金融产品-邱行长培训

Financialmarketsmadesimple

1前言法不孤起仗境方生道不虚行遇缘即应声,医方,工巧,因,内,古称五明巍巍大国庆甲子凛凛民威历千载华昌裕富民为本领航新世始于此中秋月圆百事好旭日东起映神州天下如是骄多美当愿太平万年长2Objectives

目标Knowtheassets,theproductsandhowtheyareinter-relatedinaglobalmarket国际市场资产,产品与其相互关系Knowwheretofindinformation知识何处寻Knowwheretofindinformationonnewproducts新产品如何学3

HowtoclassifyaMarket

市场的定义

Anunderlyingmerchandise基本商品Demandandsupplyofthatmerchandise商品供求Quantification/Pricing量化与定价机制Tradefacilitation交易机制Informationflow訊息Valuechain价值链Otherspin-offsAgents,regulators仲介,监管Exchangeetc

交易所4GlobalMarkets

全球市场的资产类别Equity证券InterestRates/FixedIncomes利率ForeignExchange外汇Commodities商品Credit信用Optionality

期权5全球化科技与资讯金融科技信贷资产类之重要性分布变动中国跟上新资产类的出现全球市场事业收入分布前景背景6全球市场事业利润来源分析投资银行销售/交易固定收益证券证券服务重大投资资产管理高盛7金融市场的基本运作定律大同世界全球化,科技平等世界,无免费午餐(MiltonFriedman)FreedomofChoice(MiltonFriedman)利润与风险成正比现值概念PV量化=Buylow,sellhighNobankistoobigtofailGoodinvestmentisboring张五常零和游戏论(Mahatir

vsSoros)全球化与花旗李嘉诚8衍生何谓衍生？数学,dy/dx或更高會计,资产与负债平衡表交易,短线买卖无需提货，也是衍生？为何衍生？低成本=>便宜,贡杠作用科技造就=>高流动量,透明性,活！衍生产品有多少？市场有多大？衍生市场利与弊9如何掌握衍生？三步曲是市场吗?何种基本商品？如何定价？资产市场风险类别资产类别的相互关系风险分割，归纳，一统，表达左右市场价格的外在与内在因素经济，政治，讯息，局限，价值链定价，盈亏计算10衍生产品例一StrikeCurrent%ToyotaJPY4350709563.1%EastJapanrailwayJPY60500080610033.2%Sun-hung-KaiPropLtdHKD63.7585.4887834.1%SwirePacificHKD49.181.0310865.0%AltriaGroupUSD49.681.4564.2%ProcterandGambleUSD54.663.0415.5%IBMUSD88.7191.683.3%CitiUSD46.5249.746.9%NestleCHF33942525.4%LVMHEUR6081.535.8%11衍生产品例二吉宝企业发售组合式票据吉宝企业(KeppelCorp)将发售表现跟一篮子商品挂钩的保本票据，成为新加坡第一家发行组合式票据(structurednotes)的企业。26Oct2006

12Riskcategory

风险类别. Equity

InterestRate

FX

Credit

Options/2ndorderDepo/Loan xBond x xFRA/OIS/IRS xCurrencySwaps x xAssetSwaps xCapsandFloors x xSpotFX xForwardFX x x OutrightFX/NDF x xFXOptions x x xCDS x Nthtodefault x xCashEquity x xWarrants x x xCB x x x xEDS x x xHybrid x x x x x 13ATypicalRiskmanagementoutputfortrader

典型交易员所需的风险管理资料Cashflowexposurestounderlyings

现金流动表Typeofmarketrisks,PVBP不同市场风险表Greeksofeachmarketrisktype希腊字母DeltaGammaVegaProfileandgraphsOthers14IneachMarket…

金融市场的另一类别Cash,underlying/Derivatives现货,衍生Optionality

期权Hybrid跨资产产品Onbalancesheet/Offbalancesheet资产负债项目与非资产负债项目Over-the-counter/Exchangetraded柜台/交易所Electronic/voice电子/声音Regulated/Non-regulated受监管/无监管15InterestRates/FixedIncomeMarkets

利率/固定收入市场进化Deposits/Loans存贷Bonds,Notes,Bills债券,票据FRA,OIS,Futures远期利率,隔夜指数调期(互换),期货InterestRateSwaps利率调期(互换)CurrencySwaps货币调期(互换)AssetSwaps资产调期(互换)Optionalityoftheabove上述产品期权16Bonds,Notes,Bills

债券,票据IOU欠据2Marketriskcomponents二种市场风险Credit信贷Interestrate利率BondPricing债劵定价Principal本金Tenor票期Coupon息票17BondPricing

债券定价10%10%10%110%4year10%annualcouponbondCashflowsonatimescale现金流动时表Yieldtomaturity(say12%)到期收益率

Price=10/(1.12)^1+10/(1.12)^2+10/(1.12)^3+110/(1.12)^4=93.93%

MacauleyDuration=3.5years=(SumofPVoftimeweightedcashflows)/(BondPrice)持續期

ModifiedDuration=3.10=(Duration)/(1+yield)PVBP=3.10x93.93x0.01%=0.0318YieldCurves

收益曲线Alsocalledtermstructure,nothingbutagraphthattakesasnapshotofalltheratesatdifferenttenors.i.e.ayieldvstimegraph收益与时间x-y图PVfactors现值因子Zero-couponrates零息票率Forwardrates远期利率19YieldCurves,spread

收益曲线，价差Conceptofspreads价差概念Typesofspreads价差种类Libor英伦银行间定价Govis

政府公债OIS隔夜利率调期Impliedforwards外汇隐含利率Credit信用20收益曲线，价差实例21RatingSystemsandSymbols评级系统和记号Fitch Moody’s S&P DescriptionInvestmentGradeAAA Aaa

AAA Gilt-edgedAA+ Aa1 AA+ HighGradeAA Aa2 AA HighGradeAA- Aa3 AA- HighGradeA+ A1 A+ Upper-mediumA A2 A Upper-mediumA- A3 A- Upper-mediumBBB+ Baa1 BBB+ Lower-mediumBBB Baa2 BBB Lower-mediumBBB- Baa3 BBB- Lower-mediumSpeculativeGradeBB+ Ba1 BB+ LowGrade,speculativeBB Ba2 BB LowGrade,speculativeBB- Ba3 BB- LowGrade,speculativeB+ B1 B HighlyspeculativeB B B HighlyspeculativeB- B3 B HighlyspeculativeSubstantialRiskorinDefaultCCC+ CCC+ inpoorstandingCCC Caa CCC inpoorstandingCC Ca CC MaybeindefaultC C C Extremelyspeculative. CI Incomebonds-nointerestpaidDDD DefaultDD DefaultD D Default22PVFactors现值因子MoneyMarketrates,theyarezerocouponinterestratesiftenoris1yearorless.PVfactor,PVf=PV/FVwherePV=Presentvalue现值,FV=futurevalue远值Foroneyear,PVf=1/(1+0.0341)=0.967024For6months,PVf=1/(1+0.0329x180/360)=0.983816,assuming6mis180daysactualusing360daybasis)Conceptofcontinuouscompoundingandinterestrateparityrelationship:ieF=S.Exp(-rt)6months12months3.29%Eurbid3.41%Euribor23ImportanceofPV

PV的重要性PVisthesinglepointofreferenceforlike-for-likecomparison重归统一原点NPVistheprofitandloss净PV即盈亏NPVisthebookvalue(mark-to-market)ofaposition,aportfolio,anoperationandacompany整体净PV即盈亏NPVisthebuildingblockforallriskmanagementtools一切风险管理的基石PVBPisthesensitivityofPVtoonebasispointchangeinthepriceoftheunderlying.(PV的价格衍生即PVBP)Delta=dPV/dS24ForwardRates

远期利率Usedtotakeviewsaboutwheretheyieldcurve‘mightbe’ataforwardrate,topriceaderivativeproduct,toevaluaterefinancingdecisions,tolockininvestmentratesorborrowingcostsforfutureperiods6by12forwardmeansborrow(orlend)1unitin6monthstimeforasixmonthmaturitysothatyouareguaranteedtodaywhatthefixedinterestratewouldbeThisisequivalenttoborrow1yearanddepositfor6monthsCompletebreak-evenforallparties(interestrateparityrelationshiporzeroarbitragepricing)6months12months3.29%Eurbid3.41%Euribor6x12Forward=3.4729%25ForwardRates

远期利率PVfor6monthsis0.983816Borrow0.983816for12monthsatacostof0.983816x3.41%=0.033548Attheendofoneyearweneedtorepay0.983816+0.033548=1.01736Expressingininterestrateterm:0.01736x12/6=3.4729%Generalmoneymarketforwardrateformularis:公式F=(((1+(Lxl/360)/(1+(Sxs/360))-1)x(360/f)WhereF=Forwardrate,0.034729%L=LongPeriodrate,0.0341l=Longperioddays,360S=ShortPeriodrate,0.0329s=ShortPerioddays,180f=ForwardPerioddays,18026FRAandInterestRateFutures

远期利率契约和利率期货ForwardRateAgreementisaforwardcontractwherethepartiesagreethatacertaininterestratewillapplytoacertainprincipleduringaspecifiedfuturetimeperiod.The6x12FRAispricedat3.4729%双方对未来利率定价签定非资产负债项目合约InterestrateFuturesisanexchangetradedproductthattradesforwardinterestrateinaspecifiedcontractformat.Ifthereisone6x12futures,thenthepricewillbe100-3.4729=96.5271远期利率契约=利率期货Bootstrappingrevisited6months12months3.29%Eurbid3.41%Euribor6x12Forward=3.4729%27InterestRateSwaps利率调期(互换)Aswapisanagreementbetweentwopartiestoexchangecashflowsinthefuture现金流动相互交换(浮动与固定间)之非资产负债项目合约PlainVanillaIRS.PartyBagreestopayPartyAcashflowsequaltointerestatapredeterminedfixedrateonanotionalprincipalforanumberofyears.Inreturn,PartyAagreestopayPartyBcashflowsequaltointerestatafloatingrateonthesamenotionalprincipalforthesameperiodoftime.Thecurrenciesofthetwosetsofcashflowsarethesame.浮动机制为LIBORFloatingrateinmanyIRSagreementsistheLIBORfixingFixedagainstfloatingrepresentdifferentrisksIRSPricingABFixed4.2%Float28NotesonIRS

利率调期(互换)槪要OffBalanceSheetBalancesheet/capitalSettlementriskLiquidityOTCproductandrequirementsISDAagreementFixingmechanismPrice-makerUsageexample1.PartyBhasborrowed$100millionatLibor+80bp,aftertheswapdeal,ithas3setsofcashflows:PaysLibor+0.8%tothelenderReceivesLiborfromPartyAPays4.2%toPartyAPartyBthustransformsaliabilityatfloatingintoafixedcostof4.2+0.8=5%PartyAhastheoppositeexposure2.PartyBhasa$100millionbondsthatgenerates4.0%interest,aftertheswapdeal,ithas3setsofcashflows:Receives4.0%perannumonthebondsReceivesLiborfromPartyAPays4.2%toPartyAPartyBthustransformsanassetintoanassetearningfloating(Libor–20bp)rates29AssetSwaps资产调期(互换)Remouldingabond(Asset)usinganInterestRateSwapTwostagesBuyanunderlyingsecurityUseanIRStoalterthecashflowsofthesecurityintothedesiredformInvestorobjectives1.createasyntheticsecurity,giventhataparticularcreditthatdoesnotexistinthemarket2.createahigheryieldingsecuritythancanbefounddirectlyinthemarket,givenaparticularcreditandmaturityprofile.i.e.pricingarbitrageSwapspreadvscreditspreadHowaretheycorrelated?30AssetSwapIllustration资产互换例子InvestorBankbondFixed5%Libor+1%Fixed5%CreditSpread2%Marketswap=4%,swapspread=1%1.IfinvestorisabletoraisefundtobuythebondatLibor,thenhestandstomake2+1%2.IfSwapspreadfallsto0.5%andtheCreditspreadremainsunchanged,thedealwillbeevenmoreattractiveashewouldhavecutthedealatLibor+1.5%.Thiswillencouragemoreparticipantsintothemarket3.AssetSwapshavebecomeamechanismforpeopletoarbitrageandextractrelativevalues31InterestRateCaps,FloorsandCollars

利率上限,下限与銜接

Acapisaseriesofoptions(caplets)Optionsonseriesofinterestrateresets(eg.6monthsLibor)orforwardratesFutureLiborCap(5.808%)UnhedgedInterestExpenseSwap(4.868%)32CapsIllustration

上限例子CompanyXhasaUSD10millionfloatingrateloanfor2yearson6monthsresetXbuysacapforsameamountalsoon6monthsresetstrikeat5.5pct,payingpremiumof1.226%or0.308%amortised.X’sinterestrateriskisthereforecappedat5.808%Xwillbecompensatedifanyofthe3futureresetratesgoesabove5.5%XcouldalsohaveusedIRS(at4.868%)wherethecostoffundingwouldbelocked,buthewilllosethebenefitoftakingadvantageoflowerratesVolatility(vols)termstructureisneededforthepricingofcaps126018246x1212x1818x24TwoyearInterestratecap33FXCash

外汇现金交易Spottransactions(T+2)现货交易Pricingdrivenbypuredemandandsupply供求为最基本动力Currencypairs,twonostrosaccountmovements一项交易两个户口Mostliquidinstrumentsintheworld(2Trillionaday?)作量世界第一Mostcommoditisedmarket最普遍的市场Narrowspread小价差Goodmarketdepth市场深度好Technologyrules科技掌权Marketconventions市场定律Spotdelivery(T+0,T+1orT+2)现货1st/2ndcurrency(EUR/USD,GBP/USD,AUD/USD,NZD/USD)主导货币Fixing(Tokyocut,NYcut)定价Decimalpointsandpips小数位34FXForwards外汇远期Apairof2opposingFXtradeswith2differentvaluedates一对不同生效日,买卖相对的外汇合同Contingencyitemonbalancesheet,importanceofnettingagreements备抵资产负债项目Dateforfirstlegusuallyspot,itcouldhoweverbeforward/forwardifdateforfirstlegfallsbeyondspotdate第一合同通常是现货Principalamountsonbothlegsusuallyequal,however,itcouldalsobemismatched(normallytoadjustNPVamounttoremovespotdelta)二合同有相同本金3marketsdatainputsneededforpricing;spot,interestratesforthetwocurrencies三种市场风险Interestrateparityrelationshipapplies定价以利率平价公式为准3Marketrisksembeddedfromaforward;spotandinterestratesMarketpricesforwardinFXpips(1/1000or1/100ofthespotpricedependingonthecurrencypairmarketconvention)以外汇通用小数位做标准35FXForwards

外汇远期UsersofFXForwards用处CrossborderM&A跨国收购Derivativeinstrumentswithquantocomponents衍生quanto工具Corporates/institutions,whohasfuturedateFXrequirements企业进出口Spotspeculators,whoneedstoextendapositionfromspotdatetoafuturedatewithouttakingdeliverythespotcontract.‘Roll-over’投机客Interestrateplayers,eitherusingforwardtoexpressacertaininterestratedirectionalview(veryrare),ortoarbitrageagainstthevariousmarkets利率交易员Basisplayers,forwardisagoodexpressionofbasisbetweentwodifferentsovereigns,especiallylongerdatedforwards息率基準掉期（交易）

36FXForwardsPricing

外汇远期定价F=S.Exp((k-i).T)WhereforUSD/JPYF=forwardrate;S=Spotrate(110);i=USDInt(0.05);k=Jpy

Int(0.01);T=Tenor(0.5or6months)F=107.82meansforwardswap(FS)rateis-218pips=(110-107.82)x100,thisiscalledadiscountprice(asagainstpremium)Thismeans意义何在?USDisahigheryieldcurrency高与低利率货币之分Priceof-218pipsisafunctionofi,kandS数学上的关係=三个市场变数Forwardtradersthereforemonitor3marketstomanagetheirpositionsForanequalamount100millionUSDforwardposition(SellandbuyUSDagainstJPYintwocontracts),thebookhas100millionUSDinterestraterisk(lend)for6monthstenor100millionUSDworthofJPYinterestrateriskinoppositedirection(borrow)Spotriskof100,000,000*(1-PV)=USD2,439,024againstJPY37FXOutright

外汇单边远期交易IntheexampleaboveFisalsocalledtheFXOutrightpriceTherearethreepossibleFXtrades三种外汇产品Spottrades,takingdeliveryonthespotdate.i.edeliveringUSDandreceivingJPYinthetwonostroaccountifyousellsUSD/JPY(at110.00)-----oneFXtransaction(fullspotrisk,nointerestraterisk)单一市场变数Outrighttrades,takingdeliveryonadifferentdate.i.edeliveringUSDandreceivingJPYat107.82valued6monthslater.----oneFXtransaction(fullspotrisk+2interestraterisks)两个市场变数Forwards(orswaps),enteringintotwoFXcontractssimultaneously,oneonthespotdate(sellUSD/JPY)andoneontheforwarddate(buyUSD/JPY)----twoFXtransactions(onlyNPVspotrisk+2fullinterestraterisks)三个市场变数38Non-DeliverableForwards

NDF无交付远期外汇FXinnaturePriceandmarketriskbehaviourmatchesFXOutright数学上即外汇单边远期交易OffBalancesheetinstrument非资产负债项目Incurrencypairbutinvolvesonlyonenostroaccountmovement单一户口Relyonspotfixingmechanism定价机制EgBought1millionUSD/CNYat7.80of6monthsNDFusingcurrentspotrateof8.07andforwardrateof-0.27.Onmaturing,spotfixingisat7.90.ThebuyerhastopayUSD(1000000x0.1/7.9)=USD12658.23WithNDF,tradercannowparticipateinCNYcurrencyeventswithoutinvolvingmovementinCNYnostroaccount,whichisrestrictedtoonlylocalChineseresidents无须CNY户口亦可参与Availabilitysubjecttodemandandsupply由供求需要定市UsesISDAaslegalsettlementbackdrop法律架构取材ISDA39Options,aproductthatdealswithprobability

期权，将机率具体化的产品Call(put): Righttobuy(sell)agivenassetatafixedpriceonorbeforeaspecifieddateAsset

(Underlying): Security,commodity,index,futurescontract,FX,Bonds,IRS,CDS………American/European: OTC/Exchangetraded:ContractSpecification: Underlying,ExpiryDate,ExercisePrice(strike),Type(call/put),Premium,Size,currentunderlyingprice(spotprice)PayoffDiagram: AlsocallRiskrewarddiagram,aPnL

vsUnderlyingPricegraphElementaryStrategies: Strangle,Straddle,Butterfly,……PricingModel: Put-CallParity+Black-Scholes

formular

Inputs:ExercisePrice,currentpriceofunderlying,riskfreeinterestrateoverthelifeoftheoption,volatility

Assumptions:continuoustimemodel=>lognormaldistribution;constantvolatilityoverthelifeofanoptionVolatilityTypes:Future,Historical,Forecast,Implied

40Black-Scholes

anditsapplication,vanillaoptions

Black-Scholes及其应用，vanilla期权CellBC

8UnderlyingPrice,S100

9Volatility%0.0691

10OptionmaturityYears0.25

11StrikePrice,X99.5

12Risk-freeinterestrate%0.05

13

14

15

Cellformulae16ln(S/X)0.005012542=LN(D8/D11)17Adjustedreturn0.00004560125000=((D12-D9)^2/2)*D1018Time-adjustedvolatility0.131434394=(D9*D10)^0.519d20.038484166=(D16+D17)/D1820N(d2)0.515349172=NORMSDIST(D19)21

22d10.16991856=D19+D1823N(d1)0.567462908=NORMSDIST(D22)24e^-rt0.9875778=EXP(-D10*D12)25

26CALL6.106024296=D8*D23-D11*D20*D2427PUT4.370015446=D26-D8+D11*D2441OptionsGreeks

期权与希腊符号Delta dPrice/dSpotGamma dDelta/dSpotTheta dPrice/dTimeVega dPrice/dVolRho dPrice/dIntdVegadVoldVegadSpot

Nothingmorethanadistance/velocity/accelerationrelationship…… 42OptionsTypes

期权类型Vanilla,simple最简单式Non-Vanilla,Exotics复杂式Eg.Pathdependentoptions AsianOptions Look-backOptions Digital/Binary CompoundOptions BermudaOptions ContingentPremiumOptions……….aglimpse43StrikeCurrent%ToyotaJPY4350709563.1%EastJapanrailwayJPY60500080610033.2%Sun-hung-KaiPropLtdHKD63.7585.4887834.1%SwirePacificHKD49.181.0310865.0%AltriaGroupUSD49.681.4564.2%ProcterandGambleUSD54.663.0415.5%IBMUSD88.7191.683.3%CitiUSD46.5249.746.9%NestleCHF33942525.4%LVMHEUR6081.535.8%衍生产品例一44吉宝企业发售组合式票据

吉宝企业(KeppelCorp)将发售表现跟一篮子商品挂钩的保本票据，成为新加坡第一家发行组合式票据(structurednotes)的企业

26Oct2006

衍生产品例二45

台币看涨结构－期限：6M－挂钩标的：USD/TWD汇率－观察期限：每月观察－支付方式：到期支付－收益分析：

0.72％＋MAX{(3.5%＋2.5×台币累计月升值率),0}其中：产品分析:该结构100％保本，最低收益0.72％，收益上不封顶。适用于对台币看涨的投资者。TWDInverseFloater衍生产品例三46新币看涨结构－期限：6M－挂钩标的：USD/SGD汇率－观察期限：到期观察－支付方式：到期支付－收益分析：0.72％+Min[0.45×新币升值率，12%]其中，产品分析:该结构100％保本，最低收益0.72％，最高收益12.72％；适用于对新币看涨的投资者。衍生产品例四47衍生产品例五农业股票PK次债股危机－期限：1Y－挂钩标的：

看涨篮子：POTUSPotash；SYNNVXSyngenta；MONUSMonsant。看空篮子：GLEFP,Societe

Generale；CUS,Citigroup；

LEHUS,Lehman/MERUS,MerrilLynch－观察期限：每日观察－支付方式：到期支付－收益分析：

8％×n/N其中，n为看涨篮子中表现最逊色之股票的表现－看跌篮子中表现最优异之股票的表现>=0%的天数；N为观察期内总的工作日产品分析:该结构100％保本，最高收益8％。48衍生产品例六与股票挂钩（bullish/bearish）－期限：1年－挂钩标的：Citigroup(CUS)+Lehman(LEHUS)+MerrillLynch

(MERUS)+MorganStanley(MSUS)+UBS(UBSUS)－观察期限：每季度观察－收益分析：A）如果Bullish事件或Bearish事件触发，收益为7.00％B）其他，收益为0.2％Bullish事件：Rh位于Q1：105％－115％；Q2：105％－115％；Q3：105％－120％；Q4：105％－120％；Bearish事件：Rh位于Q1：85％－95％；Q2：85％－95％；Q3：80％－95％；Q4：80％－95％；注：Rh＝MAX（每季度挂钩标的股票的表现值）

股票表现值＝观察期期末价格/观察期期初价格－提前赎回事件：前两个观察期内，如果投资者总收益>=3.5%×本金，则结构提前终止。产品分析:该结构100%保本，保底收益0.2％，最高收益7％。49衍生产品例七期限：1年—挂钩标的：商品：原油

<CL1Cmdty>股票：中国电信<728HK>+中国国航<753HK>+中国中煤能源<1898HK>+招商银行<3968HK>+中国平安保险<2318HK>+紫金矿业<2899HK>—客户收益：

Min[12%，30%x绝对值（石油平均季度表现–100%）]xFactor其中，石油平均季度表现=Factor定义为：每月观察挂钩股票中的最差表现，如果最差表现从未等于或小于期初价格的60%，则Factor=1否则，每月观察，如果最差表现曾经等于或小于期初价格的60%，则Factor=0其中，最差表现=最小值{（股票i观察价格/股票i期初价格），i=1，2，3，4，5，6}50中信泰富事件回顾

2008年10月20日傍晚，香港恒指成分股中信泰富(00267.HK)披露因投资杠杆式外汇产品而巨亏155亿港元。其中包括约8.07亿港元的已实现亏损，和147亿港元的估计亏损，而且亏损有可能继续扩大。21日，中信泰富股价开盘即暴跌38%，盘中更一度跌至6.47港元，跌幅超过55.4%，当日收报于6.52港元，跌幅达55.1%。据公司董事长荣智健透露，该公司高管从9月7日开始发现了有关情况，随后公司召开了特别董事会，而审计委员会也被授权开始进行独立调查，同时中信泰富开始向母公司中信集团求助。公司审计委员会调查结果显示，负责集团对冲策略的财务董事张立宪没有按照既定的程序事先获得主席许可就进行外汇交易，超越了职权范围；而财务总监周至贤没有尽到监督责任，也没有提醒主席有不寻常的对冲交易，因此二人即刻离职。51交易背景：中信泰富在澳大利亚建一个铁矿石项目，为了支付从澳大利亚和欧洲购买的设备和原材料，需要澳元和欧元，为了减低其西澳洲铁矿项目和其它投资项目面对的货币风险，进行外汇操作。中信泰富投资的杠杆式外汇合约主要有4种：1.澳元累计目标可赎回远期合约(每月结算)2.每日累计澳元远期合约(每日结算)3.双货币累计目标可赎回远期合约(每月结算)4.人民币累计目标可赎回远期合约(每月结算)相关交易（1）52我们以澳元累计目标可赎回远期合约来看，其交易条款应该为：1.如果每个月的到期观察日，AUD大于等于0.87，中信泰富以0.87的价格BuyAUD，金额为一倍；2.如果每个月的到期观察日，AUD小于0.87，中信泰富以0.87的价格BuyAUD，金额为两倍。当客户从交易中获得的累计汇率优惠达到某一程度上时，该交易就被终止。从目前媒体披露的数据来看，预测中信泰富大概在AUD＝0.9450左右的水平介入交易，执行价格大概在AUD＝0.8700，当客户累计交割优惠享受到大概2000BP时，该交易终止。相关交易（2）53DevelopmentofCreditmarkets

信贷市场的发展10Yearsago前CDS时代Bonds,long/short7Yearsago:CDSofferschoicefor延伸Names资产名单Maturity期限Currency各类货币Long/shortcreditexposure双向交易Last5years:newproducts新产品，数学应用,新趋势Separatedefaultfromspreadexposure分割违约机率与信用价差Tradecreditcorrelation信用互联交易Tradecreditvolatility信用波动性54ProtectionBuyerSwapspremiumProtectionSellerContingentpayment(Ifcrediteventoccurs)ReferenceEntityCreditDefaultSwap

信贷违约调期(互换)ProtectionbuyerandProtectionseller保险买家,保权卖家ReferenceEntity指名资产SingleNameandBasketSwaps单名或一篮子Unfunded无本金流动SwapPremium(fee)quotedininterestrateterms(bp),payablequarterlylikeaswap贴水以利率基点定位Definition:TheprotectionbuyerpaysafeetotheprotectionsellerinreturnfortherighttoreceiveapaymentconditionaluponthedefaultofthereferenceentityDefaultisdefinedintermsofa‘creditevent’预先设违约定义55CDSillustration

CDS例子AninvestorownsUSD12.5millionparvalueofGM’sbond,thecurrentvalueofthesebondsarenowworthUSD10millionHebuysaUSD10millionCDSpricedat330bpasaprotection.Ifacrediteventoccurs,hedeliverstheUSD12.5millionbondstotheprotectionsellerandreceiveUSD10million.Crediteventsasdefinedby1999ISDAasBankruptcy,merger,downgrade,failuretopay,restructuringetcIntheabsenceofanycreditevent,hepaysquarterly(inarrear):$10,000,000x0.033x92/360=$84,433.3356NthtoDefaultSwaps(nTD)

第N次信贷违约调期(互换)BasketSwaps(normallyupto5differentreferenceentityinapool)一篮子资产Custom-madebutstandardisedbasketbasedonDJiTRAXXcomponentshasalsoemerged市场已经指数化ProtectionsellermakesapayoutonlyaftertherehasbeenadefaultfortheNthreferenceentityandmakesnopayoutfordefaultofthefirst(N-1)referenceentities.保险卖家只在第N次违约后才履行责任OncethereisapayoutfortheNthreferenceentity,theentireDefaultSwapterminates.ThismeanstheSellerhasnomoreobligationtopayevenanyoftheremainingreferenceentityexperiencesacrediteventsubsequently当第N次违约发生后,整个合约停止生效57CDS,NthtoDefaultSwapsDynamics

第N次信贷违约调期(互换)的意义CDSspreadismadeefficientbyAssetSwapsplayers;Bond/CDSbasistrades资产互换的延伸SumofindividualCDSsinglenamespreads(SOS)isalwayshigherthanspreadforabasket.=>cheapertobuytheprotection一篮子价较单一总和便宜Correlationtradingskillsemerge统计学上的互联性开始起作用Defaultbasketsdepthenhancedbyincreasedhedgingactivityandaxedevelopmentbycorrelationtradingbooks相辅相成造就市场NewproductinnovationinnTDandcorrelationtradingfurtherimprovesitsefficiency

BasketspreadAsa%ofSOS100%100%CorrelationFirsttoDefaultBasket58CreditLinkedNote

信贷关联票据ProtectionbuyerandProtectionseller(investor)ReferenceEntity/EntitiesFunded,sellerspaystheprincipaltothebuyerandcollectsinterestonitNotesinterestratepayablelikeaswapi.e.Libor+xbpProtectionSeller(investor)assumesthecreditriskoftheReferenceentity/entitiesandiscompensatedbyahigherreturnonyield(CDSvalue)ProtectionsellergetstoparticipateinthecreditoftheReferencingEntityasanassetwithoutphysicallyowningitProtectionBuyerLibor+SpreadProtectionSeller(investor)InitialCashInvestment100ReferenceEntity/EntitiesDefaultrecoveryvalueor100onmaturity59CollateralisedDebtObligations

债务抵押条款(证券)Firstdevelopedin1988withcollateralisedBondObligations(CBOs)andCollateralisedLoanObligations(CLOs).TheyarebothcashCDOsFurtherdevelopedintoCMOs(CollateralisedMortgageObligations)andsyntheticCDOsusingcreditderivativesastheunderlyingassets.‘Let’splayitalloveragain’音乐重新开始CDOCashSynthetic

结构性BalancesheetArbitrageArbitrage套利Balancesheet60CDOValueChain

CDO价值链SPV特载体Manager/Advisors

HedgingcounterpartyOriginator/UnderlyingAssetPoolInvestor投资者FeesNotesFundsCashFlowsTransferofassetsFundsTranches档次ABCEquity股权资产池交易对手61Tranching

档次Seniornote,AAA-rated(90-95%)超高Subordinatednote,A-rated(3-5%)高Mezzaninenote,BBB-rated(1-3%)中间Equitynote,non-rated,1-2%股权级Waterfallprocess,forinterestpayment,theseniorpaymentmustbepaidfirstandallthewaydownlikeawaterfall.Reversehappenstodefaults.流水程序,最高档次最优先获利,却最后被违约导致亏损62CreditIndices

信用指数MergerofiBoxxandDJ-Trac-xindices,usingDJplatformComposedofDJiTraxx:CDSindicesDJiBoxx:BondindicesinEuropeDJiTraxxallowsinvestorstotakeliquidexposuretoabroaduniverseofcreditsindifferentregionOffersCDS,Notes,Tranches,FTDBaskets,OptionsetcontheindicesStandardiseddocumentationStatic,diversifiedportfolioofnamesacrossdifferentsectorsEg.DJiTraxxEuropetracks125mostliquidEuropeaninvestmentgradenamesintermsofCDSvolumetradedCreatesanewbasismarketbetweentheindexandtheunderlyings63Commodities

商品交易PhysicalDelivery/spot/cash现货Exchanges交易所TypesSoft软Metals,PreciousMetals贵重商品Energy能源Transportation运輸Newinventions……气象,二氧化碳,垃圾….Derivatives衍生产品Producers/Manufacturers/Users/Speculators厂商,消费者,玩家Index,exchanges指数化Hybrid跨资产64碳排放交易市场1997年京都协议2012年以前所有发达国家必须把排放的包括CO2,CH4等六种温室气体的数量，比1990年减少5.2%共同但有区别原则日本GDP单位能耗为1，欧洲1.9，美国2，中国8.7工业化国家与发展中国家间的交易，在发展中国家实施减排效果项目，双赢供求交易机制联合国与世界银行，气候交易所2008-2010年成交量600亿美元，2012年估计为1500亿美元中国目前提供排碳量占全球1/3，仅次于印度，估计2012年将达到41%量化机制不完善，流程欠妥，价格差异大，缺乏全面主导65励志小篇诸葛亮：诫子书

夫君子之行，静以修身，俭以养德。非淡泊无以明志，非宁静无以致远。夫学须静也，才须学也，非学无以广才，非志无以成学。淫慢则不能励精，险躁则不能治性。年与时驰，意与日去，遂成枯落，多不接世，悲守穷庐，将复何及！66游戏朱子之即物穷理说:学者即凡天下之物莫不因其已知之理而益穷之67Equity

股票Equity,Bonds,BankassetsRiskelements,credit,interestrate,equityWarrant,pricingConvertiblebondsEquityDefaultSwapsETF68Warrants

认股权证CallwarrantsaretransferableoptioncertificateissuedbycompaniesandtrustswhichentitletheholdertobuyaspecificnumberofsharesinthatcompanyataspecificpriceataspecifictimeinthefutureWarrantsarelikelong-termoptions,exceptthatoptionsdonotinvolveprintingnewshares,thereforenodilutionissuesConvertiblebondsusesWarrantsasadealsweetener,othersweetenerscouldbebonusissue.Combinationofrightsissue,bonusissues,bondsissues,warrantsissuesarealsopossible69Warrant,anexample

认股权证，例子INPUT

shareprice:64.00exerciseprice:60.00