金融市场实用总结.docx

1、名词l Primary market: the market for newly issued financial assets.Registration statementProspectus(招股说明书) is distributed to the publicSupplemental information is available from SEC upon requestWaiting period(等待期) is the time between filing the registration and the effective date. During this time the

2、 prospectus is called the red herringDuring the underwriting process due diligence（尽职调查） must be exercised by the investment banksShelf Registration Rulesell certain amount of a certain class of securities at different times over next two yearsPrivate Placement (私募）securities are not offered to the

3、general public investorsl Securities underwriting: Securities underwriting(证券承销) refers to the process by which investment banks raised funds from investors on behalf of corporations and governments that are issuing securities(both equity and debt capital)Gross spread(承销毛利):the difference between th

4、e price paid to the issuer and the price at which the underwriting firm then offers the security to the public.Bought deal(包销） occurs when the underwriter buys the securities bypassing the syndication processl 二级市场：Order-driven market(指令驱动型市场): all participants are natural buyers and natural sellers

5、 with no dealer acting as an intermediary. Also called auction market(竞价市场) Continuous order driven market(连续指令驱动型市场): prices are determined throughout the day Periodic call auction(集合竞价): orders are batched together for simultaneous execution at preannounced timesQuote-Driven market(报价驱动市场): where

6、the price is determined by the dealer based on prevailing market conditions. Also called dealer market or dealership market.l Short selling(卖空): selling securities not owned at time of sale and purchasing them later and returned 证券价格如果下降就盈利，上升则亏损payoff = selling price purchasing price commissions co

7、st of borrowing the stock.Margin transaction(保证金交易)l Buying on margin(融资): An investor borrows from a broker to buy securities using them as collateral Payoff = selling price purchasing price service charge call rate*call money Margin requirements is what the investor must pay in cash in margin tran

8、saction and is set by the Federal Reserve.l Efficient portfolio: maximize the expected return with a given level of riskl Risky asset: one in which the future return has uncertainty such as corporationsl Risk-free asset: one in which the future return has no uncertainty such as short term obligation

9、s of the U. S. government l Markowitz efficient portfolio: A portfolio that has the highest expected return for a given level of riskl Systematic risk（系统性风险） is that part of return variability that is subject to market risk and cannot be diversified away representing the minimum level of riskl Unsys

10、tematic risk（非系统性风险） is that part of return variability that can be diversified away referred to as residual risk简答题1. SML, CML, CAPM, Market Model的含义和区别CML: the expected return on a portfolio , which equals the risk-free rate of return plus the product of the market price of risk and the quantity o

11、f risk in the portfolioSML: The SML is analogous in that the CML is for a portfolio and the SML is for an individual securityCAPM: A more common version of the SML uses the Beta of a security and is known as the Capital Asset Pricing Model (CAPM). We refer the equation as the CAPM, the graph as SML.

12、In equilibrium the expected rates of return for individual securities will lie on the SML and not the CML due to the unsystematic risk that remains in securities that can be diversified out of portfolios.The CML and the SML represent a predictive model for expected returns. The market model is a des

13、criptive model used to describe historical data.l Futures contract（期货合约） is an agreement requiring a party to either buy or sell something at a designated future date (settlement or delivery date交割日) and at a predetermined price (future price)l HedgingHedging(套期保值，对冲） is the use of futures transacti

14、ons to temporarily substitute for transactions in the cash marketWhen the prices of cash and futures move together and loss in one position will be offset by a gain in the otherPerfect Hedge occurs when losses and profits are equal because the basis maintain the same A long hedge (多头对冲)is undertaken

15、 to protect against an increase in the price of a financial instrument or portfolio It involves the purchase of futures contracts today by an investor who must buy the actual securities at a later date A short hedge(空头对冲)is used to protect against a decline in the future cash price of a financial in

16、strument or portfolio. It involves the sale of futures contracts today by an investor who must sell the actual securities at some later pointA cross hedge（交叉对冲） is when the individual instrument is not identical to the instrument underlying the futuresCross-hedging risk the price movement of the und

17、erlying instruments of the futures may not accurately track the instrument being hedged l SwapBoth parties are exposed to counterparty risk.Swap can be thought of package of forwards; cap and floor can be seen as a package of options.l Term to maturityThe relationship between the yields on comparabl

18、e securities but different maturities is called the term structure of interest ratesThe spread between any two maturity sectors of the market is called a maturity spread(期限利差), or yield curve spread(收益率曲线利差)l On-the-run(指标债券) or current coupon（当前息票债券） issues most recently auctioned Treasury issues f

19、or each maturityOff-the-run(非指标债券):在on-the-run之前发行的债券l An option that is included in a bond issue is referred to as an embedded option（内含选择权）：call provision赎回条款: grants the issuer the right to retire the debt before maturityput provision售回条款: grants the bondholder the right to sell the issue back to

20、 the issuer at par value on designated dates(持有人在指定日期将债券按票面价值卖回给发行人)convertible bond：an issue giving the bondholder the right to exchange the bond for a specified number of shares of common stockl Municipal bonds are securities issued by state and local governments most of which are tax-exempt secur

21、ities. (免征联邦税，本来联邦要收税) 2 MBS的简单流程：l Asset securitization involves the pooling of mortgages and issuing securities backed by the cash flows of these mortgage pools （先集合再分散）l At the most simple level, these can be structured as pass-through securities, where principal and interest payments pass-throug

22、h to security investors each monthl For example, a thrift originates mortgages and then sells them to an investment banker (or agency)l The banker then creates a security backed by that pool l As a consequence the thrift has shifted the credit risk to the banker or the investor (more likely an insur

23、er or guarantor); having received cash for the mortgages, it no longer funds theml More likely, it will only continue to service these mortgages for a fee3 prepayment risk: An investor who owns pass-through securities does not know what the cash flow will be because the cash flow depends on prepayme

24、nts. contraction risk(缩期风险): When rates fall, the probability of prepayment rises, creating uncertainty in future cash flows. extension risk（延期风险）: Rising interest rates make prepayments less likely, since homeowners will not refinance at costs higher than contractual rates. Rising interest rates ma

25、ke prepayments less likely, since homeowners will not refinance at costs higher than contractual rates 4 Credit enhancement: 4 l In a senior-subordinated structure, two general categories of tranches are created: senior tranche and subordinated tranches l Excess spread is basically the interest from the collateral that is not being used to satisfy the liabilities and the fees, can be used to realize any losses l Overcollateralization is the excess collateral that can be used to absorb losses l Monoline insurance