ifiTa- · 2018. 11. 7. · DIVISION OF INTI NOV 19 N=3 37a CAPITAL MARKET DEVELOPMENTS ABROAD BOARD OF OOVERNORS November 13, 1968. I. Ten Charts on Financial Markets Abroad II. Latest

DIVISION OF INTI

NOV 1 9 N = 3 3 7a

CAPITAL MARKET DEVELOPMENTS ABROAD

BOARD OF OOVERNORS

November 13, 1968.

I. Ten Charts on Financial Markets Abroad II. Latest Figures*Plotted in H.13 Chart Series, 1968

! ' ifiTa-

Ten Charts on Financial Markets Abroad

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

Chart 1 Chart 2

Chart 3

Chart 4 Chart 5 Chart 6 Chart 7 Chart 8

Chart 9 Chart 10

Europe and British. Commonwealth Section.

NOT FOR PUBLICATION

DECONTROLLED AFTER SIX MONTHS

Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

NEW Y O R K - L O N D O N : YIELDS O N U.S. DOLLAR FUNDS 3 -MONTH DOLLAR DEPOSIT RATES Wednesday figures Per cent per

EURODOLLAR DEPOSIT

U.S. CERTIFICATE I F 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

I n Sept. 1005

I n . Sept. 1000

III. Sept. 1007

Sept 1000


L O N D O N ; YIELDS FOR U.S. DOLLAR INVISTORS O N 3 - M O N T H FUNDS E U R O - D O L L A R D E P O S I T R A T E S

30 DAY

CALL

I N DAY

DD DAY

M J S I • J t • • I S t • ) S • 1915 ID## 1DS7 IDS#


H

L O N D O N : Y I E L D S F O R U . S . D O L L A R I N V I S T O K S O N 3 - M O N T H F U N D S

H IRE P U R C H A S E A N D L O C A L A U T H O R I T Y D E P O S I T RATES ( c o v e r e d ) Friday figures Per cent per annum

E U R O D O L L A R D E P O S I T .

H I R E P U R C H A S E

FAVOR HIRE PURCHASE

D I F F E R E N T I A L FAVOR E U R O D O L L A R

— V _

E M

LOCAL

# M I L

ATFTML

1 . I A* DEPOSIT »

IITY DEPOSIT

A T

\ A

M r r~

V

f \r * A I -

D IFF 1 1 I

ERENT 1 1 1

IAL 1 1 I I I l I l l l l I l l , l I I I , l i I l I I r i s e ( i n * •LLAR

M J $ D • J S I • I S I I I S • I M S I M S 1 M 7 I I t M


I I N T E R E S T A R B I T R A G E : F R A N K F U R T / L O N D O N , Z U R I C H / L O N D O N F R A N K F U R T I N T E R B A N K L O A N RATE V S . L O N D O N E U R O D O L L A R RATE ( C O V E R E D )

I I f I N T E R M S O F D M

E U R O - D O L L A R

FAVOR FRANKFURT

FAVOR EURO-DOLLAR I I I I I I I I I

Z U R I C H D E P O S I T RATE V S . L O N D O N E U R O - D O L L A R RATE ( C O V E R E D )

I N TERMS O F S W I S S F R A N C S

SWISS 9 E F 9 S I T RATE

D I F F I ERENTI IA L

v \

r w w

i

ZWHOI

V r V r>J \ V A I 1 1 1 1 1 1 1 1 1 l 1 1 1 1 i M i i 1 1 i i 1 1 i i i ' N

1 EVRt-l SLLAR

U.S. ieller eiwi»ele*l Mr fiee < 35.5 , 5 . 4

,3.3

35.2

35.1 35.0 J — L I I I l I I

M J $ I • J I I N S I M

Market cleied Merck 13A»ril 1, - IMS.

I I I I I I I _L_L I

I H 7

4 S . I

4 3 . 1

41.#

3 1 . #

3 7 #

3 5 # i

19##


„ " ' V

I N T E R S T A R B I T R A G E , U N I T E D S T A T E S / C A N A D A Friday figures per° c e n l

3 - M O N T H T R E A S U R Y B I L L R A T E S

C A N . F I N . C O . P A P E R

! U N I T E D S T A T E S

/V

^ I L L R A T E D I F F E R E N T I A L A N D F O R W A R D C A N A D I A N D O L L A R PREMIUM 2 R A T E F O R W A R D

SPREAD I N F A * # # TF CANADA

FORWAR# RATE

3 - M O N T H C O V E R E D R A T E D I F F E R E N T I A L S ( M E T I N C E N T I V E S ) F A V O R C A N A D A

T R I A S V R Y R I L L S

* V - W 4 -

P T W E F I N A N C E PAPER

I F A V S * M . S .

U . S .

1965 I M S 1*7 1 9 1 1


r> IN

3 - M O N T H T R E A S U R Y BILL R A T E S

U.K. LOCAL AUTHORITY DEPOSITS

LONDON

NEW YORK

1001 I N 7 111! 1905


4

2

0

2

4

6

8

10

2

0

2

4

•

EREST A R B I T R A G E , N E W Y O R K / L O N D O N

D I F F E R E N T I A L A N D 3 - M O N T H F O R W A R D S T E R L I N G S P R E A D I N F A V O R O F L O N D O N

P R E M I U M

D I S C O U N T

F O R W A R D R A T E

I I F A V N I F NEW Y H I

RATE

1 H I 1 H 7 f i l l 1815


SHORT-TERM IN

EURO DOLLAR - L O N D O N t

9

J A P A N

C A N A I A I

• S

V z V /

1HI 1919 1997 1914 >3.month treeivry hi* reies f t «N cmmmtrm #« *#« rata M hern* lew* mm4 *ece«iHi)

Switzerland (J-MWli rete) end Swainy (kHerkent l»»# *«#»)

"j"3 monlh rate for U.I. d*N«f

LONG-TERM BOND YIELDS Weekly figures Per cent per annum

NETHERLANDS

CANADA

SWITZERLAND

9

I.K.

I S. E M T M I L M

I S . >. AM M M S

IMS I S M 1M7 1914 Average el yields Ur fevr tereisw teller k m * eeefed in leeiee.

• New series U» Ger*eey »lerl» 7-f-43 • • New series fer Swilierlewd iterls 1-3-47 • » • New series fer Netkerlends slerts 1-7-M • * * • New series for Switzerland starts 8-2-68


Chart 8A

SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR Per c v

1.6 SWISS FRANC

4 f GERMAN MARK

Par with U.S.

U.K. STERLING

Below par

Above par

DUTCH GUILDER

with US, J FRENCH FRANC

— JAPANESE YEN

Below par

M J S D M J S D M J S D M J S D

1966 1967 1968 1969 'Devaluation of the pound sterling from $2.80 to $2.40.


Chart 8B

SPOT EXCHANGE RATES - MAJOR CURRENCIES AGAINST U.S. DOLLAR

Above par

1.2

BELGIAN FRANC

• < U 1 CANADIAN DOLLAR

U.S. ITALIAN LIRA

Below par

S M D S S D M S D J M J D J 1966 1967 1968 1969


Chart 9A

3 - M O N T H F O R W A R D E X C H A N G E R A T E S

AGAINST U.S. DOLLARS-NEW YORK Friday figures Per cent per annum

6

i

! . !

! 1 PREMIUM +

| • | !

G ! • I

AX ! |

\ ̂ SWISS FRANC TV V 1 ' POUND

STERLI Ing > r f

| i

j ' !

i i

POUND STERLI V | i i 1 rV | r

M i l l ! 1 1 1 1 I M I I DISCO

1 1 1 U N T -

I I 1 I I 1 i i 1 1 1 1 1 1 1 1 1 J 1

j PREW

1 IIUM +

l

|

r w *

DUTC

V A

H GUIL DERAz

4

/ X

! I

X V < r CANAl )IAN Di OLLAR | r

• i j

FRENCH 1 F R A N I

!

| 1 FRENCH 1 F R A N I c

1 1

!

M M i I 1 1 1 1 1 1 1

DISCOl

1 1 1

JNT—

1 1 1 j 1 1 1 1 1 1 i i I I 1 1

10

M J S D M J S D M

1966 1967 J S D M J S D

1968 1969 Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis

\ V L

Chart 9B

3 - M O N T H F O R W A R D E X C H A N G E R A T E ^ AGAINST POUND STERLING-LONDON Friday figures Per cent per annum

PREMIUM +

GERMAN MARK

U S. DOLLAR

T

SWISS FRANC

£

FRENCH FRANC

DISCOUNT—

J S D S D S S M M J M J D M J D 1966 1967 1968 1969


INDUSTRIAL STOCK INDICES )95fl )00 J

360 :

320 |

280 |

240

200 U.S.

• E M M Y 160 U.K.

120 360

320

24#

VS. 110

# SwiH lank Cerpereiiee i»*»etriel slack ladaa. # * Japan index ef 223 —4 s*#«&, M Hw Tmkf h«a*».


W

H. 13 No. 376

November 13, 1968. II. a. Latest Figures Plotted in H. 13 Series

(all figures in per cent per annum)

Chart 1

Upper Panels (Wednesday, Nov. 6 )

Euro-$ deposit

U.S. certif. of deposit

Lower Panels (Wednesday, Nov. 6 )

6.56

6.03

Chart 4

(Friday, Nov. 8 Treasury bills: Canada

U.S.

Spread (favor Canada +)

Forward Canadian dollar

5.45 5.41

+0.04

-0. 63 Call Euro-$ deposit 6.41 Net incentive (Canada +) -0.59

Federal Funds 6.07 Canadian Finance paper (Nov. 8) 6.38

Chart 2A 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. 6.41 U.S. 5.41 30-day 6.44 Chart 5B

T.owpr Panpl 90-day 6.68 Spread (favor U.K. +) 4-1. 00

180-day 6.68 Forward rate „ -0.89

Chart 2B Net incentive (U.K. +) +0. 11

6.35 Hire-Purchase ( Nov. 1 ) __

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. 24-31 )

Zurich 3-mo. deposit 4.00

Upper Panel (Friday, Nov. 8 ) Treasury Bills U.S. 5.41

U.K. 6.41 Canada 5.45

Euro-$ deposit (London) 6. 68

Lower Panel

German Interbank loan rate ( Nov. 7 ) 4.40

Zurich 3-month deposit (Oct. 31) 4.00 Japan Composite Rate ( Sept. 30 ) 7.43 U.S. Treasury bills ( Nov. 8 ) 5.41

Euro-$ rate (covered) (Nov. 7 ) 5.01 II. Price of Gold (London) 39.36

(average-week ended Nov. 8)


H. 13 No. 376

Chart 7

Upper Panel

U.S. Gov't. (Wed. , Nov. 6 ) 5.32

Netherlands Govt. (Fri.,Nov. 1 ) 6.50

Canadian Gov't. (Wed., pct. 30 ) 7.02

II. b November 13, 1968.

Swiss Gov't. Composite (Fri. , Nov. 1 ) 4.38

Middle Panel

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

Chart 8A (Friday, Nov. 8 )

Upper Panel

Swiss francs German marks U.K. £ sterling

Lower Panel French francs Dutch guilders Japanese yens

Chart 8B (Friday, Nov. 8 )

Belgian francs Canadian dollars Italian lira

+ 1.68 +0.69 -0,43

-0. 76 -0.50

+0.49

-0.29 +0.77 +0.33

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

+0.98

+2.50

-0.89

+0.76

-0.63

(Friday, Nov. 8 ) Against pound sterling

Upper Panel

German mark

U.S. dollar Lower panel

Swiss franc French Franc

+3.53

+0. 80

+1. 67 +0. 36

Upper Panel

U.K. ( Nov. 8

Germany (_

Chart 10 (Index; 1958 = 100)

Oct. 31

Switzerland ( Nov. 8 )

Lower Panel U.S. ( Nov. 8 )

Canada ( Oct. 31 )

Japan ( Nov. 8 )

273.4

267.4

350.4

229.2

218-1 295.6

For descriptions and sources of data, see Special Supplement No. 343-S dated March 27, 1968.


Documents

ifiTa- · 2018. 11. 7. · DIVISION OF INTI NOV 19 N=3 37a CAPITAL MARKET DEVELOPMENTS ABROAD BOARD OF OOVERNORS November 13, 1968. I. Ten Charts on Financial Markets Abroad II. Latest