1、INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin CHAPTER 2 Asset Classes and Financial Instruments INVESTMENTS | BODIE, KANE, MARCUS 2-2 Asset Classes Money market instruments Capital market instruments Bonds Equity Securities
2、Derivative Securities INVESTMENTS | BODIE, KANE, MARCUS 2-3 The Money Market Subsector of the fixed-income market: Securities are short-term, liquid, low risk, and often have large denominations Money market mutual funds allow individuals to access the money market. INVESTMENTS | BODIE, KANE, MARCUS
3、 2-4 Table 2.1 Major Components of the Money Market INVESTMENTS | BODIE, KANE, MARCUS 2-5 Money Market Securities Treasury bills: Short-term debt of U.S. government Bid and asked price Bank discount method Certificates of Deposit: Time deposit with a bank Commercial Paper: Short-term, unsecured debt
4、 of a company INVESTMENTS | BODIE, KANE, MARCUS 2-6 Money Market Securities Bankers Acceptances: An order to a bank by a banks customer to pay a sum of money on a future date Eurodollars: dollar-denominated time deposits in banks outside the U.S. Repos and Reverses: Short-term loan backed by governm
5、ent securities. Fed Funds: Very short-term loans between banks INVESTMENTS | BODIE, KANE, MARCUS 2-7 Yields on Money Market Instruments Except for Treasury bills, money market securities are not free of default risk Both the premium on bank CDs and the TED spread have often become greater during per
6、iods of financial crisis During the credit crisis of 2008, the federal government offered insurance to money market mutual funds after some funds experienced losses INVESTMENTS | BODIE, KANE, MARCUS 2-8 The Bond Market Treasury Notes and Bonds Inflation-Protected Treasury Bonds Federal Agency Debt I
7、nternational Bonds INVESTMENTS | BODIE, KANE, MARCUS 2-9 The Bond Market Municipal Bonds Corporate Bonds Mortgages and Mortgage-Backed Securities INVESTMENTS | BODIE, KANE, MARCUS 2-10 Treasury Notes and Bonds Maturities Notes maturities up to 10 years Bonds maturities from 10 to 30 years Par Value
8、- $1,000 Interest paid semiannually Quotes percentage of par INVESTMENTS | BODIE, KANE, MARCUS 2-11 The Bond Market Inflation-Protected Treasury Bonds TIPS: Provide inflation protection Federal Agency Debt Debt of mortgage-related agencies such as Fannie Mae and Freddie Mac International Bonds Eurob
9、onds and Yankee bonds INVESTMENTS | BODIE, KANE, MARCUS 2-12 Municipal Bonds Issued by state and local governments Interest is exempt from federal income tax and sometimes from state and local tax INVESTMENTS | BODIE, KANE, MARCUS 2-13 Municipal Bonds Types General obligation bonds: Backed by taxing
10、 power of issuer Revenue bonds: backed by projects revenues or by the municipal agency operating the project. INVESTMENTS | BODIE, KANE, MARCUS 2-14 Figure 2.4 Tax-exempt Debt Outstanding INVESTMENTS | BODIE, KANE, MARCUS 2-15 Municipal Bond Yields To choose between taxable and tax-exempt bonds, com
11、pare after-tax returns on each bond. Let t equal the investors marginal tax bracket Let r equal the before-tax return on the taxable bond and r m denote the municipal bond rate. If r (1 - t ) r m then the taxable bond gives a higher return; otherwise, the municipal bond is preferred. INVESTMENTS | B
12、ODIE, KANE, MARCUS 2-16 Table 2.2 Tax-Exempt Yield Table The equivalent taxable yield is simply the tax-free rate, rm , divided by (1-t). INVESTMENTS | BODIE, KANE, MARCUS 2-17 Corporate Bonds Issued by private firms Semi-annual interest payments Subject to larger default risk than government securi
13、ties Options in corporate bonds Callable Convertible INVESTMENTS | BODIE, KANE, MARCUS 2-18 Proportional ownership of a mortgage pool or a specified obligation secured by a pool Produced by securitizing mortgages Mortgage-backed securities are called pass-throughs because the cash flows produced by
14、homeowners paying off their mortgages are passed through to investors. Mortgage-Backed Securities INVESTMENTS | BODIE, KANE, MARCUS 2-19 Mortgage-Backed Securities Most mortgage-backed securities were issued by Fannie Mae and Freddie Mac. Traditionally, pass-throughs were comprised of conforming mor
15、tgages, which met standards of credit worthiness. INVESTMENTS | BODIE, KANE, MARCUS 2-20 Mortgage-Backed Securities Eventually, “Private-label” issuers securitized large amounts of subprime mortgages, made to financially weak borrowers. Finally, Fannie and Freddie were allowed and even encouraged to
16、 buy subprime mortgage pools. September, 2008: Fannie and Freddie got taken over by the federal government. INVESTMENTS | BODIE, KANE, MARCUS 2-21 Figure 2.6 Mortgage-backed securities outstanding INVESTMENTS | BODIE, KANE, MARCUS 2-22 Equity Securities Common stock: Ownership Residual claim Limited
17、 liability Preferred stock: Perpetuity Fixed dividends Priority over common Tax treatment American Depository Receipts INVESTMENTS | BODIE, KANE, MARCUS 2-23 Stock Market Indexes Dow Jones Industrial Average Includes 30 large blue-chip corporations Computed since 1896 Price-weighted average INVESTME
18、NTS | BODIE, KANE, MARCUS 2-24 Example 2.2 Price-Weighted Average Portfolio: Initial value $25 + $100 = $125 Final value $30 + $ 90 = $120 Percentage change in portfolio value = 5/125 = -.04 = -4% Index: Initial index value (25+100)/2 = 62.5 Final index value (30 + 90)/2 = 60 Percentage change in in
19、dex -2.5/62.5 = -.04 = -4% INVESTMENTS | BODIE, KANE, MARCUS 2-25 S pronounced “footsie”) DAX (Germany), Hang Seng (Hong Kong) TSX (Canada) INVESTMENTS | BODIE, KANE, MARCUS 2-27 Derivatives Markets Options and futures provide payoffs that depend on the values of other assets such as commodity price
20、s, bond and stock prices, or market index values. A derivative is a security that gets its value from the values of another asset. INVESTMENTS | BODIE, KANE, MARCUS 2-28 Options Call: Right to buy underlying asset at the strike or exercise price. Value of calls decrease as strike price increases Put
21、: Right to sell underlying asset at the strike or exercise price. Value of puts increase with strike price Value of both calls and puts increase with time until expiration. INVESTMENTS | BODIE, KANE, MARCUS 2-29 Futures Contracts A futures contract calls for delivery of an asset (or in some cases, i
22、ts cash value) at a specified delivery or maturity date for an agreed-upon price, called the futures price, to be paid at contract maturity. Long position: Take delivery at maturity Short position: Make delivery at maturity INVESTMENTS | BODIE, KANE, MARCUS 2-30 Comparison Option Right, but not obli
23、gation, to buy or sell; option is exercised only when it is profitable Options must be purchased The premium is the price of the option itself. Futures Contract Obliged to make or take delivery. Long position must buy at the futures price, short position must sell at futures price Futures contracts are entered into without cost
