Asset Classes and Financial
Instruments
Chapter 2
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
企業的資產負債表
負債
資產
股東權益
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
企業的資產負債表
負債
資產
股東
權益
McGraw-Hill/Irwin
債權商品: 貨幣市場工具(短期)、
債券(⾧期;
政府公債、公司債)
股票
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
Major Types of Securities
Debt (債權)
Money market instruments
Bonds
Equity (權益)
Common stock
Preferred stock
Derivative securities
2-4
Markets and Instruments
Money Market (短期-到期日短；低風險；
流動性高)
Debt Instruments
Derivatives
Capital Market (長期-到期日長；高風險)
Bonds
Equity
Derivatives
2-5
Money Market Instruments
Treasury bills (T-bill)國庫券
Certificates of deposit (CD)定期存單
Commercial Paper商業本票
Bankers Acceptances銀行承兌匯票
Eurodollars歐洲美元
2-6
Money Market Instruments (Cont.)
Repurchase Agreements (repos or RPs)
票券附買回交易
Reverse RPs票券附賣回交易
Federal Funds聯邦資金
London Interbank offered rate (LIBOR)
Market倫敦銀行間拆放款利率
2-7
1.Treasury bills國庫券：
Discount purchase price < face value
Maturities:4、13、26、52 weeks
Face value 面額$10,000 < $100,000(㇐般貨幣市場
工具面額)
Treasury Bills
McGraw-Hill/Irwin
Maturity
Days to
Mat.
Bid
(面額的折
價幅度;年)
Asked
(面額的折
價幅度;年)
CHG
Ask Yield
Sep 06 12
51
0.080
0.075
0.000
0.076
Oct 04 12
79
0.085
0.080
0.000
0.081
Nov 01 12
107
0.110
0.100
0.005
0.101
Nov 29 12
135
0.110
0.105
0.000
0.106
Dec 20 12
156
0.130
0.125
0.005
0.127
Apr 04 13
267
0.160
0.150
0.005
0.152
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
Example
Bid price:$10,000 × 1 −
Ask price:$10,000 × 1 −
.
×
.
×
= $9994.367
= $9994.58(高)
ASK YLD: bond-equivalent yield
9994.58
10000
買賣價差
bid-asked
spread
賺0.0542%(156天)
---> 0.127%(365天)
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
2. Certificates of deposit(CD)定期存單：
• 不可隨時間提領，只有在約定時間，但要
變現時，可轉賣，面額大於10萬。
3. Commercial Paper商業本票：
• 公司發行最高到期日270天，通常少於1到2
個月，用來以債養債，面額10萬，透過
money market mutual fund 持有。
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
4. Bankers Acceptances銀行承兌匯票：
• 用於國際貿易，銀行客戶於未來(6個月)支付
㇐筆錢，因不知對方信用，由銀行背書承諾
兌現，可於次級市場交易。
5. Eurodollars歐洲美元：
• 在美國境外(通常是歐洲)的美元存款，因為
是存放外國銀行或美國銀行國外分支，不受
聯邦準備理事會管轄， 到期日小於6個月期。
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
6. Repos票券附買回交易：
• 目的：政府證券的自營商為了短期周轉
• 做法：賣票券給投資人，承諾過㇐天以更
高價買回
7. Reverse RPs票券附賣回交易：
• 目的：自營商為了賺價差(投資人借錢)
• 做法：自營商向投資人買政府証券，約定
未來以更高價賣回給投資人，可達30天以
上。
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
8. Federal funds 聯邦資金：
• 聯邦準備銀行(央行)的會員銀行，視其客戶
的存款的多寡，要有㇐定金錢，存放於聯邦
準備銀行。
• 存款準備金不足者，使用的借款利率，稱為
9. federal
Londonfunds
Interbank
rate Offered Rate(LIBOR)
倫敦銀行間拆放款利率：
• 不同種類貨幣報價都有，1-month, 3month,…, 12-month
• Example: floating rate:LIBOR+2%
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
 英金管局宣布2021年底廢除
(原因:交易量低；2007年之後信用風險高)
 不同幣別各自有替代參考利率:
US: SOFR
(secured overnight financing rate; 擔保隔夜融資利率)
(由紐約聯準會發布，以政府公債做為抵押品)
UK: SONIA
Eurozone: ESTER
Switzerland: SARON
Japan: TONAR
2-14
Bond Markets
US Treasury Bonds and Notes
Inflation-Protected Treasury Bonds
(抗通膨債券)
International Bonds
Municipal Bonds (地方政府債券)
Corporate Bonds
Mortgage-Backed Securities (抵押擔
保證券)
Other Fix-Income Securities
2-15
1. US Treasury Bonds and Notes 政府公債：
T-notes:10年
T-bonds:10~30年
目前只有T-notes，但常有人稱為T-bonds或treasury，面額$ 1000，半年
付息㇐次。
Example
Bid:113.5078
bid price=1000x113.5078%= $ 1135.078
Asked:113.5391
asked price=1000x113.5391%= $1135.391
Minimum tick size=
因此，113.5078=113+
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
2. Inflation-Protected Treasury Bonds
與物價指數連結(抗通膨)債券：
• Inflation-protected Securities(TIPS)
• coupon rate fixed
• par value adjusted to CPI
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
3. International Bonds 國際債券：
• Eurodolloar bond:在歐洲發行，以美元計價的債券
• Euroyen bond:在歐洲發行，以日圓計價的債券
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
4. Municipal Bonds 州或地方政府發行：
• 利息可以用來抵稅，所以投資人可忍受較低報酬率，對政府
而言，是便宜的籌資。
=


∗
=1
當
∗
,equivalent taxable yield
時，
即買m與買t對股
票投資人無異
: 買m，條件:

t
而
1
:買t，條件: t 1
=
∗
=
(稅率較高者
∗
稅率較低者)
m: municipal bond yield可抵稅商品 , t: taxable bond
yield 需繳稅商品 , ∗ :臨界稅率
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
5. Corporate Bonds 公司債：
• 公司發行的債券與政府公債最大的差別在於違約風險。
• 也有附加衍生性商品性質者:callable bond;
convertible bond
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
6. Mortgage-Backed Securities (MBS)抵押擔保証券
Originator:創始機構(放款銀行)
Agency (SPV): Fannie Mae 房利美 / Freddie Mac房地美
Investor: pension funds or mutual funds
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
7. Other Fix-Income Securities 其他固定收益證券 ：
a. Credit Default Swap(CDS)信用違約交換:相當於為債券買保險
buyer: 付annual premium，當債券違約時，可獲得賠償
seller: 收annual premium，當債券違約時，負責賠償
b. Collateralized Debt Obligations(CDO)擔保債權憑証
Structured
investment
vehicle
(SIV)
senior tranche: 70%-90% of principal; AaAaa
mazzanine1: 5-15%, investmentguide
mazzanine2: 5-15%, higherquality junk
equity tranche<2%
㇐旦違約最先受損
Coupon rate with 20% credit spread
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
Capital Market - Equity
1.Common stock 普通股: 委託書、投票權

Residual claim 剩餘請求權:公司清算時，股東最後
求償(付稅→員工→供應商→債權人→ 股東)

Limited liability有限責任:股東與公司分開，公司倒
閉最多損失投資出去的錢，不需貼錢
2.Preferred stock: 介於權益與債權之間，公司會斟酌是
否發股利，沒發會累積，且先於普通股
3.ADR美國存託憑證: 外國股票於美國舉行的憑證，使外
國股票可在美國上市，另外，TDR台灣存託憑證
2-23
Stock Market Indexes
Uses
Track average returns
Comparing performance of managers
Base of derivatives
Factors in constructing or using an Index
Representative?
Broad or narrow?
How is it constructed?
2-24
Examples of Indexes - Domestic
Dow Jones Industrial Average (30
Stocks) (price-weighted 以價格為權重)
Standard & Poor’s 500 Composite (500
Stocks) (market-value-weighted以市值
(價格×量)為權重)
NASDAQ Composite (over 3000
companies) (market-value-weighted以
市值(價格×量)為權重)
Wilshire 5000 (over 6000 companies)
2-25
Examples of Indexes - International
Nikkei (Japan)
FTSE (U.K.; pronounced “footsie”)
DAX (Germany),
Hang Seng (Hong Kong)
TSX (Canada)
Region and Country Indexes
MSCI (Morgan Stanley Capital
International) Table 2.5
2-26
Bond Indexes
Barclays
Merrill Lynch
Salomon Smith Barney (part of
Citigroup)
2-27
指數建構方法
1. Price weighted (DJIA)
2. Market-value weighted (S&P, NASDAQ)
3. Equally weighted
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
指數建構方法
1. Price weighted (DJIA)
高股價股票會影響整體加權指數
Example
ABC: 2530, a 20% increase
XYZ: 10090, a 10% decrease
DJIA: (25+100)/2=62.5(30+90)/2=60,
a 4% decrease
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
指數建構方法
1. Price weighted (DJIA)
Example
Rate of return on the index:
[(30+90)/2] - [(25+100)/2]/ [(25+100)/2]= -4%
Alternative solution:
Price-weighted average return:
[(30-25)/25]*[25/(25+100)]+ [(90-100)/100]*[100/(25+100)]
= -4%
McGraw-Hill/Irwin
ABC
XYZ
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
指數建構方法
1. Price weighted (DJIA) ─ 股票分割如何影響
Split分割
前提是不可讓期初的平均做更動
Example
XYZ , split two for one, 價格從100變50
原本指數:(25+100)/2=62.5=(25+50)/ ∴ =1.2
新指數:(30+45)/1.2=62.5∴
=(62.5−62.5)/62.5=0
Alternative solution:
[(30−25)/25]×[25/(50+25)]+[(45−50)/50]×[50/(50+25)]=0
ABC
McGraw-Hill/Irwin
XYZ
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
指數建構方法
2. Market-value weighted (S&P500, NASDAQ)
高市值股票會影響整體平均
Example
ABC: 25→30, outstanding shares 20M, a 20% increase
XYZ: 100→90, outstanding shares 1M, a 10% decrease
Initial value of outstanding stock:
25*20+100*1=500+100=600
Final value of outstanding stock:
30*20+90*1=600+90=690
Rate of return on the index:
(690-600)/600=0.15
100→115, a 15% increase
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
指數建構方法
2. Market-value weighted (S&P500, NASDAQ)
Alternative solution:
Value-weighted average return:
[(30-25)/25]*[500/600]+ [(90-100)/100]*[100/600] = 15%
ABC
McGraw-Hill/Irwin
XYZ
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
指數建構方法
3. Equally weighted
Example
ABC: 25→30, outstanding shares 20M, a 20% increase
XYZ: 100→90, outstanding shares 1M, a 10% decrease
Rate of return on the index:
[(30-25)/25]*0.5+ [(90-100)/100]*0.5= 5%
100→105, a 5% increase
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
Derivatives Securities
Options
Basic Positions
Call (long; short)
Put (long; short)
Terms
Exercise Price
Expiration Date
Assets
Futures
Basic Positions
Long (Buy)
Short (Sell)
Terms
Delivery Date
Assets
2-35
習題:
12; CFA: 2、4、5
2-36