113分析金融市場與金融機(jī)構(gòu)chp11-derivative

1、Chapter 11 Derivatives Markets Part IV Financial Markets1The Collapse of Barings歷史事件1995年2月27日，英國中央銀行忽然宣布： 巴林銀行不得繼續(xù)從事買賣活動(dòng)并將懇求資產(chǎn)清理。巴林銀行事件 這個(gè)音訊讓全球震驚，由于這意味著具有233年歷史、在全球范圍內(nèi)掌管270多億英鎊的英國巴林銀行宣告破產(chǎn)。 其雄厚的資產(chǎn)實(shí)力使它在世界證券史上具有特殊的位置。3Nicholas LeesonThe son of a plasterer from the London suburb of Watford28-year-old t

2、rader who never graduated from collegeGained knowledge through numerous investment establishment positionsFantasy: Leeson is a genius Created 50% of Barings 1994 profits4 里森自1995年起，擔(dān)任巴林銀行新加坡期貨公司執(zhí)行經(jīng)理， 李森的任務(wù)，是在日本的大阪及新加坡進(jìn)展日經(jīng)指數(shù)期貨套利活動(dòng)。 同時(shí)一人身兼首席買賣員和清算主管兩職。 有一次，他手下的一個(gè)買賣員，因操作失誤虧損了6萬英鎊， 當(dāng)里森知道后，卻由于害怕事情暴露影響他的前

3、程，便決議動(dòng)用88888“錯(cuò)誤帳戶。 而所謂的“錯(cuò)誤帳戶，是指銀行對(duì)代理客戶買賣過程中能夠發(fā)生的經(jīng)紀(jì)業(yè)務(wù)錯(cuò)誤進(jìn)展核算的帳戶作備用。 以后，他為了私利一再動(dòng)用“錯(cuò)誤帳戶，發(fā)明銀行帳戶上顯示的均是贏利買賣。 5 當(dāng)他以為日經(jīng)指數(shù)期貨將要上漲時(shí)，不惜偽造文件籌集資金，經(jīng)過私設(shè)賬戶大量買進(jìn)日經(jīng)股票指數(shù)期貨頭寸，從事自營投機(jī)活動(dòng)。 然而，日本關(guān)西大地震突破了李森的美夢，日經(jīng)指數(shù)不漲反跌，李森持有的頭寸損失宏大。 假設(shè)此時(shí)他能當(dāng)機(jī)立斷斬倉，損失還是能得到控制，但過于自傲的李森在1995年1月26日以后，又大幅增倉，導(dǎo)致?lián)p失進(jìn)一步加大。 1995年2月23日，李森忽然失蹤，其所在的巴林新加坡分行持有的日經(jīng)

4、225股票指數(shù)期貨合約超越6萬張，占市場總倉量的30以上，估計(jì)損失逾10億美圓之巨。 這項(xiàng)損失，已完全超越巴林銀行約541億美圓的全部凈資產(chǎn)值， 英格蘭銀行于2月26日宣告巴林銀行破產(chǎn)。3月6日，英國高等法院判決，巴林銀行集團(tuán)由荷蘭商業(yè)銀行收買。 這筆數(shù)字，是巴林銀行全部資本及貯藏金的1.2倍。 6January 17, 1995Kobe EarthquakeNikkei dropped sharply as people took cash outHow Leeson Broke Barings?7歷史事件歷史事件碧桂園2021年2月15日與美林國際訂立的一份以現(xiàn)金結(jié)算的公司股份掉期協(xié)議導(dǎo)致

5、巨虧12.415億人民幣，大股東楊惠妍按持股59.12%計(jì)浮虧7.4億人民幣。隨著年報(bào)發(fā)布季節(jié)的到來，越來越多上市公司由于投資金融衍生品而出現(xiàn)巨虧。繼中信泰富敗在“炒匯門，國泰航空因燃油掉期后，曾培育中國最年輕女首富的碧桂園也在年報(bào)中曝出因投資金融衍生品巨虧，而令碧桂園慘輸?shù)?，是去年與國際大行美林簽署的一紙股價(jià)對(duì)賭合約，作為擁有碧桂園59.12%股權(quán)的大股東楊惠妍的身價(jià)也因此而大幅縮水。2021年2月15日，碧桂園宣布發(fā)行可轉(zhuǎn)債融資，并將融資的一半金額19.5億港元作為抵押品，與美林國際訂立了一份以現(xiàn)金結(jié)算的公司股份掉期協(xié)議。碧桂園當(dāng)時(shí)表示，公司有意回購股份，但公眾流通量只需16.86%，假設(shè)

6、在市場上回購，能夠會(huì)令公眾流通量低于15%的要求(普通上市公司要求公眾流通量在25%以上，但因碧桂園市值較大，所以獲豁免降至15%)。當(dāng)日后這批債券被換成股份，屆時(shí)便可以回購股份，而簽署上述掉期協(xié)議，目的便是令公司鎖定未來的回購本錢。該項(xiàng)合約的年期為2021年碧桂園與美林對(duì)賭8歷史事件歷史事件根據(jù)協(xié)議，假設(shè)最終價(jià)錢高于初步價(jià)錢，那么公司將向美林收取款項(xiàng)；假設(shè)最終價(jià)錢低于初步價(jià)錢，那么美林會(huì)收取款項(xiàng)。初步價(jià)錢將按股份掉期公式厘定，而最終價(jià)錢將參考指定平均日期有關(guān)股份價(jià)錢的算術(shù)平均數(shù)。簡而言之，碧桂園賭的是股價(jià)漲，美林賭的是股價(jià)跌。對(duì)賭巨虧12.415億元現(xiàn)實(shí)上，在去年8月份碧桂園宣布其半年業(yè)績的

7、時(shí)候，有關(guān)其股價(jià)對(duì)賭協(xié)議將出現(xiàn)的巨額虧損就曾經(jīng)顯露頭角，以2021年6月30日的收盤價(jià)計(jì)算，該股份掉期的公允值損失約為4.428億元人民幣。而隨著去年第四季度香港恒生指數(shù)大跌，碧桂園更是下跌繁重。去年2月15日，碧桂園宣布簽署股價(jià)對(duì)賭協(xié)議當(dāng)天的收市價(jià)為6.82港元，而在12月31日，其股價(jià)已跌至1.9港元，不到一年，碧桂園的股價(jià)曾經(jīng)累計(jì)下跌超越70%。9歷史事件歷史事件 股價(jià)大跌，令碧桂園不得不接受上述股價(jià)對(duì)賭協(xié)議的虧損。年報(bào)顯示，以去年12月31日碧桂園的收市價(jià)計(jì)算，上述股份掉期合約的公允值損失擴(kuò)展至約為12.415億元人民幣。在股價(jià)對(duì)賭虧損的拖累下，去年碧桂園凈利潤大幅下滑了66.7%，為

8、13.78億元人民幣。在2007年，該公司凈利潤高達(dá)42億元人民幣。楊惠妍身家大縮水除了對(duì)賭協(xié)議出現(xiàn)的巨幅虧損，碧桂園股價(jià)的下跌直接導(dǎo)致其大股東，也是曾經(jīng)胡潤百富榜上的女首富楊惠妍的身價(jià)大幅縮水。港交所權(quán)益披露資料顯示，楊惠妍共持有96.72億股碧桂園的股份，其持股比例接近60%，該紙對(duì)賭協(xié)議讓楊惠妍“浮虧7.4億元人民幣。2007年4月碧桂園勝利登陸香港聯(lián)交所，在當(dāng)年10月份其股價(jià)最高升至14港元左右。而進(jìn)入2021年以來，港股熊市降臨，到了10月份碧桂園的股價(jià)最低曾跌至1港元左右。假設(shè)按市值計(jì)算，牛市時(shí)期楊惠妍的身價(jià)超越1300億港元，而熊市時(shí)期，其身價(jià)跌至不到100億港元。在一年的時(shí)間內(nèi)

9、，楊惠妍的身價(jià)縮水幅度超越了90%。10A derivative is an instrument whose value depends on the values of other more basic underlying variablesStock IndexStock Index FutureUnderlying variable 股價(jià)指數(shù)期貨是一種典型的衍生證券The Nature of Derivatives ?11全球各類衍生性商品買賣量排名 衍生性商品種類20022001變化% 股價(jià)指數(shù)(Equity Indices)金融類的衍生性商品2,789.98 1,498.1586

10、.23%利率(Interest Rate)1,394.721,233.5613.06%個(gè)股(Individual Equities)1,264.961,179.017.29%能源(Energy Products)商品類的衍生性商品209.37166.9025.45%農(nóng)產(chǎn)品(Ag Commodities)146.96 139.40 5.42%非貴重金屬(Non-Precious Metals)75.5970.157.76%匯率(Foreign Currency/Index)60.5155.389.27%貴重金屬(Precious Metals)51.2639.1430.96%其它(Other)0

11、.800.755.74%總成交量5,993.534,382.4436.76%12Ways Derivatives are UsedTo hedge risksTo speculate (take a view on the future direction of the market)To lock in an arbitrage profitTo change the nature of a liabilityTo change the nature of an investment without incurring the costs of selling one portfolio &

12、 buying another13Chapter Outline 1. Forward 2. Futures 3. Options 4. Swaps14Forward Contracts?Example: A highly prized St. Bernard has just given birth to a litter of pups. A buyer agrees to buy one pup for $400. The exchange cannot take place for 6 weeks. The buyer and seller agree to exchange (sel

13、l) the pup in 6 weeks for $400. This is a forward contract; both parties are obligated to go through with the deal.15Forward (遠(yuǎn)期) ContractsA forward contract is an agreement to buy or sell an asset at a certain time in the future for a certain price (the delivery price)It can be contrasted with a sp

14、ot contract which is an agreement to buy or sell immediatelyIt is traded in the OTC market16Example: Foreign Exchange Quotes on Aug 16, 2001 GBP/USDBid OfferSpot1.44521.44561-month forward1.44351.44403-month forward1.44021.44076-month forward1.43531.435912-month forward1.42621.426817Forward PriceThe

15、 forward price for a contract is the delivery price that would be applicable to the contract if were negotiated today .南昌癲癇病?？漆t(yī)院江西癲癇病?？漆t(yī)院The forward price may be different for contracts of different maturities18The party that has agreed to buy has what is termed a long positionThe party that has agr

16、eed to sell has what is termed a short positionTerminology19ExampleOn Aug. 16, 2005 the treasurer of a corporation enters into a long forward contract to buy 1 mil. in 6 months at an exchange rate of 1.4359This obligates the corporation to pay $1,435,900 for 1 mil. on Feb. 16, 2006南昌最好的癲癇病醫(yī)院南昌最好的癲癇病

17、醫(yī)院What are the possible outcomes?20Buy GBPExchange RateMkt Cost ($)Benefit (Loss)1,000,000 1.4000 1,400,000 ($35,900) 1,000,000 1.4359 1,435,900 $01,000,000 1.5000 1,500,000 $64,100Example21Profit from aLong Forward PositionProfit Price of Underlying at Maturity, STK22Profit from a Short Forward Pos

18、itionProfitPrice of Underlying at Maturity, STK23遠(yuǎn)期外集合約Forward Exchange Contracts 遠(yuǎn)期利率協(xié)議Forward Rate Agreement 1. Forward 24A forward rate agreement (FRA).a forward contract based on interest rates The two counterparties to a FRA agree to a notional principal amount that serves as a reference figure

19、 in determining cash flows. Notional refers to the condition that the principal does not change hands, but is only used to calculate the value of interest payments. 25The buyer of the FRA agrees to pay a fixed-rate coupon payment (at the exercise rate )and receive a floating-rate payment against the

20、 notional principal at some specified future date.The seller of the FRA agrees to pay a floating-rate payment and receive the fixed-rate payment against the same notional principal. A forward rate agreement (FRA)26The buyer of a FRA will receive (pay) cash when the actual interest rate at settlement

21、 is greater than the exercise rate (specified fixed-rate). A forward rate agreement (FRA)The seller of a FRA will receive (pay) cash when the actual interest rate at settlement is less than the exercise rate.27遠(yuǎn)期利率協(xié)議Forward Rate Agreements，F(xiàn)RA是一種遠(yuǎn)期合約，買賣雙方商定未來一定時(shí)間點(diǎn)(指利息起算日)開場的一定期限的協(xié)議利率，并規(guī)定以何種利率為參照利率，在

22、未來利息起算日，按規(guī)定的協(xié)議利率、期限和本金額，由當(dāng)事人一方向另一方支付協(xié)議利率與參照利率利息差的貼現(xiàn)額。多方：名義借款人，目的主要是為了躲避利率上升的風(fēng)險(xiǎn)。 空方：名義貸款人，目的主要是為了躲避利率下降的風(fēng)險(xiǎn)。名義：借貸雙方不用交換本金，只是在結(jié)算日根據(jù)協(xié)議利率和參考利率之間的差額以及名義本金額，由買賣一方付給另一方結(jié)算金。 遠(yuǎn)期利率：如今時(shí)辰開場的未來一定期限的利率。如14遠(yuǎn)期利率，即表示1個(gè)月之后開場的期限3個(gè)月的遠(yuǎn)期利率。28FRA市場報(bào)價(jià)舉例 月13日美元FRA3628696128.088.148.168.228.038.098.178.23 Example29Example30Ex

23、ampleMetro Bank would sell a “3 vs. 6 FRA at 7 percent on a $1 million notional amount to County Bank. a 6-month maturitybased on a $1 million notional principal amountfloating rate is 3-month LIBOR and the fixed (exercise) rate is 7 percentThe phrase “3 vs. 6 refers to a 3-month interest rate obser

24、ved three months from the present, for a security with a maturity date six months from the present. 南昌癲癇病?？漆t(yī)院南昌癲癇病?？漆t(yī)院The only cash flow will be determined in six months at contract maturity by comparing the prevailing 3-month LIBOR with 7 percent.31Assume that in three months 3-month LIBOR equals 8

25、 percent. In this case, County Bank would receive from Metro Bank $2,451. The interest settlement amount is $2,500:interest = (.08 - .07)(90/360) $1,000,000 = $2,500.Because this represents interest that would be paid three months later at maturity of the instrument, the actual payment is discounted

26、 at the prevailing 3-month LIBOR:actual interest = $2,500/1+(90/360).08=$ 2,451Example32If instead, LIBOR equals 5 percent in three months. County Bank would pay Metro Bank :interest = (.07 -.05)(90/360) $1,000,000 = $5,000or $5,000 /1 + (90/360).05 = $4,938Metro Bank would take its position as a he

27、dge if it was exposed to loss in a falling (relative to forward rate) rate environment.Example33Chapter Outline 1. Forward 2. Futures 3. Options 4. Swaps34Financial futures contracts a commitment between two parties on the price and quantity of a standardized financial asset or index.They are traded

28、 on organized exchanges called future markets.是指買賣雙方在有組織的買賣所內(nèi)以公開競價(jià)的方式達(dá)成的，在未來某一時(shí)間交割規(guī)范數(shù)量特定金融工具的協(xié)議。Futures (期貨) Contracts35Buyers of futures contracts, referred to as long futures, agree to pay the underlying futures price or receive the underlying asset.Sellers of futures contracts, referred to as sho

29、rt futures agree to receive the futures price or deliver the underlying asset.Futures (期貨) Contracts36Forward vs. Futures MarketsDifferences b/w Forward and Futures Marketsa. The Organized Exchangethe most prominent in the United States are the Chicago Board of Trade (CBOT) and the Chicago Mercantil

30、e Exchange (CME)b. Contract Terms-standardized itemc. The Clearinghouse-takes no active position in the market, but interposes itself between all parties to every transaction. d. The Requirement for Daily Resettlement (Marked to Market)37margin requirementsExchange members require traders to meet ma

31、rgin保證金 requirements that specify the minimum deposit allowable at the end of each day.The change in value of each traders account at the end of every day:南昌癲癇病醫(yī)院南昌癲癇病醫(yī)院is credited to the margin accounts of those with gains and debited the margin accounts of those with lossesmarking-to-market 逐日盯市an

32、d the daily change in value variation margin.38Differences b/w Forward and Futures MarketsE. Closing out a futures position involves entering into an offsetting tradeF. Most contracts are closed out before maturityA Reversing Trade-brings a traders net position in some futures contract back to zero.

33、 Without a reversing trade the investor will be required to either deliver the product at the contract price (if the contract was sold) or purchase the product (if the contract was purchased).Forward vs. Futures MarketsA buyer of a futures contract, with delivery in 60 days, can offset the position

34、by selling the same contract one week later when 53 days remain to delivery.39Example of a Futures TradeAn investor takes a long position in 2 December gold futures contracts on June 5contract size is 100 oz.futures price is US$400margin requirement is US$2,000/contract (US$4,000 in total)maintenanc

35、e margin is US$1,500/contract (US$3,000 in total)40Daily SettlementDailyCumulativeMarginFuturesGainGainAccountMarginPrice(Loss)(Loss)BalanceCallDay(US$)(US$)(US$)(US$)(US$)400.004,0005-Jun397.00(600) (600) 3,4000.13-Jun393.30(420) (1,340) 2,6601,340 .19-Jun387.00(1,140) (2,600) 2,7401,260 .26-Jun392

36、.30260 (1,540) 5,0600+=4,0003,000+=4,00041Some TerminologyOpen interest (未平倉和約): the total number of contracts outstanding equal to number of long positions or number of short positionsSettlement price (最后成交價(jià)錢): the price just before the final bell each day Volume of trading: the number of trades in

37、 1 day42Convergence of Futures to Spot TimeTime(a)(b)FuturesPriceFuturesPriceSpot PriceSpot Price43Purposes of Futures MarketsMeets the needs of three groups of futures market users:1. Those who wish to discover information about future prices of commodities (suppliers)2. Those who wish to speculate

38、 (speculators)3. Those who wish to transfer risk to some other party (hedgers)44Hedging Strategies Using Futures A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the priceA short futures hedge is appropriate when you know you will sell an

39、 asset in the future & want to lock in the price45Financial Futures1. Foreign currencies2. Interest Rates3. Stocks461. Foreign Currenciesa. British Poundb. German Markc. Swiss Francd. Canadian Dollare. Mexican Pesof. Japanese Yeng. Australian dollarh. Euro南昌癲癇病醫(yī)院南昌癲癇病醫(yī)院472. Interest Ratesa. 90-day T

40、-billsb. 1-Year T-billsc. 90-day Bank CDsd. 90-day Eurodollar Depositse. GNMA pass through Certificatesf. US Treasury Notesg. US Treasury Bondsh. Municipal bondsi. Various 30-day interest rate contracts (Fed funds)j. Various foreign government bonds (i.e. bonds issued by the British, German, and Can

41、adian governments).483. Stock Index Futuresa. DJIAb. S & P Stock Indexc. NYSE Composite Stock Indexd. Value Line Compositee. Nasdaq 100 Indexf. Russell 2000 IndexThe Collapse of Barings49Chapter Outline 1. Forward 2. Futures 3. Options 4. Swaps50An option an agreement between two parties in which on

42、e gives the other the right , but not the obligation , to buy or sell a specific asset at a set price for a specified period of time.option51OptionsTwo parties, the buyer and the writerContract specifies:Underlying assetStrike priceExpiration dateOption buyer has the right to purchase (sell) the und

43、erlying asset from (to) the writer 南昌癲癇病醫(yī)院南昌癲癇病醫(yī)院European option v.s. American option52The buyer of an option Pays a premium for the opportunity to decide whether to effect the transaction (exercise the option ) when it is beneficial.optionThe option seller option writerReceive the initial option pr

44、emium and is obligated to effect the transaction if and when the buyer exercise the option 53The buyer of the call has the right to buy the underlying asset at a specific strike price for a set period of timeCall optionThe buyer of the put has the right to sell the underlying asset at a specific str

45、ike price for a set period of timePut option54Long Call on Microsoft Profit from buying a European call option on Microsoft: option price = $5, strike price = $603020100-530405060708090Profit ($)Terminalstock price ($)55Short Call on Microsoft Profit from writing a European call option on Microsoft: option price = $5, strike price = $60-30-20-100530405060708090Profit ($)Terminalstock price ($)56Long Put on IBM Profit from buying a European put option on IBM: option price = $7, strike price = $903020100-790807060100110120Profit ($)Terminalstock price ($)