How to build required risk-return profile using available financial instruments? Introduction to the research topic: Plastinina Daria, MiFIT. - презентация

1 How to build required risk-return profile using available financial instruments? Introduction to the research topic: Plastinina Daria, MiFIT

2 SEC Rule 434[2] defines structured products as: securities whose cash flow characteristics depend upon one or more indices or that have embedded forwards or options or securities where an investor's investment return and the issuer's payment obligations are contingent on, or highly sensitive to, changes in the value of underlying assets, indices, interest rates or cash flows."

3 Combinations of derivatives and financial instruments create structures that have significant risk/return and/or cost savings profiles that may not be otherwise achievable in the marketplace. Structured products are designed to provide investors with highly targeted investments tied to their specific risk profiles, return requirements and market expectations. These products are created through the process of financial engineering, i.e., by combining underlyings like shares, bonds, indices or commodities with derivatives. The value of derivative securities, such as options, forwards and swaps is determined by the prices of the underlying securities.

4 Underlying (Deposit, bond, etc.) Derivatives Variable flow Permanent flow Cash flow characteristics of structured product Leftover funds

5 Benefits of structured products may include: principal protection; tax-efficient access to fully taxable investments; enhanced returns within an investment; reduced volatility (or risk) within an investment; the ability to earn a positive return in low yield or flat equity market environments. Disadvantages of structured products may include: credit risk - structured products are unsecured debt from investment companies; lack of liquidity; no daily pricing; highly complex.

6 Structured products can be presented to investors in form of: 1)Agreement (loan, REPO, trust management, forwards) 2)Security (bonds with floating interest rate, as Troika Index Bond) 3)Investment fund (Ex, Troika Dialog – Dobrynya Nikitich, hedge funds) 4)Bank deposit (Ex., range of deposits in Kit Finance. Insured in Deposit Insurance Agency) 5)Insurance annuity (Annuity linked to the stock market) 6)Pension annuity (Annuity linked to the stock market)

7 Types of structured products: Capital protection level: 1)Principal protected SP; 2)Partially principal protected SP; 3)Without protection of principal; 4)Principal protected with guaranteed minimum fixed income; Duration of the product: 1)Fixed; 2)Conditional. Beneficial market trend: 1)Bull market; 2)Bear market; 3)Flat market.

8 Russian market statistics: short summary Form of structured products

9 Russian market statistics: short summary Capital protection

10 Russian market statistics: short summary Underlyings

11 Trust managers and investment funds in Russia need to hedge positions, while short sales are forbidden. Russian trust managers are not able to compete with foreign funds, as list of allowed assets doesnt include gold, oil, wheat and other popular instruments. Only options on futures available Low liquidity of the derivatives market High risks of derivatives market (individual investor can easily loss all the money invested) Why the theme is important?

12 Parameters Date of construction14/03/2011 Duration90 days Principal protection level80% (yearly) UnderlyingOrdinary stocks, GAZPROM Value of underlying on the start date215,15 RUR Fixed-income return rate10% (yearly) Volatility of underlying28% Option strategyBear spread Max return71% (yearly) Example of equity-linked note

13 Return profile of Structured product

14 Examples of equity – linked notes profiles High expected return on underlying Moderate expected return on underlying High expected loss on underlying Moderate expected loss on underlying

15 Research question: Define the general method to build required risk-return profile with use of available financial instruments at minimal costs for the company? 1)To build the function of costs for the company 2)To build the risk-return profiles of available structured products 3)To build isocosts (if possible) Payment Values of underlying risk for the company

16 Technical analysis Ordinary stocks, GAZPROM Market is overbought

17 Элементы денежного потока ОблигацияСтруктурный продукт Доход от продажи облигации, НКД полученный ++ Положительная вариационная маржа + Расход при покупке облигации, НКД уплаченный -- Отрицательная вариационная маржа - Биржевой сбор при заключении контракта -- Комиссия брокера -- Комиссия депозитария (НРД) -- Комиссия депозитария брокера -- Налог на прибыль или НДФЛ -- Пример. ЭЛЕМЕНТЫ ДЕНЕЖНОГО ПОТОКА ПО СТРУКТУРОМУ ПРОДУКТУ

18 МИРОВОЙ РЫНОК СТРУКТУРНЫХ ПРОДУКТОВ

19 ДИНАМИКА ИЗМЕНЕНИЯ ДОЛИ СП В ОБЩЕМ ОБЪЕМЕ ИНВЕСТИЦИЙ

20 ДИНАМИКА ИЗМЕНЕНИЯ ПРЕДПОЧТЕНИЙ ИНВЕСТОРОВ В ОТНОШЕНИЕ ТИПА СП

21 Возможность создания синтетической короткой позиции Расширение состава инструментов инвестирования Обеспечение независимости результата инвестирования от ликвидности на рынке Создание требуемого профиля риск-доходность ТРЕБОВАНИЯ К ПРОДУКТУ

22 ТЕНДЕНЦИИ РАЗВИТИЯ РОССИЙСКОГО РЫНКА СТРУКТУРНЫХ ПРОДУКТОВ реализации Стратегии развития финансового рынка до 2020 (рост числа розничных инвесторов, развитие срочного рынка) появление фондов акций, инвестирующих в производные финансовые инструменты (ОПИФА «Тройка Диалог – Добрыня Никитич») появление новых форм структурных продуктов – облигаций с плавающим купоном (Troika Index Bond) увеличение притока средств в фонды

23 Компания Целевая группа инвесторов Тип продукта Минимальная сумма инвестиций Юридическая форма 1 Компания БКС Частные СП с защитой капитала рублей Брокерский договор 2 ИК ФИНАМ Частные СП с защитой капитала 3 млн. рублейДоговор ДУ 3 УК МДМ Частные СП с защитой капитала 1,5 млн. рублей Договор ДУ 4 Банк ЮниКредит Институциона льные Himalaya 25 млн. рублей Договор покупки 5 ИК ВИТУС Частные СП с защитой капитала рублей Форвардный договор СТРУКТУРНЫЕ ПРОДУКТЫ В ПЕРМСКОМ КРАЕ