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票券市場理論與實務 PowerPoint PPT Presentation


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票券市場理論與實務. 票券次級市場交易介紹. 第七講. 交易方式種類:. 1. 買賣斷交易 ( Outright Purchases/Sells ) 指票券商買入或賣出票券至票券到期日,即投資者向票券商買斷票券,如需資金再賣斷予票券商,惟持有期間需自負利率風險 保管 方式: 買賣斷交易時,投資人可委由第三金融機構代為保管,並交付買受人保管收據,買受人如為金融機構時,實務上以交付現券為主. 2. 附條件交易 ( Repo Trade )    指交易一方,先行出售或買入有價證券,並 承諾於一定期間後按雙方預先約定之價格予以 買回或賣回

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票券市場理論與實務

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7021219


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1.Outright Purchases/Sells


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2.Repo Trade

R.P


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Repo, RP

Reverse Repo, RS


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-------

------- 93/12/03 ------(4)0934000814


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(A)

(B) (C)


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(safe keep)

----------26


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YIELD ----------24


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(discount paper)

Outright Sale, OS


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()20%

1+(1 - / 365


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1,000,0001802.459,852.05201 1,000,000 (1,000,000985,205) 20% 997,041

2 997,041 / (1+2.45%80%180 / 365) () 987,4963 / 365 987,496 2.45% 180/365 11,9314 ( ) / 4 ( 997,041 987,496 ) 0.25 2,386 ( 5 ) 9,545

( 6 2,291 573


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( 120% )

20%

( )


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1.()

(1)(2)

()

( 987,496985,205 ) 0.25 573

(3)

PS(NCD)() (4) / 365 (5)


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2. ()

(1)() 1+ ( / 365)(2) ( NCD ) ( )(3) / 365(4)


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Re--purchase Agreement , R.P

R.P


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1.

2.

()[ 1(1 ) / 365 ]

( )


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602.4985,205

1985,205

2985,205[1(2.4%80%60/365)] 988,314

3(988,314985,205)0.25

777


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R .P

R .P()


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(1)

(2)R .PR .P/365

(3)

(4)


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RP


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1.

/ [ 1 ( 1 )R .P / 365]

2. R .P / 365

3.

( R .P) ( / 1 - )


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4. ()

6030RP30302.6 (RP2.4%)

(1) 986,627

355

(986,627985,205)


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R .P

1.

2. R .P / 365


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Outright purchase , O.P


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/ [1(1)


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1,000,0001809852.05301502.75%

997,041/ (1+2.75%80%) 988,107


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O.S

1.

(1)

/[1(1)

(2 )

()

(988,107987,496)0.25153


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2. R .P

(1) (1 / 365)

(2)()

(3)


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Reverse Repurchase Agreement, R.S.


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[1(1) ]

30 52.6

988,107

988,107(1+2.6%80% 5 / 365)988,389


Ncd interest bearing paper

(NCD)(interest-bearing paper )

1.

2. 12

3. CD


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(1 / 365 )

[()]


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  • 92.04.2392.01.08.92.07.08.NCD 2.5901.5%

    • 1,000,000(1+2.5%6 / 12)1,012,500

  • 1,012,500(11.5% 76 / 365)1,009,338

  • 1,009,338[(1,009,3381,000,000)20%]1,007,470


  • 7021219

    ( 1+ / 12 )

    ()


    7021219

    (1)

    (2)


    7021219

    • (3)

    • / 365

    • [1( /12 / 365 )

    • (4)

    • / 365

      • [1( /12 / 365 ) ]


    7021219


    7021219

    • DBU-------- OBU--------De-Po


    7021219

    ()


    7021219

    • 83.1215300

    • 83.11


    7021219

    ()

    • (FRNS)


    7021219

    ()

    • ()


    7021219

    ()


    7021219

    Interbank Call Loan tenor

    123 1 2 3 4 5 6 83.11

    37


    7021219

    ( Principle amount )

    33

    333


    7021219

    32 82.05.19821143861 32


    7021219

    Interbank Call Loan Rate 86.07.28


    7021219

    • ------

    • payment ----settlement---- (clear) final irrevocable


    7021219


    7021219


    7021219

    (92.01.01) RTGSRTGS Delivery Versus Payment


    7021219

    • ATM


    7021219

    • 1. 2.


    7021219

    1.

    2.

    3.

    4.


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    1. Real-Time Gross Settlement RTGS

    2. Delivery Versus PaymentDVP


    7021219


    7021219


    7021219

    (daylight overdraft)

    4 91.07.08

    FedCHIPS


    7021219

    91.07.08

    1.

    2.

    3.

    4.

    5.


    7021219

    • MICR

    • ()()


    7021219

    :


    7021219

    • :7687

    • ATM


    7021219


    7021219

    ()

    • 92.11.03 O/N 0.975%11.25%(1) 100,000,000*0.975%*1/365=2,671 92.11.03 92.11.04 +2,671(2)100,000,000*1.25%*30/365=102,740 92.11.03 92.12.03 +102,740


    7021219


    7021219

    ()

    • 1.2.3.

    • 1.2.


    7021219

    ()

    • Negative Intervention


    7021219

    (arbitrage)


    7021219

    1%


    7021219

    1.

    2.

    3.

    4.

    1. 2.

    3.

    4.

    5.

    6.3 92.09.15


    7021219

    9 92.09.15

    10 92.09.15


    7021219

    ()

    • 1. 2. 86.09.23


    7021219

    1.

    2.

    3.

    4.

    93/12/03

    (4)0934000814


    7021219

    -------90.10.09()0900000834

    93/12/03------(4)0934000814


    7021219

    ()


    7021219

    • Domestic markets

    • Euro markets Euro


    7021219

    o/n

    , discount rate

    , intervention rate

    , bank rate

    , money marketdealing rate


    Libor

    LIBOR

    • LIBORFIXING 11.00LIBOR

    • BBA LIBOR


    7021219

    • LIBOR LIBOR

    • LIBOR

    • PIBOR------

    • FIBOR------

    • HIBOR-----

    • SIBOR-----


    Federal funds

    Federal funds

    • (FRS) offer

    • DI--

    • tern Fed funds

    • Fed funds rate---o/n


    Formal structure of the fed

    Formal Structure of the Fed


    Informal structure of the fed

    Informal Structure of the Fed


    Fed balance sheet

    (Fed Balance Sheet)


    7021219

    • 1.----2.(principal amount)------3.(tenor)------4.(maturity)------5.(trade date)-----6.(spot date)-----offerbid


    7021219


    7021219

    • 360365

    • (hit the bid)

    • (take the offer)


    7021219

    (A / 365)(A /360) 36510%

    10*365/360 = 10.14% 360 10%10*360/365 =9.86%


    7021219

    Day-count fraction

    1.ACT/ACT (aak/aak)

    /=**

    2003.11.127-1/2-11/13

    2003/11/12--2004/05/12 182 2004/05/12--2004/11/12 184

    --

    --


    7021219

    2.ACT/365

    /365

    365366/365

    ACT/365

    182/3650.499 0.5

    2-1. ACT/365--Japan

    JGBs 365366/365

    ACT/365ACT/365--Japan


    7021219

    3.ACT/365 ISDA

    ISDA--International Swaps Dealers Association

    ACT/365 ISDA ACT/365

    ACT/365 ISDA = + 366 365


    7021219

    4. ACT/360

    360

    ()


    7021219

    • EUROCLEAR19861999Real-Time Gross Settlement, RTGSTrans-Europe Automated Real-time Gross settlement Express Transfer system, TARGET


    British clearers

    British clearers


    7021219

    • Federal Reserve Communication System, FedwireClearing House Interbank Payment System, CHIPSSociety for Worldwide International Financial TelecommunicationAutomated Teller MachineAutomated ClearingHousePoint of Sales System


    7021219

    Fedwire CHIPSCHIPS


    7021219


    Open market policy

    Open-market policy


    7021219


    7021219

    (defense operation)

    ----

    (dynamic operation)


    7021219


    7021219


    7021219

    1.

    2.

    3.

    4.

    5.

    ------- 2627


    7021219

    NCD


    7021219


    7021219

    • 88.12.2221

    • ----------


    7021219

    • 1. 2.


    7021219

    1.Moody's Investors ServiceA3

    2.Standard & Poor's Corp.A-

    3.Fitch RatingsLtd. A-

    4.TwA-

    92.05.16


    7021219

    (

    1.

    2.

    1.Moodys Investors ServiceA3Standard & Poors A-Fitch Ratings A-TwA-

    2.Moodys Investors ServiceBaa3Standard & Poor'sBBB-Fitch RatingsBBB-

    TwBBB-

    1.

    2.

    92.05.16


    7021219

    1.

    2.

    3.

    4.

    5.

    1.

    2.

    3.

    4.

    5. 6.7 92.05.16


    7021219

    92.04.28


    7021219

    1.

    2.


    7021219

    • ()


    7021219

    • 8610687449,66010,000,000861066.7

    • 86106 9,676,229


    7021219

    (9,676,229-9,660,000)4,057

    874410,000,0004,0579,995,943


    7021219

    • 86106874410,000,000$9,660,0008610686115305.51806.8

    • ( 1+RP / 365 )


    7021219

    9,672,512

    9,672,512(1+30/3655.5%)9,716,237

    (9,716,237-9,672,512)20%8,745

    [(10,000,000-9,660,000)0.2]-8,74559,255


    7021219


    7021219

    One---tier one ----

    Two---tier two ----


    7021219

    • ( foreign exchange SWAP transaction )86.02.04 ( liquidity SWAP ) ( mopping-up SWAP ) liquidity SWAP


    7021219

    -----


    7021219

    89.4.01

    1.

    2.

    3.


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