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Part Ⅰ INTRODUCTION 1

Chapter 1 Introduction 1

Chapter 1 Introduction 1

Financial Assets 2

Debt versus Equity Clairns 3·The Price of a Financial Asset and Risk 3· Financial Assets versus Ta 4

Financial Markets 6

Market Participants 7

Globalization of Financial Markets 8

Classification of Global Financial Markets9· Motivation for Using Foreign Markest and Euromarkets 10

Derivative Markets 11

Types of Derivatiue Instruments11·The Role of Derivative Instruments 12

Summary 13

Chapter 2 Financial Intermediaries and Financial Innovation 17

Chapter 2 Financial Intermediaries and Financial Innovation 17

Financial Institutions 18

Role of Financial Intermediaries 19

Maturity Intermediation20 ·Reducing Risk via Diversification20· Reducing the Cost of Contracting a 21

Overview of Asset/Liability Management for Financial Institutions 22

Nature of Liabilities 23 ·Liquidity Concerns 24· Regulations and Taxation 25

Financial Innovation 25

Categorization ofFinancial Innovation 25· Motivation for Financial Innovation 26

Asset Securitization as aFinancial Innovation 27

Benefits to Issuers 28· Benefits to Investors 29· Benefits to Borrowers 29· Implications of Secur 30

Summary 31

Chapter 3 The Role of the Government in Financial Markets 34

Chapler 3 The Role of the Government in Financial Markets 34

Purposes and Forms of Regulation 35

Justification for Regulation 35 An Introduction to Forms of Regulation 36

Regulation in the United States 37

Regulation in Japan 41

Regulation in Germany 43

Regulation in the United Kingdom 45

Regulatory Reform 47

Summary 48

Chapter 4 Depository Institutions:Activities and Characteristics 52

Part ⅡDEPOSITORYINSTITUTIONS 52

Chapter 4 Depository Institutions :Activities and Characteristics 52

PartⅡ DEPOSITORY INSTITUNONS 52

Asset/Liability Problem of Depository Institutions 53

Interest Rate Risk 54·liquidity Concerns 55

Commercial Banks 56

Bank Services61·Bank Funding62·Regulation 65

Savings and Loan Associations 72

Assets72·Funding74·Regulation 74·The S L Crisis 75

Credit Unions 77

Savings Banks 77

Summary 78

Chapter 5 Central Banks and the Creation of Money 84

Chapter 5 Central Banks and the Cretion of Money 84

The Central Bank of the United States:The Federal Reserve System 85

The Central Bank and Money Creation in the United States 85

Instruments of Monerary Policy: Howthe Fed Influences the Supplyof Money86·Different Kinds of Money 94

The Central Banks of Other Countries 96

Germany 96·Japan97·United Kingdom 97

Summary 99

Chapter6 Monetary Policy 102

Chapter6 Monetary Policy 102

Monetary Policy in the United States 103

Goals of Monetary Policy 103·Trade-Offs and Conflicts among Policies108·Goals and Types of Targets 111

Goals and Targets of Monetary Policy in Other Economies 116

Germany 116·Japan 117·United Kingdom 118

Summary 120

Part Ⅲ NON-DEPOSITORY FINANCIAL INTERMEDIARIES 122

Chapter 7 Insurance Cornpanies 122

Chapter 7 Insurance Companies 122

Part Ⅲ NON-DEPOSITORY FINANCIAL INTERMEDIARIES 122

Fundamental Characteristics of the Insurance Industry 123

Insurance Policy and Premiums 123·Surplus and Reserves124·Determination of Profits 124·Government 125

Life Insurance Companies 126

Liabilities and Liability Risk127·Types of Policies127·Investments 130

Propexty and Casualty Insurance Companies 131

Nature of the Liabilites131·Inrestments 132

Financial Trends in the International Insurance Industry 133

Summary 135

Bancassurance 133·Cross-Border Activities134·Pension Funds and Insurance Companies 135

Chapter 8 Investment Companies 139

Chapter 8 Investment Companies 139

Types of Investment Companies 140

Open-End Funds 140·Closed-End Funds141·Unit Trusts 143

Structure and Expenses of a Fund 144

Types of Funds by Investment Objective 144

Economic Motivation for Funds 146

Regulation of Funds 147

Commercial Banks and Mutual Funds 149

The Concept of a Family of Funds 150

Industry Concentration 151

Mutual Funds in Other Economies 151

United Kingdom151·Germany153·Japan 154

Summary 156

Chapter 9 Pension Funds 159

Chapter 9 Pension Funds 159

Introduction to Pension Plans 160

Types of Pension Plans 161

Defined Contribution Plan161·Defined Benefit Plan 162·Hybrid Pension Plans 162

Investments 163

Regulation 164

Managers of Pension Funds 165

Pension Funds in Other Countries 166

Germany166·United Kingdom 167·Japan 168

Summary 169

Appendix:Endowment Funds 170

Chapter 10 Properties and Pricing of Financial Assets 173

Chapter 10 Properties and Pricing of Financial Assets 173

PartⅣ DETERMINANTS OF ASSET PRICES AND INTEREST RATES 173

Part Ⅳ DETERMINANTS OF ASSET PRLCES AND INTEREST RATES 173

Properties of Financial Assets 174

Moneyness174·Divisibility and Denomination174·Reversibility174·Cash Flow 175·Term to Maturity176 179

Principles of Pricing Financial Assets 179

The Appropriate Discount Rate 180·Illustratiom 180·Price and Asset Properties 181

Price Volatility of Financial Assets 183

The Effect of Maturity 184·The Effect of the Coupon Rate 184·The Effect of the Level of Yields 186 187

Summary 192

Appendix:Review of Present Value 194

Chapter 11 The Level and Structure of Interest Rates 198

Chapter 11 The Level and Structure of Interest Rates 198

The Theory of Interest Rates 199

Fishers Classical Approach 199·The Loanable Funds Theory203·The Liquidity Preference Theory 204·C 205

The Determinants of the Structure of Interest Rates 208

Features of a Bond208·Yield on a Bond209·Tne Base Interest Rate212·The Risk Premium 212

Summary 217

Chapter 12 The Term Structure of Interest Rates 223

Chapter 12 The Term Structure of In terest Rates 223

The Yield Curve and the Term Structure 224

Using the Yield Curve to Price a Bond 225·Constructing the Theoretical Spot Rate Curve226·Using Sp 229

Forward Rates 230

Other Forward Rates 233·Relationship between Spot Rates and Short-Term Forward Rates 234·Forward R 235

Determinants of the Shape of the Term Structure 235

Rule 144A 238

The Pure Expectations Theory 236·The Liquidity Theory 239·The Preferred Habitat Theory 240·Market 241

Summary 242

Chapter 13 Risk/Return and Asset Pricing Models 246

Chapter 13 Risk/Return and Asset Pricing Models 246

Portfolio Theory 247

Investment Retum247·Portfolio Risk 249·Diversification252·The Risk of Individual Securities254·E 257

The Capital Asset Pricing Model 258

Underlying Assumptions 260·Tests of the Capital Asset Pricing Model 261

Multifactor CAPM 263

Arbitrage Pricing Theory Model 264

Empirical Evidence 265

Summary 267

PartⅤ ORGANIZATION AND STRUCTURE OF MARKETS 271

Chapter 14 Primary Markets and the Underwritingof Securities 271

Chapter 14 Primary Markets and the Underwriting of Securities 271

PartⅤ ORGANIZATION AND STRUCTURE OF MARKETS 271

The Traditional Process for Issuing New Securities 272

Investment Bankers 274

Regulation of the Primary Market 275

Variations in the Underwriting Process 277

Bought Deal 277·Auction Process278·Preemptive Rights Offering 280

Private Placement of Securities 282

Chapter 15 Secondary Markets 288

Chapter 15 Secondary Markets 288

Function of Secondary Markets 289

Trading Locations 290

Market Structures 290

Perfect Markets 291

Role of Brokers and Dealers in Real Markets 292

Brokers 293·Dealers as Market Makers 293

Market Efficiency 295

Operational Efficiency295·Pricing Efficiency 296

Summary 296

Chapter 16 Treasury and Agency Securities Markets 300

Part Ⅵ MARKETS FOR GOVERNMENT DEBT 300

Part Ⅵ MARKETS FOR GOVERNMENT DEBT 300

Treasury Securities 301

Types of Treasury Securities301·The Primary Market 302·The Secondary Market306·Stripped Treasury 313

Federal Agency Securities 316

Government-Sponsored Enterprise Securities 316

A Look at Non-U.S. Government Bond Markets 319

Summary 321

Instruments for Hedging Foreign Exchange Risk 324

Chapter 17 Municipal Securities Markets 325

Types and Features of Municipal Securities 326

General Obligation Bonds326·Revenue Bonds327·Hybrid and Special Bond Securities327·Municipal Note 329

Municipal Bond Ratings 329

Tax Risks Associated with Investing in Municipal Securities 331

The Primary Market 332

The Secondary Market 332

Yields on Municipal Bonds 333

Regulation of the Municipal Securities Market 334

Summary 335

Part ⅦMARKETS FOR CORPORATE SECURITIES 338

Chapter 18 Common Stock Markets in the United States 338

Part Ⅶ MARKETS FOR CORPORATE SECURITIES 338

Chapter 18 Common Stock Markets in the United States 338

Chatacteristics of Common Stock 339

Trading Locations 339

Srock Exchanges 340·Over-the-Counter Market341·Indeprndent Electronic Trading Systems 341·Trading 349

Trading Arrangements for Insritutional Investors 350

Block Trades351·Program Trades 352

Stock Market Indicators 353

Pricing Efficiency of the Stock Market 356

Forms of Efficiency 356·Implications for Investing in Common Stock 357

Stock Market Crash of 1987 358

Summary 360

Chapter 19 Stock Markets around the World 365

Chapter 17 Municipal Securities Markets 365

Chapter19 Stock Markets around the World 365

National Stock Markets 366

Multiple Listings on National Markets 366·Global Diversification:Correlation of World Equity Market 376

Euroequity Lssues 378

Global Depository Receipts 380

Summary 381

Summary 384

Chapter 20 Markets for Corporate Senior Instruments:I 385

Chapter 20 Markets for Corporate Senior Instruments:I 385

Credit Risk and the Role of Rating Companies 386

Commercial Paper 387

Issuers of Commercial Paper388·Directly Placed versus Dealer-Placed Paper389·Non-US Commerical Pap 390

Medium-Term Notes 391

Size of Market and Issuers391·The Primary Market*392·Structured MTNs 394

Euronotes 394

Bank Loans 395

Syndicated Bank Loans396·Lease Financing 397

Summary 398

Chapter 21 Corporate Senior Instruments:II 401

Chapter 21 Corporate Senior Instruments:II 401

Corporate Bonds 402

Basic Features of a Corporate Bond Issue402·Bonds with Special Features 405·Corporate Bond Credit 413

PrefernedStock 415

Adjustable-Rate Preferred Stock416·Auction and Remarketed Preferred Stock 417

Bankruptcy and Creditor Rights 418

Summary 419

Chapter 22 The Markets for Bank Obligations 423

Chapter 22 The Markets for Bank Obligations 423

Large-Denomination Negotiable CDs 424

Types of Banks Operating in theUnited States 424

CD Issuers 425·Yields on CDs 426

Federal Funds 427

Federal Funds Rate428·Market for Federal Funds 428

Bankers Acceptances 429

Illustration of the Creation of a Bankers Acceptance 430·Accepting Banks431·Dealers 431·Credit Ri 432

Summary 432

PartⅧ MORTGAGE AND SECURITIZED ASSET MARKETS 435

Chaptetr 23 The Mortgage Market 435

Chapter 23 The Mortgage Market 435

Part Ⅷ MORTGAGE AND SECURITIZED ASSET MARKETS 435

Whta Is a Mortgage? 436

Mortgage Origination 436

The Mortgage Originataion Process437·The Risks Associated with Mortgage Origination 439

Types of Mortgage Design 440

Fixed-Rate,Level-Payment,Fully Amortized Mortgages 441·Adjustable-Rate Mortgages444·Other Mortgage 446

Investment Risks 450

Credit Risk 450·Liquidity Risk450·Price Risk 450·Prepayments and Cash Flow Uncertainty 450

Summary 451

Chapter 24 Mortgage-Backed Securities Market 454

Chapter 24 Mortgage-Backed Securities Market 454

Developrnent of the Secondary Mortgage Market 455

Foundations of the Mortgage Market 455·Securitization of Mortgages 456

Mortgage Pass-Through Securities 457

Cash Flow Characteristics457·Issuers of Mortgage Pass-Through Securities 457·Government National M 471

Collateralized Mortgage Obligations 472

Sequential-Pay CMOs473·Accrual Bonds 478·Planned Amortization Class Tranches 479

Stripped Mortgage-Backed Securities 483

Yields on Mortgage-Backed Securities 484

Summary 485

Chapter 25 Asset-Backed Securities Market 488

Chapter 25 Asset-Backed Securities Market 488

Asset-Backed Securities Issuance 489

Cash Flow of Asset-Backed Securities 491

Autornobile-LoanBacked Securities493·Credit Card Receivable Asset -Backed Securities493·Home Equit 495

Credit Risk 495

Summary 496

Chapter 26 Financial Futures Markets 499

Part Ⅸ MARKETS FOR DERIVATIVE SECURITIES 499

Part Ⅸ MARKETS FOR DERLVATIVE SECURITIES 499

Chapter 26 Financial Futures Markets 499

Futures Contracts 500

Futures versus Forward Contracts 506

Liquidating a Position501·The Role of the Clearinghouse502·Margin Requirements502·Leveraging Aspe 506

The Role of Futures in Financial Markets 507

U.S. Financial Futures Markets 509

Stock Index Futures Markets 509·Interest Rate Futures Markets 510

The GAO Study on Financial Derivatives 514

Financial Futures Markets in Other Countries 515

Japanese Stock Index Futures516·Japanese Interest Rate Futures 516

Forward Rate Agreements 517

Summary 519

Chapter 27 Options Markets 523

Chapter 27 Options Markets 523

Options Contracts 524

Risk and Return Characteristics of Options 526

Differences between Options and Futures Contracts 526

Buying Call Options 527·Writing (Selling)Call Options530·Buying Put Options531·Writing (Sellimg)P 534

Economic Role of the Option Markets 535

U.S.Options Markets 537

Stock Options 537·Stock Index Options539·Interest Rate Options542·Exotic Options 542

Options Markets Outside the Untied States 543

Futures Options 544

Mechanics of Trading Futures Options 544·Reasons for Popularity of Futures Options 546

Summary 546

Chapter 28 Pricing of Futures and Options Contracts 550

Chapter 28 Pricing of Futures and Options Contracts 550

Pricing of Futures Contracts 551

Theoretical Futures Price Based on Arbitrage Model553·Price Convergence at the Delicery Date 556·A 556

Pricing of Options 559

Basic Components of the Option Price559·Put-CallParity Relationship560·Factors That Influence the 568

Summary 570

Chapter 29 The Applications of Futures and Options Contracts 574

Chapter 29 The Applications of Futures and Options Contracts 574

Applications of Futures Contracts 575

Stock Index Futures575·Interest Rate Futures 578

Applications of Options Contracts 580

Stock Options and Stock Index Options 580·Interest Rate Options 581

Summary 582

Appendix:General Principles of Hedging with Futures 583

Chapter 30 Interest Rate Swap and Interest Rate Agreement Market 590

Chapter 30 Interest Rate Swap and Interest Rate Agreement Market 590

Interest Rate Swaps 591

Risk/Return Characteristics of a Swap591·Interpreting a Swap Position 592·Applications595·Reasons 608

Interest Rate Agreements 610

Risk/Return Characteristics610·Applications 612

Summary 613

Chapter 31 TheMarket for Foreign Exchange Rate Risk Control Instruments 617

Chapter 31 The Market for Foreign Exchange Rate Risk Control Instruments 617

Foreign Exchange Rates 618

Exchange Rate Quotation Conventions618·Foreign Exchange Risk 620

Spot Market 621

Cross Rates622·Dealers622·The European Currency Unit 623

Currency Forward Contracts624·Currency Future Contracts630·Currency Option Contracts630·Currency 631

Summary 635

Index 639

Index 639