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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 O F COVERNORS F E D E R A L RESERVE SYSTEM H. 13 O c t o b e r 19, 1966 No. 270 .CAPITAL MARKE^ DEVELOPMENTS ABROAD 1.1 'II.| I. Ten C h a r t s on F i n a n c i a l Markets 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 - Long-term 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 British Commonwealth Section. 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, YIELDS DOLLAR FOR LONDON, U.S. DEPOSIT MONTREAL: DOLLAR RATES: INVESTORS NEW ON 3-MONTH FUNDS YORK-LONDON EURO-DOLLAR DEPOSIT U . S . C E R T I F I C A T E OF D E P O S I T I i EURO D O L L A R O' ER | U . S . C E R T I F I C A T E OF D E P O S I T FINANCE Friday fiou CO. PAPER RATES | (covered): | 1 [ QUOTED [ IN | [ NEW | | ) [ [ [ | | YORK CANADIAN FINANCE U.K. HIRE P U R C H A S E U.S. FINANCE COMPANY LONDON; YtELDS EURO-DOLLAR FOR DEPOSIT U.S. DOLLAR INVESTORS 180 90 ON 3-MONTH FUNDS RATES DAY DAY CALL HIRE PURCHASE AND LOCAL EURO 1 AUTHORITY DEPOSIT RATES ( c o v e r e d). DOLLAR DEPOSIT . q : — A* / HIRE PURCHASE DIFFERENTIAL FAVOR HIRE P U R C H A S E FAVOR EURO-DOLLAR LOCAL AUTHORITY EURO-DOLLAR DEPOSIT DEPOSIT FAVOR DIFFERENTIAL LOCAL AUTHORITY FAVOR EURO-DOLLAR 1964 1966 1965 / 1 INTEREST ARBITRA GE:FR ANK F U R T / L O N P O N , FRANKFURT INTERBANK LOAN RATE VS. ZURICH/LONDONj L O N D O N EURO DOLLAR RATE (COVERED) I N T E R B A N K LOAN R A T E EURO-DOLLAR T T DIFFERENTIAL I ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR I RATE IN FAVOR EURO-DOLLAR (COVERED) T E R M s V o \ / W t NCS EURO-DOLLAR S W I S S DEPOSIT RATE T r DIFFERENTIAL FAVOR ZURICH FAVOR E U R O D O L L A R H PRICE OF G O L D IN LONDON u s d< 35.2 35.0 1964 1965 1966 INTEREST ARBITRAGE, 3-MONTH TREASURY UNITED BILL STATES/CANADA RATES C A N . F I N . CO. 1PAPER CANADA ^ RATE UNITED S T A T E S DIFFERENTIAL AND FOR WAR ) CANADIAN \ S P R E A D IN FAVOR OF CANADA V DOLLAR J 0 ' F O R W A R D RATE I MONTH 1 COVERED 1 RATE 1 1 ' 1 DIFFERENTIALS I (NET i I 1 INCENTIVES) FAVOR C A R IDA PRIME FINANCE PAPER I I FAVOR U.S. FAVOR CANADA TREASURY BILLS FAVOR U S 1 I 1 1 I I INTEREST ARBITRAGE, 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 N E W YORK RATE DIFFERENTIAL FORWARD AND STERLING I 3-MONTH I I S P R E A D IN F A V O R OF L O N D O N PREMIUM DISCOUNT X FORWARD RATE RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) IN F A V O R OF L O N D O N IN F A V O R OF N E W Y O R K 1963 1964 1965 1966 2 SHORT-TERM INTEREST RATE5^ - U.K. I 1 EURP-DPILAR - LPNDON UJL SWITZERLAND JAPAN GERMANY y^v CANADA U.S. 1962 * 1963 1964 1965 3 month ireosury bill rales for all countries except Jp p on (jfAv eraoe rote on bonk loom and discounts') Switzerland f3 mcnth deposit rate) and Germany (interbank Loon Rale) 1966 'LONG-TERM BOND FIELDS GERMANY EURO DOLLAR B O N D S * u.s.l NETHERLANDS CANADA „-y — r r ^ V U.S. SWITZERLAND 1962 1963 */Averoge of yields for four foreign government dollar 1964 1965 1966 SPOT E X C H A N G E 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 f/V U.K. STERLING BELGIAN FRANC F R E N C H FRANC DUTCH GUILDER CANADIAN DOLLAR ITALIAN LIRA J A P A N E S E YEN 1.2 M J S http://fraser.stlouisfed.org/ \ Federal Reserve Bank of St. Louis 0 M s D M S D 3-MONTH •AGAINST Friday Hguft FORWARD U.S. EXCHANGE DOLLARS — N E W RATES YORK PREMIUM G E R M A N MARK ' ^ i W T r ' 1 SWISS FRANC i V POUND STERLING DISCOUHT- T 2 DUTCH GUILDER FRENCH FRANC CANADIAN J O L L A R DISCOUNT- A G A I N ST P O U N D STERLING — L O N D O N S W I S S FRANC A" A G E R M A N MARK U . S . DOLLAR DISCOUNTM J S 11964 D M J 1965 S M J 1966 S 0 j Chort 10 lolio icale *\a SWITZERLAND GERMANY j / U.K. y o I i i i i i i i i i i i ^ L 1 ^ ^ UWnA \ U.S. 1 1 1 1 1 1111 1 1 1 1 11 11 11 11 1 I vV v > v i i i i ii i i i i i 300 250 JAPAN 200 CANADA 150 100 1963 1964 Swill Bank Corporation induilriol ifock index * Japan: index of 225 Induilriol and other ilocki li 1965 1966 H. 13 No.270 October 19, 1966 III. L a t e s t F i g u r e s P l o t t e d in H.13 Chart S e r i e s , 1966 ( a l l f i g u r e s per c e n t per annum) Upper Panel Chart 1 (Wednesday, (Dct. 12 Euro-$ D e p o s i t 7.00 (Friday, Oct,- 14 Treasury b i l l s : ) 5.75 7.09 6.78 F i n a n c e co. p a p e r : U.S. Canada H i r e - p u r c h a s e p a p e r , U.K. Chart 2 ( F r i d a y ; Oct. 14 6.00 6.25 6.83 90-day 180-day I n t e r b a n k loan ( m i d - p o i n t ) Euro-$ d e p o s i t ( a v e r a g e ) 6.95 August 15 ) Z u r i c h 3-mo. d e p o s i t 4.25 P r i c e of gold ( F r i d a y , Sept. 30 35.193 ) Chart 4 ( F r i d a y , Oct. 14 ) Treasury b i l l s : Canada U.S. Spread f a v o r Canada 4.98 5.45 -0.47 Forward Canadian $ +0.41 Net i n c e n t i v e (Canada +) -0.06 Canadian f i n a n c e paper 6.44 5.45 Spread f a v o r U.K. +0.99 -0.78 Net i n c e n t i v e (U.K. +) +0.21 6:75 6.75 7. 19 (Date: U.K. U.S. Forward pound Treasury b i l l s : 6.93 H i r e - p u r c h a s e paper (September 30) 6.55 Local-authority deposit (September 30) Chart 3 ) Upper P a n e l ( P e r i o d : Oct. 1-7 Lower Panel ) Chart 6 ( F r i d a y , Oct. 14 ) Euro-$ d e p o s i t s : Call 7-day 30-day Chart 5 ( F r i d a y , Oct. 14 5.82 U.S. c e r t i f . of d e p o s i t Lower Panel ) 6.12 ) U.S. U.K. Canada 5.45 6.44 4.98 I n t e r b a n k loan r a t e (German) (October 1-7) Euro-$ d e p o s i t (Londcitt) Z u r i c h 3-mo. d e p o s i t (Date: August 15 Japan composit r a t e (Date: June 30 7.19 6.75 ) 4. 25 j 7.49 Chart 7 U.S. G o v ' t . (Ibes* s0ct. 11 ) U.K. War Loan ( T h u r s . , 0 c t . 6 j 4.19 7.13 j 7.92 Swiss Confed. (Fri.,Sept.30 ) 4.08 Canadian G o v ' t . (Wed. .Oct. 12) 5.77 N e t h e r l a n d s G o v ' t p e r p e t u a l 37. ( F r i d a y , Oct. 7 ) 5.97 Euro-$ bonds ( F r i . , Oct. 14 ) 6.71 German Fed. ( F r i . , Oct. 7 For d e s c r i p t i o n s and s o u r c e s of data, see s p e c i a l supplement t o H.13, Number 239, March 16, 1966.
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