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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 G O V E R N O R *
F E D E R A L RESERVE SYSTEM
^
No. 165
^
September 30, 1964.
CAPITAL MARKET DEVELOPMENTS ABROAD
I.
II.
I.
Nine Charts on Financial Markets Abroad
Latest Figures Plotted In H.13 Chart Series, 1964
Nine Charts on Financial Markets Abroad
Chart 1 - International Money Market Yields for
U.S. Dollar Investors
Chart 2 - Interest Arbitrage, United States/Canada
Chart 3 - Interest Arbitrage, New York/London
Chart 4 - Interest Arbitrage for German Commercial
Banks
Chart 5 - Short-term Interest Rates
Chart 6 - Long-term Bond Yields
Chart 7 - Industrial Stock Indices
Chart 8 - Spot Exchange Rates - Major Currencies
Against U.S. Dollar
Chart 9 - 3-month Forward Exchange Rates
OFFICIAL USE ONLY
DECONTROLLED AFTER SIX MOUTHS
1/
INTER N A T I O N A L M O N E Y M A R K E T YIELD S FOR U.S. DOLLAR
INVESTORS!
3 - M O N T H E U R O - D O L L A R DEPOSIT VS. CERTIFICATE OF DEPOSIT
Wednesday figures
I Per t e n t
YIELDS
DIFFE
NTIAL: EURO.DOLLAR OVER
U S. C E R T I F I C A T E O F D E P O S I T '
I N E W YORK OFFER
Friday figures
RATES O N
SELECTED 3 - M O N T H i I N V E S T M E N T S
~
"
TREASURY BILLS-jFully Hedged?
.'COMMERCIAL PAPER-Fully Hed gTdj
UJK^HIRf PUBCHAIC
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{CANADIAN FINANCE COMPANY
U.S. FINANCE COMPANY;
fSipt.
1
INTEREST A R B I T R A G E , U N I T E D STATES /
CANADA
3 - M O N T H TREASURY BILL RATES
RATE D I F F E R E N T I A L A N D
FORWARD
CANADIAN
DOLLAR
SPREAD IN FAVOR OF CANADA
RATE D I F F E R E N T I A L * W I T H
h
•!
FORWARD
I
!
EXCHANGE
•
COVER
;i
NET INCENTIVE IN FAVOR OF CANADA
_L_L _L_L
1961
T iTu.idov figure) 1961 1962. Fridov l
Digitized for fFRASER
INTEREST A R B I T R A G E , N E W Y O R K / L O N D O N
Friday figures
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1
RA1rE DIF FEREIN T I A L
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Z
3 - M O N T H TREASURY BILL RATES
1
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I
1
1
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RATE D I F F E R E N T I A L W I T H F O R W A R D E X C H A N G E C O V E R
1965 j
1 1
INTEREST A R B I T R A G E FOR G E R M A N C O M M E R C I A L B A N K S
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TREASURY BILLS, I N T E R B A N K
EURO-DOLLAR
D E P O S I T RATES
LENDING
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RATE A N D
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GERMAN TREASURY BILLS
RATE D I F F E R E N T I A L A N D
FORWARD
DEUTSCHE MARK
FORWARD RATE DISCOUNT ( - )
TREASURY BILLS
RATE D I F F E R E N T I A L W I T H
NET INCENTIVE:
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FORWARD
EXCHANGE COVER
IN FAVOR OF FRANKFURT ( + 1
INTERBANK LOAN RATE/
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SHORT-TERM
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3-month Ireoiury bill rales I of oil countries except Japan
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SWITZERLAND
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1962
1 1 I I
1963
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1962
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INDUSTRIAL
STOCK
INDICES
,,58 = 100
• ttotio tcal« '
-200
loot
'
A'a 0 o n • index of 225 industriol and other stocki Irnded on the Tokyo exchange
SPOT
EXCHANGE
RATES
-
MAJOR
CURRENCIES
AGAINST
U.S.
DOLLAR
p.,
c.n,
Abov• par'
Below
LA.
Below
par
par
3-MONTH
AGAINST
AGAINST
AGAINST
FORWARD
E X C H A N G E RATE
U.S. DOLLARS
POUND
STERLING - L O N D O N
POUND STERLING
- LONDON
PREMIUM 4 -
,
DISCOUNT
September
H. 13
No.
30>-..l 9 64
165
IT.
'Figurfcs. P l o t t e d
In
l i . lx3 C h a r t
Per cent.
per annum
Chart 1
Upper panel
(Wednesday, Sept. 23
4. 19
U.S. certif. of deposit
3.87
Treasury bills:
Lower panels
Treasury bills:
)
U.S.
3.52
U.K.
4.50
Germany
3. 63
Canada
3.66
U.S.
3.53
U.K.
3. 78
Swiss 3-month deposits
(Date: Sept. 15 •)
3.19*
-Canada
3.53
Euro-$ deposit (London)
4. 19
U.S.
3. 75
Canada
4.12
Japan: compositeurate
(Date: May 29
)
7.935
Finance Co. paper:
Hire-purchase paper, U.K.
Chart 6
3. 97
Bonds:
Chart 2
(Friday, Sept. 25
Treasury bills:
U.S. govt:
(Wed., Sept. 23
)
Canada
3. 66
U.S.
3.52
Spread favor Canada
+0. 14
Forward Canadian dollar
-0. 20
Net incentive (Canada +)
-0.06
Chart 3
(Friday, Sept. 25
Treasury bills:
Per^ cent
per
Chart 5
(Friday, Sept. 25 ,
except as noted)
)
Euro-$ deposit
(Friday, Sept. 25
S e r i e s , 1964
) .
U.K.
4.-50
U.S.
3.52
Spread favor U.K..
+0. 98
Forward pound
-0. 75
Net incentive (U.K. +)
-m.23
)
4. 19
U.K. war loan
(Thurs., Sept. 17
: , Sept. 24
German Fed. Railway
(Fri.
Sept. 25
6.35
Swiss Confederation
(Fri.,
Sept. 18
4.06
Canadian govt,(Wed. ,
Sept. 16
Sept." 23
5.23
5.23
6.21
6.18
*0ther previously unreported figures:
Aug. 15 —
' Aug. 23 —
Aug. 31 —
3.07
.
3.19 "
3.25
Sept. 7 --•3.19
For description and sources of data see special annex to H. 13 Number 164,
September 23, 1964.
@FedFRASER