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1、1,Chapter 11 Derivatives Markets,Part IV Financial Markets,The Collapse of Barings,历史事件,1995年2月27日，英国中央银行突然宣布：巴林银行不得继续从事交易活动并将申请资产清理。,3,巴林银行事件,这个消息让全球震惊，因为这意味着具有233年历史、在全球范围内掌管270多亿英镑的英国巴林银行宣告破产。其雄厚的资产实力使它在世界证券史上具有特殊的地位。,4,Nicholas Leeson,The son of a plasterer from the London suburb of Watford28-ye
2、ar-old trader who never graduated from collegeGained knowledge through numerous investment establishment positionsFantasy:Leeson is a genius Created 50%of Barings 1994 profits,5,里森自1995年起，担任巴林银行新加坡期货公司执行经理，李森的工作，是在日本的大阪及新加坡进行日经指数期货套利活动。同时一人身兼首席交易员和清算主管两职。有一次，他手下的一个交易员，因操作失误亏损了6万英镑，当里森知道后，却因为害怕事情暴露影响
3、他的前程，便决定动用88888“错误帐户”。而所谓的“错误帐户”，是指银行对代理客户交易过程中可能发生的经纪业务错误进行核算的帐户（作备用）。以后，他为了私利一再动用“错误帐户”，创造银行帐户上显示的均是赢利交易。,6,当他认为日经指数期货将要上涨时，不惜伪造文件筹集资金，通过私设账户大量买进日经股票指数期货头寸，从事自营投机活动。然而，日本关西大地震打破了李森的美梦，日经指数不涨反跌，李森持有的头寸损失巨大。若此时他能当机立断斩仓，损失还是能得到控制，但过于自负的李森在1995年1月26日以后，又大幅增仓，导致损失进一步加大。1995年2月23日，李森突然失踪，其所在的巴林新加坡分行持有的日
4、经 225股票指数期货合约超过6万张，占市场总仓量的30以上，预计损失逾10亿美元之巨。这项损失，已完全超过巴林银行约541亿美元的全部净资产值，英格兰银行于2月26日宣告巴林银行破产。3月6日，英国高等法院裁决，巴林银行集团由荷兰商业银行收购。这笔数字，是巴林银行全部资本及储备金的1.2倍。,7,January 17,1995Kobe EarthquakeNikkei dropped sharply as people took cash out,How Leeson Broke Barings?,8,历史事件,历史事件,碧桂园2008年2月15日与美林国际订立的一份以现金结算的公司股份掉期
5、协议导致巨亏12.415亿人民币，大股东杨惠妍按持股59.12%计浮亏7.4亿人民币。随着年报发布季节的到来，越来越多上市公司因为投资金融衍生品而出现巨亏。继中信泰富败在“炒汇门”，国泰航空因燃油掉期后，曾造就中国最年轻女首富的碧桂园也在年报中曝出因投资金融衍生品巨亏，而令碧桂园惨输的，是去年与国际大行美林签订的一纸股价对赌合约，作为拥有碧桂园59.12%股权的大股东杨惠妍的身价也因此而大幅缩水。2008年2月15日，碧桂园宣布发行可转债融资，并将融资的一半金额19.5亿港元作为抵押品，与美林国际订立了一份以现金结算的公司股份掉期协议。碧桂园当时表示，公司有意回购股份，但公众流通量只有16.8
6、6%，如果在市场上回购，可能会令公众流通量低于15%的要求(一般上市公司要求公众流通量在25%以上，但因碧桂园市值较大，所以获豁免降至15%)。当日后这批债券被换成股份，届时便可以回购股份，而签订上述掉期协议，目的便是令公司锁定未来的回购成本。该项合约的年期为2013年,碧桂园与美林对赌,9,历史事件,历史事件,根据协议，若最终价格高于初步价格，则公司将向美林收取款项；若最终价格低于初步价格，则美林会收取款项。初步价格将按股份掉期公式厘定，而最终价格将参考指定平均日期有关股份价格的算术平均数。简而言之，碧桂园赌的是股价涨，美林赌的是股价跌。对赌巨亏12.415亿元事实上，在去年8月份碧桂园宣布
7、其半年业绩的时候，有关其股价对赌协议将出现的巨额亏损就已经显露头角，以2008年6月30日的收盘价计算，该股份掉期的公允值损失约为4.428亿元人民币。而随着去年第四季度香港恒生指数大跌，碧桂园更是下跌惨重。去年2月15日，碧桂园宣布签订股价对赌协议当天的收市价为6.82港元，而在12月31日，其股价已跌至1.9港元，不到一年，碧桂园的股价已经累计下跌超过70%。,10,历史事件,历史事件,股价大跌，令碧桂园不得不承受上述股价对赌协议的亏损。年报显示，以去年12月31日碧桂园的收市价计算，上述股份掉期合约的公允值损失扩大至约为12.415亿元人民币。在股价对赌亏损的拖累下，去年碧桂园净利润大幅
8、下滑了66.7%，为13.78亿元人民币。在2007年，该公司净利润高达42亿元人民币。杨惠妍身家大缩水除了对赌协议出现的巨幅亏损，碧桂园股价的下跌直接导致其大股东，也是曾经胡润百富榜上的女首富杨惠妍的身价大幅缩水。港交所权益披露资料显示，杨惠妍共持有96.72亿股碧桂园的股份，其持股比例接近60%，该纸对赌协议让杨惠妍“浮亏”7.4亿元人民币。2007年4月碧桂园成功登陆香港联交所，在当年10月份其股价最高升至14港元左右。而进入2008年以来，港股熊市来临，到了10月份碧桂园的股价最低曾跌至1港元左右。若按市值计算，牛市时期杨惠妍的身价超过1300亿港元，而熊市时期，其身价跌至不到100亿
9、港元。在一年的时间内，杨惠妍的身价缩水幅度超过了90%。,11,A derivative is an instrument whose value depends on the values of other more basic underlying variables,The Nature of Derivatives?,12,全球各类衍生性商品交易量排名,13,Ways Derivatives are Used,To hedge risksTo speculate(take a view on the future direction of the market)To lock in a
10、n arbitrage profitTo change the nature of a liabilityTo change the nature of an investment without incurring the costs of selling one portfolio&buying another,14,Chapter Outline,1.Forward,2.Futures,3.Options,4.Swaps,15,Forward Contracts?,Example:A highly prized St.Bernard has just given birth to a l
11、itter 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(sell)the pup in 6 weeks for$400.This is a forward contract;both parties are obligated to go through with the deal.,16,Forward(远期)Contracts,A forward contract is an ag
12、reement 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 spot contract which is an agreement to buy or sell immediatelyIt is traded in the OTC market,17,Example:Foreign Exchange Quotes on Aug 16,2001,18,Forward Price,The forwa
13、rd price for a contract is the delivery price that would be applicable to the contract if were negotiated today.The forward price may be different for contracts of different maturities,19,The party that has agreed to buy has what is termed a long position,The party that has agreed to sell has what i
14、s termed a short position,Terminology,20,Example,On 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$1,435,900 for 1 mil.on Feb.16,2006What are the possible outcomes?,21,Buy GBPE
15、xchange RateMkt Cost($)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$64,100,Example,22,Profit from aLong Forward Position,K,23,Profit from a Short Forward Position,K,24,远期外汇合约（Forward Exchange Contracts）远期利率协议（Forward Rate Agreement）,1.Forward
16、,25,A 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 in determining cash flows.Notional refers to the condition that the principal does not change hands,but is only used to
17、calculate the value of interest payments.,26,The buyer of the FRA agrees to pay a fixed-rate coupon payment(at the exercise rate)and receive a floating-rate payment against the notional principal at some specified future date.The seller of the FRA agrees to pay a floating-rate payment and receive th
18、e fixed-rate payment against the same notional principal.,A forward rate agreement(FRA),27,The buyer of a FRA will receive(pay)cash when the actual interest rate at settlement is greater than the exercise rate(specified fixed-rate).,A forward rate agreement(FRA),The seller of a FRA will receive(pay)
19、cash when the actual interest rate at settlement is less than the exercise rate.,28,远期利率协议（Forward Rate Agreements，FRA）是一种远期合约，买卖双方商定将来一定时间点(指利息起算日)开始的一定期限的协议利率，并规定以何种利率为参照利率，在将来利息起算日，按规定的协议利率、期限和本金额，由当事人一方向另一方支付协议利率与参照利率利息差的贴现额。多方：名义借款人，目的主要是为了规避利率上升的风险。空方：名义贷款人，目的主要是为了规避利率下降的风险。名义：借贷双方不必交换本金，只是在结算
20、日根据协议利率和参考利率之间的差额以及名义本金额，由交易一方付给另一方结算金。远期利率：现在时刻开始的将来一定期限的利率。如14远期利率，即表示1个月之后开始的期限3个月的远期利率。,29,FRA市场报价举例,Example,30,Example,31,Example,Metro 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 amountfloatin
21、g rate is 3-month LIBOR and the fixed(exercise)rate is 7 percentThe phrase“3 vs.6”refers to a 3-month interest rate observed three months from the present,for a security with a maturity date six months from the present.The only cash flow will be determined in six months at contract maturity by compa
22、ring the prevailing 3-month LIBOR with 7 percent.,32,Assume that in three months 3-month LIBOR equals 8 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
23、 be paid three months later at maturity of the instrument,the actual payment is discounted at the prevailing 3-month LIBOR:actual interest=$2,500/1+(90/360).08=$2,451,Example,33,If instead,LIBOR equals 5 percent in three months.County Bank would pay Metro Bank:interest=(.07-.05)(90/360)$1,000,000=$5
24、,000or$5,000/1+(90/360).05=$4,938Metro Bank would take its position as a hedge if it was exposed to loss in a falling(relative to forward rate)rate environment.,Example,34,Chapter Outline,1.Forward,2.Futures,3.Options,4.Swaps,35,Financial futures contracts a commitment between two parties on the pri
25、ce and quantity of a standardized financial asset or index.They are traded on organized exchanges called future markets.是指交易双方在有组织的交易所内以公开竞价的方式达成的，在将来某一时间交割标准数量特定金融工具的协议。,Futures(期货)Contracts,36,Buyers of futures contracts,referred to as long futures,agree to pay the underlying futures price or rece
26、ive the underlying asset.Sellers of futures contracts,referred to as short futures agree to receive the futures price or deliver the underlying asset.,Futures(期货)Contracts,37,Forward vs.Futures Markets,Differences b/w Forward and Futures Marketsa.The Organized Exchangethe most prominent in the Unite
27、d States are the Chicago Board of Trade(CBOT)and the Chicago Mercantile 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),
28、38,margin requirements,Exchange members require traders to meet margin保证金 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:is credited to the margin accounts of those with gains and debited the margin a
29、ccounts of those with lossesmarking-to-market 逐日盯市and the daily change in value variation margin.,39,Differences 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
30、 net position in some futures contract back to zero.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 Markets,A buyer of a futures contract,wi
31、th delivery in 60 days,can offset the position by selling the same contract one week later when 53 days remain to delivery.,40,Example of a Futures Trade,An investor takes a long position in 2 December gold futures contracts on June 5contract size is 100 oz.futures price is US$400margin requirement
32、is US$2,000/contract(US$4,000 in total)maintenance margin is US$1,500/contract(US$3,000 in total),41,Daily Settlement,42,Some Terminology,Open interest(未平仓和约):the total number of contracts outstanding equal to number of long positions or number of short positionsSettlement price(最后成交价格):the price ju
33、st before the final bell each day Volume of trading:the number of trades in 1 day,43,Convergence of Futures to Spot,Time,Time,(a),(b),FuturesPrice,FuturesPrice,Spot Price,Spot Price,44,Purposes of Futures Markets,Meets the needs of three groups of futures market users:1.Those who wish to discover in
34、formation about future prices of commodities(suppliers)2.Those who wish to speculate(speculators)3.Those who wish to transfer risk to some other party(hedgers),45,Hedging Strategies Using Futures,A long futures hedge is appropriate when you know you will purchase an asset in the future and want to l
35、ock in the priceA short futures hedge is appropriate when you know you will sell an asset in the future&want to lock in the price,46,Financial Futures,1.Foreign currencies2.Interest Rates3.Stocks,47,1.Foreign Currenciesa.British Poundb.German Markc.Swiss Francd.Canadian Dollare.Mexican Pesof.Japanes
36、e Yeng.Australian dollarh.Euro,48,2.Interest Ratesa.90-day T-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(
37、i.e.bonds issued by the British,German,and Canadian governments).,49,3.Stock Index Futuresa.DJIAb.S&P Stock Indexc.NYSE Composite Stock Indexd.Value Line Compositee.Nasdaq 100 Indexf.Russell 2000 Index,The Collapse of Barings,50,Chapter Outline,1.Forward,2.Futures,3.Options,4.Swaps,51,An option an a
38、greement between two parties in which one 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.,option,52,Options,Two parties,the buyer and the writerContract specifies:Underlying assetStrike priceExpiration dateOption buyer h
39、as the right to purchase(sell)the underlying asset from(to)the writer European option v.s.American option,53,The buyer of an option Pays a premium for the opportunity to decide whether to effect the transaction(exercise the option)when it is beneficial.,option,The option seller option writerReceive
40、the initial option premium and is obligated to effect the transaction if and when the buyer exercise the option,54,The buyer of the call has the right to buy the underlying asset at a specific strike price for a set period of time,Call option,The buyer of the put has the right to sell the underlying
41、 asset at a specific strike price for a set period of time,Put option,55,Long Call on Microsoft,Profit from buying a European call option on Microsoft:option price=$5,strike price=$60,56,Short Call on Microsoft,Profit from writing a European call option on Microsoft:option price=$5,strike price=$60,
42、57,Long Put on IBM,Profit from buying a European put option on IBM:option price=$7,strike price=$90,58,Short Put on IBM,Profit from writing a European put option on IBM:option price=$7,strike price=$90,-30,中航油案例,59,Chapter Outline,1.Forward,2.Futures,3.Options,4.Swaps,60,A swap is an agreement to ex
43、change cash flows at specified future times according to certain specified rules,Swaps,61,Example:The Comparative Advantage Argument,AAACorp wants to borrow floatingBBBCorp wants to borrow fixed,62,Example:The Comparative Advantage Argument,63,The Swap when a Financial Institution is Involved,AAA,F.
44、I.,BBB,10%,LIBOR,LIBOR,LIBOR+1%,9.93%,9.97%,Example:The Comparative Advantage Argument,64,Swaps,Interest rate swapan agreement between two parties to exchange interest payments for a specific maturity on a specified principal amount.Currency Swap,65,Typical Uses of anInterest Rate Swap,Converting a
45、liability fromfixed rate to floating rate floating rate to fixed rate,Converting an investment from fixed rate to floating ratefloating rate to fixed rate,66,Currency Swap,In an interest rate swap the principal is not exchangedIn a currency swap the principal is exchanged at the beginning and the end of the swap,67,Typical Uses of a Currency Swap,Conversion from a liability in one currency to a liability in another currency,Conversion from an investment in one currency to an investment in another currency,An Example of a Currency Swap,68,THE END!,
