Chap002資產(chǎn)種類與金融機構(gòu)課件

CHAPTER2AssetClassesandFinancialInstruments資產(chǎn)種類與金融機構(gòu)CHAPTER2AssetClassesandFin2-2AssetClassesMoneymarketinstruments貨幣市場Capitalmarketinstruments資本市場Bonds債券EquitySecurities股票DerivativeSecurities衍生工具2-2AssetClassesMoneymarketi2-3TheMoneyMarket貨幣市場Subsectorofthefixed-incomemarket:Securitiesareshort-term,liquid,lowrisk,andoftenhavelargedenominations固定收益市場的子市場，短期，流動性高，風(fēng)險低，本金大Moneymarketmutualfundsallowindividualstoaccessthemoneymarket.貨幣市場基金使得個人投資者進入貨幣市場2-3TheMoneyMarket貨幣市場Subsect2-4Table2.1MajorComponentsof

theMoneyMarket貨幣市場的主要構(gòu)成2-4Table2.1MajorComponents2-5MoneyMarketSecurities貨幣市場證券Treasurybills:Short-termdebtofU.S.government短期國庫券Bidandaskedprice買賣報價Bankdiscountmethod銀行貼現(xiàn)法CertificatesofDeposit:Timedepositwithabank大額存單CommercialPaper:Short-term,unsecureddebtofacompany商業(yè)票據(jù)2-5MoneyMarketSecurities貨幣市場2-6MoneyMarketSecurities貨幣市場Bankers’Acceptances:Anordertoabankbyabank’scustomertopayasumofmoneyonafuturedate銀行承兌匯票Eurodollars:dollar-denominatedtimedepositsinbanksoutsidetheU.S.歐洲美元ReposandReverses:Short-termloanbackedbygovernmentsecurities.回購，擬回購FedFunds:Veryshort-termloansbetweenbanks聯(lián)邦基金，銀行間的超短期貸款2-6MoneyMarketSecurities貨幣市場2-7YieldsonMoneyMarketInstruments

貨幣市場證券的收益ExceptforTreasurybills,moneymarketsecuritiesarenotfreeofdefaultrisk除了短期國庫券都有違約風(fēng)險BoththepremiumonbankCDsandtheTEDspreadhaveoftenbecomegreaterduringperiodsoffinancialcrisis大額存單類的風(fēng)險溢價在金融危機期間大幅上漲Duringthecreditcrisisof2008,thefederalgovernmentofferedinsurancetomoneymarketmutualfundsaftersomefundsexperiencedlosses危機期間聯(lián)邦政府曾經(jīng)提供過保險2-7YieldsonMoneyMarketInst2-8TheBondMarket債券市場TreasuryNotesandBonds中長期國債Inflation-ProtectedTreasuryBonds通脹保值債券FederalAgencyDebt聯(lián)邦機構(gòu)債InternationalBonds國際債券2-8TheBondMarket債券市場Treasury2-9TheBondMarket債券市場MunicipalBonds市政債券CorporateBonds公司債券MortgagesandMortgage-BackedSecurities資產(chǎn)抵押債券2-9TheBondMarket債券市場Municipa2-10TreasuryNotesandBonds

中長期國債Maturities期限Notes–maturitiesupto10yearsBonds–maturitiesfrom10to30yearsParValue-$1,000面值Interestpaidsemiannually付息Quotes–percentageofpar報價2-10TreasuryNotesandBonds

中2-11TheBondMarket債券市場Inflation-ProtectedTreasuryBonds通脹保值債券TIPS:Provideinflationprotection抗擊通貨膨脹FederalAgencyDebt聯(lián)邦機構(gòu)債Debtofmortgage-relatedagenciessuchasFannieMaeandFreddieMac房利美房地美InternationalBonds國際債券EurobondsandYankeebonds歐洲債券、揚基債券2-11TheBondMarket債券市場Inflati2-12MunicipalBonds市政債券Issuedbystateandlocalgovernments州政府或者地方政府Interestisexemptfromfederalincometaxandsometimesfromstateandlocaltax利息不須繳納收入稅，但是需要繳納資本利得稅2-12MunicipalBonds市政債券Issued2-13MunicipalBonds市政債券TypesGeneralobligationbonds:Backedbytaxingpowerofissuer一般責(zé)任債券：征稅能力支持Revenuebonds:backedbyproject’srevenuesorbythemunicipalagencyoperatingtheproject.收入債券：由具體的市政項目的收益支持2-13MunicipalBonds市政債券Types2-14Figure2.4Tax-exemptDebtOutstanding2-14Figure2.4Tax-exemptDebt2-15MunicipalBondYields市政債券Tochoosebetweentaxableandtax-exemptbonds,compareafter-taxreturnsoneachbond.在收稅和不收稅的債券間選擇，需要比較兩者的最終收益Lettequaltheinvestor’smarginaltaxbracketLetrequalthebefore-taxreturnonthetaxablebondandrm

denotethemunicipalbondrate.Ifr(1-t)>rm

thenthetaxablebondgivesahigherreturn;otherwise,themunicipalbondispreferred.2-15MunicipalBondYields市政債券T2-16Table2.2Tax-ExemptYieldTableTheequivalenttaxableyieldissimplythetax-freerate,rm,dividedby(1-t).2-16Table2.2Tax-ExemptYield2-17CorporateBonds公司債券Issuedbyprivatefirms私人公司發(fā)行

Semi-annualinterestpayments半年付息Subjecttolargerdefaultriskthangovernmentsecurities比政府債券違約風(fēng)險大Optionsincorporatebonds期權(quán)Callable可回收Convertible可轉(zhuǎn)換2-17CorporateBonds公司債券Issued2-18Proportionalownershipofamortgagepooloraspecifiedobligationsecuredbyapool抵押貸款池或者其他權(quán)益池的部分所有權(quán)Producedbysecuritizingmortgages由證券化的抵押貸款形成Mortgage-backedsecuritiesarecalledpass-throughsbecausethecashflowsproducedbyhomeownerspayingofftheirmortgagesarepassedthroughtoinvestors.資產(chǎn)支持證券業(yè)被叫做傳遞證券因為它們的收益由屋主支付然后傳遞到投資者手里Mortgage-BackedSecurities

資產(chǎn)支持證券2-18Proportionalownershipof2-19Mortgage-BackedSecurities

資產(chǎn)支持證券Mostmortgage-backedsecuritieswereissuedbyFannieMaeandFreddieMac.大部分這類證券都是由房地美與房利美發(fā)行截止2009年5.1萬億美元直逼國債市場超過公司債Traditionally,pass-throughswerecomprisedofconformingmortgages,whichmetstandardsofcreditworthiness.傳遞證券由符合標(biāo)準(zhǔn)的抵押貸款組成，需要符合信用價值標(biāo)準(zhǔn)2-19Mortgage-BackedSecurities2-20Mortgage-BackedSecurities

資產(chǎn)支持證券Eventually,“Private-label”issuerssecuritizedlargeamountsofsubprimemortgages,madetofinanciallyweakborrowers.Finally,FannieandFreddiewereallowedandevenencouragedtobuysubprimemortgagepools.September,2008:FannieandFreddiegottakenoverbythefederalgovernment.2-20Mortgage-BackedSecurities2-21Figure2.6Mortgage-backedsecuritiesoutstanding2-21Figure2.6Mortgage-backed2-22EquitySecurities股票證券Commonstock:Ownership普通股Residualclaim剩余索取權(quán)Limitedliability有限責(zé)任Preferredstock:Perpetuity優(yōu)先股Fixeddividends固定收益Priorityovercommon優(yōu)先級Taxtreatment稅務(wù)扣減70%AmericanDepositoryReceipts存托憑證2-22EquitySecurities股票證券Commo2-23StockMarketIndexes股票市場指數(shù)DowJonesIndustrialAverage道瓊斯工業(yè)平均指數(shù)Includes30largeblue-chipcorporations30只大型績優(yōu)股Computedsince1896Price-weightedaverage價格加權(quán)平均2-23StockMarketIndexes股票市場指數(shù)2-24Example2.2Price-WeightedAverage

價格加權(quán)平均Portfolio:Initialvalue$25+$100=$125 Finalvalue$30+$90=$120Percentagechangeinportfoliovalue=5/125=-.04=-4%Index:Initialindexvalue(25+100)/2=62.5 Finalindexvalue(30+90)/2=60 Percentagechangeinindex-2.5/62.5=-.04=-4%2-24Example2.2Price-Weighted2-25S&P500標(biāo)普500Broadlybasedindexof500firms基于500個公司市價的指數(shù)Market-value-weightedindex以市值為權(quán)重Investorscanbasetheirportfoliosonanindex:投資者買指數(shù)型的投資組合Buyanindexmutualfund指數(shù)共同基金B(yǎng)uyexchangetradedfunds(ETFs)交易所交易基金Standard&Poor’sIndexes標(biāo)普2-25S&P500標(biāo)普500Standard&Poo2-26OtherIndexes其他指數(shù)

U.S.Indexes美國指數(shù)NYSECompositeNASDAQCompositeWilshire5000紐交所綜合指數(shù)納斯達克綜合指數(shù)威爾希爾5000指數(shù)ForeignIndexes外國指數(shù)Nikkei(Japan)日經(jīng)FTSE(U.K.;pronounced“footsie”)富時DAX(Germany),德國綜合HangSeng(HongKong)香港恒生TSX(Canada)多倫多2-26OtherIndexes其他指數(shù)U.S.Ind2-27DerivativesMarkets衍生品市場Optionsandfuturesprovidepayoffsthatdependonthevaluesofotherassetssuchascommodityprices,bondandstockprices,ormarketindexvalues.期權(quán)和期貨都是根據(jù)基礎(chǔ)資產(chǎn)的價格決定它們的收益，比如商品、債券、股票或是指數(shù)價格Aderivativeisasecuritythatgetsitsvaluefromthevaluesofanotherasset.衍生品就是價值由其他資產(chǎn)價格決定的資產(chǎn)2-27DerivativesMarkets衍生品市場Op2-28Options期權(quán)Call:Righttobuyunderlyingassetatthestrikeorexerciseprice.以標(biāo)的價格買入的權(quán)利稱作為買權(quán)，或者看漲期權(quán)Valueofcallsdecreaseasstrikepriceincreases標(biāo)的價格越高call價格越低Put:Righttosellunderlyingassetatthestrikeorexerciseprice.以標(biāo)的價格賣出的權(quán)利稱作為賣權(quán)，或者看跌期權(quán)Valueofputsincreasewithstrikeprice標(biāo)的價格越高put的價格越高Valueofbothcallsandputsincreasewithmaturityuntilexpiration.權(quán)利的保有期限越久價值也就越高2-28Options期權(quán)Call:Righttobu2-29FuturesContracts期貨Afuturescontract