金融市場學(xué)課件4money market

1Chapter4MoneyMarkets日本超中國成為美國國債最大買主巴西對外資征2%金融活動(dòng)稅各國加大買入美元遏制美元跌勢美國9月貿(mào)易逆差擴(kuò)大，對華逆差升至近一年高位三、日本超中國成為當(dāng)月美國國債最大買主最近美國財(cái)政部公布一項(xiàng)數(shù)據(jù)：日本8月份增持美國國債1050億美元，總量增至7310億美元，超過中國成為當(dāng)月美國國債的最大買主。相比，中國8月份減持美國國債的持有量，約34億美元，總量減至7971美元。英國也增持了美國國債。

當(dāng)前美國政府應(yīng)對經(jīng)濟(jì)危機(jī)的措施與20世紀(jì)90年代日本政府應(yīng)對經(jīng)濟(jì)衰退的措施非常類似，這些措施不僅推動(dòng)了經(jīng)濟(jì)增長而且也提高了政府債券的投資回報(bào)率。通貨緊縮預(yù)期是日本投資者購買美國政府債券的主要原因。巴克萊銀行預(yù)測2010年美國通貨膨脹率會(huì)回升至1.9%，遠(yuǎn)低于過去10年的平均值。他說：“日本投資者因?yàn)橛羞^類似的親身經(jīng)歷所以敢于大膽預(yù)測美國將出現(xiàn)通貨緊縮并因此做出大量購買美國政府債券的決定?！睙徨X流入巴西動(dòng)機(jī)：2014世界杯2016奧運(yùn)會(huì)巴西與澳大利亞、新西蘭等國一起成為首批自金融危機(jī)中恢復(fù)的經(jīng)濟(jì)體。海外投資界已把巴西視為與中國股市并駕齊驅(qū)的大牛市場，大量熱錢蜂擁而入。巴西對外資征2%金融活動(dòng)稅熱錢對巴西影響：

1.巴西貨幣雷亞爾對美元快速升值，升值約30%。

2.巴西股指較年初上漲79%。目的：阻止熱錢的大量流入，避免巴西金融市場過熱，防止投機(jī)性外資帶來的潛在風(fēng)險(xiǎn)，。征收對象：進(jìn)入巴西股市和購買巴西固定收益基金的外國資本，不包括投入生產(chǎn)領(lǐng)域的外國直接投資。

各國加大買入美元遏制美元跌勢

全球各國政府正加大舉措遏制美元跌幅，各國官員們?nèi)找鎿?dān)心美元疲軟會(huì)打擊到他們初現(xiàn)萌芽的經(jīng)濟(jì)復(fù)蘇勢頭。泰國、韓國、俄羅斯和菲律賓本周一直在大舉買入美元，意在壓低本幣的價(jià)值。美國經(jīng)濟(jì)目前正在努力走出衰退，而美元走軟實(shí)際上有利于美國，因?yàn)檫@會(huì)使得美國出口更有競爭力。那些試圖遏制本幣升勢的國家政府通常最后會(huì)積累大量他們可能并不需要的美元儲(chǔ)備。從長期來看，美元可能會(huì)貶值，因此，積累的大量美元儲(chǔ)備會(huì)不斷縮水，這是不健康的。美國9月份貿(mào)易逆差擴(kuò)大美國9月份貿(mào)易逆差擴(kuò)大，幅度超出預(yù)期，達(dá)到365億美元，因進(jìn)口增加繼續(xù)抵消了出口的增加，與中國的貿(mào)易逆差達(dá)到近一年來最高水平。

美國商務(wù)部(CommerceDepartment)周五公布，美國9月份國際商品和服務(wù)貿(mào)易逆差較8月修正后的逆差308億美元增加18.2%。89ChapterOutlineMoneymarketsecuritiesInstitutionaluseofmoneymarketsValuationofmoneymarketsecuritiesRiskofmoneymarketsecuritiesInteractionamongmoneymarketyieldsGlobalizationofmoneymarkets101.MoneyMarketSecuritiesMoneymarketsecurities:HavematuritieswithinoneyearAreissuedbycorporationsandgovernmentstoobtainshort-termfundsArecommonlypurchasedbycorporationsandgovernmentagenciesthathavefundsavailableforashort-termperiodProvideliquiditytoinvestors111.MoneyMarketSecurities(cont’d)Treasurybills:AreissuedbytheU.S.TreasuryAresoldweeklythroughanauctionHaveaparvalueof$1,000AreattractivetoinvestorsbecausetheyarebackedbythefederalgovernmentandarefreeofdefaultriskAreliquidCanbesoldinthesecondarymarketthroughgovernmentsecuritydealers121.MoneyMarketSecurities(cont’d)Treasurybills(cont’d)InvestorsinTreasurybillsDepositoryinstitutionsbecauseT-billscanbeeasilyliquidatedOtherfinancialinstitutionsincasecashoutflowsexceedcashinflowsIndividualswithsubstantialsavingsforliquiditypurposesCorporationstohaveeasyaccesstofundingforunanticipatedexpenses131.MoneyMarketSecurities(cont’d)Treasurybills(cont’d)PricingTreasurybillsThepriceisdependentontheinvestor’srequiredrateofreturn:TreasurybillsdonotpayinterestTopriceaT-billwithamaturitylessthanoneyear,theannualizedreturncanbereducedbythefractionoftheyearinwhichfundswouldbeinvested14ComputingthePriceofaTreasuryBill

Aone-yearTreasurybillhasaparvalueof$10,000.Investorsrequireareturnof8percentontheT-bill.WhatisthepriceinvestorswouldbewillingtopayforthisT-bill?151.MoneyMarketSecurities(cont’d)Treasurybills(cont’d)TreasurybillauctionInvestorssubmitbidsonT-billapplicationsforthematurityoftheirchoiceApplicationscanbeobtainedfromaFederalReservedistrictorbranchbankFinancialinstitutionscansubmittheirbidsusingtheTreasuryAutomatedAuctionProcessingSystem(TAAPS-Link)InstitutionsmustsetupanaccountwiththeTreasury,PaymentstotheTreasuryarewithdrawnelectronicallyfromtheaccountPaymentsreceivedfromtheTreasuryaredepositedintotheaccount161.MoneyMarketSecurities(cont’d)Treasurybills(cont’d)Treasurybillauction(cont’d)Weeklyauctionsinclude13-weekand26-weekT-bills4-weekT-billsareofferedwhentheTreasuryanticipatesashort-termcashdeficiencyInvestorscansubmitcompetitiveorpetitivebidsThebidsofpetitivebiddersareacceptedThehighestcompetitivebidsareacceptedAnybidsbelowthecutoffarenotacceptedSince1998,thelowestcompetitivebidisthepriceappliedtoallcompetitiveandpetitivebids171.MoneyMarketSecurities(cont’d)Treasurybills(cont’d)EstimatingtheyieldT-billsaresoldatadiscountfromparvalueTheyieldisinfluencedbythedifferencebetweenthesellingpriceandthepurchasepriceIfanewly-issuedT-billispurchasedandhelduntilmaturity,theyieldisbasedonthedifferencebetweenparvalueandthepurchaseprice181.MoneyMarketSecurities(cont’d)Treasurybills(cont’d)Estimatingtheyield(cont’d)Theannualizedyieldis:EstimatingtheT-billdiscountThediscountrepresentsthepercentdiscountofthepurchasepricefromparvaluefornewly-issuedT-bills:19ComputingtheYieldofaTreasuryBill

Aninvestorpurchasesa91-dayT-billfor$9,782.IftheT-billisheldtomaturity,whatistheyieldtheinvestorwouldearn?20EstimatingtheT-BillDiscountUsingtheinformationfromthepreviousexample,whatistheT-billdiscount?211.MoneyMarketSecurities(cont’d)Commercialpaper:Isashort-termdebtinstrumentissuedbywell-known,creditworthyfirmsIstypicallyunsecuredIsissuedtoprovideliquiditytofinanceafirm’sinvestmentininventoryandaccountsreceivableIsanalternativetoshort-termbankloansHasaminimumdenominationof$100,000Hasatypicalmaturitybetween20and270daysIsissuedbyfinancialinstitutionssuchasfinancecompaniesandbankholdingcompaniesHasnoactivesecondarymarketIstypicallynotpurchaseddirectlybyindividualinvestors22MoneyMarketSecurities(cont’d)Commercialpaper(cont’d)RatingsTheriskofdefaultdependsontheissuer’sfinancialconditionandcashflowCommercialpaperratingservesasanindicatorofthepotentialriskofdefaultCorporationscanmoreeasilyplacecommercialpaperthatisassignedatop-tierratingJunkcommercialpaperisratedlowornotratedatall231.MoneyMarketSecurities(cont’d)Commercialpaper(cont’d)Volumeofcommercialpaper:HasincreasedsubstantiallyovertimeIscommonlyreducedduringrecessionaryperiodsPlacementSomefirmsplacecommercialpaperdirectlywithinvestorsMostfirmsrelyoncommercialpaperdealerstosellitSomefirms(suchasfinancecompanies)createin-housedepartmentstoplacecommercialpaper241.MoneyMarketSecurities(cont’d)Commercialpaper(cont’d)BackingcommercialpaperIssuerstypicallymaintainabackuplineofcreditAllowsthecompanytherighttoborrowaspecifiedmaximumamountoffundsoveraspecifiedperiodoftimeInvolvesafeeintheformofadirectpercentageorintheformofrequiredcompensatingbalancesEstimatingtheyieldTheyieldoncommercialpaperisslightlyhigherthanonaT-billThenominalreturnisthedifferencebetweenthepricepaidandtheparvalue25EstimatingtheCommercialPaperYieldAninvestorpurchases120-daycommercialpaperwithaparvalueof$300,000forapriceof$289,000.Whatistheannualizedcommercialpaperyield?261.MoneyMarketSecurities(cont’d)Commercialpaper(cont’d)Thecommercialpaperyieldcurve:IllustratestheyieldofferedoncommercialpaperatvariousmaturitiesIstypicallyestablishedforamaturityrangefrom0to90daysIssimilartotheshort-termrangeoftheTreasuryyieldcurveIsaffectedbyshort-terminterestrateexpectationsIssimilartotheyieldcurveonothermoneymarketinstruments271.MoneyMarketSecurities(cont’d)Negotiablecertificatesofdeposit(NCDs):Areissuedbylargecommercialbanksandotherdepositoryinstitutionsasashort-termsourceoffundsHaveaminimumdenominationof$100,000AreoftenpurchasedbynonfinancialcorporationsAresometimespurchasedbymoneymarketfundsHaveatypicalmaturitybetweentwoweeksandoneyearHaveasecondarymarket28MoneyMarketSecurities(cont’d)Negotiablecertificatesofdeposit(NCDs)(cont’d)PlacementDirectlyThroughacorrespondentinstitutionThroughsecuritiesdealersPremiumNCDsofferapremiumabovetheT-billyieldtocompensateforlessliquidityandsafetyPremiumsaregenerallyhigherduringrecessionaryperiods291.MoneyMarketSecurities(cont’d)Negotiablecertificatesofdeposit(NCDs)(cont’d)YieldNCDsprovideareturnintheformofinterestandthedifferencebetweenthepriceatwhichtheNCDwasredeemedorsoldandthepurchasepriceIfinvestorspurchaseaNCDandholdituntilmaturity,theirannualizedyieldistheinterestrate30MoneyMarketSecurities(cont’d)RepurchaseagreementsOnepartysellssecuritiestoanotherwithanagreementtorepurchasethemataspecifieddateandpriceEssentiallyaloanbackedbysecuritiesAreversereporeferstothepurchaseofsecuritiesbyonepartyfromanotherwithanagreementtosellthemBank,S&Ls,andmoneymarketfundsoftenparticipateinreposTransactionsamountsareusuallyfor$10millionormoreCommonmaturitiesarefrom1dayto15daysandforone,three,andsixmonthsThereisnosecondarymarketforrepos311.MoneyMarketSecurities(cont’d)Repurchaseagreements(cont’d)PlacementRepotransactionsarenegotiatedthroughamunicationsnetworkwithdealersandrepobrokersWhenaborrowingfirmcanfindacounterpartytoarepotransaction,itavoidsthetransactionfeeSomecompaniesusein-housedepartmentsEstimatingtheyieldTherepoyieldisdeterminedbythedifferencebetweentheinitialsellingpriceandtherepurchaseprice,annualizedwitha360-dayyear32EstimatingtheRepoYieldAninvestorinitiallypurchasedsecuritiesatapriceof$9,913,314,withanagreementtosellthembackatapriceof$10,000,000attheendofa90-dayperiod.Whatisthereporate?331.MoneyMarketSecurities(cont’d)FederalfundsThefederalfundsmarketallowsdepositoryinstitutionstolendorborrowshort-termfundsfromeachotheratthefederalfundsrateTherateisinfluencedbythesupplyanddemandforfundsinthefederalfundsmarketTheFedadjuststheamountoffundsindepositoryinstitutionstoinfluencetherateAllfirmsmonitorthefedfundsratebecausetheFedmanipulatesittoaffecteconomicconditionsThefedfundsrateistypicallyslightlyhigherthantheT-billrate341.MoneyMarketSecurities(cont’d)Federalfunds(cont’d)TwodepositoryinstitutionscommunicatedirectlythroughacommunicationsnetworkorthroughafederalfundsbrokerThelendinginstitutioninstructsitsFeddistrictbanktodebititsreserveaccountandtocredittheborrowinginstitution’sreserveaccountbytheamountoftheloanCommercialbanksarethemostactiveparticipantsinthefederalfundsmarketMostloantransactionsareor$5millionormoreandusuallyhaveone-toseven-daymaturities351.MoneyMarketSecurities(cont’d)Banker’sacceptances:IndicatethatabankacceptsresponsibilityforafuturepaymentsArecommonlyusedforinternationaltradetransactionsAnunknownimporter’sbankmayserveastheguarantorExportersfrequentlysellanacceptancebeforethepaymentdateHaveareturnequaltothedifferencebetweenthediscountedpricepaidandtheamounttobereceivedinthefutureHaveanactivesecondarymarketfacilitatedbydealers361.MoneyMarketSecurities(cont’d)Banker’sacceptances(cont’d)Stepsinvolvedinbanker’sacceptancesFirst,theU.S.importerplacesapurchaseorderforgoodsTheimporterasksitsbanktoissuealetterofcredit(L/C)onitsbehalfRepresentsacommitmentbythatbanktobackthepaymentowedtotheforeignexporterTheL/Cispresentedtotheexporter’sbankTheexportersendsthegoodstotheimporterandtheshippingdocumentstoitsbankTheshippingdocumentsarepassedalongtotheimporter’sbank37SequenceofStepsintheCreationofABanker’sAcceptanceImporterExporterAmericanBank(Importer’sBank)JapaneseBank(Exporter’sBank)1PurchaseOrder5ShipmentofGoods2L/CApplication3L/C7ShippingDocuments&TimeDraftAccepted4L/CNotification6ShippingDocuments&TimeDraft382.InstitutionalUseofMoneyMarketsFinancialinstitutionspurchasemoneymarketsecuritiestoearnareturnandmaintainadequateliquidityInstitutionsissuemoneymarketsecuritieswhenexperiencingatemporaryshortageofcashMoneymarketsecuritiesenhanceliquidity:Newly-issuedsecuritiesgeneratecashInstitutionsthatpreviouslypurchasedsecuritieswillgeneratecashuponliquidationMostinstitutionsholdeithersecuritiesthathaveveryactivesecondarymarketsorsecuritieswithshort-termmaturities392.InstitutionalUseofMoneyMarkets

(cont’d)Financialinstitutionswithuncertaincashin-andoutflowsmaintainadditionalmoneymarketsecuritiesInstitutionsthatpurchasesecuritiesactasacreditortotheinitialissuerSomeinstitutionsissuetheirownmoneymarketinstrumentstoobtaincashManymoneymarkettransactioninvolvetwofinancialinstitutions403.ValuationofMoneyMarketSecuritiesFormoneymarketsecuritiesmakingnointerestpayments,thevaluereflectsthepresentvalueofafuturelump-sumpaymentThediscountrateistherequiredrateofreturnbyinvestors413.ValuationofMoneyMarketSecurities(cont’d)ExplainingmoneymarketpricemovementsThepriceofanoninterest-payingmoneymarketsecurityis:Achangeinthepricecanbemodeledas:423.ValuationofMoneyMarketSecurities(cont’d)Explainingmoneymarketpricemovements(cont’d)ImpactofSeptember11TheweakeconomycombinedwiththiseventcausedinvestorstotransferfundsintomoneymarketsecuritiesTheadditionaldemandplacedupwardpressureontheirpriceanddownwardpressureontheiryieldsTheFedaddedliquiditytothebankingsystemandreducedthefederalfundsrate433.ValuationofMoneyMarketSecurities(cont’d)IndicatorsoffuturemoneymarketsecuritypricesEconomicgrowthismonitoredsinceitsignalschangesinshort-terminterestratesandtherequiredreturnfrominvestinginmoneymarketsecuritiesEmploymentGDPRetailsalesIndustrialproductionConsumerconfidenceIndicatorsofinflation444.RiskofMoneyMarketSecuritiesBecauseoftheshortmaturity,moneymarketsecuritiesaregenerallynotsubjecttointerestraterisk,buttheyaresubjecttodefaultriskInvestorscommonlyinvestinsecuritiesthatofferaslightlyhigheryieldthanT-billsandareveryunlikelytodefaultAlthoughinvestorscanassesseconomicandfirm-specificconditionstodeterminecreditrisk,informationabouttheissuer’sfinancialconditionislimitedMeasuringriskMoneymarketparticipantscanusesensitivityanalysistodeterminehowthevalueofmoneymarketsecuritiesmaychangeinresponsetoachangeininterestrates455.InteractionAmongMoneyMarketYieldsMoneymarketinstrumentsaresubstitutesforeachotherMarketforceswillcorrectdisparitiesinyieldandtheyieldsamongsecuritiestendtobesimilarInperiodsofheighteneduncertainty,investorstendtoshiftfromriskymoneymarketsecuritiestoTreasuriesFlighttoqualityCreatesagreaterdifferentialbetweenyields466.GlobalizationofMoneyMarketsInterestratedifferentialsoccurbecausegeographicmarketsaresomewhatsegmentedInterestrateshaveemorehighlycorrelated:ConversiontotheeuroTheflowoffundsbetweencountrieshasincreasedbecauseof:TaxdifferencesSpeculationonexchangeratemovementsAreductioningovernmentbarriersEurodollardeposits,Euronotes,andmercialpaperarewidelytradedininternationalmoneymarkets476.GlobalizationofMoneyMarkets(cont’d)EurodollardepositsandEuronotesEurodollarcertificatesofdepositareU.S.dollardepositsinnon-U.S.banksHaveincreasedbecauseofincreasinginternationaltradeandhistoricalU.S.interestrateceilingsIntheEurodollarmarket,bankschanneldepositedfundstootherfirmsthatneedtoborrowthemintheformofEurodollarloansTypicaltransactionsare$1millionormoreEurodollarCDsarenotsubjecttoreserverequirementsInterestratesareattractiveforbothdepositorsandborrowersRatesofferedonEurodollardepositsareslightlyhigherthanNCDrates486.GlobalizationofMoneyMarkets(cont’d)EurodollardepositsandEuronotes(cont’d)Investorsinfixed-rateEurodollarCDsareadverselyaffectedbyrisingmarketratesIssuersoffixed-rateEurodollarCDsareadverselyaffectedbydecliningratesEurodollar-floating-rateCDs(FRCDs)periodicallyadjusttoLIBORTheEurocurrencymarketismadeupofEurobanksthatacceptlargedepositsandprovidelargeloansinforeigncurrenciesLoansintheEurocreditmarkethavelongermaturitiesthanloansintheEurocurrencymarketShort-termEuronotesareissuedinbearerformwithmaturitiesofone,three,andsixmonths496.GlobalizationofMoneyMarkets(cont’d)mercialpaper(Euro-CP):Isissuedwithoutthebackingofabankingsyndica