投资学 PPT

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Treasury Bills

Bid (asked) yield = the interest rate calculated based on the bid (asked) price.

The yield is the bill’s discount rate from par value, annualized based on a 360-day year, and then reported as a percentage of par value. (Bankdiscount method) Ex: A t-bill with $10,000 par value, days to maturity = 90 days, and bid yield=4.91%. What is the bid price? 4.91%*(90/360)=1.2275% Bid price = 10,000*(1-0.012275)=$9,877.25

It is tied to different currencies, such as US dollar, British pounds, yen, euros, and so on. EURIBOR (European Interbank Offered Rate) at which banks in the euro zone are willing to lend euros among themselves.4ຫໍສະໝຸດ Treasury Bills



T-bills are highly liquid, i.e. they are easily converted to cash and sold at low transaction cost and with not much price risk. T-bills are issued with initial maturities of 28, 91, 182, or 364 days. The minimum denominations is $100. The income earned on T-bills is exempt from all state and local taxes, another characteristic distinguishing bills from other money market instruments.
Class 1
Asset Classes and Financial Instruments
Alice Ouyang
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Major Classes of Financial Assets or Securities

Financial markets are traditionally segmented into money markets and capital markets.

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Figure 2.3 The Spread between 3-month CD and Treasury Bill Rates

Ask yield = the yield for an investor who buys the bill for the asked price and holds it until maturity (T-bill’s bond-equivalent yield).
Ask yield = (10,000/9877.25)-1=0.0124 – for 90 days 1.24%*(365/90)=5.03% – for a 365-day year.

This rate has become the premier short-term interest rate quoted in the European money market, and serves as a reference rate for a wide range of transactions.
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The LIBOR Market

The London Interbank Offered Rate (LIBOR) is the rate at which large banks in London are willing to lend money among themselves.
Bid price = 10,000*[1-0.045*(6/360)] = 9,992.5 Asked price = 10,000*[1-0.0449*(6/360)] = 9,992.517 Ask yield = [(10,000/9,992.517)-1]*(365/6) = 0.0456 (= 4.56%)
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Treasury Bills

Change = the difference between the present day’s listed bid and the preceding day’s bid, in hundredths of a percentage point.

Ex: If the current bid = 4.91%, and CHG=-0.01 means that the discount rate of return on the previous day’s bid was 4.92%.

Money market instruments: short-term, marketable, liquid, low-risk debt securities.

Also called cash equivalents, or cash for short.

Capital market instruments: longer-term and riskier securities.
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Treasury Bills

If a T-bill’s days to maturity = 90 days, parvalue=$10,000, asked yield=4.9%, what are the asked prices of this t-bill?
Asked price =10,000*[1-0.0491*(90/360)]=$9877.5
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Yields on Money Market Instruments

Money market instruments are not risk-free. They promise yields greater than those on default-free T-bills.
The spread increased with economic crises, such as oil price shocks and subprime crisis in 2007.
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Figure 2.2 Treasury Bill Yields
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Example

A t-bill with DTM=6 days, bid yield=4.5%, and asked yield= 4.49%, what are the bid and asked prices, and ask yield (assumed that the par-value = $10,000)?

Includes longer-term bond markets, equity markets, and the derivative markets for options and futures.
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The Money Market Instruments





Treasury bills Certificates of Deposits Commercial Paper Bankers Acceptances Eurodollars Repurchase Agreements (RPs) and Reverse RPs Brokers’ Calls Federal Funds LIBOR Market
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Figure 2.2 Treasury Bill Yields
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Treasury Bills

Asked price = the price you would have to pay to buy a T-bill from a securities dealer. Bid price= the price you would receive if you wanted to sell a bill to a dealer. Bid price is slightly lower than the asked price. Bid-asked spread = Asked price-bid price, i.e. the dealer’s source of profit.
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Repos and Reverses

Repurchase agreements (repos, or RPs) is a form of short-term, usually overnight, borrowing.

The dealer sells government securities to an investor on an overnight basis, with an agreement to buy back those securities the next day at a slightly higher price. A reverse repo: the dealer finds an investor holding government securities and buys them, agreeing to sell them back at a specified higher price on a future date. The repos in China is up to 182 days, often used in open market operation.