第5講 投資銀行的金融衍生品業(yè)務(wù)

1、第五講 投資銀行的金融衍生品業(yè)務(wù) 一、一、 金融衍生工具金融衍生工具 20世紀世紀70年代初年代初, 匯率體制變化匯率體制變化, 金融市場的金融市場的 不確定性加大不確定性加大, 投資銀行的金融工程（投資銀行的金融工程（Financial Engineering）活動應(yīng)運而生。）活動應(yīng)運而生。 1.金融衍生工具金融衍生工具（Derivative Financial Instruments）是從即期外匯交易、從股票、是從即期外匯交易、從股票、 債券等傳統(tǒng)有價證券的現(xiàn)貨買賣以及從債券等傳統(tǒng)有價證券的現(xiàn)貨買賣以及從 股票價格指數(shù)等綜合金融參考指標中派股票價格指數(shù)等綜合金融參考指標中派 生出來的各種投

2、資工具或交易手段的總生出來的各種投資工具或交易手段的總 稱。稱。 2、金融衍生工具的基本功能、金融衍生工具的基本功能 ( 1)套期保值（套期保值（Hedging）；）； (2)投機投機(Speculation)； (3) 價格發(fā)現(xiàn)價格發(fā)現(xiàn)(Price Discovery) 二、投資銀行的金融衍生品業(yè)務(wù)二、投資銀行的金融衍生品業(yè)務(wù) 1. 投資銀行的生命在于創(chuàng)新。投資銀行促投資銀行的生命在于創(chuàng)新。投資銀行促 使了金融衍生工具（使了金融衍生工具（ Derivative Instruments ） 的產(chǎn)生與發(fā)展。的產(chǎn)生與發(fā)展。 投資銀行素有投資銀行素有“金融工程師金融工程師”之稱。之稱。 2.投資銀行

3、在金融衍生交易中的角色：投資銀行在金融衍生交易中的角色： 經(jīng)紀業(yè)務(wù)、咨詢業(yè)務(wù)、自營業(yè)務(wù)經(jīng)紀業(yè)務(wù)、咨詢業(yè)務(wù)、自營業(yè)務(wù) 三、金融衍生工具的主要類型三、金融衍生工具的主要類型 遠期合約遠期合約(Forward Contract); 期貨合約期貨合約(Futures Contract)； 期權(quán)合約期權(quán)合約(Options Contract); 互換合約互換合約(Swap Contract). Forward Contract: A contract that obligates the holder to buy or sell an asset for a predetermined deliver

4、y price at a predetermined future time. A swap: An agreement between two companies to exchange cash flows in the future. （一）互換合約交易舉例（一）互換合約交易舉例 1.利率互換利率互換 舉例舉例: 假設(shè)假設(shè)A、B兩公司均希望得到一筆兩公司均希望得到一筆5年期年期 200萬美元的貸款，每年付息一次。如果它萬美元的貸款，每年付息一次。如果它 們各自去固定利率和浮動利率資本市場上們各自去固定利率和浮動利率資本市場上 借款，需支付的年利率如下表：借款，需支付的年利率如下表： 固定

5、利率市場固定利率市場浮動利率市場浮動利率市場 公司公司A8%LIBOR+0.5% 公司公司B9.4LIBOR+1.1% 兩公司同一兩公司同一 市場利率差市場利率差 1.4%0.6% 公 司 A 某 互 換 交 易 商 公 司 B 8% 7.8% 8% LIBOR LIBOR LIBOR+1.1% 經(jīng)過對市場的分析，公司經(jīng)過對市場的分析，公司A認為市場利率認為市場利率 有下降的可能，支付浮動利率對其更有利；有下降的可能，支付浮動利率對其更有利； 而公司而公司B則認為市場利率有上升的可能，支則認為市場利率有上升的可能，支 付固定利率對其更有利。付固定利率對其更有利。 Company A has i

6、ssued 8% fixed-rate debt (the leftmost arrow in the figure), but enters a swap to pay the dealer LIBOR and receive a 7.8% fixed rate. Therefore, the companys net payment is 8%+(LIBOR-7.8%)=LIBOR+0.2%. It has thus transformed its fixed-rate debt into synthetic floating-rate debt. Conversely, Company

7、B has issued floating-rate debt paying LIBOR+1.1%(the rightmost arrow in the figure), but enters a swap to pay a 8% fixed-rate in return for LIBOR. Therefore, the companys net payment is LIBOR+1.1%+(8%-LIBOR)=9.1%. It has thus transformed its floating-rate debt into synthetic fixed-rate debt. What a

8、bout the swap dealer? Why is the dealer, which is typically a financial intermediary such as an investment bank, willing to take on the opposite side of the swaps desired by these participants? The dealer finds this activity profitable because it will charge a bid-asked spread on the transaction. Th

9、e bid-asked spread in the example is 0.2% of notional principal each year. 2.Currency Swaps Chinese parent firm U.S. parent firm U.S. firms affiliate (in China) Chinese firms affiliate (in U.S.) Direct loan In RMB Direct loan In U.S.$ Indirect Indirect financing financing (1)Back-to-Back, or Paralle

10、l, Loan The operation is conducted outside the foreign exchange market, although spot quotations may be used as the reference point for determining the amount of funds to be swapped. Such a swap creates a covered hedge against exchange loss. The principal amounts are usually exchanged at the beginni

11、ng and at the end of the life of the swap. Usually, the principal amounts are chosen to be approximately equivalent using the exchange rate at the time the swap is initiated. (2)Currency Swap examples Example 1: Consider a five-year currency swap agreement between companies A and B entered into on F

12、ebruary 1, 1999. We suppose that company A pays a fixed interest rate of 11% in sterling and receives a fixed interest rate of 8% in dollars. Interest rate payments are made once a year and the principal amounts are $15 million and 10 million. The swap is shown in the below figure. AB Dollars 8% Ste

13、rling 11% Cash Flows to Company A in Currency Swap DateDollar cash Flow (Millions) Sterling Cash Flow (millions) Feb. 1, 1999 Feb.1, 2000 Feb.1, 2001 Feb.1, 2002 Feb.1, 2003 Feb.1, 2004 -15.00 +1.20 +1.20 +1.20 +1.20 +16.20 +10.00 -1.10 -1.10 -1.10 -1.10 -11.10 Example 2: Suppose the five-year borro

14、wing costs to Company A and Company B in U.S. dollars (USD) and Australian dollars (AUD) are as shown in the below table. USDAUD Company A Company B 5.0% 7.0% 12.6% 13.0% We assume that A wants to borrow AUD and B wants to borrow USD. This creates a perfect situation for a currency swap. Company A a

15、nd Company B each borrow in the market where they have a comparative advantage; That is, company A borrow USD whereas company B borrows AUD. They then use a currency swap to transform As loan into an AUD loan and Bs loan into a USD Loan. 公 司 A 某 互 換 交 易 商 公 司 B $5.0% $5.0% $6.3% AUD 11.9% AUD 13.0%

16、AUD13.0% The principal amounts are USD 12 million and AUD 20 million at the current spot rate. The swap trader is exposed to foreign exchange risk. Each year it makes a gain of USD156,000(=1.3% of 12 million) and incurs a loss of AUD 220,000(=1.1% of 20million). The swap trader can avoid this risk b

17、y buying AUD 220,000 per annum in the forward market for each year of the life of the swap, thus locking in a net gain in U.S. dollars. （二）期權(quán)交易簡單介紹（二）期權(quán)交易簡單介紹 (1) Call Options與與Put Options; A call option gives its holder the right to purchase an asset for a specified price, called exercise or strike

18、 price, on or before a specified expiration date. (2)美式期權(quán)與歐式期權(quán)美式期權(quán)與歐式期權(quán). An option gives the holder the right to do something. When a trader writes options, there is a requirement that funds be maintained in a margin account. Traders are not allowed to buy options on margin. Options already contain

19、substantial leverage. A call optionholder who wants to close out that position has two choices: exercise the call or sell it. (3)Options Quotation (as the case of Call) Options/ StrikeEXP.VOL.LAST IBM 10530 105Mar1435470 10530 105Apr2593870 10530 110Mar1532285 10530 110Apr1010580 看漲期權(quán)購買人的損益情況看漲期權(quán)購買人

20、的損益情況: 例例1. 某股票購買期權(quán)某股票購買期權(quán)(Call Option),期限為期限為2個月個月,可購可購 100shares,執(zhí)行價格為執(zhí)行價格為$110/share, 期權(quán)價格為期權(quán)價格為$500. Profit or Loss -500 110 0 ST out of the money in the money at the money 115 看漲期權(quán)出讓人的損益情況看漲期權(quán)出讓人的損益情況: 500 0 110 115 Profit or Loss St Buyer of a Call: Profit and Loss position for various Ending

21、Spot Prices of Underlying Currency 例例2: 標的貨幣標的貨幣: 英鎊英鎊 合約金額合約金額: 25,000 有效期限有效期限: 兩個月兩個月 執(zhí)行價格執(zhí)行價格: 1.80/ 期權(quán)價格期權(quán)價格: 1000 Profit or Loss -1000 1.80 1.84 0 Spot Rate Writer of a Call: Profit and Loss position for various Ending Spot Prices of Underlying Currency 1000 0 1.80 1.84 Profit or Loss Spot Rate Five Common Option Strategies 1. Protective Put Investing in stock and purchasing a put option on the stock. 2. Covered Calls A covered call position is the purchase of a share of stock with a simultaneous sale of a call on that stock. 3