Chap002资产种类与金融机构.ppt

Chap002资产种类与金融机构.ppt

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INVESTMENTS|BODIE,KANE,MARCUSCopyright2011byTheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinCHAPTER2AssetClassesandFinancialInstruments资产种类与金融机构INVESTMENTS|BODIE,KANE,MARCUS2-2AssetClassesMoneymarketinstruments货币市场Capitalmarketinstruments资本市场Bonds债券EquitySecurities股票DerivativeSecurities衍生工具INVESTMENTS|BODIE,KANE,MARCUS2-3TheMoneyMarket货币市场Subsectorofthefixed-incomemarket:

Securitiesareshort-term,liquid,lowrisk,andoftenhavelargedenominations固定收益市场的子市场，短期，流动性高，风险低，本金大Moneymarketmutualfundsallowindividualstoaccessthemoneymarket.货币市场基金使得个人投资者进入货币市场INVESTMENTS|BODIE,KANE,MARCUS2-4Table2.1MajorComponentsoftheMoneyMarket货币市场的主要构成INVESTMENTS|BODIE,KANE,MARCUS2-5MoneyMarketSecurities货币市场证券Treasurybills:

Short-termdebtofU.S.government短期国库券Bidandaskedprice买卖报价Bankdiscountmethod银行贴现法CertificatesofDeposit:

Timedepositwithabank大额存单CommercialPaper:

Short-term,unsecureddebtofacompany商业票据INVESTMENTS|BODIE,KANE,MARCUS2-6MoneyMarketSecurities货币市场BankersAcceptances:

Anordertoabankbyabankscustomertopayasumofmoneyonafuturedate银行承兑汇票Eurodollars:

dollar-denominatedtimedepositsinbanksoutsidetheU.S.欧洲美元ReposandReverses:

Short-termloanbackedbygovernmentsecurities.回购，拟回购FedFunds:

Veryshort-termloansbetweenbanks联邦基金，银行间的超短期贷款INVESTMENTS|BODIE,KANE,MARCUS2-7YieldsonMoneyMarketInstruments货币市场证券的收益ExceptforTreasurybills,moneymarketsecuritiesarenotfreeofdefaultrisk除了短期国库券都有违约风险BoththepremiumonbankCDsandtheTEDspreadhaveoftenbecomegreaterduringperiodsoffinancialcrisis大额存单类的风险溢价在金融危机期间大幅上涨Duringthecreditcrisisof2008,thefederalgovernmentofferedinsurancetomoneymarketmutualfundsaftersomefundsexperiencedlosses危机期间联邦政府曾经提供过保险INVESTMENTS|BODIE,KANE,MARCUS2-8TheBondMarket债券市场TreasuryNotesandBonds中长期国债Inflation-ProtectedTreasuryBonds通胀保值债券FederalAgencyDebt联邦机构债InternationalBonds国际债券INVESTMENTS|BODIE,KANE,MARCUS2-9TheBondMarket债券市场MunicipalBonds市政债券CorporateBonds公司债券MortgagesandMortgage-BackedSecurities资产抵押债券INVESTMENTS|BODIE,KANE,MARCUS2-10TreasuryNotesandBonds中长期国债Maturities期限Notesmaturitiesupto10yearsBondsmaturitiesfrom10to30yearsParValue-$1,000面值Interestpaidsemiannually付息Quotespercentageofpar报价INVESTMENTS|BODIE,KANE,MARCUS2-11TheBondMarket债券市场Inflation-ProtectedTreasuryBonds通胀保值债券TIPS:

Provideinflationprotection抗击通货膨胀FederalAgencyDebt联邦机构债Debtofmortgage-relatedagenciessuchasFannieMaeandFreddieMac房利美房地美InternationalBonds国际债券EurobondsandYankeebonds欧洲债券、扬基债券INVESTMENTS|BODIE,KANE,MARCUS2-12MunicipalBonds市政债券Issuedbystateandlocalgovernments州政府或者地方政府Interestisexemptfromfederalincometaxandsometimesfromstateandlocaltax利息不须缴纳收入税，但是需要缴纳资本利得税INVESTMENTS|BODIE,KANE,MARCUS2-13MunicipalBonds市政债券TypesGeneralobligationbonds:

Backedbytaxingpowerofissuer一般责任债券：

征税能力支持Revenuebonds:

backedbyprojectsrevenuesorbythemunicipalagencyoperatingtheproject.收入债券：

由具体的市政项目的收益支持INVESTMENTS|BODIE,KANE,MARCUS2-14Figure2.4Tax-exemptDebtOutstandingINVESTMENTS|BODIE,KANE,MARCUS2-15MunicipalBondYields市政债券Tochoosebetweentaxableandtax-exemptbonds,compareafter-taxreturnsoneachbond.在收税和不收税的债券间选择，需要比较两者的最终收益LettequaltheinvestorsmarginaltaxbracketLetrequalthebefore-taxreturnonthetaxablebondandrmdenotethemunicipalbondrate.Ifr（1-t）rmthenthetaxablebondgivesahigherreturn;otherwise,themunicipalbondispreferred.INVESTMENTS|BODIE,KANE,MARCUS2-16Table2.2Tax-ExemptYieldTableTheequivalenttaxableyieldissimplythetax-freerate,rm,dividedby（1-t）.INVESTMENTS|BODIE,KANE,MARCUS2-17CorporateBonds公司债券Issuedbyprivatefirms私人公司发行Semi-annualinterestpayments半年付息Subjecttolargerdefaultriskthangovernmentsecurities比政府债券违约风险大Optionsincorporatebonds期权Callable可回收Convertible可转换INVESTMENTS|BODIE,KANE,MARCUS2-18Proportionalownershipofamortgagepooloraspecifiedobligationsecuredbyapool抵押贷款池或者其他权益池的部分所有权Producedbysecuritizingmortgages由证券化的抵押贷款形成Mortgage-backedsecuritiesarecalledpass-throughsbecausethecashflowsproducedbyhomeownerspayingofftheirmortgagesarepassedthroughtoinvestors.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-BackedSecurities资产支持证券INVESTMENTS|BODIE,KANE,MARCUS2-19Mortgage-BackedSecurities资产支持证券Mostmortgage-backedsecuritieswereissuedbyFannieMaeandFreddieMac.大部分这类证券都是由房地美与房利美发行截止2009年5.1万亿美元直逼国债市场超过公司债Traditionally,pass-throughswerecomprisedofconformingmortgages,whichmetstandardsofcreditworthiness.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INVESTMENTS|BODIE,KANE,MARCUS2-20Mortgage-BackedSecurities资产支持证券Eventually,“Private-label”issuerssecuritizedlargeamountsofsubprimemortgages,madetofinanciallyweakborrowers.Finally,FannieandFreddiewereallowedandevenencouragedtobuysubprimemortgagepools.September,2008:

FannieandFreddiegottakenoverbythefederalgovernment.INVESTMENTS|BODIE,KANE,MARCUS2-21Figure2.6Mortgage-b