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20140708 Strumenti Derivati Nella Finanza D'impresaporretta.Pdf

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20140708 Strumenti Derivati Nella Finanza D'impresaporretta.Pdf STRUMENTI DERIVATI: PECULIARITA’, UTILIZZI NELLA FINANZA D’IMPRESA E PROBLEMATICHE OPERATIVE ORDINE DEI DOTTORI COMMERCIALISTI ED ESPERTI CONTABILI DI ROMA, 8 LUGLIO 2014 Prof.ssa Pasqualina Porretta Professore Aggregato in Risk Management delle Banche e Assicurazioni, Dipartimento di Management Facoltà di Economia, Sapienza Università di Roma Agenda 11 Strumenti Derivati nella finanza d’impresa 22 Forward 33 Futures 44 Swap 55 Option 66 Strumenti Derivati ed enti pubblici Strumenti Derivati nella finanza d’impresa NellaNella gestionegestione deidei rischirischi finanziarifinanziari l’aziendal’azienda puòpuò trovaretrovare neinei “derivati”“derivati” degli degli utiliutili strumentistrumenti che,che, allaalla streguastregua deidei prodottiprodotti assicurativi,assicurativi, possonopossono attenuareattenuare oo completamentecompletamente immunizzareimmunizzare l’impresal’impresa daglidagli effettieffetti negativinegativi cheche altrimentialtrimenti subirebbesubirebbe alal verificarsiverificarsi deglidegli eventieventi inattesi…inattesi… ..tuttavia..tuttavia soventesovente l’impresal’impresa nonnon haha l’esperienza,l’esperienza, lala competenzacompetenza inin materiamateria didi strumentistrumenti derivati/finanzaderivati/finanza avanzata…….avanzata……. Strumenti Derivati: Funzioni UnUn derivatoderivato èèunun contrattocontratto finanziariofinanziario ilil cuicui valorevalore dipendedipende dada quelloquello didi unun’attività’attività sottostantesottostante (underlying(underlying asset)asset) negoziatanegoziata perper contanti.contanti. Sono esempi di attività sottostanti: Azioni, indici azionari e panieri di azioni ed indici azionari; Merci, indici merci e panieri di indici di merci (oro, grano, petrolio…); Obbligazioni ed indici obbligazionari; Tassi di interesse; Tassi di cambio; Rating creditizi; Altri strumenti derivati (opzione su uno IRS, opzione su un CAP, ecc…); Attività reali (immobili, impianti , macchinari …real options) Eventi atmosferici (weather derivatives) ma anche energy derivatives, insurance derivatives; Strumenti Derivati: Funzioni . I derivati consentono il trasferimento del rischio da chi lo rifiuta a chi è TrasferisconoTrasferiscono ii disposto ad assumerlo. rischirischi . Chi sopporta il rischio è uno speculatore (trader). Chi lo rifiuta èdetto hedger. Chi acquista rischio, non èdetto che sia uno speculatore. Il rischio assunto con il contratto derivato potrebbe infatti essere specularmente opposto a quello generato da posizioni già presenti in portafoglio. L’eliminazione del rischio può essere completa mediante l’utilizzo di strumenti a “termine” oppure può essere limitata al solo del rischio avverso mediante l’utilizzo delle “opzioni”. CompletanoCompletano . In un mercato efficiente i derivati non avrebbero ragione di ilil mercatomercato esistere: in un tale contesto il payoff del derivato potrebbe essere replicato combinando più attività elementari. In realtà esistono frizioni che impediscono o rendono troppo costosa la replica del derivato. La combinazione di derivati crea inoltre payoff non possibili con strumenti convenzionali. Strumenti finanziari Derivati. Classificazione I derivati possono essere classificati in 5 grandi categorie: StrumentiStrumenti derivatiderivati DerivatiDerivati ForwardForward FuturesFutures SwapSwap OptionOption CreditiziCreditizi . I forward e le opzioni sono considerati basic building blocks (unità base per costruire altri derivati): . Un future non èaltro che un forward standardizzato; . Uno swap èuna sequenza di forward; . Un’opzione ed uno zero coupon possono dar vita ad un’obbligazione strutturata. Italian Derivatives Market (IDEM) . L’IDEM èil mercato professionale italiano dei derivati su strumenti finanziari diversi dai titoli di Stato istituito dalla Consob nel 1994. Il mercato IDEM include tre segmenti: . IDEM EQUITY sul quale sono listati futures ed opzioni su singole azioni italiane ed europee, su indici che comprendono anche il principale del mercato azionario di Borsa Italiana –FTSE MIB –e del mercato inglese FTSE100 e su dividendi; . IDEX dedicato ai derivati su commodities e sul quale sono attualmente negoziati futures su energia elettrica italiana; . AGREX dedicato ai derivati agricoli e sul quale sono attualmente negoziati futures su grano duro. Allo scopo di migliorare la liquidità degli strumenti derivati negoziati èprevista la presenza di operatori market maker che si impegnano ad esporre proposte in acquisto (bid price) e in vendita (ask price) per quantitativi minimi di contratti. Ad oggi sono presenti più di 20 market maker nell’IDEM . Categorie di operatori ammessi all’IDEM: . Broker (autorizzati ad immettere ordini solo conto terzi); . Dual capacity; autorizzati a immettere ordini sia in conto proprio che in conto terzi . Dealer (autorizzati ad immettere ordini solo conto proprio); . Le negoziazioni si svolgono all’interno della sola fase di negoziazione continua durante la quale ha luogo la conclusione dei contratti. http://www.borsaitaliana.it/derivati/derivati/derivati.htm Italian Derivatives Market (IDEM) Mercati OTC • Contrariamente ai mercati regolamentati, i mercati non regolamentati o OTC sono generalmente caratterizzati dall’assenza di regole che definiscano modalità di gestione, di vigilanza, di adesione degli operatori, di ammissione e contrattazione degli strumenti finanziari. Sono inoltre caratterizzati da un’informativa meno trasparente o completamente assente. • Infine sui mercati non regolamentati o OTC èanche possibile avere contrattazioni non standardizzate: un esempio classico èdato dal mercato dei derivati OTC dove i contratti sono personalizzabili in relazioni alle esigenze degli intermediari. Forward UnUn contrattocontratto aa terminetermine èèunun accordoaccordo tratra duedue controparticontroparti cheche sisi assumonoassumono ll’obbligo’obbligo didi acquistareacquistare oo vendere,vendere, adad unauna datadata stabilita,stabilita, ilil sottostantesottostante adad uunn prezzoprezzo stabilitostabilito alal momentomomento delladella stipulazionestipulazione deldel contratto.contratto. IlIl prezzoprezzo èèchiamato chiamato ‘‘aa terminetermine’’ o o forwardforward’’ . La parte che acquista a scadenza ha una posizione ‘lunga’ . La parte che vende a scadenza, ha una posizione ‘corta’ I contratti forward: . sono negoziati direttamente tra le controparti (OTC); . non hanno caratteristiche standard e per questo rispondono meglio alle esigenze delle controparti (tailor made); . sono meno liquidi rispetto ai contratti scambiati in borsa; . ciascun contraente si assume il rischio di inadempienza della controparte (rischio di controparte). Forward . Le controparti sono entrambe obbligate a dar luogo al futuro scambio (manca l’elemento di opzionalità che attribuisce a una delle controparti la facoltà di non dar luogo allo scambio futuro); . Lo scambio ha luogo ad un tempo futuro (data di scadenza del contratto); . Le due controparti al fine di entrare in un contratto forward non sono obbligate al pagamento di alcun premio; . Gli elementi contrattuali del forward sono i seguenti:attività sottostante, data di stipula, data di scadenza del contratto, durata; . Non esistono contratti forward scambiati su mercati ufficiali; . Le controparti possono attribuire al contratto una struttura che sia più possibile coerente con le esigenze economiche perseguite (contratti tailor‐made); • Il prezzo forward teoricamente corretto è quello tale per cui non è possibile trarre profitto da un’operazione di arbitraggio; • Se a fronte di un investimento iniziale nullo, e in assenza di rischio, la somma dei flussi finali risultasse diversa da zero, vi sarebbe la possibilità di realizzare un arbitraggio. Forwards – determinazione dei prezzi Esiste una relazione che lega i prezzi forward da quelli spot Il prezzo di un forward scritto su titolo con reddito prevedibile (I) dipende dalla seguente condizione di non arbitraggio: F = (S‐I) * (1+r)T oppure F = (S‐I)erT con F = valore del forward S = valore del sottostante I = valore attuale flussi staccati dal sottostante prima della scadenza r = tasso di interesse di periodo T = tempo a scadenza Prezzo forward – prezzo spot = base F = S *erT prezzo di un contratto forward scritto su titolo che non offre redditi F>S gli arbitraggisti possono comprare il titolo al prezzo spot S e venderlo al prezzo forward F; F<S gli arbitraggisti possono vendere allo scoperto al prezzo spot S e riacquistarlo al prezzo forward; Il valore teorico di un forward scritto su titolo con dividend yield noto F = Se(r‐q)T Forwards – valore dei contratti Nel momento in cui vengono negoziati i forward hanno un valore nullo; successivamente avranno un valore positivo o negativo Detto f il valore corrente della posizione lunga nel forward con prezzo di consegna k f= (F‐K) e‐rT Assunzione: a scadenza il prezzo del sottostante coincide con il prezzo forward corrente F Analogamente, il valore di una posizione corta in un contratto forward con prezzo di consegna k è: f= (K‐F) e‐rT ES: long forward scritto su titolo equity che non offre dividendi; Vita residua contratto: 6 mesi r=10% annuo prezzo spot azione= 25 euro prezzo di consegna k=24 Prezzo forward= F = S *erT = 25* e0,10*0,5 = 26,28 euro Valore del contratto forward f= (F‐K) e‐rT=(26,28‐24)* e‐0,10*0,5=2,17 FRA IlIl contrattocontratto forwardforward pipiùù diffuso diffuso èèilil forwardforward raterate agreementagreement (FRA),(FRA), inin cuicui duedue controparticontroparti sisi accordanoaccordano perper coprirsicoprirsi oo specularespeculare sulsul futurofuturo movmovimentoimento deidei
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