[轉錄][閒聊] Meng-Lan Yueh 英文教室

[sintree (那就這樣吧)]

※ [本文轉錄自 NCUFingrad03 看板]

作者: ctrlC (.....) 看板: NCUFingrad03
標題: [閒聊] Meng-Lan Yueh 英文教室
時間: Sat May 21 18:28:11 2005

http://yam.udn.com/yamnews/daily/2675968.shtml
結構型商品簡介(英漢對照)
岳夢蘭Meng-Lan Yueh  05/15 02:19

The market for structured notes has now become an integral component of the capital market for investment products
and financial derivatives. What are structured notes A structured note is aconventional fixed income security combined
with derivative elements. The incorporation of derivative contracts into a fixed income debt enables interest payment
and/or redemption amount at maturity of a debt to depend on the movement of the price of a specified asset.

The derivatives components being incorporated allow struc-tured notes to have exposures to different asset classes. As
a result, the coupon interest or redemption amount of a note can be linked to a commodity price, equity indices, exchange
rates, interest rates as well as credit risks.

The innovation process of structured notes is stimulated by the deregulation of the financial services industry,
globalization and increased competition within the investment banking in-dustry. As structured products can reallocate
some form of risk from note issuers or investors to other market participants who are willing to bear the risk, they are
highly demanded by those who want to customize their own risk-return profiles.

Through investing structured products, investors can create the specifically designed exposure to market price movements
as well as monetize their expectations regarding the evolution of market prices. For example, market participants often
have a view on interest rates. Interest rate-linked structured notes al-low the view to be tailored in some ways, such as
a specific interest rate staying within a particular range, or the difference between the short-term rate and long-term rate
changing in a specific way. Therefore structured notes investors can bet on the direction of interest rates, changes in the
shape of the yield curve or changes in interest rate volatilities. Investors can capture higher return from investing
structured notes as long as their expectations about future interest rates are realized. High-yield and principal-guaranteed
notes are the two types of structured notes available in the market. High-yield notes usually pay exceptionally high coupon
interests in comparison to conventional bonds. However, the face value of a high-yield structured note is not guaranteed to
be redeemed at the maturity of a note. Therefore, the investor is compensated for the risk of principal loss with high coupon
payments.

For example, a high-yield equity-linked note is redeemed at a price which depends on a stock index. The investor does not
profit from the in-crease in the value of the stock index. However, the investor has to bear a loss if the stock index drops.
This note pays high yields in or-der to compensate the risk that investors might suf-fer. This high-yield equity-linked note
is created by incor-porating a sale of a put option on the stock index into a conventional debt instrument.

Principal-guaran-teed notes have no or low coupon in-terests. However, they have a guaran-teed redemption amount equal to
a minimum guaranteed per-centage of the face value at maturity.

Principal-guaranteed notes allow investors to participate in the performance of an underlying asset through the inclusion
of a purchase of a call option in a conventional debt instru-ment.

The redemption amount thus is made up of a guaranteed percentage of the instrument's face value, and an extra return based
on the performance of an underlying asset between the issue and maturity dates.

As structured notes are made up of some basic building blocks, for valuation purpose, we usually decompose structured notes
into simpler building blocks. If we can replicate the payoffs of a structured note with basic building blocks, the value of
these building blocks should be equal to the value of the structured note according to the arbitrage-free pricing principle.
Therefore, determining the fair price of a structured note amounts to breaking down of the note into its integral components
which we already know how to compute their fair values. Sometimes, the derivatives component of a struc-tured note is designed
to have embedded exotic option fea-tures, which make the pricing and hedging of a structured note become more difficult. For
example, if a note is allowed to be redeemed at several given dates prior to maturity, the valuation of this Bermudan-style
option is not trivial at all given the path dependence feature. In this case, a complex valuation model with
computation-intensive implementation methods is needed to determine when is the best time to re-deem the note.

To sum up, structured notes provide tailor-made risk-return trade-offs previously unavailable to investors in the market.
Investors can capture higher returns through investing struc-tured notes only if their expectation regarding the evolution
of market prices is realized. From this perspective, investing struc-tured notes is just like gambling with a bet on the
view of the future movement of the specified asset price. Are you ready to be a gambler Are you ready to bet on your
expec-tation If you are, go to buy the structured notes then!

（Assistant Professor,Department of Finance, National Central University）

種類眾多的結構型債券已成為投資人在資本市場中另一項投資選擇。到底什麼是結構型票券？結構型票券（又稱為結構型商品）是由傳統的
固定收益債券結合不同的衍生性商品契約而成的一種新金融商品。

在結構型票券中，衍生性金融商品的設計，可使固定收益債券的票息收入或到期的本金和所選定的標的資產價格產生連結。結構型商品所連
結的標的資產範圍相當廣泛，舉凡商品價格、個股價格、股價指數、匯率、利率甚至於是信用風險，都可以當作結構型商品的連結標的。

結構型商品的創新主要是受到金融市場的自由化與國際化，以及銀行服務業間日益增加的競爭壓力等因素的刺激影響而加速。由於結構型票
券能有效地將票券發行人或票券持有人的風險重新分配移轉給市場上願意承擔此風險的投資人，提供投資人客製化（customized）的風險與
報酬組合，因此結構型票券受到許多投資人的青睞。

藉由投資結構型商品，投資人可將自己願意承擔的風險及對市場未來走勢的預測轉換成實質的投資報酬。例如，對未來利率走勢有某種看法
的投資人，可藉由購買利率連結型票券，將其對未來利率的預期客製成特殊型式的票券。例如，預期未來利率走勢將在某一區間徘徊的投資
人，可購買區間型債券（range accrual）；預期長短天期利率差有特定型式變化的投資人，則可購買利差連動型債券。

結構型商品通常可分為高收益型商品和保本型商品兩大類。雖然相對於傳統的固定收益票券，高收益型票券會給付較高的票息，但它並不能
保證在票券到期時能拿回100%的本金。因此高收益率的原因就是要彌補投資人有可能損失本金的風險。

高收益票券的高票息來源，通常是由投資人出售一個賣權給票券發行人所賺取的權益金收入所產生。保本型票券雖然保證在票券到期日時，
投資人能拿回某一保證比例的本金（如果此比例是100%，則稱為是百分之一百保本)，但在票券存續期間中，此票券只支付相當低的票息，
甚至不支付利息。保本型票券的發行人將應支付給投資人的利息拿去購買一個買權，使投資人可以參與該買權標的資產的增值。

要計算結構型商品的價格或分析其風險，首先我們會將結構型商品拆解成數個較基本的金融契約。由於結構型商品是由這些較基本的金融商
品所組成，則依據無風險套利的定價原則，結構型商品的理論價格會等於其組成成份的價值總和。有時由於衍生性商品包含許多新奇選擇權
的特性，因此在價格的決定上需輔以複雜的理論模型及大量繁複的數值計算。

總而言之，結構型商品提供了投資人客製化的風險與報酬型態，只要投資人對市場某一資產價格的預期在未來如期實現，則投資人便能賺取
較高的報酬。由此觀點來看，投資結構型商品正像是參加一場將賭注押於投資人對未來市場變數預測的賭局。你已經準備好押注於自己對未
來市場走勢的預期了嗎如果你準備好了，結構型商品便可成為你的投資工具。

（國立中央大學財務金融學系助理教授）

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