DOCSLIB.ORG

Für Strukturierte Produkte 2016

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Für Strukturierte Produkte 2016 für Strukturierte Produkte 2016 NR. 07 JAHRBUCH www.payoff.ch EDITORIAL Impulsiver Jahrgang So volatil und bewegt wie das Jahr 2015 zu Ende ging, so schwungvoll startete das neue Jahr 2016. Insbesondere der nur von wenigen Marktbeobachtern prognostizierte Absturz des Ölpreises sorgt zunehmend für Unruhe. Nach dem angekündigten Ende der über zwei Jahrzehnte geltenden Iran-Sanktionen fällt der Preis für ein Barrel Brent-Öl zeitweise unter 28 Dollar. Je tiefer der Ölpreis, desto grösser die Sorgenfalten vieler Marktteilnehmer. Grotesk, eigentlich sollte sich die Wirtschaft über tiefere Kosten freuen, doch zu viele Unternehmen in der Rohstoffbranche hängen am seidenen Faden, finanziert noch zu Zeiten, als der Ölpreis bedenkenlos hoch lag und Basismetalle noch ein weites Stück teurer waren. Banken und Kreditgeber bekommen zunehmend kalte Füsse. Im Umkehrschluss schiesst die Volatilität, gemessen am VSMI, VDAX und VIX, deutlich nach oben. Optionen und Derivate als Grundstein für Strukturierte Produkte bieten plötzlich wieder sehr interessante Möglichkeiten. Egal ob long oder short, der Struki-Baukasten ist en vogue. Zwar ist es noch etwas zu früh für seriöse Jahresprognosen, doch steht fest, dass die Schweiz nach wie vor in der globalen Liga für strukturierte Finanzprodukte auf dem ersten Platz rangiert und eine erstklas- sige Markt-Infrastruktur hat. Die Emittenten, Broker und die Börsenbetreiber, allen voran die SIX Swiss Exchange, tragen hieran einen verdienten Anteil. Doch kommt der Erfolg nicht von alleine: Über 2'000 Menschen sind börsentäglich mit und für die Entwicklung, Marketing, Platzierung und Abwicklung von Strukturierten Produkten in der Schweiz im Einsatz. Wir haben auch für die Jahrgangsreihe 2016 diese einzigartige Community porträ- tiert, analysiert und Stimmungsberichte zu relevanten Trends, wie beispielsweise die Structuring-Plattformen, destilliert. Des Weiteren umfasst dieses Jahrbuch wiederum die Elite der Emittenten, von denen Vermögensverwalter und Anleger auch in impulsiven Zeiten erstklassige Instrumente zur Risikosteuerung und dem individuellen Portfolio-Management offeriert bekommen. Wir wünschen eine anregende Lektüre! DANIEL MANSER MARTIN RAAB Geschäftsführer Chefredaktor 2 WWW.PAYOFF.CH JAHRBUCH 2016 Schwimmen Sie ruhig mit dem Strom. Ob Social Media, Smart Homes oder die Veränderungen in Kuba – welches Thema Sie auch immer für sich entdeckt haben: Mit Partizipationsprodukten können Sie an den vielver- sprechendsten Entwicklungen teil haben. Weil sich die Pro- dukte einzig am Kurs des jeweiligen Basiswertes orientieren, sind sie zuverlässig transparent. Da investieren, wo es sich lohnt: www.six-structured-products.com IMPRESSUM I INHALT HERAUSGEBERIN FOCUS Derivative Partners AG Derivatmarkt Schweiz: Zufriedenheit, aber keine Euphorie 5 Splügenstrasse 10, 8002 Zürich Telefon 043 305 05 30 Structuring-Plattformen: Rennen um den Grand Prix 9 www.derivativepartners.com Mehr Durchblick beim Risiko 14 INTERVIEW CHEFREDAKTION Georg von Wattenwyl, Präsident des SVSP 18 Martin Raab Paolo Vanini, Leiter Verkauf Strukturierte Produkte 22 und Cross Assets bei der Zürcher Kantonalbank REDAKTIONSLEITUNG Thomas Wulf, Secretary General European 25 Dieter Haas Structured Investment Products Association André Buck, Head Sales, SIX Swiss Exchange/ 28 AUTORENTEAM SIX Structured Products Exchange Enrico Fritz, Patrik Hansson DIE 30 WICHTIGSTEN KÖPFE 32 ANZEIGEN im Schweizer Markt für Strukturierte Produkte Isabelle Tschugmall AWARD-REVIEW 48 Swiss Derivative Awards DESIGN UND LAYOUT Anna Martens SVSP MAP 51 Upgrade am bewährten Navigationsinstrument DRUCK Stämpfli AG RECHT 52 Leutschenbachstrasse 95 Beipackzettel macht aus Privatkunden mündige Anleger 8050 Zürich PLATTFORM-PORTRAITS Trade @ a click 55 AUFLAGE Wird einmal jährlich in gedruckter Constructor – die Kundenplattform 57 und elektronischer Form an rund 30'000 für individuelle Finanzlösungen Anleger verschickt EMITTENTEN 59 Marktführer 2016 RISIKOHINWEIS/DISCLAIMER Für die Richtigkeit der über das Jahrbuch STATISTIKEN 74 verbreiteten Informationen und Ansichten, einschliesslich Informationen und Ansichten GLOSSAR 96 von Dritten, wird keine Gewähr geleistet, weder ausdrücklich noch im plizit. Derivative Partners WEBLINKS 114 AG unternimmt alle zumutbaren Schritte, um die Zuverlässigkeit der präsentierten Infor- mationen zu gewährleisten, doch machen sie keinerlei Zusagen über die Korrektheit, Zuver- lässigkeit oder Vollständigkeit der enthaltenen Informationen und Ansichten. Leser, die auf- grund der in diesem Magazin veröffentlichten Inhalte Anlageentscheide fällen, handeln auf ei- gene Gefahr, die hier veröffentlichten Informa- tionen begründen keinerlei Haftungsansprüche. Eine Haftung für eventuelle Vermögensschä- den, die aufgrund von Hinweisen, Vorschlägen oder Empfehlungen des Jahrbuches aufgetreten sind, wird kategorisch ausgeschlossen. 4 WWW.PAYOFF.CH JAHRBUCH 2016 FOCUS www.shutterstock.com Derivatmarkt Schweiz: Zufriedenheit, aber keine Euphorie DIETER HAAS Die Geldpolitik der Noten- Das vergangene Jahr fügte sich in abge- dem Stand Ende 2014. Dank der expan- banken sorgte für günstige schwächter Form an die guten Vorjahre an, siven Geldpolitik der Notenbanken floss Rahmenbedingungen an mit der einen oder anderen Überraschung. und fliesst nach wie vor reichlich Liquidität Für die Schweizer Börse begann es gleich in die Märkte, was sich belebend auf das den Finanzmärkten. Trotz mit einem Knalleffekt. Im Anschluss an Geschäft bei den Strukturierten Produkten vereinzelter Turbulenzen war die Mitte Januar von der SNB verkündete auswirkte. Wegen des Aufs und Abs an den die Branche mit den erreich- Aufhebung des EUR/CHF-Pegs kam es zu Börsen blieben die Verkaufszahlen 2015 al- ten Ergebnissen insgesamt einer heftigen Korrektur. Mitte März war lerdings hinter der Dynamik des Vorjahres zufrieden. der Schock allerdings bereits überwunden. zurück, zumal sinkende Kreditrisikoprä- Im Spätsommer gerieten alle Börsen im Ge- mien und tiefe Kapitalmarktzinsen die Kon- folge der Wachstumsschwäche in China in struktionsmöglichkeiten einschränkten. Rücklage. Im vierten Quartal wurden auch diese Kursverluste wieder wettgemacht. Sinkendes Gesamtvermögen Am Jahresende schlossen einige Aktien- Seit Juli 2009 führt die Schweizerische indizes nahe ihres Jahreshochs und über Nationalbank (SNB) eine nach Kategorien 5 WWW.PAYOFF.CH JAHRBUCH 2016 FOCUS aufgeteilte Statistik für den Bereich Struk- die Datenreihe der Hebelprodukte grosse auf Renditeoptimierungsprodukte, 5,8% auf turierte Produkte. Trotz der positiven Bör- Schwankungen. Nach einer massiven Zu- Partizipationsprodukte. André Buck, Head senentwicklung ab März 2009 vermochte nahme zwischen April und Juli kam es ab Sales SIX Swiss Exchange, äusserte sich die Anlageklasse in der Schweiz umsatz- August zu einem heftigen Rückgang. Trotz Mitte November folgendermassen: «Bei mässig nie mehr an die glorreichen Zeiten intensiver Recherchen konnte bislang kei- den Strukturierten Produkten sehen wir vor der Finanzkrise anzuknüpfen. Seit dem ne Erklärung für die Anomalie gefunden eine regere Handelstätigkeit. Die Anzahl Rekordstand im September 2007 von CHF werden. der Tickets bei den Hebelprodukten ist im 361.2 Mrd. verringerte sich das Depotver- Vergleich zum Vorjahr markant gestiegen. mögen stetig. Die Abschmelzung wurde «Für 2016 wird mit einer un- Die gehandelten Volumina sind jedoch zwischenzeitlich dank einer Änderung des veränderten oder sogar noch gefallen, da Anlageprodukte aufgrund der Behebungskreises gestoppt. So integrierte fortschreitenden Automatisierung und In- die SNB ab Dezember 2012 auch Institute besseren Geschäftsentwick- dividualisierung vermehrt ausserhalb der mit besonderem Geschäftskreis in ihre Be- lung gerechnet.» Börse aufgelegt werden.» Die wachsende rechnungen. Die vermeintliche Trendwen- Lust mancher Emittenten, auch bei den He- de blieb jedoch aus. Der darauf folgende SIX: Gelassenheit und klare Pläne belprodukten verstärkt in OTC-Plattformen vermeintliche Aufschwung war somit rein Die Derivatgeschäfte bei der Schweizer Bör- abzutauchen, sieht Vertriebschef Buck ge- technischer Natur. Dasselbe trifft wohl se entwickelten sich 2015 in Summe zufrie- lassen: «Bei den Hebelprodukten dürfen auch auf die Monate April bis Juli 2015 zu. denstellend. Bis Ende November belief sich wir uns nicht von den Umsatzzahlen täu- Auf Anfrage von payoff hiess es offiziell der bisherige Jahresumsatz auf CHF 25.5 schen lassen – die Anzahl Abschlüsse ist von der SNB: «Auf Basis des angewandten, Mrd. (Vorjahr: CHF 24.7 Mrd.). Zu diesem hier der bessere Indikator für die Aktivität bekannten Erhebungskonzeptes der Wert- Zeitpunkt waren an der Derivatbörse SIX der Anleger.» Bis Ende September konnte schriftenstatistik sollten diese Daten stim- Structured Products Exchange 36'190 Pro- die Börse bei den Hebelprodukten rund men.» Nach weiterem Nachhaken liess dukte kotiert. Dabei entfielen 67,7% der ge- 20% mehr Abschlüsse als in der Vorjahres- man uns plötzlich wissen: «Es laufen noch listeten Produkte auf Hebelprodukte, 23,2% periode zählen. «Hingegen nahm die Durch- weitere Abklärungen.» Gemäss den SNB- Zahlen sank das Depotvolumen seit Anfang Jahr bis Ende Oktober um 16,3%. BESTAND STRUKTURIERTE PRODUKTE IN KUNDENDEPOTS Beliebte Partizipationsprodukte Mrd. CHF % Gemessen am Bestand an Strukturierten 250 6 Produkten in Schweizer Wertschriftende- 5 200 pots waren Partizipationsprodukte die be- 4 vorzugte Kategorie. Ende Oktober 2015 be- 150 trug ihr Anteil 33,2%. Auf Rang zwei folgten 3 die Renditeoptimierungsprodukte mit
Load more

Recommended publications
  • The Forward Smile in Stochastic Local Volatility Models
    The forward smile in stochastic local volatility models Andrea Mazzon∗ Andrea Pascucciy Abstract We introduce an approximation of forward start options in a multi-factor local-stochastic volatility model. We derive explicit expansion formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets. The expansion involves only polynomials and can be computed without the need for numerical procedures or special functions. Recent results on the exploding behaviour of the forward smile in the Heston model are confirmed and generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some numerical tests. Keywords: forward implied volatility, cliquet option, local volatility, stochastic volatility, analytical ap- proximation Key messages • approximation for the forward implied volatility • local stochastic volatility models • explosion of the out-of-the-money forward smile 1 Introduction In an arbitrage-free market, we consider the risk-neutral dynamics described by the d-dimensional Markov diffusion dXt = µ(t; Xt)dt + σ(t; Xt)dWt; (1.1) where W is a m-dimensional Brownian motion. The first component X1 represents the log-price of an asset, while the other components of X represent a number of things, e.g., stochastic volatilities, economic indicators or functions of these quantities. We are interested in the forward start payoff + X1 −X1 k e t+τ t − e (1.2) ∗Gran Sasso Science Institute, viale Francesco Crispi 7, 67100 L'Aquila, Italy ([email protected]) yDipartimento di Matematica, Universit`a di Bologna, Piazza di Porta S.
    [Show full text]
  • New Frontiers in Practical Risk Management
    New Frontiers in Practical Risk Management English edition Issue n.6-S pring 2015 Iason ltd. and Energisk.org are the editors of Argo newsletter. Iason is the publisher. No one is al- lowed to reproduce or transmit any part of this document in any form or by any means, electronic or mechanical, including photocopying and recording, for any purpose without the express written permission of Iason ltd. Neither editor is responsible for any consequence directly or indirectly stem- ming from the use of any kind of adoption of the methods, models, and ideas appearing in the con- tributions contained in Argo newsletter, nor they assume any responsibility related to the appropri- ateness and/or truth of numbers, figures, and statements expressed by authors of those contributions. New Frontiers in Practical Risk Management Year 2 - Issue Number 6 - Spring 2015 Published in June 2015 First published in October 2013 Last published issues are available online: www.iasonltd.com www.energisk.org Spring 2015 NEW FRONTIERS IN PRACTICAL RISK MANAGEMENT Editors: Antonio CASTAGNA (Co-founder of Iason ltd and CEO of Iason Italia srl) Andrea RONCORONI (ESSEC Business School, Paris) Executive Editor: Luca OLIVO (Iason ltd) Scientific Editorial Board: Fred Espen BENTH (University of Oslo) Alvaro CARTEA (University College London) Antonio CASTAGNA (Co-founder of Iason ltd and CEO of Iason Italia srl) Mark CUMMINS (Dublin City University Business School) Gianluca FUSAI (Cass Business School, London) Sebastian JAIMUNGAL (University of Toronto) Fabio MERCURIO (Bloomberg LP) Andrea RONCORONI (ESSEC Business School, Paris) Rafal WERON (Wroclaw University of Technology) Iason ltd Registered Address: 6 O’Curry Street Limerick 4 Ireland Italian Address: Piazza 4 Novembre, 6 20124 Milano Italy Contact Information: [email protected] www.iasonltd.com Energisk.org Contact Information: [email protected] www.energisk.org Iason ltd and Energisk.org are registered trademark.
    [Show full text]
  • Regulatory Circular RG16-044
    Regulatory Circular RG16-044 Date: February 29, 2016 To: Trading Permit Holders From: Regulatory Division RE: Product Description and Margin and Net Capital Requirements - Asian Style Settlement FLEX Broad-Based Index Options - Cliquet Style Settlement FLEX Broad-Based Index Options KEY POINTS On March 21, 2016, Chicago Board Options Exchange, Incorporated (“CBOE” or “Exchange”) plans to commence trading Asian style settlement and Cliquet style settlement FLEX Broad-Based Index Options (“Asian options” and “Cliquet options,” respectively).1 Asian and Cliquet options are permitted only for broad-based indexes on which options are eligible for trading on CBOE. Asian and Cliquet options may not be exercised prior to the expiration date and must have a $100 multiplier. Asian style settlement is a settlement style that may be designated for FLEX Broad-Based Index options and results in the contract settling to an exercise settlement value that is based on an arithmetic average of the specified closing prices of an underlying broad-based index taken on 12 predetermined monthly observation dates. Cliquet style settlement is a settlement style that may be designated for FLEX Broad-Based Index options and results in the contract settling to an exercise settlement value that is equal to the greater of $0 or the sum of capped monthly returns (i.e., percent changes in the closing value of the underlying broad-based index from one month to the next month) applied over 12 predetermined monthly observation dates. The monthly observation date is set by the parties to a transaction. It is the date each month on which the value of the underlying broad-based index is observed for the purpose of calculating the exercise settlement value.
    [Show full text]
  • Calibration Risk for Exotic Options
    Forschungsgemeinschaft through through Forschungsgemeinschaft SFB 649DiscussionPaper2006-001 * CASE - Center for Applied Statistics and Economics, Statisticsand Center forApplied - * CASE Calibration Riskfor This research was supported by the Deutsche the Deutsche by was supported This research Wolfgang K.Härdle** Humboldt-Universität zuBerlin,Germany SFB 649, Humboldt-Universität zu Berlin zu SFB 649,Humboldt-Universität Exotic Options Spandauer Straße 1,D-10178 Berlin Spandauer http://sfb649.wiwi.hu-berlin.de http://sfb649.wiwi.hu-berlin.de Kai Detlefsen* ISSN 1860-5664 the SFB 649 "Economic Risk". "Economic the SFB649 SFB 6 4 9 E C O N O M I C R I S K B E R L I N Calibration Risk for Exotic Options K. Detlefsen and W. K. H¨ardle CASE - Center for Applied Statistics and Economics Humboldt-Universit¨atzu Berlin Wirtschaftswissenschaftliche Fakult¨at Spandauer Strasse 1, 10178 Berlin, Germany Abstract Option pricing models are calibrated to market data of plain vanil- las by minimization of an error functional. From the economic view- point, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different sets of calibrated model parameters and the resulting prices of exotic options vary significantly. These price differences often exceed the usual profit margin of exotic options. We provide evidence for this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the Heston and in the Bates model factors influencing these price differences of exotic options and finally recommend an error func- tional.
    [Show full text]
  • Model Risk in the Pricing of Exotic Options
    Model Risk in the Pricing of Exotic Options Jacinto Marabel Romo∗ José Luis Crespo Espert† [email protected] [email protected] Abstract The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Vari- ance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework. Keywords: Model risk, exotic options, local volatility, stochastic volatil- ity, Variance Gamma process, path dependence. JEL: G12, G13. ∗BBVA and University Institute for Economic and Social Analysis, University of Alcalá (UAH). Mailing address: Vía de los Poblados s/n, 28033, Madrid, Spain. The content of this paper represents the author’s personal opinion and does not reflect the views of BBVA. †University of Alcalá (UAH) and University Institute for Economic and Social Analysis. Mail- ing address: Plaza de la Victoria, 2, 28802, Alcalá de Henares, Madrid, Spain. 1 Introduction In recent years there has been a remarkable growth of structured products with embedded exotic options. In this sense, the European Commission1 stated that the use of derivatives has grown exponentially over the last decade, with over-the- counter transactions being the main contributor to this growth. At the end of December 2009, the size of the over-the-counter derivatives market by notional value equaled approximately $615 trillion, a 12% increase with respect to the end of 2008.
    [Show full text]
  • A Few Insights Into Cliquet Options Tristan Guillaume
    A few insights into cliquet options Tristan Guillaume To cite this version: Tristan Guillaume. A few insights into cliquet options. International Journal of Business, 2012, 17 (2), pp.163-180. hal-00924287 HAL Id: hal-00924287 https://hal.archives-ouvertes.fr/hal-00924287 Submitted on 6 Jan 2014 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. A Few Insights Into Cliquet Options (published in International Journal of Business, 2012, vol. 17, n°. 2) Tristan Guillaume Université de Cergy-Pontoise, Laboratoire Thema, 33 boulevard du port, 95011 Cergy-Pontoise Cedex, France Tel. : + 33 6 12 22 45 88 Fax:+33134256233 [email protected] Abstract This paper deals with a subset of lookback options known as cliquet options. The latter lock in the best underlying asset price over a number of prespecified dates during the option life. The specific uses of these contracts are analyzed, as well as two different hedging techniques. Closed form valuation formulae are provided under standard assumptions. They are easy to implement, very efficient and accurate compared to Monte Carlo simulation approximations. Keywords Cliquet option - Lookback option - Option valuation - Option hedging - Numerical dimension 1 1 Introduction The term « cliquet option » is ambiguous.
    [Show full text]
  • Options Valuation. Ilya, Gikhman
    Munich Personal RePEc Archive Options valuation. ilya, gikhman 2005 Online at https://mpra.ub.uni-muenchen.de/1452/ MPRA Paper No. 1452, posted 14 Jan 2007 UTC Options valuation. Gikhman Ilya 6077 Ivy Woods Court Mason, OH 45040 ph: (513) 573 - 9348 e-mail: [email protected] Abstract. This paper deals with the option-pricing problem. In the first part of the paper we study in details the discrete setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the old and the new approaches. The main qualitative distinction of the new pricing approach from either binomial or Black Scholes’s is that it represents the option price as a stochastic process. This stochastic interpretation can not give straightforward advantage for an investor due to stochastic setting of the pricing problem. The new approach explicitly states that the options price is more risky than represented by binomial scheme or Black Scholes theory. To highlight the difference between stochastic and deterministic option price definitions note that if a deterministic value is interpreted as a perfect or fair price we can comment that the stochastic interpretation provides this number or any other with the probability that real world option value at maturity will be bellow chosen number. This probability is a pricing risk of the option. Thus with an investor’s motivation of the option pricing the stochastic approach gives information about the risk taking. The investor analyzing option price and corresponding risk makes a decision to purchase the option or not. Continuous setting will be considered in the second part of the paper following [1].
    [Show full text]
  • Analytical Finance Volume I
    The Mathematics of Equity Derivatives, Markets, Risk and Valuation ANALYTICAL FINANCE VOLUME I JAN R. M. RÖMAN Analytical Finance: Volume I Jan R. M. Röman Analytical Finance: Volume I The Mathematics of Equity Derivatives, Markets, Risk and Valuation Jan R. M. Röman Västerås, Sweden ISBN 978-3-319-34026-5 ISBN 978-3-319-34027-2 (eBook) DOI 10.1007/978-3-319-34027-2 Library of Congress Control Number: 2016956452 © The Editor(s) (if applicable) and The Author(s) 2017 This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Cover image © David Tipling Photo Library / Alamy Printed on acid-free paper This Palgrave Macmillan imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland To my soulmate, supporter and love – Jing Fang Preface This book is based upon lecture notes, used and developed for the course Analytical Finance I at Mälardalen University in Sweden.
    [Show full text]
  • Consolidated Policy on Valuation Adjustments Global Capital Markets
    Global Consolidated Policy on Valuation Adjustments Consolidated Policy on Valuation Adjustments Global Capital Markets September 2008 Version Number 2.35 Dilan Abeyratne, Emilie Pons, William Lee, Scott Goswami, Jerry Shi Author(s) Release Date September lOth 2008 Page 1 of98 CONFIDENTIAL TREATMENT REQUESTED BY BARCLAYS LBEX-BARFID 0011765 Global Consolidated Policy on Valuation Adjustments Version Control ............................................................................................................................. 9 4.10.4 Updated Bid-Offer Delta: ABS Credit SpreadDelta................................................................ lO Commodities for YH. Bid offer delta and vega .................................................................................. 10 Updated Muni section ........................................................................................................................... 10 Updated Section 13 ............................................................................................................................... 10 Deleted Section 20 ................................................................................................................................ 10 Added EMG Bid offer and updated London rates for all traded migrated out oflens ....................... 10 Europe Rates update ............................................................................................................................. 10 Europe Rates update continue .............................................................................................................
    [Show full text]
  • Calibration Design of Implied Volatility Surfaces
    Journal of Data Science 6(2008), 303-312 Calibration Design of Implied Volatility Surfaces K. Detlefsen and W. K. HÄardle Humboldt UniversitÄatzu Berlin Abstract: The calibration of option pricing models leads to the minimization of an error functional. We show that its usual speci¯cation as a root mean squared error implies prices of exotic options that can change abruptly when plain vanilla options expire. We propose a simple and natural method to overcome these problems, illustrate drawbacks of the usual approach and show advantages of our method. To this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options. Key words: Calibration, data design, implied volatility surface, Heston model, cliquet option. 1. Introduction A stable calibration of option pricing models is of paramount importance for investment banks because the prices of exotic options are determined by estimated models. The parametric models are normally calibrated to the liquid market of plain vanilla options which can be represented directly by prices or implied volatilities. (The implied volatility corresponding to a price can be obtained by numerically inverting the formula of Black and Scholes (1973)). These prices or volatilities are observed only for certain strikes and maturities. Instead of being uniformly distributed in the strike-maturity region these input option data have a special design. This special data design should be taken into account in the calibration routine in order to avoid that prices of exotic options exhibit jumps because of the design of the input data used for the calibration. We consider in Section 2 the special design of implied volatility surfaces.
    [Show full text]
  • Structured É Products for Retail & Private Banking Global Overview: 2004 and Beyond
    Structured é Products for Retail & Private Banking Global Overview: 2004 and beyond Slower equity markets and a challenging structuring environment for capital protected products resulted in changes in the structured products markets in 2004: é Structures putting capital at risk made a comeback in many European retail networks and private banks worldwide, é Investor appetite for other asset classes like commodities, real estate or hedge funds boosted the development of hybrid products, é Innovation was mostly seen in underlyings, nonetheless coupon-paying and auto- callable pay-offs developed significantly. Judging by recent market trends, we can expect to see three major developments in the future: é Greater search for yield across asset classes, é Structured products for more and more specific needs, é Partnerships between distributors and product manufacturers for large product issues. Contents SRPs: Overview & Europe Innovations in 2004 l Belgium 4 l Luxembourg 5 General Overview l France 6 Volumes l Netherlands 8 In 2004, savings invested in European structured products l Scandinavia 9 amounted to about the same as in 2003. If we include the 6 main European markets (Belgium, France, Germany, Italy, Spain l Germany 10 and the UK), issuance came out slightly above e80bn in 2004. l Austria 11 l Central & Eastern Europe 12 Total Issuance in billion Euros 25 2003 2004 l Ireland 13 20 l United Kingdom 14 15 l Italy 16 10 l Spain 17 l Portugal 18 5 l Greece 19 0 l s y y a a e n d K l i i a m i d c n r n v a U a g u n t n a t a i a p s l I u a a g l t n m r e S u l Switzerland 20 l i r r r r F e I A e d o e B h n P G t a e c S North America 21 N Source: BNP Paribas Asia The situation is different in Asia, with significant issuance increases seen in several countries: +30% in Hong Kong, +250% l Asia ex-Japan 23 in Taiwan, etc.
    [Show full text]
  • 34-79976; File No
    SECURITIES AND EXCHANGE COMMISSION (Release No. 34-79976; File No. SR-NYSEArca-2017-02) February 6, 2017 Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change to Amend Certain Rules Related to Flexible Exchange Options Pursuant to Section 19(b)(1)1 of the Securities Exchange Act of 1934 (“Act”)2 and Rule 19b-4 thereunder,3 notice is hereby given that on January 25, 2017, NYSE Arca, Inc. (“NYSE Arca” or the “Exchange”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I and II below, which Items have been prepared by the Exchange. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to amend certain rules related to Flexible Exchange (“FLEX”) Options. The proposed rule change is available on the Exchange’s website at www.nyse.com, at the principal office of the Exchange, and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the self-regulatory organization included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in sections A, B, and C below, of the most significant parts of such statements.
    [Show full text]