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59

/ . . ; [. . . , . , . ]. . : , 2010. 864 . ( ).
ISBN 978-5-699-25891-8
, , , , . , , . ,
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336
65.261


,
, ,
.

ISBN 978-5-699-25891-8

2002 by Frank J. Fabozzi. All rights reserved. This translation published


under license.
.., .., .., , 2009
, 2010


. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

1.

. . . . . . . . . . . . . . . 11

2.

. . . . . . . . . . . . . . . . . . . . . . . . . . . 25

3.

. . . . . . . . . . . . . . . . . . . . . . . 43

4.

. . . . . . . . . . . . . . . . . . . . . . . . . . . . 75

5.


. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125

6.

. . . . . . . . . . . . . . . . . . . . . 147

7.

. . . . . . . . . . . . . . . . . . . 185

8.

, . . . . . . . . . . . . . . . 203

9.

. . . . . . . . . . . . . . . . . 215

10.

. . . . . . . . . . . . . . . . . . . . . 229

11.

. . . . . . . . . . . . . . . . . . . . . . . . 251

12.

. . . . . . . . . . . . . . . . . . . . . . . . 283

13.

. . . . . . . . . . . . . . . . . . . . . . 297

14.

. . . . . . . . . . . . . . . . . . 333

15.

MBS ABS . . . . . . . . . . . . . . . . . . . 369

16.

,
. . . . . . . . . . . . . . . . . . . . . . . . . . 401

17.

, . . . . . 425

18.

,
. . . . . . . . . . . . . . . . . . . . . . . . . . . 451

19.

. . . . . . . . . . . . . . . . . . . . . . . . . . . . 473
5

20.

(CDO) . . . . . . . . . . . . 489

21.

. . . . . . . . . . . . . . . . . . . . . . . . 511

22.

. . . . . . . . . . . . . . . . . . . 541

23.


. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 565

24.

. . . . . . . . . . . . . . . . . . 583

25.

- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 617

26.

. . . . . . . . . . . . . . . . . . . . . . . . . . . . 681

27.

. . . . . . . . . . . . . . . . . . . . . . . 707

28.

. . . . . . . . . . . . . . . . . . . . . . . . . . . 733

29.

. . . . . . . . . . . . . . . . . . . 763

30.

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 783

31.

. . . . . . . . . . . . . . . . . . . . . . . . . . 793

32.

. . . . . . . . . . . . . . . . . . . . . . . . . . 811

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 831

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. (Frank J. Fabozzi)


. (William J. Adams)
. (Mark J. P. Anson)
. (John B. Brynjolfsson)
. (John R. Caswell)
(Moorad Choudhry)
. (Bruce M.Collins)
. (Joseph F. DeMichele)
(John Dunlevy)
. (Frank J. Fabozzi)
(Bruce Feibel)
. (Michael J. Fleming)
. (Gary L. Gastineau)
. (Laurie S. Goodman)
. (Duane C. Hewlett)
- (Susan Hudson-Wilson)
. (Robert R. Johnson)

Massachusetts Financial Services


CalPERS
PIMCO Real Return Bond Fund
Galliard Capital Management
City University Business School
QuantCast
Delaware Investments
Beacon Hill Asset Management

Eagle Investment Systems
Federal Reserve Bank of New York
ETF Advisors, LLC
UBS Warburg
Delaware Investments
Property & Portfolio Research, LLC
Association for Investment
Management and Research
. (Frank J. Jones)
The Guardian Life Insurance
Company of America
. (George P. Kegler)
Cassian Market Consultants
- (Maria Mednikov Loucks) UBS Asset Management
. (Steven V. Mann)

. (John N. McElravey)
Banc One Capital Markets, Inc.
(Steven Miller)
Standard & Poor's
. (John A. Penicook, Jr.)
UBS Asset Management
. (Pamela P. Peterson)

(Uwe Schillhorn)
UBS Asset Management
. (Karl P. Tourville)
Galliard Capital Management
(David Yuen)
Franklin Templeton Investments
. (Thomas A. Zimmerman)
UBS Warburg

. (Frank J. Fabozzi),
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28

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Standard & Poors (S&P) 500

Frank Russell 1000 Value, S&P/Barra 500 Value

Frank Russell 1000 Growth, S&P/Barra 500


Growth

Frank Russell Mid Cap

Frank Russell 2000

Frank Russell 2000 Value

Frank Russell 2000 Growth

Morgan Stanley Capital International (MSCI) EAFE,


Salomon Smith Barney International,
MSCI All Country World (ACWI)

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Finance 1952. . 7791.

31

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Standard deviation of portfolio return

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(Sheila Lau). . // . 1971. . 50.

32

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41

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Gain or Loss
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Investment made
45

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Month End

Market Value

31-Dec-2000

100

31-Jan-2000

28-Feb-2000

Dollar Return

Percent Return

110

10

10.00

120

10

9.09

=B4-B3

=((C4/B3)*100)

5
6

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$10, (10/100 = 10,00%),
(10/110 = 9,09%). ,
46

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A 100 $1 = $100 MVB.
31 2001 .
A $110 (10/100 = 10%) .
28 2001 .
A $115 (5/110 = 4,55%) .
48

3.

1 2001 .
50 A $1,15 $57,50.
$7,50 ($57,50 $50 = $7,50).
10 B $5,75 .
31 2001 .
A $50 (50 $1).
B $50 (10 $5).
$100 -
(15/115 = 13,04%).
. 3.2 ,
$7,50 .
3.2
1
2
3
4
5
6
7
8

Date
31-Dec-2000
31-Jan-2001
28-Feb-2001
01-Mar-2001
31-Mar-2001

MV Stock A
100.00
110.00
115.00
57.50
50.00

MV Stock B
0.00
0.00
0.00
57.50
50.00

Total MV
100.00
110.00
115.00
115.00
100.00

Gain/Loss

% Return

10.00
5.00

10.00
4.55

15.00

13.04

=D6-D5

=((E6/D5)*100)

A B,
. (-$15,00),

, .
,
. .
. . 3.3
,
,
.
3.3
1
2
3
4
5
6
7
8

Date
31-Dec-2000
31-Jan-2001
28-Feb-2001
01-Mar-2001
31-Mar-2001

MV Stock A
100.00
110.00
115.00
57.50
50.00

MV Stock B
0.00
0.00
0.00
57.50
57.90

Total MV
100.00
110.00
115.00
115.00
107.90

Gain/Loss

% Return

10.00
5.00

10.00
4.55

7.10

6.17

=D6-D5

=((E6/D5)*100)

,

49

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.

(ROI)

, .
.
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.
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Investor
Withdrawals

Contributions
Portfolio
Cash
Security 1
Security 2

...
Security N
Fees
Manager

. 3.1.


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50

3.

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) $100 MVE ( ) $130.
$10 ?
$100, $130. ,
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+ .
$20 ($130 $100 $10 + $0). $20 /
$100
$10.
( ),
.

, . .
(ROI). ROI
,
:
(EMV + NOF) (BMV + NIF)
ROI in percent =
100
BMV + NIF

NIF ,
NOF .

ROI . 3.4.
3.4
A

MVB

In Flows

Out Flows

MVE

Return on Investment %

100.00

10.00

0.00

130.00

=(((D2+C2)(A2+B2))/(A2+B2))*100

51

18.18

EMV, ROI, (EMV + NOF).


. . .
.
, .
. (BMV + NIF) ROI.
BMV, ,
.
18,18% ,
BMV = $100, EMV = $130, NIF = $10? : .
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- , - . ,
, $10 ,
$100 $110 .
$20 .
18,18%.
ROI ,
.
, , ROI
,
.
ROI , . ROI
, , ,
10 . ,
, , .
, .


,
. , , ,
. ,
:
52

3.

FV = PV (l +R)N ,
FV ;
PV ;
R ;
N .

R. R,
.
, MVE ,
MVB 1 :
=
= (1 + ).
.
.
. , MVB = $1000 5% ,
$1200:
=
[1 + ( /100) ] =
= l000 [l + (5% / 100) 4] = 1200.
,
.
$200. $1000 20% . .

,
. , $100, 7% 10 ,
$196,72 (. 3.5).
3.5
A
B
1 Date BMV
0
2
1
100.00
3
2
107.00
4
3
114.49
5
4
122.50
6
5
131.08
7
6
140.26
8
7
150.07
9
10 8 160.58
11 9 171.82
12 10 183.85
13
14

C
Interest Rate
0.07
0.07
0.07
0.07
0.07
0.07
0.07
0.07
0.07
0.07

D
EMV
100.00
107.00
114.49
122.50
131.08
140.26
150.07
160.58
171.82
183.85
196.72

Principal
100.00
100.00
100.00
100.00
100.00
100.00
100.00
100.00
100.00
100.00
100.00

Interest

Interest on Interest

% of Value

7.00
14.00
21.00
28.00
35.00
42.00
49.00
56.00
63.00
70.00

0.00
0.49
1.50
3.08
5.26
8.07
11.58
15.82
20.85
26.72

0%
1%
2%
4%
5%
7%
9%
11%
14%

=C12*$B$3*A12

=D12-(E12+F12)

=G12/D12

=B12*(1+C12)

53

, . , ,
, . ,
. , .
,
,
. 10- 7%
14% . 30-
7%
60% .
,
.
, . . ,

. . , , , ,
.

. , .
. 3.6,
, .
3.6
A
1
2
3
4
5
6

Frequency
Yearly
Monthly
Daily

MVB
1000.00
1000.00
1000.00

C
Periods
1.00
12.00
365.25

D
Return
0.07
0.07
0.07

E
MVE
1070.00
1072.29
1072.50

=FV(D4/C4,C4,0,B4*-1)

, .. .

:
r
m

MVE = MVB 1 + period

m periods

r ;
m .
54

3.

, $100 3% 6 (.. MVB = 100,


MVE = 103) $106,09:
(0.03 2)

106.09 = 100 1 +

21(year )

,

, , , :
, MVB $100, $10, MVE $130?
, , $20 ($130 $100 $10) .
. 18,18% 20%.
$10 ,
$100 $10:
130 100 10
130 110
20

100
100
100 = 18,18%
100 + 10
110
110
, $100 20%:
130 100 10
130 110
20

100
100
100 = 20%
100 + 10
100
100

,
. ,
. .
, ,
.
, .

. , ,
.

,
.
55


. ,
(MWR) ,
, .


,
. , .
, . ,
.
, , (,
21), (NAV) $10,00 $12,00,
(. 3.7):
3.7

NAV

5/31

10,00

6/10

12,00

6/20

10,00

6/30

11,00

, , 10% (11/10). . 3.8


:
3.8

1
2
3
4
5
6
7

Period
1
2
3
4
5
6

Return from
5/31 6/10
5/31 6/20
5/31 6/30
6/10 6/20
6/10 6/30
6/20 6/30

C
Calculated As
((12/10)1) 100
((10/10)1) 100
((11/10)1) 100
((10/12)1) 100
((11/12)1) 100
((11/10)1) 100

56

D
Return
0.20
0.00
0.10
0.17
0.09
0.10

% Return
20.00
Published Return
0.00
10.00
16.67
9.09
10.00

3.

, , 5/31 6/10, 20% .


, 6/10 6/20, 16,67%.
36,67% , . ,
, . ;
.
. ,
,
. , , , ,
. ,
. , .
10%,
. ,
; , 10% . ,
.



. , $100. $10. , 1 . . ,
10%. 1 . .
3.9 , l 9,05%.
. 3.10 , 2
10,00% .
3.9
A
1
2
3
4
5
6

Segment
Cash
Equity
Total

B
MVB
10
100
110

C
Percent Return
0.01
0.10
9.05
=((D4/B4)-1)*100)

57

D
MVE
10.05
90.00
100.05


3.10
A
1
2
3
4
5
6

Segment
Cash
Equity
Total

B
MVB
0.00
110.00
110.00

C
Percent Return
0.01
0.10
10.00

D
MVE
0.00
99.00
99

=((D4/B4)-1)*100)

, 1 2
95 [9,05% (10%)]
.


, . : , , , , .

:
;

.
, .
,
.
. , , ,
.
, .
, (MWR). MWR , .

, , .
MWR
(TWR), .
, MWR ,
, TWR.
MWR , .
58

3.

.
(. 3.11):
3.11

MWR ,
.
. -
MWR,
, .
.
, .
, ,
. . 3.12 MWR
:
, . 0,92 ( 92% ) 0,83
( 83% ).
3.12
A
1
2
3
4
5
6

Date
31-Dec-2000
31-Jan-2001
28-Feb-2001

Time into Total Period Months Invested


0
12
1
11
2
10
=12B4

D
Period Weight
1.00
0.92
0.83
=C4/12

(IRR)
, $100 , $140.
$10 .
MWR ? MWR :
100 (1 + MWR) + l0 (1 + MWR)0,92 + 10 (1 + MVR)0,83 = 140.
59

,
, , IRR.
IRR :
MVE = MVB (1 + IRR) + CF1 (1 + IRR)1 ... CFN (1 + IRR)N
CF ;
N , CF .

IRR , . , , IRR . , . IRR , : ,



. , .
. . 3.13 IRR
Excel.
3.13
1
2
3
4
5
6
7
8
9

Date
Dec-31-2000
Jan-31-2001
Feb-28-2001
Dec-31-2001

Months Invested
12
11
10

Period Weight
Value
1.00
100
0.92
10
0.83
10
140

IRR calculated using solver

Future Value of Flow


117.05
11.55
11.40
140.00

=D2*((1+E8)^C2
=D3*((1+E8)^C3
=D4*((1+E8)^C4
=SUM(E2:E4)

Difference: 0.00
IRR: 0.1705
Percent Return: 17.05

=D5E5
=E8*100

D5
E5. IRR
E8. IRR 17,05%, , ,
:
100 (1 + 0,1705) + 10 (1 + 0,1705)0,92 + 10 (1 + 0,1705)0,83 = 140.
, IRR : ,
. 17,05%
.
IRR . ,
. , 10- 31- 0,7097 [(31 10) / 31)].
(, 10- . , , .)
60

3.

IRR IRR . . 3.14 IRR ,


MVB = 1000 31 2000 ., MVE = 1200 31 2001 .
$400 10 2001 . $100
20 2001 .
3.14
A
1
2
3
4
5
6
7
8
9

Date
Dayss Invested
31-Dec-2000 31
10-Jan-2001 22
20-Jan-2001 12
31-Jan-2001

Period Weight
Value
1.00
1000
0.71
400
0.39
100
1200

Future Value of Flow


919.85
376.97
96.82
1200.00

=D2*((1+E8)^C2
=D3*((1+E8)^C3
=D4*((1+E8)^C4
=SUM(E2:E4)

Difference: 0.00
IRR: 0.08
Percent Return: 8.02

=D5E5
=E8*100

() ,
IRR. IRR
8,02%

, IRR
IRR MWR,
, . . , IRR
, , IRR
,
. .
IRR. , , MWR , ,
TWR.


MWR.
, ROI,
, , ,
:
Modified Dietz Return =

MVE MVB CF
100
MVB + {[(CD Ci ) / CD] CFi }

CF ;
CD ;
Ci ;
CFi Ci.
61

(Peter Dietz),
Frank Russell.
, , , .
, ,
:
+

MVB

100;

MVE

120;

(/ )

CF

10 20-
30- .


, 0,33 ( ,
20- ):
30 20
= 0,33
30
, : 0,33 x $10 = $3,33.

:
9, 68% =

120 100 10
100
100 + 3,33

IRR,
, . MWR .
, , .


:

. /

. ,


. , , ,
62

3.

.
, . , ,
.


(TWR) ,
. TWR

.
, ,

TWR . . , TWR
.
1. .
2. , .
3.
.
4. .
5. 3 4 .
6. ,
, .
7. (1 + ).
. ,
.
,
.
=
= [(1 + R1) (1 + R2) ... (1 + RN) 1] 100,
RN .

TWR , . (1 + ) , . ,
$100 $105
, 5%,
1,05.
63

TWR. TWR ,
(. 3.15):
3.15

5/31

1000

6/9
6/19

1100
1200

6/30

1200

(. 3.16):
3.16

6/10 6/20

200
100


TWR
, .
. , , (. 3.17):
3.17

5/31

1000

5/31
6/9
6/10

1100
1100

200

6/19

1200

6/20

1200

6/30

1200

100
1200
64

3.

.
1) 5/31 6/9;
2) 6/10 6/19;
3) 6/20 6/30.
, = (1 + ).


. . ,
. ,
. ,
, , .
, :
Subperiod Return (start of day flow assumption) =
MVE
=
MVB + Net Cash Inflows
, ,
,
.
/ . . 3.18 :
10,00, 7,69 9,09%:
3.18
A
B
C
D
E
BMV
CF
EMV
1 Subperiod Return From
5/31 6/10 1000
0
1100
1
2
6/10 6/20 1100
200
1200
2
3
6/20 6/30 1200
100
1200
3
4
5
=((E4/(C4+D4))1)*100
6

Percent Return Growth Rate


10.00
1.10
7.69
0.92
9.09
1.09
=1+(F4/100)


:
[(1,1000) (0,9231) (1,0909) 1] 100 = 10,77%.
65


. . 3.2 ,
TWR .
1400
8%

1300
Fund Value

+200

9%

1200
100

10%

1100
1000
900

30-Jun

28-Jun

26-Jun

24-Jun

22-Jun

20-Jun

18-Jun

16-Jun

14-Jun

12-Jun

10-Jun

8-Jun

6-Jun

4-Jun

2-Jun

31-May

800

. 3.2.

TWR , . . , ( , 26)
, . TWR
.


. TWR
. , . , , .

, .
TWR ,
.
TWR MWR
, TWR. MWR TWR
TWR ,
, . , , TWR MWR . ,
66

3.

MWR TWR .
, .
. TWR , MWR .
. 3.19 ,
.
3.19

,
MVB, CF MVE

$1,


IRR

.
, . . .
67


, TWR .
, ,
, ,
.
(1 + ) :
= [( 1) ( 2) ... 1] 100.

9, 6, 2, 8 4%
. 3.20:
3.20
A
1
2
3
4
5
6
7
8
9

Year
1
2
3
4
5

B
Return
0.09
0.06
0.02
0.08
0.04

C
Single Period
1.09
1.06
0.98
1.08
0.96

Growth Rates
Compounded
Cumulative %
1.09
1.16
1.13
=PRODUCT(C3:C7)
1.22
1.17
17.40
=(D71)*100

,
17,40%.

, .

,
. (1 + ). , , . ,
$100, 1,2568, $125,68:
$100 (1,2568) = $125,68.
:
End Period Growth Rate)
Return =
1 100
Begin Period Growth Rate
68

3.

, . , , .
, .



.
. ,
, ,
. , .
.

.
,
1250 (250 5 )
.
, , .


.
. : . :
Arithmetic Mean Return =

Sum (Periodic Returns)


Count of Returns

(.. , , ). . ,

. , 69

. ,
(. 3.21):
3.21

1
2

10%
20%

15% [(20 + 10)/2].


32%.
[(1,10) (1,20) 1] 100 = 32,00%.
, ,
.
[(1,15) (1,15) 1] 100 = 32,25%.
. .

,
, . 20%
2 10% 1,
. ,
. n- , n .
:
Geometric Mean Return =
=[ (1 + Comulative Return) 1] 100
N

(, , .)
70

3.

. 3.22 , , 32%,
14,89%:
3.22
A
1
2
3
4
5
6
7
8
9

Year
1
2

B
Return
0.10
0.20

Single Period
1.10
1.20

Growth Rates
Compounded
Cumulative %
1.10
1.32
32.00

=PRODUCT(C3:C4)
Arithmetic yearly average: 15.00
Geometric yearly average: 14.89
=((D4^(1/2))1)*100

Excel n- , (1/N).
( 2 1,32 1) 100 (1,1489 1) 100 = 14,89%
,
:
=
{[1 + ( /100)]N 1} 100.
14,89%, 32% .
{[1 + (14,89 / 100)]2 1} 100 [(1,1489)2 1] 100
(1,32 1) 100 32%

{[(1,1489) (1,1489)] 1} 100 = 32%.


C . 3.23 : ,
:
3.23
1
2
3
4
5
6
7
8

Year
1
2
3

Actual Return
0.15
0.07
0.05

Year 13 in % 16.90

Geometric yearly average:


0.0534
=((1+(B6/100))^(1/3))1
0.0534
=C2
0.0534
=C2
16.90

=((1+C2)*(1+C3)*(1+C4)1)*100

=((1+B2)*(1+B3)*(1+B4)1)*100

71



, , . ,
, .

, .
. , , , :
{[1 + Period rate)# of periods ] 1} 100

. , , . ,
, 20%. 792%.
, ,
,
, .




, , . , n, n-
.
{[#of years (1 + Period rate)] 1} 100
, 19,1% ,
6% :
{[ 3 (1,19102)] 1} 100 = 6, 00
72

3.

, , n- . n- . 1 100.
,
.

365,25, .
Number of Days

Annualized Return =
Linked Growth Rates 1 100
365, 25

, 14%, 16 , 10,37%.

IRR, ,
.
,
, . . 3.24
IRR
10,00%:
3.24
A
Year
1
0
2
1
3
2
4
3
5
4
6
5
7
8
9
10 Total Days:
11
12
13
14

Days
0
365
730
1095
1460
1825

Flow
400
100
100
(50)
(50)

Value
0

1825

E
Weight
5.00
4.00
3.00
2.00
1.00

550
Difference:
*Annual Return:
Annual % Return:
Growth Rate:
Years:
Compound Return:

F
FV
400
110
110
(55)
(55)
550
(0)
0.02
1.93
1.01926
5.00
10.00

G
=FV(F9,E2,0,C2,0)
=FV(F9,$E$2,0,C3,0)
=FV(F9,$E$2,0,C4,0)
=FV(F9,$E$2,0,C5,0)
=FV(F9,$E$2,0,C6,0)

=F7D7
=F10*100
=1+F10
=((B70)/365.25)
=((F12^F13)1)*100

IRR 1,93%. ,
, ..
73

.
. .
,
.
.
, ,
.
,
.

. ,
, ,
-

. ,
,

. ,
,
,
-

, , ,
(.. ) .


. .
, , .
.
.
, .
, , ,
.
: ,
.
12.

, .
.
.
, , .
,
.
(OTC over-the-counter), - .
. ,
.

, OTC- -.
76

4.


( ECN).
:
(1) - (NYSE),
(Big Board), (2) (AMEX ASE), (Curb) .
, .
,
( ), , - ( ) . , .
OTC- NASDAQ (National Association of Securities
Dealers Automated Quotation System ),
NASD (National Association of Securities Dealers
),
. NASD (SRO) , (SEC). NASDAQ . 1998 . NASDAQ AMEX NASDAQ-AMEX
Market Group, Inc.
NYSE , 3000 . AMEX
750 . NASDAQ , ,
NYSE.
1934 .
. , ( ). ,
.
, , NASDAQ,
, ( NASDAQ
National Market ( NASDAQ) NASDAQ Small Capitalization
Market ( NASDAQ )).
, :
1) ( );
2) NASDAQ ( NASDAQ);
3) NASDAQ (
NASDAQ).
.
77

, ,
:
, ;
, ;
, ;
,
, -.
.

, (SEC). .
. , , (
).
.
, , .
,
.


. . ,
.
:
1) , (
) ,
;
2) , , .
. ,
, , , .
,
.
.
78

4.

NYSE
.
- , .

NYSE
NYSE , , , .
- .
, .. .
.

17 NYSE. , , ,
, .
SuperDOT (Super Designated Order Turnaround ). SuperDOT ,
NYSE. NYSE
SuperDOT.
, , ,
. NYSE
- .
, .
NYSE -. 500 ( stockbrokers wirehouses). -
. ,
.
.

, -

. , .
,
. ,
.
, -, NYSE 79

.
(), ().
, .
. , ( -).
,
, .
- ,
SuperDOT,
,
.
, .
. -. -,
, ,
,
( ).
, , .
,
-.

. . .
. ,
. NYSE
.
NYSE .
, .
NYSE
: ; ;
, , ; -
, ,
; , -; , , ,
.
.
80

4.

, NYSE, .
1) , , , , , .
2) , , ,
, .
3) , .
4) , /,
.
,
, . , , - (
, ) (
).
,
. , , ,
.
, , .. ,
.

. . , ,
.
,
, .
,
.

, . ,
. .
,
. .
,
(.. ).
, , .
81

, , , , .
, , , (
).


. , .
NASDAQ, ,
. , .
: NASI (NASDAQ), -NASDAQ.

NASDAQ
1971 ., NASDAQ , 100%- NASD. NASD ( ) (SRO),
SEC. NASD, , .
NASDAQ , , -. NASDAQ
, NASDAQ. , NASDAQ . NASDAQ 4700
$3,5 . 535 ,
-,
NASDAQ.
NASDAQ - : 1) NASDAQ (NNM) 2) NASDAQ
.
( NASDAQ NASDAQ). NASDAQ
.
2000 . 3800
NASDAQ NNM 900 .
, ( , )
.

NASDAQ, ..
82

4.

, , , , . . ,
NASDAQ, , . , NNM. NNM-. NNM
, .
NYSE NASDAQ
(NNM). , NYSE , NASDAQ .
.
, NYSE,
NASDAQ, Microsoft Intel 2000 .
NASDAQ NYSE. 1970 . NYSE
NASDAQ Aeroflex, Inc.
- NASDAQ NNM
( ),
. 9.30 16.00
, : - NASD -
, - ,
. (backing
away) 1.


NASDAQ , ( 8000) NASDAQ.
. , , . ,
. : ,
NASDAQ.
-NASDAQ OTC Bulletin Board
(OTCBB), Bulletin Board ( ).
OTCBB NASDAQ NASD. OTCBB ,

, - NASDAQ NNM (1) 1000 ( ),


(2) , (3)
(SOES),
(4) (5) ; ,
NASDAQ, , ,
NASDAQ. -
NASD NASDAQ 90 .

83

5500 . ,
NYSE, Amex NASDAQ.
-NASDAQ Pink Sheets ( ),
. NASDAQ 1971 .
. , . .
, .
Schedule D NASD.
penny stocks ( ).
:
. , .
NASD, , NASD ACT ( NASDAQ).
OTCBB , ,
. OTCBB 4000 .


, , . .
NASDAQ, -, . .
, ,
NASD. NASD, - , NASDAQ. NASD 1971 . NASDAQ, ,
, , CQS (Consolidated
Quotations Service ) CTS , .


, ,
. , . .
, , - , .
( ATS), , NASD .
84

4.

ATS ,

NASDAQ . ATS ,
,
, .
ATS: .


(Electronic communications networks
(ECN)) - , NASDAQ.
, ,
-
NASDAQ.
, ECN
, ECN . ECN , ,
,
.
ECN
( ) , , , , ,
ECN, ECN.
ECN NASDAQ, ECN . ECN
, .
ECN NASDAQ,
NASDAQ. ECN
30% NASDAQ.
Instinet (Institutional Networks Corporation) ECN
1969 .
. 1987 . Instinet Reuters Holdings.
Instinet -, NASD
NASDAQ, . Instinet
, , .. . - Instinet. Instinet
NASDAQ ECN
1980- ., - .
1969 . ECN: Island,
Archipelago, REDI Book, Bloomberg Tradebook, BRASS Utility, Strike, Attain, NexTrade
Market XT. Archipelago Island SEC ,
.
-
(.. ), 85

, .
,
. .
, ( ). ,
, , .
: ITG Posit,
(AZX) Optimark. Instinet ,
ECN, .
Instinet ,
, .
, SEC.
, , Instinet.
Instinet.
Posit ITG , .
, . Posit
ITG .
, (AZX) , 1992 .
, , . , ,
,
. 9.30, 10.30,
12.30, 14.30 16.30 . EST1.


, .
( ),
.


,
, .
, 1

, , . AZX
www.azx.com.

86

4.

.
, . :
/ , . , ,
, , ;

.
,
. :
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Plexus Group 1997 .
4,5 I 1999 . ,
, . ( 10 000 ) 4,8 . , 10 000 2,8
2.
Plexus Group ,
(..
)
. , 1

: . . . . A Methodology
for Measuring Transactions Costs // Financial Analysts Journal. 1991. . 2736.
Plexus Group,. Withering Commissions, Winning Brokers: Who Will Survive? , 1999 .

93


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Norris Floyd. Wall St. Said to Gain Most in Policy Shift // New York Times, 20 , 2000 .
C1, C6.

95


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.

Trading Costs

Execution Gain/Loss
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Opportunity Gain/Loss
(Uncompleted Trades)

Timing
Gain/Loss

Impact
Loss

Commision
Loss

. 4.1.

: Alpha Capture, Plexus Group, Second Quarter, 1999.


.
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97

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( ). 1

Keim D. B. Madhavan . The Cost of Institutional Equity Trades // Financial Analysts Journal.
1998. . 5059.

98

4.

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SuperDot). OTC,
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:
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4.

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- (NYSE Composite),
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: Dow Jones, Standard & Poors 500
105

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, NYSE. Dow Jones & Company, Wall Street Journal. S&P 500 ,
.
Standard & Poor's Corporation,
. , , . VLCA, Value Line Inc ,
, NYSE, AMEX .
Wilshire, Wilshire
Associates (Santa Monica, California), Russell, Frank Russell Company (Tacoma, Washington),
.
.
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6700 5000 . Wilshire 4500 Wilshire 5000, , S&P 500.
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.
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106

4.


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1

F. Fama E.F. Efficient Capital Markets: A Review of Theory and Empirical Work//Journal of
Finance. 1970. . 383417.

107

. , ,
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.
1

Skelton J.L. Investment Opportunities with Indexing, in Katrina F. Sherrerd (ed.), Equity Markets
and Valuation Methods (Charlottesville, VA: The Institute of Chartered Financial Analysts,
1988).

109

,
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, Security Analysis ( ).
. 1934 . . ,
Security Analysis ( ), 5- . (New York: McGraw-Hill, 1988).

111

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Street Journal . 1. . -,
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112

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1

Focardi S. and Jonas C. Modeling the Market: New Theories and Techniques (New Hope, PA:
Frank J. Fabozzi Associates). P. 14.
DeBondt W/ and Thaler R. Does the Market Overreact?//Journal of finance (July 1985)/
P. 793805.

114

4.

. , ,
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1.
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(EVA).
.
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, . . ,

Chugh Lal and Meador Joseph. The Stock Valuation Process: The Analysts View//Financial
Analysts Journal. 1984. . 4148.
EVA .: Grant James L.
Foundations of Economic Value Added (New Hope, PA: Frank J. Fabozzi As sociates, 1997).

115

; , .
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1.
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2.
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: . . 4- ., (New York: Harper & Row, 1973). 14.

116

4.

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1

: Jacobs Bruce I. and Levy Kenneth N. The long and short on longshort//Journal of Investing/ 1997. . 7888.

118

4.

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1.


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1970- . ,
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. , ,
1

. Jacobs Bruce I. and Levy Kenneth N. Investment Analysis: Profiting from a Complex Equity
Market. Fabozzi (ed.). Active Equity Portfolio Management (New Hope, PA: Frank J. Fabozzi
Associates, 1998).
Farrell James L., Jr. Homogenous Stock Groupings: Implications for Portfolio Management//
Financial Analysts Journal. 1975. P. 5062.

120

4.

, .

(large cap) (small cap). ( :
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.
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. .
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. :
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P/E .
,
. 1

Jon A. Christopherson and C. Nola Williams, Equity Style: What It Is and Why It Matters, Chapter
1 in T. Daniel Coggin, Frank J. Fabozzi, and Robert D. Arnott (eds.), The Handbook of Equity Style
Management: Second Edition (New Hope, PA: Frank). Fabozzi Associates, 1997).

121

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122

4.

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1964 .

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, , , . . 5.1. ,
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129

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1934 . 10-K , , , ,
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1990 . Occidental Petroleum $195 000 ,
1.
1

, Armand Hammer. (Earl C. (iottschalk Jr.


Proxy Statements Offer Juicy Tip-offs at Some Firms//Wall Street journal (April 17, 1991).
. c1, cl7.

131

1990 - W. R. Grace , National Medical Care,



1.
, , Einstein Noah Bagel Boston Chicken
Boston Chicken. -
, Boston Chicken. , Boston Chicken ,
Boston Chicken Einstein Noah Bagel2.

8-K
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3 1996 . Discovery Zone, Inc. () , Price Waterhouse LLP (PW), ,
PW
1996 . Registrant
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14 Einstein Noah Bagel Company 1 1997 .

132

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.

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44 .) (, Berkshire
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)1.
.
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- ,
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First Call (www.firstcall.com) Dow Jones (bis.dowjones.com). -.
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, ,
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. , MDA .
SEC , MDA , . ( ,
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, . Thornton O'Glove,
(Quality of Earnings Report),
2. O'Glove 3. 15 , .
1980- .
Convergent Technologies (CVGT).
. 1983 . $0,40
1

Moos Jeanne. Annual Reports to Remember//http://www.cnnfn.com/hotstories/ 24 ,


1997.
OGlove Thornton L. (with Robert Sobel). Quality of Earnings (New York, NY: The Free Press,
1987). . 44.
OGlove. Quality of Earnings. . 4649.

134

5.

$0,42 1982 .
1983 . , 1983
Convergent Technologies. , . ,
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, , , . :
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.
, $96,4
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10-K 1983 . , - . . MDA :
,
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, : 30%-
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135


, $

, %

1997

1996

1995

1997

1996

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$2952

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13

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1997 . 1996 .. (PepsiCo Inc. 1997 10-K, . 13.)

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136

5.

Harnischfeger Industries Inc., . 5.3.


1991 .
1991 . , 1995 .
? , . 1991 . 1995 .
1991 .,
1995 .
, 1. , Harnischfeger
1991 ., 1991 .
, , 1991 . .
5.3
Harnischfeger Industries, Inc, 1991

, . .


1991 .


1991 1995 .

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1 863 703

120 920

194 682

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79 966

1 506 882

2 135 627

2,08

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: Bloomberg Financial Markets


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207


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1

Lucas Gerald Quek Timothy. Valuing and Trading TIPS//Handbook of Inflation-Indexed Bonds
(New Hope, PA: Frank J. Fabozzi Associates, 1999). , ( ) ,
TIPS, . : Harrison M. Kreps D. Martingales and Multiperiod
Securities Markets//Journal of Economic Theory (1979)/ C. 381408.

210

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211

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2006 .

: Bloomberg Financial Markets


212

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217

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219

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220

9.

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.
. GSE 221

,
. Freddie Mac Fannie Mae 2001 .
Aa2 Moody's Investors Service AA Standard & Poor's.


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(FHLBanks)
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222

9.

Farmer Mac , , .
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, Sallie Mae,
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, . , . 17 Sallie Mae,
.
223

1997 . Sallie Mae


(GSE). , GSE, GSE .

(FICO)

- (FSLIC)
. - FSLIC
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FICO. FICO
1987 . 30-
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,
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9.

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29.

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GSE AAA Moody's),
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2001 . , , 12,1%
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,
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2

, 2001 .
, . , .

225

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1982 . ,
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, GSE . -,
. . 9.1
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Lehman Brothers. , ,
, , 12 . Fannie Mae (Benchmarks) Freddie Mac (Reference).
9.1
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: Lehman Brothers, Global Relative Value (


), Fixed Income Research ( ), 16
2001, . 120
227

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5
0
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11
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20
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0
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0
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15
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11
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31
27
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10.

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, Bond Buyer Notes. : How Much
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. (John M. Dillon), - ,
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. .

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Merrill Lynch Unit Priced Demand Adjustable Tax-Exempt
Securities UPDATES. Lehman Brothers , Goldman Sachs
.


1.
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240

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TOB , . 364 .
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ROCs & ROLs. ROCs, Residual Option
Certificates ( ). ROLs, Residual Option Longs ( ).
Lehman RIBS Trust Receipts, Morgan Stanley .
245



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.

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.

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248

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.
10.2

AAA
( 12 2002 .)


AAA (%)


(%)

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6
1
2
3
4
5
7
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20
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0,86
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: Bloomberg Financial Markets

, ,
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(1 )

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(1 0, 40)


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11

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252

11.

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1

11 : (Richard S. Wilson)
. Corporate Bonds: Structure and Analysis (Frank J. Fabozzi Associates, 1996).

254

11.

15% .

.
. , , (

),
,
,
.
. ,


. , .
.

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.
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. (general and refunding mortgage bonds G&R). ,
.


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.

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255


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, :

.
. (equipment trust
certificates ETCs), 256

11.

(secured equipment certificates), (guaranteed loan certificates) (loan certificates).


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ETC- 80% ,
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, ETC -
15 ( ).
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. 15
, 1- 15- .
,
ETC 1/15 .
257

ETC .
, ,
. , , .
.
1978 . , ,
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258

11.

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1958 .
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259

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Corporation
, .
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11.

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Commentaries on Model Debenture Indenture Provisions 1965 Model All Registered Issues 1967
and Certain Negotiable Provisions Which May Be Included in a Particular Incorporating Indenture
(Chicago, IL: American Bar Foundation, 1971). . 350.

261


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262

11.

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: Moody's Investors Service, Standard & Poor's Corporation Fitch.


, ,
. 11.1. .
Moody's Aaa, AAA. Aa (Moody's) AA ( );
A. Baa BBB, Ba
BB B . C.
(AAA Aaa) -;
A (AA Aa) ;
A ; B
. , .
263


11.1
,

Fitch

Moodys

S&P


AAA

Aaa

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, -,

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. S&P Fitch . Moody's 1, 2 3.


. , , ,
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11.

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. ,
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11.

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267

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.


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268

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. ,
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269

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, 2,40%2. (Asquith), (Mullins)
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, . (Kishore) 19711997 .
, 2,6%, (
) 3,3%. , 1985 1997 .,
3,7%4.

Altman Edward I. and Nammacher Scott A. Investing in Junk Bonds (New York: John Wiley,
1987) Altman Edward I. Research Update: Mortality Rates and Losses, Bond Rating Drift
( , , Merrill Lynch Merchant Banking Group, High Yield Sales and Trading, 1989).

19841989 . High Yield Market Report: Financing America's Futures


(New York and Beverly Hills: Drexel Burnham Lambert, Incorporated).
Asquith Paul, Mullins David W., Jr. and Wolff Eric D. Original Issue High Yield Bonds: Aging
Analysis of Defaults, Exchanges, and Calls//Journal of Finance ( 1989). . 923952.
.: . 5 6 : Altman Edward I. Kishore Vellore M. Defaults and Returns on
High Yield Bonds, 14 Fabozzi Frank J. (ed.). The Handbook of Corporate Debt
Instruments (New Hope, PA: Frank J. Fabozzi Associates, 1998).

270

11.

,
.
,
. ,
1.
.
.
$100
. $100 . $100
.
, . 777 ,
1978 1997 . . : (1) , (2) ,
(3) , (4) (5) . 59% . 49%, 35%,
32%.

.
Lehman Brothers,
Broad Investment-Grade Bond Index (BIG) Salomon Smith Barney (SSB)
Domestic Market Index Merrill Lynch.

. , .
. Lehman, ,
: (1) , (2)
, (3) , (4) , , (5) , ,
(6) . Lehman Brothers
.
.
.
1

.: . 5 6 : Altman Kishore. Defaults and Returns on High Yield Bonds.

271

CS First Boston Donaldson Lufkin & Jen-rette . , , . (,


, ) .

(edium-term notes MTNs)


, , .
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18 , 18 2 .. .
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272

11.

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(.. )
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. 11.2 90- , 7
2001 . , .
.
11.3 20 Lehman Brothers 7 2001 .
. 11.4
Lehman High Yield .
, . ,
1- 10- .
273

79/+1
103/+4
116/+4

/
1- .

274

97/+2
115/0
125/0

79
107
132

70/0
98/0
130/+4

10

433

329

70
90
119

80
91
118

90
110
120

65
94
107

90-

377

73
100
125

83
100
126

98
117
127

76
98
112

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82/0
112/+3
151/+4

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150/+9
186/+9

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143/0
157/0

108/+5
149/+5
166/+5

/
1- .

B
825

88
117
151

123
150
186

135
150
165

108
149
166

703

80
101
138

97
122
149

125
140
153

96
124
144

90-

743

84
111
144

110
136
165

132
147
160

102
132
152

167/+4
195/+3
215/+3

143/+2
169/+5
185/+5

/
1- .

173
200
222

155
170
188

BBB

: Lehman Brothers, Global Relative Value, Fixed Income Research, 10 2001 . . 144

378/-21

BB

88
109
136

110
130
145

80
103
116

82/+2
96/+2
129/+2

3
5
10

3
5
10

5
10
30

5
10
30

AA

157
185
205

140
157
174

90-

90 ( )
( 7 2001 .)

11.2

167
193
215

148
165
182

11.
11.3
20
Lehman Brothers (7 2001 .)
2-.

5-.

10-.

30-.

Ford/Ford Motor Credit (A2/A)


CitiGroup/Citicorp (Aa2/AA-)

120
65

165
99

202
124

215
130

GM/GMAC (A2/A)
Worldcom, Inc. (A3/BBB+)
BankAmerica Corp. (Aa3/A)

115
170
70

165
195
115

197
260
148

190
275
155

GE (Aaa/AAA)
IBRD (Aaa/AAA)
Mexico (Baa3/BB+)
Verizon Communications (A1/A+)
AT&T/TCI Communications (A2/A)
Tyco International (Baal/A)
IADB (Aaa/AAA)
Household Finance (A2/A)
Wells Fargo (Aa3/A)
Qwest Communications Intl. (Baal/BBB+)
Morgan Stanley Dean Witter & Co. (Aa3/AA-)
DaimlerChrysler (A3/A-)
Lehman Brothers (A2/A)
AOL Time Warner (Baal/BBB+)
JP Morgan Chase & Co. (Al/A)
. 9/7/01
8/31/01

52
15
150
80
125
107
20
75
65
155
75
110
80
100
70
91
1
37

66
48
250
115
160
130
50
118
96
195
120
158
130
122
110
130
3
40

97
65
322
145
195
167
73
160
135
235
160
195
165
165
150
168
6
36

n/a
62
330
165
220
180
76
n/a
n/a
245
n/a
215
n/a
188
n/a
189
9
41

: Lehman Brothers, Global Relative Value, Fixed Income Research,


10 2001 . . 145
11.4

Lehman High Yield Index Lehman (7 2001 .)
. (C)

Nextel Communications, Inc.

9,375

11/15/09

B1/B

1 081

140

Allied Waste North America


Level 3 Communications
Nextel Communications, Inc.

10,000
9,13
0,000

8/1/09
5/1/08
2/15/08

B2/B+
B3/CCC+
B1/B

443
2 161
176

10
3
0

275

1-. .


. 11.4

. (C)
1-. .

Echostar DBS Corporation

9,375

2/1/09

B1/B

389

Telewest Communications
PLC
Calpine Canada Energy Fin.

11,00

10/1/07

B2/B

1 200

57

Williams Communications
Group, Inc.
Charter Communications
Hlds, LLC
Charter Communications
Hlds, LLC

8,500

5/1/08

BA1/BB+

345

10,875

10/1/09

B2/B+

2 378

8,63

4/1/09

B2/B+

423

30

0,000

4/1/11

B2/B+

617

42

921

12

: Lehman Brothers, Global Relative Value, Fixed Income Research,


10 2001 . . 145

. . . ,
AAA BBB. . ,
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.


,
.

.



.

, . , , .
276

11.


, ( ) ,
. ,
. .
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25,32 . , $1000 Izzobaf 25,32 .
, , , :
/
.
.
.
.
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= $39, 49
25,32


.
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.
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277



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Izzobaf $33, Izzobaf $1000 :
= $33 25,32 = $835,56.
, $100
$83 556.
, , Izzobaf , $98,19 $100
.
Izzobaf , $98,19.
278

11.


, , .
:

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.
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Izzobaf:
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= 25,32.
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=
279

$1, 065
= $42, 06
25,32

= $42,06 $33 = $9,06.


=

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= 0, 275 or 27,5% .
$33


,

,
,
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:


:
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.
, Izzobaf 5,75%. , $9,06
. :
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= 25,32 $0,90 = $22,79.
,
=

$57,50 $22, 79
= $1,37
25,32

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,
7 .


,
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280

11.

.
:
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1.

, .
,
,
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,
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, Izzobaf $106,5, $98,19,
:
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= 0, 085 8,5%.
$98,19



, .
, .




. , , () .
,
.
,
, ,
; .
.
,
, , .
281

/
Izzobaf, / , .
$33. , $42,06 ( ). , , Izzobaf
$50, , $25.
$50, $17 ($50 $33), 34%. $1266 $1000
($50 x 25,32). ,
$1000 $981,90, $1266.
$1000 $1065, $201,
18,9% ($201/$1065). ( ) - ,
. :
$42,06. $7,94,
18,9% ($7,94/$42,06).
, , Izzobaf $25.
$8 , 24%.
$633
( 25,3 $25). .
$981,90, .
, , $83,10, 7,8% ($83,10/$1065).
,
.
, . ,
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.
, , .
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.
( ).

12

. (Steven V. Mann),
,

. (Frank J. Fabozzi),
, ,
-

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,
: (1) , , , (2)
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,
.
. , 284

12.

, .
, , ,
. , ,
,
.

, .
,
. , .

, .
, . . , , by lot ( ). , , , .


, ( ,
), . , , 1999 2001 ., . 12.1,
. 12.2 25 2001 . , , .
12.1
($ .) ,
, (19992001 .)

1999
2000
2001

25 194 063
8 535 606
33 634 742

868 348 969


839 746 371
1 004 705 535

173 998 791


213 446 398
136 506 464

: Bloomberg Financial Markets


285


12.2
25
2001 .

($ .)

1
2

Salomon Smith Barney


Morgan Stanley

11 931 655
7 676 900

62
36

3
4
5

Merrill Lynch & Co.

4 664 583

38

Lehman Brothers
UBS Warburg

2 852 250
1 916 687

20
22

Bear Stearns & Co., Inc.

762 500

Bank of America

575 000

Goldman Sachs & Co.

564 583

J. P. Morgan

350 000

10

Bank One

250 000

11

Stifel, Nicolaus & Co., Inc.

234 700

12

Wachovia Corp.

208 750

13
14

Credit Suisse First Boston


Legg Mason Wood Walker

207 188
170 500

3
5

15

FleetBoston Corp.

125 000

16

Ferris, Baker Watts, Inc.

119 500

17

Advest, Inc.

103 500

18

A. G. Edwards & Sons, Inc.

100 521

19

First Tennessee Bank

100 000

20

Sandler ONeil & Partners

100 000

21

Wells Fargo Bank

100 000

22

Janney Montgomery Scott

100 000

23
24

Howe Barnes Investments, Inc.


Banco Bilbao Vizcaya Argentaria

91 475
80 000

6
1

25

Ryan Beck & Co.

60 000

: Bloomberg Financial Markets


1980- . . -, ,
. 1985 . , , .
30%. -,
. .
286

12.


: (1)
, (2)
(3) .


.
1982 . . 12.1 Bloomberg
Preferred Security Display ( ) Fan nie
Mae . 30 1998 .
$50 5,25%,
$0,65625 . 12.2 Call Schedule (
) , ,
30 1999 . $50 .
Fannie Mae 30 .
12.1
Bloomberg,

Fannie Mae

: Bloomberg Financial Markets


287


12.2
Bloomberg,

Fannie Mae

: Bloomberg Financial Markets


(ARPS)
,
. .
( ),
, (1) 3-
, (2) 10-
(3) 10- 30- .
. , Citigroup 1994 .
84%
3- , 10- 30- CMT.
$25 .

. , , ,
.
288

12.



ARPS , . ARPS
, , , , . ARPS , - ,
, . ,
, . 1984 . . ,
.
,
ARPS. 1.
. , , ,
.
28 49 .
, GE Capital 1990 . 12.3
Bloomberg Preferred Security Display ( ) . 12.4 Bloomberg
Auction Rate Preferred History ( ). ,
60- , 49 .
.

. ,
() .
7 49 .
12.5 Preferred Security Display
( ) Duff and Phelps, 1988 .
. -,
49 . -, 28 2012 . -,
(.. $100 000) .

289


12.3
Bloomberg,
GE Capital

: Bloomberg Financial Markets


12.4
Bloomberg GE Capital

: Bloomberg Financial Markets


290

12.
12.5
Bloomberg Duff & Phelps

: Bloomberg Financial Markets


, .
(, ).
(NRSRO),
,
Fitch, Moodys Investors Service, Inc. Standard
& Poors Ratings Group.

, . ,
,
. , ,
, . A B 12.6
Bloomberg S&P . B , S&P
(+) () ( )
. Moodys l, 2 3.
291


12.6
A: Standard & Poor's

: Bloomberg Financial Markets


12.6 ()
B: Standard & Poor's

: Bloomberg Financial Markets


292

12.



. , 1.
, . , ,
, :
, 70%
, . , A B, $100 ,
A, $30 A.
.
. -,
, . -, ,
,
.


.
. .
,
,
.
,
, . -, ; , ,
. -,

-,
.

293

, , , 1.
, , , .
, .
,
.
,
( ). , (conversion-forcing-call).
12.7
Bloomberg
Western Gas Resources

: Bloomberg Financial Markets


, Western
Gas Resources, $2,6250 ,
1

, , ,
, , .

294

12.

. 12.7 Bloomberg
. 31 2049 .
1,2579 .
$50,79. ,
($30,61),
(1,2579), .
, .
,
, ,
. (..
).



1990- .
. .


- (TOPrS) . , ;
.

. TOPrS 70% ,
20 (5 ). ,
,
TOPrS . TOPrS - 2030 .
TOPrS
, .


,
295

.
(Dividend Enhanced Convertible Stocks DECS) Salomon Smith Barney
(Preferred
Redeemable Increased Dividends Equity Securities PRIDES) Merrill Lynch . ,
(
) , , .
(Preferred Equity
Redemption Cumulative Stock PERCS) Merrill Lynch. PERCS

, , 1.

: Cox Anne. Convertible


Structures: Evolution Continues. Chapter 2 in Izzy Nelken (ed.) //Handbook of Hybrid Instruments
(New York: John Wiley & Sons, 2000).

13

- (Maria Mednikov Loucks),


,
,
UBS Asset Management

. (John A. Penicook, Jr.),


, ,
,
UBS Asset Management

(Uwe Schillhorn),
1,
,
UBS Asset Management

UBS Asset Management . (Stefano Cavaglia), - (YuChen Lin),


(Derek Sasveld), (Eriks Smid-chens) (Stuart
Waugh).

(EMD)
,
.
( )
.

/ .

, .
,
.
, . . ,
,
.

, .

, .
, .
. , ,
, . , -

.
,
, / .
. , ,
.
,
. 1997 . ,
, .

. ,
(. . 13.1) 1,4% 1993 .
4,8% 2000 ., 298

13.

1. 1992 2000 .
4 (. . 13.2). ,

.
: $1 332
4,8% $27,8

14%

5%
0%

14%


8%

53%

. 13.1.
2000 .

: Bank of International Settlements, J.P. Morgan, Merrill Lynch.

2000

1992


20%


33%

12%


3%

25%

34%

3%


4%

35%

31%

: $2,800 billion

: $700 billion

. 13.1.

: Emerging Markets Traders Association


1

, .

299


(EMD)
EMD (EMD Emerging Markets Debt)
: , .
.
.
.
1997 2000 . 17%
EMD 31%1. EMD ,
, , .
EMD
, ,
, ,
. ,
(.. )
.
,
. -
. - Euroclear; . , ,
, -
.


, ,
. .
1989 .2 , .
.
.
-
(, ). ,
1

Tonge Darrell. The Risk-Return Properties of Euro-Denominated Emerging Market Debt, Salomon
Smith Barney (May 2001).
.

300

13.

3550%; .

, . ,
, ,
, . . 13.1
.
13.1

*,
$

,
%

29,9
45,6
8,1
8,0
33,0
5,8

35
35
50
45
35
35

3,5
10,6
4,5

31
54
35

14,0
19,3

45
35

: Salomon Brothers, ANZ, J.P. Morgan


.
10 30
;
. , ,
().
, ,
, .
.
.
;
. ,
.
. .
301

, .
(),
. (, , ) . , ,
, .
13.1 .
EMD.
,
.
13.1
*

, 3550% .
30- () .
.
.
,

, . 30- .
.
.
(DCB) (NMB)

(DCB) (NMB).
DCB 18 . NMB 15 .
.
DCB NMB, .
; .
(FLIRB Front Loaded
Interest Reduction Bond)

FLIRB 18 .
, , .
56
.
(PDI Past Due Interest),
(IAB Interest Arrearage Bond), (FRB Floating-Rate Bond )
(EI Eligible Interest)

.
.
302

13.

.
; .
*

, , . , , ,
, , .
, .

,
. () .

.
, , .
, , . , /
.

1980- . ,

.
. , , , .
,
.
, ,
, .
.
,
. ,
, .
, -
.
303

.
, , , . (
) , , , . ,
;
, .



. . , ( , , ),
.
, .
.

.

. () 1998 .


EMD
. EMD , .
(,
) , (, )1.
, .
. ,
. ,
1

304

13.


.
Standard and Poor's Moody's
. Standard and Poor's
,
, . Moody's
, (.. ), , ,
.
1980- .
, . (, , ) ,
.
, ,
.
, ,
. , ,
,
,
, . ,
, , . , ,
, .
, EMD ,

. , ,
EMD
, .


J.P. Morgan (EMBI Global)
(. . 13.3). EMBI
Global ,
.
. EMBI Global
, ; ,
, ; , -'. 31 2000 . EMBI Global 27 .
305

5%

3%

2%

6%

8%

20%

20%

2%

2%

2%

2%

15%

3%

2%

1%

$225,7 billion

$189,2 billion

13,1 billion
.
3/2

11,5%
6,5%
12,5%
7,4%
USD (%)
100%
:
39%

55%

2%

5%

23%

77%

. 13.3. (J.P. Morgan)


29 2000 .

EMBI Global
. , , (
$9635). ,
, 10 . ,
.
EMBI Global, .
, , , . EMBI
Global $500
, 2,5 ,
1. EMBI Global
.
31 2000 . EMBI Global $189
:
38%, 55%, 5% 2%.

EMD . EMD
1

31 2000 .
Lehman Merrill Lynch $150 $100 .
306

13.

, , ,
, .
,
.
, /
. , . 1995 . 2000 . -
EMD J.P. Morgan 88% 66%,
9 271.
EMBI Global . , EMBI Global
27 . EMBI Global
10%: (20%), (20%) (15%).
EMD ,
.
Lehman Brothers Merrill Lynch EMD,
EMBI Global;
U.S. bond plus2.
Lehman Merrill
EMD. 2001 . J.P. Morgan EMD, ; 15
43,2 .

: , , , - .
,
, . , A B -

J.P. Morgan EMBI 1995 . J.P. Morgan EMBI Global 2000 .


J.P. Morgan EMBI J.P. Morgan EMBI Global.
:
, . U.S. bond plus ,
,
, , EMD .

307

.
!
,
.
. ,
, .


, (
) ( ) ,
.
AA, . ,
, .
, , , . , 29 2000 . 9,18%
14,65%.
.
. . .
, . ,
.
,
. , . . . 13.4
.
,

.

. , .
, . ,
308

13.

.
, , ,
.
.
$100

20
10
0

10

15

18%

20

25

30

16%
14%

12%

10%

8%
6%
4%
0

10

15

20

25

30
$47
$9,5 = $16
$31

:
$6,5
:

. 13.4.
.
; ($16) ($47),
($31). , .



.

: . , (..
).
.
( 50%), 309


( ).
, ,
. , ,
, .
,
. . 13.2
.
13.2
:
29 2000 .

Republic
14,5%

10/15/09

()

4,96

4,96

8/17/40

()

7,06

6,97

2040 .
EI
4/15/06

0,16

2,29

FLIRB
DCB
C

4/15/09
4/15/12
4/15/14

0,28
0,75
5,09

3,91
4,86
5,08

Par
Discount

4/15/24
4/15/24

1*

12,50
3,85

3,04
3,22

2009 .
Republic
11%

C-, 2000 .

.
. 13.3.
EMD 50%,
35% 92% . 13.3 ,
EMD
, 310

13.

,
.
13.3

( %) ( 2000 .)

EMD 12/31/90

50

15,6

3,5

7,9

7,3

67
59
61
43
76
74
54
87
65
54
66
60
54
35
92
44
65

16,3
15,1
21,5
8,2
47,6
9,7
16,4
15,2
31,6
6,8
9,4
9,6
8,6
4,2
57,1
8,7
25,8

2,9
3,6
4,6
4,2
5,0
1,4
2,7
2,5
4,3
2,2
3,4
1,6
1,5
1,0
4,6
3,8
3,1

7,2
8,3
10,4
6,6
16,9
3,0
6,1
5,6
15,3
4,1
5,4
5,2
3,1
2,2
22,6
5,2
9,9

7,7
7,5
7,7
7,6
14,1
2,6
3,9
5,8
18,1
5,0
6,9
6,4
2,4
4,2
11,7
8,0
9,6

4/30/93
12/31/90
11/30/94
5/28/99
6/30/95
4/30/98
12/31/90
3/31/96
1/31/92
7/31/96
3/31/97
6/30/91
11/30/94
3/31/96
7/31/97
7/30/99
12/31/90

12/31/00

,
.

1
10
30

, %

,
%

,
%

,
%

12/31/90
12/31/90
12/31/90

18
14
10

7,1
8,6
8,7

3,1
4,4
5,0

5,2
6,6
7,0

EMD
,
. , , .
311


, (
).
-
, . ,

- .

, , , , .
. 13.4
Global EMBI 2000 . .
35 10- 18
30- . - . , ,
,
( 10-
).
13.4

Global EMBI 2000 .
*, %

EMBI Global

9,49
7,47
7,21
6,25
5,03
4,58
4,35
3,71
3,11
2,63
1,96
1,76
1,69
1,00
0,99
0,87


, %

2,74
2,72
2,61
2,46
2,39
2,37
2,28
2,28
2,27
2,23
2,18
2,16
2,13
2,13
2,12
1,89

312

, %

EMBI Global

11,65
9,70
7,62
6,71
6,63
6,56
5,95
5,84
5,57
4,70
4,41
3,88
3,73
3,14
3,11
2,48

13.
. 13.4
*, %

-
*

0,59
0,47
0,46
0,15
0,04
0,33
0,34
0,68
0,77
0,83
1,72
10,07


, %

EMBI Global

1,78
1,69
1,47
1,38
1,37
1,37
1,36
0,85
0,26
0,23
0,02
0,66

, %

2,43
2,27
2,06
1,99
1,40
1,30
1,29
0,73
0,70
0,25
0,75
7,70

( )
( ).

, .
, $23 1.
. -'
, .



. ,
. , , ,
.


.
: , 1

. .

313

. ,
, , , .
.



.
, , , , ,
- , .
. . ,
, , , ,
.


,
. ,

.
, . ,
,

.


, , .
( ). : (% ) (% ).
,
, ( ) , , , .
, , , 1.

Mahoney Christopher . What Have We Learned? Explaining the World Financial Crisis. Moodys
Investor Service ( 1999).

314

13.


, . , ,
,
. , , .
, , , .

. ,
: ,

.

1. 1999 .
. ,
. ,

.
, , ,
, . , . , 1982 . 80%

; 97% .


, ,
, , .
. ,
.
.
, ,
.

315

, :
, ?
, 1991 . Columbia Gas Systems

,
. , ,
, .
. , ,
. ,
1.


13.5
. 10 G7.
,

,
( , 1992 ). ,
50% 80%
.
,
,
. - ,
(
). , , ,
. .
.
( ) ,

.
1

Truglia Vincent. Sovereign Risk: Bank Deposits versus Bonds. Moodys Investor Service (
1995).

316

13.
13.5

**

43
95
38
66
39
59
25
104
64
61
111
109
55
58
60

****

47***
50
37


/*

2000 . ( %)

52
41
46

3,7
4,6
2,8

0,5
4,0
8,3

2,7
2,2
4,8

13
21
10

1
6
2

0
7
3

28
78
42
57
27
60
28
28
11
4
2
-20
43
14

1,1
3,3
2,4
1,0
1,1
17,8
3,2
1,4
1,2
1,3
0,3
6,3
2,1
2,4
3,0

6,9
3,4
4,1
7,3
9,0
7,2
3,2
4,6
3,1
2,9
2,9
1,5
3,0
4,9

5,4
3,6
5,0
0,0
4,8
3,9
0,7
5,9
4,8
3,1
2,9
0,1
3,9
6,7

10
13
20
16
28
22
34
5
8
7
7
15
8
7

9
7
10
21
2
55
16
3
2
2
3
1
3
3

18
7
12
33
4
55
37
2
1
1
2
0
3
2


.
**
. : 1,5%
.
***
1999 .
****
.
*

: , ,
J.P. Morgan, OECD Salomon Smith Barney.

, , , , , . -,

. -, . -, (, ,
317

..)
.
. ,
.
, .


1991 ., , . . 13.5
EMD ( ) . ,
, ,
. . 13.6, ,
. , , 1990 . .
20%

17,8%

15%

10%

9,5%
6,6%

5%

0%

3,2% 2,9%
EMD

WGBI

2,6%

3,6%

BIG

4,3%

GIM

EMD ,
J.P. Morgan;
BIG Broad Investment Grade, Salomon Brothers;
WGBI World Government Bond, Salomon Brothers;
GIM Global Investable Market ( ),
Brinson Partners.
. 13.5.
(31 1990 . 31 2000 .)

318

13.

8%

7%
6%

WGBI

5%

BIG

4%

3%

2%
1%
2%

4%

6%

8%

10%

12%

. 13.6.
( 1990 . 2000 .)

, , . 13.6.
.

. , , , , EMD.
EMD
.
13.6

31 1990 . 29 2000 .
EMD

EMD
WGBI
BIG
GIM

1,00
0,18
0,21
0,61

WGBI

1,00
0,85
0,38

BIG

1,00
0,40

GIM

1,00

EMD ,
J.P. Morgan;
BIG Broad Investment Grade, Salomon Brothers;
WGBI World Government Bond, Salomon Brothers;
GIM Global Investable Market ( ),
Brinson Partners. , .
.
319

, .

.

14 , 12
BIG. , , , , , ,
, , , , , , ,
BIG. 1990 . ( )
2000. 2 . 25% , , ,
, , , BIG.


13.7 . 1990 . 2000 . 15,6%.

1.
. -,

. 13.7.
( 1990 . 2000 .)


(GARCH).
320

13.

. , . -,
, .
, , . ,
.
. , , .
1994/1995 .

1989 . 1994 .
( ), , . ,
- .
,
. , ,
.
, , .
.

: (1) (2)
,
.
, .
1998 . .
.

(), ,
90%. , , ,
.
321

, , ,
,
, ,
-. , , .


, .
, .
1820- . ( ).
1870-, 1930- 1980- . ,
, .
. 13.7.
, .
, , ,
. ,
. ,
EMD .

, , . ,
EMD,
, . ,
,
.
, , 2000 . ,
. 33 36 .

50. ,
, , .
, 322

13.

/,

(48% ).
13.7


1820-

1870-

1930-

1980-

'


'

IMF


: Purcell John F.H. and Kaufman Jeffrey A. The Risks of Sovereign Lending:
Lessons from History. Salomon Brothers, 1993. . 9
, . . ,
,
/.
. ,
30- 40%
323

( ),
45%.
14%, 40% 7,8%. , ,
;
, 10,8%.
. 13.8
. (
.) ,
. ,
18%
16%
14%
12%
10%
8%
6%

60%
50%
40%

4%
0

8 10 12 14 16 18 20 22 24 26 28 30
()

. 13.8. :
40, 50, 60%, 16%.
10, 14, 18%.
60%

20%
18%
16%
14%
12%
10%
8%

18%
14%
10%

6%
4%
0

8 10 12 14 16 18 20 22 24 26 28 30
()

. 13.8. :
10, 14, 18%.
60%

324

13.

()


. ,
60%,
.
(
). , ,
.
. 13.9 ( ) 60%. ,
14%, 60%, 10%,
15%.
, .

30%

10%
14%
18%

25%
20%
15%
10%
5%
0%
4%

6%

8%

10%

12%

14%

16%

18%

. 13.9. 60%
( )


, .
,
.


. 13.10 /
( : ). 325

/ EMD ,
.
16% 0,46 1,12 6,6%.
,
3,6% (.. ,
).
8%
7%

EMD

6%
5%

EMD

4%
3%

U.S.

2%

1%

0,0

0,5

1,0

1,5

2,0
2,5
()

3,0

3,5

4,0

4,5

. 13.10. / ( )
-

, ,
/ .
,
, ;
.
. 13.11 .
2000 . BBB BB 99 257 ,
, B
326

13.

13 , B. BBB- . EMD B
.
2000 . B BB
. 2000 . Moody's 5,6%, , , 1991 .
1800

( )

1600

1400
1200
1000
800
600
400
200
0
200
12/97

6/98

12/98

6/99

12/99

6/00

12/00

. 13.11. EMD
( 1997 . 2000 .)

:
J.P.Morgan. Merrill Lynch.


(, , ,
) , . , , () 327

,
. ,
.
,
, , .
. 13.8. ,
. , ()
().
13.8

( 2000)*
EMD

EMD

12/90

1,00

4/93

0,94 1,00

12/90

0,86 0,84 1,00

11/94

0,83 0,81 0,78 1,00

6/95

0,73 0,65 0,67 0,66 1,00

12/90

0,84 0,78 0,67 0,65 0,61 1,00

3/96

0,87 0,83 0,75 0,78 0,67 0,71 1,00

1/92

0,51 0,50 0,42 0,46 0,42 0,36 0,46 1,00

7/96

0,77 0,75 0,75 0,61 0,55 0,76 0,65 0,26 1,00

3/97

0,78 0,72 0,76 0,76 0,60 0,67 0,72 0,41 0,69 1,00

11/94

0,79 0,74 0,72 0,70 0,62 0,63 0,67 0,58 0,63 0,79 1,00

7/97

0,85 0,68 0,72 0,69 0,64 0,69 0,71 0,40 0,62 0,64 0,70 1,00

12/90

0,86 0,81 0,72 0,75 0,62 0,68 0,72 0,44 0,76 0,63 0,65 0,68 1,00

* , .

.
13.12. ,

.
328

13.

10

(%)

10
8

10

10

1993

1994

1995

1996

1997

1998

1999

2000

. 13.12.
( 2000 .)

1994 . , , .
1999 . .

. , ,
. ,
,
, .
,
.

,
. . 13.13
() . ,
400 ,
, 1998 .
1999 .

. : FLIRB C-Bond . 13.14.
329

(%)

6
5

Argentina FRB ()
Republic of Argentina
()

4
3
2
1
0
1

2
1997

1998

1999

2000

2001

. 13.13. ,
(Argentine FRB Republic of Argentina 2003)
( 2000 .)

(%)

8

FLIRB
-Bond

2
1997

1998

1999

2000

. 13.14. ,
( FLIRB C-)
( 2000)

330

13.

( 1998 .) ( 1999 .)
FLIRB C-Bond 600 FLIRB1.
,
.
(dedicated) , ,
, 10% ;
, (crossover), . ,
40% .


2.
EMD, . , , ,
,
.

.
, /
.
, .
.
EMD .

.

FLIRB $15
C-Bond.
Mathieson Donald J. and Schinasi Garry J. International Capital Markets Developments,
Prospects, and Key Policy Issues. International Monetary Fund ( 2001).

331



.

. 2000 . 4,8%
.
1990 . 2000 .
15,9%.

.

14

. (Frank J. Fabozzi),
, CFA,
-

(David Yuen), CFA


-

/
Franklin Templeton Investments

, , , () .
,
. , , , .
(mortgage-backed
securities MBS). ,
(Government
National Mortgage Association Ginnie Mae), (Federal National Mortgage Association Fannie Mae)
(Federal
Home Loan Mortgage Corporation Freddie Mac). ,
,
MBS. , , 15. , , 16.


,

.
,
( ). ,

, . , , .. .
.
, , (
) , , (. . , BBB
). ,
Lehman Brothers. . :
(Treasury); (agency);
(mortgage passthrough); , (commercial mortgage-backed); , (asset-backed), (credit).
, Ginnie Mae, Fannie Mae Freddie Mac.
334

14.

, , 36%.
, ,
2%, , , 38% Lehman Brothers.
Lehman Brothers
, . ,
, , (asset-backed
securities ABS),
. 2% , . 25% ABS . 15
, ABS, ,
, .
,
Lehman Brothers,
, .
, , ,
.
. ,
, . , ,
, , (collateralized mortgage obligations),
. . , , . ,
. 15.
, , , , ,
. ,
, .


. , , , .
(,
) .
.
.
335

, ,
, . , , .
.
: (1) (paymentto-income PTI) (2)
(loan-to-value LTV).
(PTI)
( , ). , ,
.
LTV ( )
. , ,
. , $150 000
, $200 000.
LTV 75%. ,
.
. , , .
-
, $50 000. ,
$180 000 .
LTV 90%,
.
,
, .
, .
:
(FHA), (VA) (RHS).
.
. , .
. , .




,

336

14.

, .
.
1-
:
1) 1/12 , ,
2) ( ).
, .
,
(. .
).
, $100 000 30 (360 ) 8,125%.
$742,5.
. 14.1. 1-
$100 000, .. .
1- ,
$100 000. 8,125% 0,0067708 (0,08125 : 12). ,
1- $677,08 ($100 000 0,0067708).
$742,5
$677,08 $65,42
, . $65,42,
1- , . , 360-
.
, . 14.1, , , , .
,
.
, ,
.

, . . . 8,125%,
50 , 7,625%.
, , -
-.
337


14.1

, $
: $100 000. : 8,125%.
: $742,5. : 30 (360 ).

100 000

742,5

677,08

65,42

99 934,58

99 934,58

742,5

676,64

65,86

99 868,72

99 868,72

742,5

676,19

66,31

99 802,41

25

98 301,53

742,5

665,58

76,91

98 224,62

26

98 224,62

742,5

665,06

77,43

98 147,19

27

98 147,19

742,5

664,54

77,96

98 069,23

74

93 849,98

742,5

635,44

107,05

93 742,93

75

93 742,93

742,5

634,72

107,78

93 635,15

76

93 635,15

742,5

633,99

108,51

93 526,64

141

84 811,77

742,5

574,25

168,25

84 643,52

142

84 643,52

742,5

573,11

169,39

84 474,13

143

84 474,13

742,5

571,96

170,54

84 303,59

184

76 446,29

742,5

517,61

224,89

76 221,40

185

76 221,40

742,5

516,08

226,41

75 994,99

186

75 994,99

742,5

514,55

227,95

75 767,04

233

63 430,19

742,5

429,48

313,02

63 117,17

234

63 117,17

742,5

427,36

315,14

62 802,03

235

62 802,03

742,5

425,22

317,28

62 484,75

289

42 200,92

742,5

285,74

456,76

41 744,15

290

41 744,15

742,5

282,64

459,85

41 284,30

291

41 284,30

742,5

279,53

462,97

40 821,33

321

25 941,42

742,5

175,65

566,85

25 374,57

322

25 374,57

742,5

171,81

570,69

24 803,88

323

24 803,88

742,5

167,94

574,55

24 229,32

358

2 197,66

742,5

14,88

727,62

1 470,05

359
360

1 470,05
737,50

742,5
742,5

9,95
4,99

732,54
737,50

737,50
0

338

14.




, - . ,
. , ,
. , .

. . , ,
$100 000 30 8,125%,
, , .
30 $100 000 .
,
, . , . ,
.

. , (prepayment penalty mortgages PPM). PPM
,

. ( ; .)
. PPM
. , ,
, . ,
.


(adjustable-rate mortgage
ARM), ,
, . : , .
ARM - .
ARM - . 23%.
339

, ( ), .
, .

.
,
.

(cap) .
.
.
,
.
ARM ( ),
, , , ,
. , 6% 1-year CMT + 3% ARM with 2/12 caps
(6% 1-
(CMT) + 3% 2/12) . 6%.
,
1- (CMT) 3% , 2%- 12%- .
CMT 4,8%, 7,8% (4,8% + 3%).
CMT 5,5%, 8% (
5,5% + 3%), 2%
2% ( ). 12%
12 % .
ARM : (1)
( ) (2) .
ARM.
1-, 3- 5-
(CMT), 3- 6-
(LIBOR), 6- (CD).

. (Cost of Funds Index COFI),

(Eleventh Federal Home Loan Bank Board District). - 25% ARM.
340

14.

, . . .
, ,
. . , COFI
. , COFI , , . ,
,
, .
,
. , .
, .
(National Cost of Funds Index), ,
(Federal Home
Loan Bank Board). , .
12 1- .


balloon, ,
, . , ,
. , , .
.
.



. . ,
() .
, . , .
341

, ,
, . ,
.
. ,

.

, . , .
.
, 10 000 ,
1/10 000 , ,
.
.

;
. .
, ,
.

. (WAC) .
(WAM)
, .
.
( , ).
: (1) , (2) (3) .

,
(Ginnie
Mae), (Fannie
Mae),
(Freddie Mac) , .
, 9.
342

14.

Ginnie Mae , Fannie Mae Freddie


Mac , (GSE).
, , -.
. , Ginnie Mae, (agency passthroughs), GSE (conventional passthroughs). ,
, : /
(agency/conventional passthroughs).
, Ginnie Mae, Fannie Mae Freddie Mac, .
,
, , . . 15. , , , ,
, . 15.
, . , - , - , . , , .
, ,
.


(MBS) Ginnie Mae . , ,
.
Ginnie Mae, , .
Fannie Mae Freddie Mac (GSE), .
. Fannie Mae, (MBS) Fannie Mae, .
Freddie Mac, (PC) Freddie Mac,
.

. , , .
,
. Freddie Mac Gold. Freddie Mac Gold.
343

, Ginnie Mae, Fannie Mae


Freddie Mac, ,
.
.
, , . ( ) 15.


-
.
.
.
:
(CPR)
(PSA).


, , ,

. , (CPR), ( ),
.
CPR .
CPR , (SMM). SMM CPR
:
SMM = l (l CPR)1/12.
,
CPR 6%. SMM :
SMM = 1 (1 0,06)1/12 = 1 (0,94)0,08333 = 0,005143.
SMM w% , w% . ,
t =
SMM ( t
t).
344

14.

, $290 . , SMM 0,5143%,


$3 , :
0,005143 ($290 000 000 $3 000 000) = $1 476 041.

PSA

(PSA) (CPR). PSA ,
,
,
.
PSA CPR 30-
:
1) CPR 0,2%; 30 0,2% 6%
;
2) CPR 6%.
, 100% PSA 100 PSA, :
t < 30, CPR = 6% t/30; t > 30, CPR = 6%,
t , .

PSA. , 50 PSA , CPR


CPR PSA; 150 PSA CPR 1,5
CPR PSA; 300 PSA 3 CPR PSA.
0 PSA, .
CPR SMM , .
, 165 PSA SMM 20- :
CPR = 6% (20/30) = 4% = 0,04;
165 PSA =1,65 (0,04) = 0,066;
SMM = 1 (1 0,066)1/12 = 0,005674.
: SMM 165 PSA SMM 100 PSA,
1,65 .
CPR CPR 100 PSA.
31- 360- CPR 6% 100 PSA, 165 PSA
CPR SMM :
165 PSA = 1,65 (0,06) = 0,099 SMM = 1 (1 0,099)1/12 = 0,00865.
345


,
, PSA. ,
,
, 8,125%.
, 7,5%, 357 .
165 PSA
. 14.2. : (1)
( ), (2)
(3) 165 PSA.
(2) .

.
(3) SMM 165 PSA.
: SMM , 3 , WAM 357 .
(4).
, .
.

, .
(6)
. ( (4)) .
: 8,125% , 12.
(7). , . , , 100-
$170 142 350, $244 953, SMM
165 PSA 0,00865. :
0,00865 ($170 142 350 $244 953) = $1 469 612.
, (7), ($1 469 591), ,
,
($1 469 612), , SMM, ,
.
,
(8), (6) (7).
(9) .
, ( (5)),
( (8)).
346

14.2

(2)

$400 000 000


0,00111
399 290 077
398 468 181
397 534 621
396 489 799
350 540 672
347 334 116
344 049 952
340 794 737
337 568 221
170 142 350
168 427 806
166 728 563
165 044 489
56 746 664
56 055 790
55 371 280
54 693 077
760 027
604 789
451 182
299 191
148 802

(1)

347

0,00139
0,00167
0,00195
0,00223
0,00835
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865
0,00865

(3)

SMM

2 972 575
2 968 456
2 963 513
2 957 747
2 656 123
2 633 950
2 611 167
2 588 581
2 566 190
1 396 958
1 384 875
1 372 896
1 361 020
585 990
580 921
575 896
570 915
155 107
153 765
152 435
151 117
149 809

$2 975 868

(4)

2 495 563
2 490 426
2 484 591
2 478 061
2 190 879
2 170 838
2 150 312
2 129 967
2 109 801
1 063 390
1 052 674
1 042 054
1 031 528
354 667
350 349
346 070
341 832
4 750
3 780
2 820
1 870
930

$2 500 000

(5)

269 048
270 495
271 873
273 181
282 671
282 209
281 662
281 116
280 572
244 953
244 478
244 004
243 531
201 767
201 377
200 986
200 597
149 961
149 670
149 380
149 091
148 802

$267 535


(6)

552 847
663 065
772 949
882 405
2 923 885
3 001 955
2 973 553
2 945 400
2 917 496
1 469 591
1 454 765
1 440 071
1 425 508
489 106
483 134
477 216
471 353
5 277
3 937
2 611
1 298
0

$442 389

(7)

821 896
933 560
1 044 822
1 155 586
3 206 556
3 284 164
3 255 215
3 226 516
3 198 067
1 714 544
1 699 243
1 684 075
1 669 039
690 874
684 510
678 202
671 950
155 238
153 607
151 991
150 389
148 802

$709 923

(8)

$3 209
923
3 317 459
3 423 986
3 529 413
3 633 647
5 397 435
5 455 002
5 405 527
5 356 483
5 307 869
2 777 933
2 751 916
2 726 128
2 700 567
1 045 540
1 034 859
1 024 273
1 013 782
159 988
157 387
154 811
152 259
149 732

(9)

. (WAM) 357 ,
(seasoned) 3 . , CPR 27- 1,65 x 6%.

2
3
4
5
26
27
28
29
30
100
101
102
103
200
201
202
203
353
354
355
356
357

$400 7,5%,
(WAC) 8,125 (WAM) 357 165 PSA

14.

,

,
. , . .
: (1) , (2) , (3) (4)
.

. , .
,
, , . , ,
.
, , , .
, , , .
, ,
.
, , .
(Loan-to-Value
Ratio LTV).
LTV ,
. LTV, ..
, .
.
, .. ,
, .
. ,
.
. .
. . (, - ..)
.
348

14.

. 30
.
, (
,

),
,
30 . 30 .


, .
,
( ). :
1 ( , . 1)
+ 2 ( , . 2)
+ 3 ( , . 3)
...
+ ( , . )
,
T . :

= ,

12 ( )

PSA.

,
. 14.2.
PSA

50

100

15,11 11,66

165

200

300

400

500

600

700

8,76

7,68

5,63

4,44

3,68

3,16

2,78


, ,
, .
, . 349


. .
, 10%-
,
10%. , 9
, 110 PSA. , , 6%?
,
. ,
200 PSA,
6 . , , ,
.

.
, 14%.
, ,
. 75 PSA,
12 . ,
.

.
, .
, .
, .

, ?
, , .


, . . ,
20 (PC) Freddie Mac ,
, 15 .
AR (MBS) Ginnie Mae ,
.
350

14.

,
, .

,
BMA ( PSA). , .
,
.
(to be announced TBA).
, , ,
, . , , .
.
, ,
Freddie Mac Gold 7% (WAC) 7,57,7%.
, .
, ,
. ( )
.
. , 90,
90% .
.
, , , :

, 92 $1 85, , , :
0,92 $1 000 000 0,85 = $782 000
, (BMA).
. , , .
, ,
, 15.00
. 48 .
. BMA
.
351

, , 7%- GNMA $1 TBA, . ,


, BMA TBA, . BMA.

. , 30-
Ginnie Mae 30 000 7%.
, , , .
, , .
, 7%-
Ginnie Mae? - , ,
, ,
. , , , .
. , , ,
, , , .
, (BMA), $100 $1
, 0,01%. ,
$1
$999 900 $1 000 100.
3%. , , ,
. , $1 .
, , .
, 0,01%.


MBS .

. , (roll in)
, , (roll out)
. , 352

14.

, .
, ,
. ,
. , , ,
(.. ).
.
100%- .
. ,
, . , ,
.


, .
/ , :
1) ;
2) ;
3) ;
4)
(.. );
5)
(.. );
6) .
.
. , drop.

. (, )
. ,
.
. .
, , . , ;
, . -
,
.
,

, (.. , ) . , , , ..
.
353


, ,
8%- Ginnie Mae $10 ( ) $1017/32
$101 ( ). $7/32.
, .. ,
$10 ,
. $1017/32, $10 121 875 (101,21875 $10 ).
$101, .. $10 100 000.
, $10 121 875,
$10 100 000. $21 875.

, .
8%, $66 666 (8% $10 000 000/12).
, .
$1017/32, $17/32 $100 . . ,
,
PSA. ,
$6500, PSA $20 000.
$100 $17/32, $79
($17/32 $6500/$100) $244 ($l7/32 $20 000/$100) .
, :

$66 666
22 198

Drop ( )

21 875


-
-


($44 648/$10 121 875)

( x 12)

323
79
244
$44 468
0,00439
5.27%

5,27% . , Ginnie
Mae.
354

14.

.
12. .
,
, .
, , . ,

. , .
$244 $44 712 . 5,27 5,29%,
. ,
.



, ,
. ( MBS)
.

,
.


(PO),
, . , , . , . ,
, 30-
$400 PO $175 $225 .
,
. ,
. , PO,
$225 . ,
30 .
$225 ,
.
355

,
PO. , , , PO.
PO , .
- .
,
PO .
, , .
, . ,
PO .


(IO),
, . IO
,
. PO. , . , ,
, IO, .
, IO.
, . , , IO.
, IO , , .
, , .
. IO ,
.
IO:
(1)
(2) .
PO IO . IO PO , ,
, IO PO
.
PO
. IO , 356

14.

. IO ,
.




,
BMA (. ).
( TBA ),
.
IO PO . (
(WAC), (WAM),
, ). IO PO TBA
.
IO PO , TBA.
IO PO . ,
FNMA Trust 1 IO/PO,
9%- FNMA. FNMA Trust 2 10%- FNMA. FNMA Trust 23 IO/PO,
10%- FNMA. PO 23
PO 2 . GWAC
( WAC), WAM . , .
. , , PO 23 $10
. ; , .
0,3, $3
; 0,25, $2,5 .
PO , , PO .
, ,
PO 23 $10 , $75,08 25 . ,
0,25, :
75,08

$10 000 000

357

0,25

$1 881 250

IO . .
, , PO 23 $10 , $33,2
25 . , 0,25,
:
(0,33625 + 0,10 24 /360 ) $10 000 000
0,25
= $857 292

, (BMA). .



,
, :
. ,
, .
, / , .
(CMO)
.

(collateralized
mortgage obligations CMO). CMO
;
.
CMO ,
, /. , , , ,
.
,
CMO.
.
CMO,
: , .
, ,
.
358

14.

CMO
CMO ,
( ) .
CMO
CMO-1. CMO
$400 :
(1) 7,5%, (2) (WAC) 8,125%,
(3) (WAM) 357 .
,
PSA.

1. .
.
2. . A . A B
. B
C .
C D .
$400
. . 14.3.
(..
).
. . , .
14.3
CMO-1:
7,5%

, $

A
B
C
D

194,5
36,0
96,5
73,0

400

, CMO ( ) . ,
. 14.3,
( ) .

, , .
359


CMO-1 . .
, . : A ($194,5 ) ,
.
B, ,
$36 . C
, D.


.
, , ,
,
.
PSA. , . 14.2 ( ,
) 165 PSA. ,
165 PSA,
CMO-1 , . 14.2.
, CMO-1,
. 14.4, 165 PSA.
: (1)
, (2) (
), (3) .

$709 923 $2,5
($400 0,075 : 12).
. ,
A $1 215 625 ($194,5 0,075 : 12) $2,5 .
A. , A $1 925 548.
A $193 790 076
( $194 500 000
$709 923).
, A
. 80 .
81- A .
$3 318 521 ( $2 032 196 + $1 286 325). 81- ( 80- ) A $311 926.
A $311 926 $2 032 196 .
A ,
. $1 720 271
B.
165 PSA 81- B.
B, . 14.4, 100- ,
C. C 360

14.

178- ,
D. 165 PSA (..
) A 81 , B 100 , C 178 D 357 .
14.4
CMO-1 165 PSA
A

1
2
3
4
5
6
7
8
9
10
11
12

194 500 000


193 790 077
192 968 181
192 034 621
190 989 799
189 834 213
188 568 454
187 193 208
185 709 254
184 117 464
182 418 805
180 614 332

709 923
821 896
933 560
1 044 822
1 155 586
1 265 759
1 375 246
1 483 954
1 591 789
1 698 659
1 804 473
1 909 139

75

12 893 479

76
77
78
79
80
81
82
83
84
85

10 749 504
8 624 569
6 518 507
4 431 154
2 362 347
311 926
0
0
0
0

95
96
97
98
99
100
101
102
103
104
105

1 215 625
1 211 188
1 206 051
1 200 216
1 193 686
1 186 464
1 178 553
1 169 958
1 160 683
1 150 734
1 140 118
1 128 840

36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
36 000 000

0
0
0
0
0
0
0
0
0
0
0
0

225 000
225 000
225 000
225 000
225 000
225 000
225 000
225 000
225 000
225 000
225 000
225 000

2 143 974

80 584

36 000 000

225 000

2 124 935
2 106 062
2 087 353
2 068 807
2 050 422
311 926
0
0
0
0

67 184
53 904
40 741
27 695
14 765
1 950
0
0
0
0

36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
36 000 000
34 279 729
32 265 599
30 269 378
28 290 911

0
0
0
0
0
1 720 271
2 014 130
1 996 221
1 978 468
1 960 869

225 000
225 000
225 000
225 000
225 000
225 000
214 248
201 660
189 184
176 818

9 449 331

1 793 089

59 058

0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0

7 656 242
5 879 138
4 117 880
2 372 329
642 350
0
0
0
0
0

1 777 104
1 761 258
1 745 550
1 729 979
642 350
0
0
0
0
0

47 852
36 745
25 737
14 827
4 015
0
0
0
0
0

361

CMO. , 165 PSA


8,76 .

.
14.4 ()
C

1
2
3
4
5
6
7
8
9
10
11
12
95
96
97
98
99
100
101
102
103
104
105
175
176
177
178
179
180
181
182
183
184
185
350
351
352
353

96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
96 500 000
95 427 806
93 728 563
92 044 489
90 375 450
88 721 315
3 260 287
2 390 685
1 529 013
675 199
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1 072 194
1 699 243
1 684 075
1 669 039
1 654 134
1 639 359
869 602
861 673
853 813
675 199
0
0
0
0
0
0
0
0
0
0
0

603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
603 125
596 424
585 804
575 278
564 847
554 508
20 377
14 942
9 556
4 220
0
0
0
0
0
0
0
0
0
0
0
362

73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
73 000 000
72 829 176
71 990 876
71 160 230
70 337 173
69 521 637
68 713 556
67 912 866
1 235 674
1 075 454
916 910
760 027

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
170 824
838 300
830 646
823 058
815 536
808 081
800 690
793 365
160 220
158 544
156 883
155 238

456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
456 250
455 182
449 943
444 751
439 607
434 510
429 460
424 455
7 723
6 722
5 731
4 750

14.
. 14.4
C

354
355
356
357

0
0
0
0

0
0
0
0

0
0
0
0

604 789
451 182
299 191
148 802

153 607
151 991
150 389
148 802

3 780
2 820
1 870
930

(PSA)

50
100
165
200
300
400
500
600
700

15,11
11,66
8,76
7,68
5,63
4,44
3,68
3,16
2,78

7,48
4,90
3,48
3,05
2,32
1,94
1,69
1,51
1,38

15,98
10,86
7,49
6,42
4,64
3,7
3,12
2,74
2,47

21,02
15,78
11,19
9,6
6,81
5,31
4,38
3,75
3,3

27,24
24,58
20,27
18,11
13,36
10,34
8,35
6,96
5,95

, , ,
, .
:
.
. .
(.. ) A .
.
C D A B .
C D , A B
C D .


CMO-1
. CMO , , .
.
Z- ( (zero) ).
363

.
, CMO-2 CMO , CMO-1, , 7,5% (. 14.5).
(Z), .
14.5
CMO-02:
7,5%

, $

A
B

Z ()

1945
36,0
96,5
73,0

400

1. . A, B C
. Z
, .
Z .
2. . A . A B
. B
C .
C Z
.
1- . 14.4, 165 PSA.
$709 923. CMO-1 A. CMO-2 Z,
$456 250, , A.
, A $1 166 173
($709 923)
($456 250), Z.

A, B C. A
81 , 64; B 100 , 77;
C 178 , 112. CMO-1
A, B C CMO-2 ,
. , 165 PSA
:
364

14.

CMO-2
CMO-1

2,9 3,48

5,86 7,49

7,87 11,19

,
. Z CMO-2
D CMO-1. ,
. ,
.
, ,
.


CMO (PAC) .
PAC . PAC
, . CMO PAC
. PAC
,
-. .
PAC,
$400 .,
7,5%, WAC 8,125% WAM 357 (. 14.6). (
)
90 PSA.

300 PSA.
. 14.6
1- 349-
, 90 PSA 300 PSA. (
90300 PSA, 346- .) , 1- $508 169,52 90 PSA
$1 075 931,20 300 PSA. , $508 169,52,
. 14.6. 103-
90 PSA $1 446 761, $1 458 618,04 300 PSA.
104- 300 PSA
$1 433 539,23, , $1 440 825,55 365

90 PSA. . 14.6
$1 433 539,23. 104- 300 PSA.
14.6
$400
7,5%, WAC 8,125%
WAM 357 , 90300 PSA


90% PSA

300% PSA

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
101
102
103
104
105
211
212
213
346
347
348
349
350
351
352
353
354
355
356
357

$508 169,52
569 843,43
631 377,11
692 741,89
753 909,12
814 850,22
875 536,68
935 940,10
996 032,19
1 055 784,82
1 115 170,01
1 174 160,00
1 232 727,22
1 290 844,32
1 348 484,24
1 405 620,17
1 462 225,6
1 518 274,36
1 458 719,34
1 452 725,55
1 446 761,00
1 440 825,55
1 434 919,07
949 482,58
946 033,34
942 601,99
618 684,59
617 071,58
615 468,65
613 875,77
612 292,88
610 719,96
609 156,96
607 603,84
606 060,57
604 527,09
603 003,38
601 489,39

$1 075 931,20
1 279 412,11
1 482 194,45
1 683 966,17
1 884 414,62
2 083 227,31
2 280 092,68
2 474 700,92
2 666 744,77
2 855 920,32
3 041 927,81
3 224 472,44
3 403 265,17
3 578 023,49
3 748 472,23
3 914 344,26
4 075 381,29
4 231 334,57
1 510 072,17
1 484 126,59
1 458 618,04
1 433 539,23
1 408 883,01
213 309,00
209 409,09
205 577,05
13 269,17
12 944,51
12 626,21
12 314,16
12 008,25
11 708,38
11 414,42
11 126,28
10 843,85
10 567,02
10 295,7
10 029,78
366


PAC

$508 169,52
569 843,43
631 377,11
692 741,89
753 909,12
814 850,22
875 536,68
935 940,10
996 032,19
1 055 784,82
1 115 170,01
1 174 160
1 232 727,22
1 290 844,32
1 348 484,24
1 405 620,17
1 462 225,6
1 518 274,36
1 458 719,34
1 452 725,55
1 446 761
1 433 539,23
1 408 883,01
213 309,00
209 409,09
205 577,05
13 269,17
12 944,51
12 626,21
3 432,32
0
0
0
0
0
0
0
0

14.

1. .
.
2. . P .
P
. - P,
S. S P
.

90300 PSA, . 14.6. ,
, 200 PSA, . 11- 103- ,
90 PSA, 104- ,
300 PSA.
PAC
, 90300 PSA.
, PAC
CMO.
. 14.6, . ,
, . PAC ,
.
CMO CMO-3 (. 14.7)
$400 7,5%, WAC 8,125% WAM 357 .
: PAC 7,5% $243,8 , 90300 PSA,
$156,2 .
14.7
CMO-3: CMO PAC
7,5%

, $

P (PAC)
S ()

243,8
156,2

400
367

PAC CMO-3 , ,
.

(PSA)

0
50
90
100
150
165
200
250
300
350
400
450
500
700

PAC (P)

(S)

15,97
9,44
7,26
7,26
7,26
7,26
7,26
7,26
7,26
6,56
5,92
5,38
4,93
3,7

27,26
24
18,56
18,56
12,57
11,16
8,38
5,37
3,13
2,51
2,17
1,94
1,77
1,37

,
90300 PSA PAC
7,26 . PSA
, , :
90 PSA
300 PSA.
.
.
CMO,
PAC, , . PAC PAC .

. , . (.. ), , ,
, .

15

MBS
ABS

. (Frank J. Fabozzi),
, CFA
-

(John Dunlevy),
CFA

Beacon Hill Asset Management

14 (MBS), Ginnie Mae, Fannie Mae Freddie Mac. , ,


. : MBS ,
,
( ABS).
, ,
. , . ,
(first-lien residential mortgages
), (second lien mortgages
) , ,
, 1.
Securities Data Corporation (SDC) MBS ABS.
: 50% ,
, ABS.
50% , SDC .
50% $ 200 ., MBS. 50%
,
$ 200 ., ABS.



, ,
. , . .
15.1: , , , . ,
;
.
MBS . :
1) , ;
2) ;
3) ;
4) ,
.
1

,
, - .

370

15. MBS ABS


15.1

$ 300 700 1
2002 .
:
(VOI)
(VOE)
(VOA)

28%
36%



(LTV)

80%

FICO > 660

,
, . ,
,
, (jumbo loan).

, , ( FICO)

(PTI) .
, ,
, .. , -.
Alternative , ,
, .
,
:
/ ;
(
);
;
/ ;
/ ;
.
B C, ..
-, , -
(PTI). 371

B D. , , .
:
(LTV) , ,
.
LTV, .
125 LTV,
125% . ,
. 125 LTV .
125 LTV ABS
, (ABS).
, , .

.
.
,
, . ,
, (.. ). ,
, ABS, ,
(ABS).
(/)
() ,
. , , , PTI LTV. PTI ,
(, ),
. LTV . .
( low-doc loan)
( no-doc loan). -.
, , ,
PTI. ,
, , ( LTV 80%)

.
372

15. MBS ABS

FICO
FICO Fair Isaacs & Company ,
, ,
. ,
. FICO
:

;
;
;
;
.

FICO 365 ( ) 840 (


) . Freddie Mac FICO
. , , Freddie Mac
:

FICO

620

620 660

660

FICO ( ),
.
: FICO . Fair
Issacs & Company:
FICO
<579 580619

, %

9,5

5,9

620659

660730

740+

2,7

0,1

Standard & Poors, 75% FICO 660 25% 660 .


,
, ,
. ,

.
373

,
,
. : ,
(seasoned). , . , , (prospectus
prepayment curve PPC). PSA, 14,
, PPC.
PPC .
100%- (CPR): 1,5% , 20 0,5% .
20- , , CPR 11% .

100%- PPC, 80%- PPC 150%-


PPC 20 .

100% PPC (%)

80% PPC (%)

1,5

1,2

150% PPC (%)

2,3

2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

2,0
2,5
3,0
3,5
4,0
4,5
5,0
5,5
6,0
6,5
7,0
7,5
8,0
8,5
9,0
9,5
10,0
10,5
11,0

1,6
2,0
2,4
2,8
3,2
3,6
4,0
4,4
4,8
5,2
5,6
6,0
6,4
6,8
7,2
7,6
8,0
8,4
8,8

3,0
3,8
4,5
5,3
6,0
6,8
7,5
8,3
9,0
9,8
10,5
11,3
12,0
12,8
13,5
14,3
15,0
15,8
16,5

PSA PPC .
PSA . PPC (
, ) .
374

15. MBS ABS


(MBS)
MBS,
CMO. CMO
. CMO
, .
, , , CMO. CMO
, .
, , , ..
, CMO CMO. ,
. .
.

,
(servicer) , ().

. ,
.

MBS;
.
, ,
MBS, . ,
. ,
, .
.
: (1) , (2) (3) . ,
,
.
, ,
.
, , , .

, .
375

,
, ,
.
.
(1) , (2) (3) .



. .
.
: .
, ,
.
ABS.


, , , 10%. : (1) ,
(2) , (3) (4) .
. , ,
. , . : (1) , ;
(2) , .
,
(..
), -
(.. , ) .
, . , , .
-
, .
376

15. MBS ABS

- , .
CMO, . , , , ,
.
, .


,

. : , / .
. :
. ,
. ,
. , ,
.

, .

. , , (
WAC) 7,75%, ( ..)
0,25%, ( WAC) 7,25%. ,
0,25%. , , .
, , 25
.
. . , $300 , .
.
,
. ,
. , $300 , $320 , $20 . $20
.
377


/ . /
() . , , $ 300 . :

$ 270 ;
$ 30 .

$ 30 .
, , , ; .
. 15.2. ,
, , G.
. :
(NR).
15.2
/

(%)



(%)

D
E
F
G

AAA/AA
AA
A
BBB
BB
B
NR

94,0
1,0
1,0
1,0
1,0
0,5
0,5

6,0
4,0
3,0
2,0
1,0
0,5
0,0

, ,
, , , - . , ,
. . ,
.



. ,
Standard & Poor's (S&P)
(1930- .)
1980- . (, , ). .
:
378

15. MBS ABS

300 ;
;
;
;
;
30 ;
;
;
;
;
LTV 80%;
$300 .

LTV
S&P (1)
(2) . . ,
-,
AA, 10 40% , 1:
AA = 10% 40% = 4%.
. , (LTV).
LTV - 80%. ,
AA, LTV 90%,
.
, AA ( ,
LTV 10%), 15 29% , 4,4% (= 15% 29%). ,
4 4,4%.

- S&P - AA , .
:
AA
, .
, , 1,
AA, 1 AA.
. Moody's , (.. ). Moody's
( ) 1

. S&P. S&P .

379

, . Fitch S&P,
, .


, ( ABS), .

/ ; ,
, .
.

c
, . . ,
, . ,
100% . .
. 15.3.
15.3

, %

100
100
100
100
100
100

380

100
100
100
100
100
100

100 +
100 +
100 +
100 +
100 +
100 +

0
30
40
60
80
100

100
100
100
100
100
100

100
100
100
100
100
100

1 5
6
7
8
9
10

100
70
60
40
20
0

15. MBS ABS

, .
. , , .
..
/ ,
. / :
(1) (waterfall method) (2) (direct
write-off method). . 15.4.
15.4

, $

1-

200 000 000

1 333 333

90%

180 000 000

200 000

5%

10 000 000

800 000

5%

10 000 000

100 000

8%

2 433 333
150 000

1 250 000


. -,
. , , . 15.4,
$28 333
$67 667. ,
.
,
. , - , 1.
1

: (1)
, (2) (3) .

381


. 15. 4

$1 200 000
180 000

$1 200 000
180 000

800 000
90 000
135 000

800 000
100 000
0

2 405 000
180 000 000
178 795 000
1 205 000

2 280 000
180 000 000
178 920 000
1 080 000

$28 333
0
0
0
0

$66 667
100 000
0
0
0

0
28 333
0
38 334

0
76 667
0
0

10 000 000
10 000 000
0

10 000 000
9 990 000
10 000

$0
0

$66 667
10 000

0
0
0
45 000
66 667
10 000 000

0
0
76 667
150 000
0
10 000 000

9 995 000
45 000

9 840 000
160 000

382

15. MBS ABS


, , . ,
.

, / , .
, . , . 15.5,
/
( ) .
, ,

10- .
15.5
*
(PSA)

250

400

600

10,9
16,0

9,4
15,0

8,2
13,1

* 30- ,
WAC 8,5%, WAM 320 4,5%- .

.
. (1)
(2) ( 60 ).
,
, .
. - ,
. , (
). ,
60 2% .

. , 1995 ., . , , .
383

, . , 2%- . , , ,
.


(clean-up call)
510%.
, 0,05 0,1 (
, . . .). . 15.6, .
. -,

, , . -,
, .
15.6

225 PSA

+100

11,63

9,56

6,86

6/23

300 PSA,

600 PSA

100

10,54

8,06

8,06

4,31

6,33

6,53

5,62

5,62

3,53

11/05

6/23

4/03

4/23

9/98

10%- , , .
, .
1.
, .
2. , ,
.
3.
/ IO ( ).
384

15. MBS ABS


, MBS, . , MBS .
.
,
. MBS. 10- , . (, 25 )
10 25-
.
, . . ,
. .
.
. , , .
.
. 12,5
. , : (1) ,
(2) ( ) (3) .

.
15.7

:
6,75%.
WAM 357. 0,125%.
:
:
:
CPR 25% SMM 2,3688%:

$ 300 000 000


1 687 500
257 044,75
7 100 438,28

:
=

15 1 6, 75

7,100, 438.28 = 19, 969.98


20 12 100
385

:
=

0.125 1
0.125 15 1

(300, 000, 000) 7,100, 438.28) +

7,100, 438.28 =
100 12
100
30 12

= 30,880.19
: 30 880,19 19 969,98 = 10 910,20
: . 1 Compensating Interest: Rarely an Issue //
PaineWebber Mortgage Strategist (8 1998 .). . 19.
,
12,5 . $30 880,19.
$19 969,68.

,
.

?
, , . . 15.1,
, 30-, 60- 90- . ,
90 , .
.

30-

60-

90-



:
1) ;
2) ;
3)

REO

. 15.1.

386

15. MBS ABS

,
. ,
.
, . , :
1) , , ;
2) ;
3) .
, ,
.
, , . ,
. , ( ).
.
, . ,

(,
).

: (1) , (2)
(3) . ,
/
.
30- LTV 75%
71,4% 66,1%
. - 30- . (, 2%- ), LTV 64,7% 54,2%
. ,
.
,
.
( )
Moody's:

387

1
2
3
4
5
6
7
8
9
10+

, %

0,5
3,5
11,0
21,5
13,5
13,5
11,5
7,5
7,0
3,0

, %

0,5
4,0
15,0
36,5
57,5
71,0
82,5
90,0
97,0
100,0


30- ,
. , ( ), .
.
, .

NAS NAS
CMO PAC .
.

, NAS- (non-accelerated senior tranches).


NAS .
. 15.2. NAS , CMO
1990- . , .
: 6%- ,
16%
(. . 15.3).
388

15. MBS ABS

Phase

1
NAS

Super-NAS

3
1992

1990

1998

1996

1994

. 15.2. NAS

84%

84%

94%

6%

10%

-NR

10%
6%

-NR

. 15.3.

: . , AAA,
AAA ,
.
AAA, , .
,
(.. ), , (. 15.8).
.
19921993 .
. AAA 1994 .,
AAA
. (PAC), .
389


15.8


(%)

15

160

6
7
8
9
10+

6172
73-84
85-96
97108
+109

30
40
60
80
100

: Super-NAS Bonds: Required Summer Reading,


FaineWebber Mortgage Strategist (9 , 1998), . 16
, AAA , (ERISA). , , ,
ERISA. ERISA AAA ,
.
(non-accelerated senior NAS).
NAS
AAA ERISA. ,
NAS (.. ).
(PAC), NAS ,
. NAS
,
( , ). ,
. , NAS.
NAS NAS. NAS
NAS.
NAS . 15.4.
NAS NAS. NAS
NAS : NAS,

. , ,
.
390

15. MBS ABS

80%

14%

NAS

14%

84%

NAS

10%

NAS

10%

4%

6%

. 15.4. NAS

: Super-NAS Bonds: Required Summer Reading//


FaineWebber Mortgage Strategist (9 1998). . 16

NAS
NAS . 10%- NAS, 20%- NAS ..
NAS . , ,
NAS: 10%-, 20%- (. 15.9).
,
6% . , , NAS (.. 20%- NAS)
NAS , .
, NAS
.
15.9
NAS
10%- NAS

NAS


NAS

20%- NAS

10%
84%
6%

20%
74%
6%

100%
8:4:1

100%
3:7:1

NAS
NAS
,
.
Alternative A, 10%- NAS,
391

20%-, . 15.10. , NAS ,


. , NAS , .
NAS .
15.10
NAS

75 PPC* 100 PPC 150 PPC

10%- NAS
10

13,7

9,4

8,7

NAS

12,2

11

9,4

2,8

20%- NAS
10

17,5

9,4

4,2

13,3

NAS

12,2

11

7,6

4,6

* PPC .

NAS NAS
, NAS NAS . ,
NAS NAS
.
20%- NAS NAS Alternative
A . 15.11.
15.11
NAS NAS

20%- NAS
NAS:


NAS:

75 PPC

100 PPC

150 PPC

12,2
8/036/28

11
8/036/28

7,6
8/036/28

4,6

9,4
8/036/13

8,7
8/039/12

7,7
8/036/28

1,8

392

15. MBS ABS

, ( ) NAS , NAS, 75 PPC


150 PPC. , NAS
( 2003 . 2012 .), NAS ( 2003 . 2028 .)
(.. 75 PPC) NAS ,
NAS. , NAS
, .
. 15.11. ,
100 PPC 75 PPC 2012 . 2013 .
, NAS ,
. . 15.10
15.11 , 150 PPC
7,6 . ,
( 2003 . 2028 .). NAS - ,
, 10- NAS.
NAS AAA , ,
,
.
NAS NAS (. 15.12).
, 125 PPC, NAS - NAS (
),
NAS . , NAS NAS .
15.12
NAS

20% NAS
NAS:


-NAS:

100 PPC

125 PPC

150 PPC

250 PPC

11

9,4

7,6

4,1

8/036/28

7/0111/04

8/036/28 8/036/28
8,7

9,1

8/039/12 8/031/20
393

7,6

4,1

8/036/28

7/0111/04

,

, ,
, . ,
, 125 .

,

(HEL) ,
. , ..
.
. .
/
(.. , Ginnie Mae, Fannie Mae Freddie Mac ,
) .

, . .
.
,
HEL. HEL . HEL ,
. HEL
, .
6- . , HEL , .
HEL .


,
, , , (passthrough)
(paythrough) . ,
, HEL , ( ) . HEL .
HEL -. , -
6- .

394

15. MBS ABS

.
. (1) -
HEL, (2) ,
HEL . ,
, HEL .
, ,
, ,
.
Advanta Mortgage Loan
Trust 1995-2 1995 . HEL $122 . 1192 HEL: 727 465 .
(A-l, A-2, A-3, A-4 A-5) . .

($)


(%)

A-l

9 229 000

7,3

A-2
A-3
A-4
A-5

30 330 000
16 455 000
9 081 000
56 917 000

6,6
6,85

: I II. 727 I A-l, A-2, A-3 A-4. 465


II
A-5-I A-5-II.
( ).
A-5
. A-5-I : (1) 12% (2) 32 12%.
A-5-II : (1) A-5-I (2) II.
A-5,
50 .
A-4 .
7,4%, I.
,
10% . A-4
, 50 I.
395


, MBS, ,
. ABS
. AAA / , . .
15.5. / . .

A-1

A-2

A-3

A-4

A-5

HEL

AAA

A-1

A-2

A-3

A-4

A-5

AAA

/ HEL
AA
A
BB

()

. 15.5. ABS HEL

.
.

.
, . . , , HEL, ,
(, B, ) .
. -, ,
, ,
, , .
, , - . ,
, .

/ : , .
, 396

15. MBS ABS

,
. , . ,

. ,
. , / .
. ,
, , AAA, . , - .
-
. .
HEL.

,
(HEL) ,
, . ,
. ,
.
, .
, 1990- .
(HELOC) 2025% .
7% HELOC .
HELOC ,
. 1015 . HELOC
() , ( 10 ). HELOC
. HELOC, (75%),
- ( Wall Street Journal) .
, HELOC, . , Wall Street Journal,
.
HELOC ,
HELOC HEL . ABS,
(,
), HEL HELOC ,
.
397

, 125
.
(LTV),
95125% ( LTV 125).
, . , LTV 125,
(.. -).
LTV 125 , . .
, LTV 125 . LTV 125
, () . ,
LTV 125 ,
. , ,
,
.
LTV 125 FICO 680 .
LTV 125 / . AAA.
AAA
M-l B-2 ( AA BB).
LTV 125 :
(1) , (2) (3) .
,
, MBS.
. -, LTV 125
, .. ()
. , , . -, LTV
125 ( 5 8 )
. , , (
$ 30 .) . -,
LTV 125 , .
LTV 125 , .
398

15. MBS ABS


, . ,
LTV 125
(,
) . (
LTV 125) IO ( ).
,
, . ,
(
. . .). ,

36 ,
.

,

,
, . , , :
(1) (2) . (
99 . ) .
( 142 . ) .
1520 . ,
,
HEL, ,
. ,
, 15 300350
30- . , , 20 250300
30- .
, . , . -, ,
.
$35 . 200 ,
$44 . -, , ,
. , . -,

. , , , ,
-
.
399

,

1, .

(REIT)
(REIT) ,
. , , , ,
. : (1)
90% ; (2) 75%
.
REIT : ,
.
, . (MBS).
, ,
, , ( ), .
.

: 90% .
, , ,
, .

(CDO)
(CDO) ,
, . CDO
. CDO,
. CDO, ABS/MBS (ABS/MBS CDO). CDO .
CDO .
CDO 20.
1

, ,
16.

16

. (Joseph F. DeMichele),
- Delaware Investments

. (William J. Adams), CFA,


- Massachusetts Financial Services

. (Duane C. Hewlett),
- Delaware Investments

(CMBS)
, .. , .
1980- . , CMBS
. , CMBS.
CMBS. , , CMBS. ,
, .

1980- .,
.
$ 400 1982 .
$ 1 1990 . , 1990- . . NCREIF
Property Index1, 1990 1993 .
28%.
1980- . ,
,
. , 1986 .,
, .
1990- .
, , . ,

.
,
.
CMBS Resolution Trust Corporation (RTC). RTC - . RTC
,
. , 1

(Adams Jonathan). CMBS Structures and Relative Value Analysis. 13;


. (Bhattacharya Anand K.) . (Fabozzi Frank J.)
(.). Asset-Backed Securities (New Hope, PA: Frank J. Fabozzi Associates, 1996).

402

16. ,

.
RTC CMBS. 1991 1993 . CMBS,
$ 15 .
, MBS.
, .
, ,
1993 .
() ,
.

.
1993 ., 2001 .
$17,2 $71,9 ,
RTC1. RTC , CMBS .
RTC (CMBS), ,
CMBS . CMBS

,
.
1990- . ,
CMBS.
CMBS.
, . 1993 .
, , , 1995 . 302. CMBS
. 60%
CMBS. CMBS
$300 . 20% CMBS.

1
2

Stanley Morgan and Commercial Mortgage Alert, Hoboken, N.J.


(Mulligan John) (Parsley Diane). Commercial Mortgage-Backed
Securities A Market Update (New York: Donaldson, Lufkin, and Jenrette Securities Corp.,
1995 .).

403

CMBS

, (Ginnie
Mae, Fannie Mae Freddie Mac), CMBS.
, . Ginnie Mae, , ,
.
1985 ., .
Ginnie Mae ,
, (FHA). FHA
.
FHA.
, , , .
Ginnie Mae (PLC) (CLC). , PLC 35- 10-
. GNMA
. FHA .
FHA, 99% . ,
. FHA , ,
Ginnie Mae.
Fannie Mae . Fannie Mae CMBS .
Delegated Underwriting
and Servicing (DUS). Fannie Mae
.
, 5 18 25
30 . Fannie Mae,
. DUS Fannie Mae
, .

.
. DUS , Fannie
Mae .
1990 .
Freddie Mac.
404

16. ,

Freddie Mac. 1993 . Freddie Mac Program Plus , DUS


Fannie Mae.


CMBS, , ,
, .
. CMBS
RTC. ,
,
. ,

.
CMBS . CMBS : ,
. .
, , - . , .
,
, . ,

. , CMBS

.
. .
CMBS (Real
Estate Investment Trusts REIT). .
, .
,
.
,

. ,
.

(release provisions).
, .
.
405

CMBS
,
. c .
, ,
. . . ,
, .
CMBS , . , ( )
(credit tenant loan CTL), .
, CMBS
, .
. ,
( Wal-Mart),
. -, , Merrill Lynch Chubb.

CMBS
/
CMBS, , , , ,
.
, .. .
. , .
/
.
,
, .
CMBS
. 16.1. , . ,
AAA.
, .
. ,
406

16. ,

, .
,
.
.
16.1
CMBS

Al

AAA

Bl

AA

B2
B3

,
$

343

WAL,
, %

32,55

1/977/05

26,5

9,7

7/058/06

30,6

30,6

20,5

9,8

8/069/06

BBB

25,5

15,5

9,9

9/0610/06

B4

BBB-

12,7

13

9,9

10/0610/06

B5

BB

30,6

10

10/0611/06

17,8

3,5

10

11/0611/06

NR

17,77

NA

13,7

11/0611/16

IO

AAA

IO

, , . B. .
, .
.
/

.
,
, .
,
.
. , , RTC, .
. ,
. , ,
.
407



CMBS .
,
.
. ,
.
. 16.2
CMBS, .
Al A2.
Al, A2.
.
16.2
CMBS

Al
A2
Bl
B2
B3
B4
B5
C
D
IO

AAA
AAA
AA
A
BBB
BBBBB
B
NR
AAA

130
213
30,6
30,6
35,5
12,7
30,6
17,8
17,77

, $


IO

WAL,
, %

32,55
32,55
26,5
20,5
15,5
13, 0
7,0
3,5
NA

5,7
9,4
9,7
9,8
9,9
9,9
10
10
13,7

1/977/05
7/057/06
7/068/06
8/069/06
9/0610/06
10/0610/06
10/0611/06
11/0611/06
11/0611/06


CMBS ,
. .
.
. , .
, . CMBS .
408

16. ,

CMBS

.
,
.
. .

. ,
.

IO (interest-only). IO . .
IO . . CMBS
. IO .


, CMBS.
,
IO.
, , .
. , .
.
(),
, . ,
CMBS
, ,
.


CMBS, , . , , 409

. CMBS
,
(IO). , ,
.

. ,
.
.
CMBS . ,
.
,
. ,
,
. , , ,

.
. . 54321.

5% . 4%
..
, CMBS,
.

,
- .
, , .

, . , , .

, .
, , ,
.
, CMBS
, .
RTC. ,
, . ,
, , CMBS 410

16. ,

, . , ,
CMBS ,
.


CMBS, ,
, .
, , . ,
,
.
, . ,
, ,
- .
,
.
,
(LTV) . LTV,
. ,
,
, .





, ,
.

, ,
. ,

, .
, ,
.
CMBS,
, .
411

.
, ,
. , CMBS.
CMBS . , 1990- .
. RTC. RTC ,
.
. ,
/ , .
CMBS ,
, .
: RTC . , , 1990- .
(
), , ,
.

, . ,
. / .
,
, .

.
CMBS
( ).
( A)
.

.
- . ,
, - , . .
, -
RTC, .

412

16. ,

- ( ). , ,
,
.

,
,
, CMBS. CMBS , .
( ),
; .

, , , .
CMBS.

- , ,

.
CMBS. , , , . .
, , ,
,
.
CMBS CMBS, ,
, .
CMBS, .


. , 413

, .
, ,
.
, (..
), . ,
( , , ..), ,
.

. ,
. ,

.
, , , .
, ,
.
, , .
. ,
.
( ), ,
. , .

/
. , .
50 300 . . , , , . 414

16. ,

.
, .

(, ) (REIT).
CMBS; CMBS
. ,

.

, . 10 50 . ;
, .
, , (), .
.
,
(, , , , ). ,
, .
.
,
, .
,
: ,
, , ,
, , . , . ,
,
40%,
. ,
. - .
. ,
B C.

-
. - 25% ,
.
415


A, , C, .
, . ,
. , ,
-.
70% , ,
, ,
, ( ) .
,
, , .
, . 1980- .
.
, .
, .
, ,
, ,
( / ). ,
. , -
.

,
. , : , ,
, .
, , , ,
, .
10% CMBS.
, , 416

16. ,

. : , , . ,
.
,
,
, .

,
. ,
. . , , . -

, .

, ,
, . , ,
.
. ,
, ,
. CMBS , , .
.
, , ,
,
. .
CMBS , , Smith Travel
Research, , ,
/ .


, , , , .
417

,
. , ,
. .
,
.

CMBS , , .
, -, ..
.
CMBS 5%. CMBS ,
.
.
(Skilled Nursing Facilities SNF)
, .
. SNF , , ,
Medicare Medicaid,
. SNF
.
, Certificate of Need (CON).
SNF
,
.

, SNF. ,
,
, , /
. ,
. . 1990- . ,
.
65 ,

.
418

16. ,

, . , ,
.

, , . ,
.
,
(
, LTV).
, , ,
.
(Net Operating Income NOI) . ,
.
, , ,
. , ,
12 .
, . , ,
, .

. ,
.

. , ,
, .
, () , ,
.
419

. : , , , ,
, , ,
.
CMBS
.
, , , ,
.
1,11,15
2 .

,
, . ,
,

. , , .
. , ,
.

. , ,
,

.
,

. , . 75%,

5055%.


CMBS , , . CMBS 420

16. ,

, ,
(.. ,
, , ).
, , . ,

,
.
, .
/
,
, , -
, .



, , CMBS,
, .
,
/ ,
. ,
, .
,
. , , ,
,
.
; / .
2,5 3%
, 15 22%.
CMBS , , .
, 421

2, 40%.
.
,
. , ,
.
, , .
.
.
LTV , ,
, .
, , ,
. , ,
(, ).
, , . , ,
, ,
,
.
, .

. ,
(
). ,
. ,
. , , .
, .
, (,
..),
. 30 40% .
,
, . .
422

16. ,


CMBS
, .
, .

, CMBS,
. ,
.
.
, ,
( , ).
, , (
).
, ,
.

-
CMBS -
.
(NAIC) CMBS ,
.
0,03 1%, , 3,0% .
2000 . CMBS
(ERISA),
CMBS ERISA. , (Bank of International Settlements BIS)
, , CMBS.
100%. CMBS BIS ,
(GSE). GSE 20%.
, CMBS . ,

.
423

CMBS, , .
,
.
CMBS, ,
, . ,
, . , , ,
.
,
.
, ,
CMBS
.

17

. (Frank J. Fabozzi),
, CFA ( )
-

. (Thomas A. Zimmerman),
,
ABS Research,
UBS Warburg

, (asset-backed securities
ABS), , .
. ,
, 14 15.
,
. , (CMBS), 16. , , ,
.
18.
, , . ,
,
.

ABS
ABS, .


, ,
. , .
.
:
. 15.


ABS . ,
.
.
, . , , .
, , .
. ,
,
426

17. ,

. , , .
(..
).
. .
. ,
, .
, .
, 15,
, , . ,
,
. . , ,
.
,
. ,
, , .

(GWAC) (WAM) .
, .

.
, ABS . .
14.

ABS c
ABS . ABS
. ,
,
, ,
(SBA)
. ,
427

. ,
, .


14.
, ( ) , , , . , $ 100 10 000
, 1/10 000
, .
, .

. , ,
:

$ 280 10 000 ;
$ 20 1000 .
, ,
1/10 000 , .
, ,
1/1000 , .
(CMO)
14. ,

CMO. CMO (paythrough) . ABS ,
. ,
, .

.
, CMO 14.
(PAC), 1- PAC , 2-
, .
, /
. .
,
,
CMO.
.
428

17. ,


ABS . .
:
,
.
, , , 10%.

, .
, , , ,
.

, . , (1) (2) (
).
,
. , .
(), .
,
,
.
,
.

,

ABS

:

, ;
;
;
.
.
429


.

, .
, ,
.
,
, ,
.
. , .
,
.
.
. ,
. , .
ABS .
, , ( ) , .


, ,
, .
,
. , .
, , .
, ABS.

.
,
, . , ,
.

.
: (1)
( ), (2) 430

17. ,

(.. ), (3)
, , ,
, , (4) , (5)
.


, ABS,
. ,
. ( )
. ,
. , , . ,
,
ABS .
, , (special-purpose vehicle SPV).
ABS. ,
, .
SPV . , ,
.
SPV, , , .
. SPV .


ABS . ,
, , (),
-, , ( ), .
. ,
, .
.
, ,
, ,
. .
431

, , , , .
,
, ,
ABS .

.
. ,
(, , ) , .
ABS. , .
:
, , , , ,
, . .
.
,
.
, - .
.
, .


,

. :
, , SBA;
ABS, , .

,
, , ABS.
. ABS ( , , (HEL)) , ,
432

17. ,

.
, , , AAA. , , .
1) ( );
2) ;
3)
, .
ABS.
16% ABS. 1999 .
,
, ,
(Big Three) .
.
.

. -, ( ). -,
( ). -, ( HEL, , 1530 ). ,
, , .
-, -
. Moody's, : , (
) 3%;
(near-prime) 37%;
- 7%.


, , (
) . , , :

, ;
;
;
;
.

,
. , ,
433

, , . , ,
(absolute prepayment speed APS). APS
. 14,
(SMM) (CPR),
.

, , (passthrough) (pay-through) .
.
, (interest-only). , , ,
. .
1980- .
1999 . .
( ),
- . ,
. , ,
ABS .
, 20002001 .,
. 1999 .
(soft bullet) , .
. ,
.
, . , .
.
. , . 1980- ., -ABS
. ,
4 5 .
434

17. ,

, 2001 .
Capital Auto Receivables Asset Trust (CARAT)
1999-2 GMAC 1999 .
ABS, , . . 17.1.
. ,
(1)
(2)
.
17.1
CARAT 1999-2

($ )

, %

A-1
A-2
A-3
A-4
A-5
VPTN-1

427
370
306,5
400
76,78
481

5,99
6,06
6,25
6,3
6,45
1-. + 0,12

7/16/01
6/17/02
3/17/03
5/17/04
1/18/05
1/18/05

0,5
1
1,5
2
3

63,75

6,7

1/18/05

1,6

: Moody's Investor Service


CARAT (VPTN). VPTN-1,
A-1. VPTN-1 .
VPTN-2,
A1.
VPTN-2.
A2 VPTN-3,
A2.

.
CARAT 2000-2 GMAC
.
VTPN , . VPTN
.
435

Ford , , CARAT.
2000 . Ford 2000-B.
CARAT
.
GMAC ( CARAT) Ford. Ford
2000 .: Ford Credit Auto Owner Trust 2000-B, 2000-D 2000-F.
. GMAC, , CARAT 1999-2 .

. .
2001 . 2002 . , ,
.
. 2000 . 4,3%
. 2001 . 25,5%.
-ABS , Toyota Motor Credit 2001 . (Toyota Auto Receivables 2001-B
Owner Trust). , 1. $1,5
, ().
$ 418
() . . 17.2.
17.2
Toyota Auto Receivables Owner Trust 2001-B

A-1
A-2
A-3
A-4

($)

417,84
500,00
360,00
175,00

, %

4,3
1-. + 0,06
1-. + 0,08
1-. + 0,1

5/15/02
12/15/03
3/15/05
10/15/07

1,00
2,01
2,13

: Moody's Investor Service


1


- Toyota Motor Credit Corporation (TMCC),
TMCC
,
.
c .
, TMCC, .
- , .
436

17. ,

. ,
Ford 2000-F, .
.

. . 1,5 .
. 17.3, Ford
2000-F Ford 2000-D. Ford 2000-D
. -ABS . , ,
, 1.
17.3
:

Al
A2
A3
A4
A5

Ford 2000-D

Ford 2000-F

0,47
0,97
1,47
1,97
2,47

2,0
2,5
3,0
3,5
4,0

,

( , , , ),
- .
, , SLABS ( student loan asset-backed securiti).

, FFELP (Federal Family Education
Loan Program ).

.
.
( ),
98% .
1

144a.

437

, , . .
. .
Fannie Mae Freddie Mac
. .
Sallie Mae
(Student Loan Marketing Association)
. Sallie Mae SLABS.
. , SLABS, (, Money Store PNC Bank) (

). SLABS .

FFELP :
,
(Parental Loans for Undergraduate Students PLUS) (Supplemental Loans to Students SLS).
: , .
. , . . 6 ,
.
.

, . ,
, .
, ,
. , .
. , , ,
.

2000 . .
. , ..
, 3- ,
, ,
.
.
438

17. ,

.
,

, .

, 1.
. 17.4 .
,
. ,

. ,
.
17.4
ABS

3-.

3-. /

3-. /

3-.

/3-.

3-. /

ABS, ,
, -
.
. - (.. ).
. C
(special allowance supplement
payments SAP).
3-
,
.
1

,
/ - ,
.

439

. ( ) .
,
. , .
, ABS , , .
( ABS) , .. .
ABS
. ,
. , ,
,
. , (
),
. ,
, .
1993 . ABS
( 3- ). 1993
1995 . , Sallie Mae, . , . Sallie Mae, , 1995 .
.
1999 . (SAP) - .
. -. SAP,
, 3-
. SAP 3- . SAP
, ,
ABS.

, SBA
(SBA)
, , SBA . SBA
440

17. ,

.
, - () .
, , .

SBA. 5 25 .
1984 .
, SBA . , ,
. 7, 10, 15, 20 25 . .
SBA ,
. .
. .
.
, , SBA, :
, ;
(.. );
.
, SBA,
CPR.
. SBA
. . ,
SBA ,
. .
,
. ,
SBA 10 ,
, , . ,
. . ,
.

,
. ,
(equipment trust certificates ETC), 441

ETC (enhanced EETC). ,


. EETC, , .
EETC , , ,
. EETC, ,
, , ,
. ,
.

. ETC EETC .
ABS, , , .
. : (
), . ,
,
. .


-ABS : (), .
.
, . ,
. , -ABS . EETC, ,
.

, , ,
, .
ABS .
, . 20 ,
45 . , . ,
.
442

17. ,

, : (1) , , (2) (3) .


, .
. , ,
, , .
. (
)
.
. , . ,
.
.
, . ,
. ;
. . , McDonnell Douglas
,
.


ABS, ,
, ,
, ABS .
.
, .
Moody's, .
,
1.
,
, .
, . ,
.
1

Moodys Approach to Pooled Aircraft-Backed Securitization//Moodys Investors Service, 12 1999 . . 9.

443

, , . , 1110 ,
, ,
.
, ,
.
- , .
-. ABS , .
,
,
, , .


ABS, , ,
. ,
, ( ). 34 47%.
.
.
.
, .
, ,
, , ?
, ,
.
,
.

,
, , , (CMBS),
, (ABS). CMBS ,
, , , ABS.
444

17. ,


(SBA) (CDO), , ABS. ,
,
, . , , ,
100200 ( ),
. , 10 000 (
), , .
SBA
, .
SBA , ,
; , .
, , .
, ,
, , .
, .

.
, ( 10 100), , .

720 . ,
710 , 1520 .


ABS , 144A. 144
,
.
$100 $ 300 ,
150200 . $500 ., $15 . $2 .
/ .
. ;
,
. , , 1% .
445


: , .
: (quick
service restaurants QSR), . . 17.5 .
17.5

:
(QSR):
McDonald's, Burger King, Wendy's, Pizza Hut;
:
T.G.I. Fridays, Red Lobster, Don Pablo's;
c :
Denny's, Perkins, Friendly's.
:
:
Blockbuster, 7-11, Jiffy Lube, Meineke Muffler;
:
Texaco
, . , Burger King, Wendys , ,
, ,
/-, . , Wendys , ( )
, , ; ,
-. Burger King , .
,
. , Fitch
, . , I
, II ..
, (
, ..); ( );
( ).
446

17. ,



. .
/ .
, .
(LTV). LTV . ,
. ,
LTV ,
.
. (FCCR) :
FCCR =

, FCCR 1 3,
1,5. , FCCR
1,5, , 1,5
.
. ABS,
. ,
.
1015 , 520 .
. ,
. ,
.
. 1020 . ,
.
, , ,
( , , ).
, . , , ,
.
447

, , .
.
(). , .
( ,
),
.

(RRB)
(RRB),
(stranded costs) (stranded assets),
.
. ,
, . , , ,
, .
. ,
, .
, (CTC),
. , . ,
.
.
. (SPV),
,
.

(RRB) ,
(ABS), :
RRB .
2001 .
RRB. , . 2001 . Pacific Gas and Electric (PG&E),
RRB, 448

17. ,

AAA RRB, .
, RRB . 1998 . , RRB. RRB
. , , . RRB
,
, , ,
RRB.

, RRB / . ,
.
(CTC). .
RRB .
CTC (SPV),
. , CTC .
( ), .
RRB, , ,
CTC . CTC
, . ,
, ( 2%), CTC.
.


RRB , ABS.
,
, (CTC) RRB
. , .
449

, Detroit Edison Securitization Funding 1 2001 . 0,5% ( )


0,5%- ( ). 1%, , , , -
12 15%.


(RRB) ,
( , HEL
..). , , ,
RRB,
. ABS. ,
ABS (, ), RRB.
RRB .
, .
(RRB) .
CTC?
,
(SPV) .
? ,
. . ,
AAA RRB.
CTC ? CTC
, , .
.

? RRB ,
,
. , ,
(, ).

18

. (Jonh McElravey), CFA,


Structured Debt Research Group
Banc One Capital Markets, Inc.

, , 1987 .
ABS. , , 1995 . $46 , 2001 .
$58,2 . ,
ABS . ,
ABS, , ,
.
,
, . , , .

.


1980- . , . 1990- . .
, , ,
.
, ,
, . , ,
MBNA, First USA Capital One, ,
,
. 1990- .
, ,
.


1991 . , , .
452

18. ,

. 1991 . - (.
. 18.1).
, , . , , .
.
/
1

. 18.1. -:
1 -;
2
;
3
.

, .
,
,
. . ,
, ..
, - , .

-
2000 . :
- (master note trust), - (master owner trust MOT). ,
, 453

. ,
MOT,
.
. ABS
, -.
, MOT, , . , . .
18.2 - ABS.
- , ,
, -. -, , , .
-
ABS.
MOT. ABS.

2001-

2001-

2001-


2001-D

. 18.2. -

454

18. ,

, ABS, , MOT. -,
MOT
. ,
, ,
. ,
. MOT , AAA
A BBB. . ABS, ,
, .
, .
MOT
. (.
18.2). ,
. ,
B
C . , .
A B C.
,
A.
,
, . ,
, . , . . ,
, .
, MOT, ,
ABS ,
( ABS, ). 2 3 . 18.2 .
MOT ,

, .
, , ERISA. , , , 455

, ERISA.
, , , . ,
.
, MOT (reverse-inquiry).

/
-
ABS .
, ABS. , .

.
- 47% . - ,
. ,
, Credit Card Performance
Index Banc One Capital Markets, 2025%.
.
.
. ,
, , , ,
.
-
, .
, ,
( 1015%). ,
. ,
,
.
,
.

ABS,
, , : . .
456

18. ,


.
, .
.
.


, ABS.

-. .
, . , ,
, 5 48 , ,
12 . ABS :
.
ABS
(. . 18.3). -
B. .
1400
1200

, $

1000

800
600

400
200

10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58

. 18.3.

457

. , . .
12- .
, ,
. ABS. .
, ABS .
, ABS,
(. . 18.4).
/ .
12-
. .

. () . .
1400
1200

, $

1000

800
600

400
200

10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58

. 18.4.


, ,

ABS. 458

18. ,

, , . ()
,
:
/
1) ;
2) , ;
3) ;
4) ,
.
:
5) ;
6) ;
7) .
:
8) 1940 ./ /.
, . , ,
. , , ABS .


- . . -.

- , .
-
, .
- .
. ,
, , .

. , -
,
.
- .
459

, ,
, ,
1 2.
, .

- , . ,

.
,
. -.
-, Discover Card Master Trust, .

. ,
.
.

.
-,
,
(nonsocialized) -. . , ABS. -
.

. ,
1

, .
, ,
. ,
. ,
Visa MasterCard
.
-
. 15%.
. .

460

18. ,

. .
- ,
.
,

. , . -, ,
Sears Credit Card Master Trust II, .
, ABS,
, (socialized) -. .
, .
. .
.
, ,
.
.
, . - Citibank Credit Card Master Trust I
Household Affinity Master Trust I.


( ) , .
,
ABS. , , . , , .

, ABS. ,
, .
, , .
. ,
461

. ABS, ,
12 ,
1/12 .


. .


ABS, , .
.

. , ,
ABS. ,

.


, , - .
. ,
,
.
. . 18.1.
18.1


:


:



462

19%
6%
13%
6%
2%
5%

18. ,

. - ,
, .
-
, . , ,
, .


(CCA) , . CCA .
. CCA
, -
. , CCA, .

,
, (collateral invested amount CIA),
. CIA
. , CIA. CIA
, CCA, CIA -, . CCA,
CIA ,
- . CIA
, . , CIA,
.
ABS, ,
.
CCA CIA,
. ABS ,
, .
, , (.
. 18.5). , , .

. 463

, - , ,
ERISA.
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%

84,0%

()
()
()

6,5%
9,5%

0%
1%

. 18.5.

, ,
, , -
. ,
- ,
- . -,
,
ABS, .
- ; . , -
.
, ,
, , , 1.
.
, , , .
1


Standard & Poors.
ABS,
.

464

18. ,


,
.
,
( ,
. . .) ,
.
,
180 .

24 .

,
. ,
, ,
.
.
, . ,
ABS. ,
(, ),
.
.
ABS
, ,
-
. ABS
.

- , ,
. , . -
Standard & Poor's ABS, , . 18.2.
.
: ,
, , ( ),
, ,
. , -
.
465


18.2
- Standard & Poor's
ABS,

35

23

1112%

12%

4555%

50-60%

05%

05%


**

15%

14%

.
.

**

ABS,


ABS, , ABS. 2001 .
$ 58,2 , , , . , $270 .

. ABS, ,
, ABS.

.
1995 1996 . ABS, . ,
(. . 18.6).
1995 . 1997 . , ,
. , , ,
.
466

18. ,

. 18.6. ABS
Banc One Capital Markets

1990- ., . 2000 . 5%,



.
2001 . 6%. ,
- .
ABS . -
.


,
, .
,
.

.
, . ,
1987 .
$80 , 10
40%. 2000 . $700 , ,
, 68% (. . 18.3).
467

468

1
3
2
5
4
6
7
8
9
10

2001 .

1
2
3
4
5
6
7
8
9
10

Citigroup
First USA/Bank One*1
MBNA
Discover*2
American Express*3
JP Morgan Chase
Providian Financial
Capital One
Bank of America
Household Bank

(M/S)

Aa2/AAAa3/A
Baa2/BBB
Aa3/AAA1/A+
Aa3/AABal/BB+
Baa3/BB+
Aa2/A+
A3/A
10


($ )

97,90
70,54
70,50
50,20
50,16
37,40
30,50
29,90
25,46
14,89
477,45
700,30*4

*5
(%)

14,0
10,1
10,1
7,2
7,2
5,3
4,4
4,3
3,6
2,1
68,2

*6 (%)

23,8
6,4
15,4
14,9
16,1
17,2
41,9
87,5
22,3
9,5
20,2
15,0

43,5
57,1
72,5
57,9
33,3
47,4
21,9
54,6
34,4
30,4
49,0

*7 (%)

()

*9
($ .)

*8
($ )

73,39
32,55
59,36
30,79
59,18
39,13
36,71
25
21,93
15,37
21,46
14,86
8,29
5,2
19,23
11,9
11,11
7,62
10,21
3,56
320,87 185,97
259,6


2000 .

7
0
11
10
5
3
3
5
0
2
46
61

8
4
6
5
6
3
0
4
1
2
39
44


2001 .

: The Nilson Report, Moody's, Bloomberg, Intex, . 2001 ., .

, .
*9 Wachovia $ 7,5 , $1,3
Wachovia.

*8

*2

*1

31.05.2001.
31.12.2000.
*3
() Federal Reserve Release G.19
( ).
*4
.
*5
30 2000 ., .
*6
-/ .
*7
, - .

2000 .

18.3

18. ,

,
ABS, .
2001 . ABS
45% , 63%. , ,
, .
A2/A .
.

ABS, ,
: , , , , .
:
: Bank One, Citibank, Chase, BankAmerica;
, : MBNA,
Household, Capital One, Providian;
: Discover, American Express;
: Sears, Target, World Financial Network,
Federated.

ABS, ,
: , , ,
. , . Visa MasterCard.
, , , Discover Card
American Express.
, .
ABS , .
.
ABS, 469

,
.
Citibank MBNA.


.
.
.
6 12 , .
,
.
. ,
, . , ,
,
. ,
,
.


.
,
, .

.
, .
, , Capital One.

. ,
470

18. ,

, , , . ,
.
. , , .

.



, ,
. Sears, .
,
,
.
- ,
. ,
,
, ,
. , ,
, . .

, , , .
. ,
, , . , ,

. 471

19951997 .
,
.

, . , , .
ABS, ,

.

19

(Steven Miller),

PMD Group,
Standard & Poor's

1980 ., , .
50% , ( ,
, ) .
30 2001 .
80 .
:
(1) , (2) , , (CLO), (3) , - . -
, ,
.
.
.
30 2001 . ,
1, 31 110 1999 .
.
,
,
.

.
- (. )
, , .
,
-. , Fleet Bank Bank of
Boston Summit bank, First Union Corestates Wachovia.
.
2001 . 2%
. 1994 . 17% .


?
, ,
. , 1

, 10 .

474

19.

.
,
. ,
XIX
.
. , 1980 .
. RJR Nabisco. 10
, ,
.
, , , SEC.
, 1990 .
. , , .
.

. ,
. . , BBB BB .
.
25%. 112 .
. , $100 : , , .


-
: (1) (2) .
,
. .
475

( ) , .
. , , .
.
. , . , ,
, .
, , . :
.

.
, .
( )
, .
, $100
$100 ,
. $ 200 ,
.
:
(Underwritten Deal) ,
( ) , . ,
, . . , , , ,

;
(Best Efforts) ,
( ) ,
, . ,
. , .
, ;
(Club Deal)
( $ 200 ) -. -, ,
.
476

19.


, , $25
$1 . , - .
, $500 . ,
, . -
.
, .


Lipper 2001 . 30 $23 . ,
. . , , .


1990- . , (CLO), .
2001 .
$70 . , , CLO : ,
AAA, AA, BBB
BB , , , , .

,
. $300 $1 ; 2001 . $300600 .



, .
$500 .


,
.
477

50 .
.


- . .



. , , , , .
,
, .


, . , , , , .
Standard
& Poor's Corp. (S&P) Moody's Investors Service. AAA
, B
. :
(Investment Grade BBB S&P Baa3
Moody's)
(Leveraged
). .
( ,
),
, , , (. ).


. ( ),
.
478

19.

,
. ,
. , Kohlberg Kravis Roberts (KKR),
.
, .
, , , , .

/

. . ,
, . , ,
. . , , . , , ,
.



, .
.
, . , .

, , .
:
(Swingline). , ;
. ;
(Competitive Bid Option CBO). .
479

,
. . ;
(Term-Out).
. ,
,
;
(Evergreen). , ,
.

364
364 , 364 . ,


. 364 ,
.



. , ,
(
). .


; .
.
.


( B/C/D) ,
. ,
480

19.

,
.
: TLb/c/d.

, ,
.


, . .



,
.
, : (
) (
).

:
. , , , .
.
. .
, .


.
: ()
.
481



-.
, . .
($510 ), , , - $2000
3500. , ,
.
2001 . , ,
-, , , , , . , .. 2001 ., 5 6 25 ,
. , ,
, , .


.
, . ,
. ,
.
, (, ,
, ). . ,
,
.
, .

.

. 482

19.

,
. .
. ,
.


.
, .
,
- . , , , ,
.


( )

( )
. .
,
, .

(CD)
,
(CD),
.



, , CD. , (
, ,
) ( , ).


.
.
483


, ,
, . ,
. , ( ) ,
, .
.
,
. , . ,
: 100 ( 1%) $25 50
$15 .
$25 , .
$25 $20 .
$200 000 ( 1% $20 ).

. , .

.


, 0,5% ,
.
.


.

. ,
,
. , ,
.



( ,
). 484

19.

( , ),
.


. ,
. ,
. ( ) ,
.
( )
. , ( )
. 12,525
(0,1250,25%) .

/
/ .
. . ,
, , .
,

Goldman Sachs.

(), ,
.
:
. , .
. ,

.
485

.
( ).
, : , , , /.
, ,
(
);
. (
6780%), .
(
) , .


()
,
. , . .
.
, .
. .
.
. , .


,
. , .
,
, , .


. ,
.
486

19.

.
, , ,
.

. ,
.
,
.
, :
.
, ,
, , ( ),
( , /
);
.
, .
;
. . ( , , ) ( , ).

. , ;
(TNW). TNW (
, , , , , ).
;
. ( , ) . .
, ,
.

487


, , .
, , , . : 5075%.
. 100%.

. 100%.

. 2550%.

20

(CDO)

. (Laurie S. Goodman),
,
UBS Warburg

. (Frank J. Fabozzi),
, CFA
-

(CDO) , ,
. :
;
;
;
;
;
, ;
, .
( ), CDO (CBO).
, CDO (CLO).
CDO, ,
,
CDO.

CDO
CDO , .
(,
), , , CDO .
.
(.. ) .
. :
;
;
/ (equity) .
, / , . A, BBB
B. / , .
, , .
CDO ( ) :
;
;
.
490

20. (CDO)

. ,
, , . -
: ,
c .
(),


. ,
, .

, , .
.


CDO . , .
( ), .
, ,
. , , .
.


CDO ,
/ .
, /
, CDO $100 c
, .

, $

80 000 000
10 000 000

-/ 10 000 000
()

491

+ 70
+ 200

, 10 , 10-
400 . -
$ 80 , :
, 10- 100 ;
.
.
. . .
CDO1, ,
, / .
, 10- CDO 7%. . . ( ) 10- 7% 400 . , :
11% $100 = $11 .

. :
$80 ( + 70 ).
7% 200 . , 9%, ,
, :
9% $10 = $900 .
, . ( ) 7% ( 10- )
100 , .. 8%. :
8%? , . $80 . ,
. , , ,
:
8% $80 = $6,4 .
1

29.

492

20. (CDO)

, ,
$80 . , , -, :
$80 .
. , CDO?
$11 .
, -:
$80 000 000 .
:
$11 + $80 .
, ,
-, :
$80 ( + 70 ).
, : $900 .
, -: $6,4 .
:
$7,3 + $80 ( +70 ).
.
:
$11 + $80 .
:
$7,3 + $ 80 ( + 70 ).
:
$3,7 $80 (70 ).
70 $80 $ 560 . ,
$3,14 ($ 3,7 $ 560 .).
( ,
). , / . $614 .
, /
, $2,5 . ,
, $10 , 25%.
. , . , , , (
), , , - . , ,

. ,
,
493

.
,
CDO , / .


.
, , , .
: (1) , (2) ( / )
, (3) CDO (4)
.


,
, . , , (cash flow
transaction).
, (.. , ),
(market value transaction).



,
. , . ,
.
. , .
. . ,
. - . ,
, . 5
494

20. (CDO)

.
, .


. .
,
. .
,
. ,
.
/ .
, , . ,
,
(.. ) , .
,
. / .



, .
,
.
. ,
. ,
/ .
, / . ,
.
/
. ,
495

.
CDO , .

,

.
:
.


. ,
. . ,
. :

;
;
;
, .

.
, . Moody's.
.
,
. , .
. . , . .
,
.
Moody's Fitch.
(WARF) . , . , Moody's Aaa 1
496

20. (CDO)

10 000 Ca.
.
WARF, WARF .
.
Moody's Fitch S&P . S&P ,
. , S&P
.


, , . . : .
,
.
. . ,

. ,
CDO
$50 . , 120% . $60 (120% $50 ). ,

, , ,
.

, , ,
. ,
. , 120%,
120%. , ,
.
.
, .
497



,
CDO . ,
.

.
.
( )
.
.
,
.
.
,
. , .

.
.
,
. ( ) .
, ,
1. ,
, , . . 20.1
.
? ,
(CBO). (, ), 1

:
c
. ,
.

498

20. (CDO)

, .
.
,
,
, . ,
,
, ,
, .
20.1




,

CBO/CLO


.
( )



.



.

*

.
, ,

499


. 20.1



, ,
/


, CBO/
CLO , , , ,

* ,
.
, / . , ,
.

, . 20.2.
. , ,
, .
() .
.
.
20.2
($ )

364

40
80

160
80

40
8

40
160

500

20. (CDO)


().
. .
.
. , .
.
(..
). ,
.
,
. .
, . ,
.




. ,
, ( ).
,
.
. ,
,
. ,
,
.
( , )
. Moody's Fitch , , , ,

.
, . 20.3.
Moody's , 501

,
. ,
. 20.3, Moody's
:
1) 5%;
2) 20%;
3) 100%.
,
20 , 5 1 .
, , , 2,
, ( . 20.3) Moody's
0,79. , ( 0,79)
. ,

. ,
2 (
0,79) 2 ( 0,83),
0,81.
,
.
Fitch
.
60%
, 30% .
.
, .
. , ,
:
, .
CBO c , , -.
,
, .
, , . , .
( , )
.
502

503
0,35
0,31

0,37

0,39

0,49

0,62

0,75

0,79

0,78

0,89

Aa1

0,38

0,4

0,5

0,63

0,76

0,8

0,79

0,895

Aa2

0,39

0,41

0,51

0,64

0,77

0,81

0,795

0,9

Aa3

0,44

0,47

0,56

0,67

0,78

0,83

0,81

0,905

A1

0,46

0,48

0,58

0,68

0,79

0,84

0,815

0,91

A2

0,47

0,5

0,6

0,69

0,8

0,85

0,82

0,915

A3

0,51

0,54

0,62

0,71

0,82

0,87

0,83

0,93

Baa1

: Approach to Rating Market-Valued CDOs. Moodys Investors Service. 13 1998 .

0,45

0,58

0,72

0,76

0,76

0,87

Aaa

Caa

$0,85

Baa

$0,85

$0,9

0,52

0,56

0,64

0,72

0,83

0,88

0,84

0,935

Baa2


(20 , 5 , 100% , 10 )

20.3

0,54

0,57

0,67

0,74

0,85

0,9

0,87

9,4

Baa3

20. (CDO)

CDO
CDO - ,
CDO , . , CDO
, .
CDO ,
.
1. ,
( ), . .
( , CDO)
.
, , .
( ), (
CDO).
: , , .
, , CDO CDO
( ),

.
,
:
2.
CDO? CDO
, , . ,
.
(CLO)
(SPV) 1
2

31.
,
. , .

. , , .
. ,
. CDO
.

504

20. (CDO)

, . , CDO , ,
, , .
,
CDO. .
, CDO.
:
.

CDO
CDO.
,
100 CDO. ,
CDO , .
, .
,
, CDO. CDO , CDO. , CDO
.
CDO
. CDO
. ( ) .

CDO
CDO.
1.
. .
2. ,
. ,
, .
505

3. CDO .
, . , , , CDO.
4. .
CDO ,
. CDO
.
, , .


CDO, :
CDO , . ,
, . , ,
,
, .
.
: (creation
bias), (survivorship bias) (size bias).
. , , , . .


1 .
. .
,
, .
,
.
, - , .
.
, , . ( CDO, ,
, .
, . 506

20. (CDO)

, .) ,
, ,
.
, , CDO, .
. ,
CDO, , . ,
CDO ( ), , , .
, ,
,
. . , .
CDO,
. ,
, , . ? ,
, .
,
. , . ,

, ,
, .
, .


CDO
CDO ,
. 25
49,5% . ( 50% , ). , CDO
() ,
.
,
-
.
, 507

, . , ,
,
. , .
, .
,
50 .
, , 75, 40,
. Moody's , :
, . . ,
.
, , ,
1.


, . .
WARF CCC.
,
.
CDO
. ,
.

, ,
,
CDO , . , , CDO
,
.

Harris Gus. Commonly Asked CDO Questions: Moodys Responds. Moodys Investor Service.
Structured Finance, Special Report . 23 , 2001 .

508

20. (CDO)

CDO . ,
( )
, .
(Roger Ibbotson), :
, .
90% . , ( , , ),
.
...1

, , :
? ,
, ?
, ,
( ). , , . ,
.
, ,
. , ! ,
,
. .
.
CDO. , REIT
. CDO, REIT ,
. , - ,
, ,
.
, , .
CDO,
.

(Roger Ibbotson). Style Conscious. Bloomberg Personal. / 2001 .

509

,
3, CDO . , , , ABS
CBO, CDO. ,
ABS, .
, :
1) , ;
2) CDO
.

21

. (Frank J. Jones),
,
,
Guardian Life Insurance Company of America

. (Frank J. Fabozzi),
, CFA ( ),
-

,
.
,
.
.

: , .

( )
,
, ,
, .
.
-, .
-,
, .. (
, ).
-, , (NAV),
, . ,
:
NAV =

, 10 $215 $15 .
NAV :
NAV =

$215 000 000 $15 000 000


= $20.
$10 000 000

-, NAV, ,
. , NAV
. NAV .
NAV NAV , NAV.
512

21.

,
NAV (, ,
NAV ).
, , , . , ,
$1 , , 10 000 . ,
NAV $100. , $5000
, $1000 .
, $5000 50 (
$100), 10 $1000 ( ,
$100). , 40. 10 040 , $1 004 000. NAV $100.
, , ,
, , NAV. ,
$2 . ,
2 NAV $200,
$5000 25 ($5000/$200), $1000
5 ($1000/$200). 10 020 (25 5), NAV $200, $2 004 000.
(, 10 020 $200 NAV $2 004 000 .)
, NAV
.

.
.



. .
. ,
.
, .

( ) .
.
, . , ,
, ,
.
513

NAV ,
. ,
. , NAV, , , , NAV, , .
.
,
. -,
, . -,
NAV . , ,
( ). ,

NAV, .
NAV ,
, , . , NAV , 1 (
).
, NAV. NAV
,

.
1940 . .
(IPO),
, , . , .
.
,
. , ,
. , 7,5% , , . 1

Bierman Harold, Swaminathan Jr. & Bhaskaran. Managing a Closed-End Investment Fund//
Journal of Portfolio Management (, 2000). . 49.

514

21.


,
.
(EFT),
22, ,
. ETF , , , , , NAV.
, ,
. .
.


,
. .
, ,
.
-, . ( )
, .

. , , ,
.
-, , 1.
-, ,
, ,
. ,
.
. 3,5 5,5%. , .
.
. ,
.

( ).
1

.
.

515




.
, .

, , .
. ,
( , .
. .). , . ,
.
.


.
, . , ,
. ,
.

.

, , ,
,
, . , ..
, .
( ), ,
, ,
.
, , , 1-800
. , .
,
. ,
, .
516

21.


. , . .
(front-end load), . /.
. ,
5% $100, $5
, $95 . , $95, $100 .
, NAV (..
$100 $95). $5
. , , .
.
, , ,
.
. $100,
$100.
NAV. .
, -
.
,
, . .
.
? . -, - , , . -,
, ,
.
(back-end load) (level
load). , . .
. , ,
NAV, ..
.
(CDSC).
. ,
517

CDSC 3, 3, 2, 2, 1, 1, 0 3%, 2% ..
.
(.. , ). (,
1%, ). . ,
(
fee-based-). , , , commission-based-.
: ( A), ( B) ( C).

1.

(NASD) 8,5%.
.
, , ( , ,
).
. , ,
4,5%, 3% $1 .
. , , .
$1 . ,
, ,
, ( , )2.

. , , ?
.

( )
, ,

. , .
1

ONeal Eward S. Mutual Fund Share Classes and Broker Incentives//Financial Analysts journal
(/ 1999). . 7687.
Inro Daniel C., Jaing Christine X., Ho Michael Y., Lee Wayne Y. Mutual Fund Performance: Does
Fund Size Matter?//Financial Analysts Journal (/ 1999). . 7487.

518

21.

, , , .
,
. . ,
, .

,
, .
1980 . (SEC) (
12b 1), ,
. 12b 1 .
12b 1 1%
. 12b 1 , 0,25% .
,
. 12b 1
, , , ,
. , 12b 1
, . ,
, ,
. 12b 1
, .
(1) ( ), (2)
( , . .), (3) (4) .
, .
, ,
.
Fidelity Magellan Fund, Vanguard S&P 500 Index Fund American
Income Fund ( 21.1). , . Fidelity Magellan Vanguard S&P 500 Index ,
12b 1. American Income Fund of America, , ,
12b 1. , , Vanguard
519

S&P 500 Index, . Fidelity Magellan


, .
21.1
, %
Fidelity:
Magellan

Vanguard:
S&P 500
Index

0,57

0,16

0,28

(12b 1)

0,00

0,00

0,24

0,18

0,02

0,07

0,75

0,18

0,59

American: Income
Fund of America-A

, , .
. 21.2 . Vanguard, , .
American, , ( A). Fidelity .
21.2
, %
Fidelity:
Magellan

Vanguard:
S&P 500
Index

American: Income
Fund of America-A

5,75

, , : (1) A ; (2)
B ( ) (3) C
.
. ,
, . 21.3. . .
, ,
.
520

21.
21.3

,
, %

A
B
C

0
*
0

0
0
1

4,5
0
0



( 12b 1)

0,9
0,9
0,9

0,00
0,75
0,75

0,15
0,15
0,15

1,05
1,8
1,8

* 3, 3, 2, 2, 1, 0.


1989 .
.
.


. . , 1. 1990- .
. - .



.
. , , .
, , . , , .
1

Reid Brian. The 1990s: A Decade of Expansion and Changes in the U.S. Mutual Fund Industry.
Investment Company Institute. . 15.

521


, ,
, ,
. , .

. ,
. ,
, .
.
, , .
.
NAV.
,
. .
, ,
, .




. , , ,
. . , ( )
( , ). . ( ) , S&P 500, Lehman
Brothers Aggregate Bond Morgan Stanley Capital International (,
). , ,
.
, .

1940 . (Investment Company
Act of 1940).
:
( , ) ;
( , );
522

21.

, , .
2000 .
:
$ 02 ;
$ 212 ;
$12 .
, / /,
, , , ,
. .
, (, ,
), ( ) (, ). ,
,
. ,
( ) .
, , (
, ), .
, (
), .
( ).
.
,
.
.
, , .
1990 1999 . 15 193, $383 .
. , 88% .
$357 .
,
. , . 1990 . 16
$1,4 . 1999 . 213,
$48 1.
1

Reid. 1990s: A Decade of Expansion and Changes in the U.S. Mutual Fund Industry. . 1415.

523

. Morningstar Lipper. , ,
. , (.. )
.


. , Morningstar, ,
, , Lipper. . 21.4. ,
Morningstar ,
. Morningstar,
( ) .
21.4
,
Morningstar Lipper
Morningstar

Lipper

LG

(Large Growth)

LG


(Large Cap Growth)

IV

(Large Value)

LV

(Large Cap Value)

LB

(Large Blend)

LC

(Large Cap Core)

MG

(Mid Cap Growth)

MG


(Mid Cap Growth)

MV

(Mid Cap Value)

MV

(Mid Cap Value)

(Mid Cap Blend)

MC

(Mid Cap Core)

XG

(Multi Cap Growth)

XC

(Multi Cap Core)

XV

(Multi Cap Value)

SG

(Small Growth)

SG


(Small Cap Growth)

SV

(Small Value)

SV

(Small Cap Value)

524

21.
. 21.4
Morningstar

Lipper

SB

(Small Blend)

SC

(Small Cap Core)

DH


(Domestic Hybrid)

EI

(Equity
Income)

BL

(Balanced)

IS


(Foreign Stock)

IL

() (International Stock)

WS

(World
Stock)

GL

(Global
Stock) (
)

IS


(Europe Stock)

EU

EM


(Diversified Emerging Mkt.)

EM


(Emerging Markets)

DP


(Diversified Pacific Asia)

PR

(Pacific Region)

PJ

,
(Pacific Asia ex-Japan)

JS

(Japan
Stock)

LS


(Latin America Stock)

LT


(Latin American)

IH

(International Hybrid)

SE

(Sector)

SQ

(Specialty
Equity)

ST

(Technology)

TK

- (Science & Technology)

SU

(Utilities)

UT

(Utility)

SI I

(Health)

HB

(Health & Biotech)

SC


(Communication)

SF


(Financial)
525


. 21.4
Morningstar

SN

-, -,

(Natural Resources)

SP

,
(Precious Metals)

SR

Lipper

NR

-, -, (Natural
Resources)

CS
(Short-Term Bond)

SB


(Short-Term Bond)

GS (Short
Government)

SU

(Short-Term U.S.)

GI

(Interm.
Government)

IG

(Intmdt U.S.Govt.)

CI


(Inter-Term Bond)

IB


(Intermediate Bond)

MT (Mortgage)
CL


(Long-Term Bond)

AB

(LongTerm Bond)

GL

(Long
Government)

LU

(Long-Term U.S.
Funds)

GT


(General U.S.
Taxable)

HC

(High-Yield Taxable)

WB

(World
Bond)

CV

(Convertibles)

UB

HY

(High-Yield Bond)

MO

(Multisector Bond)

IB

EB

(Emerging Bond)
526

21.
. 21.4
Morningstar

ML

MI

(Muni
National Interm)

SL


(Muni Single St. Long)

ST


(Muni Single St. Interm.)

MS


(Muni Single St. Short)

MY

(Muni New York Long)

MC


(Muni California
Long)

MN

(Muni New York Interm)

MF


(Muni California
Interm)

Lipper

GM


(General Muni Debt)

IM

(Intmdt. Muni Debt)

SM

(Short-Term Muni)

HM

(High-Yield Muni)

NM

(Insured Muni)

SS

(Muni Debt)

, .
527


, , , , . , ,
.

.
. ,
, .
,
, .
,
, ,
, , , , , , ,
, .
Fidelity, Vanguard American Funds, , .

. 1980 1999 . 123 433.
, , . , Fidelity Fidelity, Vanguard
..



(RIC)
, 90%
(
). .
, .
, .
, ( ).
528

21.

.
.
,
( ). , , .
.
. , ,
, .
,
. , ,
( ) .
. ,
.
, .
, , ,
( ),
, . .


,
.
1933 . (the Securities Act of 1933),
,
.
, . 1934 . (the
Securities Act of 1934) ,
,
. , , .
1940 . (Investment
Company Act of 1940)
100
(SEC). ,
, .

529

. 1940 .

. , .
-
1940 . ( SEC) NASD ( ), ,
.
, 1940 .
,
. (Registered Investment Advisors RIA).
, , 1940 ., 1933 1934 .
1940 .
1988 . SEC 1934 . .
() - 1988 .
, .
, .
1940 . ,
,
, . (RIC)
90%
. , ,
.
, , ,
. ,
, . , SEC NASD

, ,
. SEC
8,5%, 12b 1 , . 12b 1, SEC
1 1993 .,
8,5% , .
12b 1 1940 .
12b 1 .
530

21.

,
. 0,75% ( ). ( ),
.
0,25%. , 12b 1 1%. 12b 1,
, , 12b 1,
0,25% (
). , 12b 1 , .

1 1998 . ,
. SEC
, .
, , .
SEC,
, .
1. .

, . ,
( ).
2. ,
.
3.
.
4.
. , 80%
, (, ).
65%.
5. ( ), , , ,
, , .
6. ,
, .
7.
.
531


.
1. (
), , .
2. ,
1940 .
3. , (RIA)
1940 .
4. /,
1934 .
5. ( ,
) ( , ,
..).

. (,
) ,
( ), ( ) , . ,
.
. -
,
, ,
.
,
- , -.

. , , , . .



, , . .


, 1990- .
. 532

21.

. 1990- .
, , .
-

. . 1990 1999 .
23 18%.
77 82%.
,
63 58%.
, , 14 24%1.
.
, , . , 1990 . 62%
. 1999 . 43%.
,
, , ,
, , ,
, .
, 1990- . ,
, , , , , ,
. 1990 . 41%,
1999 . 65%.
.

1992 .
. , 1992 . Charles Schwab & Co.
OneSource. ,
.
-,
. .
1

Reid. The 1990s: A Decade of Expansion and Changes in the U.S. Mutual Fund Industry. . 1112.

533


, , , .
,
, , , (.. ).
, . ,
.
,
. .
. ,
, (best of the
breed).
, Schwab, . 1999 .
$500 .



. , .. .
,
.
. .
.
. 1999 .
$94 .


, , .

. ,
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534

21.



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181 , 1998 .
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109 .
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of Expansion and Changes in the U.S. Mutual Fund Industr.

535

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536

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, NAV.
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Street Global Advisors Barclays Global Investors.

537

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22

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1

ETF : . (Gary L.
Gastineau) Exchange-Traded Funds-An Introduction//The Journal of Portfolio Management (, 2001). . 8896.
: . (Gary L. Gastineau) The Exchange-Traded Funds Manual//New York:
John Wiley & Sons, 2002.

542

22.

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.
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544

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Where Are the Bugs?// The Journal of Business.

545

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546

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ETF, . : . (Fredman Albert J.). An Investor's Guide


to Analyzing Exchange-Traded Funds//AMI Journal, , 2001 . . 813.

547

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552

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554

22.

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556

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1

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(Fredman Albert J.). Sizing Up Mutual Fund Relatives: Low-Cost Alternative Investing//A All
Journal , , 2001. . 914.
,
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557

558


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(RIC)


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NA

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22.1

559

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562

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, , .: .
(Gastineau Gary L.). The Exchange-Traded Funds Manual. NY: John Wiley & Sons, 2002.

563


1
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.

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2011 .

23

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Galliard Capital Management

. (Karl P. Toorville),
Galliard Capital Management


1525
.
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. 23.1.
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1991 .
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1987

1990

1991

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1994

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1998

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. 23.2.

573

2000


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. . 23.1.
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115
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225

: (John Hancock),
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Stable Value Investment Association

, . ,
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574

23.

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, $

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Allstate
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Security Life of Denver
Jackson National
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2 100 000 000
1 779 327 411
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406 895 941
46 000 000
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State Street
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CDC Investment
Rabobank
Bank of America
Westdeutsche Landesbank

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10 300 000 000
8 000 000 000
7 600 000 000
7 286 000 000
5 800 000 000

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: Galliard Capital Management


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350
300
250
200
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100
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, 2002 ., . R12.

586

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591

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$500 000 $400, $5000.



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, 592

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593

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(surplus notes). 594

24.

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, , ( - ), .
, ,
, ,

.

,
, .
, , ,
.
.


c
, . ,
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. , , , (
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.
,
, ,
.
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. . , (
). , 595


.
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.


(Cash Value Whole Life Insurance
CVWLI) .
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,
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. .
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.
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.
. . . -,
, ,
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, .
596

24.

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.
.
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.

1.
+
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+ ()
+ ()
= ()
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(.. ).
.
. .

. (PUA).
.
.
, , . . ,
.
, ,
. .
.
( ).
, 1

, ( )
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597

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) . .
, .
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, . -, , ,
.

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). ( ),
.


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.
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.
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.
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.
.
. . , ,
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598

24.

( ).
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(.. / ). ,
. ( (Modified Endowment Contract MEC)1.
CVWLI , , , ,
, , .
. ,
,
.
, .
.
. . ,
, .
1986 . ,
. , , ( )
. ,
.
1988 . (
1988 . [Technical and Miscellaneous Revenue Act TAMRA])
.
.
, . ,
.

,
(MEC), . MEC
( MEC).
-, MEC (
), .. 1

,
. , ,
( ) .

599

, . .
. -,
59,5 MEC 10%- ( ,
).
,
, MEC. , (IRS) .
.
MEC ,
,
, . ,
$1000 ,
$1000. , ,
$2000, , ,
$7000. , MEC.
, MEC,
.
MEC,
. , MEC,
MEC.
MEC , MEC.
: 100.
: 20.
: 80.
1. , MEC
100 (.. ,
).
: ,
(.. ).
2. MEC
(80) .
(20), , .
MEC , MEC, . 24.4.
, MEC ,
. ,
MEC, ,
.
600

24.
24.4
MEC , MEC
,
MEC

.

.

MEC

.

.
( ).
( 10%- , 59,5 );
.
, ,



.
,
. 24.2. .


.
. , ( ) ( ). : , ,
. .
, .
, ,
.
601

, , , ,
, . . .
( CVWLI 34%.) ,
. .
: .
(.. ,

).
.
. , .
(
).
c ( [PUA]).
(
).

.
,
,
, . . , ,
.
,
.
. , ,
,
. .
,
602

24.

. . ,

.
. 1990- .,
, ,

, .

.
() () . ( ),
,
( ).
.

(unbundling) .
, ..
. ,
. ,
.
, . , ,
.
, , ( ),
(
). . 24.5.
, ..
.
24.5


603


.
.

. ,
, , , ( ) .
. ,
,
. ,
.
,
,
, . I 2000 . 46%, 33%, 21%.
.


. 24.6.
24.6
. ( )


; ,
;


;
;
;
;

604

24.
. 24.6

;
;

,

;

;
:
1)

;
2)


24.6 ()

(CV)

605


. 24.6

(CV)


; ;


, ;

. ,
.
.
.
.
, . . (Split dollar),

,
, -. ,

-. .

, . , ,
.
, : .
606

24.

, .
, .
. , , .
.
.
.
; .
.
. ,
,
( , ..).
. , ,
,
.
.
, . ,
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),
. , .
.
.
, , ,
.
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, . ,
.
( 59,5 ),
( 70,5 ). , , ,
.
.
607


, 1952 .,
. , .
.
, . ,
, .
, ,
. , , .
, . , . , ,
.
, . ,
(.. ). ,
.

. , ( , ),
, ,
, . , , , .
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.
, , ( ) ,

(, ).
. ,
, (,
, ).
, ,
.
, . ,
( ) . ,
,
, . ,
.
. -,
608

24.

59,5 , 10%- . -, (required minimum distribution rules RMD),


, 70,5 .
(IRS).
59,5 , 70,5 .

. . 1035
exchange IRS, .
,
(
) ,
. , .
,
, , , .
IRS , ? ,
,
. . , ,
, . , ,
$100. , $90.
$90, $100. .
(death
benefit DB), .
, ( stepped up DB); ,
( rising floor);
, ( earnings enhancement).

, .
,
, . 609

.

.
, , . ,
, M&E, . M&E
.
,
M&E .
.
, .
, .
, ( ), .

.
. .
, .. , ?
, , (
), . , 710 1.


, , ,
, .
( , , ) . .
.

(flexible premium deferred annuity FPDA)
(single premium deferred annuity SPDA). FPDA ,
. , (1

Variable Annuities and Mutual Fund Investments for Retirement Planning: a Statistical Comparison, Pricewaterhouse Coopers. 12 , 2000 .

610

24.

), .
. -, , . 34%.
-, ,
,
, ( ) .
, , 13%
. , , , .
.
, , ,
. , . ,
( ), .. .
,
.
, .. ( , ).
, , , .
, .
, , , .
, ,
.
(market value adjusted MVA), ,
.
. (, , .)


, MVA1.

. , , 1

. (Sondergeld Eric T.) Fixed Annuity Sales Hit Record $71.5 Billion in 2001//
National Underwriter, 18 , 2002 . . 12.

611

. , ..
. ,
$100 5%- $5,
$95 .

.
. (CDSC), .
, . , CDSC
7%/6%/5%/4%/3%/2%/1%/0%,
7%,
6%, 5% ..
.
, , (, 1%).
.
. .

(guaranteed investment contract


GIC) , . GIC . GIC


. GIC. ,
GIC $10 ,
10%, . ,
. , ,
, , ,
.
GIC 1 20 .
.
.
.
612

24.

GIC , .
, . GIC
, . ,
.
GIC,
. Mutual Benefit ( , -)
Executive Life ( ). 1991 .
,
, .
( ) , . ,
, .
, ,
, ,
.

SPDA GIC
SPDA ( ) GIC . , $1 5
r%, 5 , (l + r)5.
. SPDA ,
( ). SPDA , ,
( ). GIC . ,
. GIC ( ),
. SPDA . ,
SPDA.
SPDA GIC , SPDA
, , , 7%/6%/5%/4%/3%/2%/1%/0%, .
, SPDA , 4%. GIC
613

, .
SPDA , .. ,
, ,
. , SPDA 5
.
. SPDA . , SPDA
5 3
, 4%. GIC , ..
.
GIC .
SPDA 1 . SPDA
(, 90 95 ), .
, SPDA ,
, GIC .
GIC SPDA 1, 3, 5 7 .

, ( ) , . ,
, . , ..
.
, . ,
( 1%) 1. , ,
, . , . .
.
, , .
, . , -
, . ,
.
1

(MacPherson Art Plotnick Lisa). VA Owners Don't


Annuitize, But Do Flock to Systematic Withdrawal Plans//National Underwriter, 14 ,
2002 ./ C. 1718.

614

24.

.
.
( /
).
, , (systematic withdrawal plan SWP).
SWP. , . (
). ,
. SWP
. ,
, SWP
.
, , , , ,

.

. .
, , .
, , .
.

. , ,
.
, , . . , ,
.
, .
, .
615


. . (
) (
).
/
. .

.
, .

.

25

. . (Mark J. P. Anson),
CFA, , CPA, Esq.,

(CalPERS)

- .
1933 ., 1934 .
1940 .,
1940 .,
, , .
,
?
() (American
Heritage Dictionary, 3 .), -:
, ,
, , .

, , -,
, , ,
,
1940 .1
, -, ,
,
.
- .
,
,
, , .

,
- .
-, - , . ,
- SEC CFTC, ,
. SEC - 100 .
. , $5 .
- . -
,
. ,
1

- ,
, . 1996 .
-,
.

618

25. -

- .

. -
, , , .
-, - , .
- ,
- , . ,
. .
, , , .
,
- .
.
, .
-, - , . , , ,
, .
,
.
-, - , .
( ) - .
- . , - / .
,
.
, -, - , , .
33% . - .
, -
, 10 .
, -
. -.
619

-
- ,
.. , . , , . , - .

1933 .
1933 . ( 1933 .)
. 1929 .
. 1933 . .
(SEC) .
,
1933 . . ,
,
1933 .. D.
506 D, -
( ) 35
.

1940 .
1940 . ( )
.
. ,
SEC.
3() :
... , ,
,
.

,
-. -
, . -
,
( 8 ),
.
620

25. -

,
-.
3()(1)
( , ) ,
100. - . -,
, 100
.
1996 . 3() 7.
, SEC .
, ,
3()(7). 3()(7) ,
(.. , $5 )
.

-
- , .
, ,
.
. -
(exposure to market ). , / , .
- , . -
. -, .
.

/
, ,
/. ,
.. ,
. , ,
,
. . ,
621

19961999 .
. 2000 . , , ,
.
-, 2000 . 100%-

20%- . S&P Tobacco 0,5, 1,5. -

1,0 0,5+ (0,20 1,5) = 0,20.
- ( ) , . - 1, , ( )
, , , S&P 500.
()
- . 1:
6% + 0,20 (9,5% 6%) = 2,9%.
2000 . S&P Tobacco 98%, 31%. , - 2000 . :
1,0 98% + (0,20) (31%) = 104,20%.
, .
.
-, ,
.
, ,
, -
.
-, ,
. 80% (
). , - 0,2. , - .
. - :
1

:
E ( ) = + -
( ).
2000 . , S&P 500, 9,5%, 6%.

622

25. -

.
CAPM . - . - ,
. ( ), (, -),
-.
- / . - / , ,
. - , ,
-.
,
,
. , .
- / , , . ,
- ( ) ( ).
, - / . .
- .
. , , , ( / )
,
. .
,
.
, ,
.
. ,
, . . ,
.
- , .
623


.
- ,
. , .
$1000
- / S&P 500 (. 25.1). Hedge Fund Research,
Inc. (HFRI) , 1100 -1.
1990 2000 . ,
.

$1000

9000
8000
7000
6000
5000
4000
S&P500

3000
2000
1000
1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

. 25.1. HFRI /


- (global macro), ,
. - , ,
.
, - .
- . - , ,
. , . - .

. 1

HFRI . www.hfr.com.

624

25. -

. , . , -
, ,
.
- - Quantum
. ,
1992 ., ( ). , 1997 .,

, ,
- .
1. ,
1998 . 2000 ., .
.
, -
-. , , ,
. , -
. , .
- ,
.
- S&P 500
1990 2000 . (. 25.2). -
.
7000

$1000

6000
5000
4000

S&P500

3000
2000
1000
1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

. 25.2. HFRI

.: The New York Times, 6 2000 .

625

2000


- (short selling)
. :
.
-
. - /
. -
, .
,
.
,
, .

. , : 19901991 .
1994 . 1990- .
.
, , . , -, ,

.
- S&P
1990 2000 . . 25.3. , -
S&P 500.
6000

$1000

5000
4000

S&P500
3000
2000
1000

1990

1991

1992

1993

1994

1995

1996

1997

1998

. 25.3. HFRI

626

1999

2000

25. -


-
.
.
.
, A
B
. . ,
. , , .
-
, . . , ,
. , ,
. , .
,
, . , ,
, . , -,
.
, ,
. ,
. ,
,
. ,
, .
-.
, ,
, , .
, . , ,
, .
-
.
627

. - . ,
.
- ,
.
. -
10 $1000, 7,5%
$900. 20. ($45)
. - ( ) 0,5. , ,
- :
10 20
0,5 = 100 .
, - 10 100 . 7,5%.
, -
.
(short rebate). -, ()1. ,
4,5%. , -
,
, .
, , , . , $47, $920.
- ,
:
10 ($920 $ 900)

100 ($45 $47)

10 $1000 7,5%

100 $45 4,5%

= $200;
= $200;
= $750;
= $202,50;
$952,50.

- 10 , :
$952,5 $9000 = 10,58%.
1

- .
, , -
.

628

25. -

, - , $4500 $4500 .

6%.
:
10 ($20 $900) =$200;

100 ($47 $45) = $200;

10 $1000 7,5% = $ 750;

100 $45 4,5% = $202,5;



6% $4500
= $270

$ 682,5
:
$682,5 $4500 = 15,17%.
, , ,
.
,
, 2 : 1, 500 . , -
. .
, , ,
, , , .
, , ,
.
,
, , , .
2, 6 .
, , .
.
, ,
. (). , ,
( ).

. .
. 25.4
S&P 500. ,
.
629


6000

$1000

5000

S&P500

4000
3000
2000
1000

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

. 25.4. HFRI



(fixed-income
arbitrage) . . ,
,
.
, ,
. ,
.
- . .
. ,
. ,
.
.
($25),
.
, . ,
630

25. -

-.

. ,
.

, - . (yield curve arbitrage).

.

2000 . (. 25.5). , 3 5 .
,
( )
.
.
0,064
0,063

0,062
0,061
0,060
0,059
0,058
0,00

2,00

4,00

6,00

8,00

10,00

12,00

. 25.5 2000 .

,
2 . . ,

. . , 35
. ,
.

2 3 .
, , , ,
, .. .
631

, . . , , . ,
-
, . ,
. . -
. , .
(MBS). MBS
.
, MBS . - MBS
MBS .
MBS
. , MBS
.

MBS. MBS ,
MBS .
,
, , .
. MBS
.
MBS , ,
. , MBS , MBS
.
MBS .
- MBS
MBS (OAS). MBS, , . MBS,
, . OAS
MBS
. , MBS
.
MBS OAS ( ) ,
.
, , , . - MBS
632

25. -

.
MBS OAS.
MBS . , , , , ( MBS) .
, , MBS, ,
, , , , .
,
.
, . , ,
,
.

(. 25.6).
6000

$1000

5000
4000
3000
2000

S&P500

1000

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

. 25.6. HFRI


(merger arbitrage), ,
-.
, -.

.
. ; 633

, .
.
,
. , , . , , , .
- . .
.
, ,
, , ,
-
.
, ,
. , , .
. , .
.
Tellabs Ciena,
1998 .
Ciena
.

. Tellabs . , .
3 1998 . Tellabs Ciena
, .. Tellabs
Ciena. , , Lucent Technologies. ,
.
Tellabs $66, Ciena's $57.
Tellabs $64, Ciena, , $60.
- $4, . - :
1000 Tellabs $64
1000 Ciena $ 60 .
, .
Ciena 634

25. -

, III .
Ciena $15 . .
Ciena Tellabs,
, Ciena
. , Tellabs $42.
- , ..
1000 Tellabs $42
1000 Ciena $15 .
- :
Tellabs
1000 ($64 $42) = $22 000;
Ciena
1000 ($15 $60) = $45 000;
Tellabs
4,5% 1000 $64 (110/360) = $880
:
$22 120.
:
$22 120 $60 000 = 36,87%
, -
, Ciena.
:
Tellabs
1000 ($64 $42) = $22 000;
Ciena
1000 ($15 $60) = $45 000;
Tellabs
4,5% 1000 $64 (110/360) = $880;

6% 500 $60 (110/360) = $550


:
$22 670.
:
$22 670 $30 000 = 75,57%.
, 247%.
, .
. ,
. , Long-Term Capital Management Tellabs Ciena
$4 .
.
-
. , . ,
( , ).
635

, - ,
. ,
.
.
,
, .
. ,
. . 25.7. , .
6000

$1000

5000

S&P500

4000
3000
2000
1000

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

. 25.7. HFRI


, -, , .
.
Long-Term Capital Management (LTCM). ,
, , ,
(
stub trading), .

, ..
636

25. -

, .
.
- .
, ,
,
. .
.
.
. , , .
, , , . , ..
. - ,
.
.
, . stub trading (volatility arbitrage).
Stub trading . , ,
.
, $50. ,
$40. ,
, $45 ,
B, $8 . ,
. $53, $50 .
A
.
, 20% .
. .
:
(4 $50 = $200)
(1 $40 = $40).

. ,
$42 , 637

($45 ).
. :

4 $45
= $180;

4 $42 20%
= $33,6;
1 ($40 $42)
= $ 2;

B
1 $40 4,5% 3/12 = $0,45.
:
= $212,05.
$200 $12,05, 6,02%. ,
$30,
. :

4 $45
= $180;

4 $30 20 %
= $24;
1 ($40 $ 30)
= $10;

B
1 $40 4,5% 3/12 = $0,045.
:
= $214,45.
$200
$14,45, 7,22%. stub trading ,
.

. . , , , .
,
.
, , .
. . ,

, , , . -
.
, , ,
.
S&P 500 (. 25.8). .
638

25. -
6000

$1000

5000
4000
3000
2000

S&P500

1000

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

. 25.8 HFRI


-, (event-driven hedge funds),
. , , ,
, , .
. ,
, , , . ,
, ,
. ,
6000

$1000

5000
4000
3000
2000

S&P500

1000

1990

1991

1992

1993

1994

1995

1996

1997

1998

. 25.9. HFRI -

639

1999

2000

. .

, ,
. , . 25.9,
S&P 500. , 1990- . .


,
.
. -
-.
. ,
, .
, . .
- -
-1. , , -. ,
/ , : .
. , - ()
, .
, -.
- -
. , .. , .
- ,
. , ,
, . ,
.
, -
. 1

. (Jacobs Bruce and Levy Kenneth). The Law of One Alpha//


The Journal of Portfolio Management, , 1995 .

640

25. -

, . , , , ,
, ,
, - . , - , .
- . , , .
, /
. . , - /
, -
.
. -. , .
-
, . , .
, . -
, ,
. , .

.

- . -
.
, , /
/ . ,
,
.

. ,
. . .
, . ,
- , ,
.
641

, , - (
). . 25.10.
6000

$1000

5000

S&P500

4000
3000
2000
1000

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

. 25.10. HFRI


-, ,
,
,
. ,
,
, .
/ , -, -.
- .
- , , , .
, ,
,
, , ,
, , ,
, , /
.

(GDP) . , , 642

25. -

, , .
,
- . .
.

. , , , . , ,
.

, , . ,
,
. - .
, .. , -
.
-, , ,
. -
:
.
,
. , ,
.
. 25.11.
6000

$1000

5000
4000
3000
2000

S&P500
1000

1990

1991

1992

1993

1994

1995

1996

1997

. 25.11. HFRI

643

1998

1999

2000


-
?
- . - , .. .
-. -, 1989 2000 . - . -,
, - . - S&P 500.
, -, , S&P 500,
-.
-, , - . ,
. S&P 500 0,7 - 0,83 -,
.
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. .
. .
, , ,
.
. . .
.
. , .
, , .



. .
, .
, , , .
-, , , .
, .
-, .
. ,
-, .
703

-
, .
, , , . ,
, .
.
.
, .

. , ,
.
- .
. ,
.
.
.
20% . , 2001 . 1520% 80
1.



.
, - .
, ,
, .


LBO.

.
, , .

. : . (Atlas Riva D.). Company in Trouble? They're Waiting//New York


Times, 21 2001 .

704

26.


LBO ,
.
. , , ,
,
.



2001 . Loews Cineplex Entertainment Corp., , . Oaktree Capital
Management, LLC Onex Corporation Loews Cineplex
. , , 11 .
, $250 $180
Onex Oaktree 88% . , , 12% 1.

. ,
98% .
Onex Oaktree
Loews . , , Loews . Loews,
Sony (40% ) Vivendi Universal SA (26%)
Loews. Loews .


.
.
. ,
.

Oaktree Capital 60% Loews.

705


- , .
,
-.
. -
, .
. , , , .
, , , .
, . ,
-
, .


.
. , , . , .
,
.
, .
, . , , . ,
, , .
.
, -.
,
.
, .
.
, .
.
. .
, .

27

- (Susan Hudson-Wilson),
,
Property & Portfolio Research, LL

. ( ),
(
)1. $10 . $10 $34 , , , , .
, , ,
, , .
.
:
, , - , ,
;
, , , , , - ;
, , , ;
, , , ,
, .

:
,
;
,
, / ;
, REIT (REOC);
, (CMBS).

. . 27.1. ,
20 . 1

(Fisher Jeffrey), - (Hudson-Wilson Susan)


(Wurtzebach Charles). Equilibrium in Space and Capital Markets//The Journal of
Portfolio Management (, 1993). . 101107.

708

27.
$3

CMBS


100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
82

83

84

85

86

87

88

89

90

91

92

93

94

95

96

97

98

99

00

01

. 27.1. 1982 2001 .

.
. 1990- .,
,
. , .
,
.
. 1990- . ,
.



, . ,
. .
709

/

. , , . ,
, ,
.
, :
, . , , .. ,

; , ,
. - , , . ,
/ ,
, . , . , ,
.
, ,
, ,
, ,
, .
, ,
. ,
, , . .
, . ( ,
) . CMBS
.

()
.
, , .


,
c
, 710

27.

.
.
, , . ,
, . ,

. .

/

, ,
. , , , . ,

.


?
, . ,
,
, , ,
1990- . ,

. , 10%-
, ,

4%.
.
.
, ,
.
,
, .
711



1 . 27.1.
27.1
,
1982:12000:3, %
1982:12001:3

CMBS

5,3

8,3

7,2

15,9

7,6

11,4

7,0

13,7

: PPR; Giliberto-Levy; NAREIT



PPR (Property & Portfolio Research, Inc.) (PPR
,
. . .),
,
.

CMBS PPR, CMBS
,
, ,
. CMBS, , Lehman Brothers,
, .


. 7,6% 5,3%
. ?
, , ,
1

712

27.

. ,
, .
, :
? , ,
, ? ,
,
, ,
.
,
.
. 1980- .
,

. . -,
, , . ,
, , , ,
.

.
. , , . ,
,
, .
, , ,
. , ,
, ,
, . ,
, ,
.
. . .
. 27.2
, ,
PPR (NCREIF). 1970- . 1989 .
713

. 27.2. NCREIF

: NCREIF.
, 6%. , 6%. 1990- .
,
60%. ,
(, , -
).
, - . 2001 . ,
.


,
,
. (, ) (REIT) (REOC). REOC ,
. REIT .
, REIT , . REIT
,
.
REIT . , REIT 90% .
714

27.

2000 . REIT ,
, , REIT
, . . REIT
, .. .
REIT , ()
. (National Association of Real Estate
Equity Trusts NAREIT) 13,7%, 15,9%.
, REIT
. REIT .
. 27.3. REIT
50% 20% ( , ).

. 27.3. NAREIT

: NAREIT
, , ,
(. . 27.4). .
. , . , 1, ,
1

(Giliberto Michael) (Mengden Anne). REITs and Real Estate:


Two Markets Reexamined// Real Estate Finance (, 1996). . 5660.

715

. 27.4. REIT

: NAREIT

, . () , . , .
? , REIT
? , REIT
, ?
, REIT .
REIT S&P 500
. . 27.5.
, REIT
1980- . 1980- .
. REIT .
, REIT ? ,
. , , , , ,
; .
, . , 2000- .,
,
, .

716

27.

1,0%
0,8%
0,6%
0,4%
0,2%
0,0%
-0,2%
1979

1981

1983

1985

1987

1989

1991

1993

1995

1997

1999

. 27.5. 5- :
S&P 500 NAREIT, 1979:42001:3

, . , , , , .



, ,
, , ,
.
,
. , , , .
; , .

. , -
- , . 1980- 1990- . -
,
(Resolution Trust Corporation RTC).
717

RTC
, .
.
ACLI 1980- .,
, , , , ( ,
).
, . 2001 .
.
, . 27.6. 6%, 2001 . . ,
,
.
(Snyderman)1 ,
.

8%

6%

4%

2%

0%
1960 1963 1966 1969 1972 1975 1978 1981 1984 1987 1990 1993 1996 1999

1994 1995 1995 1996 1996 1997 1997 1998 1998 1999 1999 2000 2000 2001

. 27.6.
ACLI

: ACLI (American Council of Life Insurers)


1

(Snyderman Mark), (Esaki Howard)


(L'Heureux Steven). Commercial Mortgage Defaults: An Update//Real Estate Finance (,
1999).

718

27.

, (Pappadopoulos)1,
, ,
, ,

.

,
(CMBS)
,
, CMBS.
RTC, .
RTC.
1990- . ,
- . ,
, , . RTC
. .
, , .
CMBS,
$510 $90 .
, . :
, -, . ,
. , REIT. REIT
,
CMBS ,
, , . MBS .
CMBS
: ,
. , , B 900 , AAA 150. , 1998 . ,
.
, 1

(Pappadopoulos George). Benchmarking the Probability of Default for


Commercial Real Estate Mortgages//RMA Journal (, 2001).

719

.
.
ACLI ,
CMBS 1. , ,
CMBS, . ,
, CMBS. ,
.
CMBS .
, .
( , ) , ,
, , .
,
CMBS
/. ,
, .



,
:
, - ;
;
;
, ( -
);
.
, . 20 , . ,
,
,
(. . 27.7). ,
, 1

. The Impact of Recession on CRE Debt//RMA Journal (, 2001).


. 56.

720

27.
0,35
0,30
0,25
0,20
0,15
0,10
0,05
0,00
1982 1984 1986 1988 1990 1992 1994 1996 1998 2000

. 27.7 PPR (PPR REI), 1982:12001:3

: PPR
, (
0,6).
.

/
(PPR REI),
, , . Lehman Corporate/Government,
S&P 500, . , (
1987:1 2001:3), . 27.2,
. 27.8.
27.2

, 1987:12001:3

PPR REI

1987:12001:3

PPR REI

7,5%

3,8%

1,000

15,4%

16,1%

0,395

1,000

7,7%

5,4%

0,763

0,311

1,000

5,4%

1,6%

0,487

0,031

0,481

721

1,000

18%

16%
14%
12%
10%
8%
6%
4%
2%
0%
0%

2%

4%

12%
6%
8%
10%

14%

16%

4%

16%

10%

64%

18%

10%

36%

60%

. 27.8.
, 1987:12000:3

: PPR
, , .
. , , , , . , , -
, ,
, . ,
, .
16%
. .
722

27.



/ . . 27.2 ,
15 .
, , . 5,4% (
), (. . 27.3).
27.3
,
1987:12001:3
, %

PPR REI

7,5
15,4
7,7

, %

3,8
16,1
5,4

1,97
0,96
1,43

0,56
0,62
0,44

: PPR
,
, . ,
, ,
.

- ? , ,
( 2000 2001 .).
? , ,
, ,
.

? ,
, .
, , , .
:
.
,
.
723


,
. ,
, .
, . . -
.
, . .
, .

, , , ,
. , (NOI)
: ,
, ( ),
. , NOI, NOI,
, , , . NOI
. NOI
. .
.
NOI
, . ,
NOI,
,
.
NOI, (
) , .
(
), .
. , NOI ( ),
.
. , , NOI , ,
. , .
724

27.

, ,
. ,
.
, , ( CMBS).
, ,
, , , -
, . , , , , .




, . , , ,
. , , , , .
, , ,
. Flow of Funds
,
(,
),
6% . ,
, , .

. 9%,
, 3%,
8%. ,
.
725


,
, . -
, .


/ . , , . , ,
,
-
, .
, , .

, . , , , ,
, - .
,
(
).
. ,
- .


.
,
.
, 16%
, . ,
,
(. . 27.8),
.

.
, , , ,
726

27.


.

, .
, .
,
,
, . , ,
,
. , , ,
.



, .
. , .
, .
,
,
(, ).

.
, . ,
. .
, .

.


, . , , , .
.
727

, , ,
.
,
.
.
- . ,
. ,
.
, ,
. ,
() .
:
;
;
;
;
;
.
.
, , . ,
,
.
. , , , ,
.
, , . .
.
, .
.
, , .
,
, , . -,

. -,
, .

: - , 728

27.

, ( )?
, , ,
, .
, ? , ,
. , (
REIT) .
, , ,
, ? , .
, .
, , , , , ,
, ,
.
, , . -
, .

, , .


, :

/
, .
, REIT, REIT.
(
), .
, , , , ,
. , ,
.
-
,
, .
,
729

, ( REIT)
. ,
,
, .
,
. , .
, , , ,
. REIT
,
, . CMBS
.
,
, . , .


-
, .

, , .

REIT. , .

: , .
, , , , .
,
,
. ,
, .
, ,
- . , , 730

27.

. .
, . ,

.
, . ,
,
. .



. , .
(NCREIF)
. (CMSA) Lehman
Brothers CMBS.
, (NAREIT), REIT. John B. Levy Company
.
, , ,
.

,
, . . ,
.
- ,
, .
,
, -
( ).

/
, . .
731

: ,
? :
, ,
? , : , ?
/ , . , , :
?
, , . , ,
, .

, .
, , ;
;
, , .
. ,
, .
.

, . , ,

.

28

. (Bruce M. Collins),
,
QuantCast

. (Frank J. Fabozzi),
, ,
-

, , (derivatives)
,
, , , , ,
, .
, .
,
. , ,
, 29.


,
, .
: (1)
( ); (2)
( ); (3) , ( ), (4)
, ( ).

. , ,
,
.
.
.
,
, .
. , , .
.
1980-
.
, , ,
.
,

/.
.
734

28.


: (1)
, (2) (3) . / .

, , .

, .
, .
-, , ,
, . 1993 .
(Chicago Board Options Exchange)
FLEX ( ), , .
.
, ,
.
:
;
.
, ,
. -. , .

, ,
, . ,
.


(.. )
. .
, ,
.
- , . ,
.
, . , , .
735

,
, , . . , . ,
.
,
. . . .
,
100
.
. FLEX : , -,
. .
.
, . .


. -,
- . -,

. (Options Clearing Corporation OCC)
. ,
, .
, , .
, ,
.
,
.
.
. , , , -,
, .
,
, ,
,
.
: (1) , (2) - (3)
. ,
.
736

28.

.
,
,
. () ,
, . .


. 28.1.
,
. ,
, -, , , .
28.1

ADR

: 100 ADR

21/2 - $5 $25, 10
- $200. - , ..

100

,
.

$13 1/8

25 000 ( , ..)
;
20 000, 10 500, 7500 4500 ( , ..)
.
737


. 28.1

5 . 10
.

$13 1/8

150 000 , 100 000 ,

LEAP

LEAP

: 100 ADR:

: , .
: .
Vs 1/5 -

: 100 ADR:

39 ,

$13 1/8

FLEX

: E-FLEX.
: FLEX
738

28.
. 28.1

: 100 ADR:

: , , .
: ,

: 100 .
:

: .
: ,

: 1 3 .
: 5

$13 Va

: 250 FLEX.
: $10 FLEX .

(American Depository Receipts


ADR). 100 .
; ..
.
, , .
,
. , , ,
, .. , , .
. , ,
.
.
S&P
100 (OEX) S&P 500. CBOE. .
S&P 500 , OEX .
. .
100 , 739

26 20 .
Dow Jones STOXX 50 Dow Jones EURO 50.
50 ,
.
.
, .
:
=
= .
, S&P 100 530,
S&P 100 530 $100 = $53 000.
,
, -. - , . -
. , - 510,
$51 000 (510 $100). S&P 100
- 510 , 530,
$51 000,
$53 000. $2000
.
, . 28.1, LEAPS
FLEX, , , ,
. ,
. (Long-Term Equity Anticipation Securities LEAPS) .
, . LEAPS
, 39
. LEAPS
, 10, 100.
FLEX . FLEX ,
: ,
-, . , , . FLEX
. FLEX
, , ,
.
FLEX .
740

28.


( ), ( ), (
) ( ). . ,
.
, 1 , 100,
.


, XYZ
- $100. $3. ,
, -, XYZ $100. (-
.) XYZ
. ,
-. XYZ $103,
, . ,
, $103.
/ . 28.1.


+3
103
0

XYZ

100

. 28.1. /


, XYZ. ,
, XYZ . , XYZ, $1
741

$1 XYZ. XYZ ,
. $3,
XYZ $3.
, , $3, , $3 ,
XYZ. : ? ,
.
,
,
. /
(.. )
( ).
, XYZ
, . ,
, ,
. ,
XYZ ; .
/ . 28.1.

XYZ $100. , $2, -
XYZ $100.
XYZ.
. / . 28.2.
, . : XYZ .


+2
98
0

XYZ

100

. 28.2. /

742

28.

.
,
, XYZ .
, / ,
XYZ. XYZ,
. , ,
,
,
( ),
, .
. ,
, . ;
, , - ,
. /
. 28.2.


, ,
.


.
.

. ,
. ,
- (.. ) -.
.
- - , . , -
$100, - $105,
$5. , ,
, $105 ,
$100,
$5.
,
(in the money ITM), . -
- ,
(out of the money OTM), ;
743

. , - -
, . , , . - $100 (1) , -
$100, (2) , -
$100, (3) , - $100.
, -. , -
$100, - $92,
$8. ,
, $8 , $100,
$92. , -
- .
- $100 (1) , -
$100, (2) , -
$100, (3) , - $100.
, . ,
, . . , - $100 $9 $105, $4 ($9 $5). $90,
$105, $9,
. ,
.

: , .
, $5
($4 ). , , ,
. ,
,

, .

,
:
1) - ;
2) - ;
3) ;
744

28.

4)
;
5) ;
6)
.
, (1)
(2) .
. 28.2.
28.2
,

-
-

, .
, (
) ,
. , ,
, .


. , 1973 .
(Fischer Black) (Myron Scholes) 1. .
,
.
,
( ) . ,
1

(Black Fischer) (Scholes Myron). The Pricing of Corporate


Liabilities// Political Economy (, 1973). . 637659.

745

, ,
, (1) (2) ,
( ) .
:
C = SN (d1 ) Xe r t N (d2 )

d1 =

ln(S / K ) + (r + 0,5s 2 )t
s t

In
C

S

K -
r

e
2,718 ( 1)
t
( )
s

N(.) 1

, , .
. ,
. -
, . -, ,
.
.

,
. , ,
. , ..
, .
. , ,
, ,
.
1

N(.) ,
. , .

746

28.

:
-
$45;

183 ;
-
$47;

= = 25%;

10%.
:
S 47;
K 45;
t
0,5 (183 /365, );
s
0,25;
r
0,10.
,
d1 =

ln(47 / 45) + [0,10 + 0,5(0, 25)2 ]0,5


0, 25 0,5

d2 = 0, 6172 0, 25 0,5 = 0, 4404.


:
N(0,6172) = 0,7315 N(0,4404) = 0,6702.
:
C = 47 (0,7315) 45 (e(0,10) (0,5)) (0,6702) = $5,69.
, , (1) , (2)
(3) . 28.3. , , : (1) () , () ; (2)
() , () (3)
() , () .
. 28.2
.
28.3


:
- $45;
183 ;
$47;
= = 25%;
10%.
747

,

, %

15
20
25 ( )
30
35
40

4,69
5,16
5,69
6,25
6,83
7,42

,

, %

7
8
9
10 ( )
11
12
13

5,27
5,41
5,55
5,69
5,83
5,98
6,13

,

,

30
60
91
183 ( )
273

2,82
3,52
4,14
5,69
7,00

?
- , . .
,
- .


, , ,
748

28.

. , .


, ,
, .
.
$11.
:
=

, 0,4 , $1
$0,40. ( ) 1 (
). (
) 0,5.




, .
, .

. .
:
=

, (.. ), ,
.
,
.
.

, .
, .

749



. ( )
1%. :
=

1%


,
,
.
, . , ,
, ,
.

, , , , . ,

.
,
. , , .
, ,
,
, . , . .
.
,

.
, .
, , . ,
, . ,
.
( )
. , , ( )
750

28.

.
.
. ,

.
. ,
. , .
,
.
,
. .
.
.


:
( ) , .
, . .
, . .
.
.
/ .
, . ,
, , .
, ,
. , , . .
, .
, .
. , , .


,
.
, .
751

, , . ,
S&P 500 1100,
S&P 500 500 , . 500.
, .
$275 000 (1100 250).
- 500 , ,
.
-, , . ,
-, .
, ,
. 28.4.
28.4
,

Standard & Poors 500

500 ,

CME

$250

Standard & Poors


400 ,

CME

$500

Russell 2000

2000 ,

CME

$500

Nikkei 225

225 ,

CME

$5

20 ,

CME

$500

S&P 500/
BARRA

100+ ,

CME

$250

Standard & Poors BARRA


Value

300+ ,

CME

$250

NASDAQ 100

100 ,

CME

$100

IPC

35 ,

CME

$25

NYSE

2600+ ,

NYFE

$500

752

28.


-
(cost of carry). , .
- .
.
,
. , , , .
.
.

, . , .
, .
.
. ,
, .. , . :
= - +
+ .
,
, .
, , . ,
. , , ,
.
,
.

-,
,
, :
F(t, T) = [S(t) D] [1+ R(t, T)],
F(t,T) t ,
T;
S(t)
-;
D
,
;
R(t,T) , .
753

, S&P 500 1175,


6%, 60 , 2,071%. 2,071%
4 S&P 500 1175:
1175 [0.02071 (60/365)] = 4 .
:
D = 4/(1 + 0,06)60/365 = 3,96;
R = (1 + 0,06)60/365 1 = 0,009624, 0,9624%;
F{t, 60) = [1175 3,96] 1,009624 = 1182,31.
1182,31, . , .
.
, , , 1188,
:
1188;
, 1175;
, , 1175.
60 . -. ,
- 1175. :
4 ;

1175;
1186,31 (1175 1,009624) (
60 0,9624%).
[1188 + 4] 1186,31 = 5,69. , 5,69 48 (5,69/1175)
- .
, .
, . ,
. 1188 1175, 13 .

. 11,31,
: 13 () + 4 () 11,31 ,
5,69. , , -
754

28.

. , , . 28.5. ,
- .
28.5

1200

1188 1200 = 12

1190

25 + 4 = 29

11,31

5,69

1188 1190 = 2

15 + 4 = 19

11,31

5,69

1188

1188 1188 = 0

13 + 4 = 17

11,31

5,69

1180

1188 1180 = 8

5+4=9

11,31

5,69

1175

1188 1175 = 13

0+4=4

11,31

5,69

1160

1188 1160 = 28

15 + 4 = -11

11,31

5,69

* 1188.

**


1200

1200 1180 = 20

25 4 = 29

11,31

2,31

1190

1190 1180 = 10

15 4 = 19

11,31

2,31

1188

1188 1180 = 8

13 4 = 17

11,31

2,31

1180

1180 1180 = 0

5 4 = 9

11,31

2,31

1175

1175 1180 = 5

0 4 = 4

11,31

2,31

1160

1160 1180 = 20

15 4 = 11

11,31

2,31

** 1180.

, . , ,

. , , , 1180,
:
755

1180;
1175 ;
6%.
. -.
. . 28.5
.
:
;
4 ;
(
0,9624%).
20 (2,31/ 1175)
2,31 - .
, .
,
.
.
,
.
, .
.
:
F(t,T) = S(t) [1 + R(t,T) Y(t,T)]

Y(t,T)
,
F(t,T), S(t) R(t,T) , .

, 1175, 6%,
60 , 1,38%,
:
Y = (1 + 0,0138)60/365 1 = 0,002256, 0,2256%;
R = (1 + 0,06)60/365 1 = 0,009624, 0,9624%;
V(t,60) = 1175 [1 + (0,009624 0,002256] = 1183,66.
, .
, , . ,
.
, ,
756

28.

. .
, , . ,
.
, . ,
, - .
.
, ,

. - , , ,
, .
.
, , .
. .
, .

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.
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.




.
,
.
/
.
, .
757


: , ,
. ,
, .
, .
,
, , ,
.
, ,
.
, .
, .
. , ,
,
. .
, ,
, ,
(Derivatives Product Companies DPC).
()
- ,
, . .

. .

, .
, . ,
DPC
, .


.
. .
758

28.


,
, . , , : -, , ,
( ) .
. , -
; ;
; ;
,
; , .
, , . , .
, -
. . .

,
. ,
. - ,

.
. ,

.


, ,
. ,
1. -

10 : Collins Bruce M.
Fabozzi Frank J. Derivatives and Equity Portfolio Management. New Hope, PA: Frank J. Fabozzi
Associates, 1999.

759

,
.
, ..
. , ,
. , , , (lookback)
(reset) . , . ,
,
. (digital binary) (contingent) . , .
(rainbow) ,
.
-

.
.


,
,
.

.
.
, 10 . ( ) ,
.
, , , .
, , .
: ,
; ,
, , ,
(
760

28.

LIBOR +

. 28.3.

, ,
).
. 28.3. , .
. .
Nikkei 225
Nikkei, .
.
,
, .
, , , , .
,
S&P 500
.
, 91/360 . S&P 500
. , .
. .
,

. ,
, , ,
761

S&P 500 Nikkei 225.


, Nikkei 225. ,
,
. , , ,
,
.
Nikkei 225
.

29

. (Frank J. Fabozzi),
, ,
-

. (Steven V. Mann),
,


28 , .
,
. 28 .
.
.
, . : / , , /.


, - .
, , - .
( ) ,
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764

29.

.
.
. , , ,
.




: ,
() . .


, (IMM) , 13- (3-) $1 . ,
13
$1 . (seasoned). ,
. ,
,
3 , , 3 $1
13 .
13 , , 13 .


6, ,
, .

(IMM) ,
(London International Financial Futures Exchange LIFFE).
, , ().

3- (90-) . ,
$1 . , , 100 . ,
765

98,00 ,
2%.
. , .

.

,
.


- , .
, .
, , ,
.
(.. ) . ,
.



,
.



(Chicago Board of Trade CBOT, .
. .).
$100 000 20
6%. 6%-
.

. , ,
, . ? CBOT
, .
CBOT ,
15 , .
, 30 2001 . 2002 ., . 29.1.
766

29.
29.1
,
( 31 2001 .),
2002 .

51/4

11/16/98

11/15/28

0,9014

5 /8

02/16/99

02/15/29

0,9011

5 /8

02/15/01

02/15/31

0,9152

5_

08/17/98

08/15/28

0,9346

02/15/96

02/15/26

1,0000

61/8

11/17/97

11/15/27

1,0160

61/8

08/16/99

08/15/29

1,0166

61/8

08/16/93

08/15/23

1,0296

6 /8

02/15/00

05/15/30

1,0335

63/8

08/15/97

08/15/27

1,0482

6_

11/15/96

11/15/26

1,0633

65/8

02/18/97

02/15/27

1,0797

63/4

08/15/96

08/15/26

1,0948

67/8

08/15/95

08/15/25

1,1084

7 /8

02/16/93

02/15/23

1,1317

7 /4

08/17/92

08/15/22

1,1445

7_

08/15/94

11/15/24

1,1828

7 /8

11/15/92

11/15/22

1,1889

75/8

02/15/95

02/15/25

1,1992

7 /8

02/15/91

02/15/21

1,2078

11/15/91

11/15/21

1,2264

81/8

08/15/89

08/15/19

1,2245

81/8

05/15/91

05/15/21

1,2371

8 /8

08/15/91

08/15/21

1,2390

8_

02/15/90

02/15/20

1,2686

83/4

05/15/90

05/15/20

1,2977

8 /4

08/15/90

08/15/20

1,3002

87/8

08/15/87

08/15/17

1,2818

87/8

02/15/89

02/15/19

1,2985

11/22/88

11/15/18

1,3085

9 /8

05/15/88

05/15/18

1,3154

:
767

:
, ,
, ,

. () , , .
. , . ( ) ( ) 6%- 20-
$100 000.
, , CBOT. , 5%- 20- $100 000 . 6%- 20- .
5%- 20- , , 6%- 20- $100 000.
, 7%- 20-
$100 000. 7%- 20-
, 6%- 20- ,
.
, CBOT . 29.1
, 2002 .,
.
.
, . . ,
, .
.
, , , ,
. . :
=
+ .
(cheapest-to-deliver issue).
, cash-and-carry.
cash-and-carry , 768

29.


. . ,
,
(.. ). .
.

(.. , cash-and-carry).
.

. ,
, .
.
, CBOT.
,
. .

( 8 ) (3.15 ) , .
(wild card option). ,
( )
, ,

.


: 10-, 5-
2-.
CBOT.
10- 6%- 10- $100 000.
.
, 6,5
10 . . 5- 6%-
$100 000, : (1)
, (2) (3) .
2- 6%-
769

$200 000
. ,
, 2- ,
.


CBOT (CME) , Fannie
Mae Freddie Mac. ( 9, Fannie Mae Freddie Mac , .. ,
.) 10-
CBOT (Benchmark Note) Fannie Mae
(Reference Note) Freddie Mac $100 000 6%.
, .
,
.
10- CME CBOT, 6,5%, 6%. , CME ,
10 , 6,5 .
CBOT CME 5-
. CBOT 6%- ,
CME 6,5%- .


CBOT (Bond
Buyer Index BBI), 40 . ,
6%- 20- $100 000,

.
$1000. $1000. 40
,
. ,
.

, BBI. BBI 40
. BBI
: (1) Moody A / 770

29.

S&P A (2)
$50 ($75 ).
BBI . ,
:
(1) 19 , (2) 7 16 (3)
.
,
. . BBI .
,
.
BBI. 40.
BBI.
, BBI , , , BBI . BBI ,
BBI .



28. , :
= +
.
, ,
. :
= +
.

. , , . ,
,
( ). ,
771

, ,
, .
.
, , ,
.
. , .
,
:
= +
.

.
, ,
. ,
, , .

, .
:
= +


(forward rate agreemen FRA) .
, .
FRA , , , . , FRA,
. ,
FRA,
.
. , , FRA (
). . FRA.
FRA.
FRA ,
, .
FRA , ,
. , , FRA
772

29.

5% 3- ( ),
$10 , ,
5% $10 ,
5% $10 .
,
FRA , . , ,
.
, .
:
FRA , > ;
FRA , > ;
, = .
FRA . , , . , :
, > ;
, > .
, , ( 360 ):
> :
= ( )
( /360) ;
> :
= ( )
( /360) .
, , . () . ( )
. , :
=

[1 + ( /360)]

FRA :
3- , 5%, $10
91 . , 5,5%.
, , 5%
( ), ( ) 5,5%.
=
= (0,055 0,05) (91/360) $10 000 000 = $12 638,89.
773

, , :
=

$12 638,89

= $12 465,58.

[1 + 0,055 (91 /360)]

, FRA, .
FRA , , , .
, . :


FRA


FRA

, .
FRA . , , , .
FRA . , . ,
, , .
. , ,
, .
. .
FRA 3-
6- . . , ,
3-, 6- (
3- ), ( 6-
). 14 17.
FRA 3- 6- . 25 28. , , 3-
6- .
, .


, , , ( ). , ,
774

29.

,
. ,
, -.
, , .
,
.
.
. ,
.
.


,
. ,
,
-
. ,
-. ,
.
, .

-.
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?
-. . ,
.

.
.
- .
, , -
, - 85. ,
775

95 . 85,
85.
.
95, - 85, (
) 10, ( ) 10.
10, 10. ,
95,
95, . ,
95. , . 10. ,
, , 10
.
, ,
, 60, 95. ,
, 85; 85.

60. 25,
.
60 ,
60,
.
25.
, , , . -,
,
. ,
. -, .
, , ,
,
.
,
. ,
. ,
. ,
,
. , , 776

29.

, ,
. ,
.


, ,
. , . , ,
, ,
. , ,
,
.
,
. , , . ,
, .
. ,
.
. .
. , .


. .
,
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.


. 777

. , ,
, , . .
, , : ,
, , , , () .
.
,
X Y 6% , Y
X 3- ( ). X , Y .
, $50 .
, X ( )
Y $750 000 (6% $50 : 4). , Y ( ) X, : 3-
$50 : 4. 3- 4%,
Y X $500 000 (4% $50 : 4).
,
, . , . . 6%.
.

. ,
. ,
, . ,
,
.
,
. .

/
, , .
, , , , .
. ,
, . ,
, X Y , .
, , 5- 6 8% (..
778

29.

). X ( )
A, A ,
6% ( , ), 8%
( ) 3- .
X . ,
X . , ,
.
, ,
, , 5%. 5- 5%, 6%, 3-
. X B,
. , , .

-
: (1) / (2) .


, ,
() .
/ .
/
: ,
. , , , .
, .


. ,
, (.. )
(.. ).

. .
779

.
. , . , , .

, , . , 6,5%,
, . ,
-
3- , 6,5% ( , )
.


. , 7%,
, ,
- 5- , 7% (.. ) .


CBOT 2001 . 10- ,
$100 000
6% 3- . , 10-
(ISDA)
.
H.15.



,

, - .
780

29.

, . ,
.
. :
1) ;
2) , , ()
() ;
3) ;
4) ;
5) .
, , C D
:
1) 3- ;
2) 6%;
3) ;
4) ;
5) $20 .

D C, 3-
6% . ( .)
3-
6%, . 3 4. , 3
3- 8%, D C 2% ((8% 6%) $20 : 4, $100 000). 3-
6% , D C.
,
. , 3-
8%, C D, 3- 6%, D C .
, 3- 5%, D C $50 000 ((6% 5%) $20 : 4).
,
() . .

/
, , ,
, ( ) .
, ,
.
, , .
781

, , .
,
. , , ;
.
. ,
.
.
.
, . ,
.

30

(David Yuen),
,
-
/
Franklin Templeton Investments

. (Frank J. Fabozzi),
, ,
-

14, , , . ( )
. , . (
), .

,
, . .
(+ ) .
, , .
, .
, ,
,
, () ()
,
.
, , .
3 5 ,
15 30 , . , ..
, , ( )

. , .

, . (
) , .



:
784

30.

$100

GNMA 8%, #xxxxx 1999 .

103%

WAC :

8,5%

WAM :

330

12% CPR, 1,06% SMM

1-
LIBOR:

5,50%

8% (30/360)

( /360)
( x )

15- GNMA (25- FNMA)


( )

,
( , , ) 8% #xxxxx GNMA $100 .
, , ,
14. 8%
GNMA , .
,
, .
785

CPR 12%
5,5%
. 30.1. ,
,
.
30.1

:
100
WAC
8,500%
WAM
330
CPR
12,00%
MBS
103,00 101

8,00%
5,50%
SMM 1,060% PSA
200%
MY 7,349% BEY
7,463%

MBS

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36

98,8648
97,7419
96,6311
95,5324
94,4456
93,3706
92,3072
91,2554
90,2149
89,1858
88,1679
87,1609
86,1650
85,1798
84,2053
83,2414
82,2880
81,3449
80,4121
79,4894
78,5768
77,6741
76,7812
75,8980
75,0244
74,1603
73,3056
72,4603
71,6241
70,7970
69,9790
69,1699
68,3695
67,5779
66,7949
66,0205

0,03406
0,03369
0,03332
0,03296
0,03260
0,03225
0,03190
0,03155
0,03121
0,03087
0,03054
0,03021
0,02988
0,02956
0,02923
0,02892
0,02860
0,02829
0,02798
0,02768
0,02738
0,02708
0,02679
0,02650
0,02621
0,02592
0,02564
0,02536
0,02509
0,02481
0,02454
0,02427
0,02401
0,02375
0,02349
1,34364

0,0764
0,0761
0,0759
0,0756
0,0753
0,0750
0,0748
0,0745
0,0742
0,0740
0,0737
0,0734
0,0732
0,0729
0,0727
0,0724
0,0721
0,0719
0,0716
0,0714
0,0711
0,0709
0,0706
0,0703
0,0701
0,0698
0,0696
0,0693
0,0691
0,0688
0,0686
0,0684
0,0681
0,0679
0,0676
0,0674

0,6667
0,6591
0,6516
0,6442
0,6369
0,6296
0,6225
0,6154
0,6084
0,6014
0,5946
0,5878
0,5811
0,5744
0,5679
0,5614
0,5549
0,5486
0,5423
0,5361
0,5299
0,5238
0,5178
0,5119
0,5060
0,5002
0,4944
0,4887
0,4831
0,4775
0,4720
0,4665
0,4611
0,4558
0,4505
0,4453

1,0588
1,0468
1,0349
1,0231
1,0115
1,0000
0,9886
0,9773
0,9662
0,9552
0,9443
0,9335
0,9228
0,9123
0,9018
0,8915
0,8813
0,8712
0,8612
0,8513
0,8415
0,8319
0,8223
0,8128
0,8035
0,7942
0,7851
0,7760
0,7671
0,7582
0,7495
0,7408
0,7322
0,7237
0,7154
0,7071

786

0,4786
0,4732
0,4678
0,4625
0,4573
0,4521
0,4469
0,4418
0,4368
0,4318
0,4269
0,4220
0,4172
0,4124
0,4077
0,4030
0,3984
0,3939
0,3893
0,3849
0,3805
0,3761
0,3718
0,3675
0,3633
0,3591
0,3550
0,3509
0,3468
0,3428
0,3389
0,3349
0,3311
0,3272
0,3235
0,3197

0,1540
0,1522
0,1505
0,1487
0,1470
0,1453
0,1437
0,1420
0,1404
0,1388
0,1372
0,1356
0,1340
0,1325
0,1309
0,1294
0,1279
0,1264
0,1250
0,1235
0,1221
0,1207
0,1193
0,1179
0,1165
0,1151
0,1138
0,1125
0,1112
0,1099
0,1086
0,1073
0,1060
0,1048
0,1036
1,2181

30.


MBS, ,
. , , .
,
MBS . 1 MBS
, . , ,
. (
, ,
, .) , ,
.


.
GNMA 8% $103
, .
(.. ),

.
GNMA 8% , .
,
( , ), .



,
(CMO) PAC,
14
CMO-3. . , ,
.
1

100 (. 2).

787

2- 5- ( )

:

%
,

1
2
4
8

4,53
3,13
2,08
1,56

< 100 PSA


100 PSA 300 PSA
301 PSA 500 PSA
> 501 PSA


PSA. , (CMT).
, 10-
CMT, :
10-
CMT, %

% ,

1
2
4
8

4,53
3,13
2,08
1,56

>7
6,5 7,0
6,0 6,5
<6

. , .
, . .
, 10- CMT
. (R- 85% 10 77% 1998 .)
.
, CMT 7% ( 8,5%) , , 100 PSA.
CMT 6,5 7,0% ( 8 8,5%), ,
, , PSA
100 300. CMT 6% ( 7,5%),
, .. ,
500 PSA. ,
/
CMO.
788

30.



, , .

, , Salomon Brothers,
Lehman Merrill Lynch.
.
,
(. . 30.1). ,
( =
+ + ).
,
, .
,
GNMA 8%,
.
MBS
MBS/
MBS

. 30.1.


. ,
789

, , .
(,
)
. , , ,
- ,
.. .
.

, ().
,
,
.

- MBS, . - ,
.
, , , .
,
, , , ,
.

MBS
. (), .
, , , 790

30.

.
,
.

, CMO , . ,
CMO
( ,
) GNMA 8% .
CMO GNMA 8%
. ,
, (LTV), , ,
. ,
LTV -
.
- , , - .
- , .
- .


, , , .



.
. ,
Lehman, .
-
, S&P 500,
. 30.2.
S&P.
,
,
. . 30.3,
, , .
791

S&P

MBS + 50
MBS =
S&P + 50 bps

MBS

. 30.2. -

+ 50


= + 50

. 30.3.



.
. .
, MBS
, ,
. , .

31

(Moorad Choudhry)1,


(Brian Eales)
, (Dr. Paul Darbyshire) SO AS, , (Christopher Connelly) JPMorgan
.

, ,
, , , , ..
( ).
.
. . , .
,
.

.



1.
2 , ,
, , .
, -
(
) , .. . , .

.
. ,
. , ,
:
, , ;
, , ;
1

, .

.

794

31.


, ;
;
.
,
.. . .

, .


,
, .
.
-, ,
.
, , .

, .
. .
, , ,
, .
, , ,
.

,
AAA.
. (
. . .) ,

. ,
, ( ).
,
. ,
, ;
795

, , ,
.

. :
, ;

, .
,
;
, , ,
. , ,
;

, . , -
. , .
, , . ,
, .

, ,
.
.


, ,
. .
, , . ,
.


, .
, . 796

31.


,
.
, .
(, ),
, , .

-
- .
, , / .


. .

( ). , 1. 100% .

. .
:
S&P / Moody's ;
, , ;
,
;
(), , , ;
, , ;
.
1


(notional); .

797

ISDA 1999 . : , , ,
. ,
.


, . ,
, . , .
, ()
, . , . ,

;
.
. 31.1.
.
,
. , , D

. 31.1.

798

31.

( ), , , ,
. ,
.
, .

. , .
,
.
.


XYZ plc 120
5
195 10- . 10- $10 ,
5- .
. XYZ
.
10- 75 5- .
:
5
:
5- XYZ plc
:
:

X [100 ]

3,35%

,
5- XYZ plc,
$28. , $7,2 .


. , ,
.


( ).
799


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.

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800

31.

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2- .
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85 100 . , , .

. , . ,
.
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. - , 1.


(TRS),
TR-,
.
. ,

, , , .
TRS , TRS ,
- 1

4 :
. . (Anson Mark J. P.). Credit Derivatives. New Hope, PA: Frank J. Fabozzi Associates,
1999.

801

, ( , )1.
TRS
; .
TRS
, .. . TRS
.
,
TRS
, , .
TR- . 31.2.
, , A,
, , ,
-. . 31.2 A

B .
, ,
. , A,
, . B ;
. , B . TR- . , A
,
B




( )

. 31.2.
1

., , : (Kasapi Andrew). Mastering Credit Derivatives. London:


FT Prentice Hall, 1999.

802

31.

TR-1.
, A ,
B. B
,
, A .
.
,
.
TR- .

, . , ,
Bloomberg Reuters, . , , ;
, .
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- .
, TR-
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2
3

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803

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(LIBID),
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.
TR-, ,
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TR-. . .
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804

31.

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;

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.


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,
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.


,
(, ) ,
. . . , .
; ,
.

.
. .
,
(, 1

, . : Das Satyajit. Credit Derivatives and Credit Linked Notes. 2- . Singapore:


John Wiley and Sons Ltd., 2000. . 24.

805

). 31.3 . 31.3. $250 , .


3- , .
.

, $

300

250

200

150

100

50
Jan-01 Jul-01

Jan-02

Jul-02

Jan-03 Jul-03

Jan-04 Jul-04

Jan-05 Jul-05

Jan-06

. 31.3.


, ,
.
(credit switches)
.
1. ,

. , ,
. , .
1

, ,
.

806

31.



, .
, TR-,
.

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807

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230 .
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. 31.4.
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TR
+ + 30 bps

. 31.4.

, - ,
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) , .

808

31.

TR-

, , . , ,
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TR- , , .
TR-
.
TR-, , 2 ,
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TR-. , , ,
, (
TR-).

, , .
.
. Moody's ,
1.
,
.
.
. .
ISDA (
). Moody's , ISDA . ,

. .
1

(Tolk Jeffrey). Understanding the Risks in Credit Default Swaps//Moody's Investors


Service Special Report (16 , 2001).

809

. Conseco
2000 .
, , (). Moody's,
, ,
Conseco . ISDA

, Conseco. , ISDA, , Moodys, .
.
, XYZ. , XYZ, (CLN) XYZ.
XYZ
, . , XYZ, ,
85 ,
.
CLN ( , )
, CLN 85% , CLN .
.
,
(
) ,
. , ,
. ,

.

,
, .
,
. : , , ,
.

32

. . (Mark J. P. Anson),
, , ,
CalPERS

,
.
,
.
.

,
.
.
, .
, : ( ), (
) . , .
- -.
. ,
(Commodity Futures Trading Commission CFTC)
(National Futures Association NFA)
(Commodity Pool Operator CPO).
.

, . ,
.
.
,
SEC, CFTC.
, .

.
( ) (Commodity Trading
Advisor CTA) , . CTA ,
.
812

32.

CTA, CPO, CFTC NFA . CPO, CTA.


.
,
. CTA , , .
CTA ,
. , : . CTA ,
. , .
, ,
.


1800- . 1848 .
(CBOT) 1848 . 82
. , . , .
1851 .
3000 , CBOT .
CBOT
, : , . ,

, .
.
(CME), , . -
,
. CME
, / .
- (New
York Mercantile Exchange NYMEX),
. - (Commodity
Exchange of New York COMEX, NYMEX) .
813

- (
?) , . - 1.
, , Value Line.
, , , . , - NYMEX - .
,
. 1973 .,
, ,
.
, -
. , CBOT 1869 1970 ., 1885 1940 .
.

: .
1975 ., CBOT
( ). 1977 .
. .
, ,
, .
, . 1975 . . ,
1997 . CBOT 30 Dow Jones.
S&P 500 (
1983 .) CME.
, 1970- . CME (
).

. 50 .

1948 . 1960- .

1

- , - - (New York Board of Trade NYBOT),


.

814

32.

.
, .
: 2000 .
$35 , 1985 . $1 .
2000 .
.
-, $400500 .

-, - .
CTA CPO, -, . 1 20 (1% 20% ) ,
0 3%, 10 35%.
, 1970- . .
.
, 1974 . (Commodity Exchange Act CEA)
(CFTC).
CEA . ,
, ( ) .
CTA CPO CFTC. , (NFA) , CTA CPO .
: , ,
, . ,
.


:
1. ?
2. ?
815

. (Elton), (Gruber)
(Rentzler)
1. ,
. ,
/ . , ,
,
. :
, -
.

, . , , . , ,
.
(Irwin), (Krukemeyer) (Zulaf)2, (Schneeweis),
(Savanyana) (McCarthy)3 (Edwards) (Park)4
, ,
/ . , 5.
, ,
, 6. ,
,
1

. : (Elton Edwin), (Gruber Martin)


(Rentzler Joel). Professionally Managed, Publicly Traded Commodity Funds //Journal
of Business. . 60. 2 (1987). . 175199; New Public Offerings, Information, and Investor
Rationality: The Case of Publicly Offered Commodity Funds//Journal of Business. . 62. 1
(1989). . 115; The Performance of Publicly Offered Commodity Funds//Financial Analysts
Journal (, 1990). . 23-30.
. : (Irwin Scott), (Krukemyer Terry)
(Zulaf Carl) Investment Performance of Public Commodity Pools: 19791990//The Journal of
Futures Markets. . 13. 7(1993). . 799819.
. : (Schneeweis Thomas), (Savanayana Uttama)
(McCarthy David). Alternative Commodity Trading Vehicles: A Performance
Analysis//The Journal of Futures Markets . . 11. 4 (1991). . 475487.
. : (Franklin Edwards) (James Park). Do Managed
Futures Make Good Investments?//The Journal of Futures Markets. . 16. 5 (1996). . 475
517.
. : (Irwin Scott) . (Brorsen B. Wade). Public Futures
Funds //The Journal of Futures Markets. . 5. 3 (1985). . 463485.
. : (Edwards) (Park). Do Managed Futures Make Good Investments?

816

32.

, 1.
CTA, ,
2 , CTA
. ,
, CTA
3.
, CTA
, 4.
. , CTA .
. , .
, , ,
, 5.
, ( ) ,
.
, 6; ,
(Zulauf) (Ward)7; , ,
8. ,
CTA CTA.
, . - 1

4
5

. : (Schneeweis), (Savanayana) (McCarthy).


Alternative Commodity Trading Vehicles: A Performance Analysis.
. : (McCarthy David), (Schneeweis Thomas)
(Spurgin Richard). Investment Through CTAs: An Alternative Managed Futures
Investment//The Journal of Derivatives (, 1996). . 3647.
. : (Schneeweis Thomas), (Spurgin Richard)
(Potter Mark). Managed Futures and Hedge Fund Investment for Downside Equity
Risk Management//The Handbook of Managed Futures: Performance, Evaluation, and Analysis/
. Carl C. Peters Ben Warwick. New York: McGraw Hill Companies, Inc., 1997.
(Edwards) (Park). Do Managed Futures Make Good Investments?
. : (Edwards Franklin) (Ma Cindy). Commodity Pool
Performance: Is the Information Contained in Pool Prospectuses Useful?//The Journal of Futures
Markets. . 8. 5 (1988). . 589616.
(McCarthy), (Schneeweis) (Spurgin). Investment Through CTAs:
An Alternative Managed Futures Investment.
(Irwin Scott), (Zulauf Carl) (Ward Barry). The
Predictability of Managed Futures Returns//The Journal of Derivatives (, 1994). . 2027.
(Elton), (Gruber) (Rentzler). Professionally Managed, Publicly Traded
Commodity Funds; New Public Offerings, Information, and Investor Rationality: The Case of
Publicly Offered Commodity Funds; The Performance of Publicly Offered Commodity Funds.

817

, , . ,
, CTA,
.
. , .

, CTA.
.



, -
, . ,
,
Barclays.
,
. ,
, ,
. , . , CTA
.
.
, , Barclays. CTA : (1) CTA,
; (2) CTA, ; (3) CTA, ; (4) CTA,
.
: . CTA
. ,
,
, . ,
, , CTA CPO 1.
1

, , -
, CTA . . : Collins Daniel. A New Life for Managed Futures// Futures (1 , 2001).

818

32.


CTA Mount Lucas Management Index (MLMI). MLMI
. .
. :
.
, MLMI
, , , . ,
.
MLMI . 32.1. . ,
,
. ,
. .
, , CTA
,
.

0,35
0,3

0,25
0,2
0,15
0,1
0,05
0
-7% to -6% to -5% to -4% to -3% to -2% to -1% to 0% to 1% to 2% to 3% to 4% to 5% to
-6% -5% -4% -3% -2% -1%
0% 1%
2% 3%
4% 5% 6%

. 0,73%
0,562

. 0,016
2,476

. 32.1. MLMI

819

- 0,173

. MLMI . ,
, () . , . ,

.
, MLMI 0,73% .
, , MLMI.


, , , . , ,
. ,
, .
( , , ,
.) , CTA
, .
Barclays CTA . 32.2. 19902000 .
. 32.1 , 0,18. ,
35
30

25
20
15
10
5
0
-8 to -7% to -6% to -5% to -4% to -3% to -2% to -1% to 0% to 1% to 2% to 3% to 4% to 5% to 6% to 7% to
-7% -6% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8%

. 32.2. Barclays. CTA

820

32.

MLMI,
, -
.
, 0,69, , , MLMI. CTA Barclays ,
, .
, CTA - ,
.
, CTA.
Barclays CTA , 0,58% ,
MLMI 0,73%. , , MLMI. ,

. , , , /, .



. , , ,
.
, ,
.
, , .
, , ,

.
. 32.3. . 32.1 , CTA
1,39.
, MLMI, . ,
CTA 0,8% , MLMI.
, 3,15, .


.
CTA
. , CTA ,
821


25

20

15

10

-8

%
t
-7 o -7
%
%
t
-6 o -6
%
%
t
-5 o -5
%
%
to
-4
% 4%
t
-3 o -3
%
t %
-2 o -2
%
%
t
-1 o -1
%
%
to
0% -0
to %
1% 1%
to
2% 2%
t
3% o 3%
to
4% 4%
to
5% 5%
t
6% o 6%
t
7% o 7%
to
8% 8%
to
9% 9%
t
10 o 1
% 0%
t
11 o 1
% 1%
12 to 1
% 2%
to
13
%

. 32.3. Barclays. CTA

. , , , MLMI.
32.1

CTA
MLMI

CTA

CTA

CTA

, %

0,73

0,58

0,80

0,63

-0,06

, %

1,61

2,33

3,58

2,21

5,55

0,173

0,055

0,098

0,081

0,091

0,562

0,182

1,394

0,587

0,309

2,476

0,693

3,147

0,491

14,616


, GNMA 1970- .
,
.
, ,
822

32.

,
. ,
.
1990 2000 .
.
.
. 32.4 32.5.
0,58 0,49. , CTA .
20
18
16

14
12
10
8
6
4
2

-3

0%
-2 to 7% 29
-2 to %
4% -2
6
-2 to %
1% -2
3%
-1 to 8% 2 0
%
-1 to
5% -17
%
-1 to 2% 14
to %
-9 -11
%
to %
-6 -8
% %
t
-3 o -5
%
%
to
0% -2%
to
3% 1%
to
6% 4%
t
9% o 7
%
t
12 o 10
%
%
15 to 1
% 3%
to
18 16
%
%
t
21 o 1
% 9%
t
24 o 2
% 2%
to
25
%

. 32.4. Barclays. CTA

0,63%, ,
MLMI. , CTA ,
MLMI. ,
, .



. , ,
.
1973 1977 ., 1980- .,
823

1990 ., , ,
.
35
30

25
20
15
10
5

-8

t
-7 o -7
%
%
t
-6 o -6
%
%
to
-5
-5
%
%
to
-4
% 4%
to
-3 -3
%
%
to
-2 -2%
%
to
-1
-1
%
%
to
0
0% %
to
1% 1%
to
2% 2%
to
3% 3%
to
4% 4%
to
5% 5%
to
6
6% %
to
7% 7%
to
8%

. 32.5. Barclays. CTA

- ,
. , , .
. 32.1 . 32.51.
. CTA . ,
,
, , ,
.
0,06% . , CTA ,
.
, ,
1

, Barclays CTA
1998 . 1998 . - .
1999 2000 ., .

824

32.

. , ,

.
, . 32.232.5 . 32.1,
. ,
.




.
.


.

, . , ,
, ,
. ,
CTA, - , .
, 60% S&P 500 40% . 32.6.
. ,
. , , 60% S&P 500 40%
.
2,07%.
.
, 10%
. , 55%
S&P 500, 35% 10% .
, ,
.
825


25

20

15

10

-8

%
t
-7 o -7
%
%
to
-6
-6
%
%
to
-5 -5%
%
to
-4
-4
%
%
to
3
-3
%
%
to
2%
-2
%
to
-1
-1
%
%
to
0% 0%
to
1% 1%
to
2% 2%
to
3
3% %
to
4
4% %
to
5
5% %
to
6
6% %
to
7% 7%
to
8% 8%
to
9%

. 32.6. , 60/40 /

, MLMI,
, CTA , . MLMI 19 . ,
( ), CTA
, 19 .
55/35/10 // CTA . 32.7.
. 32.2.
30
25

15
10
5

to
1% 1%
to
2%
2%
to
3
3% %
to
4
4% %
to
5
5% %
to
6%
6%
to
7
7% %
to
8%

to
%
-1

0%

-1

0%

%
to
%
-2

%
-3

to

to

-3

-2

%
-4
-4

-5

to

to
%
-6

to

-5

-6

-7

20

. 32.7. 55/35/10 // CTA

826

32.

. 32.7 1,81%. 26
. 32.6. , ,
,
MLMI.
. 32.9 , , , 3 () . ,
/ 60/40 3,8 ,
: (26 3,8) (3 12) = 63
.
32.8 // CTA 55/35/10.
. 1,96%. ,
0,11% .
, MLMI, , , CTA .

30
25

20
15
10
5

-8

%
t
-7 o -7
% %
to
-6 -6%
%
to
-5 -5%
%
to
-4 -4%
%
to
-3 -3%
%
to
-2 -2%
%
to
-1
-1
%
%
to
0
0% %
to
1% 1%
to
2% 2%
to
3
3% %
to
4
4% %
to
5
5% %
to
6
6% %
to
7% 7%
to
8% 8%
to
9%

. 32.8. 55/35/10 //CTA

. 32.10 , 10%
CTA , . 32.9.
1,95%, 0,12% , . ,
MLMI, CTA .
, 55/35/10 // CTA . 32.10. 1,86%, 21 ,
.
, MLMI.
827

30
25

20
15
10
5

to
3% 3%
to
4
4% %
to
5%
5%
to
6%
6%
to
7% 7%
to
8
8% %
to
9%

to

2%

1%

0%

2%

1%
to

-1
-1

-2

to

to

to
%
-3

0%

%
-2

-3

-4

to

-4

-5

to

-5
to

-6

-7

to

-6

. 32.9. 55/35/10 //CTA


.
,
( ) , ,
MLMI. CTA, , , MLMI. , ,
.
.
30
25

15
10
5

%
%
to
0% 0%
to
1
1% %
to
2
2% %
to
3% 3%
to
4
4% %
to
5
5% %
to
6
6% %
to
7% 7%
to
8%

to
%
-2

-1

to

-1

%
-2

%
%

-3

to

to
-4

-5

-3

-4

%
to
%
-6

%
-7

-5

-6

to

-7
to

%
-8

to

-8

-9

20

. 32.10. 55/35/10 // CTA

828

32.

. 32.2, / 60/40,
, , . 55/35/10 //MLMI.
10%
, 60/40 /.
, , .. . , .
32.2

( 19902000 .)



,
, ,
, %

%
%
%

60/40 /
55/35/10 /
/ CTA

0,91

2,60

0,177

2,07

0,88

2,37

0,182

1,81

0,26

55/35/10 // CTA
55/35/10 //CTA

0,90

2,39

0,190

1,96

0,11

0,89

2,39

0,182

1,95

0,12

55/35/10 //
CTA

0,92

2,38

0,197

1,86

0,21

55/35/10 //MLMI

0,90

2,33

0,191

1,88

0,19

60/40 /

0,91

2,60

0,177

2,07

55/35/10 //GSCI

0,90%

2,39

0,187

1,79

0,28

55/35/10 //DJ-AIGCI

0,92%

2,30

0,205

1,81

0,26

55/35/10 //CPCI

0,91%

2,38

0,192

1,86

0,21

55/35/10 //MLMI

0,90%

2,33

0,191

1,88

0,1

55/35/10 //EAFE

0,86%

2,66

0,155

2,11

0,04

829

CTA , MLMI.
, MLMI.
. 32.2 , ,
CTA .
, ,
, , , 1.
, 50% S&P 500 50%
CTA , S&P 500
. , ,
, .

.
,

.
,

, MLMI. MLMI
,
. , CTA
.

. , - , 0,11
0,26% . , ( ) CTA

.

. : (Schneeweis Thomas), (Spurgin Richard)


(Potter Mark). Managed Futures and Hedge Fund Investment for Downside Equity
Risk Protection//Derivatives Quarterly (, 1996). . 6272; (Anson Mark)
Managing Downside Risk in Distributions Using Hedge Funds, Managed Future and Commodity
Futures, (2001).


1 20 , 677, 815
3{c)7 , 621
5-4-3-2-1 , 410
8-K , 132
10-K , 128, 130, 134136, 140, 143, 146
10-Q , 12b-1 129131, 140, 143
48 , 351
125 LTV
, 371, 373
, 379, 387
144A , 445
364- , 481
401(k), 573
501(c)(3) , 235, 241
1035 , 609
ABC. . ,
ABS, , 426
ABS, , 452, 454
, 467
, 456457
, 466471
ABS, . .
; ;
, 469
, 460
ABS , 426
. . ABS

ABS , ABS (.), 427


ACCESS , 155
ACLI (American Council of Life Insurers, 718
, 718
ADR. . , 739
ALF. .
Ambachtsteer, Keith, 683
AMBS. . MBS
AMEX. .
AMTI. .
AMT. .
Analytics, 307, 574
Anson, Mark J.P., 695, 801, 830
Arnott, Robert D., 121
ARPS. .

ASE. .
Asquith, Paul, 270
Atlas, Riva D., 704
ATS. .
Axels. .
Bank of New York, 546
BAN. .
Barclays Global Investors (BGI), 547, .
iShares
BASIC, 573
BBI. .
BEA. .
BEY. .
BGI. . Barclays Global Investors
Bhatatacharya, Anand K., 402
BICs. .
Bierman, Jr., Haroid, 514
BIG. . Broad Investment Grade
BIS. .
Bloomberg Tradebook, 85
BMA. .
BMV. .
Broad Investment Grade Bond Index (BIG), 271
Brorsen, B. Wade, 816
Brothers, 522
Brown, Stephen, 648, 654
Byrnes, Nanette, 138
Capital Auto Receivables Asset Trust (CARAT)
(CARAT), 435436
CAPM. .
CARAT. . Capital Auto Receivables Asset Trust
Cavaglia, Stefano, 297
CBD. . CBO .
. ;
CBOE. .
CBOT. .
CBT. .
CCA. .
CDO .
CDSC. .
CDs. .
CEA. .
Certificate of Need (CON), 418
CFTC. .

Chew, Jr., Donald H., 694


Choudhry, Moorad, 176
Christopherson, Jon ., 121

831


Chugh, Lai, 115
CIA. . ,
CLCs. .
CLNs. .
CLOs. .
CME. .
CMOs. .
CMO , 359
CMSA. .
CMT. . ;

;

COFI. .

Coggin, T. Daniel, 121
Collins, Bruce M., 733, 759
Collins, Daniel, 818
Comer, George, 545
COMEX. . -
Connelly, Christopher, 793
CON. . Certificate of Need
Cottle, Sidney, 111
Cox, . Anne, 296
CPI-U. See
CPI. .
CPO. .
CTAs. .
CTC. .
CUSIP, 156
CVWLI. .
C
, 778
C
(SAP), 439
C , 240, 242
C , 423424
C , 81
C-, 175
C , 665
C- , 307
C- , 307
C, 416
Darbyshire, Dr. Paul, 793
Das, Satyajit, 805
DeBondt, Werner, 114
DECS. . ,
, 296
Delegated Underwriting and Servicing (DUS),
405

DIAMONDS, 539, 546547


Dillon, John M., 233
DJIA. . Dow Jones Industrial Average
Dow Jones 30
, 683
Dow Jones EURO 50
, 740
Dow Jones Industrial Average (DJIA), 103104
Dow Jones STOXX 50, 740
DPCs. .
Druckenmiller, Stanley, 658
DSC. .
DTC. .
DUS. . Delegated Underwriting and Servicing,


EAFE. . Europe Australasia and the Far East
Eales, Brian, 829
EBITDA. . ,

ECNs. .

EDGAR. . Electronic Data


EETCs. .
EFP. .

EFTs. .
Electronic Data Gathering and Retrieval
(EDGAR), 140
, 620
Elton, Edwin J., 816817, 545
EMBI. .

EMD. .
EMV. .
ERISA. .

Esaki, Howard, 718
ETCs. .
ETFS. .
ETFs. .
Europe Australasia and the Far East (EAFE)
Index, 537
EVA. .
Evergreen,
, 480, 568
FACO. .
Fama, Eugene E, 107
Farrell, Jr., James L., 120
FASB. .

FAs. .

832


FAS. .
FCCR. .
Feldstein, Sylvan G., 240
FFCBFC. .
(FFCBFC)
FFCBS. .
FFCS. .
FFELP. .
FHA. . (FHA)
FHLMC. .
FICO. .
Financial Times, 146
FIRREA. .
Fisher, Jeffrey, 708
FLIRB, 302, 329
FNMA. .
Focardi, Sergio, 114
FPDA. .

FRAs. .
Fredman, Albert J., 547
FSLIC. . -
Fung, William, 649
GAAP. . (GAAP)
GACs. .
Gamma, 749
GAO. . -

GARCH. .

GARP. .
Gary L. Gastineau, . , 542, 563
Gathering and Retrieval Edwards, Franklin, 816,
817
GICs. .

GIC , 566
Giiberto, Michael, 715
Goetzmann, William, 648
Goldman, Sachs & Co., 167, 657
Gottschalk, Jr., Earl C, 131
GovPX, 197, 198
Grace, W.R., 132
Graham, Benjamin, 111, 116
Grant, James L., 115
Gruber, Martin J., 545, 816

G&R. . ( )
GSEs. .
Guardian Life Insurance Company, 240
GWAC. . WAC
Harris, Guy, 508
Harrison, M., 210
Hedge Fund Research Inc. (HFRI), 624
HEL. .
HELOCs, 394395
HEL , 395
HFRI. . Hedge Fund Research
HIPs, 545
Hit-and-take, , 86
HMOs. .
HOLDR. . /, 553
Ho, Michael Y., 518
Hsieh, David, 649
Hube, Karen, 586
Hudson-Wilson, Susan, 708
IASC. .
Ibbotson, Roger, 509, 648
ILFs. .

IMF. .
IMM. .
Inc. HIC. .
INEGI. . Instituto Nacional de Estadistica
Geografia e Informatica
Inflation
. .
, 34
Inro, Daniel C, 518
Intermediate Government/Corporate Bond Index
(Lehman Brothers), , 271, 273
IO. . , 356
IPO. .
IPS. . , 543
IRAs. .
IRR. .
Irwin, Scott, 816, 817
IR. . ;
ISDA. . , iShares (Barclays
Global Investors), 780
iShares MSCI, 539
ITG Posit, , 86
ITM. .
I (IMM), 765
Jacobs, Bruce ., 118, 120, 640

833


Jaing, Christine X., 518
Jensen, Michael, 694
Jonas, Caroline, 114
J.P. Morgan, 305, 307. .
Kasapi, Andrew, 802
Keim, Donald ($.), 98
Kishore, Vellore M., 270
Kreps, D., 210
Kritzman, Mark, 28
Krukemyer, Terry, 816
Lau, Sheila, 32
LBOs. .
LC. .
LEAPS. .

Lee, Wayne Y., 518
Lehman, 307
Lehman Brothers, 226, 272275. .
;
Corporate/Government; Intermediate Government/
Corporate Bond Index;
Levy, Kenneth N., 118, 640
L'Heureux, Steven, 718
Liang, Bing, 654
Life Insurance Marketing and Research
Association (LIMRA), 574
LIFFE. .
LIFO, 765
Li, Kai, 545
LIMRA. . Life Insurance Marketing and
Research Association
Lin, YuChen, 297
LLCs. .
London Interbank Offered Rate (), 302
1- , 395
3- , 340, 765, 774
, 773
6- , 340
(), 170, 805
, 436438
Long Term Capital Management (LTCM), 653,
654, 674
LTCM. . Long Term Capital Management
LTV. . (LTV)
Lucas, Gerald, 210
Ma, Cindy, 817
MacPherson, Art, 614
Madhavan, Ananth, 98
Mahoney, Christopher, 314
Mann, Steven V., 176
Market XT, 85
Markowitz, Harry M., 31

Mathieson, Donald J., 331


McCarthy, David, 816
MDA. .
Mead or, Joseph, 115
MEC. .
Mengden, Anne, 715
Merrill Lynch, 271, 296, 406, 546
,
306307
Merchant Banking Group, 269
, 789
M&E , 597, 610
MH. .
MIP. .
MLMI. . Mount Lucas Management Index
Moody's Investors Service, 163, 267, 315, 443, 576
, 387
, 479
Moos, Jeanne, 134
Morgan Stanley, 403
Morgan Stanley Capital International (MSCI), 522
Morgan Stanley Dean Witter, 233
MOT. .
Mount Lucas Management Index (MLMI),
819823
MPT. .
MSCI. . Morgan Stanley Capital International
MTNs. .
Mulligan, John, 403
Mullins, Jr., David W, 270
Murray, Roger F., 111
MVA. . MVB
. .
MVE. .
MWR. .
NAICS. .
NAIC. .
Nammacher, Scott A., 269
NAREIT. . ; ,

NASDAQ (.) , 77, 8285
, 82

(NNM), 8283
, 8283
NASDAQ. .

NASD. .

834


NAS. . ()
NAV. .
Nelken, Izzy, 296
NexTrade, 85
NFA. .
NIF. .
Nikkei 752
NNM. .

NOF. .
NOI. .
Norris, Floyd, 95
NRSROs. .
NSA CPI-U. .

Nuveen Investments. . ;
NYBOT. . -
NYMEX. . -

NYSE. . -
Oaktree Capital, 705
OAS. .
OCC. .
O'Glove, Thornton L., 134
OID. .
OMB. . -

O'Neal, Edward S., 518


Optimark, 86
OTC. . OTCBB. .
OTM. .
PAC. .
Pappadopoulos, George, 719
Park, James, 648, 655, 659, 816
Parsley, Diane, 403
P/B. . /

PC. .
PERCS. .
, . . ; , 35
. . . . -
Peters, Carl C, 817
PIK. .
Plexus Group, 93
Plotnick, Lisa, 614
PLUS. .
POSIT, 86

Potter, Mark, 817


PO. . , 600
PPC. .

PPMs. .
PPR REI, 721
PRIDES. .

Property Index, 402
PSA. .

PTI. .
PUA. .
QIDS. .
QQQs, 539
QSR. .
Quek, Timothy, 210
RANs. .
RC. .
REDI Book, 85
REFCORP. .
Reid, Brian, 521, 523, 533
REITs. .
Rentzler, Joel, 816, 817
REOC. .
RHS. .
RIAs. .

RIC. .
RJR Nabisco Holdings, 144
RMD. .

ROCs. .
ROI. .
ROL. .
RRB. .
R-, 788
RTC. .
Rubin, Robert, 204
Russell 1000, 105, 106
, 667
Russell 2000, 106
Russell, Frank, 106
Salomon Brothers, 193
Salomon Smith Barney (SSB), 271
SAP. . C
Sasveld, Derek, 297
Savanayana, Uttama, 816

835


SBA. .
Schinasi, Garry J., 331
Schneeweis, Thomas, 816, 817, 830
Scholes, Myron, 745
SDC. . Securities Data Corporation
Securities Data Corporation (SDC), 370
SEC. .

Separate Trading of Registered Interest and


Principal Securities (STRIPS), 200
Series. . iShares MSCI Series
Sharpe, William E, 32, 41
Sherrerd, Katrina , 109
SIC. .
Skelton, Jeffrey, L., 109
SLABS, 437
SLMA. .
SLS. .
S&L. .
Smidchens, Eriks, 297
SMM. .
SNFs. .
Snyderman, Mark, 718
Sobel, Robert, 134
SOES. .
Sondergeld, Eric T., 611
Soros, George, 624
SPDAs, 610
SPDRS. . Standard
& Poor's
Spurgin, Richard, 817, 830
SPV. . ;

Standard & Poor's, 246, 378, 464, 544
,
, 291
, 464
Tobacco, , 622
Standard & Poor's 500, 544, 752, 825
State Street Global Advisors, 537. .
StreetTRACKS Funds
Stat-USA, 140
Staum, Jeremy, 658
StreetTRACKS Funds (State Street Global
Advisors), 547
STRIPS. . Separate Trading of Registered
Interest and Principal Securities
Swaminathan, Bhaskaran, 514
SWP. .

TAMRA. . 1988
TANs. .

TAPs, 220, 222


TBA. .
Thaler, Richard, 114
TIIS. . ,
TIPs. .
TIPS. . ,
TLa. .
TMCC. . Toyota Motor Credit Corporation
TNW. .
TOB. .
Tolk, Jeffrey, 809
Tonge, Darrell, 300
Topalian, Adam, 233
TOPrS. . -
Toyota Motor Credit Corporation (TMCC), 436
TRANs, 239
TRSs. .
Truglia, Vincent, 316
TR. .
TVA. .

TWR. .
UBS Asset Management, 297
UIT. .
Unit Priced Demand Adjustable Tax-Exempt
Securities (UPDATES), 240
University of London, 785
UPDATES. . Unit Priced Demand Adjustable
Tax-Exempt Securities
VA. . ,
, 242. .
, 682
VLCA. . Value Line
VPTN. .
VRDOs. .
WAC. .
Wagner, Wayne M., 32
Wall Street Journal, 106, 112, 146
WAM. .
Ward, Barry, 817
WARE .

Warwick, Ben, 817


Waugh, Stuart, 297
WEBS. . -
WEB- , 99
Weisman, Andrew, 654
Williams, C.Nola, 121
Wilshire 5000, 105106

836


Wilson, Richard S., 254
Wolff, Eric D., 270
Wurtzebach, Charles, 708
Zulaf, Carl, 816
Zulauf, Carl, 817
, 253
, 406
, 649
. .
,
, 375
, 500502
, 444
, 444
, 444
, 443
-ABS , 427

(NASDAQ)
100 , 546
, 105
. . -ABS
CMBS, 402403
CMO, 358368
MBS, 334
, 102
, 350
, 484
, 237
Lehman, 790
(Lehman
Brothers), 334
, , 402
.
.
, ., 166
. .
-
(VA), 242,
336

(RHS),336
, 759760
, ., 269270
(LC),
, 173, 244, 261, 376
,
, 28
, 567, 569
, 111

, 3842
, , 109
, 673

, , 439
, , 332
. . , 101, 325327. .
, , 26
, 2630, 36, 708. . . .

(WEBS), 539
, , 641
, 117
, 117
, , 564
, . . , 100103
, 99
, 101
(IPS), 543544
, 123
, 123
, . .
, 593595
, 438
, 93

(ATS), 8485
, 371

(AMT), 234
(AMTI), 234
, , 641
, 791
(AMEX/ASE), 77

(ADRs), 739
, 736

(Axels), 485
, 779780
(TLa), 480
. .
, 436, 456
, 426
. . ,
, 23
,
(), 426427
, 17
, 785
, 665
, 313317
, 313
, 315317

837


, 668669
, 655
, 669
, 644645
, 606612. . ;

(MVA), 611
614615
, 791792. . ; ; ; ; ;
; ;

, 491
, 495
-, 621
, 757
, 631
, 491495
, 495

, 628, 630632
, 672
,
636638
, 633636
(AZX), 86
, B C , 371

(PSA), 344345, 351, 374
(BMA), 351,
352, 357

(CMSA), 731

(SLMA), 153, 160161, 223
, 77
, 289
, 429
, 20
, 282
, 193194
, 179
, 248
, 15
, , 757
, 551, 599
, 797
, 794
.
, 797

, 223
, 192, 197
(BIS), 423
, 172173
, 173174
, 173174

(BICs), 567, 572
, 252, 253, 686. .
11; ; ; ; , 705
. . . .
, 696, 703
, 466
, 153, 216
, 244
, 746, 753, 627
, 622, 724, 745, 746
, 174
, , ,
, 757
, 208209
, 33, 41, 622. . ;
, 641
-, 708

(EFP), 543
, 77
, 735743
, ., 735, 777
, 775
, 775776
, , 735736
(ETF/ ETF/EFTs), 515,
537, 542. . ETF, 548
/, 542547
,
,
/ , 539
, ,
, 26
, , 561, 564
, 751
, 244
, 677
, ., 111
, 101

838


, , 745
(BBI), 770
, 79
, 513515
, 99
. . -; ;
; ,
, 91
(FV), 5354

, 466
.
, 91
. . , 620
, 190
Treasury Direct, , 192
, 140
. , (CBD), 416
, 141

(BEA), 140
(), 642
WAC (GWAC), 427
, 595
, 807
, ,
821822
, 34
, 34
, 751
, 677
. .
(ITM), 743
, 750
, 148152
, 765
, 149151
, 682
, 684
. .
, 682693. .
, 693
, 691
, , 692
, , 691
, 689
- , 687688
, 693
, 86, 99, 477, 509, 512. .
; -

;
, , 547
, 528
, , 532
, , 521
NAV,
, ,
532
, 529531
, 516
,
, 528
, , 522
,
, 606
, 517
, 549
, 532
(TWR), 58
, 58-59

(MWR), 5859
(OTCBB), 83
(OTC) . .
,
, 7677. . ,
, 735
, 759
, 735
(OTM), 743
, 77
, 250
, 50

, 377378
, 378379
, 299
(IRR), 5960.
. IRR; , 54
, 787
. . , 16

(NAV), 512, 548
, 536
,
649, 677
, , 269
, 328
, 409
, 194
, 244

839


,
491
(RC), 479
, 201

, 514, 515
, 744
, 504
, 196199, 248
, 481482
, 539540
, . .

, 705
(LBOs), 268
, 691
, 697
, 697
. .
, 694
, 696
, , 696
. . ;
, 294
, 609
, 579, 787
, , 235
, , 702
, 522
, 114
, 509
, 265, 270, 503
, 270
, 750

: , 602
; , 602
, 63
/ .
. /
, , 710
-
(GAO), 23
, 67
. . ;
, 73

, 289
, 486
, 486
, 485


, . .
. -
. .
. . , ,
459, 479
, . .
, 515
, 351
, 735
, 17
, 750
, 351
, 689

,
462463

, 464
, 452456
, 627, 628, 749
, 50, 200, 342, 344, 346.
. ,
; ;
;
, 459
, 355
, . . .
. , 495
, 449
, 52
, 491502
, , 495
, 304
, , 45, 55
(DTC), 552
Standard & Poor's
(SPDRS), 539, 542, 544. .
SPDR;
SPDR
(HOLDR), 553556
(CD), 472. .
;
, 168171
. . , 169170
, 170
, 26

840


, 523
, 133
, 512
, 134
. . ; ;
; , , 734
, , 33
. .
, , 107
, 446, 447, 508509, 567. .
;
;
, 31
, 728
, 30
, 36, 40, 76
, 284
, 293
, 753
, . .
, , 40
, 99
, 153, 154
, 302
/ , ,
640, 641

(ROLs), 245
, 750

(EVA), 115
, 247
, 252
, 252
(), 687

(GACs), 572573
, MEC, 599
, 171178. . ; ;
, , 176177
, 176
, 177
, 179
, , 176
. . , , 182
, , 808
. .
, 262263. . ;
, , 236240
(EMD), 298
, 306308
, 300

, 305
, 323
, 327
, 428
. . ;

;
, 15
, ., 1314
, 1314

(VRDOs), 240
. .

, 258259
.
. , 258259
,
236. .


(QIDS), 217
, 584
, 758
,
, 765770
(LEAPS), 740
,
, 528
. . ;
( ); ; , 712
, 348
, 263
, 216217
, , 238
( ),
698706
, 306
, 246
, 164
, 252
, 481482
, 248
, 176
, 21
, 22, 352
NAS , 391
, 383384
, 518
(ILFs), 418

841



(ALF), 418
(SNFs), 418

(SLS), 438

, 36
. .
,
(EBITDA), 694
, 306
, 771
, , 6567
(ROI), 5051
, 190
, 40
, 40
. . ; ; ; ; ; ;
;
, 212
, 41, 42, 45
, 288
. . , 36
, 226, 249, 250
. .
, 40
, 151
BEY), 152
, 791
, , 50
(.)
, 319321
. . ; ; ;
; ; ; ,
;
;
; ;
; , 6364
. . ;
;
. . . .
, . .
. .
, 724
. .
,
, 478
, , 4748

, 168171
, 210, 213, 570, 579. . ; ;
; ,
, 35, 36
( ), 169
, 765
, 483
, 515, 537
, 316
, 736
, 736
(TIP), 544
. . , 16
, 457
, 607
, 45, 51
, 4448
, 586
, 516520
(MIP), 553
. . -
. . ,
, 277
, , 370373
,
, 138
, 797
, 26
, 236
(HEL), 394. .
. . . . ;

, 475
. . , , 476
, 371, 379. .

371
, 474
, 433434
(MH), 394, 399

. .
, 475478
, 348, 370
, 474
, 474
, 482485

842


, .
.
, 618
1978, 252, 253, 259
1940 .
1940, 514, 522, 530, 618, 620

1996 ., 618
1993 .,
234

1987, 224

1988, 530

1974 (ERISA), 390, 423, 572,
682
,

(FIRREA), 224
1988
(TAMRA), 599
(CEA), 618, 815
1939, 262
1933,
129, 163
1933, 91, 129, 618
1934, 529, 530
, 384
, 429
HELs, 394
REIT, 717, 729
, 611
, 471
(RIAs), 532
, 79
, 243244
, 19
, 19
, 89
, 89
/, , 8889
, 128130
, 377, 407
, 488
, 409
, 440, 462
, 96
, 645647
, 567, 571
. . , . . -

, , 30
, 699
, 3037. .
, , , 812
, 477
. . , ,
, 528, 530. .

. .
, ,
, 512
, 307
,
, 584
, 585
, 589

(REIT) (REITs), 400, 405, 708. . REIT,
, 714716
, 548.
.
, 512,
513

, 209, 702
, ,
. . ;
; ; ;
; ; . .
, , 52, 55
,
, , 55
, 13, 14
,
, 699703
, ,
708711
, 768
, 28, 734, 740, 753
Barclays CTA, 824
, 344, 345
, 345

, 271

(EMBI/J.P. Morgan), 305307
, , 38

843



, 727
, 787791
(TR),
789791
, 789791
, 545. .

(Nuveen
Investments), 547
, 547
, . .
, 104
, 523
Corporate/Government
(Lehman Brothers), 721
(CPI), 204207
, 31
, ., 31
(Cost of Funds
Index, COFI) Coggin, T. Daniel, 121
(CPI-U), 204. .


, 739740
, 813
, 26

(Individual retirement accounts IRA), 613
, 104106
, 114
, 106109
. .

, 474
, 26, 29, 43,
98100, 217, 474. .
, 658
, 26
, 480
, 1316

, 152161
, 15
, 14, 199
, 13
, 440
(IR), 671
, , 127138
, 334340. . ;
balloon ();


. .

, 254, 255
, 779
. . , 335
, 405
, 413418
ABS, 371, 396401

(ARMs), 339341, 349
balloon (),
341
, 254255

, 255
, 784
, 789791
, 792
, 784786
, 784786
, 787
(MBSs), 334.
. MBS; MBS; MBS; MBS;
MBS, 632633
PPR, 721

, 737
, 735
(CMT), 340, 788
, 199200
, 201
,
, 187. . , 769
, 199
, 631
, 148, 197, 204
, 119
,
332, 533
, 17. .
. . ,
734735. . , 736
, 12
. . ,

, 687
, 120121

844


, 121122
, 735
. . , 692. . ;
, , 693
,
, 551, 598. .

. . , 529
, 19
, 13
, 246
, 769
(GSE), 218
,
, 225
, 219220
, 225
. .
GSE , 220225
/, 219
, 304
, 407
, 520. .
, 120
, 470
471
, 476
- / , , 623
, 571
, 686
, 9092
, 516518. .
, 485
, 531
, 484
(CTC), 448
, 484
, 484
, 554

(CFTC), 664, 812, 815

(SEC), 77, 120
, 128
, 96
, 128, 133
, 212
, 132

, 484
, 531

(IASC), 133, 138
, 161165. .

; ;
, 163164
VRDO, 240
, 164
MBS (CMBS), 402407. . CMBS;
CMBS , , 411412
, 402403
, 712
, 712
, 711
- , 423
/, 720
, 406409
, 404406
, 717720
, 190
. . , 7677
(DPCs), 758

(REOC), 714

(LLCs), 690
, 593595
, 385386
, 460
, , 773
, 768
(DECS), 296
, 276278
, 278
,
(.), 279280
, 280281
, 273277
, 281
, 278
/, 282
, 281
,
293295
, 295
(CBO), 479

(CTAs), 664, 812

845


. .
, , 585, 590
, 580
(
), 574, 612. . GIC ; GIC
, 573
, 581
,
569
, , 571
, 101
, 77
, 743
,
, 825830
, 760
. .
, 103
, 117
-, 618619
, 623
, 377
, 700
, 252253
, 683
, 254273
, 263
, 265
, 263

, , 533
, , 689690
, 153, 216

(FFCBFC), 223
(FACO), 224
, 319320
, 213214
(R-).
.
, 336, 371

(FCCR), 447
, 644
. .
, 278
. . , 273276
, 293294
, 797

. .
, 239
240
,
, 765, 766
, 236
, 181
, 702
, 751,
758
. .
; , 244. .
, , 33
(CLNs), 800, 810
. . , 92
, 371
, 798
, 799
, 804
, 795
, 794
-, 797
, 237,
406, 457 . ,

;
;
; ,
, 377379
. .
, 795796. . , 806
C, 265
. .
, 799. .

, , 791
. .

, 568
. . MBS
. .
, 398
, 807
, 801
, 806
, 711
, 428
, 758
, 33, 163, 179, 225, 246247.

846


. , , ( ), 653
, ,
794, 795
, 313314
, 794
, 478
, 419421
, 496. .

, 263
, 248
, 284
,
, 198
, 280, 441
, 14
, 797
, 14
, 807
, 804
, 465
, 394
, 439
, 395
, 16, 780
, 439
, 487, 728
, 20
, 664
, 664
(LIBID). . London Interbank
, 87
, 80
, 87
, 87
/, 113
(Mill'), 765
, 438
, 825
, , 476, 478
, 736737, 750751. .
, 22, 171, 769. .

, 470
- (MOT), 453
- , 453
-. . -, 452454
-/, 661
, 266
, 196
, 197

(ISDA), , 780
, , 798
, ,
734
(IMF), 314,
323
, 181
, 414
, 699701
, 699
. .
, 703
, 703
, 701
, 703
, 703
, 407
, 490
, 701702
-, 704. . -
/ , , 664665
, 678
, 667
, , 674
, 668
, 661670
, 659
, 669
, 648
, , 665
, 665
. . -
, 686
, 679
, 661
, 577
, 794
, 121
, 247

(SMM), 344346
, 408
, 380381
, 386
, 517
, 449
, 452, 475
-, , 543

847


(RMD), , 609
, 140
, 455
(MDA), 130, 134
, 479
, 413
, ,
708, 717
, 708

, 4041
, 745
(CAPM), 41, 623
, 756
, 61

(MEC), 599
, 239
. . ;
. .
, 248
, 245
, 230. .

; , , , 235
, , 233235
, 236245
, , 230232
,
, 250
, 265
, 94
, 277
, 434
, 179
, 517
, 768
, 751
: , 598,
599, 602
, 601606
, 365366
, 15
, 6869
, , 776

, . .

, 377
, 19
, 598
, 570
, 662
, 247

, 230233
, 250
. . ;
; ;
IRR, 74
, 7273
, 71
() , 53
, 15

(NASD), 77, 82, 518, 530
(NAREIT), 715
, (NAREIT), 731
, (NCREIF), 402, 713
(NAIC), 423

(NFA), 664, 812
294
, 375
CMO, 375
MBS, 375379
, 380385
, 137, 138
, 186
, , 137138
, . .

, 96
, 698, 704
. . , 723
/ , 710
. . ; ;

, , 711
, 723
. . . . , 726
, 700
, 32

848


, 79
. .
, 95
, 190
,
284
, 114
, 607
,
260261
, 460

, 236
, 193
/, 46
, 48

(NSA
CPI-U), 207
, 31
, 343
, 89
, 407
, 239
(NAS) ,
388393. . -NAS,
. . -NAS, , 392
, 388390
, 208
, 208
, 14
, 14, 497, 797
, 14
, 493
- . .

(VPTN), 435
(RANs), 239

(TANs), 239
, 806
, 90
, 199
- , , 814
- (NYMEX),
813
- (NYBOT), 814
- (NYSE), 77,
79, 84, 545
, 105
- , 814
. .
, , 334

. .
(ABC)
, 166

(CBO), 490
, 242243

(CDOs), 400, 445, 490. . CDO, , , 507
, , 505509
, 506
, 505506
, 506
, 490491

(CMOs), 358, 787. .
CMO; CMO; CMO

(CLOs), 474, 477, 490, 504
, 254259
, 300303. . ;

, 584
, , 16
, 825830
. .
, 301

(BANs), 239
, 264
, 784
, 186187, 814
, 766
, 768

, 805
, 363365
, 264
() , 264265
, ,
236237
, 240. . ; ; ;
; ;

,
, 247
, 242

849


, 242

, 241
, 241
, 241242
, 241
, 237
, 237
, 268
, 16
, 268
, 268
(PAC),
, 428
, 365368
(RRB)
(RRBs), 448
, 445
, 630
-NAS, 388393
NAS, , 391393
, 388390
, 267
, 779

(OID), 234
, 234235
, 276
, 197
(GARCH), 320
, 179
, 196
(NRSROs), 291

(GAAP), 566
, 262
, 30
. .

, 571
, 417418
, 405
, 405
, 198
, 27
. . , 281
, , 109120
, ., 76

, 488
, 486
, . .

, /, 255
. .
, 684
, , 254
, 294
. .
, 131
(), 781, 782
80.
, 316

, 236
, 689
, 486
, 800
, 748749
, 322325
CPR. .
(CPO), 664, 812
, 99, 551
, 97
, 518. .
. . . . , . . ,
, 394
f (PIK), 545
, 598
, 598
(PUAs), 597, 602
. . . .

, 641
(FLEX), 735, 740

(OCC), 736
, 480
, 735. .
;
, ., 750
, 743
, 735
, 735
, 745748

850


. . ; , /, 741742
, 743
. . ;

, 479
, 17. . , 743
, 741
, 739
. .
,
, 735
, 743745
, 748749
, 483

(HMO), 242
, 16. . , 461
, 187194
, 423424
, 32

(COFI), 340
, 308309
MBS, /, 350352
, 308309
, 539540
, 416417
, 429
, 429

, 429
, 184
, 254
ETF, 548552
, 262
, 607. .

(FPDA), 610
, 113
, 190
, 113

(LTV), 336, 348
. . 125
LTV , 336, 348, 371, 372, 447

(P/B), 121
, 17


, 563
, 375376, 379
, 415416
, 236
, 180
, 761
, 267
(UIT), 549, 553
, 515
, 569
, 313
-, 748
, . .
, 37
, 795
,
, 26, 201
. .
, 566
, , 580581
(IPO), 514, 555,
594, 683
, 192193
, 255
, 256
, 112
, 608
, 607
, 784
, 758
, 482
, 123
, 277, 678
, 47
, 339, 383
, 650
, 590
, 447
, 47, 69
, 494
, 438
, 611
, 494
, 326
, 309
, 300303
. .
, 675

851



(SWP), 615
, 314
, 571
, , 769
, 534
, 784
. .
, 90
, 219
, 677
, 553
, 675
, 14
, 705
. .
, 758
-, -
(), 109110
-, 109110. .
-
, 596

(CVWLI), , 596
, 597
, 758
(DSC), 417418
, 420
, 247
, 576, 580
, 797
, 506

, 348
, 376
, 396
. .

, 336339
, 260
, 107
, 555
, 668
, 537, 542543. . ; ; .
. ;
. . ; , (), 720
, 580. . ;
. .
;

, 109
, 40, 41
. . -
, , 805
. . , 37
, 460
, , 720727
, 315
, 692
, 429
(DB), 609. . ;
, 609
, 609
, 518
, , 94
, 86
, 685
, 252
/, 253254
, , 112
-, 90
80. . . .
; , , , 308
, 454
, 180
. .

, 234
, 599
, , 140
, 244
/, , 479
, 531
( 80), 104
, , 138139
, 675
, 458
, 801
, 584
, , 116
, 285

(ARPS), 288
, 284

, 287

852


(PERCS), 296
, 284. .

; ; .
; ;
;
;
. . ,
, 285290
, 291293
, 285290
(PRIDES), 296
.
.
-
(TOPrS), 295
. .
, . .
. .
, 256
, 591
, 706709
, 706
, , 704
. .
, , 706
, 705
. .

, 623
, 497
, 101103
, 535
GSE, 219

, 471
(TOB), 245
, 797
, 595
, 595
, ,
595
(G&R), 255
, 567571
, , 346
, 758
, 163

, 269
, 140
, 709
, 671

(PPC), 374
, 133
, 800
, 169
, 53
. .
/, 741
NAS. . , 365
, 53
, 780782
/, 781
, 764
, 780
/
, /, 778
, 355
, 356
, , 235
. . ;
; ;
;
, 773
, 235
. .

. .
. .
c
, , 658
, 98
, 686
, 684
. .

, (.), 162163
, 278
, , 712714
, 714716
, 80
, 812
, , 739
. . ;
, , 584
3(C)(7)
, 701

853


, (), 128
, 495

, 460461
, 530
, 532. . , 533
, 538
. . ,
. . -, 28
, 47-52
, , 2636
, -
(), 644
, , 40, 41
. . -, , 627, 644
, 677
, 279
. . ,
1940 ., 664
, 597
. . . . ;

ETC (EETCs), 441442
, 48
, 208
, 210211
, 494. .
, ; , 437
, 132

(RIC), 528, 530, 553
, 734
. . -
, 407. .
, 247
, , 34
. .
,
287, 289
(HIC), 181
, 156157
, 211, 219
, , 1617
, 244
, 224, 252, 402, 581
, 673, 764
, 16, 629
, 384, 411

, 420
, (), 810
, 430
, 673
, 33
, 658
, 37
. . ; ; ; ; ;
; ; ; ; ; ;
; ; ,
. . ,
, 30
, 672673
, 765
, 309310
, 674
, 41
, (),
721722
, 421423
. . , . . ;

, 350
(PLUS),
438
, 99100
, 477
,
, 99, 100
, 84
(GARP), 122
, , 822823
, , , 22, 23
, 23
, 307
, 321
, 200,
245
, 100
, 19
. . C
; ; , 107
, , 808
, 27
, 307313
, 277
. . , , 234

854


. .
. . , , 34, 627
, 653
, 626
, 618
, 197
, 574
, 35, 47
, 491494
, 496497
(MVE), 45, 51
, 4546
(BMV), 52
(MVB), 51
, 53
- - , 116117
- -, 640
- -
, . . , , 651
. .
- , , 655657
, 657
, 665670
, 645
, 644
, 670
, 671
, 621643
, 554
, 107
Value Line (VLCA), 105
, 789
(TRSs), 801804
, 809
, 809
. . ; ; ; ;
, . .
, 492
, 764
, 780
, 780
, , 779
, 777
, 779
. .
(IR), 138
Cash-and-carry, 768
, 149
, 351

. . ;

. . ,
. . ;
( 80), 104
, 93, 96
, 93
, 96
, 228

(NAICS), 141
SPDR, 542
, 523, 546
MBS (AMBS), 223
,
, 820821
. .
, 85
, 456
(PC), 343
(ROCs), 245
(CLCs), 404
, 107. .
. .
, 751
, 476
. .
, , 475
, , 479
.
, 807
CDO, 504
GIC, 568
-, 570
, 569
. . ; -;
, 570571
, 809
,
, 579

(FFCBS), 223
(SOES), 83
, 122123
. .

,
(.), 443
, 343
, 112

855


, 107
, 554
, 281
, 57
, 533
, 133
, 648
, 7173
, 193
(TR), 801
-, 606
, 685
. .
, 685
(FAs), 175
(FRAs),
772774
, 696
, 263, 264
, 79
(SPV), 431,
448, 449
, 139
, 672
, 465
, 77
, 479
(TBA), 351
, 265
/, 95
, 34,
96, 417
. . ; ; , 309
(OAS), 272, 632
, 326
, 370
, 69
(WAC), 342, 351,
359. . WAC
, 496

(WARF), 496, 497
(WAM),
342, 346, 357, 359
, 7071
, 77
(MTNs), 272273
, 349
, 638. . ; ; ;
. . ,
, 667
, 320

, 69
, 13
, 496
. ;
, 14
B/C/D, 480
, 480. . ;
- (S&L) , 412
, 572
,
, 566567
, 570572
, 464
, 342
, 91
, 808
, 757

(SIC), 141
, 800
, , 133
-, 682, 685
, 700
, 500
, 271
, 500
, 271
, 260
, 271
, 399, 490
. .
, 496
, 505
, 498
, 805
. .
().
. ;

, 429430
, 495
, 31
. .
(NAV), 56, 512.
. NAV;
, 512
-, 87
- , 87
- , 88
, 87
, 431432

856


, 463
-, 735, 736
. . , 642
, 696
, 115120
, , 111112
/ , 110. . , , 236
, 162
. . ;
;
,
, 584585
. .

591592
, 587590
, 593595
, 604
, 599

, 595
, 585
, 604
, 597
, 576. . . .
; , 593595
, 575
, 200
c , 380
, 246
, 246
/ , 406407
,
247. .
, 797, 805
. .
; -NAS
, 430431
. . MBS
. .

, 567
, 268
, 403, 406
, 405
/ , 493
/ , 491
493

, 500, 501
, 271
, 378
, 6365
, , 6365
, 304, 305
, 701
, 638
,
(CIA), 463
, 678
, 46
, 544
, 533

(SuperDOT), 79
, 171
, 163
, 408
, , 643
(CCA), 463
, 496497
, 339
, 31
, 149
, 377, 378
. ,
(TIIS), 204
. , (TIPS), 204214
, 205206
, 94
() , , 696
, 675
, 746, 748.
.
(PV), 53
, . .
, 63. .

, 112
, 114
, 749
, 107
. . , , 107
- (COMEX), 813
, 812. .
, 726
(PO), 355
, 355
, 355
(IO), 356

857


, 414
, 414415
, 537550
, 547550
, 518
(QSR), 446
, 27
, 245, 358363. . ; ;
;
, 428
, 378
, 532

(RTC), 224, 402, 403, 717, 719

(ETCs), 256257. .
ETCs
, 491
, 82
, 77
, 84
. . -
, 603
, 469470
, 32
, 734

(SBA), 427, 432
, 438439

, 153, 216
, 153
, 575580
, 576

(TVA), 153, 216
, 153
, 477
, 813. . ; ; ; ;
,
. . ; , ,
813815
, 815
, 815818
, , 818
, 671
, 449
, 450

, 449
, 239
, 405
.
. , 494495
, 603
, 701
, 663
(), 486487. .
; ; , 486
, 611
, 1617, 277. .
, 17, 277
, 320
, 87
, 778

(CPR), 344345, 434
, 772. .

- , 89
, 284

(CDSC), 517
. . .
.
() , 483
, 566
, 47
, ., 93, 125, 254, 402
, 312
-, 33
, 314
(FHLMC), 153, 156, 218,
814
(GNMA), 352, 404
, 822
, 785, 787
(FSLIC), 224
(ENMA), 153, 218, 219
357, 400, 544
(FFELP), 437
, 193
, 193

, 153, 160, 218, 222

(FHLBank System), 153, 157,
218, 222

858



. .


(FFCS), 157
(FHA), 242, 336, 404
, 216217
, 220
, 223
, 220
, 171172
, 750, 751
1958, 259
, 173174, 197
, 152, 153
, 205
-,
191, 193
, 225
;
, 175, 186, 217
, 610
, 303, 311
, 779
, 779

(CMT), 217, 340
(CMT), 788
, 700
. . , , . .
(FICO), 224
, 398
, 373
, , 682, 683
( ), 256258
(FICO), 224
, 126127

(REFCORP), 224
,
, , 130132
, 12
, , 12
, ( ), 2022
, 1819

. .
,
, 518
, 19
, 1920
22
, 19
, 487
, 13, 126, 127
, , 818
, 470471
, 99
, , 599
, 599
. .
, 781
, 540
, 247
, 543, 668
, 247
, 285
, 16
, 691
. . - ;


(Nuveen Investments), 547
BRASS, 85
, 512
, 692
, 521
SPDR, 539
, 247
, 655, 674, 779
. . 8-K, ; 10-K, ; 10-Q
- / , 623
, (.), 107108
, 107

, 770772
, 770771
. . ; ; ; ,
200, 766. .
; ;
; ;
, 771772
. . ,

859


, 743
. . ,
, 771
. . . .
-, 618. . ; / ; - ;
-
- , 621, 624
- / , 621
, 655, 659
, 639
- , 639640
- , 647
, 704
, 238
, 375
, 735
, 17. .

, 18
. . ; ,
18
, 103
. .
, 498. .
, 741, 770
, 198
, 186187
, , 187
, , 433
, 433
, 433434
, 434, 437
, 434436
,
(ABS), 335, 426. . ABS, ; ABS, ; ABS,
( ABS). .
,
; ABS c , 427
,
, 429430
, 431
, 271

, HEL.
,
;
,
, 397
,
, 426
,
, 394396
, 396
, 394395
,
, 399
,
, 397
,
, 441442
,
, 437
, 438
, 438440
,
, 440
, 446
, 447
, 445
. .
;
;
; 199
. .
,
, 504
. . ,
, 107
. .
, 301
, 15
, 15
, 198
, 216
, 708
, 63
(), 107
, 153, 216
, 812
CMBS, 403, 405
, 567
, 8485
(CBOE), 739
(CBT7 CBOT), 766,
768, 814

860


(CME), 225, 543,
770, 813
/ , 447
(NOI), 419, 724
, 753
(TNW), 487
WAC, 377
, 337
(NOF), 51
(NIF), 5152
, 337
, 801
, 727
, 726
, 800
, , 250

(PPMs), 339
, 16, 34. .
,
; , , 348
. .
, 344
, 483
, 410
, 36, 409
, 428
, 611
, 249

, 281
, 758759
, 758
. . -
. .

(ECNs), 77, 85
1973, 823
/, 239
, , 818824
, . .
-
, 219
. .
, 211213
,
LBO, 695
. . ,
, 99100
, 38
, 119
, 119
, 506
, 506
, 506
. .
;
-, , 118, 119
. . -
, 152, 216
(), 169


.
.
.
.
.
.
.

12.01.2010.
701001/16. Charter. .
. . . 70,0.
.