国外金融衍生的品发展历程及关于动态Word格式文档下载.docx

国外金融衍生的品发展历程及关于动态Word格式文档下载.docx

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Swaps

Options

…

ByAssetClass

InterestRate

FX

Credit

Equity

Commodity

Hybrid

Source:

DerivativeTradersattheCBOT

ALongHistoryofFinancialDerivatives

ThefirstexchangefortradingderivativesappearedtobetheRoyalExchangeinLondon,whichpermittedforwardcontracting

1600s-Holland.Tulipdealingisbigbusiness,andgrowersanddealersaretradinginoptionstoguaranteeprices.

Soonspeculatorsarejoininginandathrivingoptionsmarketisborn.Butthemarketcrashes,manyspeculatorsfailtohonourtheircommitments,andtheDutcheconomyisbroughttoitsknees.

1934-USA.Investmentactlegitimisesoptions.Annualvolume&

lt;

300,000contractsby1968.

April1973-Chicago.TheCBOTstartstradinglistedcalloptionson16stocks,withafirst-dayvolumeof911contracts.

1974–Chicago.Thedailyvolumegrowsfrom20,000toover200,000contracts.

PricingofOptions

PaulSamuelson-almostgetsthere.

BlackandScholesworkontheoptionpricingproblem.Theyrealisethatriskisthekey-itiswhatisattherootofalltheproblemsothersarehaving,anditiswhatoptionsareallabout.

Theirideaistotrytobalanceareplicatedportfoliosothattheriskgoesaway/non-arbitrageargument

RobertMertonarrivedonthescenein1968andbroughtwithhimexpertiseinIt?

ocalculus,andanunderstandingofcontinuous-time‘stochasticprocesses’.

SignificantEvents

In1982theCMEcreatedtheEurodollarcontract.In1982,theKansasCityBoardofTradelaunchedthefirststockindexfutures.TheChicagoMercantileExchangequicklyfollowedwiththeirhighlysuccessfulcontractontheS&

amp;

P500index

In1983,theChicagoBoardOptionsExchangedecidedtocreateanoptiononanindexofstocks.ThoughoriginallyknownastheCBOE100Index,itwassoonturnedovertoStandardandPoor&

#039;

sandbecameknownastheS&

P100,whichremainsthemostactivelytradedexchange-listedoption.

The1980smarkedthebeginningoftheeraofswapsandotherover-the-counterderivatives.

Newproductswererapidlycreatedtohedgethenow-recognizedwidevarietiesofrisks.Theinstrumentsbecamemorecomplexandweresometimesevenreferredtoas;

exotic.“

In1994thederivativesworldwashitwithaseriesoflargelossesonderivativestradingannouncedbysomewell-knownandhighlyexperiencedfirms,suchasProcterandGambleandMetallgesellschaft.OneofAmerica&

swealthiestlocalities,OrangeCounty,California,declaredbankruptcy,allegedlyduetoderivativestrading,butmoreaccurately,duetotheuseofleverageinaportfolioofshort-termTreasurysecurities.

England&

svenerableBaringsBankdeclaredbankruptcyduetospeculativetradinginfutures

TheCDSmarketexplode,backingmorethan$900bnworthofcreditbyyear’send

In2003hislettertostockholders,warrenBuffetcallsderivatives“financialweaponsofmassdestruction”

TheCDSMarketreachescolossalheights,backing$62trillionworthofcreditbyendof2007

CreditCrsis

BearStearnscollapses

AndLehmanBrothers

Afewbigbankshugetradingloss

AbroaderOverviewofOptionType

UNDERLYING

CONTRACTTYPES

Exchange-tradedfutures

Exchange-tradedoptions

OTCswap

OTCforward

OTCoption

DJIAIndexfutureSingle-stockfuture

OptiononDJIAIndexfutureSingle-shareoption

Equityswap

Back-to-backRepurchaseagreement

StockoptionWarrantTurbowarrant

Interestrate

EurodollarfutureEuriborfuture

OptiononEurodollarfutureOptiononEuriborfuture

Interestrateswap

Forwardrateagreement

InterestratecapandfloorSwaptionBasisswapBondoption

Bondfuture

OptiononBondfuture

CreditdefaultswapTotalreturnswap

Repurchaseagreement

Creditdefaultoption/MBS

Foreignexchange

Currencyfuture

Optiononcurrencyfuture

Currencyswap

Currencyforward

Currencyoption

WTIcrudeoilfutures

Weatherderivatives

Commodityswap

Ironoreforwardcontract

Goldoption

Others

Property（mortgage）derivatives

Economicderivativesthatpayoffaccordingtoeconomicreports

Freightderivatives

Inflationderivatives

Weatherderivatives

Insurancederivatives

Emissionsderivatives

….

WorldWealthvsWorldDerivatives1998-2007

GlobalOTCDerivatives

Afteranincreaseofonly3%inthesecondhalfof2010,totalnotionalamountsoutstandingofover-the-counter（OTC）derivativesroseby18%inthefirsthalfof2011,reaching$708trillionbytheendofJune2011

Interestrateandforeignexchangederivatives

CreditDefaultSwaps

KeyTrends:

Post2008

Deleveraging

HedgingRatioreduction

Appliesmorescrutinyoftheunderlyingexposure

Pricing:

Puttability

Regulatorypushforexchange-tradedderivativesandcentralclearing

SkewedtoShortTenor

PushingforCSAtoreducecounterpartyrisk

Increasedawarenessofpricingthecreditcharge

PotentialBaselIIIimpact

FromexotictoLightlystructured

Moreoption-basedstrategy

ChinaDevelopment:

Overview

In5>

viewoftherapiddevelopmentoftheCNYMarket,companiesinChinahasunprecedentedopportunitiesandmoreinstrumentstohedgetheFXrisks

TheStateAdministrationofForeignExchange（SAFE）allowedthetradingofonshoreCNYRangeForward（RiskReversal）from1stDec2011.DeutscheBankexecutedthefirstseriesofCNYRangeForward（RiskReversal）tradesinChina.

On16February2011,SAFEissuedtheNo.8CircularonRMBonshoreoptiontoallowclientstobuyvanillaEuropeanoptionsonshore,withForeignCurrency/CNYasunderlying,effectivefromApril1st,2011

TheintroductionofFXriskreversalsandoptionsfollowstheexpansionoftheonshorecrosscurrencyswapmarketinFebruarythisyear.

China’scurrencyisalsobecomingincreasinglyglobal,withafast-growingoffshoreRenminbimarketinHongKongandgrowingvolumesofinternationaltradebeingsettledinCNY.

TrendsinCorporateCurrencyRiskManagement

Currencieshavebecomemorevolatileandmoreinfluencedbyglobaleconomy

Currencymarketshavebecomemorevolatilepost-2008

Asaresult,anycurrencyhedgingdecisionwillhavegreaterfinancialimplications

Inaddition,shiftshavebecomeless‘random’andmoretrends

Thishasmade‘OutofTheMoney’optionsmorevaluable

Finally,currencymoveshavebecomelargelyinfluencedbyglobaleconomyandcurrencyhedginghastobeconsideredaspartoverallriskandoperations

Asanillustration,EURUSDexchangerateismorethan50%correlatedwithS&

P500since2008whentheseusedtobeindependent（correlationontheorderof10%）

CurrencyValueatRisk（VaR）isactuallyaninadequateRiskmetricincurrentenvironment…

DB/Bloomberg

EURUSDandS&

P500havebecomeinter-dependent

Correlation&

20%

-

gt;

50%

30%

20%

10%

0%

5%

2004

2008

2009

Present

Regression（2004–2008）

Regression（2009–present）

WeeklyS&

Pchange

GreaterTrendsinCurrencyMarkets…

Uncertain

Sales/Costs

EBITDA/Earnings

Capital/SolvencyRatio

CorrelationwithFX

TheNewParadigm:

FlexibilitytoTackleComplexity

ComplexManagement/LargerRiskatstake?

?

IdentifyTargetMetrics/ConstraintstoworkoutFlexibleHedge

SettlementRisk

FXManagement

BankCounterpartyRisk

CountryRisk

AccountingRisk

P&

LVolatilityfromHedgeType

FewExposuresmayqualify

MARKETRISK

Gainsmaydisappear…

Butlosseswon’t!

Nettingcrucial

LiquidityRisk

Default

Repudiation

Intervention/CapitalControl

HedgePerformancefullylinkedtolocalbankcredit

Willaffectlocalbusiness

FXVolatility

Yields

Correlations

latentgains/lossesputstrainonbusiness

Shortertermhedgesmaycreatecash-flows

‘Only’piececapturedbyVaR

ISDA/CSA

CLS,FXforCash,AutoBahn

SovereignCDS,ISDA

OffshoreTransactions

BusinessCounterpartyRisk

FXVolatility

EMcurrencies

Correlationbetweencurrencies

BusinessRisk

Contractmaybecomevoid

FXHedgebecomes‘additionalrisk’

DesignationStrategyCustomSolutions

Transactionrisk

OperatingCashFlows

…directcashflowimpact…

LargerFXRisk?

AllExposuresBecomeMoreRelevant

MonetaryItems

Cash

LiquidAssets

ForeignLiabilities

…directvalueimpact…

Translationrisk

ForeignSubsidiaryEarnings

ForeignSubsidiaryEquity（NetInvestment）

KeyPerformanceMetrics（EBITDA,CapitalRatios…）

SpecificfocuswhenEMinvolved

…accountingimpact…

Competitive

Currencydenominationofcompetitors

Dependsonpriceelasticityandconvexity

…indirectcashflowimpact…

TypicalTreasuryFocus

Nomajoraccounting/economichurdle

TypicalManagementFocus

Accounting/economichurdles

Packaging/Advisory

Flexibility

LiquidityImplications

CaseStudy–FXRiskonCovenants:

Nothedgingcouldbecatastrop