What's Fair About This Value? FX & Energy Derivative Valuations

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^dhzw Mhky Hiovz Zdkw ]hlvf? MT - Fcfyn{ Jfyk}hzk}f ]hlvhzkocw Bkgdhfl Goylf{ hcj Pdkl ^ffify ZFTPO Hpykl 7"6, 9088

Transcript of What's Fair About This Value? FX & Energy Derivative Valuations

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^dhz‛w Mhky Hiovz Zdkw ]hlvf?

MT - Fcfyn{ Jfyk}hzk}f ]hlvhzkocw

Bkgdhfl Goylf{ hcj Pdkl ^ffify

ZFTPO ‗ Hpykl 7"6, 9088

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9

^dhz kw h Mhky ]hlvf?

]hlvhzkoc ivkljkcn ilogew

]hlvhzkoc om h gvyyfcg{ moy~hyj

]hlvhzkoc om h fcfyn{ jfyk}hzk}fw

Gobboc }hlvhzkoc pkzmhllw

Wfwwkoc O}fy}kf~

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Vcjfywzhcjkcn Mhky ]hlvf

“Mhky }hlvf kw zdf pykgf zdhz ~ovlj if yfgfk}fj zo wfll hc hwwfz oy phkj zo zyhcwmfy hlkhiklkz{ kc hc oyjfyl{ zyhcwhgzkoc ifz~ffc bhyefz phyzkgkphczw hz zdfbfhwvyfbfcz jhzf#‒ $HWG 490/MHW 86>+

Ftkz pykgf $zyhcwmfy pykgf, COZ zfybkchzkoc pykgf+1 Zdf pykgf zdhz ~ovlj if phkj zozyhcwmfy h lkhiklkz{ zo hcozdfy phyz{ ~kzd wkbklhy gyfjkz ykwe ‗ zdf lkhiklkz{ kw hwwvbfj zo

goczkcvf $coz zo if wfzzlfj+

Bhyefz phyzkgkphczw1 Iv{fyw hcj wfllfyw zdhz hyf kcjfpfcjfcz, eco~lfjnfhilf, hilf, hcj~kllkcn

Zyhcwhgzkoc kw h d{pozdfzkghl zyhcwhgzkoc hz zdf bfhwvyfbfcz jhzf, gocwkjfyfj myob zdfpfywpfgzk}f om do~ h bhyefz phyzkgkphcz ~ovlj }hlvf zdf hwwfz oy zdf lkhiklkz{, gocwkjfyfjmyob zdf pfywpfgzk}f om h bhyefz phyzkgkphcz zdhz doljw zdf hwwfz oy o~fw zdf lkhiklkz{

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Vcjfywzhcjkcn Mhky ]hlvf $gocz#+

Wkbklhy Gyfjkz Ykwe1 Co wpfgkmkg bfzdojolon{ kw pyfwgykifj kc zdf hggovczkcn lkzfyhzvyf moyghlgvlhzkcn Gyfjkz ]hlvf Hjavwzbfczw $G]Hw+

Yfxvkyfj kcpvzw zo ghlgvlhzf G]Hw1

Zyhjf"lf}fl jfzhklw1 Z{pf om zyhjf, cozkochl, bhzvykz{, ftpfgzfj ghwd mlo~w

Poyzmolko goczfcz1 Yfxvkyfj moy cfzzkcn

Bhyefz jhzh1 Kczfyfwz yhzfw, MT yhzfw, }olhzklkz{, goyyflhzkocw

Gyfjkz wpyfhjw1 Pyoihiklkz{ om jfmhvlz, loww nk}fc jfmhvlz

Gyfjkz fcdhcgfbfczw1 Gollhzfyhl

Zdf Mhky ]hlvf Goczkcvvb

Yflkhilf/]fykmkhilf Wviafgzk}f/Lfww Yflkhilf

Lf}fl 8 Lf}fl 9 Lf}fl 7

Xvozfj Pykgfw kc ]hlvhzkoc Zfgdckxvfw ‗ ]hlvhzkoc Zfgdckxvfw ‗

Hgzk}f Bhyefzw Oiwfy}hilf Kcpvzw Vcoiwfy}hilf Kcpvzw

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Wfwwkoc O}fy}kf~

^dhz kw h Mhky ]hlvf?

]hlvhzkoc ivkljkcn ilogew

]hlvhzkoc om h gvyyfcg{ moy~hyj

]hlvhzkoc om chzvyhl nhw jfyk}hzk}f

Gobboc }hlvhzkoc pkzmhllw

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]hlvhzkoc Ivkljkcn IlogewJkwgovczkcn Mvzvyf Ghwd Mlo~w

H ikyj kc dhcj kw ifzzfy zdhc h ikyj kc z~o ~ffew…

P] 2 M]

‗ P] Pyfwfcz }hlvf

‗k Jkwgovcz yhzf moy pfykoj

‗ c Cvbify om pfykojw

‗ M] Mvzvyf }hlvf

Fthbplf1 Km K hb o~fj *8,000 kc 9 {fhyw, ~dhz kw zdf

pyfwfcz }hlvf $hwwvbf b{ pfywochl jkwgovcz yhzf kw 6&+ ?P] 2 8 / $8 % 0#06+9 t *8,000 2 *;0>#07

Zdf ikn xvfwzkoc ifgobfw ^dhz jkwgovcz yhzf?

8

$8%k+c

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>

]hlvhzkoc Ivkljkcn IlogewJkwgovczkcn Mvzvyf Ghwd Mlo~w

Bhyefzw pyo}kjf yhzfw moy wzhcjhyj goczyhgzw hcj moy wpoz wzhyzkcnwzyvgzvyfw

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Hppl{kcn zdf Moy~hyj Gvy}f]hlvhzkoc Ivkljkcn Ilogew

Bhyefz jhzh kw vwfj zo gocwzyvgz zdf moy~hyj gvy}f

Ghwd mlo~w hz jkmmfyfcz pokczw kc zkbf ~kll if jkwgovczfj hzjkmmfyfcz jkwgovcz yhzfw

0#0&

8#0&

9#0&

7#0&

:#0&

6#0&

=#0&

Hpy"88

Hpy"89

Hpy"87

Hpy"8:

Hpy"86

Hpy"8=

Hpy"8>

Hpy"84

Hpy"8;

Hpy"90

Hpy"98

8"boczd LKIOY Moy~hyj Gvy}f

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;

^dhz kw h Mhky ]hlvf?

]hlvhzkoc ivkljkcn ilogew

]hlvhzkoc om h gvyyfcg{ moy~hyj

]hlvhzkoc om fcfyn{ jfyk}hzk}fw

Gobboc }hlvhzkoc pkzmhllw

Wfwwkoc O}fy}kf~

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H gvyyfcg{ moy~hyj kw hc hnyffbfcz ifz~ffc z~o govczfyphyzkfw zo ftgdhcnfocf wfz hbovcz om gvyyfcg{ moy hcozdfy wfz hbovcz om h jkmmfyfcz gvyyfcg{ oc

h wpfgkmkg jhzf

Ef{ zfybkcolon{1

Cozkochl1 Zdf gvyyfcg{ hbovczw

Wfzzlfbfcz Jhzf1 Zdf jhzf oc ~dkgd zdf gvyyfcgkfw ~kll if ftgdhcnfj

Ftgdhcnf yhzf1 Zdf yhzf zdhz ~kll if vwfj zo goc}fyz gvyyfcgkfw

Moy~hyj jkyfgzkoc1 ^dkgd govczfyphyz{ kw wfllkcn ~dkgd gvyyfcg{

]hlvhzkoc om Moy~hyj GoczyhgzwH Moyfknc Ftgdhcnf Goczyhgz

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Fthbplf1

H Zfthw gobphc{ $ZFTGO+ dhw wolj z~o jflk}fykfw om ~kjnfzw zo h Bftkghc

goypoyhzkoc $BFTGO+# Zdf jflk}fykfw ~kll if bhjf oc Wfpzfbify 8 hcj Ogzoify 8#

Ph{bfczw om 80,000,000 Bftkghc Pfwo ~kll if bhjf i{ BFTGO vpoc yfgfkpz om 

fhgd wdkpbfcz#

ZFTGO fczfyw kczo h jfyk}hzk}f ~kzd h ihce hcj wfz h mlhz"moy~hyj ftgdhcnf yhzf om 

89#90 VWJ"BTC moy Wfp 8 hcj Ogz 8 wfzzlfbfczw

ZFTGO hnyffw zo jflk}fy BTC 80,000,000 oc Wfp 8 hcj Ogz 8

ZFTGO ~ovlj nfz zdf BTC myob BFTGO hz zdf zkbf om jflk}fy{

Ihce govczfyphyz{ hnyffw zo jflk}fy VWJ 48;,=>9 oc Wfp 8 hcj Ogz 8

]hlvhzkoc om Moy~hyj GoczyhgzwH Moyfknc Ftgdhcnf Goczyhgz

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]hlvhzkoc om Moy~hyj GoczyhgzwH Moyfknc Ftgdhcnf Goczyhgz

ZFTGOBFTGO

80,000,000 BTC

^kjnfzw

Ihce

*48;,=>9 80,000,000 BTC

Ocgf ZFTGO fczfyw kczo kzw Moy~hyj goczyhgz, ZFTGO yfbo}fw kzw ftpowvyf

zo VWJ"BTC ftgdhcnf yhzfw

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]hlvhzkoc om Moy~hyj Goczyhgzw

Zdf gvyyfcg{ ftgdhcnf yhzf ~kll gdhcnf o}fy zkbf

H Moyfknc Ftgdhcnf Goczyhgz

FVY"VWJ yhzfw dh}f ykwfc

hcj mhllfc i{ 90& kc lfww

zdhc = boczdw

Zdf VWJ dhw ~fhefcfj }fywvw

AP[ moy zdf phwz 6 {fhyw ~kzd

jfgyfhwfw om boyf zdhc 80& kc

ocf xvhyzfy

IYL dhw ~fhefcfj }fywvw

VWJ i{ hw bvgd hw 60& kc

lfww zdhc 7 boczdw

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8:

]hlvhzkoc om Moy~hyj Goczyhgzw

Zdf }hlvf om ZFTGO‛w MT goczyhgzw ~kll if zdf pyfwfcz }hlvf om zdf jkmmfyfcgfifz~ffc zdf hnyffj vpoc ftgdhcnf yhzf hcj zdf moy~hyj yhzf oc }hlvhzkoc jhzf

Moy ovy fthbplf, lfz‛w hwwvbf zdhz VWJ"BTC yhzfw yowf# Zdf Wfp 8 moy~hyj yhzf kw

co~ 89#70 VWJ"BTC# Zdf Ogz 8 moy~hyj yhzf kw co~ 89#7: VWJ"BTC#

H Moyfknc Ftgdhcnf Goczyhgz

89#00

89#8089#90

89#70

89#:0

89#60

89#=0

89#>0

Hpy"88

Avc"88

Hvn"88

Ogz"88

Jfg"88

Mfi"89

Hpy"89

VWJ"BTC oc Zyhjf Jhzf

VWJ"BTC oc Avcf 70

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86

]hlvhzkoc om Moy~hyj Goczyhgzw

Ghlgvlhzkcn zdf }hlvf om ovy jfyk}hzk}fw1

Moy zdf Wfp 8 moy~hyj1

Km ZFTGO fczfyfj kczo h moy~hyj zojh{, km ZFTGO jflk}fyfj 80,000,000 BTC zdfc ZFTGO ~ovlj

yfgfk}f *487,004

Zdf jfyk}hzk}f goczyhgz ~kll jflk}fy *48;,=>9 ‗ h *=,==: pyfbkvb

Hwwvbkcn h jkwgovcz mhgzoy om 0#;;;= ‗ zdkw moy~hyj dhw h bhye"zo"bhyefz }hlvf om *=,==8

Moy zdf Ogz 8 moy~hyj1

Km ZFTGO fczfyfj kczo h moy~hyj zojh{, km ZFTGO jflk}fyfj 80,000,000 BTC zdfc ZFTGO ~ovlj

yfgfk}f *480,7>7

Zdf jfyk}hzk}f goczyhgz ~kll jflk}fy *48;,=>9 ‗ h *;9;; pyfbkvb

Hwwvbkcn h jkwgovcz mhgzoy om 0#;;;8 ‗ zdkw moy~hyj dhw h bhye"zo"bhyefz }hlvf om *;9;8

Zdf z~o moy~hyjw dh}f h gobikcfj bhye"zo"bhyefz }hlvf om *86,;69

H Moyfknc Ftgdhcnf Goczyhgz

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8=

]hlvhzkoc om Moy~hyj Goczyhgzw

Kc Mhky ]hlvf zfybkcolon{ ‗ *86,;69 kw zdf zfybkchzkoc pykgf

Zdf zfybkchzkoc pykgf bvwz if hjavwzfj zo ghlgvlhzf h zyhcwmfy pykgf ‗ zdf

d{pozdfzkghl pykgf zdhz ~ovlj if phkj zo zyhcwmfy zdf jfyk}hzk}fw zo h

govczfyphyz{ ~kzd wkbklhy gyfjkz ykwe

Zdf kcpvzw zo bhef zdf gyfjkz }hlvf hjavwzbfcz $G]H+ hyf oiwfy}hilf

kcpvzw ‗ zdfyfmoyf zdf mhky }hlvf ~kll if Lf}fl 9

Zdf G]H ~kll if h mvcgzkoc om ZFTGO‛w hiklkz{ zo ph{ zdf ihce km ftgdhcnf

yhzfw jfgyfhwfj, h mvcgzkoc om zdf ihce‛w hiklkz{ zo ph{ ZFTGO, jfpfcjfcz

vpoc ~dfzdfy ozdfy zyhjfw govlj if cfzzfj hnhkcwz zdkw zyhcwhgzkoc, hcj

jfpfcjfcz ~dfzdfy gollhzfyhl kw ftgdhcnfj#

Hwwvbf zdf G]H kw ghlgvlhzfj zo if h *4:> hjavwzbfcz, zdf Mhky ]hlvf om 

zdf z~o MT goczyhgzw ~ovlj if *86,;69 ‗ *4:> 2 *86,806

H Moyfknc Ftgdhcnf Goczyhgz

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8>

^dhz kw h Mhky ]hlvf?

]hlvhzkoc ivkljkcn ilogew

]hlvhzkoc om h gvyyfcg{ moy~hyj

]hlvhzkoc om fcfyn{ jfyk}hzk}fw

Gobboc }hlvhzkoc pkzmhllw

Wfwwkoc O}fy}kf~

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84

H jkfwfl mvfl w~hp kw hc hnyffbfcz ifz~ffc z~o govczfyphyzkfw zo ftgdhcnfghwd mlo~w, ~dfyfi{ zdf iv{fy om zdf w~hp ph{w h mktfj pykgf hcj yfgfk}fw h

mlohzkcn pykgf# Jkfwfl mvfl w~hpw hllo~ zdf iv{fy zo “loge kc‒ h mvfl pykgf moy h

wpfgkmkg jhzf oy pfykoj om zkbf#

Ef{ zfybkcolon{1 Xvhczkz{1 ]olvbf, kc nhllocw oy ihyyflw, pfy boczd, xvhyzfy oy {fhy#

Vcjfyl{kcn1 Zdf mlohzkcn pykgf kcjft k#f# Plhzzw Nvlm Gohwz jkfwfl mvfl#

Mktfj Pykgf1 Zdf pykgf phkj i{ zdf iv{fy om zdf w~hp#

Wfzzlfbfcz Jhzf1 Zdf jhzf oy pfykoj om zkbf oc ~dkgd zdf mlohzkcn pykgf kw

ghlgvlhzfj#

]hlvhzkoc om Fcfyn{ Jfyk}hzk}fwJkfwfl Mvfl W~hpw

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8;

Fthbplf1

[ov hyf h bkckcn gobphc{ zdhz gocwvbfw lhynf }olvbfw om jkfwfl mvfl# Hw wvgd

{ov dh}f wkncfj h goczyhgz ~kzd {ovy mvfl wvpplkfy moy zdfb zo jflk}fy 960,000

nhllocw om mvfl zo {ovy mhgklkz{ jvykcn Bh{ hcj Avcf# Zdf goczyhgz ghllw wzhzfw zdhz

{ov ~kll ph{ zdf Plhzzw‛ Nvlm Gohwz jkfwfl mvfl wpoz pykgf#

Kc oyjfy zo fcwvyf zdhz {ovy bffz {ovy ivjnfz {ov jfzfybkcf zdhz {ov cffj zo

dfjnf {ovy ftpowvyf zo pozfczkhll{ ykwkcn jkfwfl mvfl pykgfw#

Oc Hpy : {ov hwe {ovy ihce zo xvozf {ov h w~hp oc zdf Bh{ ‗ Avcf Plhzzw‛ Nvlm 

Gohwz jkfwfl mvfl moy 960,000 nhllocw pfy boczd#

]hlvhzkoc om Fcfyn{ Jfyk}hzk}fwJkfwfl Mvfl W~hpw

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90

Zdf gvyyfcz Bh{ hcj Avcf Nvlm Gohwz jkfwfl mvfl moy~hyjw hyf1 Bh{ " *7#00

Avc " *7#96

Zdf yflf}hcz ykwe myff yhzfw hyf1

Bh{ " 7#0&

Avc " 7#6&

Zdf goyyfwpocjkcn jkwgovcz yhzfw hyf1

Bh{ " #;;>4

Avc " #;;:6

Hll om ~dkgd fxvhzf zo h P] om *7#89:4

Zdvw {ovy ihce ~kll {ov wfll {ov zdf w~hp hz *7#89>7/nhlloc $P] % zdfky pyomkz

bhynkc om *#0096+

]hlvhzkoc om Fcfyn{ Jfyk}hzk}fwJkfwfl Mvfl W~hpw

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98

]hlvhzkoc om Fcfyn{ Jfyk}hzk}fwJkfwfl Mvfl W~hpw

IhceBkckcn Go#

*7#89>7

Plhzzw‛ Nvlm Gohwz

Jkfwfl Mvfl Wpoz Pykgf

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99

]hlvhzkoc om Fcfyn{ Jfyk}hzk}fw

Ghlgvlhzkcn zdf }hlvf om ovy mvfl jfyk}hzk}fw oc Hpy 70 Moy zdf Bh{ w~hp

Oc Hpy 70 zdf }hlvf om zdf Bh{ moy~hyj dhw kcgyfhwfj zo *7#70

Hwwvbkcn h jkwgovcz mhgzoy om 0#;;;; ‗ zdf Bh{ w~hp dhw h }hlvf om *7#9;;>

Moy zdf Avcf w~hp

Oc Hpy 70 zdf }hlvf om zdf Avcf moy~hyj dhw kcgyfhwfj zo *7#60 Hwwvbkcn h jkwgovcz mhgzoy om 0#;;>0 ‗ zdf Avcf w~hp dhw h }hlvf om *7#:4;6

Zdf z~o mvfl w~hpw dh}f h gobikcfj bhye"zo"bhyefz }hlvf om *877,=:4

Jkfwfl Mvfl W~hpw

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]hlvhzkoc om Fcfyn{ Jfyk}hzk}fwJkfwfl Mvfl W~hpw

Kc Mhky ]hlvf zfybkcolon{ ‗ *877,=:4 kw zdf zfybkchzkoc pykgf

Zdf zfybkchzkoc pykgf bvwz if hjavwzfj zo ghlgvlhzf h zyhcwmfy pykgf ‗ zdf

d{pozdfzkghl pykgf zdhz ~ovlj if phkj zo zyhcwmfy zdf jfyk}hzk}fw zo h

govczfyphyz{ ~kzd wkbklhy gyfjkz ykwe

Zdf kcpvzw zo bhef zdf gyfjkz }hlvf hjavwzbfcz $G]H+ hyf oiwfy}hilf

kcpvzw ‗ zdfyfmoyf zdf mhky }hlvf ~kll if Lf}fl 9

Zdf G]H ~kll if h mvcgzkoc om zdf bkckcn gobphc{‛w hiklkz{ zo ph{ zdf ihce

km jkfwfl pykgfw jyoppfj, h mvcgzkoc om zdf ihce‛w hiklkz{ zo ph{, jfpfcjfcz

vpoc ~dfzdfy ozdfy zyhjfw govlj if cfzzfj hnhkcwz zdkw zyhcwhgzkoc, hcj

jfpfcjfcz ~dfzdfy gollhzfyhl kw ftgdhcnfj#

Hwwvbf zdf G]H kw ghlgvlhzfj zo if h *;,=:6 hjavwzbfcz, zdf Mhky ]hlvf om 

zdf z~o MT goczyhgzw ~ovlj if *877,=:4 " *;,=:6 2 *89:,007

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9:

^dhz kw h Mhky ]hlvf?

]hlvhzkoc ivkljkcn ilogew

]hlvhzkoc om h gvyyfcg{ moy~hyj

]hlvhzkoc om fcfyn{ jfyk}hzk}fw

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