金融创新:衍生产品策略.ppt
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1、金融创新:衍生产品策略Derivative SecuritiesFinancial instruments that derive their values from other traded claims are called derivatives.Typically,the value of these instruments is very closely related to the value of the underlying asset.As a result derivatives are useful for:Speculating on the underlying as
2、set,and;Hedging the underlying asset.Furthermore,arbitrage opportunities may be possible if the underlying asset and the derivative asset are not priced consistently.Speculators and HedgersSpeculators are individuals hope to make a profit by closing out their positions at a price that is better than
3、 the initial price.They do not produce or use the asset in their daily course of business.Hedgers are individuals who use derivatives to offset an otherwise risky position in the underlying asset.They either produce or use the asset in their daily course of business.Example:Wheat ForwardsIn a wheat
4、forward contract two counter-parties agree to exchange some quantity of wheat at some date in the future at a price negotiated today.A wheat farmer has exposure to the future spot price of wheat.The spot price is the market price of wheat for immediate delivery.The crop planted in the spring and har
5、vested in the fall will be sold at fall spot prices.Since these spot prices are uncertain,the profits on the farmers crop are risky.A risk-averse farmer can hedge this risk by selling wheat now using a forward contract.Wheat ForwardsWho might take the opposite side of this trade?A bread producer may
6、 wish to hedge production costs.A weather forecaster may speculate that the future spot price will be well above the forward price and therefore use this contract as part of a trading strategy(buy using the forward contract and sell in the future spot market).ArbitrageursTwo basic types of arbitrage
7、 trades:Invest nothing and make positive future profits;Receive profits today without any future obligations.Arbitrageurs use derivative contracts to extract arbitrage profits.Their actions,along with normal supply and demand forces,ensure consistent relationships among the underlying asset prices a
8、nd the derivative security prices.Wheat ForwardsWho might be in a position to derive arbitrage profits from wheat forward contracts?If you have a technology for storing wheat and the forward price is high relative to todays spot price,you may want to:Borrow money to buy wheat now,Sell it with the fo
9、rward contract,Store it until the fall,Deliver the wheat and use the proceeds to pay back your lenders.Notice that the cost of storage and lending rates will place a bound on how high the forward price can be(a sort of no-arbitrage bound).Futures Contracts-DefinitionA futures contract is an agreemen
10、t between two parties to buy or sell an asset at a certain time in the future for a certain price.Characteristics of futures contracts:Traded on an exchange;Contracts are standardized;Clearing houses eliminate default risk;Margin is required.Futures PayoffsLet F be the futures price and ST be the sp
11、ot price at maturity.The payout from a long position in a futures contract:ST FThe payout from a short position in a futures contract:F STOption ContractsIn an option contract the writer grants the buyer the option,but not the obligation,to buy from or to sell to the writer a specific asset at a spe
12、cific price(called the strike or exercise price)within a specified period of time.OptionValue ifExercisedKShare priceBUY CALLKShare priceSELL CALLExample:Call OptionCall option on MOT:K=$90Value of option at different stock prices:Stock Price$80$90$100$110$120Option Payoff$0$0$10$20$30OptionValue if
13、Exercised Value of the put option at expiration:Payoff to put owner=K-ST if ST KPayoff to put owner=0 if ST KShare priceKKBUY PUTSELL PUTShare priceOptionValue ifExercisedOptionValue ifExercisedExample:Put OptionDerivative StrategiesWe will examine how derivatives may be used to:Eliminate risk(hedge
14、);Modify risk(partially hedge);Replicate other payoffs and create synthetic payoffs.Options StrategiesBasic option payoffs can be added together to create compound payoffs that have almost arbitrary characteristics.Well examine:Put-Call parity;Covered strategies;Spreads.Put-Call ParitySuppose you si
15、multaneously buy a call and write a put,both having a strike price K and maturity T.Summary of payoffs from this position at T:So the total payoffs to these positions will be ST K.ST KPayoff from call purchased0ST KPayoff from put written-(K ST)0TotalST KST K15An AlternativeBorrow today and repay K
16、at maturityBuy 1 share of stockYour payoffs from these positions at time T:Payoff =Asset-Liability=ST KThe two positions give you identical payoffs.By no arbitrage,the costs of establishing these positions must be identical16The Put-Call Parity Relationship1.Cost to establish option positions:a.Purc
17、hase call option for C0b.Sell put option for P0c.Total cost of establishing position:C0-P02.Cost to establish levered equity position:a.Cost of stock:S0b.Borrowed funds:c.Total cost of establishing levered stock position:3.Costs of establishing identical payoff positions must be identical:17Covered
18、StrategiesProtective PutBuying a put on a long position in the underlying asset.Acts like insurance by guaranteeing a floor on the total value of the portfolio.Protective PutCovered CallWrite call option on a long position in the underlying asset.Generates income in the form of the option premium.Co
19、vered CallSpreadsSpreads involve the use of two or more options to create complex payoffs.Bull call spread:Buy a call with a low strike price and sell a call with a higher strike price.Can also be achieved with put options.Bear call spread:Mirror image payoff to Bull SpreadBull SpreadStraddleBuy a c
20、all and put with the same strike price and expiration date.Allows bets on volatility,since payoff is dependent on movement of the underlying asset.StraddleButterfly SpreadThree calls:Long low strike and high strike calls.Short two mid-strike calls.Allows bets on specific future prices.问题所“套保”的对象是不是企
21、业真实需求的产品,比如东航、中国国际航空股份有限公司等,买卖的是航油“套保”工具;中信泰富因有在澳洲的投资项目,因而对澳元汇率进行了“套保”。“套保”的方向是否和企业需求一致。比如,2004年中国航油(新加坡)股份有限公司衍生品交易巨亏5.5亿美元,其操作的方向是卖出航油看涨期权,而该公司实际上是航油的需求方,显然与公司经营目标相悖,是典型的投机行为。“套保”的规模是否与企业的现货需求匹配,“套保”规模最多较现货需求放大5-10。中信泰富之所以被认为是投机,原因是交易合同涉及金额达97亿澳元,远远超过该公司澳洲实业投资所需的30亿澳元。Zero-cost collar买入一个看涨期权锁定油价的
22、上行风险,同时卖出一个看跌期权,两者价格相抵。东航:其一般做法是买入一个看涨期权,但该期权有封顶,即超过一定价格即中止合约;同时卖出2倍甚至大于2倍的看跌期权,即价格跌到一定程度,企业就要向交易对手支付超过2倍的价差亏损。这事实上和中信泰富在澳元衍生品交易的模式极为相似,也就是近年来在亚洲风行的Accumulator(累计期权)。Investment Banking:Innovation金融创新之资产证券化资产证券化The process of packaging financial promises and transforming them into a form whereby they
23、 can be freely transferred among a multitude of investors is securitization(证券化)(证券化)The transformation of the raw assets into a form that is more desirable for investors often involves segmenting cash flows and risks,through a process called structuring.(结构化)特点对于证券的偿付完全依赖于资产的表现,而不是公司的表现证券化将发行人的信用风险
24、与证券化交易相分离资产证券化的主要种类MBS:住房抵押贷款证券化 ABS:资产支撑证券化 CDO:collateral debt obligationCMBSFuture flow securitization融资的分配利息的分配发行动机从发行方的角度来看,证券化既可以看作是销售也可能被看成是融资,很多时候是两者兼有由于这种双重性质,发行方的动机必须从制度上,财务上,税务上,会计上,甚至战略上来考虑出售资产与证券化资产从财务(经济)角度来看,如果出售而不是证券化主要动机在于:风险完全转移给了购买者通常交易成本要比证券化低发行人必须考虑如果证券化得到资金,并且考虑过留存的资产的价值与风险后,是否
25、比出售高例子XYZ Corporation例子XYZ Corporation 将$200 M 的 Loan 证券化,可以得到$190 M债券平均成本 6.5%XYZ还留有部分股权性质的成分,价值为$15 M资产证券化的步骤1.确定证券化资产并组建资产池2.设立特殊目的机构(SPV)3.资产的真实出售4.信用增级:内部信用增级:划分优先/次级结构,开立信用证、进行超额抵押 外部信用增级:金融担保 5.信用评级资产证券化的步骤(续)6.发售证券 7.向发起人支付资产购买价款 8.管理资产池 9.清偿证券 中远集团的案例:步骤中远集团某子公司在未来几年以连续形式为客户提供远洋运输服务,获得收入稳定和
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