The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
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
B O A R D OF E O V E R N O
OF T H E
F E D E R A L RESERVE SYSTEM
H. 13
October 4, 1967.
No. 319
bAPITAL MARKET DEVELOPMENTS ABROAD
I.
II.
I.
Ten Charts on Financial Markets Abroad
Latest Figures Plotted in H.13 Chart Series, 1967
Ten Charts on Financial Markets A b r o a d
Chart
Chart
Chart
Chart
Chart
Chart
Chart
Chart
Chart
Chart
1 - New York, London, Montreal: Yields for
U.S. Dollar Investors o n 3-month Ft^ids
-2 - London:- Yields for U.S. Dollar Investors
on 3-month Funds
3 - Interest Arbitrage: Frankfurt/London,
Zurich/London
4 - Interest Arbitrage: New York/Canada
5 - Interest Arbitrage: New York/London
6 - Short-term Interest Rates
7 - Long-term Bond Yields
8 - Spot Exchange R a t e s — M a j o r Currencies
Against U.S. Dollar
9 - 3-month Forward Exchange Rates
10 - Industrial Stock Indices
Europe and British Commonwealth Section.
OFFICIAL USE ONLY
(Decontrolled after six months)
NEW Y O R K , L O N D O N , M O N T R E A L :
YIELDS FOR U . S . DOLLAR I N V E S T O R S O N 3 - M O N T H F U N D S
DOLLAR DEPOSIT 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
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
A
F I N A N C E C O . PAPER R A T E S I
.
,
d): Q U O T E D IN N E W
I'
YORK
U.K. HIRE PURCHASE
j
CANADIAN FINANCE
U.S. FINANCE C O M P A N Y
Mar.
Jun.
1965
Sept.
Dec.
Mar.
Jun.
1966
Sept.
Dec.
Mar.
Jun.
1967
Sept.
Dec.
Mar.
Jun.
1968
Sept.
Dec.
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 T H FUNDS
E U R O - D O L L A R D E P O S I T RATES
30 DAY
M
90
HIRE P U R C H A S E A N D
DA¥
L O C A1 A U T H O R I T Y D E P O S I T R A T E S
(
HIRE PURCHASE
EURO-DOLLAR DEPOSIT
FAVOR HIRE PURCHASE
V
'TaV0R~EUVO - DOLLAR
EURO-DOLLAR DEPOSIT
LOCAL AUTHORITY DEPOSIT
FAVOR LOCAL AUTHORITY
DIFFERENTIAL
FAVOH E U R O D O L L A R
1965
1966
1967
INTEREST ARBITRAGE: F R A N K F U R T / L O N D O N ,
FRANKFURT INTERBANK
LOAN
RATE V S . L O N D O N
ZURICH/LONDON
E U R O D O L L A R RATE ( C O V E R E D )
I N TERMS O F D M
INTERBANK
LOAN
RATE
FAVOR F R A N K F U R T
DIFFERENTIAL
/URICH
DEPOSIT
RATE
VS.
LONDON
EURODOLLAR
1
SWISS
RATE
DEPOSIT
EURO-DOLLAR
RATE
(COVERED)
1
FAVOR E U R O D O L L A R
I
I
1
I
I N TERMS O F S W I S S F R A N C S
FAVOR Z U R I C H
DIFFERENTIAL
FAVOR E U R O - D O L L A R
PRICE
OF
GOLD
IN
L O NI D O N
US dollc
I I !
35.3
i
1965
1966
;
I
i
i
i
1967
i
:
i
i
1
!
i
i
•
1 ! !
1968
1
1 1 1 1
INTEREST A R B I T R A G E , U N I T E D S T A T E S / C A N A D A
3 - M O N T H TREASURY BILL RATES
C A N . F I N . CO. P A P E R
CANADA
r
UNITED STATES
BILL RATE DIFFERENTIAL ANT; F O V / A R O
C A N A D I A N DOLLAR
i
;
PREMIUM
1
SPREAD IN FAVOR OF CANADA
FORWARD RATE
3-
OMTH COVERED RATE DIFFERENTIALS ('NET I N C E N T I V E S )
FAVOR CANADA
PRIME FINANCE PAPER
FAVOR U.S.
TREASURY BILLS
SAVOR U.S.
1964
1965
1966
I
1967
INTEREST ARBITRAGE,
3-MONTH
NEW
YORK/LONDON
TREASURY BILL RATES
U.K. LOCAL AUTHORITY DEPOSITS
LONDON
V
RATE D I F F E R E N T I A L
AND
3-MONTH
NEW YORK
FORWARD
V-x
STERLING
S P R E A D IN F A V O R OF L O N D O N
PREMIUM
RATE D I F F E R E N T I A L
WITH
FORWARD
EXCHANGE
I
COVER
DISCOUNT
(NET
IN FAVOR OF L O N D O N
INCENTIVE)!
/A
IN F A V O R OF N E W Y O R K
1965
1966
: +
0
FORWARD RATE
1967
1968
;
S H O R T - T E R M INTEREST RATES *
EURO-DOLLAR - LONDON +
SWITZERLAND
CANADA
7
L O N G - T E R M B O N D YIELDS
NETHERLANDS
CANADA
SWITZERLAND
GERMANY
EURO DOLLAR B O N D S
1963
*
* *
1964
1965
Average of yield* for four foreign government dollar bonds quoted in London
New »enei for Germany Horn 7 9 65
New leriei for Switzerland itarti 3 3-67
1966
1967
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
SWISS FRANC
GERMAN MARK
U.K. STERLING
BELGIAN FRANC
DUTCH GUILDER
FRENCH FRANC
CANADIAN DOLLAR
I T A L I A N LIRA
X / '
JAPANESE YEN
S
M
1965
J
1966
s
S
D
1967
S
M
1968
D
\0
3-MONTH
FORWARD
AGAINST
E X C H A N G E RATES
U.S. D O L L A R S — N E W
YORK
PREMIUM
SWISS FRANC
GERMAN MARK
POUND STERLING
DISCOUNT-
PREMIUM
\
FRENCH FRANC
DUTCH GUILDER
CANADIAN DOLLAR
DISCOUNT-
AGAINST
POUND
STERLING — L O N D O N
I
PREMIUM*
!
SWISS FRANC
VW / V
!
GERM AN MARK
/x
IVx
v
v \ r c
\
*
U.S. DOLLAR
•
•
/ \
A-
rW i
I V
V U /
j
V
DISCOUNT-
1965
1966
1967
I N D U S T R I A L STOCK I N D I C E S
^ <958100
360
320
280
SWITZERLAND
240
200
/
GERMANY
160
360
320
280
jAPAN
240
200
CANADA
160
120
1964
1965
1966
1967
October 4 , 1967.
H. 13
No. 319
11. Latest Figures Plotted in H. 13 Chart Series, 1967
(all figures per cent per annum)
Upper Panel
Chart 1
(Wednesday,
Sept. 27
5.31
Euro-$ deposit
Treasury bills:
Sept.
(Friday,
U.S.
Canada
Hire-purchase paper, U.K.
29
)
Forward pound
- .68
4.34
4.76
Net incentive (U.K. +)
+ .28
Chart 6
(Friday, Sept. 29 )
Treasury bills:
Euro-$ deposits:
5.75
5.81
90-day
180-day
Hire-purchase paper
4.81
( S e p t . 22)
Local-authority deposit
4.90
( S e p t . 22)
Chart 3
(Period:
Sept. 24-30
Upper Panel
Interbank loan (mid-point)
3.45
Euro-$ deposit
3.93
Lower Panel
(average)
(Date:
2. 75*
35.192
)
Canada
U.S.
Spread favor Canada
4.67
4.37
+ . 30
Forward Canadian $
-1.22
Net incentive (Canada +)
- .92
Canadian finance paper
3.45
)
Zurich 3-month deposit
(Date:
S e p t . 15
Japan composite rate
(Date:
J u n e 30
5.75
)
2.75
)
7.29
Chart 7
U.S. Gov't. (Wed. ,
Sept. 27
)
U.K. War Loan (Thurs., Sept. 28 )
5. *2
5.03
6.94
)
6.62
22 )
4.55
Canadian Gov't. (Wed., Sept. 27 )
6.31
Netherlands Gov't, perpetual 3%
(Friday.
S e p t . 15
)
5.74
German Fed.
(Fri.,
Swiss Confed. (Fri.,
Sept.
Sept.
29
)
Chart 4
(Friday, Sept. 29
Treasury bills:
4.37
5.33
4.67
U.S.
U.K.
Canada
Interbank loan rate (German)
( S e p t . 25-29)
Euro-$ deposit (London)
)
Sept. 15
Zurich 3-month deposit
Price of gold
(Friday,
Sept. 22
+ .96
-Spread favor U.K.
Chart 2
(Friday, S e p t . 29)
4.75
5.25
4,3?
4.75
Finance co. paper:
Call
30-day
5.33
U.K.
U. S.
5.02
U.S. certif. of deposit
Lower Panel
Chart 5
(Friday«
Sept. 29 )
)
Euro-$ bonds (Fri.,
Sept.
29
)
6.39
For descriptions and sources of data, see
special supplement to H. 13, Number 239,
March 16, 1966.
*Aug. 23 2.75
31
2.75
Sept.
7 2.75
@FedFRASER