What's Fair About This Value? FX & Energy Derivative Valuations
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Transcript of What's Fair About This Value? FX & Energy Derivative Valuations
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
http://slidepdf.com/reader/full/whats-fair-about-this-value-fx-energy-derivative-valuations 1/27
^dhz‛w Mhky Hiovz Zdkw ]hlvf?
MT - Fcfyn{ Jfyk}hzk}f ]hlvhzkocw
Bkgdhfl Goylf{ hcj Pdkl ^ffify
ZFTPO ‗ Hpykl 7"6, 9088
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
http://slidepdf.com/reader/full/whats-fair-about-this-value-fx-energy-derivative-valuations 2/27
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~
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
http://slidepdf.com/reader/full/whats-fair-about-this-value-fx-energy-derivative-valuations 3/27
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{
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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+
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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
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8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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^dhz kw h Mhky ]hlvf?
]hlvhzkoc ivkljkcn ilogew
]hlvhzkoc om h gvyyfcg{ moy~hyj
]hlvhzkoc om chzvyhl nhw jfyk}hzk}f
Gobboc }hlvhzkoc pkzmhllw
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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‗ P] Pyfwfcz }hlvf
‗k Jkwgovcz yhzf moy pfykoj
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‗ M] Mvzvyf }hlvf
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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?
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8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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]hlvhzkoc Ivkljkcn IlogewJkwgovczkcn Mvzvyf Ghwd Mlo~w
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8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
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8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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~
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
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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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
http://slidepdf.com/reader/full/whats-fair-about-this-value-fx-energy-derivative-valuations 11/27
88
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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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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89
]hlvhzkoc om Moy~hyj GoczyhgzwH Moyfknc Ftgdhcnf Goczyhgz
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80,000,000 BTC
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*48;,=>9 80,000,000 BTC
Ocgf ZFTGO fczfyw kczo kzw Moy~hyj goczyhgz, ZFTGO yfbo}fw kzw ftpowvyf
zo VWJ"BTC ftgdhcnf yhzfw
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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87
]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
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Zdf VWJ dhw ~fhefcfj }fywvw
AP[ moy zdf phwz 6 {fhyw ~kzd
jfgyfhwfw om boyf zdhc 80& kc
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VWJ i{ hw bvgd hw 60& kc
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8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
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8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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]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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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~
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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[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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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97
]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
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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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
Gobboc }hlvhzkoc pkzmhllw
Wfwwkoc O}fy}kf~
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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96
]hlvhzkoc Pkzmhllw
]hlvf zdhz {ovy ihce wfcz {ov MHW 86> }hlvf
Ihwkw hjavwzbfcz [ov ghc‛z vwf h moy~hyj gvy}f gocwzyvgzfj myob 7"boczd LKIOY zo }hlvf hc
kcwzyvbfcz ~kzd boczdl{ ghwd mlo~w
[ov ghc‛z vwf h moy~hyj gvy}f gocwzyvgzfj myob C[BFT Dfhzkcn Okl mvzvyfw zo
}hlvf {ovy jflk}fy{ om jkfwfl kc Jhllhw
Zdf jfzhklw bhzzfy Jh{ govcz goc}fczkocw
Lfcnzd om ph{bfcz pfykojw
Yoll jhzfw
Govczy{"wpfgkmkg dolkjh{w
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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X-H myob phyzkgkphczw
Mkchl zdovndzw
8/7/2019 What's Fair About This Value? FX & Energy Derivative Valuations
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