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DIVISION OFJj^ERNATIONAI. FINANCE > OF * OVERSOW* t I . OF ™" FEDERAL RESERVE SYSTEM UBFuZI-S H. 13 No. 373 " iboc: ' , ,, £0 October 23, 1968. CAPITAL MARKET DEVELOPMENTS ABROAD I. 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 Chart S e r i e s , 1968 Ten C h a r t s on F i n a n c i a l Markets Abroad Chart Chart Chart Chart Chart Chart Chart Chart Chart Chart 1 - New York, London: Y i e l d s on U.S. D o l l a r 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 - Short-Term I n t e r e s t Rates 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 Rates • 10 - 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 . NOT FOR PUBLICATION DECONTROLLED AFTER SIX MONTHS 4 - N E W Y O R K - L O N D O N : Y I E L D S O N U . S . DOLLAR F U N D S 3 - M O N T H D O L L A R D E P O S I T RATES EURO-DOLLAR DEPOSIT 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 C A L L EURO D O L L A R D E P O S I T RATE V S . U . S . F E D E R A L F U N D S RATE CALL E U R O D O L L A R D E P O S I T S FEIERAL FUNIS E U R O - M L L A R OVER FEDERAL F U N D S Sept. Mar. Dec. Mar. 1965 lee. 1111 Sept. lee. Mar. lee. 1M7 Sept. lee. Her. lee. <Mt Sept. Bee. LONDON: YIELDS EURO-DOLLAR FOR U . S . DEPOSIT DOLLAR INVESTORS O N 3-MONTH FUNDS RATES 8 7 6 3 0 DAY 5 4 CALL 8 7 8 1 1 0 DAY 5 1 0 DAY 4 M J 1965 S D N J 1966 S I • J 1967 $ » • I 111! $ I 4 L O N D O N : Y I E L D S FOR U . S . D O L L A R I N V E S T O R S O N HhRE P U R C H A S E A N D 3-MONTH FUNDS 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 F A V O R HIRE P U R C H A S E DIFFERENTIAL FAVOR E U R O D O L L A R LOCAL AUTHORITY DEPOSIT F A V M I t C A L AUTHORITY DIFFERENTIAL 1965 1966 1967 1966 I INTEREST ARBITRAGE: FRANKFURT FRANKFURT/LONDON, INTERBANK LOAN RATE V S . ZURICH/LONDON LONDON EURO DOLLAR RATE (COVERED) IN - , < y h ir A A A TE R M S O F DM EURI9 - D 0 L L iAR \ i r < / V V r "! v > ^ INTERS ANK LCIAN RA FE 1 1 1 ! D I F F IE R E N T I A L A , I W 'OR FRANKFURT / | A 1 M ZURICH i l l i DEPOSIT i i i 1 i i r 1 1 i RATE V S . L O N D O N EURO DOLLAR RATE (COVERED) I N TE R M S CIF S W I ISS FR A N C S ! - -i —i —' FAV0It EURODOLLAR 1 1 1 I i > i i V J 'V V E U R 0 DOLLAR i — 1D E P O S I T SWISS RATE 1 MA/r V 1 FAVOR ZURICH D I F F I E R E N T I1A L V VsT II H 1 1 / V s n A 1 1 PRICE OF G O L D - IN 1 1 I I 1 1 y RV j i i 11 11 1 1 \ 1 1 VA K - IT! 1 EURO 1"OLLAR I.I 1 1 1 U.S. teller equivalent per lime < LONDON •5.5 45.0 <5.4 43.0 ?5.3 41.0 n.2 30.0 37.0 35.1 •5.0 J—L I I I J 1965 Digitized for Market FRASER closed March 15-April 1, 1968. 1960 I I 35.0 $ l 1967 1966 $ Fridoy figures 3-MONTH TREASURY BILL RATES CAN. FIN. CO. PAPER UNITED S T A T E S CANADA BILL RATE T T DIFFERENTIAL AND FORWARD T CANADIAN DOLLAR PREMIUM S P R E A D IN FAVOR OF CANADA FORWARD RATE \ DISCOUNT 3-MONTH COVERED RATE DIFFERENTIALS (NET INCENTIVES) FAVOR CANADA TREASURY BILLS PRIME F I N A N C E PAPER FAVtR CANADA 1965 1966 1117 1161 INTEREST A R B I T R A G E , N E W 3-MONTH YORK/LONDON T R E A S U R Y BILL R A T E S U.K. LOCAL AUTHORITY DEPOSITS / V M v J LONDON NEW 1965 X r 1966 YORK 1967 1968 INTEREST A R B I T R A G E , N E W RATE D I F F E R E N T I A L AND YORK/LONDON 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF L O N D O N PREMIUM DISCOUNT FORWARD RATE 2 I IN F A V O R OF N E W YORK ! RATE D I F F E R E N T I A L W I T H FORWARD 1965 1966 EXCHANGE COVER (NET I N C E N T I V E ) 1967 1966 S H O R T - T E R M INTEREST RATES* EURO DOLLAR - LONDON t 'TU.K. y u s - SWITZERLAND- 9 JAPAN CANADA | U.S. GERMANY 1964 1966 1965 "•3-monlh freoiery bill rolei fer oil ceenlries e*cepl Japan (Average role a* keek leeni and dkceeeli) Switzerland (3-menlh depoiil rale) and Germany 3-month rale lor US dollar deposits in tendon. (interbank lee* Eele) 1917 1911 p L O N G - T E R M B O N D YIELDS 8 NETHERLANDS 7 CANADA 6 U.S.—, 5 SWITZERLAND 4 3 9 8 GERMANY U.K. 7 EURODOLLAR B O N D S ^ 6 5 8 U . S . EUI U . S . CORP. A a a B O N D S 1964 • • • • 1965 A»eroge of yield* for leer foreign government d«ll« New tenet for Germany Merit 7 9 65 * New teriet for Switzerland ilerlt 3-3-67 • • New t e n e t for Netherlondt Horn 17-66 * • • New series for Switzerland starts 8 2 68 1966 1967 1966 C h a r t 8A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par 1.6 SWISS FRANC Par with U.S. U.K. STERLING Below p a r Above par DUTCH GUILDER U.S. J FRENCH FRANC JAPANESE YEN I M J S D M 1966 * Devaluation of the pound sterling from $2.80 to $2.40. J 1967 S D M J 1968 S D M J 1969 S Below par D Chart 8B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par 1.2 BELGIAN FRANC r ~ z7 \ — U.S. ITALIAN LIRA CANADIAN DOLLAR Below par M J 1966 S D M J 1967 S D M J 1968 S D M J 1969 S D \3 3 - M O N T H FORWARD E X C H A N G E RATES AGAINST U.S. D O L L A R S - N E W YORK Per cent per a n n u m Friday figures PREMIUM* GERMAN MARK SWISS FRANC POUND STERLING |rv\ ! I f DISCOUNT— r DUTCH GUILDER A7 4 CANADIAN DOLLAR | FRENCH FRANC I M J S D 1966 M J 1967 S DISCOUNT— D M J 1968 S D M J 1969 S D Chart 9B F O R W A R D 3 - M O N T H E X C H A N G E R A T E AGAINST POUND S T E R L I N G - L O N D O N Friday f i g u r e s Per cent per PREMIUM* GERMAN MARK U.S. D O L L A R T SWISS FRANC DISCOUNTM J S D 1966 S M 1967 D M J 1968 S D M J 1969 S D V > ' INDUSTRIAL STOCK INDICES j ,958,oo /nAV A r » f V w . SWITZERLAND* \ j m v t v » j fK i j . / GERMANY U.K. I ! !• ! i I I 1 1 I I i I I 1 1 I I 1 1 I I 1 1 I I I I I I I I 1 1 1 I I 1 I I 1 I I I I 1 360 320 280 JAPAN 240 200 U.S. 121 1965 • ## Swisi lank Cerperelien indvilriel Heck index. Jepen, index of 225 indvilriel end ether iletl 1967 1961 O c t o b e r 2 3 , 1968 H. 13 No. 373 II. a . L a t e s t F i g u r e s P l o t t e d i n H. 13 S e r i e s ( a l l f i g u r e s i n p e r c e n t p e r annum) Chart 1 Chart 4 Upper P a n e l s (Wednesday, (Friday, 6.44 Euro-$ d e p o s i t 5 .97 U.S. c e r t i f . of d e p o s i t O c t . 16 Lower P a n e l s (Wednesday, O c t . 18 5.47 U.S. 5.30 Spread ( f a v o r Canada + ) -0.45 -0.28 6,.45 Net i n c e n t i v e (Canada + ) F e d e r a l Funds 5.,90 Canadian Finance paper T.ntjpr Panel O c t . 18 U.K. L o c a l A u t h o r i t y d e p o s i t 7.31 Treasury b i l l s : 6.35 5.30 U»K. U.S. Call 6. 25 30-day 6. 56 90-day 6. 50 Spread ( f a v o r U.K. +) 6. 50 Forward r a t e -1.38 Net i n c e n t i v e (U.K. +) -0.28 180-day C h a r t 5B C h a r t 2B Hire-Purchase ( 6.00 C h a r t 5A ( F r i d a y , O c t . 16 ) C h a r t 2A Upper P a n e l +0.17 Forward C a n a d i a n d o l l a r C a l l Euro-$ deposit Euro-$ d e p o s i t s (Friday, ) T r e a s u r y b i l l s : Canada Chart 6 O c t . 11 ) Local Authority ( O c t . 6.00 11 ) 5.87 E u r o - $ d e p o s i t ( O c t . 11 ) 6.56 Chart 3 I . Upper P a n e l ( P e r i o d : +1.05 Upper P a n e l (Friday, Treasury B i l l s O c t . 18 ) 5.30 6.35 5.47 U.S. U.K. Canada E u r o - $ d e p o s i t (London) Oct. 1 6 - 2 3 ) 6.50 Lower P a n e l I n t e r b a n k Loan ( m i d - p o i n t ) 4. 75 German I n t e r b a n k loan r a t e ( O c t . 16-23 ) 4.75 Euro-$ d e p o s i t s (average) 4.11 Z u r i c h 3-month d e p o s i t ( O c t . 1 6 ) 4.00 Lower P a n e l ( d a t e : O c t . 16-23) J a p a n Composite R a t e ( Aug. 30 ) 7.49. 4.00 U.S. T r e a s u r y b i l l s ( O c t . 18 ) 5,3Q Z u r i c h 3-mo. d e p o s i t Euro-$ rate (covered) ( Oct. 2 3 ) 5 . 9 9 II. Price of Gold (London) (average-week ended Oct. 18 ) 39.14 O c t o b e r 23, 1968 H. 13 No. 373 II. b Chart 7 C h a r t 9A Upper P a n e l (Friday, U.S. G o v ' t . (Wed. , O c t . 16 ) 5.35 O c t . 18 ) A g a i n s t U.S. d o l l a r s Upper P a n e l N e t h e r l a n d s Govt. ( F r i . , Oct. 11) 6 . 4 8 Swiss f r a n c s +0.47 Canadian G o v ' t . German marks +2 . 4 1 £ sterling - 1 .43 (Wed., O c t . 16 ) 7.00 Swiss G o v ' t . Composite ( F r i . , O c t . 18) 4 . 3 7 Lower P a n e l Middle P a n e l German Fed. , ( F r i . , O c t . 18) 6.21 U.K. War Loan (Thus. , O c t . 17) 7.59 E u r o - $ bonds ( F r i . , 7.56 O c t , 18 ) Lower P a n e l ) 7.14 U.S. C o r p o r a t e Aaa ( S e p t . 30 ) U.S. Euro-bonds ( S e p t . 30 5.97 C h a r t 8A ( F r i d a y , Oct. 18 ) French f r a n c - 0 .40 Dutch g u i l d e r +1,.13. "°i ,45 Canadian d o l l a r C h a r t 9B (Friday, O c t . 18 A g a i n s t pound s t e r l i n g Upper P a n e l German mark +3,.83 U.S. d o l l a r +1.,16 Lower p a n e l Upper P a n e l +1. 56 Swiss f r a n c Swiss f r a n c s +1.80 German marks U.K. £ s t e r l i n g +0.37 -0.45 C h a r t 10 ( I n d e x ; 1958 = 100) Upper P a n e l U.K. ( Lower P a n e l French f r a n c s -0.75 Dutch g u i l d e r s ~0» 63 J a p a n e s e yens +0.41 C h a r t 8B (Friday, Belgian francs Canadian d o l l a r s Oct. 1 8 » Italian lira O c t . 18 ) 274. 8 Germany ( O c t . 7 lUCt. i s ) ) 266. 8 268. 4 345. 7 Switzerland -0.73 +0.78 ) Lower P a n e l U.S. ) ( Oct. 1 8 ( 230. 5 O c t . 18 ) Canada ( r>rt_ in ) ?19. n Japan ( O c t . 18 ) 302. 3 4-0. 23 For descriptions and sources of data, see Special Supplement No. 3 4 3 - S Digitized for dated FRASER March 2 7 , 1 9 6 8 . )
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