人民大學(xué)國際金融市場：信貸與債券(存儲版)
【正文】 y deposits is calculated on the actual number of days elapsed, based on a 360day year (Actual/360) ? But for Eurosterling deposits, the interest calculation is based on the actual number of days in a 365days year (Actual/365) 同業(yè)拆借 ?各商業(yè)銀行和金融機構(gòu)之間的 相互借貸 ，又稱銀行同業(yè)拆放 ?可通過電話或電傳成交，故又 稱“ Call Money” 同業(yè)拆借 ? 是歐洲市場產(chǎn)生最早、規(guī)模最大的業(yè)務(wù) ? 期限從 O/N到 3個月，最長不超過 1年 ? 導(dǎo)致流動性和貸款能力在各銀行之間的 相互轉(zhuǎn)移 ? 主要憑信用，無需擔(dān)保，無需簽訂合同 同業(yè)拆借利率 ? LIBOR： The rate the bank charges for lending money ? LIBID： The rate the bank is willing to take deposit (Borrow) ? LIBOR＋ SPREAD(加息率 ) ?加息率由拆借雙方自行商定 ?一般在 %－ %之間 LIBOR ? 倫敦銀行同業(yè)拆放 (出 )利率 ? 從倫敦市場上業(yè)務(wù)量最大的 30家主要銀行中選出的 6家銀行在每個工 作日上午 11時的相互間放款利率的算術(shù)平均數(shù) LIBID ?倫敦銀行同業(yè)拆入利率 ?是主動要求其他銀行拆入 資金時的利率 Certificates of Deposit ? CDs are bank IOUs issued in bearer form: the name of the original depositor is not register on the certificate and title to the funds at maturity is conferred upon its holder ? Bearer certificates must be kept in safe custody US Domestic CDs ? In the US domestic market most bank CDs are issued with maturities of 1 to 6 months ? They are normally issued in $1 million units at face value and the majority are payable at maturity in New York ? To issue a CD a bank must have a good or acceptable credit ratings EuroCDs ? A EuroCD is a receipt for a Eurocurrency fixed term deposit typically with a Londonbased bank ? They are mainly in bearer form issued in 1 million units ? The main issuers are branches of major US banks, British clearing banks, branches of banks from continental Europe, and Japanese banks ? There is a secondary market for EuroCDs but mostly these papers are held until maturity and normally often in safe custody with the issuing banks ? For shortterm CDs interest is normally payable at maturity, so these are ‘bullet’ securities， with CDs which are issued with maturities of more than 12 months, interest is typically paid semiannually CD Pricing ? A CD gives its holder title to a known future cash flow of principal plus interest at some known future date Principal + Coupon (FV) Settlement Amount (PV) = ( 1 + (r x n ) / 360*) CD Pricing ? We discount the cash flows received at the end (Principal + Interest = future value) to current value R x ( 1 + (C x __t__ )) = 360*_________ ( 1 + (r x n ) ) 360* ? where: R = Face Value of the CD C = Coupon rate of the CD expressed in decimal form (. 5
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