INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap002 Asset Classes and Financial Instruments.ppt

CHAPTER2 AssetClassesandFinancialInstruments 2 AssetClasses MoneymarketinstrumentsCapitalmarketinstrumentsBondsEquitySecuritiesDerivativeSecurities 3 TheMoneyMarket Subsectorofthefixed incomemarket Securitiesareshort term liquid lowrisk andoftenhavelargedenominationsMoneymarketmutualfundsallowindividualstoaccessthemoneymarket 4 Table2 1MajorComponentsoftheMoneyMarket 5 MoneyMarketSecurities Treasurybills Short termdebtofU S governmentBidandaskedpriceBankdiscountmethodCertificatesofDeposit TimedepositwithabankCommercialPaper Short term unsecureddebtofacompany 6 MoneyMarketSecurities Bankers Acceptances Anordertoabankbyabank scustomertopayasumofmoneyonafuturedateEurodollars dollar denominatedtimedepositsinbanksoutsidetheU S ReposandReverses Short termloanbackedbygovernmentsecurities FedFunds Veryshort termloansbetweenbanks 7 YieldsonMoneyMarketInstruments ExceptforTreasurybills moneymarketsecuritiesarenotfreeofdefaultriskBoththepremiumonbankCDsandtheTEDspreadhaveoftenbecomegreaterduringperiodsoffinancialcrisisDuringthecreditcrisisof2008 thefederalgovernmentofferedinsurancetomoneymarketmutualfundsaftersomefundsexperiencedlosses 8 TheBondMarket TreasuryNotesandBondsInflation ProtectedTreasuryBondsFederalAgencyDebtInternationalBonds 9 TheBondMarket MunicipalBondsCorporateBondsMortgagesandMortgage BackedSecurities 10 TreasuryNotesandBonds MaturitiesNotes maturitiesupto10yearsBonds maturitiesfrom10to30yearsParValue 1 000InterestpaidsemiannuallyQuotes percentageofpar 11 TheBondMarket Inflation ProtectedTreasuryBondsTIPS ProvideinflationprotectionFederalAgencyDebtDebtofmortgage relatedagenciessuchasFannieMaeandFreddieMacInternationalBondsEurobondsandYankeebonds 12 MunicipalBonds IssuedbystateandlocalgovernmentsInterestisexemptfromfederalincometaxandsometimesfromstateandlocaltax 13 MunicipalBonds TypesGeneralobligationbonds BackedbytaxingpowerofissuerRevenuebonds backedbyproject srevenuesorbythemunicipalagencyoperatingtheproject 14 Figure2 4Tax exemptDebtOutstanding 15 MunicipalBondYields Tochoosebetweentaxableandtax exemptbonds compareafter taxreturnsoneachbond Lettequaltheinvestor smarginaltaxbracketLetrequalthebefore taxreturnonthetaxablebondandrmdenotethemunicipalbondrate Ifr 1 t rmthenthetaxablebondgivesahigherreturn otherwise themunicipalbondispreferred 16 Table2 2Tax ExemptYieldTable Theequivalenttaxableyieldissimplythetax freerate rm dividedby 1 t 17 CorporateBonds IssuedbyprivatefirmsSemi annualinterestpaymentsSubjecttolargerdefaultriskthangovernmentsecuritiesOptionsincorporatebondsCallableConvertible 18 ProportionalownershipofamortgagepooloraspecifiedobligationsecuredbyapoolProducedbysecuritizingmortgagesMortgage backedsecuritiesarecalledpass throughsbecausethecashflowsproducedbyhomeownerspayingofftheirmortgagesarepassedthroughtoinvestors Mortgage BackedSecurities 19 Mortgage BackedSecurities Mostmortgage backedsecuritieswereissuedbyFannieMaeandFreddieMac Traditionally pass throughswerecomprisedofconformingmortgages whichmetstandardsofcreditworthiness 20 Mortgage BackedSecurities Eventually Private label issuerssecuritizedlargeamountsofsubprimemortgages madetofinanciallyweakborrowers Finally FannieandFreddiewereallowedandevenencouragedtobuysubprimemortgagepools September 2008 FannieandFreddiegottakenoverbythefederalgovernment 21 Figure2 6Mortgage backedsecuritiesoutstanding 22 EquitySecurities Commonstock OwnershipResidualclaimLimitedliabilityPreferredstock PerpetuityFixeddividendsPriorityovercommonTaxtreatmentAmericanDepositoryReceipts 23 StockMarketIndexes DowJonesIndustrialAverageIncludes30largeblue chipcorporationsComputedsince1896Price weightedaverage 24 Example2 2Price WeightedAverage Portfolio Initialvalue 25 100 125Finalvalue 30 90 120Percentagechangeinportfoliovalue 5 125 04 4 Index Initialindexvalue 25 100 2 62 5Finalindexvalue 30 90 2 60Percentagechangeinindex 2 5 62 5 04 4 25 S P500Broadlybasedindexof500firmsMarket value weightedindexInvestorscanbasetheirportfoliosonanindex BuyanindexmutualfundBuyexchangetradedfunds ETFs Standard Poor sIndexes 26 OtherIndexes U S Indexes NYSECompositeNASDAQCompositeWilshire5000 ForeignIndexes Nikkei Japan FTSE U K pronounced footsie DAX Germany HangSeng HongKong TSX Canada 27 DerivativesMarkets Optionsandfuturesprovidepayoffsthatdependonthevaluesofotherassetssuchascommodityprices bondandstockprices ormarketindexvalues Aderivativeisasecuritythatgetsitsvaluefromthevaluesofanotherasset 28 Options Call Righttobuyunderlyingassetatthestrikeorexerciseprice ValueofcallsdecreaseasstrikepriceincreasesPut Righttosellunderlyingassetatthestrikeorexerciseprice ValueofputsincreasewithstrikepriceValueofbothcallsandputsincreasewithtimeuntilexpiration 29 FuturesContracts Afuturescontractcallsfordeliveryofanasset orinsomecases itscashvalue ataspecifieddeliveryormaturitydateforanagreed uponprice calledthefuturesprice tobepaidatcontractmaturity Longposition TakedeliveryatmaturityShortposition Makedeliveryatmaturity 30 Comparison Option Right butnotobligation tobuyo