金融创新与衍生品

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

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 - Common Examples

11、 Commodity futures: Wheat; Crude oil; Gold; Live cattle. Financial futures: S&P 500 index futures; T-bill futures;Futures Contract SpecificationComponents of contract specification: Asset; Contract size; Delivery arrangements; Cash or physical delivery; Place; Time. Price quotes; Price movement

12、limits; Position limits.Futures Contracts - MarginWhen you enter into a futures contract, the broker typically require that you deposit funds into a margin account. You may or may not earn interest on this account.At contract initiation you deposit the initial margin (also called performance margin)

13、.This account is “marked-to-market” periodically. Periodic profits, as represented by changes in the futures price, are credited to or debited from your account.Margin (contd)You can withdraw any funds in excess of the performance margin.If your margin account balance falls below the maintenance mar

14、gin you will receive a margin call, in which case you must deposit additional funds (the variation margin) to bring your balance back to the initial margin level.If you do not honour a margin call, your position is closed out.Margin ExampleTime from contract initiationMarginAccountBalance InitialMai

15、ntenanceMargin ExampleFutures on index Two contracts, contract size = $50Initial margin - $1500 / contractMaintenance margin - $1000DayIndex Level Daily Gain Margin Balance Margin Call100030001-Jun995-50025002-Jun1015200045003-Jun1005-100035004-Jun990-1500200010005-Jun9955003500Important PointsAs an

16、 investor you have more than your initial margin at risk prior to maturity. Previous example, could loose up to 1000 in index terms or (1000 x $50 x 2) = $100,000You can withdraw excess margin.Futures PayoffsLet F be the futures price and ST be the spot price at maturity.The payout from a long posit

17、ion 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 specific price (called the strike or exercise pric

18、e) 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 ifExercised Value of the put option at

19、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); Modify risk (partially he

20、dge); 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.22Put-Call ParitySuppose you simultaneously buy a

21、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 K23Tfr )1(KAn AlternativeBorrow today and repay K at matur

22、ityBuy 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 identical24The Put-Call Parity Relationship1.Cost to establish option positions:a.Purcha

23、se 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:Tfr )1(KTf

24、r )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 on a long position in the underlying asset.Generates income in t

25、he 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 achieved with put options.Bear call spread: Mirror image payoff to Bu

26、ll 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 and high strike calls. Short two mid-strike calls.Allows bets on

27、 specific future prices.问题所“套保”的对象是不是企业真实需求的产品，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

28、所需的30亿澳元。Zero-cost collar买入一个看涨期权锁定油价的上行风险，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）。 Innovation金融创新之资产证券化Who？David BowieBowie Bonds歌手歌手2000年时代杂志100名未来最有影响的革新者之一Bowie Bonds作家，诗人，电影

29、，名人Innovation1998年初，摇滚歌星大卫波威完成了一笔证券化交易。该笔交易的基础资产是大卫波威在其演艺生涯中创作的300首歌曲的出版权和录制权。该笔融资活动获资5500万美元，发行的票据为期15年, 利率为固定的7.9%。该笔融资被穆迪公司评为“A3”级，所发行的票据全部被一家保险公司购买。你最愿意投资于美国的哪个名人 ?On October 17th Fantex, a start-up in San Francisco, registered with the SEC a “convertible tracking stock” whose value would be tie

30、d to the brand of Arian Foster, an NFL running back.资产证券化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 （证券化）（证券化）The transformation of the raw assets into a form that is more desir

31、able 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

32、，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，是否比出售高例子XYZ CorporationTable 2.2 Cost of CapitalLiabilitiesPercentageCost of CapitalShort-termDebt45,000$15%4%Long-termDebt225,000$75%7%Equity30,000

33、$10%25%Debt+Equity300,000$ WACC*8.35%*WeightedAverageCostofCapital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

34、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，获得收入稳定和资产质量较好的运输收入流。投资银行（大通银行）担任中远集团下属公司的投资银行顾问，根据中远集团某子公司前几年的运营情况进行分析，以未来的运费收入作为资产支持证券的资产池，并建立相应的协议与文本。 投资银行在开曼群岛设立一特设信托机构，特设信托机构为一独立法人，由于注册地在开曼群岛，享受免税待遇，但它实质上为一空壳公司。 中远集团某子公司将未来几年向客户的未来运输收入以协议形式出售给特设信托机构。 中远集团为特设信托机构发行资产支持证券提供担保。 中远集团的案例：步骤（续）特设信托机构在美国资本市场

35、发行资产支持证券。投资银行作为发行资产支持证券的主承销商，在美国资本市场寻找投资者。 地方和国家外汇管理局对资产支持证券发行过程中涉及的外汇问题，进行协调和审批。获得中国金融监管部门的审批，其中包括中国人民银行、国家计委、中国证券监管委员会等等部门审批。 中远集团的案例：现金流动资产支持证券的投资者在美国资本市场上购买资产支持证券，将资产支持证券的收入转入到特设信托机构帐户上（即某商业银行CACSO帐户）。 特设信托机构将发行资产支持证券的收入，通过某商业银行CACSO帐户转入到中远集团某子公司帐户上。 中远集团某子公司将承销费用和律师费用转入投资银行和律师事务所帐户上。在未来的时间里，中远集

36、团某子公司的客户按协议和合同将运输费用付到某商业银行CACSO帐户中，此商业银行帐户是按公告中协议规定设置的，中远集团某子公司不能任意动用此资金帐户中的资金。 中远集团的案例：现金流动通过商业银行CACSO帐户将发行的资产支持证券的本金和利息支付给资产支持证券的投资者，支付方式按公告中协议规定。 如果此商业银行帐户支付给资产支持证券投资者本金和利息后，仍有剩余时，将剩余部分支付给中远集团某子公司。 代管公司对某商业银行CACSO帐户进行全过程监管。 Collateralized Debt Obligation债务抵押债券抵押贷款证券化抵押贷款相关证券产品： 抵押贷款支持证券（Mortgage

37、Backed Securities，MBS） 担保债权权证（Collateralized Debt Obligation，CDO） 信用违约互换（Credit Default Swap，CDS）抵押贷款支持证券（Mortgage Backed Securities，MBS）： 房地产金融机构将抵押贷款债券组成资产池，以该资产池产生的现金流为基础发行的定期还本付息债券。 美国政府国民抵押贷款协会（俗称Ginnie Mae，吉利美）1970 年首次发行MBS。 大约67的住宅抵押贷款获得了吉利美、美国联邦国民抵押贷款协会（俗称Fannie Mae，房利美）、美国联邦住房贷款抵押公司（俗称Fredd

38、ie Mac，房地美）三大政府性抵押贷款机构的担保，属于优质债券，约14属于次级债券，11属于Alt-A债券，8属于巨型抵押贷款债券。对应于同一资产池，MBS分为不同的等级（tranches）：优先级、中间级、股权级 优先满足优先级；其次满足中间级；最后是股权级。即优先级产品的偿付有中间级和股权级产品作为保障。 因此，股权级债券持有者承担的风险最高，因而回报率也最高；对冲基金是主要持有者 优先级债券持有者承担的风险最低，回报率也最低；养老金和保险公司是主要持有者。 MBS中，优先级占80%，中间级和股权级各占10%左右。再证券化（再证券化（Resecuritization ） 处于中段的MBS

39、缺乏吸引力（既不安全，也没有高回报），于是又以此为基础进行新一轮的证券化：即发行担保债务权证（Collateralized Debt Obligation，CDO）。 CDO也能被划分为不同的等级：优先段、中间段、股权段 中间段的CDO又会被进一步证券化并作为另一个CDO的基础资产，这个过程一直持续，于是出现了可形容为CDO平方、CDO立方、CDO n次方的证券。 自1980 年代晚期问世以来，CDO发展迅速。根据统计，2004 年到2006 年全球CDO 市场的发行规模依次为1570 亿美元、2490 亿美元和4890 亿美元。通过以抵押贷款资产池为基础在资本市场上发行的普通MBS 和CDO

40、，次级债贷款者的违约风险就由房地产金融机构转移到资本市场上的机构投资者。二者的主要区别是：CDO资产池的已不再完全是次贷，而是中间段级MBS和其它债券，如其它资产支持债券（ABS）和各种共识债。但是，尽管通过证券化可以转移风险，却不会减少，更不能消灭风险。相反，由于过程的复杂和“不透明”，风险反而会增加。虽然最终投资人愿意承担较高风险，但问题是，他们往往低估自己所承担的风险。CDO Special Purpose Vehicle (SPV)Subordinated NotesEquityMezzanineFixed or Floating Rate NotesSenior Fixed orFl

41、oating Rate NotesDiversified Pool ofUnderlying Assets (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 i

42、s investment grade. (Meliorbanca Parthenon I)Equity to AAA 87.5MBBB57%AA 4%A 39%From: the Wall Street Journal信用衍生品（Credit derivatives）信用衍生品的回报率与信用风险挂钩 对方违约 相对于一个标的资产的信用差信用衍生品将信用风险剥离出来基本产品 Asset Swaps Credit Default Swaps Total return swaps市场参与者银行是最大的信用产品的买卖者，占市场份额50%以上保险公司也变得越来越活跃共同基金和公司将信用衍生品视作对冲的工

43、具/主动投资工具，特别是在新兴市场和High Yield市场为什么使用信用衍生品？量身定制信用、期限、货币等头寸比其它“现金”提供更好的回报限制或者减少了信用和违约的头寸提供了杠杆分散化套期保值债券分解资金的投资 利率和汇率违约风险 国家风险（政治风险） 公司风险（商业、行业、区域）法律法规资产互换(Asset Swaps)Asset swaps: 通过把固定的支出转换为变动支出来剥离利率风险（或者变动转换为固定） 通过把一种货币的现金流转换成另外货币的来剥离汇率风险 把债券中的可转换部分剥离出去，变成纯粹的信用产品但是标的债券本身的违约风险是不能去除的。Swap定义在互换协议中，双方同意阶段

44、性地交换现金流例如: 单一利率互换 最简单的形式是固定利率换浮动利率 跨币种利率互换 外汇互换互换银行促成互换的金融中介a broker or a dealer. As a broker, 撮合交易，但是自己不承担风险 As a dealer, 可以单方承担风险，再寻找对方，或者自己承担风险 Interest Rate Swap QuotationsEuro- SterlingSwiss francU.S. $BidAskBidAskBidAskBidAsk1 year2.342.320.983.543.572 year2.622.631.313

45、.903.943 year2.862.801.584.114.134 year3.063.031.814.254.285 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 year3.823.855.085.132.56

46、2.644.754.793.823.85 means the swap bank will pay fixed-rate euro payments at 3.82% against receiving euro LIBOR or it will receive fixed-rate euro payments at 3.85% against receiving euro LIBOR利率互换例子最简单情况银行A 是一个在英国的AAA定级的国际银行，它需要借 $10,000,000 来支持自己浮动利率的Eurodollar债务. 银行 A 考虑发行5年期的固定利率Eurodollar债券，利率

47、是10%. 对它而言，最好是发行浮动利率的债券来对应浮动利率的债务例子（续）公司B 是 BBB评级的 U.S. 公司，它需要$10,000,000 来支持一个5年期项目. 公司B 考虑发行5年期固定利率（11.75%)的债券. 或者，B公司可以LIBOR + percent的浮动利率来融资 公司B倾向于第一种方案.借款机会为An Example of an Interest Rate SwapThe swap bank makes this offer to Bank A: You pay LIBOR 1/8 % per year on $10 million for 5 years and

48、we will pay you 10 3/8% on $10 million for 5 years COMPANY B BANK A Fixed rate 11.75% 10% Floating rate LIBOR + .5% LIBOR 互换银行LIBOR 1/8%10 3/8%银行 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

49、externally at 10% fixed and have a net borrowing position of -10 3/8 + 10 + (LIBOR 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 Rat

50、e SwapCompany BThe swap bank makes this offer to company B: You pay us 10% per year on $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

51、% 10% Floating rate LIBOR + .5% LIBOR An Example of an Interest Rate SwapThey can borrow 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 th

52、ats quite a cost savings per year for 5 years.Swap BankCompany B10 %LIBOR %An Example of an Interest Rate SwapThe swap bank 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 Fi

53、xed rate 11.75% 10% Floating rate LIBOR + .5% LIBOR An Example of an Interest Rate SwapSwap BankCompany B10 %LIBOR %LIBOR 1/8%10 3/8%Bank AB saves %A saves %The swap bank makes % COMPANY B BANK A Fixed rate 11.75% 10% Floating rate LIBOR + .5% LIBOR 外汇互换的例子假设一个 U.S. 的跨国公司需要融资MNC 10,000,000 用来扩展英国的工厂

54、.它可以选择借美元，然后换成英镑. 它们将面临外汇风险它们可以选择在国际市场借英镑，但是由于在外它们并不有名，成本要高如果它们可以找到一个有类似需要的英国公司，双方都可以获利例子假设A和B: A 是 U.S公司 ，B 是英国公司 $ 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 position 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 positio