Ten Charts on Financial Markets Abroad. II. Latest Figures*Plotted in H.13 Chart Series, ! ' ifita- NOT FOR PUBLICATION

Transcription

1 DIVISIONOF INTI BOARD OFOOVERNORS N= 3 37a NOV 19 November 13, CAPITAL MARKET DEVELOPMENTS ABROAD I. Ten Charts on Financial Markets Abroad II. Latest Figures*Plotted in H.13 Chart Series, 1968! ' ifita- Ten Charts on Financial Markets Abroad Chart 1 Chart 2 Chart 3 Chart 4 Chart 5 Chart 6 Chart 7 Chart 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: Frankfurt/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 NOT FOR PUBLICATION DECONTROLLED AFTER SIX MONTHS

2 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES Wednesday figures Per cent per EURODOLLAR DEPOSIT U.S. CERTIFICATE IF REPOSW i. EURO-DOLLAR OVER V S. CERTIFICATE OF DEPOSIT CALL EURO-DOLLAR DEPOSIT RATE VS. U.S. FEDERAL FUNDS RATE CALL EIRO-HLLAR DEPOSITS FEDERAL FVTTS T In 1005 Sept. In Sept. III Sept Sept

3 LONDON; YIELDS EURO-DOLLAR DEPOSIT RATES FOR U.S. DOLLAR INVISTORS ON 3-MONTH FUNDS 30 DAY CALL IN DAY DD DAY M J S I J t I S t ) S 1915 ID## 1DS7 IDS#

4 H LONDON: YIELDS FOR U.S. DOLLAR INVISTOKS ON 3-MONTH FUNDS HIRE PURCHASE AND LOCAL AUTHORITY DEPOSIT RATES (covered) Friday figures Per cent per annum EURO DOLLAR DEPOSIT. HIRE PURCHASE FAVOR HIRE PURCHASE DIFFERENTIAL FAVOR EURODOLLAR 1. I EM # MIL A* DEPOSIT» \ A r~ V _ LOCAL ATFTML IITY DEPOSIT A T M r V f \r * A I - DIFF ERENT IAL 1 1 I I I I l I l l l l I l l, l I I I, l i I l II rise (in * LLAR M J $ D J S I I S I I I S IMS IMS 1M7 I ItM

5 I INTEREST ARBITRAGE: FRANKFURT/LONDON, ZURICH/LONDON FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE (COVERED) I I f IN TERMS OF DM EURO-DOLLAR FAVOR FRANKFURT ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE (COVERED) I I I I FAVOR EURO-DOLLAR I I I I I IN TERMS OF SWISS FRANCS SWISS 9EF9SIT RATE DIFFI ERENTI IA L rww ZWHOI 35.5,5.4 V r V r>j \ V A I 1 EVRt-l SLLAR l i M i i 1 1 i i 1 1 i i i ' N U.S.ieller eiwi»ele*lmr fiee < 4S.I 43.1 v\ i, # # # 35.0 J L I I I l I I I I I I I I I M J $ I J I INS I M _L_L I IH7 i 19## 35# Market cleied Merck 13A»ril 1, -IMS. Digitized for FRASER

6 " ' V INTERST ARBITRAGE, UNITED STATES /CANADA Friday figures per cenl 3-MONTH TREASURY BILL RATES CAN. FIN. CO. PAPER! UNITED STATES /V ^ILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR PREMIUM 2 SPREAD IN FA*## TF CANADA FORWAR# RATE 3-MONTH COVERED RATE DIFFERENTIALS (MET INCENTIVES) FAVOR CANADA TRIASVRY RILLS * V - W 4 - PTWE FINANCE PAPER I FAVS* M.S. U.S IMS 1*7 1911

7 r> IN 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS LONDON NEW YORK IN7 111!

8 EREST ARBITRAGE, NEW YORK/LONDON DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON 4 2 PREMIUM DISCOUNT 0 FORWARD RATE II FAVN IF NEW YHI 2 4 RATE 1815 fill 1H7 1HI

9 SHORT-TERM IN EURO DOLLAR - LONDONt 9 JAPAN CANAIA I S V z V/ >3.month treeivry hi* reies ft «N cmmmtrm #«*#«rata M hern* lew* mm4 *ece«ihi) Switzerland (J-MWli rete) end Swainy (kherkent l»»# *«#») 1HI "j"3 monlh rate for U.I. d*n«f < #»» in

10 LONG-TERM BOND YIELDS Weekly figures Per cent per annum NETHERLANDS CANADA SWITZERLAND 9 I.K. I S. EMTMILM IS. >. AM MMS 1914 IMS ISM 1M7 Average el yields Ur fevr tereisw teller km* eeefed in leeiee. New series U» Ger*eey»lerl» 7-f-43 New series fer Swilierlewd iterls » New series fer Netkerlends slerts 1-7-M * * New series for Switzerland starts

11 Chart 8A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per c v SWISS FRANC 1.6 4f GERMAN MARK Par with U.S. U.K. STERLING Below par Above par DUTCH GUILDER J FRENCH FRANC with US, JAPANESE YEN M J S D M J S D M J S D M J S D 'Devaluation of the pound sterling from $2.80 to $2.40. Below par

12 Chart 8B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Above par 1.2 BELGIAN FRANC ITALIAN LIRA < U 1 CANADIAN DOLLAR U.S. Below par M J S D J S D M J S D M S D

13 Chart 9A 3-MONTH FORWARD EXCHANGE RATES AGAINST U.S. DOLLARS-NEW YORK Friday figures! j '! i r!.! i \^ M i l l! I M I I! I G i i 1! 1 PREMIUM + SWISS FRANC TV! AX V Per cent per annum i V Ing > r f POUND STERLI 1 ' rv DISCO UNT II 1 II 1 i i J 1 1 PREW IIUM + j DUTC H GUIL DERAz V A r w * X V < r 4 / X l! I CANAl )IAN Di OLLAR r 6 i 1 FRENCH 1 FRANI c i j! ! M M i I DISCOl JNT M J S D M J S D M Digitized for FRASER j i i I I 1 1 J S D M J S D

14 \ V L Chart 9B 3-MONTH FORWARD EXCHANGE RATE AGAINST POUND STERLING-LONDON Friday figures ^ Per cent per annum PREMIUM + GERMAN MARK U S. DOLLAR T SWISS FRANC FRENCH FRANC DISCOUNT M J S D M J S D M J S D M J S D

15 INDUSTRIAL STOCK INDICES )95fl )00 J 360 : U.S. 200 EMMY U.K # VS. 110 # SwiHlankCerpereiieei»*»etriel slackladaa. # * Japan indexef223 4 s*#«&, M HwTmkf h«a*».

16 W H. 13 No. 376 November 13, II. a. Latest Figures Plotted in H. 13 Series (all figures in per cent per annum) Chart 1 Chart 4 Upper Panels (Wednesday, Nov. 6 ) Euro-$ deposit U.S. certif. of deposit Lower Panels (Wednesday, Nov. 6 ) (Friday, Nov. 8 Treasury bills: Canada U.S. Spread (favor Canada +) Forward Canadian dollar Call Euro-$ deposit 6.41 Net incentive (Canada +) Federal Funds 6.07 Chart 2A Canadian Finance paper (Nov. 8) 6.38 Chart 5A (Friday, Nov. i 3 ) Euro-$ deposits (Friday, Nov. 8 ) U.K. Local Authority deposit 6.94 Upper Panel Call 6.50 Treasury bills: U.K U.S day 6.44 Chart 5B T.owpr Panpl 90-day 6.68 Spread (favor U.K. +) day 6.68 Forward rate Net incentive (U.K. +) Chart 2B Hire-Purchase ( Nov. 1 ) 6.35 Local Authority (Nov. 1 ) 6.07 Euro-$ deposit ( Nov. 1 ) 6.59 Chart 3 I. Upper Panel (Period: Nov. 1-7 ) Interbank Loan (mid-point) 4.40 Euro-$ deposits (average) 4.13 Lower Panel (date: Oct ) Zurich 3-mo. deposit 4.00 Upper Panel (Friday, Nov. 8 ) Treasury Bills U.S U.K Canada 5.45 Euro-$ deposit (London) Lower Panel German Interbank loan rate ( Nov. 7 ) 4.40 Zurich 3-month deposit (Oct. 31) 4.00 Japan CompositeRate ( Sept. 30 ) 7.43 U.S. Treasury bills ( Nov. 8 ) 5.41 Euro-$ rate (covered) (Nov. 7 ) 5.01 II. Price of Gold (London) (average-week ended Nov. 8)

17 H. 13 No. 376 II. b November 13, Upper Panel Chart 7 U.S. Gov't. (Wed., Nov. 6 ) 5.32 Netherlands Govt. (Fri.,Nov. 1 ) 6.50 Canadian Gov't. (Wed., pct. 30 ) 7.02 Swiss Gov't. Composite Middle Panel (Fri., Nov. 1 ) 4.38 German Fed., (Fri., Nov. 8 ) 6.21 U.K. War Loan (Thus.,Nov. 7 ) 7.63 Euro-$ bonds (Fri., Nov. 8 ) 7.56 Lower Panel U.S. Euro-bonds (Sept. 30 ) 7.07r (Oct. 31 ) 7.20 U.S. Corporate Aaa (Oct. 31 ) 6.09 Upper Panel Swiss francs German marks U.K. sterling Lower Panel French francs Dutch guilders Japanese yens Belgian francs Chart 8A (Friday, Nov. 8 ) Chart 8B (Friday, Nov. 8 ) Canadian dollars Italian lira , Chart 9A (Friday, Nov. 8 Against U.S. dollars Upper Panel Swiss francs German marks sterling Lower Panel French franc Dutch guilder Canadian dollar Chart 9B (Friday, Nov. 8 ) Against pound sterling Upper Panel German mark U.S. dollar Lower panel Swiss franc French Franc Chart 10 (Index; 1958 = 100) Upper Panel U.K. ( Nov. 8 Germany (_ Oct. 31 Switzerland ( Nov. 8 ) Lower Panel U.S. ( Nov. 8 ) Canada ( Oct. 31 ) Japan ( Nov. 8 ) For descriptions and sources of data, see Special Supplement No. 343-S dated March 27, Digitized for FRASER