DIVISION OF INTERNATIONAL FINANCE BOARD OF GOVERNORS FEDERAL RESERVE SYSTEM H.13 September 21, 1966 No. 266 CAPITAL MARKET DEVELOPMENTS ABROAD I. Ten Charts on Financial Markets Abroad II. Latest Figures Plotted in H.13 Chart Series, 1966 I. Ten Charts on Financial Markets Abroad Chart 1 - New York, London, Montreal: Yields for U,S. Dollar Investors on 3-month Funds Chart 2 - London: Yields for U,S, Dollar Investors on 3-month Funds Chart 3 - Interest Arbitrage: Frankfurt/London, Zurich/London Chart 4 - Interest Arbitrage: New York/Canada Chart 5 - Interest Arbitrage: New York/London Chart 6 - Short-term Bond Yields 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. OFFICIAL USE ONLY (Decontrolled after six months)
NEW YORK, LONDON, MONTREAL: YIELDS FOR U.S. DOLLAR INVESTORS ON 3-MONTH FUNDS DOLLAR DEPOSIT RATES: NEW YO.RK-LONDON EURO-DOLLAR DEPOSIT U.S. CERTIFICATE OF DEPOSIT EURO-DOLLAR OVER U.S. CERTIFICATE OF DEPOSIT ; FINANCE CO. PAPER RATES (covered) : QUOTED IN NEW YORK CANADIAN FINANCE COMPANY HIRE PURCHASE j \ U.S. FINANCE COMPANY Mar. Jun. Sept. Dec. Mar Jun. Sept. Dec. Mar. Jun. Sept. Dec. 1964 1965 1966
LONDON: YIELDS FOR U.S. DOLLAR INVESTORS ON 3-MONTH FUNDS EUR'O-DOLLAR DEPOSIT RATES 180 DAY 90 DAY CALL 3 0 D A Y HIRE PURCHASE AND LOCAL AUTHORITY DEPOSIT RATES (covered) E U R O - D O L L A R DEPOSIT HIRE P U R C H A S E DIFFERENTIAL 7 FAVOR EURO-DOLLAR^ T LOpAL A U T H O R I T Y DEPOSIT EURO-DOLLAR D E P O S I T r DIFFERENTIAL FAVOR LOCAL AUTHORITY FAVOR EURO DOLLAR ;V> 1 9 6 4 1965 1 9 6 6
INTEREST ARBITRAGE: FRANKFURT/LONDON, ZURICH/LONDON FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE (COVERED) IN TERMS OF DM INTERBANK LOAN RATE EURODOLLAR 1 1 DIFFERENTIAL - 1 1 l 1 1 1 1 1 1 h. V k / u i i i i i i i i 0R\P'AHKFURT.z\. J FAVOR EURO-DOLLAR i i 1 ii 1 i i 1 i i / ZURICH DEPOSIT RATE VS. LONDON EURO DOLLAR RATE (COVERED) ' I IN TE^MsToVWK S FRANCS SWISS DEPOSIT RATE H PRICE OF GOLD IN LONDON us d<.u, P., i 1964 1965 1966
INTEREST GE, UNITED STA/ES/CANADA i n i I I 3-MONTH TREASURY BILL RAT IPAPER UNITED STATES BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR SPREAD L I Vy FORWARDJATE DISQOUNT 3-MONTH COVERED RATE DIFFERENTIALS (NET INCENTIVES) FAVOR CAiAOA PRIME FINANCE PAPER FAVOR U.S. FAVOR CANADA TREASURY BILLS FAVOR U.S. I I I I I I I I
INTEREST ARBITRAGE, NEW YORK/LONDON 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS LONDON 6 NEW YORK 4 2 RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING I I I SPREAD IN FAVOR OF LONDON PREMIUM DISCOUNT 0 FORWARD RATE RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) IN FAVOR OF LONDON 1963 1964 1965 1966
SHORT-TERM INTEREST RATES U.K. I EURO-DOLLAR - LONDON SWITZERLAND JAPAN CANADA GERMANY 1962 1963 1964 1965 1966
LONG-TERM BOND YIELDS GERMANY EURO-DOLLAR BONDS U.S. NETHERLANDS CANADA U.S. SWITZERLAND 1962 1963 1964 1965 1966 *'Xveroge of yields for four foreign government dollor bonds quoted «n London
SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR SWISS FRANC 1.2 GERMAN MARK U.K. STERLING FRENCH FRANC BELGIAN FRANC DUTCH GUILDER ITALIAN LIRA CANADIAN DOLLAR JAPANESE YEN M S o M j s D M 1 S D 1964 1965 1966 1.2
3-MONTH FORWARD EXCHANGE RATES AGAINST U.S. DOLLARS NEW YORK Friday ligurei GERMAN MARK v ''/ ^ v /- v SWISS FRANC i 4 V POUND STERLING DISCOUNT PREMIUM DUTCH GUILDER FRENCH FRANC CANADIAN DOLLAR DISCOUNT- AG Al NST POUND STERLING LONDON SWISS FRANC A PREMIUM I GERMAN MARK U.S. DOLLAR DISCOUNT M I S D M J S S D 1964 1965 1966
INDUSTRIAL STOCK INDICES Ratio icole 300 SWITZERLAND - 250 GERMANY U.K. 200 US 150 100 300 JAPAN 250 CANADA Z x ' 200 150,...1 L i L I i J.-! 1963 1965 1966 100 Digitized for FRASER *.
H. 13 Latest Figures Plotted in H.13 Chart Series, 196, " (all figures per cent per annum) Upper Panel Chart 1 (Wednesday, J- ) Chart 5 (Friday, Sept It ) Euro-$ Deposit U.S. certif. of deposit 6 Lower Panel (Friday, Sept, 166 ) Finance co. paper: U.S. 5 Canada Hire-purchase paper, U.K. Chart 2 (Friday, Sept, 16 ) Euro-$ deposits:. Call 6.23 7-day 6. 30 30-day^ 6 62 90-day 180-day Hire-purchase paper (Sept 9) Local-authority deposit (Sep: 9) Chart 3, Upper Panel (Peri^T Sep: 1- Interbank loan (mid^point) deposit (average) 5 63 6 84 6 96 6, 69 7 25 6. 93 6. 37 Treasury bills: U.K. U.S. Spread favor U.K. For^a^d pound Net incentive (U.K. +) Chart 6 (Friday, Sept 16 ) Treasury bills: U.S. U.K. Canad, Interbank loan rate (German) Sep: 1-7 Euro-$ deposit (London) Zurich 3-mo. deposit (Date: ^agus: 13 ) Japan composit rate (Date: -n.- 30 _) Chart 7 U.S. Gov't. (Wed., Sep: U ) 60 +0,33 6. 69 4,25 7 49 4 82 Lower Panel (Date: August!; U.K. War Loan (Thurs.,Sep% L : ' 7 19 Zurich 3-mo. deposit i Price of gold (FridayASept 9 Chart 4 (Friday, Sept It Treasury bills: Canada U.S. Spread favor Canada Forward Canadian $ Net incentive (Canada +) Canadian finance paper 3. 42-0 50 40 41-0 09 b 23 German Fed. (Fri., Sept 2 ) Swiss Confed. (Fri.,Sept 9 ) Canadian Gov't. (Wed.,Sept 1-" Netherlands Gov't perpetual 3% (Friday, %=p: - ) Euro-$ bonds (Fri., Sep' -9 ) 4, 07 3 83 6, Ot 6 S3 For descriptions and sources of data, see special supplement to H.13, Number 239, March 16, 1966.