| Summary: | 碩士 === 義守大學 === 管理研究所碩士班 === 93 === Along with a series of activities that regarded with financial innovation. In order to agree to the investors’ needs which want to creat revenue, drop off investment costs、evade government tax and control…and so on. Change traditional commodities, such as savings、fix income commodities、stocks… into new financial commodities. Structured-note is the one of the innovational commodities that investors have high interest.
Structured-notes are the portfolio of zero coupon bonds and derivatives. The profit of Structured-notes are decided by derivatives. Derivatives could be interest rate、equities、currency、credit and commodities. As the issueed experience on abroad, rate-linked commodities are the most popular, but the literatures are little than others on domestic. So, in this paper, I had researched floating rate notes(FRNs)、reverse floating rate notes(reverse FRNs) and range accrual notes. The pricing model takes into account Black-Derman-Toy model(BDT), and accordance the agreement to compare with each other.
When the interest rates rise, to invest FRNs will be fine. If interest rates are up, the investors can get revenue more and more. When the interest rates are fall,
to invest reverse FRNS will be fine. If interest rates are lower and lower, then the investors can get revenue more and more. The range accrual notes always define the underlying rate must in the strike rate , it will nonpayment when underlying rate over the range of strike rate. When the variance of interest rates are limited, to invest range accrual notes will be fine.
In the paper, I had collected 5 rate-linked notes and then assessed the value of the notes. The result implied revers FRNs are the best currently, the premium is better than others. The pricing of FRNs and range accrual notes are unreasonable. In the future, the interest rates will be up. FRNs will appear in the market more and more.
Investors must choice the rate-linked notes very carefully.
Even if the rate-linked notes advertised that they had good profit、 principal guarantee、 low risk, so, investors had highly interested in rate-linked notes . Once the new commodities issued in the market, they were in great demand. But, the investors still have better considerate the feasible compensation and risk particularly, lest the investments are inefficiency. Not only can’t get good profit, but also the principal are at a loss because the inflation.
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