最近のエクイティデリバティブと不動産デリバティブ

長いタイトルになってしまいました。エクイティデリバティブは「エクデリ」と略されることが多いと思います(株デリバって言う人もいるかもしれません)が、不動産デリバティブは何て略すんでしょうか?不デリ?不動産デリバ?それとも英語にして、プロデリ(Property Derivatives)?
それはさておき、久しぶりにエクデリがタイトルに含まれているニュースがファイナンシャルタイムズに載っていたので、ちょっと触れておきます。
次の記事は、洗練された投資家達はエクイティデリバティブを活用して、相場の方向性にベットするのではなく、相対パフォーマンスにベットしている、というお話です。直近ではラージキャップが、スモールもしくはミディアムキャップをアウトパフォームしていたそうで、エクデリを活用して収益を上げていたようです。
具体的にはどんなオプションを活用していたんでしょうね?スプレッドオプションとか、エクスチェンジオプションあたりを使っていたのでしょうか。まあ相対パフォーマンスにベットする形のデリバティブであれば何でもよいとは思うのですが。

Equity derivative trades on rise
By David Oakley
Published: December 11 2007 02:00 | Last updated: December 11 2007 02:00
Investors are increasingly using sophisticated equity derivative trades to bet on the stronger performance of large multinationals against their smaller rivals in the wake of the credit squeeze.
Large companies have outperformed small- and medium-sized companies on the equity markets since August as they are seen as a safer investment in times of uncertainty because of their stronger cash flows, solid growth and brand recognition.
For example, in the UK the FTSE 100 has outperformed its midcap sister the FTSE 250 by about 10 per cent since the start of August. The FTSE 100 has traded up by 3.1 per cent since then compared with the FTSE 250, which has fallen by 6.3 per cent.
By using equity derivatives options, investors can take a view on where an index will be in, say, six months’ time, potentially allowing them to profit in the event of bigger-cap indices outperforming the smal-ler exchanges.
David Moroney, head of equity derivatives structured assets at Barclays Capital, said: “Investors are realising they can make money from betting on the comparison of performance between different markets, rather than taking a directional trade.
“This sophistication of investors has helped the equity derivatives market grow dramatically. We are seeing many investors using these relative value trades in the US and Europe,” he added.
“Asian investors are also using them as their economies grow and they become more sophisticated.”
Mr Moroney said bigger companies started to outperform around March and April as investors became increasingly nervous about the problems in the US housing market. This trend increased in July and Aug-ust as the crisis deepened.
Shaun Wainstein, head of equities and derivatives for BNP Paribas in London, added: “We have developed equity derivatives products based on the idea that large companies will outperform smaller companies.
“In fact, we created a very successful product for Italian retail investors that gave the retail clients a simple way to invest in this strategy. Logically, the credit crisis does help this trade. On average, larger companies will outperform smaller ones in times of uncertainty.”
Nino Kjellman, head of equity derivatives trading at Deutsche Bank, agreed that this had been a popular trade in recent months.
According to Barclays Capital, globally big companies listed on the main exchanges have outperformed small- and medium-sized companies on the junior exchanges by 6.5 per cent this year.
Copyright The Financial Times Limited 2007

もとの記事はこちらから。
http://www.ft.com/cms/s/0/7d8fbc2c-a789-11dc-a25a-0000779fd2ac.html
次は不動産デリバティブです。こちらは(現物)不動産市場の下落を織り込んで、フォワード価格が下落しているそうです。特にUKの商業用不動産インデックスでの下落が顕著だとか。今年に入って日本では、首都圏の商業用不動産を中心にバブルになっているという話もちらほらありましたが、不動産価格の変動は商業用不動産から始まり、徐々に住宅用などに波及していくものなのでしょうか。
昨年から今年にかけて取引量が大幅に拡大していた不動産デリバティブ市場ですが、売り手ばかりで、需給が合わず流動性の低下懸念があるようです。相対取引中心だと、流動性が低下するときは取引所取引と比べると一気に低下してしまうと思うので、市場が収縮しなければよいと思うのですが、今後どうなるのでしょうか。

Property derivatives prices tumble
By David Oakley and Jim Pickard
Published: December 7 2007 02:54 | Last updated: December 7 2007 02:54
Property derivatives prices have fallen sharply in the past few months as confidence in the underlying market wanes.
The most dramatic turnround has been in UK commercial property derivatives, in which one-year forward prices have fallen to all-time lows. US commercial property derivatives have also fallen sharply as the underlying market weakens.
Rob Atkin, head of property derivatives at Tullett Prebon in London, said: “We are now at very low levels. The same can also be said in the residential property derivatives market.”
Phil Barker, senior vice-president of property derivatives at CBRE-GFI in New York, said: “Property derivatives swap prices have fallen in the US, but volumes trading are still healthy.”
Property derivatives – mainly swaps between total property returns and interest rates based on Libor – have seen a big jump in volumes this year.
In the UK, one-year forward prices are predicting an 8 per cent fall in total commercial property returns over the next 12 months, compared with predictions in March that the market would rise 6 per cent in the following year.
In the US, one-year forward prices are predicting a rise of 3 per cent in total commercial property returns compared with a rise of 9 per cent in July.
Property derivatives prices have also weakened in other markets, such as Germany, France and Hong Kong, which have seen their first trades this year.
Liquidity is fairly healthy in the UK, the world’s biggest market, according to brokers, helped to an extent by falling prices as participants can be found to bet on both sides of the trade.
With some property experts predicting the UK commercial market might fall as much as 15 per cent before stability is reached again, liquidity could suffer because participants want only to sell.
In the US, the market is in better shape, although liquidity could suffer if the underlying commercial property market, which has slowed from the peaks of last year, weakens further.
The growth of residential property derivatives has helped US volumes, in spite of the instability of the underlying housing market.
Mr Barker said: “We are predicting that the total notional value of the US commercial and residential derivatives market will exceed $1bn by the end of the 2007 compared with $50m at the start of the year.”
The UK residential property derivatives market, which is much smaller than the commercial sector, has also seen healthy volumes this year. It is predicting big falls in average house prices from £194,000 today to £184,000 this time next year – a 7 per cent fall.
The UK, which has more than £10bn of outstanding contracts in commercial property derivatives and about £4bn in residential property derivatives, is the biggest market in the world because of the quality of the statistics used for trading.
Copyright The Financial Times Limited 2007

http://www.ft.com/cms/s/0/4a14bdd2-a42f-11dc-a28d-0000779fd2ac.html
ひとりごとでした。

2 件のコメント

  1. 投資一族の長 返信

    具体的には書かれてないけど、デリバティブて言っても、フォワード止まりなんだろうな。Gammaが無いとデリバティブではない気がするが、一般にはそういうデリバティブの方が多いのだろうねぇ。そもそもコンプリートマーケットじゃありませんとか言われそうだが…。

  2. yokoken 返信

    フォワードというか、基本的にはトータルリターンスワップの形になっているようです(もちろんスワップはフォワードの集合なので、本質的にはフォワードですが)。いずれにしろ、投資一族の長さんが大好きなガンマはありませんね。
    インデックスの先物とかが充実してきて、流動性が出てくれば、そのうちオプションとかも取引されるようになるかもしれませんね。
    でも、そもそもの原資産となるインデックスが3ヶ月に1回公表されるのみという実状を考えると、金利やエクイティのようなデリバティブ市場に発展する可能性は低いんでしょうね。

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