内嵌障碍期权类收益凭证的定价与期望收益率分析 ──以招商证券搏金系列某产品为例 摘要 2018年资管新规的落地，打破了银行理财产品的刚性兑付。这也使得以证券公 司信用做支撑，仍然可以保障本金的收益凭证开始走红。但其实在此之前，收益凭证 业务已经得到了快速发展。这背后跟证券公司加强业务创新，转型财富管理密不可分。 一方面，对于股权质押、融资融券等这类主要吃利差的业务，资金非常重要。收益凭 证作为证券公司融资的有力工具，可以为这类创新业务提供资金保障。另一方面，证 券公司近年来一直在推动财富管理转型。面对国内投资者日益增长的个性化投资需 求，产品的多样性和创新性是证券公司能否转型成功的重要因素。收益凭证作为创新 性的产品，发行灵活，构造多变，精确照顾到投资者个性化理财需求的同时，实现了 资产沉淀、防止了客户流失。 收益凭证虽然发展迅速，但毕竟从出生到现在才只有5年。目前国内文献对其研 究较少，对结构类似的银行结构化理财研究则较多。但由于国内大多数银行自身在衍 生品研究方面能力较弱，需要将期权的构建和风险管理外包给证券公司。与此相对应 的是，证券公司从产品设计到风险对冲可以在内部形成闭环，因此对收益凭证的定价 研究可以更好地反应国内金融机构定价能力的真实情况。另外，随着产品结构的复杂 化，投资者容易被产品的高端收益所诱惑从而盲目购买产品，但实际收益却远不及预 期。因此，对于主流收益凭证预期收益的研究很有必要。 本文采用了理论研究和实证分析相结合的研究方法。理论研究方面，主要介绍了 固定收益证券和期权的定价理论，并就不同理论适应的产品类型做了分析。实证分析 方面，本文选择了招商证券博金系列一款收益凭证作为研究对象。这主要是因为招商 证券的衍生品团队专业能力突出、收益凭证发行经验丰富，其产品的定价能力具有一 定代表性。 具体到产品分析环节，本文首先介绍了产品的发行背景：当时中证500指数处于 连续单边下跌后的第一波反弹过程中，政策面偏暖但投资者信心未恢复，因此投资者 对未来走向争议较大。此时招商证券发行的这款产品采用的双边鲨鱼鳍期权结构符合 了市场投资者的需求，同时非对称的设计也表明发行人加入了自身对于市场走向的研 究判断。然后，本人根据产品的收益函数将该产品拆分成为固定收益债券、双边敲出 看涨期权和双边敲出看跌期权三个部分。考虑到产品设计为标的物只在特定时刻的价 格触及障碍价格才发生敲出，此类型难以获得解析解，因此本文采用了适用范围更广 的蒙特卡罗模拟法进行定价分析，结果发现产品的溢价率很低，定价基本合理。这体 摘要 现出了作为一线券商的专业能力。接着针对无风险利率、波动率和障碍区间等参数进 行了敏感性分析，为证券公司的产品构建和对冲操作提供参考。最后，本文通过对产 品收益率的概率分布研究，发现产品实现高收益的可能性很小。另外，为了验证该类 型产品是否适合国内的证券市场，本文对产品的收益进行了回溯测算。假设从2005 年3月31日开始，每半年发行一次，结果发现投资者拿到最低收益的次数占到了近 一半，拿到高端收益的占比为14.8%且平均年化收益只有2.4%。本文认为这主要是 与国内指数的波动率高有关。 文章的最后，从收益凭证市场发展的角度建议管理层丰富场内期权的种类，既方 便产品监管，又利于发行方进行准确定价和风险管理；建议发行方在追求产品创新的 同时提升产品胜率。另外，本文在产品定价、收益概率分布和回溯测算的分析可以帮 助投资者了解购买成本，并结合自身的风险承受能力和预期收益率水平投资恰当的产 品。 关键词： 收益凭证， 结构化理财， 蒙特卡罗模拟， BS模型， 双边敲出 ABSTRACT Analysis of Pricing and Expected Rate of Return of income certificates with Embedded Barrier options ——Take a product of Bojin series of China Merchants Securities as an example ABSTRACT The landing of the new regulations in 2018 has broken the rigid payment of bank financial products. This also makes securities’ income certificates who make the securities companies as credit support, become popular with the protection of the principal. But in fact, before that, the securities’ income certificates have developed a lot. This is closely related to the securities companies’ strengthening business innovation and wealth management transformation. On the one hand, capital is very important for such business as equity pledge, margin trading and so on. As a powerful tool for security companies to finance, securities’ income certificates can provide financial guarantee for such innovative business. On the other hand, securities companies have been promoting the transformation of wealth management in recent years. Faced with the growing demand for individualized investment by domestic investors, product diversity and innovation are important factors for the success of securities companies' transformation. As an innovative product, securities’ income certificates are flexible in issuance, changeable in structure, and they precisely take into account the individual financial needs of investors. At the same time, they realize asset precipitation and prevent customer loss. Although securities’ income certificates have developed rapidly, they are only five years old. At present, there are few studies on them in domestic literature, but more studies on bank structured financial products. However, due to the weak ability of most domestic banks in derivatives research, they need to outsource option construction and risk management to securities companies. Correspondingly, from product design to risk hedging, securities companies can form closed-loop internally, so the pricing research on securities’ income certificates can better reflect the real situation of pricing ability of domestic financial institutions. In addition, with the complexity of product structure, investors are easily tempted by the high returns of productsto buy products blindly, but the actual earnings are far less than expected. Therefore, it is necessary to study the expected returns of mainstream earnings vouchers. This paper adopts the research method of combining theoretical research with ABSTRACT empirical analysis. In terms of theoretical research, this paper mainly introduces the pricing theory of fixed income securities and options, and makes an analysis of the product types that different theories adapt to. In the aspect of empirical analysis, this paper chooses China Merchants Securities as the research object. This is mainly because China Merchants Securities derivatives team has outstanding professional ability, rich experience in issuing securities’ income certificates, and its pricing ability is representative. Specifically to product analysis, this paper first introduces the background of product issuance: when the CSE 500 index was in the first rebound process after a continuous unilateral decline, the policy was warmer, but investor confidence did not recover, so investors have more controversy about the future direction. At this time, the bilateral shark fin option structure adopted by China Merchants Securities issuance meets the needs of market investors, and the asymmetric design also shows that the issuer joins his own research and judgment on the market trend. Then, I divide the product into three parts: fixed income bond, bilateral call option and bilateral put option according to the return function of the product. Considering that product design as the subject matter only knocks out when the price touches the barrier price at a specific time, it is difficult to obtain an analytical solution for this type of product. Therefore, this paper uses Monte Carlo simulation method with a wider scope of application to price analysis, and finds that the premium rate of the product is very low, and the pricing is basically reasonable. This reflects the professional ability as a frontline securities dealer. Then the sensitivity analysis of risk-free interest rate, volatility and barrier interval is carried out to provide reference for product construction and hedging operation of securities companies. Finally, through the study of the probability distribution of product yield, it is found that the possibility of achieving high yield is very small. In addition, in order to verify whether this type of product is suitable for the domestic securities market, this paper retrospectively calculates the earnings of the product. Assuming that it is issued every six months since April 2005, it is found that investors get nearly half of the lowest returns, 11.1% of the high-end returns and only 4.66% of the average annual returns. This is mainly related to the high volatility of the