Chapter7MoneyMarkets(金融市场学)

CHAPTER7MoneyMarketsChapterObjectivesnProvideabackgroundonmoneymarketsecuritiesnExplainhowinstitutionalinvestorsusemoneymarketsnExplaintheglobalizationofmoneymarketsMoneyMarketSecuritiesnMaturityofayearorlessnDebtsecuritiesissuedbycorporationsandgovernmentsthatneedshort-termfundsnLargeprimarymarketfocusnPurchasedbycorporationsandfinancialinstitutionsnSecondarymarketforsecuritiesMoneyMarketSecuritiesnTreasuryBillsnCommercialpapernNegotiablecertificatesofdepositsnRepurchaseagreementsnFederalfundsnBanker’sacceptancesMoneyMarketSecuritiesnTreasurybillslIssuedtomeettheshort-termneedsoftheU.S.governmentlAttractivetoinvestorsuMinimaldefaultrisk—backedbyFederalGovernmentuExcellentliquidityforinvestorsnShort-termmaturitynVerygoodsecondarymarketMoneyMarketSecuritiesnTreasurybillauction(fillbidsinamountdeterminedbyTreasuryborrowingneeds)lBidprocessusedtosellT-billslBidssubmittedtoFederalReservebanksbythedeadlinelBidprocessuAcceptshighestbidsuAcceptsbidsuntilTreasuryneedsgeneratedCompetitiveBiddingMoneyMarketSecuritiesnTreasurybillauction—noncompetitivebids($1millionlimit)lMaybeusedtomakesurebidisacceptedlPriceistheweightedaverageoftheacceptedcompetitivebidslInvestorsdonotknowthepriceinadvancesotheysubmitcheckforfullparvaluelAftertheauction,investorreceivescheckfromtheTreasurycoveringthedifferencebetweenparandtheactualpriceNoncompetitiveBiddingMoneyMarketSecuritiesnEstimatingT-billyieldlNocouponpaymentslParorfacevaluereceivedatmaturitylYieldatissueisthedifferencebetweenthesellingpriceandparorfacevalueadjustedfortimelIfsoldpriortomaturityinsecondarymarketuYieldbasedonthedifferencebetweenpricepaidforT-billandsellingpriceadjustedfortimeMoneyMarketSecuritiesnCalculatingT-BillAnnualizedYieldYTSP–PPPP365nYT=TheannualizedyieldfrominvestinginaT-billSP=SellingpricePP=Purchasepricen=numberofdaysoftheinvestment(holdingperiod)=MoneyMarketSecuritiesnT-billyieldforanewlyissuedsecurityPar–PPPP360nT-billdiscount=percentdiscountofthepurchasepricefromparPar=FacevalueoftheT-billsatmaturityPP=Purchasepricen=numberofdaystomaturityT-billdiscount=MoneyMarketSecuritieslShort-termdebtinstrumentlAlternativetobankloanlDealerplacedvs.directlyplacedlUsedonlybywell-knownandcreditworthyfirmslUnsecuredlMinimumdenominationsof$100,000lNotalargesecondarymarketCommercialPaperMoneyMarketSecuritiesnCommercialpaperbackedbybanklinesofcreditlBanklineusedifcompanylosescreditratinglBanklendstopayoffcommercialpaperlBankchargesfeesforguaranteedlineofcreditMoneyMarketSecuritiesnEstimatingcommercialpaperyieldsYCPPar–PPPP360nYCP=CommercialpaperyieldPar=FacevalueatmaturityPP=Purchasepricen=numberofdaystomaturity=MoneyMarketSecuritieslIssuedbylargecommercialbankslMinimumdenominationof$100,000but$1millionmorecommonlPurchasedbynonfinancialcorporationsormoneymarketfundslSecondarymarketssupportedbydealersinsecurityNegotiableCertificatesofDeposit(NCD)MoneyMarketSecuritiesnNCDplacementlDirectplacementlUseacorrespondentinstitutionspecializinginplacementlSelltosecuritiesdealerswhoreselllSelldirecttoinvestorsatahigherpricenNCDpremiumslRateaboveT-billratetocompensateforlowerliquidityandsafetyMoneyMarketSecuritieslSellasecuritywiththeagreementtorepurchaseitataspecifieddateandpricelBorrowerdefaults,lenderhassecuritylReversereponamefortransactionfromlenderlNegotiatedovertelecommunicationsnetworklDealersandbrokersusedordirectplacementlNosecondarymarketRepurchaseAgreementsMoneyMarketSecuritiesnEstimatingrepurchaseagreementyieldsRepoRateSP–PPPP360nRepoRate=YieldontherepurchaseagreementSP=SellingpricePP=Purchasepricen=numberofdaystomaturity=MoneyMarketSecuritieslInterbanklendingandborrowinglFederalfundsrateusuallyslightlyhigherthanT-billratelFeddistrictbankdebitsandcreditsaccountsforpurchase(borrowing)andsale(lending)lFederalfundsbrokersmaymatchupbuyersandsellersusingtelecommunicationsnetworklUsually$5millionormoreFederalFundsExhibit6.5a1PurchaseOrderShipmentofGoods5L/C3ShippingDocuments&TimeDraftDraftAccepted(B/ACreated)7JapaneseBank(Exporter’sBank)AmericanBank(Importer’sBank)ImporterExporter2L/C(LetterofCredit)Application4L/CNotification6ShippingDocuments&TimeDraftMoneyMarketSecuritieslAbanktakesresponsibilityforafuturepaymentoftradebillofexchangelUsedmostlyininternationaltransactionslExporterssendgoodstoaforeigndestinationandwantpaymentassurancebeforesendinglBankstampsatimedraftfromtheimporterACCEPTEDandobligatesthebanktomakegoodonthepaymentataspecifictimeBankersAcceptanceMoneyMarketSecuritieslExportercanholduntilthedateorsellbeforematuritylIfsoldtogetthecashbeforematurity,pricereceivedisadiscountfromdraft’stotallReturnisbasedoncalculationsforotherdiscountsecuritieslSimilartothecommercialpaperexampleBankersAcceptanceMajorParticipantsinMoneyMarketnParticipantslCommercialbankslFinance,industrial,andservicecompanieslFederalandstategovernmentslMoneymarketmutualfundslAllotherfinancialinstitutions(investing)nShort-terminvestingforincomeandliquiditynShort-termfinancingforshortandpermanentneedsnLargetransactionsizeandtelecommunicationnetworkValuationofMoneyMarketSecuritiesnPresentvalue