I-Market Organization-4 Flashcards
3 mainfunctions of financial system: 解释
people use financial system for 6 purposes: 解释
- different people 各取所需
- discovery of interest rates （determined by equilibrium of supply of savings and demand for borrowings）
- allocation of capital to best uses
- saving
- borrowing
- raising equity capital
- managing risk
- exchange assets (spot, 外汇，实物资产)
- information-motivated trading (excess return, 相比普通investor fair return)
大类资产分类3
financial assets
security: fixed income/ equity/ pooled investement vehicles
currency
derivative contracts: physical and financial
commodities
real assets
securities
- fixed-incom包括9
- equity包括3
- pooled vehicle包括4 解释
- fixed income: bond/note, bill, commercial paper (CP), certificate of deposit (CD), repurchase, covertible debt, loan, mortgage
- equity: common/ preferred stock, warrants
- pooled: mutual funds (open-ended, close-ended, 可二级市场交易)， ETF/ETN（open-ended, 可二级市场交易）,ABS, Hedge Funds
derivative contracts
6种+解释
- forward: counterparty risk, liquidity risk
- future: 场内交易, clearning house, initial margin+ maintenance margin, margin call至initial margin
- swap: exchange of cash payments, several/series of payments
- option
- insurance contract
- Credit Default Swaps: 名为swap实为 insurance
commodities
- 分类5
- spot market多交易
- 更活跃、liquid在于
- precious metals, industrial metals, energy products, agricultural products, carbon credits
- industrial metals/ agricultural metals
- forward/futures markets而不是spot
real assets:
- 解释REIT, MLP
- 其作用
- real estate investment trust, master limited partnerships
- 实质为资产证券化，降低交易成本，增加流动性（同质化）
Financial Intermediaries
8大类
细分说明
- Brokers: prime (lend funds to clients), block brokers (大宗交易)
- investment banks
- Exchanges (regulating)/ Alternative Trading Systems (ATS, non-regulating)
- dealers: primary dealers (与央行交易，流动性), broker dealers (conflict of interest)
- Arbitrigeurs
- Securitizers
- Depository Institutions (banks)
- Insurance companies
- Clearing houses/ custodians
financial intermediaries
【securitizers】
特点3
- ABS, MBS, 提供流动性
- use SPV，隔离风险和优质资产
- senior tranches/ junior tranches
financial intermediaries
【insurance companies】
3大风险
- moral hazard：买保险后便不注意
- adverse selection: 最需要保险的人才来买
- fraud
financial intermediaries
【dealer与arbitrigeur】
联系与区别2
- 工作内容相似，compete with each other
- dealers connect buyers and sellers who arrive in the same market at different times
arbitrigeurs connect buyers and sellers who arrive in different market at same time, connect buyers and sellers who want to trade same underlying risks but in different forms.
【short position】
空头交易流程图
解释short rebate rate 3点
- seller卖股票Proceed抵押在lender处，lender用于投资短期货币市场
- interest income一部分给seller作为rebate
- 对很难借到的股票，rebate rate could be negative
【short position】
关于收益率
例题
【leverage position】
名词解释
- margin
- margin loan
- call money rate
- initial/ maitanance margin
- margin call price EQUATION
- 自有资金
- 借来资金
- 借来资金的cost
- 初始/下限—自有资金比例
- P=P0*(1-IM)/(1-MM)
【leverage position】
计算回报率
一道例题
【instructions】
3大类
- execution instruction: how to trade
- validity instructions: when to trade
- clearing instructions: how/who to settle the trade
【market making】
图中名词解释
- make a market
- take a market
- best price
- make new market
- behinde the market
- inside the market
- make a market: 只要offer to trade就算
- that who trades with them takes the market
- best price: best bid (highest) best offer (lowest)
- 超过best price但仍未达成deal
【instructions】
execution instructions
5
- market order: 直接按best prices买卖
- limit order: 如：小于等于期望买价即买入
- all-or-nothing order
- hidden order: 失去了时间优先权
- iceberg orders
【instructions】
validity instructions 6
+1 个特殊结论
- day orders
- good-till-cancel GTC
- immediate or cancel （fill or kill）
- good-on-close/open
- stop order: stop buy (short), stop sell (long)
结论：market is momentum is reinforced by stop orders
- 什么order可以make the market
- 什么order可以take the market
- standing limit order
- marketable limit order, market order
classification of market
3种分类方法+说明
- primary/ secondary
- money markets: 短期1年内票据, capital markets
- traditional investment markets: bond, equity stock, 共同基金
alternative markets
【primary market】
- 企业融资方式2
- 承销方式-股票7
承销方式-债权2
- IPO/ secondary offerings (seasoned offering)
- underwritten包销
- best efforts代销（注意两者联系）
- private placement
- rights offering仅限已有股东，前者联系
- shelf registration自定发行时间
- div reinvestment plan
- book building
- 国债competitive bids
- 银行承销
【secondary market】
- 功能2
- trading session分类+定价方式
- 提供liquidity, price discovery
2.
call market: 约定时间地点，集合竞价auction，集合所有order, choose single price that maximizes trade volume
continuous markets
【secondary markets】
3种market structure
及特点
- quote-driven: 除股票市场外最常用，OTC交易，dealer主导
- order-driven: price priority+secondary precedence rules
- brokered markets: 如房地产
trade pricing rules
3
- uniform pricing rule: in call markets
- discriminatory pricing rule: in continuous markets
- derivative pricing rule: crossing networks, match traders from different markets
5 characters of a well-functioned
financial market
- complete market: 所有需要的人能各取所需
- operational efficiency: 交易成本低
- informational efficiency: 新信息及时反映入价格
- price及其变动都反映fundemental value
- allocation efficiency
financial market
4 problems with poor regulation
+关键词说明
- fraud and theft: 欺骗unsofisticated customers
- insider trading: 赶走其他交易者，流动性下降
- costly info: common reporting standards
- defaults: reqiure minimum capital
