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Chapter1TheInvestmentEnvironment
1-2RealAssetsVersusFinancialAssetsRealAssetsDeterminetheproductivecapacityandnetincomeoftheeconomyExamples:Land,buildings,machines,knowledgeusedtoproducegoodsandservicesFinancialAssetsClaimsonrealassets
1-3FinancialAssetsThreetypes:FixedincomeordebtCommonstockorequityDerivativesecurities
1-4FixedIncomePaymentsfixedordeterminedbyaformulaMoneymarketdebt:shortterm,highlymarketable,usuallylowcreditriskCapitalmarketdebt:longtermbonds,canbesafeorrisky
1-5CommonStockandDerivativesCommonStockisequityorownershipinacorporation.Paymentstostockholdersarenotfixed,butdependonthesuccessofthefirmDerivativesValuederivesfrompricesofothersecurities,suchasstocksandbondsUsedtotransferrisk
1-6FinancialMarketsandtheEconomyInformationRole:CapitalflowstocompanieswithbestprospectsConsumptionTiming:Usesecuritiestostorewealthandtransferconsumptiontothefuture
1-7FinancialMarketsandtheEconomy(Ctd.)AllocationofRisk:InvestorscanselectsecuritiesconsistentwiththeirtastesforriskSeparationofOwnershipandManagement:Withstabilitycomesagencyproblems
1-8FinancialMarketsandtheEconomy(Ctd.)CorporateGovernanceandCorporateEthicsAccountingScandalsExamples–Enron,RiteAid,HealthSouthAuditors–watchdogsofthefirmsAnalystScandalsArthurAndersenSarbanes-OxleyActTightentherulesofcorporategovernance
1-9TheInvestmentProcessAssetallocationChoiceamongbroadassetclassesSecurityselectionChoiceofwhichsecuritiestoholdwithinassetclassSecurityanalysistovaluesecuritiesanddetermineinvestmentattractiveness
1-10MarketsareCompetitiveRisk-ReturnTrade-OffEfficientMarketsActiveManagementFindingmispricedsecuritiesTimingthemarket
1-11MarketsareCompetitive(Ctd.)PassiveManagementNoattempttofindundervaluedsecuritiesNoattempttotimethemarketHoldingahighlydiversifiedportfolio
1-12ThePlayersBusinessFirms–netborrowersHouseholds–netsaversGovernments–canbebothborrowersandsavers
1-13ThePlayers(Ctd.)FinancialIntermediaries:PoolandinvestfundsInvestmentCompaniesBanksInsurancecompaniesCreditunions
1-14UniversalBankActivitiesInvestmentBankingUnderwritenewstockandbondissuesSellnewlyissuedsecuritiestopublicintheprimarymarketInvestorstradepreviouslyissuedsecuritiesamongthemselvesinthesecondarymarketsCommercialBankingTakedepositsandmakeloans
1-15FinancialCrisisof2008AntecedentsoftheCrisis:“TheGreatModeration”:atimeinwhichtheU.S.hadastableeconomywithlowinterestratesandatamebusinesscyclewithonlymildrecessionsHistoricboominhousingmarket
1-16Figure1.3TheCase-ShillerIndexofU.S.HousingPrices
1-17ChangesinHousingFinanceOldWayLocalthriftinstitutionmademortgageloanstohomeownersThrift’smajorasset:aportfoliooflong-termmortgageloansThrift’smainliability:deposits“Originatetohold”NewWaySecuritization:FannieMaeandFreddieMacboughtmortgageloansandbundledthemintolargepoolsMortgage-backedsecuritiesaretradableclaimsagainsttheunderlyingmortgagepool“Originatetodistribute”
1-18Figure1.4CashFlowsinaMortgagePass-ThroughSecurity
1-19ChangesinHousingFinance(Ctd.)Atfirst,FannieMaeandFreddieMacsecuritizedconformingmortgages,whichwerelowerriskandproperlydocumented.Later,privatefirmsbegansecuritizingnonconforming“subprime”loanswithhigherdefaultrisk.LittleduediligencePlacedhigherdefaultriskoninvestorsGreateruseofARMsand“piggyback”loans
1-20MortgageDerivativesCollateralizeddebtobligations(CDOs)MortgagepooldividedintoslicesortranchestoconcentratedefaultriskSeniortranches:Lowerrisk,highestratingJuniortranches:Highrisk,loworjunkrating
1-21MortgageDerivativesProblem:Ratingswerewrong!Riskwasmuchhigherthananticipated,evenfortheseniortranches
1-22WhywasCreditRiskUnderestimated?NooneexpectedtheentirehousingmarkettocollapseallatonceGeographicdiversificationdidnotreduceriskasmuchasanticipatedAgencyproblemswithratingagenciesCreditDefaultSwaps(CDS)didnotreduceriskasanticipated
1-23CreditDefaultSwap(CDS)ACDSisaninsurancecontractagainstthedefaultoftheborrowerInvestorsboughtsub-primeloansandusedCDStoinsuretheirsafety
1-24CreditDefaultSwap(CDS)SomebigswapissuersdidnothaveenoughcapitaltobacktheirCDSwhenthemarketcollapsed.Consequence:CDOinsurancefailed
1-25RiseofSystemicRiskSystemicRisk:apotentialbreakdownofthefinancialsysteminwhichproblemsinonemarketspilloveranddisruptothers.OnedefaultmaysetoffachainoffurtherdefaultsWavesofsellingmayoccurinadownwardspiralasassetpricesdropPotentialcontagionfrominstitutiontoinstitution,andfrommarkettomarket
1-26RiseofSystemicRisk(Ctd.)Bankshadamismatchbetweenthematurityandliquidityoftheirassetsandliabilities.LiabilitieswereshortandliquidAssetswerelongandilliquidConstantneedtorefinancetheassetportfolioBankswereveryhighlylevered,givingthemalmostnomarginofsafety.
1-27RiseofSystemicRisk(Ctd.)Investorsreliedtoomuchon“creditenhancement”throughstructuredproductslikeCDSCDStradedmostly“overthecounter”,solesstransparent,nopostedmarginrequirementsOpaquelinkagesbetweenfinancialinstrumentsandinstitutions
1-28TheShoeDrops2000-2006:Sharpincreaseinhousingpricescausedmanyinvestorstobelievethatcontinuallyrisinghomepriceswouldbailoutpoorlyperformingloans2004:Interestratesbeganrising2006:Homepricespeaked
1-29TheShoeDrops2007:Housingdefaultsandlossesonmortgage-backedsecuritiessurged2007:BearStearnsannouncestroubleatitssubprimemortgage–relatedhedgefunds
1-30TheShoeDrops2008:TroubledfirmsincludeBearStearns,FannieMae,FreddieMac,MerrillLynch,LehmanBrothers,andAIGMoneymarketbreaksdownCreditmarketsfreezeupFederalbailouttostabilizefinancialsystem
1-31SystemicRiskandtheRealEconomyAddliquiditytoreduceinsolvencyriskandbreakaviciouscircleofvaluationrisk/counterpartyrisk/liquidityriskIncreasetransparencyofstructuredproductslikeCDScontractsChangeincentivestodiscourageexcessiverisk-takingandtoreduceagencyproblemsatratingagencies