financial institutions 金融市场与机构.pptx

Financial Markets and Intermediaries;Money Market Instruments;;;;;;Who buy MM instruments?;Money Market Instruments;Money Market;Commercial Paper Outstanding;Annualized Yields on Commercial Paper ;;Money Market Instruments;Discount yield;Commercial paper rates: Thursday, January 15, 2015. ;Selected Treasury Bill Quotes: Thursday, January 15, 2015;Comparing discount yields to long-term bond yields Bond yields are calculated using a 365 day year and using P0 as the basis. Need to convert the discount yield: Bond-equivalent Discount Yield = [(Pf – P0)/P0] * [ 365/h] Neither of these two discount yields account for compound interest. (Sensible, of course, given the short-run nature of MM instruments.) Effective Annual Rate (EAR): EAR = [1 + (bond-equiv. discount yield/(365/h))]365/h – 1.;Maturity;Fed Funds (1-7 days) and Treasury Repos (1-14 days). Sold at face value, interest payment made at maturity. Quoted rate = [(Pf - P0) / P0] * [ 360/h] P0 = the amount loaned at origination. Pf = value at maturity = P0 + interest payment. Quoted rate = [((P0 + interest payment) - P0) / P0] * [ 360/h] Quoted rate = [ interest payment / P0] * [ 360/h] Convert for comparing to longer term yields: Bond-equivalent yield = [quoted rate]*[365/360] EAR = [(1 + (bond-equiv. yield)/(365/h))]365/h – 1.;Federal funds;Consider a 7 day loan at the effective fed funds rate: Bank A borrows $2,000,000 (fed funds purchased) Bank B lends $2,000,000 (fed funds sold) How much does Bank A pay Bank B at end of week? Quoted rate = [interest payment / P0] * [ 360/h] 0.0013 = [interest payment / $2,000,000] * [ 360/7] interest payment = $50.56; total payment = $2,000,050.56 What are bond-equivalent yield and effective annual rate? Bond-equivalent yield = [0.0013]*[365/360] = 0.1318% EAR = [(1 + (0.001318)/(365/7))]365/7 – 1 = 0.1319%