H. 13 No. 374 CAPITAL MARKET DEVELOPMENTS ABROAD October 30, 1968. Lisr j l. Ten Charts on Financial Markets Abroad \u\ zl oo' Ijl. Latest Figures Plotted in H. 13 Chart Series, 1968 dci^t'tcll I. Ten Charts on Financial Markets Abroad Chart 1 - New York, London: Yields on U.S Dollar Funds Chart 2 - London: Yields for 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 Interest Rates Chart 7 - Long-Term Bond Yields Chart 8 - Spot Exchange Rates--Major Currencies Against 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 NOT FOR PUBLICATION DECONTROLLED AFTER SIX MONTHS
i- NEW YORK-LONDON: YIELDS ON DOLLAR FUNDS 3-MONTH DOLLAR DEPOSIT RATES Wednesdoy figures Per cent per onnum EURO-DOLLAR DEPOSIT CERTIFICATE OF DEPOSIT EURO DOLLAR OVER CERTIFICATE OF DEPOSIT CALL EURO DOLLAR DEPOSIT RATE VS. FEDERAL FUNDS RATE CALL EURO-DOLLAR DEPOSITS FEDERAL FUNDS EURODOLLAR OVER FEDERAL FUNDS Mar. Jun. Sept. Dec. Mar. Jun. Sept. Dec. Mar. Jun. Sept. Dec. Mar. Jun. Sept. Dec. 1965 1966 1967 1968
3 LONDON: YIELDS FOR DOLLAR INVESTORS ON 3-MONTH FUNDS EURO-DOLLAR DEPOSIT RATES Friday figure! Per cent per annum 4 M J S D M J S D M J S D M J S D 1965 1966 1967 1968
LONDON: YIELDS FOR DOLLAR INVESTORS ON 3-MONTH FUNDS HIRE PURCHASE AND LOCAL AUTHORITY DEPOSIT RATES (covered) Friday figure* EURO-DOLLAR DEPOSIT HIRE PURCHASE FAVOR HIRE PURCHASE DIFFERENTIAL FAVOR EURO-DOLLAR EURODOLLAR DEPOSIT LOCAL AUTHORITY DEPOSIT FAVOR LOCAL AUTHORITY DIFFERENTIAL OR EURODOLLAR
* Market closed March 15-April 1, 1968 I INTEREST ARBITRAGE: FRANKFURT/LONDON, ZURICH/LONDON FRANKFURT INTERBANK LOAN RATE VS. LONDON EURO DOLLAR RATE (COVERED) I I IN TERMS OF DM EURO-DOLLAR i INTERBANK LOAN RATE DIFFERENTIAL FAVOR FRANKFURT FAVOR E U R O D O L L A R ZURICH DEPOSIT RATE VS. LONDON EURO-DOLLAR RATE (COVERED) IN TERMS OF SWISS FRANCS SWISS DEPOSIT RATE DIFFERENTIAL FAVOR ZURICH H PRICE OF GOLD IN LONDON dollor equivalent per fine
y INTERS? ARBITRAGE, UNITED STATES /CANADA 3-MONTH TREASURY BILL RATES CAN. FIN. CO PAPER UNITED STATES CANADA,, 1 1 1 1 : 1 1 1 BILL RATE DIFFERENTIAL AND FORWARD CANADIAN DOLLAR SPREAD IN FAVOR OF CANADA PREMIUM 1 2 FORWARD RATE r 3-MONTH COVERED RATE DIFFERENTIALS (NET INCENTIVES) FAVOR DISCOUNT CANADA TREASURY BILLS PRIME FINANCE PAPER FAVOR FAVOR CANADA 1965 1966 1967 1968
n INTEREST ARBITRAGE, NEW YORK/LONDON 3-MONTH TREASURY BILL RATES U.K. LOCAL AUTHORITY DEPOSITS LONDON NEW YORK 1965 1966 1967 1968
i INTEREST ARBITRAGE, NEW YORK/LONDON RATE DIFFERENTIAL AND 3-MONTH FORWARD STERLING SPREAD IN FAVOR OF LONDON 4 2 PREMIUM DISCOUNT 0 FORWARD RATE 2 4 6 8 T IN FAVOR OF LONDON 10 2 IN FAVOR OF NEW YORK 0 2 4 6 RATE DIFFERENTIAL WITH FORWARD EXCHANGE COVER (NET INCENTIVE) I i i, I i., I,, i,, I, ; I I I I ' M J S D M J " - " - - 8 1965 1966 1967 1968
SHORT-TERM INTEREST RATES* 8 EURO-DOLLAR - LONDONt f~ ^ V x 7 U.K. 6 5 / u s - /ir~* SWITZERLAND -J" 4 3 2 9 JAPAN 8 7 6 CANADA I 5 4 GERMANY ; 3 I I I I I I I I I I i I I I I I I I :: i I I ; j ; I! I I I 1 I ;! 11 11 1! I 1 I I I 2 1964 1965 1966 1967 1968 3-month treasury bill rotes for oil countries except Japan Average rote on bonk I Switzerland 3 month deposit rote) and Germany Interbank loon Rote 3-month rote for U S dollar deposits in London
0 LONG-TERM BOND YIELDS NETHERLANDS CANADA SWITZERLAND 9 GERMANY EURO-DOLLAR BONDS 8 EURO DOLLAR BONDS CORP. Aaa BONDS 1964 1965 1966 1967 1968 * Averoge of yields for four foreign government dollar bonds quoted m London $ * New ser es for Germany starts 7 9 65 * * * New series for Switzerland starts 3 3 67 **** New series for Netherlands starts 1 7 66
Chart 8A SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST DOLLAR Above par 1.6 SWISS FRANC I GERMAN MARK Ll\ U.K. STERLING Below par Above par ' DUTCH GUILDER FRENCH FRANC JAPANESE YEN Below par M S D M S D M J S D M J S D 1966 1967 1968 1969 * Devaluation of the pound sterling from $2.8(Ho $2 40
V- Chart 8B SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST DOLLAR Above par 1.2 BELGIAN FRANC ITALIAN LIRA CANADIAN DOLLAR Below par J S S D M S D S D 1966 1967 1968 1969
o Chart 9A 3-MONTH FORWARD EXCHANGE RATES AGAINST DOLLARS-NEW YORK Friday figures Per cent per an PREMIUM + GERMAN MARK l\ zv^ O A - Z Y V A SWISS FRANC \ 'vy \ POUND STERLING DISCOUNTf - 1 ^ 1 DUTCH GUILDER A/ CANADIAN DOLLAR FRENCH FRANC DISCOUNT M S M S S D J D J D S D 1966 1967 1968 1969
11 Chart 9B 3-MONTH FORWARD EXCHANGE RATE AGAINST POUND STERLING-LONDON Friday figures Per cent per annum PREMIUM* GERMAN MARK W V DOLLAR SWISS FRANC FRENCH FRANC M S D M S D M J S D M J S D 1966 1967 1968 1969
INDUSTRIAL STOCK INDICES,958=IOO Rotto teole 360 320 /I 280 240 SWITZERLAND 200 U.K. GERMANY 160 120 360 320 JAPAN 280 240 CANADA 200 160 120 1965 1966 1967 1968 * Swiss Bonk Corporation industrial stock index * * Japan index of 225 industrial and other stocks traded on the Tokyo exchange
H. 13 No. 374 II. a. Latest Figures Plotted in H. 13 Series (all figures in per cent per annum) \b October 30, 1968. Chart 1 Upper Panels (Wednesday, Oct. 23 ) Euro-$ deposit 6. 38 certif. of deposit 5.98 Lower Panels (Wednesday, Oct. 23 ) Call Euro-$ deposit 6.20 Federal Funds 5. 84 Chart 2A Euro-$ deposits (Friday, Oct. 25 ) Upper Panel Call 6.12 30-day 6.44 Chart 4 (Friday, Oct. 25 Treasury bills: Canada Spread (favor Canada +) Forward Canadian dollar Net incentive (Canada +) Canadian Finance paper Chart 5A (Friday, Oct. 25 ) U.K. Local Authority deposit Treasury bills: U.K. Chart 5B 5.50 5.37 +0. 13-0.63-0.50 6.25 7. 19 6.38 5.37 Lower Panel 90-day Spread (favor U.K. +) + 1.01 6. 56 Chart 2B Hire-Purchase ( Oct. 18 ) 6. 02 Local Authority ( Oct. 18 ) 5. 83 Euro-$ deposit ( Oct. 18 ) 6. 59 Forward rate Net incentive (U.K. +) Chart 6 Upper Panel (Friday, Oct. 25 ) Treasury Bills U.K. Canada - 1. 12-0. 11 5.37 6.38 5.50 Chart 3 Euro-$ deposit (London) 6. 56 I. Upper Panel (Period: Oct. 16-23 : Lower Panel Interbank Loan (mid-point) 4. 75 Euro-$ deposits (average) 4. 11 Lower Panel (date: Oct. 16-23 ) Zurich 3-mo. deposit 4. 00 German Interbank loan rate ( Oct. 16-23 ) 4. 75 Zurich 3-month deposit (Oct. 23) 4.00 Japan Composite Rate (Aug. 30 ) 7.49 Treasury bills (Oct. 25 ) 5.37 Euro-$ rate (covered) (Oct. 23) 5.99 II. Price of Gold (London) 39. 14 (average-week endedoct. 25)
H. 13 No. 374 October 30, 1968. II Upper Panel Chart 7 Gov't. (Wed., Oct. 23 ) 5.28 Netherlands Govt. (Fri., Oct. ID 6.48 Canadian Gov't. (Wed., Oct. 23 ) 7.04 Swiss Gov't. Composite (Fri., Oct. 25) 4. 37 Middle Panel German Fed., (Fri., Oct. 25 ) 6.21 U.K. War Loan (Thus., Oct. 24) 7.51 Euro-$ bonds (Fri., Oct. 25 ) 7.56 Lower Panel Euro-bonds ( Sept. 30 ) 7. 14 Corporate Aaa (Sept. 30 ) 5.97 Upper Panel Chart 8A (Friday, Oct. 25 ) Swiss francs 78 German marks 4-P. 60 U.K. sterling -0.38 Lower Panel French francs "0-7ft Dutch guilders -0.46 Japanese yens +0-45 (Friday, Oct. 25) Belgian francs " Q * 73 Canadian dollars +0.78 Italian lira +0.33 Against dollars Upper Panel Chart 9A (Friday, Oct. 25 ) Swiss francs +0.47 German marks +2. 25 sterling -1.12 Lower Panel French franc -0.47 Dutch guilder 4-1 m Canadian dollar -0.63 Chart 9B (Friday, Oct. 25 ) Against pound sterling Upper panel German mark dollar Lower panel Swiss franc Chart 10 (Index; 1958 = Upper Panel U.K. ( 0ct - 25 Germany ( Oct. 23 ) Switzerland ( Oct. 25 ) Lower Panel ( Oct. 25 ) Canada ( Oct. 10 ) Japan ( Oct. 25 ) ) 100) +3.42 +0.98 + 1.39 267.1 268.2 344.2 231.7 219.0 305.5 For descriptions and sources of data, see Special Supplement No. 343-S dated March 27, 1968.