博迪投资学PPT2
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INVESTMENTS | BODIE, KANE,MARCUS
5
Money Market Securities
• Treasury b i l l s : Short-term debt of U.S. government
– Bid and asked price – Bank discount method
INVESTMENTS | BODIE, KANE,MARCUS
11
The Bond Market
• I n f l a t i o n - Protected Treasury Bonds
– TIPS: Provide inflation protection
• Federal Agency Debt
• Both t h e premium on bank CDs and the TED spread have often become g r e a t e r during periods of financial crisis
• During the credit c r i s i s of 2008, the fede government offered insurance t o money market mutual funds a f t e r some funds experienced losses
• Money market mutual funds allow i n d i v i d u a l s t o access t h e money market.
INVESTMENTS | BODIE, KANE,MARCUS
4
Table 2.1 Major Components of t h e Money Market
INVESTMENTS | BODIE, KANE,MARCUS
13
Municipal Bonds
• Types
– General obligation bonds: Backed by taxing power of i s s u e r
– Revenue bonds: backed by p r o j e c t ’ s revenues or by the municipal agency operating the project.
12
Municipal Bonds
• Issued by s t a t e and l o c a l governments • I n t e r e s t i s exempt from f e d e r a l income
tax and sometimes from s t a t e and l o c a l tax
• Eurodollars: dollar -denominated time deposits in banks outside the U.S.
• Repos and Reverses: Short -term loan backed by government s e c u r i t i e s .
• F i n a l l y , Fannie and Freddie were allowed and even encouraged t o buy subprime mortgage pools.
• September, 2008: Fannie and Freddie got taken over by t h e f e d e r a l government.
• Fed Funds: Very s h o r t - term loans between banks
INVESTMENTS | BODIE, KANE,MARCUS
7
Yields on Money Market Instruments
• Except f o r Treasury b i l l s , money market securities are not free of default risk
Ces and Financial Instruments
McGraw- H i l l / I r w i n
INVESTMENTS | BODIE, KANE,MARCUS
C o p y r i g h t ©2011 by The McGraw- H i l l Co m p a nies, I n c . A l l r
The equivalent taxable yield i s simply the t a x - fr e e r a t e , rm , divided by (1-t ) .
INVESTMENTS | BODIE, KANE,MARCUS
17
Corporate Bonds
• Issued by priva te firms • Semi-annual i n t e r e s t payments • Subject to larger default risk than
INVESTMENTS | BODIE, KANE,MARCUS
9
The Bond Market
• Municipal Bonds • Corporate Bonds • Mortgages and Mortgage-Backed
Securities
INVESTMENTS | BODIE, KANE,MARCUS
government s e c u r i t i e s • Options in corporate bonds
– Callable – Convertible
INVESTMENTS | BODIE, KANE,MARCUS
18
Mortgage-Backed S e c u r i t i e s
– Debt of mortgage-r e l a t e d agencies such as Fannie Mae and Freddie Mac
• I n t e r n a t i o n a l Bonds
– Eurobonds and Yankee bonds
INVESTMENTS | BODIE, KANE,MARCUS
INVESTMENTS | BODIE, KANE,MARCUS
21
Figure 2.6 Mortgage-backed securities outstanding
• C e r t i f i c a t e s of Deposit: Time deposit wit bank
• Commercial Paper: Short-term, unsecured debt of a company
INVESTMENTS | BODIE, KANE,MARCUS
INVESTMENTS | BODIE, KANE,MARCUS
20
Mortgage-Backed S e c u r i t i e s
• Eventually, “Private-l a b e l ” issuers securitized large amounts of subprime mortgages, made t o f i n a n c i a l l y weak borrowers.
• I f r (1 - t ) >r mthen the taxable bond gives a higher return; otherwise, the municipal bond i s p referred .
INVESTMENTS | BODIE, KANE,MARCUS
16
Table 2.2 Tax-Exempt Yield Table
6
Money Market S e c u r i t i e s
• B a n k e r s ’ Acceptances: An order t o a bank by a b a n k ’ s customer t o pay a sum of money on a f u t u r e date
• Let t equal the i n v e s t o r ’ s marginal tax bracket
• Let r equal the before-tax retu rn on the taxable bond and r mdenote the municipal bond r a t e .
10
Treasury Notes and Bonds
• Maturities – Notes – maturities up t o 10 years – Bonds – maturities from 10 t o 30 years
• Par Value - $1,000 • Interest paid semiannually • Quotes – percentage of par
2
Asset Classes
• Money market instruments
• Capital market instruments
– Bonds – Equity Securities – Derivative Securities
INVESTMENTS | BODIE, KANE,MARCUS
3
The Money Market
• Subsector of the fixed -income market: S e c u r i t i e s a r e s h o r t - term, l i q u i d , low r i s k , and often have large denominations
• Proportional ownership of a mortgage pool or a specified obligation secured by a pool
• Produced by s e c u r i t i z i n g mortgages
– Mortgage-backed securities are called pass-throughs because the cash flows produced by homeowners paying o f f t h e i r mortgages are passed through to investors.
INVESTMENTS | BODIE, KANE,MARCUS
19
Mortgage-Backed S ecur ities
• Most mortgage-backed s e c u r i t i e s were issued by Fannie Mae and Freddie Mac.
• T r a d i t i o n a l l y , pass-throughs were comprised of conforming mortgages, which met standards of c r e d i t worthiness.
INVESTMENTS | BODIE, KANE,MARCUS
8
The Bond Market
• Treasury Notes and Bonds • Inflation-Protected Treasury
Bonds • Federal Agency Debt • I n t e r n a t i o n a l Bonds
INVESTMENTS | BODIE, KANE,MARCUS
14
Figure 2.4 Tax-exempt Debt Outstanding
INVESTMENTS | BODIE, KANE,MARCUS
15
Municipal Bond Yields
• To choose between taxable and t a x - exempt bonds, compare a f t e r - tax r e t u rn s on each bond.
5
Money Market Securities
• Treasury b i l l s : Short-term debt of U.S. government
– Bid and asked price – Bank discount method
INVESTMENTS | BODIE, KANE,MARCUS
11
The Bond Market
• I n f l a t i o n - Protected Treasury Bonds
– TIPS: Provide inflation protection
• Federal Agency Debt
• Both t h e premium on bank CDs and the TED spread have often become g r e a t e r during periods of financial crisis
• During the credit c r i s i s of 2008, the fede government offered insurance t o money market mutual funds a f t e r some funds experienced losses
• Money market mutual funds allow i n d i v i d u a l s t o access t h e money market.
INVESTMENTS | BODIE, KANE,MARCUS
4
Table 2.1 Major Components of t h e Money Market
INVESTMENTS | BODIE, KANE,MARCUS
13
Municipal Bonds
• Types
– General obligation bonds: Backed by taxing power of i s s u e r
– Revenue bonds: backed by p r o j e c t ’ s revenues or by the municipal agency operating the project.
12
Municipal Bonds
• Issued by s t a t e and l o c a l governments • I n t e r e s t i s exempt from f e d e r a l income
tax and sometimes from s t a t e and l o c a l tax
• Eurodollars: dollar -denominated time deposits in banks outside the U.S.
• Repos and Reverses: Short -term loan backed by government s e c u r i t i e s .
• F i n a l l y , Fannie and Freddie were allowed and even encouraged t o buy subprime mortgage pools.
• September, 2008: Fannie and Freddie got taken over by t h e f e d e r a l government.
• Fed Funds: Very s h o r t - term loans between banks
INVESTMENTS | BODIE, KANE,MARCUS
7
Yields on Money Market Instruments
• Except f o r Treasury b i l l s , money market securities are not free of default risk
Ces and Financial Instruments
McGraw- H i l l / I r w i n
INVESTMENTS | BODIE, KANE,MARCUS
C o p y r i g h t ©2011 by The McGraw- H i l l Co m p a nies, I n c . A l l r
The equivalent taxable yield i s simply the t a x - fr e e r a t e , rm , divided by (1-t ) .
INVESTMENTS | BODIE, KANE,MARCUS
17
Corporate Bonds
• Issued by priva te firms • Semi-annual i n t e r e s t payments • Subject to larger default risk than
INVESTMENTS | BODIE, KANE,MARCUS
9
The Bond Market
• Municipal Bonds • Corporate Bonds • Mortgages and Mortgage-Backed
Securities
INVESTMENTS | BODIE, KANE,MARCUS
government s e c u r i t i e s • Options in corporate bonds
– Callable – Convertible
INVESTMENTS | BODIE, KANE,MARCUS
18
Mortgage-Backed S e c u r i t i e s
– Debt of mortgage-r e l a t e d agencies such as Fannie Mae and Freddie Mac
• I n t e r n a t i o n a l Bonds
– Eurobonds and Yankee bonds
INVESTMENTS | BODIE, KANE,MARCUS
INVESTMENTS | BODIE, KANE,MARCUS
21
Figure 2.6 Mortgage-backed securities outstanding
• C e r t i f i c a t e s of Deposit: Time deposit wit bank
• Commercial Paper: Short-term, unsecured debt of a company
INVESTMENTS | BODIE, KANE,MARCUS
INVESTMENTS | BODIE, KANE,MARCUS
20
Mortgage-Backed S e c u r i t i e s
• Eventually, “Private-l a b e l ” issuers securitized large amounts of subprime mortgages, made t o f i n a n c i a l l y weak borrowers.
• I f r (1 - t ) >r mthen the taxable bond gives a higher return; otherwise, the municipal bond i s p referred .
INVESTMENTS | BODIE, KANE,MARCUS
16
Table 2.2 Tax-Exempt Yield Table
6
Money Market S e c u r i t i e s
• B a n k e r s ’ Acceptances: An order t o a bank by a b a n k ’ s customer t o pay a sum of money on a f u t u r e date
• Let t equal the i n v e s t o r ’ s marginal tax bracket
• Let r equal the before-tax retu rn on the taxable bond and r mdenote the municipal bond r a t e .
10
Treasury Notes and Bonds
• Maturities – Notes – maturities up t o 10 years – Bonds – maturities from 10 t o 30 years
• Par Value - $1,000 • Interest paid semiannually • Quotes – percentage of par
2
Asset Classes
• Money market instruments
• Capital market instruments
– Bonds – Equity Securities – Derivative Securities
INVESTMENTS | BODIE, KANE,MARCUS
3
The Money Market
• Subsector of the fixed -income market: S e c u r i t i e s a r e s h o r t - term, l i q u i d , low r i s k , and often have large denominations
• Proportional ownership of a mortgage pool or a specified obligation secured by a pool
• Produced by s e c u r i t i z i n g mortgages
– Mortgage-backed securities are called pass-throughs because the cash flows produced by homeowners paying o f f t h e i r mortgages are passed through to investors.
INVESTMENTS | BODIE, KANE,MARCUS
19
Mortgage-Backed S ecur ities
• Most mortgage-backed s e c u r i t i e s were issued by Fannie Mae and Freddie Mac.
• T r a d i t i o n a l l y , pass-throughs were comprised of conforming mortgages, which met standards of c r e d i t worthiness.
INVESTMENTS | BODIE, KANE,MARCUS
8
The Bond Market
• Treasury Notes and Bonds • Inflation-Protected Treasury
Bonds • Federal Agency Debt • I n t e r n a t i o n a l Bonds
INVESTMENTS | BODIE, KANE,MARCUS
14
Figure 2.4 Tax-exempt Debt Outstanding
INVESTMENTS | BODIE, KANE,MARCUS
15
Municipal Bond Yields
• To choose between taxable and t a x - exempt bonds, compare a f t e r - tax r e t u rn s on each bond.