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1、Study Session 17,Derivative Market and Instruments,2,中信泰富炒外汇亏186亿,3,澳元走势&中信泰富走势,4,Study Session 17:Derivative Market and Instruments,金融衍生品简介：四类衍生品衍生品市场的作用This topic review contains introductory material for the upcoming reviews of specific types of derivatives.Derivatives-specific definitions and te
2、rminology are presented along with information about derivatives markets.基础：套利理论 Upon completion of this review,candidates should be familiar with the basic concepts that underlie derivatives and the general arbitrage framework.,5,LOS 67.a:Define a derivative and differentiate between exchange-trade
3、d and over-the-counter derivatives.衍生品定义、交易所交易和场外交易（OTC）、违约风险A derivative is a security that derives its value from the value or return of another asset or security.A physical exchange exists for many options contracts and futures contracts.Exchange-traded derivatives are standardized and backed by
4、a clearinghouse.Forwards and swaps are custom instruments and are traded/created by dealers in a market with no central location.A dealer market with no central location is referred to as an over-the-counter market.They are largely unregulated markets and each contract is with a counterparty,which m
5、ay expose the owner of a derivative to default risk(when the counterparty does not honor their commitment).Some options trade in the over-the-counter market,notably bond options.,Study Session 17:Derivative Market and Instruments,6,场内交易的标准仓单,7,LOS 67.b:Define a forward commitment and contingent clai
6、m,and describe the basic characteristics of forward contracts,futures contracts,options(calls and puts),and swaps.远期合约和或有权益定义、四类衍生品定义远期协议 A forward commitment is a legally binding promise to perform some action in the future.Forward commitments include forward contracts,futures contracts,and swaps.远
7、期和期货标的物 Forward contracts and futures contracts can be written on equities,indexes,bonds,physical assets,or interest rates.远期中买卖的多空两方 In a forward contract,one party agrees to buy,and the counterparty to sell,a physical asset or a security at a specific price on a specific dale in the future.If the
8、future price of the asset increases,the buyer(at the older,lower price)has a gain,and the seller a loss.,Study Session 17:Derivative Market and Instruments,8,期货与远期的区别：A futures contract is a forward contract that is standardized and exchange-traded.The main differences with forwards are that futures
9、 are traded in an active secondary market,are regulated,backed by the clearinghouse,and require a daily settlement of gins and losses.互换：A swap is a series of forward contracts.利率、货币互换 e.g.one parry agrees to pay the short-term(floating)rare of interest on some principal amount,and the counterparty
10、agrees to pay a certain(fixed)rare of interest in return.,Study Session 17:Derivative Market and Instruments,9,期权多头：An option to buy an asset at a particular price is termed a call option.The seller of the option has an obligation to sell the asset at the agreed-upon price,if the call buyer chooses
11、to exercise the right to buy the asset.期权空头：An option to sell an asset or a particular price is termed a put option.或有权益：A contingent claim is a claim(to a payoff)that depends on a particular event.Options是或有权益.而forwards,futures,swaps 则不是,contingent claims 仅在权利方获利时才执行(e.g.,if the price is above X or
12、 the rare is below Y).,Study Session 17:Derivative Market and Instruments,10,Study Session 17:Derivative Market and Instruments,11,中信泰富炒外汇亏186亿,12,LOS 67.d:Explain arbitrage and the role it plays in determining prices and promoting market efficiency.Arbitrage is an important concept in valuing(prici
13、ng)derivative securities.In its purest sense,arbitrage is riskless.If a return greater than the risk-free rate can be earned by holding a portfolio of assets that produces a certain(riskless)return,then an arbitrage opportunity exists.Arbitrage opportunities arise when assets are mispriced.Trading b
14、y arbitrageurs will continue until they affect supply and demand enough to bring asset prices to efficient(no-arbitrage)levels.,Study Session 17:Derivative Market and Instruments,13,套利理论两个基础 There are two arbitrage arguments that are particularly useful in the study and use of derivatives.The first
15、is based on the“law of one price.”现金流相同，价格相同，否则卖高买低套利The second type of arbitrage is used where two securities with uncertain returns can be combined in a portfolio that will have a certain payoff.If a portfolio consisting of A and B has a certain payoff,the portfolio should yield the risk-free rare
16、.If this no-arbitrage condition is violated in that the certain return of A and B together is higher than the risk-free rate,a n arbitrage opportunity exists.,Study Session 17:Derivative Market and Instruments,14,3.A customized agreement to a certain T-bond next Thursday for$1,000 is:A.an option.B.a
17、 futures contract.C.a forward commitment.Answers:C This non-standardized type of contract is a forward commitment.4.A futures contract is least likely:A.exchange-traded.B.a contingent claim.C.adjusted for profits and losses daily.Answers:B A contingent claim has payoffs char depend on some future ev
18、ent(e.g.,;an option).,Concept Checkers Study Session 17,15,Concept Checkers Study Session 17,6.A call option gives the holder:A.the right to sell at a specific price.B.the right to buy at a specific price.C.an obligation to sell at a certain price.Answers:B A call gives the owner the right to call a
19、n asset away(buy it)from the seller.,16,KEY CONCEPTS,1.衍生品介绍：远期、期货、期权（或有权益）和互换；场内、场外交易；2.衍生品市场的风险及作用；3.无风险套利理论及其对有效市场的作用、两种无风险套利理论（一价定律、投资组合套利理论）。,Study Session 17,Forward Markets and Contracts,18,Forward Markets and Contracts,Forward ContractsA Forward Contract is a bilateral contract that obligate
20、s one parry to buy and the other to sell a specific quantity of an asset,at a set price,on a specific date in the future.Forward Contract 要点：初始价值为零，签约时双方均不需支付任何费用 If the future price of the asset the future price of the asset CFA Level I 要求掌握：金融远期：股票、国债、外汇和利率等,19,LOS 68.a.Differentiate between the p
21、ositions held by the long and short parties to a forward contract in terms of delivery/settlement and default risk.The party to the Forward Contract that agrees to buy the financial or physical asset has a long forward position and is called the long.The party to the Forward Contract that agrees to
22、sell or deliver the asset has a short forward position and is called the short.举例：Consider a contract under which Parry A agrees to buy a$1,000 face value,90-day Treasury bill from Parry B 30 days from now at a price of$990.Parry A is the long and Parry B is the short.Both parries have removed uncer
23、tainty about the price they will pay/receive for the T-bill at the future date.,Forward Markets and Contracts,20,Forward Markets and Contracts,举例：Consider a contract under which Parry A agrees to buy a$1,000 face value,90-day Treasury bill from Parry B 30 days from now at a price of$990.Parry A is t
24、he long and Parry B is the short.Both parries have removed uncertainty about the price they will pay/receive for the T-bill at the future date.风险分析：如果标的物价格上涨，多头盈利（long,Parry A）如果标的物价格下跌，空头盈利（short,Parry B）违约风险：Default Risk(Counterparty Risk),the probability that the other party(the counterparty)will
25、 not perform as promised.,21,Forward Markets and Contracts,LOS 68.b.Describe the procedures for settling a forward contract at expiration,and discuss how termination alternatives prior to expiration can affect credit risk.The previous example was for a deliverable forward contract.The short contract
26、ed to deliver the actual instrument,in this case a$1,000 face value,90-day T-bill.This is one procedure for settling a forward contract at the settlement date or expiration date specified in the contract.An alternative settlement method is cash settlement.Under this method,the party that has a posit
27、ion with negative value is obligated to pay that amount to the other party.,22,Forward Markets and Contracts,Terminating a Position Prior to ExpirationA party to a forward contract can terminate the position prior to expiration by entering into an opposite forward contract with an expiration date eq
28、ual to the time remaining on the original contract.0 10 30 120 90 在第10天，签订一份相反的远期合约，结束原来的合约；如果此合约与第三方签订，面临违约风险。,23,Forward Markets and Contracts,LOS 68.c.differentiate between a dealer and an end user of a forward contract.远期的最终用户、交易商The end user of a forward contract is typically a corporation,gove
29、rnment unit,or nonprofit institution that has existing risk they wish to avoid by locking in the future price of an asset.举例：美国公司60天后支付100万欧元，锁定成本Dealers are often banks,but can also be nonbank financial institutions.(e.g.Merrill Lynch)头寸大致相等，以价差谋利,24,Forward Markets and Contracts,LOS 68.d.describe
30、the characteristics of equity forward contracts and forward contracts on zero-coupon and coupon bonds.基于股票、短期/长期债券的远期合约的特征Equity forward contracts where the underlying asset is a single stock,a portfolio of stocks,or a stock index,work in much the same manner as other forward contracts.An investor w
31、ho wishes to sell 10,000 shares of IBM stock 90 days from now and wishes to avoid the uncertainty about the stock price on that date,could do so by taking a short position in a forward contract covering 10,000 IBM shares.,25,Forward Markets and Contracts,Example:Equity index forward contractsA portf
32、olio manager desires to generate$10 million 100 days from now from a portfolio that is quite similar in composition to the S&P 100 index.She requests a quote on a short position in a 100-day forward contract based on the index with a notional amount of$10 million and gets a quote of 525.2.If the ind
33、ex level at the settlement date is 535.7,calculate the amount the manager will pay or receive to settle the contract.Answer:The actual index level is 2%above the contract price,535.7/525.2-1=0.02=2%,26,Forward Markets and Contracts,As the short party,the portfolio manager must pay 2%of the$10 millio
34、n notional amount,$200,000,to the long.Alternatively,if the index were 1%below the contract level,the portfolio manager would receive a payment from the long of$100,000,which would approximately offset any decrease in the portfolio value.在股票指数远期中暂时不考虑股利,27,Forward Markets and Contracts,Forward contr
35、acts on short-term,zero-coupon bonds与股票类相似但有到期日(T-bills in the United States)and coupon interest-paying bonds are quite similar to those on equities.However,while equities do not have a maturity date,bonds do,and the forward contract must settle before the bond matures.As we noted earlier,T-bill pri
36、ces are often quoted as a percentage discount from face value.The percentage discount for T-bills is annualized so that a 90-day T-bill quoted at a 4%discount will be priced at a(90/360)x 4%=1%discount from face value.This is equivalent to a price quote of(1-0.01)x$1,000=$990 per$1,000 of face value
37、.,28,Forward Markets and Contracts,Example:Bond forwardsA forward contract covering a$10 million face value of T-bills that will have 100 days to maturity at contract settlement is priced at 1.96 on a discount yield basis.Compute the dollar amount the long must pay at settlement for the T-bills.Answ
38、er The 1.96%annualized discount must be unannualized based on the 100 days to maturity.0.0196 x(100/360)=0.005444 is the actual discount.The dollar settlement price is(1-0.005444)x$10 million=$9,945,560.注意：多头会因利率上升而遭受损失。Please note that when market interest rates increase,discounts increase,and T-bi
39、ll prices fall.A long,who is obligated to purchase the bonds,will have losses on the forward contract when interest rates rise,and gains on the contract when interest rates fall.The outcomes for the short will be opposite.,29,Forward Markets and Contracts,LOS 68.e.describe the characteristics of the
40、 Eurodollar time deposit market,and define LIBOR and Euribor.Eurodollar deposit is the term for deposits in large banks outside the United States denominated in U.S.dollars.The lending rate on dollar-denominated loans between banks is called the London Interbank Offered Rate(LIBOR).It is quoted as a
41、n annualized rate based on a 360-day pear.In contrast to T-bill discount yields,LIBOR is an add-on rate,like a yield quote on a short-term certificate of deposit.LIBOR is used as a reference rate for floating rate U.S.dollar-denominated loans worldwide.,30,Forward Markets and Contracts,Example:LIBOR
42、-based loansCompute the amount that must be repaid on a$1 million loan for 30 days if 30-day LIBOR is quoted at 6%.Answer:The add-on interest is calculated as$1 million x 0.06 x(30/360)=$5,000.The borrower would repay$1,000,000+$5,000=$1,005,000 at the end of 30 days.,31,Forward Markets and Contract
43、s,LIBOR is published daily by the British Bankers Association and is compiled from quotes from a number of large banks;some are large multinational banks based in other countries that have London offices.There is also an equivalent Euro lending rate called Euribor,or Europe Interbank Offered Rate.Eu
44、ribor,established in Frankfurt,is published by the European Central Bank.The floating rates are for various periods and are quoted as such.For example,the terminology is 30-day LIBOR(or Euribor),90-day LIBOR,and 180-day LIBOR,depending on the term of the loan.For longer-term floating-rate loans,the
45、interest rate is reset periodically based on the then-current LIHOR for the relevant period.,32,The short in a deliverable forward contract:A.has no default risk.B.is obligated to deliver the specified asset.C.makes a cash payment to the long at settlement.Answers:B The short in a forward contract i
46、s obligated to deliver the specified asset at the contract price on the settlement date.Either parry may have default risk if there is any probability that the counterparty may nor perform under the terms of the contract.,Concept Checkers Study Session 17,33,KEY CONCEPTS,1.远期合约的空头、多头；价格变化时双方的损益情况及违约风险；2.如何提前终止一项远期合约：反签，现金了结；3.期权合约的最终使用者和券商。4.股票、股指、零息债券远期；5.LIBOR和Euribor简介。,
