mr - obveznice kao berzanska roba
TRANSCRIPT
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400394/2009
, 2010.
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1. .......................................................................................................................
2. ..................
2.1. ........................................................................................
2.2. .......................................................
2.2.1. .......................................................
2.2.2. .................................................
2.2.3. ..............................................................
2.2.4. () ..............................................................
2.2.5.
-..................................................
3. ......................................
3.1. ............................................................................
3.2. .......................................................................
3.3. ................................................................................
3.4. ...............................................................................
3.5. ................................................................3.6. ..............................................................
4. .............................................................
4.1. ...................................................................
4.1.1. ..................................................................
4.1.2. .....................................................................................
4.2. ....................................................................
4.3. ....................................................................
4.4. ...........................................4.5. .............................................................................................................
4.5.1. .............................................................................
4.5.2. .......................................................................4.5.3. ...............................................................................
4.5.4. .............................................................................4.6. ....................................................................................................
4.6.1. ...................................................
4
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4348
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5. .............
5.1. .....................................................................................
5.2. ................................................................
5.3. ..............................................................................................
5.4. ...................................................
5.5. .................................................................
5.6. ................................................................................
6. ..................................................................................................................
6.1. .............................................6.2. n-..............................................
7. ............................................................................................................
8. ........................................................................................................
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10. (. baby bonds).
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101.000 $11Hickman, ., Corporate Bond Quality and Investor Experience, Princeton University Press, 1958.
(http://www.nber.org/books/hick58-1 , 2010. .)
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16: Size and Structure of the World Bond Market: 2001, Merrill Lynch International Fixed Income
Research, April 2001.17
BIS Quarterly Review, September 2010.
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3.
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25US Bureau of Labor Statistics
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- 1.000$: 15. 2003.: 15. 2008.3,5%CPI 185,00----------------------------------------------------------------------------------------------------------------
. 15.07.03. 185,00 - 1.000,00 -15.01.04. 187,78 0,015 1.015,00 17,7615.07.04. 190,59 0,015 1.030,00 18,0315.01.05. 193,83 0,017 1.047,74 18,3415.07.05. 197,51 0,019 1.067,65 18,6815.01.06. 201,46 0,020 1.089,00 19,0615.07.06. 205,49 0,020 1.110,78 19,4415.01.07. 209,19 0,018 1.130,77 19,7915.07.07. 212,96 0,018 1.151,13 20,1415.01.08. 217,22 0,020 1.174,15 20,5515.07.08. 222,65 0,025 1.203,50 21,06
----------------------------------------------------------------------------------------------------------------
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, , . . , ,
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2002. 40% . . : The Municipal Bond Investors Assurance (MBIA),
American Municipal Bond Assurance Corporation (AMBAC), the Financial SecurityAssurance (FSA),the Financial Guaranty Insurance Company (FGIC), Capital GuarantyInsurance Company (CGIC), and Connie Lee Insurance Company. . , BBB., ,
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ETM . 6,30% .
34Bruce D. Fielitz, "Calculating the Bond Equivalent Yield forT-Bills", Journal of Portfolio Management 9, no.3 (1983.), . 58-60.35TIPS - Treasory Inflation Protection Securities36Frank K. Reilly, Keith C. Brown, Investment Analysis and Portfolio Management, South-Western Pub, 2002.,.72637BIA - Municipal Bond Insurance Association
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, . ,. , . , .
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, , 1231,19$ 123,119% .
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4.1.2.
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45NVP - eng. Net Present Value46IRR - eng. Internal rate of return
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, ..
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, . . , . . 1, , i (Pm) .
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7Homer, S., Leibowitz, M., Inside the Yield Book, Englewood Cliffs, N.J. , Prentice-Hall,1972. , 1.
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: 8%25 (): 4,5%25 (): 8%.
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. , .
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= 40(18,2574) + 1000(0,1702)= 900
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311,80 = 1.000$ / (1 +i=6%, 12%. , .
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(2)
:P- nc - Ci- iPc-
,
i , .
. . , (hp) n.
48YTC - eng. yield to call49Homer S., Leibowitz, M., Inside the Yield Book, EnglewoodCliffs, N.J. , Prentice-Hall, 1972. , 4.
-
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62
. , . . . , .
.
. Pfhp(1) :
P
(3)
, i .
(3) . , . , , .
, .
-
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63/104
-
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64/104
64
. ,, , .
, (Ci) (Pp) . , , (n - hp).
(i). . () Pf hp i.
, 842$ 12%. , 8% 5 . , (Pf ) , ., , 20 , 8%. (4) :
P 50 11,04 1.000 11,04
= 50 (19,7928) + 1.000(0,2083)= 989,64 + 208,30= 1.197,94 $
, .
(4) . , i. , . (. 20 , 14% ) 14 10% . (1.330,95$) , :
Pm = 1.000$hp= 2
P , 1.000 ,
= 1.158,30 + 172,65= 1.330,95$
-
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65/104
65
1.000 50 701i/2 1.330,951i/2
= 27,5% ,
(27,5%). ,
, 14 10%, 27,5%. (ending-wealth position). , .
:1. ,
, .2. ,
.3.
.4. (
). .
15. ,
.
, .
, , . , , ( ) . ,
50.
504. Fabrozzi, F., The Handbook of Fixed-IncomeSecurities, 6th Edition, McGraw-Hill, New York, 2001.
-
8/13/2019 MR - Obveznice Kao Berzanska Roba
66/104
-
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67/104
67
4.4. "SPOT RATES"51
. , , ,
, . : . , . , , . . , (), , .
, (spot rates). , , , 2002. 1.2,91% , 4,28% 4,85% . . (2,14%) (5,40%) 326 2002. , .
1. 52
(.)
1 2.142 2.913 3.534 4.015 4.286 4.487 4.658 4.829 4.8810 4.8512 5.2514 5.3916 5.4718 5.5420 5.5825 5.6030 5.40
51eng. spot rate - ()52: Wall Street Journal, 6. , 2002.
-
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68
, , . , ,
(. " 70"). 5,58%, 6,28% . , (. ). :
P
(5)
:Pm- Ct - tn- it- t
, . , nn.
, 5 ( 2) , .
2:,
A B C
(.) $ PV $ PV $ PV
0.5 5.00 0.9756 60 $ 58.536 30 $ 29.268 1.0 5.20 0.9499 60 56.994 30 28.497 1.5 5.50 0.9218 60 55.308 30 27.654 2.0 5.70 0.8937 60 53.622 30 26.811 2.5 5.80 0.8668 60 52.008 30 26.004 3.0 5.90 0.8399 60 50.394 30 25.197 3.5 6.10 0.8103 60 48.618 30 24.309 4.0 6.30 0.7803 60 46.818 30 23.409 4.5 6.40 0.7532 60 45.192 30 22.596 5.0 6.50 0.7270 1,060 770.620 1,030 748.810 1,000 727.00 $1,238.110 $982.555 $727.00
-
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69
, . 6 6,5% ,:
6% 6.5%A $ 60 8.5302 = $ 511.81 $ 60 8.4254 = $ 505.52
$1,000 0.7441 = 744.10 $1,000 0.7270 = 727.00= $1,255.91 = $1,232.52
$ 30 8.5302 = $ 255.90 $ 30 8.4254 = $ 252.76$1,000 0.7441 = 744.10 $1,000 0.7270 = 727.00
= $1,000.00 = $ 979.76
$1,000 0.7441 = $ 744.10 $1,000 0.7270 = $ 727.00= $ 744.10 = $ 727.00
, . , , . , .
-
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70/104
70
4.5.
, , . 1938. 53,
. , , 1970-, , , .
, , . , , , .
, :
1. ,
2. ,3. 4. .
4.5.1.
, , . , D :
/1 /1 (6)
:t -
Ct- ti-
, . ., ,
. :
1.000$ 1.000$ 10 10 4% 8%
53Macaulay, F., Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields, and Stock Pricesin the United States since 1856 , National Bureau of Economic Research, New York, 1938.
-
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71
8% , 3
54. , .
.,
.
, . . , 8% .
3. (8%)
54.
-
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72
, ., . 3, , () -, 100% n.
,
, . , . .
4. - . , . , , ( ) , , , ,.
4:
, , . . 3.12% 8%,
8,12 7,75%, 7,25 6,80%
55
. 15% 6. .
, . , . ,
55Reilly, F., Sidhu, R., The Many Uses of Bond Duration, FinansialAnalysis 36, no.4, July-August 1980., 58-72 .
-
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73
(call) . , .:
- .- .- .
- , . - . , (20 ).
- .-
.
4.5.2.
, , . (3) , . , 10 , (i) 8%, :
10/ 1 . = 10/(1,04) = 9,62
, ,
56.
6, .
100 (7)
- - - - 100. . 8 8,5%, =50/100=0,50.
56Hopewell, ., Kaufman, G., Bond Price Volatility and Term to Maturity: A Generalized Respecification, AmericanEconomic Review 63, no.4, September 1973.,749-753 .
-
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-
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75/104
75
6%, , 10%. . , ( ) , . ,
. , .
, . , , .
4.5.3.
, . , , - . , :
1. ,2. ,3. , .
.
, . , ., (. ). , .
, . :
(Deff) = (8)
E (C (9)
-
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76/104
-
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77/104
77
, 106 3. -- 574%, :
0,0390 (P) = 108,556260940,0410 (
P) = 107,92318176
0,04 () = 108,24082177
D ,,,, 2,92 ,
, (2,92) . , , .4% :
C
=
,,,,,
= -20,33
, ., , 4% 23,76 , , 21,77 6% . .
58, :
= +
, , , , . , , , , .
3 4.59 . .
3.
57 Black, F., Derman, B., E. and Wo Toy, A one-Factor Model of Interest Rates and Its Application to Treasury BondOptions", Financial Analysts Journal 46, no.1 (- 1990. ), 33-39 .58 eng. putable bonds - , , ( ) .59Reilly, F., Brown, ., Investment Analysis and Portfolio Management, South-Western Pub, 2002., 786-787..
-
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78/104
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79/104
79
-
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80
4.5.4.
, ,
. . , , . (.) . , , .
:
%Price = - Dmodx(i) (10)
:Dmod- i -
, . :
- Dmod= %Price / i (11)
Dmod, Dmp . , (i) , .200 10%.
Dmp= - 10/ (-200/100)
5. . 100 .
, :
= + D** Y + u (12)
-
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81/104
81
:
-
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D** - DmpY -
u -
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(),
().
4.6.
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y -
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. :
))y , .
, , 1/(1+r)2
,
. .
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82
4.6.1.
:
1. , , , , . , .
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, , .
3. . , .
4. . ,
.
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5.
.
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26/95, 59/98.
, .
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.
, .
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.
70- 80-
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()
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84
"
(" . 59/98, 44/99 53/01).
2011. .
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..
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4. 2002. ( , 36/2002)
. ,
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.
. ,
,
.
.
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.
. , -3%
5% .
.
19. 2002.
4,2 ,
.
37,2% ,
.
62
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86
, , , ,
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.
. (.. ..),
, . ,
.
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4.176 . 100
. 13% 14%
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,
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87
() .
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). ,
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, 7, 14, 30 60 ,
:
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14 - 17.5%
30 - 18.3%
60 - 18.9%
,
2003. .
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91
,
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,
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350 ,
10.000 50.000 .
, 65
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.
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;
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(+1). :
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, (+0).
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65 . 128/2003, 14/2004, 26/2004, 104/2004, 126/2004
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93
5.5.
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95
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2015. 2016. . ,
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,
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96
6.
:
6.1.
-
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97/104
97
, . .:
Pm = 1.000$i - 70$ 6, 12, 18 24
Pf =1330,95$ ()
. ( , ).
i113% 18 = 70$ * (1+0,065) = 84,55$i212% 12 = 70$ * (1+0,06)
2= 78,65$
i311% 6 = 70$ * (1+0,055) = 73,85$i3 = 70$ * (1,0) = 70,00$ = 307,05$
:
1.330,95 + 307, 05 = 1.638,00$
(1.638$) (1.000$) ., .(). 6.1 12% (1,5745) 14%(1,6890). 13,6% 26,32%. , (1,6890)1/4- 1. 27,5% 27,5%.
.
-
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98/104
98
6.2. n-
-
8/13/2019 MR - Obveznice Kao Berzanska Roba
99/104
99
. 10.000$ 8% 6.3, . .
6.3.
(FV) FV
FV = PV x (1.00 + i)n FV = PV x [FV factor]
FV = $10,000 x (1.00 + 0.02)8 FV = $10,000 x [FV factor for n=8, i=2%]
FV = $10,000 x (1.02)8
FV = $10,000 x 1.172 FV = $10,000 x 1.172
FV = $11,720 FV = $11,720
n- i-
1,172 3.2, n = 8 i = 2%.
, , i = 10%.
1,000 1,000 0 . 10% , , (n = 1) 10% . 1,100. ,(n = 2) 1.210, 10% 0,110 (1,100 x 10%).1.331, 0,121 (1,331 1,210; and 1,210 x 10%).
, . .
, . 10% . 3,138$ 12. .
, . , 1.000$
-
8/13/2019 MR - Obveznice Kao Berzanska Roba
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100
10% , 12 3.138$.:
, 8 , 3. : , , .
. (Internal Rate of Return - IRR) 15%. : 45$,30$, 35$, 110$ , .
, :
Vn = Vo (1 + i)n:
Vn - ,Vo - ,i - ,
n - .
, i 15%, n . 8 . , , , . 110$15%:
110$ * 3,05402 = 335,94$
8
335.94$ * 3 ha = 1.007,83$
.
, . . (, , )
, 66.
66(. hedging business) . , . , . , , ,, , .
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(. Savings and Loan Associations) ,
1980. . ,
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8. :
1. Barnhill, T., Maxwell, W., Shenkman, M., High Yield Bonds, McGraw-Hill, New York
1999.
2. , ., - , , 2007.
3. , ., , , 2. , 2003.
4. , ., , ,
, 2007. .
5. , ., , , 2008.
6. , ., , ., , , , 2006.
7. Macaulay, F., Some Theoretical Problems Suggested by the Movements of Interest Rates,
Bond Yields, and Stock Prices in the United States since 1856. , National Bureau of
Economic Research, New York, 1938.
8. , ., , 21., 2003.
9. McTravish, R., Maintlang, A., Industrial Marketing, Macmillan, , 1980.
10. Reilly, F., Brown, K., Investment Analysis and Portfolio Management, South-Western
Pub, 2002.11. : ,
, 2005.
12. , ., , , 2004 .
13. Fabrozzi, F., The Handbook of Fixed-Income Securities, 6th Edition, McGraw-Hill, New
York, 2001.
14. ,., , , 2007.
15. :
, 2007.
16. Homer, S., Leibowitz, M., "Inside the Yield Book", Englewood Cliffs, N.J. , Prentice-
Hall, 1972.
17. Hickman, B., Corporate Bond Quality and Investor Experience, Princeton University
Press, 1958.
18. , ., , ., , Clio, 2006.
19. , ., -
, ,
2007.
20. , ., , ., ,
, 2007.
21. Yago, Glenn, Junk Bonds, Oxford University Press, 1999.
:
1. 2.
, , . 59/98, 44/99 53/01).
3.
, , . 36/2002.
4. , .
128/2003, 14/2004, 26/2004, 104/2004, 126/2004.
5. , , .
32/93, 61/95, 44/99, 36/2002 37/2002
-
8/13/2019 MR - Obveznice Kao Berzanska Roba
104/104
:
1. Belkaoui, ., Industrial Bond Ratings: A New Look, Financial Management 9, N.3,
Spring 1980.
2. Black, F., Derman, E., and Wo Toy: "A one-Factor Model of Interest Rates and ItsApplication to Treasury Bond Options", Financial Analysts Journal 46, no.1 ( -
1990.)
3. Reilly F., Sidhu, R., The Many Uses of Bond Duration, Finansial Analysis 36, no.4, July-
August 1980.
4. Fielitz, ., "Calculating the Bond Equivalent Yield for T-Bills", Journal of Portfolio
Management 9, no.3, Spring 1983.
5. Hopewell, M., Kaufman, G., Bond Price Volatility and Term to Maturity: A Generalized
Respecification, American Economic Review 63, no.4, September 1973.
6. Cantor, R., Packer, F., The Credit Rating Industry, Journal of Fixed Income 5, No.3,
December 1995.
:
1. www.aametrics.com - Asset Allocation Advisor
2. www.belex.rs -
3. www.bis.org - Bank for International Settlements
4. www.bls.gov - US Bureau of Labor Statistics
5. www.bradynet.com
6. www. bonds-online.com
7. www.bondscalc.com
8. www.bondmarkets.com
9. www.thecityuk.com
10. www.kalotay.com
11. www.moodys.com
12. www.nbs.rs -
13. www.salomonsmithbarney.com