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1、CHAPTER 2,Asset Classes and Financial Instruments资产种类与金融机构,2-2,Asset Classes,Money market instruments货币市场Capital market instruments资本市场Bonds债券Equity Securities股票Derivative Securities衍生工具,2-3,The Money Market货币市场,Subsector of the fixed-income market: Securities are short-term, liquid, low risk, and o
2、ften have large denominations固定收益市场的子市场，短期，流动性高，风险低，本金大Money market mutual funds allow individuals to access the money market.货币市场基金使得个人投资者进入货币市场,2-4,Table 2.1 Major Components ofthe Money Market货币市场的主要构成,2-5,Money Market Securities货币市场证券,Treasury bills: Short-term debt of U.S. government短期国库券Bid an
3、d asked price买卖报价Bank discount method银行贴现法Certificates of Deposit: Time deposit with a bank大额存单Commercial Paper: Short-term, unsecured debt of a company商业票据,2-6,Money Market Securities货币市场,Bankers Acceptances: An order to a bank by a banks customer to pay a sum of money on a future date银行承兑汇票Eurodol
4、lars: dollar-denominated time deposits in banks outside the U.S.欧洲美元Repos and Reverses: Short-term loan backed by government securities.回购，拟回购Fed Funds: Very short-term loans between banks联邦基金，银行间的超短期贷款,2-7,Yields on Money Market Instruments货币市场证券的收益,Except for Treasury bills, money market securitie
5、s are not free of default risk除了短期国库券都有违约风险Both the premium on bank CDs and the TED spread have often become greater during periods of financial crisis大额存单类的风险溢价在金融危机期间大幅上涨During the credit crisis of 2008, the federal government offered insurance to money market mutual funds after some funds experie
6、nced losses危机期间联邦政府曾经提供过保险,2-8,The Bond Market债券市场,Treasury Notes and Bonds中长期国债Inflation-Protected Treasury Bonds通胀保值债券Federal Agency Debt联邦机构债International Bonds国际债券,2-9,The Bond Market债券市场,Municipal Bonds市政债券Corporate Bonds公司债券Mortgages and Mortgage-Backed Securities资产抵押债券,2-10,Treasury Notes and
7、 Bonds中长期国债,Maturities期限Notes maturities up to 10 yearsBonds maturities from 10 to 30 yearsPar Value - $1,000面值Interest paid semiannually付息Quotes percentage of par报价,2-11,The Bond Market债券市场,Inflation-Protected Treasury Bonds通胀保值债券TIPS: Provide inflation protection抗击通货膨胀Federal Agency Debt联邦机构债Debt
8、of mortgage-related agencies such as Fannie Mae and Freddie Mac房利美房地美International Bonds国际债券Eurobonds and Yankee bonds欧洲债券、扬基债券,2-12,Municipal Bonds市政债券,Issued by state and local governments州政府或者地方政府Interest is exempt from federal income tax and sometimes from state and local tax利息不须缴纳收入税，但是需要缴纳资本利得
9、税,2-13,Municipal Bonds市政债券,TypesGeneral obligation bonds: Backed by taxing power of issuer一般责任债券：征税能力支持Revenue bonds: backed by projects revenues or by the municipal agency operating the project.收入债券：由具体的市政项目的收益支持,2-14,Figure 2.4 Tax-exempt Debt Outstanding,2-15,Municipal Bond Yields市政债券,To choose b
10、etween taxable and tax-exempt bonds, compare after-tax returns on each bond.在收税和不收税的债券间选择，需要比较两者的最终收益Let t equal the investors marginal tax bracketLet r equal the before-tax return on the taxable bond and r m denote the municipal bond rate.If r (1 - t ) r m then the taxable bond gives a higher retur
11、n; otherwise, the municipal bond is preferred.,2-16,Table 2.2 Tax-Exempt Yield Table,The equivalent taxable yield is simply the tax-free rate, rm , divided by (1-t).,2-17,Corporate Bonds公司债券,Issued by private firms私人公司发行 Semi-annual interest payments半年付息Subject to larger default risk than government
12、 securities比政府债券违约风险大Options in corporate bonds期权Callable可回收Convertible可转换,2-18,Proportional ownership of a mortgage pool or a specified obligation secured by a pool 抵押贷款池或者其他权益池的部分所有权Produced by securitizing mortgages由证券化的抵押贷款形成Mortgage-backed securities are called pass-throughs because the cash fl
13、ows produced by homeowners paying off their mortgages are passed through to investors.资产支持证券业被叫做传递证券因为它们的收益由屋主支付然后传递到投资者手里,Mortgage-Backed Securities资产支持证券,2-19,Mortgage-Backed Securities资产支持证券,Most mortgage-backed securities were issued by Fannie Mae and Freddie Mac.大部分这类证券都是由房地美与房利美发行截止2009年5.1万亿美
14、元直逼国债市场超过公司债Traditionally, pass-throughs were comprised of conforming mortgages, which met standards of credit worthiness. 传递证券由符合标准的抵押贷款组成，需要符合信用价值标准,2-20,Mortgage-Backed Securities资产支持证券,Eventually, “Private-label” issuers securitized large amounts of subprime mortgages, made to financially weak b
15、orrowers.Finally, Fannie and Freddie were allowed and even encouraged to buy subprime mortgage pools.September, 2008: Fannie and Freddie got taken over by the federal government.,2-21,Figure 2.6 Mortgage-backed securities outstanding,2-22,Equity Securities股票证券,Common stock: Ownership普通股Residual clai
16、m剩余索取权Limited liability有限责任Preferred stock: Perpetuity优先股Fixed dividends固定收益Priority over common优先级Tax treatment税务扣减70%American Depository Receipts存托凭证,2-23,Stock Market Indexes股票市场指数,Dow Jones Industrial Average道琼斯工业平均指数Includes 30 large blue-chip corporations30只大型绩优股Computed since 1896Price-weight
17、ed average价格加权平均,2-24,Example 2.2 Price-Weighted Average价格加权平均,Portfolio: Initial value $25 + $100 = $125 Final value $30 + $ 90 = $120 Percentage change in portfolio value = 5/125 = -.04 = -4%Index: Initial index value (25+100)/2 = 62.5 Final index value (30 + 90)/2 = 60 Percentage change in index
18、-2.5/62.5 = -.04 = -4%,2-25,S&P 500标普500Broadly based index of 500 firms基于500个公司市价的指数Market-value-weighted index以市值为权重Investors can base their portfolios on an index:投资者买指数型的投资组合Buy an index mutual fund指数共同基金Buy exchange traded funds (ETFs)交易所交易基金,Standard & Poors Indexes标普,2-26,Other Indexes其他指数,U.
19、S. Indexes美国指数,NYSE CompositeNASDAQ CompositeWilshire 5000纽交所综合指数纳斯达克综合指数威尔希尔5000指数,Foreign Indexes外国指数,Nikkei (Japan)日经FTSE (U.K.; pronounced “footsie”)富时DAX (Germany),德国综合Hang Seng (Hong Kong)香港恒生TSX (Canada)多伦多,2-27,Derivatives Markets衍生品市场,Options and futures provide payoffs that depend on the v
20、alues of other assets such as commodity prices, bond and stock prices, or market index values.期权和期货都是根据基础资产的价格决定它们的收益，比如商品、债券、股票或是指数价格A derivative is a security that gets its value from the values of another asset.衍生品就是价值由其他资产价格决定的资产,2-28,Options期权,Call: Right to buy underlying asset at the strike o
21、r exercise price.以标的价格买入的权利称作为买权，或者看涨期权Value of calls decrease as strike price increases标的价格越高call价格越低Put: Right to sell underlying asset at the strike or exercise price.以标的价格卖出的权利称作为卖权，或者看跌期权Value of puts increase with strike price标的价格越高put的价格越高Value of both calls and puts increase with maturity un
22、til expiration.权利的保有期限越久价值也就越高,2-29,Futures Contracts期货,A futures contract calls for delivery of an asset (or in some cases, its cash value) at a specified delivery or maturity date for an agreed-upon price, called the futures price, to be paid at contract maturity.期货合约是在到期日以约定价格（期货价格）购买或者出售一项资产或者商品
23、的合同Long position: Take delivery at maturity购买资产Short position: Make delivery at maturity出售（交付）资产,2-30,Comparison比较,Option期权,Right, but not obligation, to buy or sell; option is exercised only when it is profitable需要购买的权利，有利润的时候执行Options must be purchased必须购买The premium is the price of the option itself. 溢价就是期权的价格,Futures Contract期货,Obliged to make or take delivery. Long position must buy at the futures price, short position must sell at futures price有义务履行合约，多头买入，空头卖出Futures contracts are entered into without cost期货合同签订不需要费用,
