金融創(chuàng)新：衍生產(chǎn)品策略課件

1、金融創(chuàng)新：衍生產(chǎn)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

2、asset, 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

3、 than 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

4、a wheat 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 spri

5、ng and harvested 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

6、 producer may 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 typ

7、es of arbitrage 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 under

8、lying asset prices and 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

9、now, Sell it with the forward 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 fu

10、tures contract is an agreement 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 t

11、he futures price and ST be the spot 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 t

12、he writer a specific asset at a specific 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$120

13、Option Payoff $0 $0 $10 $20 $30OptionValue ifExercised 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

14、 how derivatives may be used to: Eliminate risk (hedge); 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 pari

15、ty; Covered strategies; Spreads.15Put-Call ParitySuppose you simultaneously 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 wri

16、tten-(K ST)0TotalST KST K16Tfr )1(KAn AlternativeBorrow today and repay K 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 identi

17、cal17The Put-Call Parity RelationshipCost to establish option positions:Purchase call option for C0Sell put option for P0Total cost of establishing position: C0-P0Cost to establish levered equity position:Cost of stock: S0Borrowed funds:Total cost of establishing levered stock position:Costs of esta

18、blishing identical payoff positions must be identical:Tfr )1(KTfr )1(KS0Tfr )1(KSPC000Covered StrategiesProtective Put Buying 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

19、on a long position in the underlying asset.Generates income in the form of the option premium.Covered 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 achie

20、ved with put options.Bear call spread: Mirror image payoff to Bull SpreadBull SpreadStraddleBuy a call 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

21、and high strike calls. Short two mid-strike calls.Allows bets on specific future prices.問題所“套?！钡膶ο笫遣皇瞧髽I(yè)真實需求的產(chǎn)品，比如東航、中國國際航空股份有限公司等，買賣的是航油“套?！惫ぞ撸恢行盘└灰蛴性诎闹薜耐顿Y項目，因而對澳元匯率進行了“套保”?！疤妆！钡姆较蚴欠窈推髽I(yè)需求一致。比如，2004年中國航油（新加坡）股份有限公司衍生品交易巨虧5.5億美元，其操作的方向是賣出航油看漲期權(quán)，而該公司實際上是航油的需求方，顯然與公司經(jīng)營目標(biāo)相悖，是典型的投機行為?！疤妆！钡囊?guī)模是否與企業(yè)的現(xiàn)貨需求匹配，“

22、套?！币?guī)模最多較現(xiàn)貨需求放大5-10。中信泰富之所以被認(rèn)為是投機，原因是交易合同涉及金額達97億澳元，遠(yuǎn)遠(yuǎn)超過該公司澳洲實業(yè)投資所需的30億澳元。Zero-cost collar買入一個看漲期權(quán)鎖定油價的上行風(fēng)險，同時賣出一個看跌期權(quán)，兩者價格相抵。 東航：其一般做法是買入一個看漲期權(quán)，但該期權(quán)有封頂，即超過一定價格即中止合約；同時賣出2倍甚至大于2倍的看跌期權(quán)，即價格跌到一定程度，企業(yè)就要向交易對手支付超過2倍的價差虧損。這事實上和中信泰富在澳元衍生品交易的模式極為相似，也就是近年來在亞洲風(fēng)行的Accumulator（累計期權(quán)）。 Investment Banking: Innovation

23、金融創(chuàng)新之資產(chǎn)證券化資產(chǎn)證券化The process of packaging financial promises and transforming them into a form whereby they can be freely transferred among a multitude of investors is securitization （證券化）（證券化）The transformation of the raw assets into a form that is more desirable for investors often involves segmenti

24、ng cash flows and risks, through a process called structuring. （結(jié)構(gòu)化）特點對于證券的償付完全依賴于資產(chǎn)的表現(xiàn)，而不是公司的表現(xiàn)證券化將發(fā)行人的信用風(fēng)險與證券化交易相分離資產(chǎn)證券化的主要種類MBS:住房抵押貸款證券化 ABS:資產(chǎn)支撐證券化 CDO: collateral debt obligationCMBSFuture flow securitization融資的分配利息的分配發(fā)行動機從發(fā)行方的角度來看，證券化既可以看作是銷售也可能被看成是融資，很多時候是兩者兼有由于這種雙重性質(zhì)，發(fā)行方的動機必須從制度上，財務(wù)上，稅務(wù)上，會計

25、上，甚至戰(zhàn)略上來考慮出售資產(chǎn)與證券化資產(chǎn)從財務(wù)（經(jīng)濟）角度來看，如果出售而不是證券化主要動機在于： 風(fēng)險完全轉(zhuǎn)移給了購買者 通常交易成本要比證券化低 發(fā)行人必須考慮如果證券化得到資金，并且考慮過留存的資產(chǎn)的價值與風(fēng)險后，是否比出售高例子XYZ CorporationTable 2.2 Cost of CapitalLiabilitiesPercentageCost of CapitalShort-term Debt45,000$ 15%4%Long-term Debt225,000$ 75%7%Equity30,000$ 10%25%Debt + Equity300,000$ WACC*8.3

26、5%*Weighted Average Cost of Capital例子XYZ Corporation 將 $200 M 的 Loan 證券化，可以得到 $190 M債券平均成本 6.5%XYZ還留有部分股權(quán)性質(zhì)的成分，價值為$15 M資產(chǎn)證券化的步驟確定證券化資產(chǎn)并組建資產(chǎn)池設(shè)立特殊目的機構(gòu)（SPV） 資產(chǎn)的真實出售信用增級：內(nèi)部信用增級:劃分優(yōu)先/次級結(jié)構(gòu)，開立信用證、進行超額抵押 外部信用增級：金融擔(dān)保 信用評級資產(chǎn)證券化的步驟 （續(xù)）發(fā)售證券 向發(fā)起人支付資產(chǎn)購買價款 管理資產(chǎn)池 清償證券 中遠(yuǎn)集團的案例：步驟中遠(yuǎn)集團某子公司在未來幾年以連續(xù)形式為客戶提供遠(yuǎn)洋運輸服務(wù)，獲得收入穩(wěn)定和

27、資產(chǎn)質(zhì)量較好的運輸收入流。投資銀行（大通銀行）擔(dān)任中遠(yuǎn)集團下屬公司的投資銀行顧問，根據(jù)中遠(yuǎn)集團某子公司前幾年的運營情況進行分析，以未來的運費收入作為資產(chǎn)支持證券的資產(chǎn)池，并建立相應(yīng)的協(xié)議與文本。 投資銀行在開曼群島設(shè)立一特設(shè)信托機構(gòu)，特設(shè)信托機構(gòu)為一獨立法人，由于注冊地在開曼群島，享受免稅待遇，但它實質(zhì)上為一空殼公司。 中遠(yuǎn)集團某子公司將未來幾年向客戶的未來運輸收入以協(xié)議形式出售給特設(shè)信托機構(gòu)。 中遠(yuǎn)集團為特設(shè)信托機構(gòu)發(fā)行資產(chǎn)支持證券提供擔(dān)保。 中遠(yuǎn)集團的案例：步驟（續(xù)）特設(shè)信托機構(gòu)在美國資本市場發(fā)行資產(chǎn)支持證券。投資銀行作為發(fā)行資產(chǎn)支持證券的主承銷商，在美國資本市場尋找投資者。 地方和國家外

28、匯管理局對資產(chǎn)支持證券發(fā)行過程中涉及的外匯問題，進行協(xié)調(diào)和審批。獲得中國金融監(jiān)管部門的審批，其中包括中國人民銀行、國家計委、中國證券監(jiān)管委員會等等部門審批。 中遠(yuǎn)集團的案例：現(xiàn)金流動資產(chǎn)支持證券的投資者在美國資本市場上購買資產(chǎn)支持證券，將資產(chǎn)支持證券的收入轉(zhuǎn)入到特設(shè)信托機構(gòu)帳戶上（即某商業(yè)銀行CACSO帳戶）。 特設(shè)信托機構(gòu)將發(fā)行資產(chǎn)支持證券的收入，通過某商業(yè)銀行CACSO帳戶轉(zhuǎn)入到中遠(yuǎn)集團某子公司帳戶上。 中遠(yuǎn)集團某子公司將承銷費用和律師費用轉(zhuǎn)入投資銀行和律師事務(wù)所帳戶上。在未來的時間里，中遠(yuǎn)集團某子公司的客戶按協(xié)議和合同將運輸費用付到某商業(yè)銀行CACSO帳戶中，此商業(yè)銀行帳戶是按公告中協(xié)議

29、規(guī)定設(shè)置的，中遠(yuǎn)集團某子公司不能任意動用此資金帳戶中的資金。 中遠(yuǎn)集團的案例：現(xiàn)金流動通過商業(yè)銀行CACSO帳戶將發(fā)行的資產(chǎn)支持證券的本金和利息支付給資產(chǎn)支持證券的投資者，支付方式按公告中協(xié)議規(guī)定。 如果此商業(yè)銀行帳戶支付給資產(chǎn)支持證券投資者本金和利息后，仍有剩余時，將剩余部分支付給中遠(yuǎn)集團某子公司。 代管公司對某商業(yè)銀行CACSO帳戶進行全過程監(jiān)管。 Collateralized Debt Obligation債務(wù)抵押債券抵押貸款證券化抵押貸款相關(guān)證券產(chǎn)品： 抵押貸款支持證券（Mortgage Backed Securities，MBS） 擔(dān)保債權(quán)權(quán)證（Collateralized Debt

30、 Obligation，CDO） 信用違約互換（Credit Default Swap，CDS）抵押貸款支持證券（Mortgage Backed Securities，MBS）： 房地產(chǎn)金融機構(gòu)將抵押貸款債券組成資產(chǎn)池，以該資產(chǎn)池產(chǎn)生的現(xiàn)金流為基礎(chǔ)發(fā)行的定期還本付息債券。 美國政府國民抵押貸款協(xié)會（俗稱Ginnie Mae，吉利美）1970 年首次發(fā)行MBS。 大約67的住宅抵押貸款獲得了吉利美、美國聯(lián)邦國民抵押貸款協(xié)會（俗稱Fannie Mae，房利美）、美國聯(lián)邦住房貸款抵押公司（俗稱Freddie Mac，房地美）三大政府性抵押貸款機構(gòu)的擔(dān)保，屬于優(yōu)質(zhì)債券，約14屬于次級債券，11屬于Al

31、t-A債券，8屬于巨型抵押貸款債券。對應(yīng)于同一資產(chǎn)池，MBS分為不同的等級（tranches）：優(yōu)先級、中間級、股權(quán)級 優(yōu)先滿足優(yōu)先級；其次滿足中間級；最后是股權(quán)級。即優(yōu)先級產(chǎn)品的償付有中間級和股權(quán)級產(chǎn)品作為保障。 因此，股權(quán)級債券持有者承擔(dān)的風(fēng)險最高，因而回報率也最高；對沖基金是主要持有者 優(yōu)先級債券持有者承擔(dān)的風(fēng)險最低，回報率也最低；養(yǎng)老金和保險公司是主要持有者。 MBS中，優(yōu)先級占80%，中間級和股權(quán)級各占10%左右。再證券化（再證券化（Resecuritization ） 處于中段的MBS缺乏吸引力（既不安全，也沒有高回報），于是又以此為基礎(chǔ)進行新一輪的證券化：即發(fā)行擔(dān)保債務(wù)權(quán)證（Co

32、llateralized Debt Obligation，CDO）。 CDO也能被劃分為不同的等級：優(yōu)先段、中間段、股權(quán)段 中間段的CDO又會被進一步證券化并作為另一個CDO的基礎(chǔ)資產(chǎn)，這個過程一直持續(xù)，于是出現(xiàn)了可形容為CDO平方、CDO立方、CDO n次方的證券。 自1980 年代晚期問世以來，CDO發(fā)展迅速。根據(jù)統(tǒng)計，2004 年到2006 年全球CDO 市場的發(fā)行規(guī)模依次為1570 億美元、2490 億美元和4890 億美元。通過以抵押貸款資產(chǎn)池為基礎(chǔ)在資本市場上發(fā)行的普通MBS 和CDO，次級債貸款者的違約風(fēng)險就由房地產(chǎn)金融機構(gòu)轉(zhuǎn)移到資本市場上的機構(gòu)投資者。二者的主要區(qū)別是：CDO資

33、產(chǎn)池的已不再完全是次貸，而是中間段級MBS和其它債券，如其它資產(chǎn)支持債券（ABS）和各種共識債。但是，盡管通過證券化可以轉(zhuǎn)移風(fēng)險，卻不會減少，更不能消滅風(fēng)險。相反，由于過程的復(fù)雜和“不透明”，風(fēng)險反而會增加。雖然最終投資人愿意承擔(dān)較高風(fēng)險，但問題是，他們往往低估自己所承擔(dān)的風(fēng)險。CDO Special Purpose Vehicle (SPV)Subordinated NotesEquityMezzanineFixed or Floating Rate NotesSenior Fixed orFloating Rate NotesDiversified Pool ofUnderlying As

34、sets (Collateral)Collateral ManagerEquity 40MBB 5MBBB 47MAA 49MAAA 370M 例子例子A High Yield CLO arranged by Bear Sterns. (Eaton Vance)Equity 20MBB 5MBBB 15MA 10MAA 22.5MAAA 15M“Super Senior” 912.5MCDO arranged by Bear Sterns where underlying collateral is investment grade. (Meliorbanca Parthenon I)Equi

35、ty to AAA 87.5MBBB57%AA 4%A 39%From: the Wall Street Journal信用衍生品（Credit derivatives）信用衍生品的回報率與信用風(fēng)險掛鉤 對方違約 相對于一個標(biāo)的資產(chǎn)的信用差信用衍生品將信用風(fēng)險剝離出來基本產(chǎn)品 Asset Swaps Credit Default Swaps Total return swaps市場參與者銀行是最大的信用產(chǎn)品的買賣者，占市場份額50%以上保險公司也變得越來越活躍共同基金和公司將信用衍生品視作對沖的工具/主動投資工具，特別是在新興市場和High Yield市場為什么使用信用衍生品？量身定制信用、期

36、限、貨幣等頭寸比其它“現(xiàn)金”提供更好的回報限制或者減少了信用和違約的頭寸提供了杠桿分散化套期保值債券分解資金的投資 利率和匯率違約風(fēng)險 國家風(fēng)險（政治風(fēng)險） 公司風(fēng)險（商業(yè)、行業(yè)、區(qū)域）法律法規(guī)資產(chǎn)互換(Asset Swaps)Asset swaps: 通過把固定的支出轉(zhuǎn)換為變動支出來剝離利率風(fēng)險（或者變動轉(zhuǎn)換為固定） 通過把一種貨幣的現(xiàn)金流轉(zhuǎn)換成另外貨幣的來剝離匯率風(fēng)險 把債券中的可轉(zhuǎn)換部分剝離出去，變成純粹的信用產(chǎn)品但是標(biāo)的債券本身的違約風(fēng)險是不能去除的。Swap定義在互換協(xié)議中，雙方同意階段性地交換現(xiàn)金流例如: 單一利率互換 最簡單的形式是固定利率換浮動利率 跨幣種利率互換 外匯互換互換

37、銀行促成互換的金融中介a broker or a dealer. As a broker, 撮合交易，但是自己不承擔(dān)風(fēng)險 As a dealer, 可以單方承擔(dān)風(fēng)險，再尋找對方，或者自己承擔(dān)風(fēng)險 Interest Rate SEuro- SterlingSwiss francU.S. $BidAskBidAskBidAskBidAsk1 year2.342.320.983.543.572 year2.622.631.313.903.943 year2.862.801.584.114.134 year3.063.095.12

38、5.171.731.814.254.285 year3.233.232.014.374.396 year3.383.402.184.464.507 year3.523.552.334.554.588 year3.633.672.454.624.669 year3.743.775.095.144.482.564.704.7210 year3.823.855.085.132.562.644.754.793.823.85 means the s will pay fixed-rate euro payme

39、nts at 3.82% against receiving euro LIBOR or it will receive fixed-rate euro payments at 3.85% against receiving euro LIBOR利率互換例子最簡單情況銀行A 是一個在英國的AAA定級的國際銀行，它需要借 $10,000,000 來支持自己浮動利率的Eurodollar債務(wù). 銀行 A 考慮發(fā)行5年期的固定利率Eurodollar債券，利率是10%. 對它而言，最好是發(fā)行浮動利率的債券來對應(yīng)浮動利率的債務(wù)例子（續(xù)）公司B 是 BBB評級的 U.S. 公司，它需要$10,000,0

40、00 來支持一個5年期項目. 公司B 考慮發(fā)行5年期固定利率（11.75%)的債券. 或者，B公司可以LIBOR + percent的浮動利率來融資 公司B傾向于第一種方案.借款機會為An Example of an Interest Rate SwapThe s makes this offer to Bank A: You pay LIBOR 1/8 % per year on $10 million for 5 years and we will pay you 10 3/8% on $10 million for 5 years COMPANY B BANK A Fixed rate

41、11.75% 10% Floating rate LIBOR + .5% LIBOR 互換銀行LIBOR 1/8%10 3/8%銀行 A COMPANY B BANK A Fixed rate 11.75% 10% Floating rate LIBOR + .5% LIBOR An Example of an Interest Rate SwapHeres whats in it for Bank A: They can borrow externally at 10% fixed and have a net borrowing position of -10 3/8 + 10 + (LI

42、BOR 1/8) =LIBOR % which is % better than they can borrow floating without a swap. 10% of $10,000,000 = $50,000. Thats quite a cost savings per year for 5 years.Swap BankLIBOR 1/8%10 3/8%Bank AAn Example of an Interest Rate SwapCompany BThe s makes this offer to company B: You pay us 10% per year on

43、$10 million for 5 years and we will pay you LIBOR % per year on $10 million for 5 years.Swap Bank10 %LIBOR % COMPANY B BANK A Fixed rate 11.75% 10% Floating rate LIBOR + .5% LIBOR COMPANY B BANK A Fixed rate 11.75% 10% Floating rate LIBOR + .5% LIBOR An Example of an Interest Rate SwapThey can borro

44、w externally at LIBOR + % and have a net borrowing position of 10 + (LIBOR + ) - (LIBOR - ) = 11.25% which is % better than they can borrow floating. LIBOR + %Heres whats in it for B: % of $10,000,000 = $50,000 thats quite a cost savings per year for 5 years.Swap BankCompany B10 %LIBOR %An Example o

45、f an Interest Rate SwapThe s makes money too.% of $10 million = $25,000 per year for 5 years.LIBOR 1/8 LIBOR = 1/8 10 - 10 3/8 = 1/8 Swap BankCompany B10 %LIBOR %LIBOR 1/8%10 3/8%Bank A COMPANY B BANK A Fixed rate 11.75% 10% Floating rate LIBOR + .5% LIBOR An Example of an Interest Rate SwapSwap Ban

46、kCompany B10 %LIBOR %LIBOR 1/8%10 3/8%Bank AB saves %A saves %The s makes % COMPANY B BANK A Fixed rate 11.75% 10% Floating rate LIBOR + .5% LIBOR 外匯互換的例子假設(shè)一個 U.S. 的跨國公司需要融資MNC 10,000,000 用來擴展英國的工廠.它可以選擇借美元，然后換成英鎊. 它們將面臨外匯風(fēng)險它們可以選擇在國際市場借英鎊，但是由于在外它們并不有名，成本要高如果它們可以找到一個有類似需要的英國公司，雙方都可以獲利例子假設(shè)A和B: A 是 U.S

47、公司 ，B 是英國公司 $ Company A 8.0% 11.6% Company B 10.0% 12.0% $9.4%An Example of a Currency Swap $ Company A 8.0% 11.6% Company B 10.0% 12.0% Firm B$8%12%Swap BankFirm A11%$8% 12%An Example of a Currency Swap$8%12% $ Company A 8.0% 11.6% Company B 10.0% 12.0% Firm BSwap BankFirm A11%$8%$9.4% 12%As net po

48、sition is to borrow at 11%A saves .6%An Example of a Currency Swap$8%12% $ Company A 8.0% 11.6% Company B 10.0% 12.0% Firm BSwap BankFirm A11%$8%$9.4% 12%Bs net position is to borrow at $9.4%B saves $.6%An Example of a Currency Swap$8%12% $ Company A 8.0% 11.6% Company B 10.0% 12.0% Firm BThe s make

49、s money too:At S0($/) = $1.60/, that is a gain of $64,000 per year for 5 years.The s faces exchange rate risk, but maybe they can lay it off (in another swap).1.4% of $16 million financed with 1% of 10 million per year for 5 years.Swap BankFirm A11%$8%$9.4% 12%$64,000$224,000$160,000A is the more cr

50、edit-worthy of the two firms.Comparative Advantage as the Basis for Swaps $ Company A 8.0% 11.6% Company B 10.0% 12.0% A has a comparative advantage in borrowing in dollars.B has a comparative advantage in borrowing in pounds.A pays 2% less to borrow in dollars than BA pays .4% less to borrow in pounds than B:B has a comparative advantage in borrowing in .Comparative Advantage as th