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期貨與選擇權 版 廖四郎、王昭文 著. 第十七章 結構型商品. 內容綱要. 1. 簡介. 結構型商品 (Structured Securities) 是由衍生性金融商品搭配現貨商品方式所組成。衍生性金融商品種類包含遠期契約、期貨、選擇權與交換等,現貨商品則有債券、基金、定存與股票等,大部分的結構型商品通常採選擇權搭配債券方式。. 結構型商品主要組成成分為債券,但與傳統債券不同的是,結構型商品的利息或是本金與特定標的資產未來價格走勢有關,因此結構型商品亦稱為合成證券 (Synthetic Securities) 或混和證券 (Hybrid Securities) 。 - PowerPoint PPT Presentation
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1.(Structured Securities)*
(Synthetic Securities)(Hybrid Securities)
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2.
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(Salomon Brothers Inc.)198691S&P 500(Standard Poors 500 Indexed NoteSPIN)199091$1,000 S&P 500 S&P 500 *
*Merrill Lynch1987101.25Index Liquid Yield Option NoteNew York Stock Exchange Composite Index76.679%19911068.5%1.46
*19911(Goldman Sachs)1Stock Index Growth NoteSIGNSIGNPrincipal-Protected5100%S&P 500S&P 500SIGN
*S&P5008810336.80%39%
*
*2001
*20017920022003(High Yield NotesHYN)Principal Guaranteed NotesPGN
*28110
*
*50
*
*(short)(Reverse Convertibles)
*
*
*1. (Bull Notes)17-1
*2.(Bear Notes)17-2
*
*
*
*
*1. 17-3
*2. 17-4
*(Equity-Indexed Products)
*200011 S&P 500 101520
*50
*
*
*
3. *
*(Floating Rate NotesFRNs)
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*
*
* (Reverse Floating Rate Notes)
*199463062Bankers AcceptanceBA14.4-BABABA+0.6BA6
* 0.5+0.5 0.5(14.4-BA)+0.5(BA+0.6) 7.57.5
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*
*
*(Range Notes)
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*LIBOR17-21LIBORLIBOR
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*n/Nn6LIBORNLIBOR17-2217-2317-12 6017-1380
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4. *1985Philip Morris (Dual Currency Bond)
*(FX Range Factor)(Reverse Multi-currency)(Reverse Dual Currency)17-24
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*20022002220011000
*200217-2517-25()
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5. *
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*Credit DerivativesPremium Protection BuyerProtection SellerReference EntityReference AssetCredit EventCredit Payment
* (Credit Linked Notes) 199717200114British Bankers Association and Risk19%
*(Recovery Rate)
* Single-Named Credit Linked Notes
*(Special Purpose VehicleSPV)17-6SPVSPV()
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*
*Credit Linked Deposits First-to-Default Credit Linked Notes(SPV)()
* (Collateralized Debt ObligationCDO)CDOCDO(Asset-Backed SecuritiesABS)ABS CDOABSCDOCDOCBO(Collateralized Bond Obligation)
*CDOBalance Sheet)ArbitrageCDO CDOCDO CDO
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*
*(Convertible BondCB)10CB()()
* (CB Asset Swap) CB(CB)CB17-10CBCBCBCBCB
*
*CBCB17-26CBCBCBCBCBCB
*()CBCBCBCBCBCBCBCBCBCB
*
*
*CBCBCBCBCBCBCB
6. *1973PEMEX
*(Catastrophe Bond)9063
*6BA14.4BA14.41514.414.4