金融市场与产品_2D

FINANCIALMARKETSANDPRODUCTS金融市场与产品,1,Part1,DerivativeMarkets,2,Topic1,DerivativeDefinition,3,BasicConcepts,Derivatives(衍生品):Aderivativeisafinancialinstrumentthatderivesitsperformancefromtheperformanceofanunderlyingasset.Underlyingasset(标的资产):Theunderlyingasset,calledtheunderlying,tradesinthecashorspotmarketsanditspriceiscalledthecashorspotprice.Cashmarkets(现货市场):Marketsinwhichassetsaretradedforimmediatedelivery.Itsalsoknownasspotmarket.Thepriceofanassettradedinspotmarketiscalledspotprice.Derivativesmarkets(衍生品市场):Themarketsarefacilitiesfortradingthederivatives.,4,BasicConcepts,Thelong(多方)：Thebuyerofthederivativeandholdsalongposition.Italsoreferredastheholder.Theshort(空方)：Thesellerofanassetorderivativecontract.Italsoreferredasthewriter.,5,Derivatives,Aderivativeisthefinancialinstrumentthatusuallytransformstheperformanceoftheunderlyingassetbeforepayingitoutinthederivativetransaction.Derivativesarecreatedintheformoflegalcontracts.Thederivativecontractalwaysdefinestherightsandobligationsofeachparty.Derivativesaresimilartoinsuranceinthatbothallowforthetransferofriskfromonepartytoanother.Theriskitselfdoesnotchange,butthepartybearingitdoes.,6,ExampleQuestion(1),Aderivativesecurity:islikeacallablebond.isonethatisbasedonthevalueofanothersecurity.hasavaluedependentontheshapeoftheyieldcurve.,7,ExampleQuestion(1),Answer:BAderivativesecurityisonethatderivesitsvaluefromthatofanothersecurity.,8,Topic2,TypesofDerivatives,9,BasicConcepts,Forwardcommitments(远期契约):Classofderivativesthatprovidestheabilitytolockinapricetotransactinthefutureatapreviouslyagreed-uponprice.Contingentclaims(或有索取权):Thisinstrumentprovidestherightbutnottheobligationtobuyorselltheunderlyingatapre-determinedprice.,10,BasicConcepts,Forwardcontract(远期合约):Anagreementbetweentwopartiesinwhichoneparty,thebuyer,agreestobuyfromtheotherparty,theseller,anunderlyingassetatalaterdateforapriceestablishedatthestartofthecontract.Futurescontract(期货合约):Avariationofaforwardcontractthathasessentiallythesamebasicdefinitionbutwithsomeadditionalfeatures,suchasaclearinghouseguaranteeagainstcreditlosses,adailysettlementofgainsandlosses,andanorganizedelectronicorfloortradingfacility.,11,BasicConcepts,Swaps(互换合约):Anagreementbetweentwopartiestoexchangeaseriesoffuturecashflows.Options(期权):Afinancialinstrumentthatgivesonepartytheright,butnottheobligation,tobuyorsellanunderlyingassetfromortoanotherpartyatafixedpriceoveraspecificperiodoftime.Alsoreferredtoascontingentclaimoroptioncontract.Creditderivatives(信用衍生品):Acontractinwhichonepartyhastherighttoclaimapaymentfromanotherpartyintheeventthataspecificcrediteventoccursoverthelifeofthecontract.,12,BasicConcepts,Asset-backedsecurities(资产担保证券)：Atypeofbondissuedbyalegalentitycalledaspecialpurposevehicle(SPV),onacollectionofassetsthattheSPVowns.Also,securitiesbackedbyreceivablesandloansotherthanmortgageloans.,13,TypesofDerivatives,ForwardcommitmentsForwardcontractsFuturescontractsSwapContingentclaimsOptionCreditderivativesAsset-backedsecurities,14,ExampleQuestion(1),Alegallybindingpromisetobuy140oz.ofgoldtwomonthsfromnowatapriceagreedupontodayisa(n):hedge.forwardcommitment.take-or-paycontract.,15,ExampleQuestion(1),Answer:BItisaforwardcommitment;itmaybeusedtohedgeormaybeusedtospeculateonthepriceofgoldintwomonths.,16,ExampleQuestion(2),WhichofthefollowingstatementsregardingaforwardcommitmentisNOTcorrect?Aforwardcommitment:isnotlegallybinding.isacontractualpromise.caninvolveastockindex.,17,ExampleQuestion(2),Answer:AAforwardcommitmentisalegallybindingpromisetoperformsomeactioninthefutureandcaninvolveastockindexorportfolio.,18,Topic3,DerivativesUnderlyings,19,BasicConcepts,Equity(股权):Astockoranyothersecurityrepresentinganownershipinterest.Therearetwotypesofequitiesonwhichderivativesexist:individualstocksandstockindices.Fixed-incomeInstruments(固定收益证券):Aninvestmentthatprovidesareturnintheformoffixedperiodicpaymentsandtheeventualreturnofprincipalatmaturity.Theproblemwithcreatingderivativesonbonds,however,isthatasingleissueroftenhasmorethanonebondissueoutstanding.Themostcommonsolutionistoallowmultipleissuestobedeliveredonasinglefuturescontract.,20,BasicConcepts,Creditdefaultswaps(CDS,信用违约互换)：Acreditdefaultswapisaderivativecontractbetweentwoparties,acreditprotectionbuyerandacreditprotectionseller,inwhichthebuyermakesaseriesofcashpaymentstothesellerandreceivesapromiseofcompensationforcreditlossesresultingfromthedefaultofathirdparty.Collateralizeddebtobligations(CDO,债务抵押债券)：WhenbondsorloansareassembledintoABSs,theyaretypicallycalledcollateralizedbondobligations(CBOs),collateralizedloanobligations(CLOs)orcollateralizeddebtobligations(CDOs).,21,TheUnderlying,TypeoftheunderlyingFinancialasset:equity,fixed-incomesecurity,currency.Physicalasset:commodity.Other:interestrate,credit(e.g.,CDS,CDO),weather,otherderivatives,etc.,22,ExampleQuestion(1),Inacreditdefaultswap(CDS),thebuyerofcreditprotection:makesaseriesofpaymentstoacreditprotectionseller.exchangesthereturnonabondforafixedorfloatingratereturn.issuesasecuritythatispaidusingthecashflowsfromanunderlyingbond.,23,ExampleQuestion(1),Answer:AInacreditdefaultswap(CDS),thebuyerofcreditprotectionmakesaseriesofpaymentstoacreditprotectionseller.Thecreditprotectionsellerpromisestomakeafixedpaymenttothebuyerifanunderlyingbondorloanexperiencesacreditevent,suchasadefault.Inatotalreturnswap,thebuyerofcreditprotectionexchangesthereturnonabondforafixedorfloatingratereturn.Asecuritythatispaidusingthecashflowsfromanunderlyingbondisknownasacredit-linkednote.,24,ExampleQuestion(2),Creditderivativesareleastaccuratelycharacterizedas:contingentclaims.insurance.forwardcommitments.,25,ExampleQuestion(2),Answer:CCreditderivativesarecontingentclaimsandnotforwardcommitmentsbecausetheirpayoffdependsonafutureeventtakingplace.Creditderivativesareessentiallyinsuranceagainstacreditevent.,26,Topic4,TheStructureofDerivativeMarket,27,BasicConcepts,Over-the-counterderivatives(场外衍生品):Over-the-counterderivativesarecustomized,flexible,andmoreprivateandlessregulatedthanexchange-tradedderivatives,butaresubjecttoagreaterriskofdefault.Over-the-countermarketisadecentralizedmarketwherebuyandsellordersinitiatedfromvariouslocationsarematchedthoughacommunicationsnetwork.,28,BasicConcepts,Exchange-tradedderivatives(场内衍生品):Exchange-tradedderivativesarestandardized,highlyregulated,andtransparenttransactionsthatareguaranteedagainstdefaultthroughtheclearinghouseofthederivativesexchange.Exchange-tradedmarketisamarketforexchange-tradedderivatives.Clearinghouse(清算所)Settlement(结算)Margin/performancebond(保证金),29,BasicConcepts,Clearing(清算):Clearingreferstotheprocessbywhichtheexchangeverifiestheexecutionofatransactionandrecordstheparticipantsidentities.Settlement(结算):Settlementreferstotherelatedprocessinwhichtheexchangetransfersmoneyfromoneparticipanttotheotherorfromaparticipanttotheexchangeorviceversa.Margin(保证金):Thecashdepositrequiredbytheclearinghousetoprovidethiscreditguaranteefromtheparticipantstothecontract.Italsocalledperformancebond.,30,Exchange-tradedderivativesmarkets,Exchange-tradedderivativesarestandardized.Tostandardizeaderivativecontractmeansthatitstermsandconditionsarepreciselyspecifiedbytheexchangeandthereisverylimitedabilitytoalterthoseterms.Thisstandardizationofcontracttermsfacilitatesthecreationofamoreliquidmarketforderivatives.Standardizationalsofacilitatesthecreationofaclearingandsettlementoperation.Exchangemarketsaresaidtohavetransparency,AIItransactionsarecentrallyreportedwithintheexchangesandtheirclearinghouses,andspecificlawsrequirethatthesemarketsbeoverseenbynationalregulators.,31,Over-the-counterderivativesmarkets,OTCderivativesarecustomized.TheOTCderivativesmarketscompriseaninformalnetworkofmarketparticipantsthatarewillingtocreateandtradevirtuallyanytypeofderivativethatcanlegallyexist.BecauseOTCinstrumentsarenotstandardized,adealercannotexpecttobuyaderivativeatonepriceandsimultaneouslysellittoadifferentpartywhohappenstowanttobuythesamederivativeatthesametimeandatahigherprice.OTCderivativemarketsoperateatalowerdegreeofregulationandoversightthandoexchange-tradedderivativemarkets.,32,StructureofDerivativesMarkets,Exchange-tradedmarket:FuturesSomeoptionOver-the-counter(OTC)market:ForwardSwapSomeoption,33,ExampleQuestion(1),Whichofthefollowingstatementsregardingexchange-tradedderivativesisNOTcorrect?Exchange-tradedderivatives:areilliquid.oftentradeinaphysicallocation.arestandardizedcontracts.,34,ExampleQuestion(1),Answer:ADerivativesthattradeonexchangeshavegoodliquidityinmostcases.Theyhavetheothercharacteristicslisted.,35,ExampleQuestion(2),WhichofthefollowingisNOTanover-the-counter(OTC)derivative?Afuturescontract.Aforwardcontract.Abondoption.,36,ExampleQuestion(2),Answer:AFuturescontractsareexchange-traded;forwardsandmostbondoptionsareOTCderivatives.,37,Topic5,ThePurposesAndBenefitsofDerivatives,38,PurposesandBenefitsofDerivatives,Therearemanyreasonswhyderivativemarketsserveanimportantandusefulpurposeincontemporaryfinance.Riskallocation,transferandmanagement(风险配置、风险转移以及风险管理)Informationdiscovery(信息发现)Operationaladvantages(运营优势)Marketefficiency(市场有效性),39,RiskAllocation,TransferandManagement,Theoverallpurposeofderivativesistoobtainmoreeffectiveriskmanagementwithincompaniesandtheentireeconomy.Forexample,considerastockholderwhowantstoreduceexposuretoastock.Inthepre-derivativesera,theonlywaytodosowastosellthestock.Now,thestockholdercansellfutures,forwards,calls,orswaps,orbuyputoptions,allwhileretainingthestock.,40,InformationDiscovery,Oneoftheadvantagesoffuturesmarketshasbeendescribedaspricediscovery.Afuturespricehasbeencharacterizedbysomeexpertsasarevelationofsomeinformationaboutthefuture.Byvirtueofthefactthatderivativemarketsrequirelesscapital,informationcanflowintothederivativemarketsbeforeitgetsintothespotmarket.,41,OperationAdvantages,OperationalAdvantages(运营优势)Thetransactioncostsofderivativescanbehighrelativetothevalueofthederivatives,butthesecostsaretypicallylowrelativetothevalueoftheunderlying.Derivativemarketsalsotypicallyhavegreaterliquiditythantheunderlyingspotmarkets,aresultofthesmalleramountofcapitalrequiredtotradederivativesthantogettheequivalentexposuredirectlyintheunderlying.Withderivatives,itisnearlyaseasytotakeashortpositionastotakealongposition,whereasfortheunderlyingasset,itisalmostalwaysmuchmoredifficulttogoshortthantogolong.,42,MarketEfficiency,Marketefficiencyisachievedwhenallrelevantinformationisreflectedinassetprices.Whenpricesdeviatefromfundamentalvalues,derivativemarketsofferlesscostlywaystoexploitthemispricing.Investorsarefarmorewillingtotradeiftheycanmoreeasilymanagetheirrisk,tradeatlowercostandwithlesscapital,andgoshortmoreeasily.Thisincreasedwillingnesstotradeincreasesthenumberofmarketparticipants,whichmakesthemarketmoreliquid.Alltheseadvantagesofderivativesmarketsmakethefinancialmarketsingeneralfunctionmoreeffectively.,43,ExampleQuestion(1),AllofthefollowingarebenefitsofderivativesmarketsEXCEPT:transactionscostsareusuallysmallerinderivativesmarkets,thanforsimilartradesintheunderlyingasset.derivativesmarketshelpkeepinterestratesdown.derivativesallowtheshiftingofrisktothosewhocanmostefficientlybearit.,44,ExampleQuestion(1),Answer:BTheexistenceofderivativesmarketsdoesnotaffectthelevelofinterestrates.Theotherstatementsaretrue.,45,Part2,DerivativeInstrument,46,Topic1,Forward,47,BasicConcepts,Forwardcontracts(远期合约)：Aforwardcontractisanover-the-counterderivativecontractinwhichtwopartiesagreethatoneparty,thebuyer,willpurchaseanunderlyingassetfromtheotherparty,theseller,atalaterdateatafixedpricetheyagreeonwhenthecontractissigned.Inadditiontotheprice,thetwopartiesalsoagreeonseveralothermatters,suchastheidentifyandthequantityoftheunderlying.Forwardprice(远期价格):Itsthefixedpriceatwhichtheunderlyingwillbeexchanged.,48,Characteristic,Thelonghopesthepriceoftheunderlyingwillriseabovetheforwardprice,whereastheshorthopesthepriceoftheunderlyingwillfallbelowtheforwardprice.Longgainsifassetpriceaboveforwardprice.Shortgainsifassetpricebelowforwardprice.Nopaymentwillbemadeattheinitiationofforwardcontracts.Andbothpartiesoftheforwardcontractareexposedtopotentialdefaultrisk.,49,TerminationofForwards,Settlingaforwardattheexpirationdate:Delivery(实物交割):Adeliverableforwardcontractstipulatesthatthelongwillpaytheagreed-uponpricetotheshort,whointurnwilldelivertheunderlyingassettothelong,aprocesscalleddelivery.Cashsettlement(现金交割):Thissettlementpermitsthelongandshorttopaythenetcashvalueofthepositiononthedeliverydate.Cash-settledforwardcontractsaresometimescalledNDFs,fornon-deliverableforwards.Settlingaforwardbeforetheexpirationdate:Enterintoanoffsettingcontract.Withadifferentcounterparty(defaultriskstillexists)Withsame(original)counterparty(nodefaultrisk),50,TerminationofForwards,Example:SupposethatAcontractstobuy250metrictonnesofcocoafromBon15thSeptemberat$1,354pertonne.,51,TerminationofForwards,Solution：Delivery：Delivery:ShortdeliversunderlyingtolongforpaymentoftheforwardpriceCashsettlement:Negativesideofcontractpaysthepositiveside(non-deliverableforward)Ifcocoaclosesat$1,500pertonneatexpiration,theshorthastopay250 x$1,500=$375,000toA.Thenetpaymentis$36,500fromBtoA.Ifcocoaclosesat$1,200pertonneatexpiration,theshorthastopay250 x$1,200=$300,000toA.Thenetpaymentis$38,500fromAtoB.,52,TypesofForwards,Classifytheforwardcontractsaccordingtotheunderlyingassetgroups.Equityforward(权益远期)Bondforward(债券远期)Forwardrateagreement(FRA,远期利率协议)Currencyforward(外汇远期),53,TypesofForwards,Equityforward(权益远期)Define:Acontractcallingforthepurchaseofanindividualstock,astockportfolio,orastockindexatalaterdateatanagreed-uponprice.EquityforwardonindividualstockEquityforwardonstockportfolioEquityforwardonstockindicesSettlement:Deliveryorcashsettlementforforwardonindividualstockandstockportfolio,54,TypesofForwards,Bondforward(债券远期)LIBOR(theLondonInterbankOfferedRate,伦敦同业银行拆借利率)：LIBORistherateatwhichLondonbankslenddollarstootherLondonBanksPublishedbytheBritishBankersAssociationServesasthereferenceforEurodollardepositAnadd-onrateinEurodollartimedeposits.ExistsformanycurrencysuchasEurosterlingandEuroyen,55,TypesofForwards,Bondforward(债券远期)Forwardrateagreement(FRA):aforwardcontractcallingforonepartytomakeafixedinterestpaymentandtheothertomakeaninterestpaymentataratetobedeterminedatthecontractexpiration(e.g,LIBOR).Thelong:isthepartywillborrowthemoney.Theshort:isthepartywilllendthemoney.常见期限：30days,60days,90daysand120days,56,TypesofForwards,Bondforward(债券远期)Example:1x4FRAbasedon90-dayLIBOR,57,TypesofForwards,Currencyforward(外汇远期):Define:Acurrencyforwardcontractisacommitmentforoneparty,thelong,tobuyacurrencyatafixedpricefromtheotherparty,theshort,ataspecificdate.Settlement:Cashsettlement,58,ExampleQuestion(1),Whichofthefollowingstatementsaboutforwardcontractsisleastaccurate?Aforwardcontractcanbeexercisedatanytime.Thelongpromisestopurchasetheasset.Bothpartiestoaforwardcontracthavepotentialdefaultrisk.,59,ExampleQuestion(1),Answer:AForwardcontractstypicallyrequireapurchase/saleoftheassetontheexpiration/deliverydatespecifiedinthecontract.Theotherstatementsaretrue.,60,ExampleQuestion(2),Aforwardrateagreement(FRA):requiresthelongtopaycashtotheshortiftheratespecifiedinthecontractatexpirationisbelowthecurrentfloatingrate.generallyusesafixedreferenceinterestrate.cansometimesbeviewedastherighttoborrowmoneyatbelow-marketrates.,61,ExampleQuestion(2),Answer:CIfthefloatingrateisabovetheratespecifiedintheagreement,thelongpositioncanbeviewedastherighttoborrowatbelow-marketrates.FloatingrateslikeLIBORareusedinFRAs.Thelongmustpaytheshortonlyifthecontractedrateattheexpirationdateisabovethefloatingrate.,62,Topic2,Futures,63,BasicConcepts,Futurescontract(期货合约):Futurescontractsarestandardizedinstrumentsthattradeonafuturesexchange,haveasecondarymarket,andareguaranteedagainstdefaultbymeansofadailysettlingofgainsandlosses.Futuresvs.Forward,64,BasicConcepts,Clearinghouse(清算所)：Anentityassociatedwithafuturesmarketthatactsasmiddlemanbetweenthecontractingpartiesandguaranteestoeachpartytheperformanceoftheother.Dailysettlement(每日结算):Theprocedurethatthegainsandlossesoneachpartyspositionarecreditedandchargedonadailybasis.Italsocalledmarkingtomarket.Initialmargin(初始保证金)：Initialmarginistheamountofmoneyinamarginaccountonthedayofatransactionorwhenamargincallismade.,65,BasicConcepts,Maintenancemargin(维持保证金、最低保证金)Maintenancemarginistheamountofmoneyinamarginaccountonanydayotherthanwhentheinitialmarginapplies.Margincall(追加保证金)Arequestfortheshorttodepositadditionalfundstobringtheirbalanceuptotheinitialmargin.Variationmargin(变动保证金)：Additionalmarginthatmustbedepositedinanamountsufficienttobringthebalanceuptotheinitialmarginrequirement.,66,TerminateofFutures,Delivery(实物交割):Ashortcanterminatethecontractbydeliveringthegoods,andalongcanterminatethecontractbyacceptingdeliveryandpayingthecontractpricetotheshort.Cash-settlement(现金交割):Thefuturesaccountismarked-to-marketbasedonthesettlementpriceonthelastdayoftrading.Offsetting(对冲交易):Afuturescontractcanbeterminatedbyenteringintoanoffsettingpositionveryshortlybeforetheendoftheexpirationday.,67,TerminateofFutures,Exampleforterminationoffutures:,68,TypesofFutures,FivetypesoffuturescontractsTreasurybillfutures(短期国债期货)Eurodollarfutures(欧洲美元期货)Treasurybondfutures(长期国债期货)Stockindexfutures(股指期货)Currencyfutures(外汇期货),69,ExampleQuestion(1),Astandardizedandexchange-tradedagreementtobuyorsellaparticularassetonaspecificdateisbestdescribedasa:forwardcontract.futurescontract.swap.,70,ExampleQuestion(1),Answer:BFuturescontractsarestandardizedforwardcontractsthattradeonorganizedexchanges.Othertypesofforwardcontracts,aswellasswaps,arecustominstrumentsthataregenerallynotexchange-traded.,71,ExampleQuestion(2),Ifthemarginbalanceinafuturesaccountwithalongpositiongoesbelowthemaintenancemarginamount:amargindepositequaltothemaintenancemarginisrequiredwithintwobusinessdays.adepositisrequiredwhichwillbringtheaccounttothemaintenancemarginlevel.adepositisrequiredtoreturntheaccountmargintotheinitialmarginlevel.,72,ExampleQuestion(2),Answer:COnceaccountmargin(basedonthedailysettlementprice)fallsbelowthemaintenancemarginlevel,itmustbereturnedtotheinitialmarginlevel,regardlessofsubsequentpricechanges.,73,Topic3,Swap,74,BasicConcepts,Swaps(互换合约):Swapsareover-the-cou