, CAPITAL MARKET DEVELOPMENTS ABROAD

Transcription

1 DIVISION OF INTERNATIONAL FINANCE BOARD OF eovernors» f " 1 No.j 368 ^ ^ j, CAPITAL MARKET DEVELOPMENTS ABROAD I. Ten Charts on Financial Markets Abroad II. Latest Figures Plotted in H.13 Chart Series, 1968 I. Ten Charts on Financial Markets Abroad Chart 1 - New York, London: Yields on U.S. Dollar Funds Chart 2 - London: Yields for U.S. Dollar Investors on 3-Month Funds Chart 3 - Interest Arbitrage: Fraikfurt/London, Zurich/London Chart 4 - Interest Arbitrage: New York/Canada Chart 5 - Interest Arbitrage: New York/London Chart 6 - Short-Term Interest Rates Chart 7 - Long-Term Bond Yields Chart 8 - Spot Exchange Rates--Major Currencies Against U.S. Dollar Chart 9-3-Month Forward Exchange Rates Chart 10 - Industrial Stock Indices Europe and British Commonwealth Section. NOT FOR PUBLICATION DECONTROLLED AFTER SIX MONTHS

2 4 NEW YORK-LONDON: YIELDS ON U.S. DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES Wednesday figures Per cent per annum EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT CALL EURO-DOLLAR DEPOSIT RATE VS. U.S. FEDERAL FUNDS RATE CALL EURODOLLAR DEPOSITS FEDERAL FUNDS EURODOLLAR OVER FEDERAL FUNDS Mar. Juii. Sept. Dec. Mar. Jun. Sept. Dec. Mar. Jun. Sept. Dec. Mar. Jun. Sept. Dec

3 3 LONDON: YIELDS FOR U.S. DOLLAR INVESTORS ON 3-MONTH FUNDS EURO-DOLLAR DEPOSIT RATES Friday figures Per cent per annum 30 DAY 180 DAY 90 DAY M J S D M S D J S D M S D

4 u LONDON; YIELDS FOR U.S. DOLLAR INVESTORS ON 3-MONTH FUNDS HIRE PURCHASE AND LOCAL AUTHORITY DEPOSIT RATES (covered) Friday figures EURO DOLLAR DEPOSIT, HIRE PURCHASE FAVOR HIRE PURCHASE DIFFERENTIAL FAVOR EURODOLLAR EURO DOLLAR DEPOSIT DIFFERENTIAL 1 I I 1 I 1 1 I

5 I H INTEREST ARBITRAGE: FRANKFURT/LONDON, ZURICH/LONDON FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO-DOLLAR RATE (COVERED) - < y DIFFI ERENTI AL / \ / W r " Iv r A A : INTERS 1 \ EURI» DOLL AR ANK LO W I V \f^d IAN RA TE 1 i 1 1 IN TE RMS O 1 F DM \ i r.i for FRANKFURT x/v> 1 1 i i 1 1 i i i i i i 1 1 i i Yfl z/ ) rv, t i \ EURODOLLAR ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE (COVERED) - 7 v r A s DIFFI ERENTI AL / V \y V \y^ A n j i i M X PRICE OF GOLD IN LONDON IN TE RMS C IF SWISS FR ANCS yv 1 1!.EURO-DOLLAR u - H h A WISS I JEP0SI F RATE A j V V" -V ; - 1 s\ FAVOR ZURICH! ps X/ r\l \ V V i FA i V0! 1 EURODOLLAR _L_L M J S D M J S Marlial closed March 13 April J_L J_L A-L } S

6 t, INTERS! ARBITRAGE, UNITED STATES /CANADA Friday figures Per cent per annum 3-MONTH TREASURY BILL RATES j CAN. FIN. CO PAPER UNITED STATES CANADA 1,, : : BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR 1 2 SPREAD IN FAVOR OF CANADA TP* FORWARD RATE DISCOUNT 3-MONTH COVERED RATE DIFFERENTIALS (NET INCENTIVES) TREASURY BILLS PRIME FINANCE PAPER FAVOR U.S. FAVOR CANADA

7 1 INTEREST ARBITRAGE, NEW YORK/LONDON 3-MONTH TREASURY BILL RATES I U.K. LOCAL AUTHORITY DEPOSITS LONDON NEW YORK

8 -6 INTEREST ARBITRAGE, NEW YORK/LONDON Per cent per onnum RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT FORWARD RATE! IN FAVOR OF LONDON 2 IN FAVOR OF NEW YORK RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE)

9 \ SHORT-TERM INTEREST RATES* 8 EURO-DOLLAR - LONDON f I * 7 'TU.K JAPAN 7 6 CANADA 5 U.S. 4 GERMANY '3 month treoiury bill ratal for oil counlriei except Japan (Averafe rate en bonk leant end dhteunli) Switzerland (3-month depoiit role) ond Germany (Interbank leen *ete) 3-month rate for U.S. dollar deposits in London. Digitized for FRASER

10 LONG-TERM BOND YIELDS NETHERLANDS CANADA U.S. SWITZERLAND I!! U.S. CORP. An l BONDS, ^ y -! 1 1! I 1 II II 1 II II II i i i I i i i i I i I I I 1 i I I I I

11 * Devaluation of the pound sterling from $2.80 J $2.40 Digitized for FRASER w SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR SWISS FRANC GERMAN MARK A U.K. STERLING BELGIAN FRANC DUTCH GUILDER FRENCH FRANC CANADIAN DOLLAR ITALIAN LIRA X/ JAPANESE YEN M J s D M J $ I I S D M J s B«low par

12 - I* 3-MONTH FORWARD EXCHANGE RATES AGAINST U.S. DOLLARS NEW YORK PREMIUM* 4 GERMAN MARK /fc SWISS FRANC POUND STERLING V X DUTCH GUILDER FRENCH FRANC CANADIAN DOLLAR FRENCH FRANC AGAINST POUND STERLING LONDON GERMAN MARK SWISS FRANC Av, U.S. DOLLAR DISCOUNT- Discsm- OlSCtHNT M 1961

13 v * INDUSTRIAL STOCK INDICIJ Ratio icole SWITZERLAND U.S. 200 GERMANY ? JAPAN U.S Corporation # Swin lank industrial stock inde*. S * Japan, index of 225 industrial and other steel

14 H:13 No. 368 II.a Latest Figures Plotted in H.13 Chart Series, 1968 (all figures per cent per annum) September 18, Chart 1 Upper Panels (Wednesday, Sept. 11 ^ Euro-$ deposit 6.00 U.S. certif. of deposit 5.85 Chart 4 (Friday, Sept. 13 ^ Treasury bills; Canada 5.42 U,S Lower Panels (Wednesday, Sept. 11 Call Euro-$ deposit 5.89 I Spread favor Canada Forward Canadian dollar -p. 79 Federal Funds 5.78 Net incentive (Canada +) -Q.62 Chart 2 (Friday, Sept. 13 \ Upper Panel - Euro-$ deposits: Call day day 5.6fl 180-day a 19 Middle Panel Canadian Finance paper n.a. Chart 5 (Friday, Sept. 13 ) Treasury bills: U.K U.S Spread favor U.K Hire-purchase paper Sept. 6 a.q? U.K. local authority deposit 7.68 Euro-$ deposit Sept Lover Panel Local-authority deposit Sept Euro-$ deposit Sept Chart 3 I. Upper panel (Period: Sept. 8-]5 ) Interbank Loan (mid-point) 3.62 Euro-$ deposits (average) 3.38 Lower Panel (date Aug. 15 ) Zurich 3-month deposit 3.75 Euro- $ rate (covered)sept II. Price of gold (Friday, Sept. 13) Treasury bills: U.S. Chart 6 (Friday, Sept. 13 ) U.K. Canada Interbank loan rate (German) ( Sept ) 3.62 Euro-$ deposit (London) 5.81 Zurich 3-month deposit (Date: Aug. 15 ) 3.75 Japan Composite rate (Date: July 31 ) 7.52

15 a No. 368 II. b - September 18, Chart 7 Chart 9 U.S. Gov't.(Wed.,Sent. 11 ) 5.15 U.K. War Loan (Thurs.,Sept. 12) 7.59 German Fed. (Fri., Sept. 13 ) 6.21 Against U.S. dollars: (Friday,Seoc. 11) Swiss francs Dutch Glds Swiss Confed. (Fri., ) n.a. German marks Fr. Francs Canadian Gov't. (Wed.,Septll) 6.56 Netherlands Gov't. (Friday, n. a. Euro-$ bonds (Fri.,R Pnt. n ) 7.61 U.S. Euro-bonds ( Aug. 11 ) 7.16 U.S. Corporate Aaa (Aug. 31 ) 6.02 Chart 8 (Friday, Sept. 13 ) Sterling Can. $ Against pound sterling: Swiss francs Ger. marks +5.nf> U.S. dollars Chart Japan (Sept. 13 ) U.K. (Fri.,Sept. 13 ) Switzerland (Fri,.Sept. 13 ) Germany ( Aug. 30 ) Canada ( Sept. 5 ) French francs -p.75 For descriptions and sources of data, see Special Supplement No. 343-S dated March 27, 1968.