR EURO-DOLLAR 1964 1965 1966 1 (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 , FRANKFURT INTERBANK LOAN RATE V S . Z U R ICH / L P N D O Nj LONDON EURO D O L L A R RATE ( C O V E R E D ) I N T E R M S Oi >_ I N T E R B A N K LOAN RATE EURO-DOLLAR i r _ D IFFERENTIAL I ZURICH DEPOSIT RATE V S . LONDON EURO FAVOR E U R O D O L L A R D O L L A R RATE ( C O V E R E D ) I IN TERAASVoh/SVK fNCS EURO DOLLAR S W I S S DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH FAVOR EURO-DOLLAR H PRICE OF G O L D I N L O N D O N 35.2 35.0 1964 1965 1966 INTEREST ARBITRAGE, UNI Friday figures 3-MONTH T R E A S U R Y BILL R A T E S CAN. FIN. CO. |PAPER 4 CANADA ^ UNITED STATES BILL R A T E D I F F E R E N T I A L A N D FORWARD CANADIAN DOLLAR 1 S P R E A D IN F A V O R O F C A N A D A \ — / if 0 W OISI FORWARD RATE 1 I I 3-MONTH I I i i r i i i i r 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 ) F A V O R CA 1 PRIME FINANCE PAPER 0 FAVOR U . S . FAVOR CANADA 1 TREASURY BILLS 0 M J S O 1963 M J S 1964 D M I S 1965 D M FAVOR U . S I I I I I I I I J S D 1966 1 GE, NEW YORK/LONDON Fridoy figures 3-MONTH U.K. TREASURY BILL LOCAL AUTHORITY RATES DEPOSITS NEW YORK RATE D I F F E R E N T I A L FORWARD STERLING SPREAD AND I 3-MONTH I I IN F A V O R O F L O N D O N PREMIUM 0 DISCOUNT FORWARD RATE 'YVt / RATE D I F F E R E N T I A L WITH FORWARD EXCHANGE COVER (NET INCENTIVE) IN F A V O R O F L O N D O N IN F A V O R O F N E W Y O R K 1963 1964 1965 1966 SHORT-TERM INTEREST RATES * U.K. EURO-DOLLAR - LONDON — U.S. V v V SWITZERLAND JAPAN GERMANY CANADA U.S. 1962 1963 1964 1965 3 month treasury bill rales for all countries except Japan (Average rote on bank loom and discounts ) ' Switzerland (3 month deposit rale) and Germany (interbank Loan Role) |3 month role tor US dollar deposits in London 1966 'LONG-TERM BOND YIELDS GERMANY J ) EURO-DOLLAR BONDS U.S. NETHERLANDS CANADA U.S. SWITZERLAND 1962 1963 1964 */Averoge of yields lor lour foreign government dollar bonds quoted in London 1965 1966 SPOT EXCHANGE RATES - M A J O R CURRENCIES A G A I N S T U.S. S W I S S FRANC STERLING J A P A N E S E YEN u I I I DOLLAR \0 Chorl 9 3-MONTH AGAINST fridoy ligiirei FORWARD u s EXCHANGE DOLLAR^ —NEW RATES YORK Per cent per annum PREMIUM GERMAN MARK /' S W I S S FRANC i V POUND STERLING DISCOUNT- 2 PREMIUM + DUTCH GUILDER FRENCH FRANC C A N A D I A N DOLLAR DISCOUNT- A G A I N ST P O U N D STERLING — L O N D O N PREMIUM* S W I S S FRANC GERMAN MARK r / T U . S . DOLLAR DISCOUNTM i S 1964 0 M J 1965 S 0 M J 1966 S 0 INDUSTRIAL STOCK INDICES SWITZERLAND GERMANY U.K. U.S. 300 250 JAPAN 200 CANADA 150 1963 1964 Swiss Bonk Corporation industrial slock index Japan: inde* of 225 industrial and other stocks I 1965 1966 November 30. H. 13 No. 2 7 Latest Figures Plotted in H.13 Chart Series, 196^ (all figures per cent per annum) Upper Panel Chart 1 (Wednesday, Chart 5 (Friday, Nov. 25 ) Euro-$ Deposit Treasury bills: Lower Panel Finance co. paper: U.S. Canada Hire-purchase paper, U.K. Chart 2 (Friday, : o- Net incentive (U.K. +) (Date: 6r 1 8- i: <-* U.S. U.K. Canada _) 13 :No\, 8 - 1 : ' Euro-$ d e p o s i t (London) Zurich 3-mo. d e p o s i t (Date: c-, i Japan composit r a t e (Date: -ep:30 ) i: t o 88 ) ) 7- 42 Chart 7 U.S. Gov't. (Wed. , o- , 2 j ) r„ 92. U.K. War Loan ( T h u r s . , - ^ German Fed. ( F r i * . Zurich 3-mo. d e p o s i t Swiss Confed. ( F r i . . 8 c o tO 5, 04 7.23 C . 92 Euro-$ d e p o s i t (average) P r i c e of gold (Friday, o..-„ -0.54 + Q„ 81 90-day 180-day Interbank loan (mid-point) Lower Panel Forward pound Treasury bills: Hire-purchase paper (Nov, 1 8 ) Local-authority deposit Nov 1 8 , Chart 3 Upper Panel (Period: • f l . 35 Chart 6 (Friday, No.„ <.- ) Euro-$ deposits:! -,,8 •. ,3 i 3. 25 Spread favor U.K. -xc (Friday, 6 c 60 U.K. U.S. ^8u U.S. certif. of deposit Call 7-day 196c "--'v•> 1 3 ) o 11 ) ) Canadian Gov't. Chart 4 (Friday, Canada U.S. Spread favor Canada Treasury b i l l s : Forward Canadian $ Net i n c e n t i v e (Canada +) Canadian finance paper (Wed. V Netherlands Gov't perpetual 3% ) (Friday, --Q - • 18 Buro-$ bonds ( F r i . , -0, 41 - 0 . 20 t.38 J For d e s c r i p t i o n s and sources of see s p e c i a l supplement t o H.13, Number 239, March 16, 1966. data,
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