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a xWJ ^ H. 13 ? No. 371 CAPITAL MARKET DEVELOPMENTS ABROAD I. II. October 9, Ten Charts on Financial Markets Abroad Latest Figures Plotted in H.13 Chart Series, 1968 (Vjc-ctiL/ 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: Fraikfurt/London, Zurich/London Interest Arbitrage: New York/Canada Interest Arbitrage: New York/London Short-Term Interest Rates Long-Term Bond Yields Spot Exchange Rates--Major Currencies Against U.S. Dollar 3-Month Forward Exchange Rates Industrial Stock Indices Europe and British Commonwealth Section. NOT FOR PUBLICATION DECONTROLLED AFTER SIX MOflTHS 1968 NEW Y O R K - L O N D O N : YIELDS O N U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES Wednesday figures EURO DOLLAR DEPOSIT U . S . C E R T I F I C A T E OF DEPOSIT EURO-DOLLAR OVER U . S . C E R T I F I C A T E OF DEPOSIT CALL EURO DOLLAR DEPOSIT RATE VS. U.S. FEDERAL FUNDS RATE CALL E U R O D O L L A R DEPOSITS FEDERAL F U N D S l ^ EURO DOLLAR OVER FEDERAL F U N D S Mar. Jun. Sept. 1965 Dec. Mar. Jun, 1966 Mar. Sept. Jen. 1967 Dec. Mar. Jen. 196# Sept. Dee. 3 L O N D O N : YIELDS EURO-DOLLAR FOR U . S . D O L L A R INVESTORS O N 3 - M O N T H FUNDS D E P O S I T RATES 3 0 DAY CALL 1 I » DAY 9 0 DAY M J S D 1965 M J 1966 $ D M J 1967 S D M J 1968 $ I L O N D O N : Y I E L D S FOR U . S . H O L L A * I N V E S T O R S O N 3 - M O N T H F U N D S HIRE PURCHASE A N D 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 D E P O S I T . HIRE P U R C H A S E T FAVOR HIRE PURCHASE DIFFERENTIAL FAVOR EURODOLLAR EURO DOLLAR D E P O S I T LOCAL A U T H O R I T Y D E P O S I T DIFFERENTIAL fOR EUR# DOLLAR 1965 1966 1967 1968 I 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 , Z U R I C H / L O N D O N F R A N K F U R T I N T E R B A N K L O A N RATE V S . L O N D O N E U R O - D O L L A R RATE (COVERED) 1 I N T E II M S - r" Iv \ -4 A A l - D O L L lI R " w 1 V - I N T E R S A N K LCI A N RA TE 1 1 I 1 FAVOR FRANKFURT D I F F IE R E N T I A L A_ N... y 1 I 1 1 1 1 1 O F DM 1 1 1 1 V i I i i 1 1 Vx rrr i FAVOR EURO-DOLLAR i i I I i I 1 Z U R I C H DEPOSIT RATE V S . L O N D O N E U R O - D O L L A R RATE ( C O V E R E D ) I N TERMS OF S W I S S F R A N C S EURO-DOLLAR -SWISS DEPOSIT RATE FAVOR ZURICH DIFFERENTIAL FAVOR EURO-DOLLAR n PRICE OF G O L D I N L O N D O N i I ?5.5 <5.4 41.0 5.3 39.0 -5.2 37.0 35.1 35.0 5.0 1965 Merket cloud March 15 April 1, 1968. 1966 1967 1961 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 3 - M O N T H TREASURY BILL RATES C A N . F I N . CO. P A P E R UNITED STATES T 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 PREMIUM S P R E A D I N F AVOR OF C A N A D A F O R W A R D RATE 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 I PRIME F I N A N C E PAPER 1965 1966 1967 1868 2 INTEREST ARBITRAGE, NEW Y O R K / L O N D O N 3 - M O N T H TREASURY BILL RATES U . K . LOCAL A U T H O R I T Y D E P O S I T S LONDON NEW YORK 1965 1966 1967 1981 • < ? INTEREST A R B I T R A G E , N E W Y O R K / L O N D O N RATE D I F F E R E N T I A L A N D 4 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 2 PREMIUM 0 DISCOUNT FORWARD RATE 2 v \ 4 6 8 10 T 2 0 I N F A V O R OF N E W V M K 2 4 I DIFFERENTIAL WITH FORWARD 1965 1966 E X C H A N G E COVER (NET I N C E N T I V E ) 1967 I 1966 ! SHORT-TERM INTEREST RATES* EURO-DOLLAR - LONDON t I II M I M II I 1 I I I 11 I II I 1 1 1964 1965 I M I II 1966 >3-menth ireeivry bill relei lor all countries except Japan (Average rate on bank loam and diicovnli) Switzerland (3-month deposit rate) and Germany (Interbank Lean (ate) 3 month rate lor U.S. dollar depoiiti in London. 1 1967 j \ r \ II 1968 |0 LONG-TERM BOND YIELDS Weekly hguret Pi 8 NETHERLANDS^ 7 CANADA 6 U.S. 5 SWITZERLAND 4 3 T 9 8 GERMANY U.K. 7 EURO DOLLAR BONDS 6 5 1 f U.S. EURO DOLLAR BONOS I U.S. CORP. Aaa BONDS 1964 * * # *** * I * 1965 Hew t«n«a for Germany starts 7-9-65 New series for Swiizerlond slorls 3 3-67 New series for Netherlands slorli 1-7-66 * New series for Switzerland starts 8-2-68 1966 1967 1911 Chart 8A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par 1.6 SWISS FRANC /KTv' 4 f GERMAN MARK with U.K. STERLING Below par Above par DUTCH GUILDER Par with FRENCH FRANC JAPANESE YEN I s D M 1966 'Devaluation of the pound sterling from $2.80 to $2.40. J 1967 s D M J 1968 S D M J 1969 S | Below par D V Chart 8B SPOT EXCHANGE RATES • MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par 1.2 BELGIAN FRANC \ hi ITALIAN LIRA U.S. CANADIAN DOLLAR I M J S 1966 D M J 1967 S D M J *1968 S D M S 1969 Below par D Chart 9A \ J 3-MONTH FORWARD EXCHANGE RATES AGAINST U.S. DOLLARS-NEW YORK Friday figures Per cent per annum PREMIUMS- GERMAN MARK / v SWISS FRANC POUND STERLING DISCOUNT— PREMIUM + DUTCH GUILDER A / , CANADIAN DOLLAR 10 FRENCH FRANC M J S D 1966 J 1967 S D J 1968 S D M J 1969 S D 3-MONTH FORWARD EXCHANGE RATE AGAINST POUND STERLING-LONDON Friday figures Per cent per annum PREMIUM- GERMAN MARK U.S. DOLLAR SWISS FRANC DISCOUNTM J S D 1966 M S 1967 D M J 1968 S D * M J 1969 S D \< INDUSTRIAL STOCK INDICES ,„ 8 , l 0 0 Roiio tcole 360 320 280 240 SWITZERLAND 200 U.S. GERMANY 160 U.K. 120 360 320 280 JAPAN 240 CANADA 200 U.S. 1M its 1965 • • • Swiei Seek Corporallsn indweiriol stock index. index el 225 industrial end ether Hoc 1911 1117 111! w October 9, 1968. H. 13 No. 371 (all figures in per cent per annum) Chart 4 Chart 1 Upper Panels (Wednesday, Oct. 2 ) 6.12 Euro-$ deposit Call Euro-$ deposit 5.65 Federal Funds 5 . 90 Panel -0. 65 Net incentive (Canada +) -0.35 Canadian Finance paper ) Call 6.00 30-day 6.44 90-dav 6.31 180-day Spread (favor U.K. +) •+1.36 -1.38 Forward rate -0.02 Net incentive (U.K. +) Chart 5.42 5.77 5.36 5. 6.2 5.88 6. 13 Upper Panel (Friday, Treasury Bills 6 Oct. 4 6.38 ) Lower Panel 4.75 German Interbank loan rate ( Oct. 1-7 ) Euro-$ deposits (average) 3.79 Zurich 3-month deposit (Oct. 2 Lower Panel (date: Sept. 30 ) 3.75 Euro-$ rate (covered) (Oct. 7) 6.10 39.24 (average-week ended Oct. 4) 5.49 Euro-$ deposit (London) Oct . 1-7 II. Price of Gold (London) 5. 19 6. 55 U.S. U.K. Canada Interbank Loan (mid-point) Zurich 3-mo. deposit 6.55 Chart 5B 6.31 Hire-Purchase (Sept. 20 ) (Sept. 27 ) Local Authority ( Sept. 20) ( Sept. 27) Euro-$ deposit ( Sept. 20 ) (Sept. 27 ) Chart 3 7.41 < U.K. Local Authority deposit (Sept. 11) Treasury bills: U.K. U.S. Chart 2fi I. Upper Panel (Period: +0.30 Chart 5A (Friday, Oct. 4 Euro-$ deposits (Friday, Oct. 4 Lower 5.49 5. 19 Forward Canadian dollar Chart 2A Upper Panel ^ Spread (favor Canada +) ) Lower Panels (Wednesday, Oct. 2 0ctl U.S. 5.69 U.S. certif. of deposit (Friday, Treasury bills: Canada 4.75 3. 75 Japan Composite Rate ( July 31 ) 7.52 U.S. Treasury bills ( Oct. 4 ) 5.19 October 9, 1968. II. b H. 13 No. 371 Chart 9A Chart 7 Upper Panel U.S. Gov't. (Wed., (Friday, Oct. 2 ) 5. 23 Oct. 4 Against U.S. dollars Upper Panel Netherlands Govt. (Fri. ,Sept. 27) 6. 47 Swiss francs 4-2. 79 Canadian Gov't. (Wed. , Oct. 2 ) 6.84 German marks 4-0.84 Swiss Gov't. Composite (Fri., £ sterling -1.38 Oct. 4) 4.37 Lower Panel Middle Panel German Fed., (Fri., Oct. 4 ) 6.21 U.K. War Loan (Thus., Oct. 3 ) 7.54 Euro-$ bonds (Fri. , Oct. 4 7.60 ) Low.- r Panel U.S. Euro-bonds ( SePt- 30 U.S. Corporate Aaa ( Sep!. Chart 8A (Friday, Oct. 4 ) • V; -1.29 French franc Dutch guilder 4-0. 84 Canadian do Liar -0.65 Chart 9B (Friday, Oct. 4 Against pound sterling 7 14 • Upper Panel 5.97 ) German mark 4-3.68 U.S. dollar 4-1. 16 Lower panel Upper Panel 4-1.92 Swiss franc Swiss francs 4-1. 67 German marks 4-0. 62 U.K. £ sterling -0.44 Chart 10 (Index; 1958 = 100) Upper Panel U.K. ( Lower Panel French francs -0.75 Dutch guilders -0.47 Japanese yens? 4-0. 36 Chart 8B uct (Friday, - 4 ) -0.40 Belgian francs Canadian dollars 4-0. 78 Italian lira 4-0.48 Friday, Oct. 4 ) Germany ( Sent. 21 Switzerland ( Oct. 4 279.5 ) 264.4 ) 342.0 Lower Panel U.S. ( Oct. 4 ) 228.6 Canada ( Sept. 26 ) 217.7 Japan ( Oct. 4 ) 31 9. 2 For descriptions and sources of data, see Special Supplement No. 343-5 dated March 27, 1968. )
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