derivatives加拿大著名咨询公司在建设银行的讲座

,Derivatives,Lecture#5,Derivatives,2,Derivatives,Definition:Aderivativesecurityisasecuritywhosemarketvalueisdeterminedbythevalueofanother,underlyingsecurityFunctionshedgingspeculationRisksinabilitytounderstandinabilitytoformaperfecthedgecost,Derivatives,3,DerivativeInstruments,MarketsTradedorlistedmarketsOTCHedgingInstrumentsInsuranceInstruments,Derivatives,4,HedgingInstruments,ForwardcontractsAcontractagreedupontotodaytodeliveraspecifiedgoodataspecifiedpriceataspecifiedfuturedateFuturescontractsAstandardized,exchange-tradedforwardcontractForwardRateAgreementsTakeaviewastofutureinterestratesSwapsAnexchangeofinterestand/orcurrencyflows,Derivatives,5,InsuranceContracts,OptionContractsTheright,butnottheobligation,toeitherbuy(calloption)orsell(putoption)somethingataspecifiedpriceforaspecifiedperiodoftime.Floors,capsandcollarsMethodsofchangingtheinterestrateriskofafloatingratedebtobligationSwaptionsAnoptiontoenterintoaswapataspecifiedfuturedate,Derivatives,6,ForwardContracts,MarketPrice,DeliveryPrice,+,-,0,PayoffDiagram:LongtheForward,Youtakedeliverywhenlongtheforward.Thelongforwardpositionwillbenefitwhenmarketpricesriseafterthecontractisinitiated.,Derivatives,7,ForwardContracts,MarketPrice,DeliveryPrice,+,-,0,PayoffDiagram:ShorttheForward,Youmakedeliverywhenshorttheforward.Theshortforwardpositionwillbenefitwhenmarketpricesfallafterthecontractisinitiated.,Derivatives,8,ForwardMarkets&InterestRates,Themostliquidforwardmarketisthe“when-issued”TreasuryBillmarket.Dealersandinvestorsbuyandselltheas-yet-unissuedTreasuryBillfordeliveryimmediatelyaftertheyareissuedatauction.Theactivityinthe“when-issued”marketisagoodindicatorofwherethemarketbelievesratesareheaded,Derivatives,9,HedgingInterestRateswithForwardContracts,Supposeyouareholding$1,000,000insixyear,8%couponEurobondscurrentlytradingatpar.Youbelievethatinterestrateswillsoonriseby2%.Howdoyouhedgetheportfolio?Step#1:CalculatethebondsdurationDuration=4.99271Step#2:PredictcapitallossP=(-D)(P)(R/1+R)=-$92,457Step#3:Adjustforconvexity(orcalculateactualpriceatnewmarketinterestrateof10%)Price=$912,894.79Actuallossthusequalto$1,000,000-912,894.79=$87,105.21,Derivatives,10,HedgingInterestRateswithForwardContracts,Step#4:HedgeSellthebondforwardforsaleinsixmonthsatapriceof$100per$100offacevalue.Ifinterestratesriseaspredicted,purchasethebondinthemarketfor$912,894.79anddeliverundertheforwardcontract.Collect$1,000,000.Profitontheforwardexactlyoffsetsthelossonthebondportfolio.Ifratesfallinsteadofrise,youwillincuraloss,asyouwillhavetodeliverthebondatapricebelowitsmarketprice.,Derivatives,11,ComparingFutures&Forwards,ForwardFutureStandardizedNoYesExchange-tradedNoYesMarked-to-marketNoYesProfits&lossessettleddailyNoYesMarginrequiredNoYesExistenceofclearinghouseNoYes,Derivatives,12,ForwardRateAgreements,Assumethat,asabankmanager,youarefacingthefollowingsituation:Sixmonthinterestratesare10.5%.Threemonthinterestratesare10%.Whatthreemonthinterestrate,threemonthsfromtoday,wouldmakeusindifferentbetweeninvestinginonesixmonthinstrumentortwo,threemonthinstruments?Howcouldthebankprofitfromthisinformation?,Derivatives,13,ForwardRateAgreements,10.5%,10%,X%,Threemonths,Threemonths,SixMonths,Derivatives,14,ForwardRateAgreements,Tosolvetheproblem,wemustsolvethefollowingequationfortheforwardinterestrate,rfwd/fwd:,Derivatives,15,ForwardRateAgreements,Where:D-numberofdaysintheperiodB-AnnualbasisrLong-ThespotsixmonthinterestraterShort-Thespotthreemonthinterestraterfwd/fwd-Thethreemonthforwardinterestrate,Derivatives,16,ForwardRateAgreements,Solvingtheproblem,weobtainthefollowingsolution:,Derivatives,17,ForwardRateAgreements,Atayieldof10.7342%onthreemonthmoneythreemonthsfromtoday,youwouldbeindifferentbetweeninvestinginonesixmonthinstrumentortwo,threemonthinstruments.Howcouldthebankmanagerprofitfromthisinformation?Ifthebankisabletoobtaintwo,threemonthdepositsatarateof10%andthenlendthemoneyat10.5%,thebankisassuredofmakingaprofitbasedonthemismatchinterm.,Derivatives,18,ForwardRateAgreements,BankschangetheirGAPwhentheyborrowandlendwithdifferentmaturities.NegativeGAPoccurswhenthebankborrowsshorttermandlendslongterm.Theriskisthatshortinterestrateswillrisebeforethelongassetmatures.Howwouldwecalculatetheprofitthebankwouldmakeifitcouldborrow$100,000,000at10%fortwo,threemonthperiodsandinvestthefundsat10.5%forsixmonths?,Derivatives,19,ForwardRateAgreements,Tosolvetheproblem,usethefollowingformula:,Derivatives,20,ForwardRateAgreements,Problemswithusingforward/forwardsCreditrisk-thebankincurscreditriskonthelendingtransactionCapitalcharges-thebankmustholdadditionalcapitalagainstitslargerbalancesheetLinesofcredit-thebankisusingupitscreditcapacitywiththeborrowingtransactionTransactioncosts-thebankincurscostsinbothborrowing&lendingPolicyconflicts-thebankistryingtoadjustitsinterestrateriskpositionanditsborrowingandlendingactivitieswithoneinstrument-theBalanceSheet,Derivatives,21,ForwardRateAgreements,ThesolutiontotheproblemistouseaForwardRateAgreementAforwardrateagreement(FRA)isidenticaltoaforwardcontractindeposits,exceptnodepositisevermade.FRAsallowbanks&corporatesto“bet”onfutureinterestrateswithoutaffectingthesizeoftheirbalancesheets.Ineffect,theFRAallowsthebankto“unbundle”thecreditriskcomponentfromtheinterestrateriskcomponent.,Derivatives,22,ForwardRateAgreements,Somedefinitions:FRA-afinancialcontractwhichcommitsonepartytocompensatetheotherpartyiftheinterestratewhichactuallyprevailsinthemarketplaceatsomefuturedatediffersfromtherateagreeduponbetweenthemtoday.Counterparties-referredtoasbuyersorsellersFRABuyer-profitsifinterestratesriseFRASeller-profitsifinterestratesfallInterestRatesContractReferenceRate-theinterestratewhichisfixedatthestartoftheFRAcontractSettlementRate-themarketrateatthestartofthenotionaldeposit,Derivatives,23,ForwardRateAgreements,Moredefinitions:Netcompensationamount-theamountofmoneyrequiredtosettletheFRA.EqualtothedifferencebetweentheContractReferenceRateandtheSettlementRatemultipliedbytheNotionalPrincipalAmount,scaledbythetermoftheFRA.ContractPeriod-thetermofthenotionaldepositonwhichtheFRAisbased.FRAcontractsareusuallydescribedintermsoftheperiodstoSettlementandMaturity.AFRAona6monthnotionaldepositcommencinginthreemonthswouldbedescribedasa3s,9sor3against9andisusuallywrittenas3v9.,Derivatives,24,ForwardRateAgreements,Today,StartDateofNotionalDeposit,MaturitydateofNotionalDeposit,0,3Months,6Months,Exampleofa3by6FRAThenotionaldepositstarts3monthsfromtodayandmaturessixmonthsfromtoday.,Sincenodepositisactuallymade,thepartywhichhas“lostthebet”willmakeapaymenttotheotherpartycalculatedasthedifferencebetweentherateagreedtointheFRAandthecurrentmarketratefortheagreedmaturityofdepositatthetimethenotionaldepositismade.PricingisusuallydoneagainsttheBArate(inCanada)orLIBOR.,Derivatives,25,ForwardRateAgreements,PotentialproblemswithFRAs:Insomejurisdictions,thecontractmaybeconstruedasagamblingcontract,creatingenforceabilityproblems.Thebestdefenseisgooddocumentation.DuetothetremendousleverageofFRAscomparedtofwd/fwds,thesizeofthebetsthatcanbeplaced,relativetothebanksBalanceSheet,aremuchlarger.TheFRApayoffoccursatthestart,nottheend,ofthenotionaldepositperiod.Thiscanleadtocashflowproblems.,OptionsMarkets,Optionsarederivativesecuritieswhichallowaninvestorto.eitherlayoffrisk.ortoassumeadditionalrisk(toearnahigherreturn).Optionsalsoallowaninvestortoprofitfrom.eitheranincreaseordecreaseinthepriceofasecurity.ortoprofitwhenthepricedoesnotmoveatall.,Derivatives,27,Options,Straddle,Strip,Strap,Puts,Calls,1,2,2,1,Optionstobuy,Optionstosell,Spread,Derivatives,28,OptionsDefinitions,CallOption-AcalloptiongivesthebuyertherightbutnottheobligationtobuyataspecifiedpriceforaspecifiedperiodoftimePutOption-AputoptiongivesthebuyertherightbutnottheobligationtosellataspecifiedpriceforaspecifiedperiodoftimeExercisePrice(StrikePrice)-Thepricepaid(orreceived)forthestockuponexercise.Expiration(Termination)Date-Thelastdateonwhichtheoptioncanbeexercised.AmericanOption-Isabletobeexercisedatanypointduringtheoptionslife.EuropeanOption-IsidenticaltoanAmericanOptionexcepttheoptioncanonlybeexercisedonitsexpirydate.,HistoryofOptionTrading,CalloptiontradingintheUS.beganinApril,1973withthecreationoftheChicagoBoardOptionsExchangePutoptiontradingwasintroducedin1977Canadiancalls&putsstartedtradingapproximatelyoneyearafterthoseintheUS,Derivatives,30,VariablesAffectingOptionPrices,Factorswhichwillaffectthepriceoftheoptioninclude:TimeperiodbeforeexpiryVariabilityofstockpricesRiskfreeinterestrateExercisepricevis-a-visstockprice,ProfitGraph-CallBuyer,Profit,Loss,0,MarketPriceofCommonStock,Z,ExercisePrice,Note:Maxlossisthepremiumbutprofitsareunlimited,ProfitGraph-CallWriter,Profit,Loss,0,MarketPriceofCommonStock,Z,Note:Maxprofitisthepremiumbutlossesareunlimited,ExercisePrice,CommonStockasaCallOption,Profit,Loss,0,MarketPriceofthefirmsassets,Conclusion:commonstockofallleveraged,limitedliabilityfirmscanberegardedasacalloptiononthefirmsassetswithanexercisepriceequaltothefaceamountofthefirmsdebt.,ExercisePriceEqualtoFaceAmountofDebt,45%line,Somemoredefinitions,OutofmoneyAtthemarketInthemoneyDeepinthemoneyMaximumValueLineMinimumValueLine,Somemoredefinitions.,8,MaximumValueLine,MonthsBeforeExpiry,ExercisePrice,4,2,OutoftheMoney,AttheMoney,IntheMoney,DeepintheMoney,MinimumValueLine,ProfitGraph-PutBuyer,ExercisePrice,Z,MarketPrice,0,Profit,Loss,Note:MaxprofitachievedifpriceofC.S.fallstozero.Maximumlossisvalueofpremium.,ProfitGraph-PutWriter,ExercisePrice,Z,MarketPrice,0,Profit,Loss,Note:MaximumlossissustainedifC.S.fallstozero.Maximumprofitisvalueofpremium.,Derivatives,38,FactorsWhichDeterminePutPremiums,TimebeforeexpirationPricevolatilityoftheoptionedsecurityRiskfreeinterestrateExerciseprice,ExercisePrice,MarketPriceofOptionedSecurity,0,Profit,Loss,Straddles(1Put+1Call),Premiumpaid=Premiumfor1Call+1Put,ExercisePrice,MarketPriceofOptionedSecurity,0,Profit,Loss,Strips(2Puts+1Call),Premiumpaid=Premiumfor2Puts+1Call,ExercisePrice,MarketPriceofOptionedSecurity,0,Profit,Loss,Straps(2Calls+1Put),ExercisePrice,MarketPriceofOptionedSecurity,0,Profit,Loss,Spread(1Call+1Put),Put,Call,MarketPriceWhenOptionWritten,C,B,A,Derivatives,43,WritingOptions:CoveredorNaked,Anoptionwriterissaidtohavewrittenacoveredoptionwhentheyalsoowntheunderlyingoptionedsecurity.Bywritingcoveredoptions,theoptionwriterreducestheriskofunfavorablepricemovements.,ExercisePrice,MarketPriceofOptionedSecurity,0,Profit,Loss,ProfitGraphCoveredCallWriter,Abovetheexerciseprice,profit=premium.Belowtheexercisedprice,thelossonholdingthecommonlongispartiallyoffsetbythecallpremium.,Premium,Derivatives,45,Caps,FloorsandCollars,CapsareO-T-CinterestrateoptionsofferedbyfinancialinstitutionstoprovideinsuranceagainstunexpectedincreasesininterestratesabovesomepredeterminedlevelThecapensuresthattheratepaidonafloatingrateliabilityistheloweroftheprevailingmarketrateorthecaprateExample:Acorporatehasa$10milliondollarloanonwhichitpaysthreemonthLIBOR.Abankhasprovidedaninterestratecapof10%perannum.Attheendofeachquarter,thefinancialinstitutionsellingthecapwillpaytotheborrower:0.25x10,000,000 xmax.(R-0.1,0)whereRisthe3monthLIBORrateatthebeginningofthequarter.,Derivatives,46,Caps,Floors&Collars(Cont),AfloorsetsalowerlimitontheinterestratewhichwillbechargedAcollarisboththepurchaseofacapandthesaleoffloor,oftenatnocosttothecorporate,Derivatives,47,Swaps,WhySwapsExistSizeofSwapsMarket,Derivatives,48,WhySwapsExist,.becausemarketsarenotperfect.Imperfectmarketsleadstofirmshavingcomparativeadvantagesindifferentmarkets.Ifeachfirmtransactsinthemarketwheretheyhaveacomparativeadvantage,anetbenefitwillbecreatedwhichcanbedividedbetweenthefirms.,Derivatives,49,SizeofSwapsMarket,Theuseofswapshasgrownexponentiallysincetheirfirstusein1981.Today,severaltrilliondollarsworthofthesecontractsareinexistence.Forexample,Table1andTable2showthesize,respectively,oftheInterestRateSwapsandCurrencySwapsMarketasofDecember31,1995.,Derivatives,50,Table#1InterestRateSwaps,Source:InternationalSwapsandDerivativesAssociationMarketSurvey,December31,1995,Derivatives,51,Table#2CurrencySwaps,Source:InternationalSwapsandDerivativesAssociationMarketSurvey,December31,1995,Derivatives,52,BenefitsofUsingSwaps,LowercostoffundsManageinterestrateexposureProvideaccesstointernationalcapitalmarketsHedgecurrencyexposureExtendorshortendebtmaturitiesChangetheinterestrateorcurrencysensitivityofassetsManageassetsandliabilitiesLockinfuturefinancingcostsDeferormatchcashflows,Derivatives,53,Definition,Aswapisanagreementbetweentwopartiestoexchangefuturestreamsofpayments.Thetwobasictypesofswapsare:interestrateswapsandcurrencyswaps.,Aninterestrateswapisanagreementtoexchangeastreamofinterestpaymentsbasedononeinterestratebasisorindexforastreamofinterestpaymentsbasedonasecondinterestratebasisorindex,butwithbothstreamscalculatedbasedonthesamenotionalprincipalamount.,InterestRateSwaps,Acurrencyswapisanagreementtoexchange,overtime,aninterestflowdenominatedincurrencyAforaninterestflowdenominatedincurrencyB,withanexchangeofprincipalatthematuritydateoftheswap,withtheexchangeofprincipaldoneatafixedandpredeterminedexchangerate.,CurrencySwaps,Derivatives,56,TypesofSwaps,Derivatives,57,SwapTerminology(1/2),ReceiverThecounterpartyreceivingthefixedinterestpaymentsPriceorswaprateThefixedinterestratepaidundertheswap(alsoreferredtoastheall-inswapprice)PayerThecounterpartymakingthefixedinterestpaymentsSwapspreadThedifferencebetweentheall-inswappriceandsomeacceptedbenchmarkrate,suchastheyieldonsimilarmaturitygovernmentbonds,continued-nextpage,Derivatives,58,SwapTerminology,TradedateThedatethetermsoftheswapareagreedto.Alsoreferredtoasthefixingdate.ValuedateThedaythatintereststartstoaccrue.Maybeeitherthesameasthetradedate(fordomesticcurrency)ortwodaysafterthetradedate(forforeigncurrencies)RefixingdateThedaythatthefloatinginterestratesareresetEffectivedateThedatethatinterestfortheprecedingperiodispaid.ItmaybeequaltotheRefixingdate(fordomesticcurrency)ortwodayslater(forforeigncurrencies),Derivatives,59,ComparingSwaps,Futures&Options,Derivatives,60,Swapscanbeusedto.,takeinterestrateriskhedgeagainstexistinginterestrateriskearnarbitrageprofitssynthesizeinstrumentswherenoneexistedbeforemanagethetimingofcash-flows,Derivatives,61,UsingSwapstoTakeInterestRateRisk,Wecanuseswapsto:AssumeinterestrateriskwherenoneexistedbeforeORChangethenatureoftheinterestrateriskThreescenariosare:UsingswapsinisolationUsingswapstochangetheinterestrateriskofotherinstrumentsUsingswapstochangetheinterestrateriskofthebalancesheet,Derivatives,62,Swap#1:ReceiveFixed,PayFloating,Counterparty,Bank,Swaps-CashFlows,Characteristics:BankpaysFloatingBankreceivesFixedBankprofitsifInterestratesfallCashinstrumentsreplicatedBuyafixed-couponbondfundedwithfloatingratedeposits,Derivatives,63,Swap#2:PayFixed,ReceiveFloating,Counterparty,Bank,Swaps-CashFlows,Characteristics:BankpaysFixedBankreceivesFloatingBankprofitsifInterestratesriseCashinstrumentsreplicatedIssueafixed-couponbond.Investtheproceedsinafloatingrateasset.,Derivatives,64,Swap#3:FixedRateAsset,Swaps-CashFlows,Counterparty,Asset,UsingSwapswithOtherInstruments,Bank,Derivatives,65,Swap#4:FloatingRateAssets,Swaps-CashFlows,Asset,Bank,Counterparty,Derivatives,66,UsingSwapstoAdjusttheBalanceSheet,Intheswapsabove.wehaveseenhowtochangetheinterestrateriskcharacteristicsofanexistingassetorliability,orsimplyassumeinterestrateriskwherenoneexisted.Next.whenanorganizationwantstoadjusttheinterestrateprofileofitsbalancesheet.,Derivatives,67,IfGAP=0Banksinitialbalancesheetismatched,immunizingthebankfromadversechangesininterestrates.Preventsbankfromprofitingfromexpectedmovementsininterestrates.Cheapertouseinterestrateswapsthencashinstruments.,RateSensitiveAssets-RateSensitiveLiabilities=GAP,AdjustingGAP,Derivatives,68,Swap#7:BalanceSheetAdjustments,Swaps-CashFlows,Counterparty,Asset,Liability,Bank,Derivatives,69,Swap#8:BalanceSheetAdjustments,Swaps-CashFlows,Counterparty,Asset,Liability,Bank,Derivatives,70,Swap#9:BalanceSheetAdjustments,Swaps-CashFlows,Counterparty,Asset,Liability,Bank,Derivatives,71,Swap#11:Hedging,Swaps-CashFlows,Counterparty,Asset,Liability,HedgingWithInterestRateSwaps,Bank,Derivatives,72,Swap#13:BasisSwap,Swaps-CashFlows,6monthLIBOR,3monthLIBOR,6monthLIBOR,3monthLIBOR,Counterparty,Counterparty,Bank,Counterparty,Derivatives,73,ArbitrageAgainstCashInstruments,Swap#15:LiabilityArbitrage,Swaps-Arbitrage,LIBOR,8.75%,8.50%,Bank,Counterparty,BondLiability,Derivatives,74,WhySwapArbitrageOccurs,Swaparbitragecanoccurforseveralreasons:SwapslinkedtoanindexofaverageborrowingcostsSubsidizedfinancingSpeedatwhichnewinformationisincorporatedintopricesSupplyanddemandimbalancesCreditornewissuearbitrage,Derivatives,75,CurrencySwaps,similartointerestrateswaps(involveanexchangeofinterestrateflows)addtwoadditionalcomponentsinterestrateflowsarepaidindifferentcurrenciesexchangeofprincipalatthematuritydateoftheswap,CurrencySwaps,Sterlinginterestflows,Dollarinterestflows,Sterlingprincipalflow,Dollarprincipalflow,CompanyB,CompanyA,HedginganExistingCurrencyExposure,CompanyAfromUKissuedabonddenominatedindollars,exposingittoexchangerisk.Toeliminatetheexchangeriskondollarbond,itentersintoacurrencyswapwithCo.Bwherebyitreceivesinterestdenominatedindollarsandpaysinterestdenominatedinsterling.Atthematuritydateoftheswap,Co.AwillpayCo.Bsterlingandreceivedollars(attheexchangeratefixedattheswapinitiationdate),whichitwillusetoredeemthebond.,Derivatives,78,SampleSwapsQuestion,Asabankmanager,youarefacedwiththefollowingproblem.CompanyAcanborrowfixedrateat8.0%andfloatingrateatLIBOR+25basispoints.CompanyBcanborrowfixedrateat9.0%andfloatingrateatLIBOR+50basispoints.CompanyAwantstohavefloatingratedebtandCompanyBwantstohavefixedratedebt.Theyhaveapproachedyou,thebankmanager,toseeifyoucouldhelpthemtoattaintheirdesiredtypesofdebtatalowercostthaniftheyweretofunddirectlyinthemarket.Ifyoudoso,youwouldliketomake5basispointsyourself.Whatwou