FRM一級強化段金融市場（標準版）

W/Financial

kMarketsand

4Products

FRM一級培訓講義-強化班

?方速YiMiOM瓶岫內(nèi)生W。叫I

TopicWeightingsinFRMPartI

SessionNO.ContentWeightings

StudySession1FoundationsofRiskManagement20

StudySession2QuantitativeAnalysis20

StudySession3FinancialMarketsandProducts30

StudySession4ValuationandRiskModels30

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(S)FrameworklBondMarket

?InterestRates

?TreasuryMarket

?CorporateBond

rDerivativesMarket

?IntroductionofDerivativesMarket

?ForwardandFutures

?Swaps

?OptionsMarkets

>MBS

rFinancialInstitutions

?Banks

?InsuranceCompanies

?FundManagement

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Topic1:InterestRates

1.MarketRate

2.Compounding

3.SpotRateandForwardRate

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?MarketRate

>CommonMarketRate

?TreasuryRates

/TheratesaninvestorearnsonTreasurybillsandTreasurybonds.

/Treasuryratesarerisk-freeratesinthesensethatitisconsideredhighly

unlikelythatthegovernmentofadevelopedcountrywilldefaultondebt

issuedinitsowncurrency.

/TheTreasuryrateisusuallynotadoptedasrisk-freerate,becauseitis

usuallyartificiallylow,mainlyduetothefollowingtworeasons:

?RegulationgenerallydoesnotrequireBankstoretaincapitalfortheir

Treasurypositions.

?Insomecountries(suchastheUnitedStates),Treasuryyieldsget

preferentialtaxtreatment.

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?MarketRate

,CommonMarketRate

?LIBOR

/LIBORarecompiledfromtheestimatedunsecuredborrowingcostsof18

highlyratedglobalbanks.

?RepoRates

/Inarepurchaseagreement,thedifferencebetweensellingprice(today)and

therepurchasedprice(tomorroworlater)iscalledthereporate.

?SOFR

/ThereareplanstobeginphasingoutLiborandreplaceitwitharatebased

onactualtransactionsoU.S.hasproposedtheuseoftherepo-based

SecuredOvernightFinancingRate(SOFR)

“Risk-FreeRate

?Therisk-freerateatwhichderivativesarepricedisdeterminedfrom

overnightinterbankratesusingovernightindexedswaps.

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?Compounding

jCompoundingFrequencies

?Supposewehaveanaccountwherethesimpleinterestisaddedineach

yearandthenthatmoneyalsoearnsinterest.

?Assuming

Rcistherateofinterestwithcontinuouscompounding.

Rmistherateofinterestwithdiscretecompounding(mperannum)

Tisthenumberofyears.

FV=PV(l+m)FV=PVeRcT

/、mT

PV(1+『pv(1+,rPV(1+*D)=PVeRcT

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?SpotRateandForwardRate

>SpotRate

?At-periodspotrate,orzerorate,istheinterestrateearnedwhencash

isreceivedatjustonefuturetime.

?Forwardrates

/Interestratescorrespondingtoafutureperiodimpliedbythespotcurve.

(1+Ri)\(l+F)(T-T】)=(I+R2)T2

、「

RTRTMT)DTFR2T2-Rih

eiixeF(T2-%=eR2T2_=",_____

T2-TI

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Topic2:TreasuryMarket

1.TreasuryInstruments

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?TreasuryInstruments

>TreasuryBills

?Ashort-termdebtobligationwithamaturityofoneyearorless.

?Interestrateisexpressedonadiscountbasis.

>TreasuryNotesandTreasuryBonds

?Bondwithamaturityofmorethanoneyear.Bondswhichtypicallyhave

maturitiesbetweenonetotenyearsarecalledTreasuryNotes.Butto

keeptheterminologysimple,wewillrefertoallcoupon-bearingTreasury

instrumentsasTreasuryBonds.

?Bothmakeinterestpaymentssemi-annually.

?QuotedPrice:

/Dollarsandthirty-secondsofadollarwithfacevalueof$100

>TreasurySTRIPS

?C-StripsandP-Strips

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?TreasuryInstruments

>CleanPrice

?Thepriceofacouponbondnotincludinganyaccruedinterest.

Immediatelyfollowingeachcouponpayment,thecleanpricewillequal

thedirtyprice.

>DirtyPrice

?Abondpricingquotereferringtothepriceofacouponbondthat

includesthepresentvalueofallfuturecashflows,includinginterest

accruingonthenextcouponpayment.

dirtyprice=cleanprice+accruedinterest

>AccruedInterestandDayCountConventions

?Treasurybonds:actual/actual

?Corporateandmunicipalbonds:30/360

?Moneymarketinstruments(Treasurybills):actual/360

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?TreasuryInstruments

>Example

Supposea1000parvalueUScorporatebondpaysasemi-annual10

percentcoupononJanuary1andJuly1.AssumethatitisnowApril1,2005,

andthebondmaturesonJuly1,2015.Computetheinvoice(full)priceof

thisbondiftherequiredannualyieldis8percent.Computetheflat(clean)

priceoftheabovebond.

TimeMar1stApr1stMay1stJune1stJuly1st

dirtyprice1155.301162.871170.501178.181185.90

cleanprice1138.631137.871137.171136.511135.90

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Topic3:CorporateBond

1.BondIndentures

2.ClassificationofBonds

3.BondRisk

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?BondIndentures

>BondIndenture

?Contractcontainscorporatebondissuerpromisesandinvestors'rights.

?Madeouttocorporatetrustee,whorepresentsbondholders/interests.

>CorporateTrustee

?Afinancialinstitutionthatlooksaftertheinterestsofthebondholders

andensuresthattheissuercomplieswiththeindentures.

?Itsdutiesarespecifiedintheindenturesandthetrusteeisunderno

obligationtoexceedthoseduties.

?Forexample,sometimestheindenturespecifiedthattrusteecanrelyon

theissuerforinformation,sothat,itisnotrequiredtoconductitsown

investigations.持續(xù)更新通知微信xuebajun888s

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?ClassificationofBonds

>InterestRate

?Fixed-RateBonds

?Floating-RateBonds

?Zero-CouponBonds

>Collateral

?MortgageBonds

?CollateralTrustBonds

?EquipmentTrustCertificates

?DebentureBonds(includingSubordinatedDebentures)

?GuaranteedBonds

>High-YieldBond

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?BondRisk

>EventRisk

?Therearemanyeventsinthemarketthatcanadverselyaffectbonds,

suchasnaturaldisasters.Thistypeofriskiscalledeventrisk.One

importanttypeofeventriskistheriskofalargeincreaseinleverage.

>CreditRisk

?CreditDefaultRisk:Riskthatabondissuerwillbeunabletomeetits

financialobligations.

?CreditSpreadRisk:Riskoffinanciallossresultingfromchangesinthe

levelofcreditspreads.

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?Exercise1

5rEachofthefollowingistrueaboutthecorporatetrusteeinacorporate

bondissuanceexcept:

A.Thetrusteeispaidbybondholders.

B.Thetrusteeactsinafiduciarycapacityforinvestorswhoownthebond

issue.

C.Thetrusteemustatthetimeofissue,authenticatethebondsissued

(i.e.,keeptrackofallthebondssole)andmakesurethattheydonot

exceedtheprincipalamountauthorizedbytheindenture.

D.Ifacorporateissuerfailstopayinterestorprincipal,thetrusteemay

declareadefaultandtakesuchactionasmaybenecessarytoprotect

therightsofbondholders.

rAnswer:A

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Derivatives

Market

Topic1:IntroductionofDerivativesMarket

1.IntroductionofDerivatives

2.OTCandExchangeMarket

3.CentralCounterparty

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?IntroductionofDerivatives

>Derivatives

?Aninstrumentwhosevaluedependsonthevaluesofothermorebasic

underlyingassets.

>BasicTypesofDerivatives

?ForwardandFutures

/Agreementtobuy/sellassetatfuturetimeforcertainprice.

/Forward:tradedintheover-the-counter(OTC)market.

/Futures:Standardizedandtradesonanexchange.

?Sw叩

/Aseriesofforwardcontracts.

/Exchangecashflowsonperiodsettlementdates.

?Option

/Givesholdertheright(butnotobligation)tobuy/sellatacertainprice.

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?IntroductionofDerivatives

>LinearandNon-LinearDerivatives

?Derivativescanbedividedintolinearandnonlinearcategories.

?Thepayoffoflinearderivativesislinearlyrelatedtothevalueofthe

underlyingassets.Forexample,forwardcontractsarelinearderivatives.

?Options,ontheotherhand,arenonlinearderivatives,thatis,thereisa

non-linearrelationshipbetweenthepayoffoftheoptionandthevalueof

theunderlyingasset.

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?OTCandExchangeMarket

>Over-the-CounterandExchangeTraded

Over-the-CounterExchange-Traded

CustomizedStandardized

Tradewithcounterparty(DefaultRisk)Backedbyaclearinghouse

NottradeinacentrallocationTradeinaphysicalexchange

UnregulatedRegulated

Tradingvolume:largeTradingvolume:small

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?OTCandExchangeMarket

>ExchangeMarket

?Anexchangemarketisamarketwhereinvestorstradestandardized

contractsmadebyexchanges.

?Today,exchangesclearalltradesbetweenmembersthroughso-called

centralcounterparties(CCPs).

/Exchanges(throughtheirCCPS)actascounterpartiestoallmembers.

/AnotheradvantageofusingaCCPisthatitiseasierforexchange

memberstocloseoutpositions.

?Anothermeasuretoprotectmembersfromlossesisnetnetting.Netting

isanoperationinwhichshortandlongpositionsinaparticularcontract

canoffseteachother.

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?OTCandExchangeMarket

>ExchangeMarket

?Theexchangerequiresmemberstoprotectthemselvesbyproviding

margin.Marginreferstothecashorassetstransferredfromonetrader

toanotherforprotectionagainstcounterpartydefault.

/VariationMargin

/InitialMargin

?Inaddition,membersarerequiredtosubmitadefaultfundasaloss

protection.

/Iftheinitialmarginisnotsufficienttocoveramember'slossesduringa

default,themember'sdefaultfundcontributionswillbeusedtocover

thedifference.Ifthesefundsremaininsufficient,theyarereplenishedby

thedefaultfundsofothermembers.

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?OTCandExchangeMarket

>ExchangeMarket

?MaintenanceMargin

/Sofar,we'vebeentalkingaboutmarginaccountsbetweenCCPsand

theirmembers.However,ifaretailtradercontactsabrokertotrade,that

traderwillberequiredtoprovidemargintothebroker.

/Marginaccountsbetweenretailtradersandbrokersdifferfromthose

betweenCCPsandtheirmembers.Itgenerallycontainsprovisionsfor

maintenancemargin.Inaccordancewiththegeneralrulesof

maintenancemargin,ifthebalanceofthemarginaccountfallsbelowthe

maintenancemarginlevel,thetradermustprovideadditionalmarginto

restoretheaccounttotheinitialmarginlevel.Ifthetraderdoesnot

provideadditionalmargin,thebrokerentersareversetradeonbehalfof

thetradertocloseouttheposition.

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?CentralCounterparty

>OperationofCCPs

?Variablemarginpaymentsaremadedailytoreflectchangesinthevalue

ofeachmember'sportfolio.

?Whenamemberdefaults,theexchangeusuallyholdsanauction,inviting

othermemberstobidforthetransaction.

?CCPsmaychoosetotearupdeals.Thisinvolvestheimmediatecloseout

oftransactionsbetweenamemberandthedefaultingpartyataprice

thatcausessomelosstothenon-defaultingparty.

?Theinitialmargintobepaidbyeachmemberiscalculatedusing

historicaldata.However,ifthedefaultmember'sinitialmarginis

insufficienttocovertheloss,thedefaultfundofthedefaultmember

needstobeusedtoreplenish.Ifthatisnotenough,thecontributions

fromothermembersareused.

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?CentralCounterparty

>AdvantagesandDisadvantagesofCCPs

?AdvantagesofOTCCentralClearing

/Easyexit

/Lossmutualization

/Standardlossmanagementmechanism(margin,netting,default

resolution)

/Increasedliquidity

/FormulationofstandarddocumentsforOTCderivativestransactions.

?DisadvantagesofOTCCentralClearing

/Moralhazard

/Adverseselection

/Procyclicality

/Creditriskfacedbymembersbasedondefaultfundscontribution

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Derivatives

Market

Topic2:ForwardandFutures

1.ForwardRateAgreement

2.FuturesMarket

3.ForwardandFuturesPrices

4.InterestRateFutures

5.HedgingStrategiesusingFutures

6.ForeignExchangeMarkets

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?ForwardRateAgreement

>ForwardRateAgreement

?Aforwardrateagreement(FRA)isanagreementthatacertainratewill

applytoacertainprincipalduringacertainfuturetimeperiod.

?Thebuyerlocksinaborrowingrate,andthesellerlocksinalendingrate.

?Settlement:TheinterestpaymentofFRAisnormallypaidattheendof

theperiod.However,anFRAisusuallysettledatthebeginningofthe

periodcoveredbytheFRAbyconvention.Thepayoffforthepartywho

paysfixedandreceivesfloatingortheothersideofthetransactionis:

(R-RK)TL(RK-R)TL

UI

1+RT14-RT

WhereRistherealizedfloatingrate,RKisthefixedrate,Listhe

principalandTisthelengthofthetimehorizon.

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?ForwardRateAgreement

>Valuation

?Thevaluationforthepartywhopaysfixedandreceivesfloatingorthe

othersideofthetransactionis:

Or

WhereRFistheforwardrateandPVdenotesthepresentvaluefromthe

beginningoftheperiodtotoday.

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?FuturesMarket

>OperationofExchanges

?Thenumberofcontractsthatexistatanytimeiscalledopeninterest.

Thisisthenumberofnetlongcontractsheldbymembers,whichisequal

tothenumberofnetshortcontractsheldbymembers.

?Thenumberofcontractstradedinadayiscalledtradingvolume.If

manytradersclosetheirpositions,thevolumeofthedaymaybegreater

thantheopeninterest.Itcanalsohappenifthereisalargeamountof

intradaytrading.

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?FuturesMarket

>ConvergenceofFuturesandSpotPrices

?Asthedeliveryperiodapproaches,thefuturespriceconvergestothe

spotprice.Ifthefuturespriceishigherthanthespotpriceduringthe

deliveryperiod,thetraderhasanobviousarbitrageopportunity,v/hich

canberealizedby:

/Shortingfutures,

/Buyingtheasset,and

/Makingthedelivery.

?Sucharbitrageopportunitiesdonotlastlongbecausetraderstake

advantageofthem.Inaddition,ifthefuturespriceislowerthanthespot

priceduringdelivery,thosewhowantaccesstotheunderlyingassetswill

finditprofitabletotakelongfuturespositionsandwaitfordelivery.

Whentheydoso,futurespriceswillrisetowardspotprices.

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?FuturesMarket

rNormalandInvertedFuturesMarket

?Ifthefuturespriceincreasesastimetomaturityincreases,thefutures

curveissaidtobenormal,orinContango.

?Ifthefuturepricedeclinesasmaturityincreases,thefuturescurveissaid

tobeinverted,orinBackwardation.

?Someassetshavepatternsthatarepartlynormalandpartlyinverted.

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?FuturesMarket

>TradingOrderTypes

?MarketOrder

/Arequestthatatradebecarriedoutimmediatelyatthebestprice

availableinthemarket.

?LimitOrder

/Thisorderspecifiesaparticularprice,theordercanbeexecutedonlyat

thispriceoratonemorefavorabletotheinvestor.

?StopOrder/Stop-LossOrder

/Alsospecifiesaparticularprice.Theorderisexecutedatthebest

availablepriceonceabidorofferismadeatthatparticularpriceora

less-favorableprice.持續(xù)更新通知微信xuebajun888s

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?FuturesMarket

>TradingOrderTypes

?Stop-LimitOrder

/Combinationofstop&limitorder.Orderbecomeslimitorderassoonas

abid/offerismadeatapriceequalto/lessfavorablethanthestopprice.

?Market-if-TouchOrder/BoardOrder

/Executedatthebestavailablepriceafteratradeoccursataspecified

price/atapricemorefavorablethanthespecifiedprice.Itisdesignedto

ensureprofitsaretakenifsufficientlyfavorablepricemovementsoccur.

?DiscretionaryOrder/Market-not-HeldOrder

/Istradedasamarketorderexceptthatexecutionmaybedelayedatthe

broker'sdiscretioninanattempttogetabetterprice.

?Fill-or-KillOrder

/Mustbeexecutedimmediatelyonreceiptornotatall.

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?FuturesMarket

jFuturesvs.Forward

ForwardFutures

Tradeover-the-counter(OTC)Tradeonanexchange

NotstandardizedStandardizedcontracts

OnespecifieddeliverydateRangeofdeliverydates

Settledatcontract'sendSettleddaily

DeliveryorfinalcashsettlementContractusuallyclosedoutpriorto

usuallyoccursmaturity

ReducesbasisriskduetotailoredHighliquidityduetostandardized

specificationsbutlessliquidspecificationsbutmorebasisrisk

DefaultriskispresentGuaranteedbyclearinghouse

NomargindepositrequiredMarginrequiredandadjusted

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?ForwardandFuturesPrices

>AssumptionsofPricing:NoArbitragePrincipleF=S(1+R)，

F>S(1+R)TF<S(1+R)T

Now:Now:

BorrowStobuyaunitofasset,enterintoShortsaleSandinvestinabank,enter

aforwardcontracttoshorttheassetforFintoaforwardcontracttobuytheasset

intimeT;forFintimeT;

Tlater:Tlater:

■SellassetatFandrepaytheloanfor■GetS(1+R)Tfromthebankandbuy

S(1+R)TtheassetatFtocloseshortposition.

■Gainaprofitof■Gainaprofitof

F-S(1+R)TS(1+R)T-F

3的公

行業(yè)?創(chuàng)新?憎值

?ForwardandFuturesPrices

jForwardPriceforaFinancialAssetthatProvidesnoIncome

F=S(1+R)T

?Example:Consideraforwardcontracttosellanon-dividend-paying

stockin3months.Thecurrentstockpriceis$40andthe3-monthrisk-

freerate(annuallycompounded)is2.5%peryear.Theforwardprice:

F=40(1+0.025嚴=40.25

>ForwardPriceforaFinancialAssetthatPayingaKnownCashIncome

F=(S-I)(1+R)T

?Example:Considera10-monthforwardcontractonabondpayinga

USD2couponin3monthsandin9months.Assumetherfforall

maturitiesis6%peryearandthecashpriceofthebondisUSD107.

2?2io

1.O60-25+1.060-75=3.8856F=(107-3.8856)xI.O612=108,2450

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?ForwardandFuturesPrices

>ForwardPriceforaFinancialAssetthatProvidesaKnownYield

1+R\T

F=S

?Example:Consideranassetexpectedtoprovidea2.5%yieldperyear

overthenextthreeyears.Therisk-freerateis3%peryearandthe

currentspotpriceoftheassetisUSD30.Theforwardprice(USD)is

1+3%

F=30-———=30.44

1+2.5%/

>ForwardPriceforStockIndex

?Example:Consideranindexof2,000,therfis4%peryearandthe

dividendyieldis2%peryear.Thefuturespricewithamaturityofsix

monthsis

Z1.O4\05

F=2,000x=2019.5127

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?ForwardandFuturesPrices

>ForeignExchangeForward/Futures

?InterestRateParity

WhereB/ArepresentstheexchangerateasthenumberofAperB.

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?ForwardandFuturesPrices

>ForwardPriceforaCommodityAssetwithaLeaseRate

、T

1+R\

F=S

1+1

?Example:Assumethatthespotpriceofgoldis$1,250,theleaserateis

2.5%,andthe6-monthrisk-freerateis4%(withannualcompounding).

The6-monthfuturespriceisgivenby:

(1.04\0

l>250x——=1,259.1131

\d.?U乙J/

rForwardPriceforaCommoditywithStorageCost&ConvenienceYield

/1+R

F=(S+U)(1+Y

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?ForwardandFuturesPrices

>ForwardPriceforaCommoditywithStorageCost&ConvenienceYield

?Example:ThespotpriceofoilisUSD65perbarrel,andtheconvenience

yieldis15%.ThestoragecostforsixmonthshasapresentvalueofUSD

3perbarrel,andtherisk-freerateis2%peryear,the6-monthfutures

pricesatisfies

1.O2X05

(65+3)x幣=64.