financial derivatives. Accounting for derivative financial instruments by investors. Design and development stages

Today, investors have a fairly wide range of financial instruments and opportunities at their disposal, how to make money on stocks and valuable papers oh, and on derivative instruments - derivatives (derivative).

The derivatives market is one of the main and most active segments of the modern financial system. However, most novice investors have a very poor idea of what derivatives are. Accordingly, the opportunities that open up to the investor thanks to such tools remain unclaimed. Or vice versa, investors take an ill-considered risk, having a bad idea of the risks of this instrument.

The essence of the derivative as a financial instrument

To understand what derivatives are and why they are needed, first of all, you need to understand what they are, if in simple words, derivative financial instruments. That is, there is an asset that is considered the underlying one. According to it, a bilateral agreement is concluded, the participants of which undertake to make a deal on predetermined conditions.

Despite the complexity of the wording, such contracts are often found in our everyday life. By the way, the simplest example is the purchase of a car in a car dealership according to the "made to order" scheme. In this case, the buyer concludes an agreement with the dealership for the supply of a car of a specific model, in a specific configuration and at a specific fixed price.

Such a contract is an elementary derivative, in which the ordered car acts as an asset. Thanks to the concluded contract, the buyer is protected from changes in value, which may increase by the agreed date of purchase. The seller also receives certain guarantees - a car of a rare configuration, which he purchases from the manufacturer, will definitely be bought and will not “hang” in his cabin as a “dead weight”.

The modern system of derivatives began to take shape in the 30s of the 19th century. Financial derivatives are a product of the 20th century. The starting point is considered to be 1972, when the international currency market that we know today finally took shape. If before that only real goods were used in such transactions, then with the advent and development of financial derivatives it became possible to conclude contracts in relation to currencies, securities and other financial instruments, up to the debt obligations of individual companies and entire states.

The Russian derivatives market was formed in the 90s of the last century. Despite the fact that this segment is actively developing, it is characterized by the problems of all young markets. main feature- lack of competent personnel, especially among ordinary market players. Not all participants reliably know what derivatives are and their properties. All this affects the development of the market.

Types of derivatives

Classification helps to fully understand what a derivative is and why it is needed. It can be built on two main features. First, it is the type of the underlying asset:

Real commodities: gold, oil, wheat, etc.
Securities: stocks, bonds, bills and more.
Currency.
Indexes.
Statistical data, for example, key rates, inflation rate, etc.

The second classifying feature is the type of pending transaction. From this point of view, there are 4 main varieties:

forward.
Futures.
Optional.
Swap.

A forward contract is a transaction in which the participants agree on the delivery of an asset of a certain quality and in a specific quantity within a specified period. The underlying asset in forward contracts is real commodities, the exchange rate of which is negotiated in advance. The car dealership example above falls into this category. This example really captures the essence plain language without smart words.

Futures is an agreement according to which a transaction must take place at a specific point in time according to market price on the date of performance of the contract. That is, if with a forward contract the cost is fixed, then in the case of a futures contract, it can change depending on market conditions. A prerequisite futures contracts is only that the item will be sold/bought at a particular point in time.

An option is the right, but not the obligation, to purchase or sell an asset at a fixed price before a specific date. That is, if the holder of shares of a certain enterprise announces his desire to sell them at a certain price, then a person interested in buying can enter into an option contact with the seller. Under its condition, the potential buyer transfers a certain amount of money to the seller, and the latter undertakes to sell the shares to the buyer at a set price.

However, such obligations of the seller remain valid only until the expiration of the period specified in the contract. If by the specified date the buyer has not made a deal, then the premium paid by him goes to the seller, who gets the right to sell the shares to anyone.

Swap - double financial transaction, within which the purchase and sale of the underlying asset are made simultaneously on different conditions. At its core, a swap is a speculative instrument and the only purpose of such actions is to benefit from the difference in the price of contracts.

Why derivatives are needed

In the conditions of the modern financial system, derivatives and their properties are used in two ways. On the one hand, this is an excellent tool for hedging, that is, insurance of risks that invariably arise when entering into long-term financial obligations. However, they are most often used for speculative earnings.

How forward transactions are used has already been discussed above. This is a classic price risk hedging option. However, in the modern commodity market, more widespread are nevertheless futures transactions.

The use of futures allows the seller to insure against financial losses that may arise if the underlying asset he has is unclaimed. By concluding a futures contract, the owner of an asset can be firmly convinced that he will definitely sell it, thereby getting real money at his disposal.

For the buyer, the value of a futures contact is that he receives a guarantee for the acquisition of an asset that he needs to realize his plans. For example, manufacturing enterprise needs a stable supply of raw materials, as the shutdown of the technological cycle threatens with serious losses. Therefore, it is beneficial for management to buy a futures contract for the supply of a specific amount of raw materials by a certain date, thereby ensuring the smooth operation of the enterprise.

Options are more often used to hedge the risks that arise when trading in the stock market. To understand the mechanism of their action, consider a small example. Suppose there is a package of securities that is sold at the current price of 100 rubles. An investor, having analyzed the prospects of the package, came to the conclusion that in the next three months its price should increase by 50% and amount to 150 rubles. However, there is high probability financial losses in the event that the forecast made does not come true.

In this situation, the investor enters into an option contract with the holder of the package for a period of three months to sell the asset at a price of 100 rubles. For this right, he pays the holder of securities 10 rubles. Now, if the forecast turns out to be correct and in the near future the share price rises to 150 rubles, the investor will be able to buy a package of securities for 100 rubles at any time before the expiration of the option contract and make a profit of 50 rubles.

If, however, an error was made during the analysis and the price of the package did not increase, but, on the contrary, decreased to 60 rubles, then the option buyer has the right to refuse to purchase. In this case, he will incur a loss of 10 rubles, while in the absence of risk hedging through the option, his loss would be 40 rubles.

The owner of securities can act in a similar way by entering into options for the right to sell an asset at the current value within a certain period. The process may include third, fourth and fifth parties - the same option may be resold to other market participants who may dispose of it as an ordinary security.

Similar properties of forwards, futures and options are actively used in speculative games. In the 20th century, the market began to rapidly become saturated with derivatives. As a result, its volume exceeded the market of real goods many times over. This, according to many analysts, was the cause of the latest crisis that has engulfed the global economy. financial system at the beginning of this century.

Therefore, novice investors need to have a good idea of what derivatives are and how to work with them correctly. Otherwise, the illiterate use of such tools threatens with serious losses.

Text: Nadezhda Mikhailova, Deputy Head of the Department for Infrastructure Technologies of Veles Capital Investment Company

From the mid-1970s, when derivatives trading began in the United States, to today volume derivatives market has grown to a very significant size, and now it is not so easy to evaluate it. So, according to some data, the cost of contracts for one calendar year twice the US GNP, according to others - the existing volume of derivatives is about 10 times the volume of the world economy.

In Russia, trading in derivative financial instruments began in the mid-1990s, when the first exchange-based futures and options appeared. Now the volume of trading in the derivatives market section on the RTS daily is about 200 billion rubles. At the same time, the average daily turnover of transactions in shares and bonds on the MICEX is about 320 billion rubles a day. Thus, in Russia, unlike in developed countries, the volume of transactions with securities is approximately one and a half to two times higher than the market for futures transactions.

What is a derivative

By definition international standards financial statements (IFRS-32), a derivative is a financial instrument (a contract that simultaneously gives rise to a financial asset from one company and financial liability or an equity instrument from another):

- the value of which changes as a result of a change in an interest rate, security rate, commodity price, exchange rate, price or rate index, credit rating or credit index, other variable;

- for the acquisition of which requires a small initial investment compared to other contracts, the rate of which reacts similarly to changes in market conditions;

- settlements for which are carried out in the future.

The easiest way to define a derivative is to compare it with another financial equity or debt asset. Among common features one can single out the reflection as an investment of funds for an investor or a source of funds for an issuer, as well as the fact that both derivatives, equity and debt assets are financial market instruments with which exchange and over-the-counter transactions are made. But much more important for understanding the essence of the derivative are the fundamental differences between it and other assets.

The key features of the derivative are:

- its emergence as a transaction between different participants;

- obligatory presence of an underlying asset in its basis.

In world practice, derivatives financial instruments or derivatives are divided into two large groups: futures and structured products.

Futures transactions (from the English derivative) - a contract that, in accordance with its terms, provides for the parties under the contract to exercise rights and (or) fulfill obligations associated with a change in the price of the underlying asset underlying this financial instrument, and leading to a positive or negative financial result for each party. Examples of forward transactions are futures, options, forwards, swaps.

Structured or structural product (from the English structured product) is a complex complex financial instrument, financial strategy based on simpler underlying financial instruments. Structured products, among other things, arose from the need for companies to issue cheaper debt. Structured products may have different shape and, as a rule, are issued by banks and investment companies. Due to the combination of various financial instruments, they have non-standard characteristics and features. All of them are distinguished by the presence fixed term actions. Structured products were first listed on US domestic exchanges in 1969. Examples of structured products are credit notes, OFBU.

Futures deals and structured products share several features:

- the existence of one or more underlying assets;

- one of the key objectives of investing is to minimize risks associated with the peculiarities of the circulation of underlying assets (for example, the risk of price changes);

- The issuer is usually banks, stock exchanges, investment companies .

Types of derivatives

There are many features for classifying derivatives: by types of transactions, types of underlying asset, lifetime, etc. But it is more correct to understand the essence of the difference between derivatives by dividing them according to the purpose of creation. So, there are the following types of derivatives.

- Commitment related derivatives certain action in the future. These include futures (a standard exchange contract, which is based on the obligation of the seller and the buyer to make a deal or netting for settlements in cash in relation to a certain asset) and forward (based on the seller's obligation to transfer the goods (underlying asset) to the buyer within a specified period of the contract or fulfill an alternative monetary obligation, and the buyer undertakes to accept and pay for this underlying asset, and (or) under the terms of the contract, the parties have counter monetary obligations in the amount depending on the value of the indicator of the underlying asset at the time of fulfillment of obligations, in the manner and within the period or within the period established by the agreement).

- Derivatives related to the right of one of the parties take certain actions in the future, which she can use or not at her discretion. Classic examples are an option (a contract under which a potential buyer or potential seller acquires the right, but not the obligation, to purchase or sell an asset (commodity, security) at a predetermined price at a specified point in the future or over a certain period of time) and warrant (a security that gives the holder the right to buy a proportionate number of shares at a specified price within a specified period of time and, as a rule, at a higher price than the current market price).

- Derivatives related to the obligation of the parties to execute the counter transaction in relation to the prisoner at the moment. Examples are REPO transactions (obligation to repurchase securities at a set price) and swaps (trading and financial exchange transaction in the form of an exchange of various assets, in which the conclusion of a transaction for the purchase or sale of securities or currency is accompanied by the conclusion of a counter-transaction - a transaction for the resale or purchase of the same product after a certain period on the same or other conditions).

- Derivatives associated with the emergence of certain obligations of the issuer upon the occurrence of a certain event in the future. For example, a credit default swap (an agreement under which the buyer makes one-time or regular contributions (pays a premium) to the CDS issuer, which in turn undertakes to repay the loan issued by the buyer to a third party if the debtor cannot repay the loan (third party default). Buyer receives a security - a kind of insurance for a previously issued loan or a purchased debt obligation.In the event of a default, the buyer transfers debt securities to the issuer ( loan agreement, bonds, bills), and in exchange receives compensation from the issuer for the amount of the debt plus all remaining interest until the maturity date).

- Derivatives that are packaged management certain assets. Almost all can serve as an example. structural products. Thus, credit notes are an analogue of debt obligations, structural products, the underlying asset of which is issued loans and credits and (or) debt securities of various issuers. OFBU is similar mutual fund, it is related to the control credit institution funds from which the fund was formed.

Of course, the variety of types of derivatives is significant, and the above classification is rather arbitrary, since derivatives can be a bizarre combination of their various types.

Examples of derivatives

Consider the opportunities and risks of an investor when buying two derivatives: an exchange futures contract for the US dollar - Russian ruble, traded in the derivatives section RTS market, and a foreign OTC derivative - a note on threshold value index parameters stock market Russia and Brazil.

Futures on the US dollar - Russian ruble exchange rate is an exchange contract of the derivatives market, which is a futures contract, the value of which changes daily depending on changes in the respective exchange rates. Respectively, cash the owner of the contract daily increase or decrease by the amount of the variation margin - calculated value, reflecting the change in the corresponding exchange rate. An important difference between a futures transaction is that the amount of money paid for the contract - the collateral - is only about 10% of the contract value.

It is possible to make transactions with this futures both for speculative purposes and for hedging the risk of changes in the exchange rate difference between the two currencies. The hedging of the most part is used when receipts and expenditures are expected in different currencies. At the same time, it is necessary to understand that the use of "leverage" significantly increases the possible losses of the investor.

To make transactions with futures, an investor needs to conclude an agreement with a broker, and in a day he will be able to make transactions.

If Russian exchange derivative financial instruments are well known to Russian investors, then we know foreign derivatives much worse. At the same time, global financial markets provide a huge selection of different financial instruments. However, the investor should more carefully analyze not only possible profits, but also the risks associated with both the instrument itself and its issuer.

As an example, let's consider one of the models of a foreign derivative - a note for the threshold value of the parameters of the stock market indices in Russia and Brazil. This note involves the receipt of cash in a certain period of time in the future in the event of the occurrence or non-occurrence of a certain event.

An investor purchases a note, assuming that the joint growth of the values of the two indices will amount to a certain value. If after a given period, for example, 6 months, the growth of two indices reaches a certain value, for example, 10% and exceeds it, the investor will receive the amount of the note and the delta, calculated based on how many percent the two indices increased. But if the market fell, the investor could get less than the amount invested, and possibly lose everything.

The variety of foreign derivatives allows the investor to choose the best investment strategy for himself, as there are many notes, with restrictions on the possible losses of the investor included in them, up to 100% capital protection.

Notes can be roughly divided into three types.

- "Debt" instruments requiring payment invested funds and a certain income calculated depending on changes in various market parameters. IN this case the investor has the right to return the investment amount and can receive income.

- Notes-opportunities– strategy for investing in a set of market instruments. The yield may be higher than on "debt" notes, but losses are not limited.

- A combination in a note of a debt instrument, when the investor's losses are limited, and note-opportunities. Here, with a favorable development of events, the investor can receive more income than when investing in ordinary debt securities of the same level of risk. If the market development is unsuccessful for the investor, he does not lose the entire amount of investment.

In order to conclude transactions with foreign derivatives, an investor must comply with the requirements established by legislation and pass the procedure for recognition as a qualified investor.

Legislative regulation

Operations with derivatives are carried out in almost all countries of the world, but to understand the features state regulation This market can be cited as an example of the United States and the European Union as regions where the development of the derivatives market has become most widespread.

Due to the high debt load of a number of countries and large companies attempts are being made to develop measures for a more thorough analysis and regulation of this market.

Currently, the US is dominated by a system of self-regulation, and in most EU member states - a system of state regulation of the financial market. IN Russian legislation there has been a tendency to strengthen state regulation of the derivatives market. Thus, the first steps were taken to identify futures transactions. However, the increased riskiness of transactions with derivatives has not yet been determined; accordingly, criteria for assessing the level of risk have not been introduced.

In Russia, regulation still relates mainly to the exchange derivatives market, the OTC market is not affected. At the same time, it is concentrated in the sphere of redistribution, but the issue of derivatives itself is not taken into account at all. Unfortunately, this is not only a Russian, but also a global trend, because in order to issue a share to the stock exchange, you need to publish a prospectus, disclose the owners and financial indicators, pass an audit, road show, etc., and nothing is required to issue a derivative.

Also one of important aspects state regulation of transactions with foreign derivatives is the need to obtain the status of a qualified investor.

It should be noted that there are no restrictions for concluding transactions with Russian derivative financial instruments, they can be bought and sold by both individuals and legal entities. To conclude transactions on the exchange, they need to conclude an agreement with one of the Russian brokers - professional participants in the securities market.

Taxation of transactions with derivatives

According to paragraph 1 of Article 214.1 of the Tax Code of the Russian Federation, financial results from transactions with derivative financial instruments is determined separately from other securities, and profit or loss on exchange and over-the-counter transactions is considered separately. Thus, income from operations with financial instruments of futures transactions is recognized as income from the sale of financial instruments of futures transactions received in tax period, including the amount of variation margin and contract premiums received. At the same time, income from transactions with the underlying asset of financial instruments of futures transactions is recognized as income received from the supply of the underlying asset when executing such transactions. It is important to remember what income they correlate with. Thus, income from transactions with the underlying asset of financial instruments of futures transactions includes:

- in income from operations with securities if the underlying asset of financial instruments of futures transactions are securities;

- to income from operations with financial instruments of futures transactions if the underlying asset of financial instruments of futures transactions are other financial instruments of futures transactions;

- to other income of the taxpayer, depending on the type of underlying asset, if the underlying asset of the financial instrument of futures transactions is not securities or financial instruments of futures transactions.

When making transactions with derivatives through a broker, the obligation to perform functions tax agent lies on it, he calculates the amount of tax and transfers it to the budget of the Russian Federation from the investor's funds. The investor must only until April 1 of the year following the reporting one submit a certificate in the form 3-NDFL to tax office at the place of residence.

A derivative (derivative financial instrument) is an instrument that trades depending on another market, called the underlying asset. Derivatives can be based on almost any underlying asset, including single stocks (eg Apple Inc.), indices (eg S&P 500) or currencies (eg EUR/USD).

Types of derivatives

There are several major derivatives markets, each with thousands of individual derivatives that can be traded.. Here are the main derivatives markets that are available to a wide range of traders:

Futures market
Options Market
Contracts for difference (CFD) market

Traders should trade in the futures market because there are many different types of futures contracts available for trading, many of which have significant volumes and intraday price fluctuations, which is exactly what a day trader needs to make money. A futures contract is a contract that a buyer enters into with the aim of exchanging money for an underlying asset at a certain point in time in the future.

For example, if you buy/sell a crude oil futures contract, you are agreeing to buy/sell a specified amount of crude oil at a set price (your order price) at some future date. In fact, you don't have to supply this oil. You will simply make or lose money depending on whether the value of the contract you bought/sold goes up or down relative to your entry level. In addition, you can close the trade at any time prior to the contract expiration date to lock in your profit or loss.

Derivatives Trading: Options

Options are another popular derivatives market. Options trading can be very complex or easy, depending on how you do it. The easiest way to trade options is by buying Put or Call options.

When you buy a Put option, you assume that the price of the underlying asset will fall below the strike price until the put option is exercised. If this happens, you will earn money. If not, then you will lose the amount (or part of it) that you paid for this option. For example, if stock XYZ is trading at $63, but you think the price will drop below $60, you can buy a Put option at $60. This option will cost you a specific amount called the option premium. If the price goes up, you will only lose the premium you paid for the Put option. If the price goes down, the value of your option will increase and you can sell it for more than the premium you paid for it.

Call options work in a similar way, except that when you buy a Call option, you assume that the price of the underlying asset will rise. For example, if you think ZYZY stock, which is currently trading at $58, will go above $60, you can buy a Call option with a strike price of $60. If the share price rises, the value of your option will increase and you will be able to earn more than the premium you paid for it. If the price goes down, you will only lose the premium you paid for the call option.

Contracts for Difference (CFD) trading is offered by different brokers, the terms and conditions of which may vary. As a rule, this is a fairly simple instrument that bears the name of its underlying asset. For example, if you buy CFDs on crude oil, you are not actually entering into an agreement to buy crude oil (as in the case of futures contracts), but simply agreeing with the broker that if the price rises, you will earn, and if it falls, you will earn you will lose money. A CFD is a kind of "side bet" on another market.

For most CFD markets (this needs to be checked with a specific broker), if you think that the price of the underlying asset will rise, then you need to buy CFDs. If you expect the underlying asset to fall in price, you need to sell (or sell short) CFDs. Your profit or loss is determined by the difference between your entry and exit prices.

Conclusion

Depending on the trading style of the trader and his financial opportunities, he may be more suited to one market or another. In general, it cannot be said that one of the derivatives markets is better than the others.

Each of them has its own requirements for the amount of investment in a transaction, due to the margin requirements in this market.

Futures are very popular among day traders because they allow you to trade intraday without moving the trade through the night, which eliminates the risk of a large drawdown on because of the morning gap. Options and CFDs are more popular with swing traders as these trades can last anywhere from a couple of days to several weeks.

Stay up to date with all important United Traders events - subscribe to our

Send your good work in the knowledge base is simple. Use the form below

Students, graduate students, young scientists who use the knowledge base in their studies and work will be very grateful to you.

Federal Agency for Education

Baikal State University of Economics and Law

Faculty of Accelerated Training

Department of Banking and Securities

Specialty 06.04 "Finance and credit"

COURSERABOTA

in the discipline "Securities market"

Derivative financial instruments: concept, classification

Executor:

student gr. UV-2-07

Rupasov Yury Gennadievich

Supervisor:

Irkutsk, 2009

Content

Introduction

1.1 The concept of derivatives
2.1 Futures contracts
2.2 Options contracts
2.3 Forward contracts
2.4 Interest rate swap
2.5 Depositary receipts
Conclusion
List of used literature

Introduction

"The attitude to derivatives is akin to the attitude to the leading players in the National Football League. They are too hoped for and too often blamed for failure."

Jerry Corrigan, former president of the Federal Reserve Bank of New York.

IN Lately derivative financial instruments do not leave the front pages of international financial publications because of their direct relationship to scandalous losses and the collapse of a number of organizations of various sizes. But, despite this, they have been traded for centuries, and the global daily turnover of operations with these derivatives reaches billions of US dollars.

Derivatives are financial instruments based on other, simpler financial instruments. That is, the value of a financial derivative is a dependent (derivative) value of the value of the underlying instrument. Typically, the underlying instrument is a cash-traded financial instrument, such as a bond or a share.

For example, an option gives its holder the right to buy or sell the shares underlying the option. Because a stock option simply cannot exist without the underlying stock, it is derived from the stock itself. And since shares are a financial instrument, an option is a financial derivative.

Financial derivatives are associated with two traditional social goods. First, financial derivatives are useful in terms of risk management. Second, trading in financial derivatives results in prices that can be observed and assessed by the whole society, and this provides market watchers with information about the true value of certain assets, as well as the direction of the future development of the economy. Therefore, financial derivatives markets are not only a place for risky speculative play, but also able to bring real benefits to society through insurance and risk management.

Financial derivatives markets play a critical role in providing society with economic information. The existence of financial derivatives increases the interest of players in conducting transactions, as well as the activity in concluding transactions with derivatives and cash market instruments. As a result of greater public attention, the prices of both tend to approach their real value. Thus, the conclusion of transactions with derivative financial instruments helps participants economic relations get accurate pricing information. And if the parties enter into transactions based on accurate prices, economic resources can be distributed more efficiently. In addition, even those who only monitor the state of the market receive information that is useful to them when concluding their own transactions.

The purpose of this course work is to disclose the topic: derivative financial instruments: concepts, classification, - it will consider the main types of derivative financial instruments: futures, options, forwards, swaps and depositary receipts, as well as the history and development prospects of Russian derivatives.

1. The concept and purpose of derivative financial instruments

1.1 The concept of derivatives

A derivative financial instrument (derivative) is a financial contract between two or more parties that is based on future value underlying asset. These instruments are called derivatives because their price depends on the value or value of the element's underlying variable (variable) underlying the contract. Initially, derivatives were associated with commodities: rice, tulip bulbs, wheat.

Commodity products remain the underlying asset at the present time, but in addition to this, any financial indicators or financial instruments can be the underlying asset. In the world there are many derivatives based on different financial assets: debt instruments, interest rates, stock indices, instruments money market, currencies, and even on other derivative contracts.

Nowadays, four main types of derivative financial instruments are widespread, which will be discussed in more detail in the work, these are:

forward contracts;

futures contracts (futures);

option contracts (options);

swaps.

A forward contract is a transaction in which the buyer and seller agree to deliver an asset (usually a commodity) of a specified quality and quantity on a specified date in the contract. Moreover, the price is either negotiated in advance or at the time of delivery of the asset. An example of a forward contract: a buyer wants to purchase a foreign car from a dealer, for this he sets the exact characteristics of his future car: color, interior trim, engine power, makes a deposit and, most importantly, a price is negotiated for which the dealer will deliver this car to the buyer only after three months . What will happen during these three months - none of the parties to the forward knows whether the price of foreign cars will decrease or, on the contrary, there will be an increase due to the revision of customs rates by the government, it no longer matters - the price of the car is fixed in the forward contract between the buyer and the dealer. That is, the buyer acquired the right to buy a car in three months and undertook to complete this transaction. So - the purpose of the forward is to protect the parties from unwanted changes in the price of the underlying asset (in this case, a car).

Option contract - gives the right, but does not oblige to buy (sell) a certain underlying instrument or asset at a certain price, on or before a certain future date. For obtaining such a right, the buyer pays his seller a premium. For example, to buy a dream car worth 600,000 rubles, the buyer lacks a certain amount and, in addition, all the money for it must be paid on the day of purchase. Then the buyer offers the dealer a small amount 15,000 rubles just for the dealer to hold this car for him for a week and not change the price for it, while the buyer draws up a loan for the missing amount for the purchase. Moreover, the amount of 15,000 rubles will go to the dealer, regardless of whether the buyer buys this car or not. Thus, an option contract is concluded between the dealer and the buyer. The buyer received the right to buy a car in a week, without obligation to do so. Perhaps within a week there will be another dealer who will sell a similar car for 500,000 rubles, then the buyer simply will not exercise his option, and the cost of the car will be 500,000 + 15,000 = 615,000 rubles. Just like with a forward contract, the buyer has protected himself from an unwanted price change or, in other words, hedged the risk.

A futures contract (future) is a firm agreement between a seller and a buyer to buy and sell a certain asset at a fixed future date. The price of the contract, which changes depending on external factors, is fixed at the time of the transaction. Futures are usually traded on trading floors(exchanges) with standard terms of quality, quantity, delivery date. After a deal with a futures has taken place between the buyer and the seller, the price of this deal becomes available (known) to everyone, which is the main difference between futures and forward contracts, where prices are confidential. The purpose of futures contracts may be to generate speculative profits and/or protect against unwanted fluctuations in the price of the underlying asset.

A swap is a simultaneous purchase and sale of the same underlying asset or liability for an equivalent amount, in which the exchange of financial terms will provide both parties to the transaction with a certain gain.

Derivatives are very important for risk management because they allow you to separate and limit them. Derivative financial instruments are used to transfer elements of risk and thus can serve as a form of insurance.

The possibility of transferring risks entails for the parties to the contract the need to identify all the risks associated with it before the contract is signed.

Derivatives primarily depend on what happens to the underlying asset, as they are its derivatives. Thus, if the settlement price of a derivative is based on the cash price of a commodity that changes daily, then the risks associated with that derivative will change daily.

It should be noted that derivative financial instruments have many varieties, for example, options can be a call option (call) or a put (put), swaps - interest, currency, asset swaps, commodity, which will be discussed in the next chapter.

2. Classification of derivative financial instruments

2.1 Futures contracts

The most popular and oldest of all derivative financial instruments are futures contracts. The beginnings of futures trading originated in Japan and they were associated with the rice market. The landowners, who received a rent in kind as part of the rice harvest, could not know in advance what the rice harvest would be, and moreover, they constantly needed cash. Therefore, they began to deliver rice for storage to city warehouses - and sell warehouse receipts (rice coupons), which gave their owner the right to receive a certain amount of rice of a specified quality on a certain future date at a specified price. As a result, landowners had a stable income, and traders the opportunity to profit from the resale of coupons.

Currently, the underlying asset for futures can be different types assets: agricultural commodities (cotton, corn, meat), stocks (JSC Gazprom, Yahoo, etc.), stock indices (RTS, MICEX, S&P, FTSE), bonds, foreign currency(dollar, yen, pound) bank deposits, oil, gold and other assets. Futures are standardized, exchange-traded instruments that are traded only on specially organized markets (exchanges) by setting a free, competitive price at public auctions.

Futures can be settlement or delivery contracts. The execution of a settlement futures involves settlements between participants only in cash without the physical delivery of the underlying asset (for example, a futures on the RTS index). A deliverable futures is characterized by the fact that on the settlement date the buyer undertakes to purchase and the seller undertakes to sell the amount of the underlying asset specified in the specification (Urals Oil Futures). Delivery is carried out at the settlement price fixed on the last date of the auction.

Trading futures on the stock exchange is as follows. Before being admitted to trading, participants must transfer funds to their account in the clearing house of the exchange, from which the deposit and variation margin is formed, and after that they can begin to participate in trading.

As security for obligations, futures traders are required to keep a certain amount of money on their current account in the clearing house of the exchange - a deposit margin. The clearing house acts as a guarantor of the execution of futures contracts. It is also an agent for the transfer of contracts that involve physical transfer. It ensures timely delivery by the seller of the goods and timely payment by the buyer. However, the vast majority of futures contracts are liquidated before the due date by buying or selling another contract (investors or speculators close their original positions by making opposite trades). Standardized futures contracts have a number of features that are set by the exchange. These standardized elements of currency futures include:

unit or volume of the contract;

price quote method;

minimum price change;

price limits;

deadlines;

a predetermined end date for trading;

settlement date;

collateral or margin calls.

When the futures price changes during the trading session, the variation margin is calculated for each open position. So, if the futures price changes in favor of the participant, the variation margin is credited to his account, and vice versa, the variation margin is debited from the account if the market moves against the open position of the trading participant.

Buying a currency futures provides the buyer with a "long position" (position on term transactions when playing for a raise). Selling a futures contract provides the seller with a "short position" (a short position in futures transactions). For example, a Russian exporter enters into a contract for the sale of 1 million cubic meters. m. of gas to a German buyer with payment in US dollars. To hedge the risk associated with a possible decrease in the value of the dollar, a Russian exporter has the right to sell several futures contracts for the US dollar through a broker on the MICEX and later buy a futures contract for dollars with a similar settlement date. As a result, the previously opened "short" currency position is liquidated.

So, all futures contracts can be classified depending on the underlying asset into commodity and financial futures. And depending on the terms of delivery for settlement or delivery.

2.2 Options contracts

Options on commodities and stocks have been used by gamblers for centuries. During the "tulip mania" in the 1730s, merchants gave tulip growers the right to sell their bulbs at a fixed minimum price. For this right, the manufacturer paid a certain amount. Merchants also rewarded tulip growers for the right to buy a crop of bulbs at a fixed maximum price.

By the 1920s, stock options appeared on the London Stock Exchange, and in the 1960s, an over-the-counter market for commodity and stock options already existed in the United States. Initially, exchange and over-the-counter trading in options was accompanied by numerous problems - refusals to fulfill contractual obligations, insufficient regulation, etc.

Commodity options trading on the exchange only emerged in the 1970s, a century later than commodity futures trading, and there has been a significant increase in options trading since the 1990s.

So, an option contract gives the right, but does not oblige to buy (call option) or sell (put option) a certain underlying instrument at a certain price - the strike price - on or before a certain future date.

Like other derivatives, options are used by market participants to:

hedging and protection against adverse price changes for the underlying instrument;

speculation on the growth (decrease) of the market price of the underlying asset;

carrying out arbitrage operations in different markets and with different instruments.

Currently, there are exchange and over-the-counter options on a wide range of commodities and financial instruments. There are four types of options:

Interest-bearing (options on interest rate futures; options on future interest rate agreements - interest rate guarantees; options on interest rate swaps - swaptions);

Currency (options on cash currency; options on currency futures);

Stock (stock options; options on index futures);

Commodity (options on physical goods and on commodity futures).

The two main types of options are calls and puts, both of which can be bought and sold. That is, buy the right to buy the underlying asset - buy a call option or sell the right to buy the underlying asset - sell a call. Similarly, you can buy the right to sell the underlying asset - buy a "put" or sell the right to sell the underlying asset - sell a "put".

On one side of the transaction is the buyer of the option (holder), and on the other - the seller. The option holder decides to buy or sell in accordance with his right (to exercise the option), and the seller in this case must make delivery, i.e. sell or buy in accordance with the contract. In order to get the right to buy or sell the underlying instrument on or before the option's expiration date (expiration day), the buyer of the option must pay the seller a certain fee - a premium. It has two components: intrinsic value and time value. The intrinsic value is the difference between current exchange rate underlying asset and the exercise price of the option. Time value is the difference between the premium and the intrinsic value. The longer the term of the option contract, the greater the time value, since the risk of the seller is greater, and, naturally, the amount of his premium is greater.

If the holder does not exercise the option, then he simply "exits" the deal with the seller, losing the premium paid.

Option sellers are usually market makers (brokers, dealers), who rely on their knowledge of the derivatives market, which will minimize option risks, since option sellers actually bear almost unlimited risks, which is clearly shown below in Figures 2.1 - 2.4 .

Figure 2.1 Buying a put option.

Figure 2.2 Buying a put option.

Figures 2.1 and 2.2 clearly show that at a strike of 60 arb. units, the loss of the buyer of these options in the event of an unfavorable situation on the market can be only 5 conventional units. units, and the profit is almost unlimited. But if you look at figures 2.3 and 2.4 below, it is easy to understand that the loss of the seller of these options will be unlimited, and the maximum reward will be only 5 conventional units. units, (amount of premium).

Figure 2.3 Selling a put option.

Figure 2.4 Selling a call option.

Establishing a price for one or another type of option depends on many factors, here are the main ones: the time until the expiration of the option, the price of the underlying asset, the volatility of the underlying asset ("volatility" of the price of the latter), and several more variable parameters, which are called "Greeks "because of their corresponding designations in Greek letters (delta, gamma, vega, theta, etc.). For further classification, note that if, when the price of a call option is formed, the price of the underlying asset is greater than the strike, then the option is said to be "in the money", if less, then "out of the money", and if it is equal to the strike, then "on money." For a put option, the words greater than and less than in the previous definition should simply be reversed.

A situation may arise when the seller of the option does not own the underlying instrument that he is selling - such an option is called uncovered ("naked"), and in the opposite case, a covered option.

One of the varieties of a call option is a warrant. A security that gives its holder the right to purchase a proportionate number of the underlying shares at a specified future date at a specified price, usually higher than the current market price. Warrants have much in common with call options, but they hallmark is a longer time interval, sometimes years. In addition, warrants are issued by companies, while exchange-traded call options are not issued by companies.

Options can also be classified depending on the name of the place where such options appeared:

American, its difference is that it gives the right to buy / sell the underlying asset on the day of expiration or before it occurs;

European, such an option gives the holder the right to buy / sell the underlying instrument only on the expiration day (most OTC options have a European style of execution);

Exotic, an option that is more complex than a standard call or put and includes special elements or restrictions (such as an Asian or weather option).

To summarize the chapter on options, we classify options as follows:

by type of trade - exchange and over-the-counter;

by type of option - "call" or "put";

for the underlying asset - currency, shares, futures (the latter are, as it were, a derivative for a derivative);

by type of settlement - with or without payment of a premium;

by type of coating - with or without coating;

by the type of price of the underlying asset - out of the money, in the money, and in the money;

by type of option - European, American, exotic.

2.3 Forward contracts

A forward contract is a binding forward contract under which the buyer and seller agree to deliver goods of a specified quality and quantity or currency on a specified date in the future. The price of the goods, the exchange rate and other conditions are fixed at the time of the transaction.

Unlike futures contracts, forward transactions are not standardized. They are similar to futures contracts, but unlike a futures contract, forward contracts do not have standardized parameters for volume, quality of goods and delivery date. A forward contract is usually entered into for the purpose of actual sale or purchase of the relevant asset or insurance of the supplier or buyer against a possible adverse price change. A forward contract implies that counterparties must fulfill their obligations, but the parties are not insured against its non-fulfillment in the event of bankruptcy or dishonesty of one of the participants in the transaction. Therefore, forward contracts are more often concluded, as a rule, between parties who know each other well, or, before concluding a contract, future partners thoroughly check the solvency and reputation of each other. A forward contract may be concluded for the purpose of playing on the difference in the market value of assets.

A person who opens a long position expects an increase in the price of the underlying asset, and a person who opens a short position expects a decrease in the price of the basis. For example, an investor, having received shares under a forward contract at a discount, can sell them in the spot market at a higher spot price. The secondary market for forward contracts for the majority of assets is poorly developed, since, according to its characteristics, a forward contract is a purely individual contract. The exception is the forward foreign exchange market.

A forward contract is almost identical to a futures contract, although there are two significant differences between them. First, a forward contract is entered into between two parties in such a way that they can reflect individualized terms. Futures contracts are traded on the stock exchange. It is the exchange that sets all the terms of the contract, with the exception of the price, including the volume of the contract, the delivery date, the type of goods, etc. Secondly, the forward contract is not revalued every day in accordance with the current market prices, as is the case with futures contracts. As a result, profits and losses on a forward contract are only revealed at the time the contract is realized, while futures contract holders must take into account the growth and decline in the value of their contracts, as they are revalued at current market prices on the exchange. The advantage of a forward over a future is that it can be tailored to the specific circumstances and needs of the parties.

There are several types of short-term forward contracts, such as repo and reverse repo transactions. "Repo" is an agreement between the parties to a transaction, where one party sells securities to another with an obligation to buy them back from it after some time at a higher price. As a result of the transaction, one party actually receives a loan secured by securities. The interest on the loan is the difference in prices at which she sells and redeems the paper. The income of the second party is formed due to the difference between the prices at which it first buys and then sells securities. Repo transactions are short-term transactions, from one-day (overnight) to several weeks. With a repo, a dealer can finance its position to purchase securities. There is a concept of "reverse repo". This is an agreement to buy securities with the obligation to sell them at a later date at a lower price. In this transaction, the person who buys the paper at a higher price actually receives it as a loan secured by money. The second person providing a loan in the form of securities receives income (interest on the loan) in the amount of the difference in the sale and redemption prices of securities.

So, forward contacts are based on an agreement between two parties on the delivery of an asset (commodity, securities, currency) at a certain time and at an agreed price, are over-the-counter instruments, and therefore can be assigned to a third party. This contract does not provide for the initial transfer of money, thus differing from spot transactions, which are carried out immediately on the exchange. Forward contracts solve two main tasks: they protect both the buyer and the seller from possible fluctuations in the price of the goods and gives hope to the manufacturer of the goods that his goods will not remain unclaimed, and the buyer is sure that the goods will be delivered to him on time.

2.4 Interest rate swap

Interest swap - an agreement between the parties on the mutual exchange of interest payments calculated in one currency from the proposed amount at predetermined interest rates over a certain period of time.

Since a swap is always an exchange, there are two opposite cash flows.

Interest rate swaps are used for the following purposes:

The ability to raise funds at a fixed rate when access to bond markets is not possible;

Attracting funds at a rate lower than that currently prevailing in the bond market or the credit market;

Restructuring the portfolio of liabilities without additional attraction of new funds or changing the structure of the balance sheet;

Restructuring of the asset portfolio without additional investments;

Insurance of bank assets using swaps;

Insurance of bank obligations with the help of a swap.

An interest rate swap consists of exchanging a debt obligation with a fixed interest rate for an obligation with a floating rate. The persons participating in the swap exchange only interest payments, but not face values. Payments are made in a single currency, and the parties, under the terms of the swap, undertake to exchange payments for several years (from two to fifteen). One party pays amounts that are calculated on the basis of a fixed interest rate on the face value fixed in the contract, and the other party pays amounts according to a floating percentage of this face value. The most commonly used floating rate in swaps is LIBOR (London Interbank Offer Rate). The person who makes the fixed payments on the swap is usually referred to as the buyer of the swap. The person making floating payments is the seller of the swap. With the help of a swap, the parties involved have the opportunity to exchange their fixed-interest obligations for floating-rate obligations and vice versa. The need for such an exchange may arise, for example, if the party that issued the fixed interest obligation expects interest rates to fall in the future. Then, by exchanging fixed for floating interest, it can relieve itself of part of the financial burden of debt servicing. On the other hand, a company that issues floating-rate bonds and expects interest rates to rise in the future will be able to avoid increasing its debt service payments by swapping floating-rate for fixed-rate.

In addition to interest rate swaps, there are many other types of swaps, such as:

Currency swap - represents the exchange of face value and fixed interest in one currency for the face value and fixed interest in another currency;

Asset swap - consists in the exchange of assets in order to create a synthetic asset that would bring higher returns;

Commodity swap - is an exchange of streams of payments when one of the parties agrees to buy or sell a given commodity at a fixed price on certain dates, and the other party is ready to respectively sell or buy this commodity at the current market price on the same dates. The purpose of a commodity swap is to spread the price risk between the client and the financial intermediary.

2.5 Depositary receipts

Currently investing in Russian economy Western investors have significantly decreased, pursuing short-term goals and engaging in the resale of securities or the provision of services for the custody of these securities. Very little is invested in real business related to the production or provision of services, which undoubtedly hinders the development of Russian business. Taking into account that many Russian enterprises wishing to receive additional capital through the issuance of shares, experience problems when placing them among Russian investors, as well as the fact that foreign investors present on Russian market prefer to engage in short-term financial speculation, investment activities some Russian companies today takes on a new quality. They are making attempts on their own to penetrate the world capital market directly, bypassing Western investment companies operating in Russia. One way to achieve this goal is to issue derivative securities for shares, the so-called depositary receipts.

A depositary receipt is a freely traded derivative security on the stock market for the shares of a foreign company deposited with a large depositary bank that issued receipts in the form of certificates or in non-documentary form.

In world practice, there are two types of depositary receipts:

ADR - American Depositary Receipts, which are admitted to circulation on the American stock market;

GDRs are global depositary receipts, transactions with which can be carried out in other countries.

Depository receipts originated in the United States in 1927. Their appearance was caused by the prohibition of English law on the export of British shares abroad and the desire of Americans to speculate in British shares no matter what. The market for depositary receipts began to develop actively in 1970-1980 following the integration of world capital. The market boomed in the 1990s, fueled in part by falling interest rates and the search for opportunities. American investors make money in the markets developing countries.

Currently, more than 1,000 depository receipts for shares of various issuers are circulating on world stock markets, the vast majority of which are companies from developing countries, as well as Russian issuers.

Starting the development of the ADR (GDR) program, companies pursue the following goals:

attraction of additional capital for the implementation of investment projects;

creating an image with foreign and domestic investors, as depository receipts for shares of companies are issued by a world-famous and reliable bank;

growth in the market value of shares in the domestic market: due to an increase in demand for these shares;

expanding the circle of investors, attracting foreign portfolio investors.

The issue of depositary receipts is also attractive for investors, whose benefits are obvious. They can diversify their portfolio more deeply by penetrating through depositary receipts to stocks foreign companies. They also have the opportunity to receive high income from the growth in the market value of shares of companies from developing countries and reduce the risks of investing due to the asynchronous development of stock markets in different countries Oh.

Depositary receipts can be sponsored or unsponsored.

Unsponsored ADRs are issued at the initiative of a major shareholder or group of shareholders who own a significant number of the company's shares. Unsponsored ADRs have the advantage of being relatively easy to issue. The requirements of the US Securities and Exchange Commission for shares against which unsponsored ADRs are issued consist only in providing it with a package of documents confirming the full compliance of the activities of the issuer's company and its shares with the legislation in force in the issuer's country. The disadvantage of such receipts is that they can only be traded on the over-the-counter market. (Unsponsored ADRs are not eligible for trading on exchanges or on the NASDAQ).

Sponsored ADRs (or GDRs) are issued at the initiative of the issuer. There are three levels of programs for sponsored ADRs. Their main difference is whether they allow you to raise additional capital by issuing shares, or not. The first two levels allow the issuance of receipts only against shares already in secondary circulation. The third level allows you to issue receipts for shares that are just going through an initial offering. The most attractive option for issuers is the issuance of Level 3 Receipts, which means a good chance for direct investment in hard currency.

Also, ADRs of the third level can be divided into receipts distributed by public subscription and limited ADRs, which are allowed to be placed only among a limited number of investors. To issue ADRs of the third level, which will be placed through a public fort, it must be submitted to the regulatory authority (in the USA, this is the Commission on Exchanges and Securities) financial statements compliant with US standards accounting. Therefore, Level 3 ADRs have the same rights as any US stock that is publicly listed on the NASDAQ system, the New York Stock Exchange, and the US Stock Exchange.

The use of receipts, on the one hand, allows Russian enterprises (Vimpelcom, MTS, Wimm-Bill-Dann, Mechel, etc.) to gain access to foreign investments, on the other hand, this leads to the fact that The Russian stock market is becoming increasingly dependent on the behavior of foreign investors.

3. Derivative securities: their role and significance for Russia

3.1 Russian derivatives - history of appearance

With the development of market relations in Russia in the early 1990s, forward transactions also arose quite quickly - transactions for goods that are transferred by the seller to the buyer's property on the terms of settlements and delivery agreed by the parties in advance within the period established by the contract in the future.

One of the first forward transactions were transactions for grain concluded in June-July 1991 at MTB (Moskovskaya commodity exchange) for the next harvest. In July 1991, the Rosagrobirzhe completed a deal to purchase a contract for grain mixtures at total amount 650,000 rubles. However, at that time, forward transactions developed in Russia very difficultly, since there were no guarantees of their execution. So, for example, in 1991, by order of the Rostov authorities, a ban was established on the export of grain outside the region. As a result, a number of contracts concluded at MTB in June of the same year were thwarted.

In the conditions of constant confrontation between different regions of the country, the conclusion of forward transactions was unprofitable. Nevertheless, the number and volumes still grew. On June 23, 1992, two record-breaking forward contracts for the supply of grain were concluded at the international food exchange: 100 thousand tons of food and 240 thousand tons of fodder wheat worth over 3 billion rubles . These were the first truly large forward contracts for a classic commodity in the domestic exchange practice. On April 27, 1992, the Rossiyskiy Gas Exchange announced that it was starting to trade in forward contracts.

The first mention in the press of intentions to create in Russia a market for futures contracts (forwards with standard parameters) dates back to mid-1992. metals - MBCM and the Metal Exchange - BM) to create a "contract" (meaning futures market). A Coordinating Committee was set up to form the futures market with the following basic commodities: granulated sugar, second-class wheat, A-76 gasoline and aluminum ingots.

Other exchanges also announced the start of trading in futures contracts. Thus, the Sochi International Commodity and Stock Exchange held an open auction for the sale of futures for the supply of Krasnodar tea. Lot size - 864 kg, delivery time 3 and 6 months. The total price of the two contracts concluded was 210,000 rubles.

Nevertheless, October 21, 1992 is considered the birthday of the standard contracts market in Russia. On this day, MTB held the first trades in currency futures. To begin with, MTB "launched" a trial contract for 10 US dollars (with delivery in two months). interest in the auction and its results exceeded all expectations. During 30 minutes of the trading session, 60 deals were made, in which 235 contracts were sold. During the first month, auctions were held once a week. In total, 694 contracts were signed for MTB in October (slightly less than 7 thousand dollars).

Futures trading began to gain momentum at a very high pace. Since mid-November, trading sessions on MTB began to take place 2 times a week. in addition, the exchange introduced a new $1,000 contract. In the first month of trading, only 42 new contracts were sold, but after half a year, the turnover reached almost 2,000 contracts per month ($2 million). From March 1, 1993, MTB introduced a contract for the German mark, and from June 15 - for the US dollar index. Later in 1995, the size of the dollar contract was increased to 5 thousand US dollars, but this amount of the contract turned out to be too large for the Russian market.

In 1993, the turnover of MTB in the derivatives market amounted to 117 million dollars. As a result of such a rapid development of the derivatives market, its share in the total volume of MTB transactions increased from 60.4% in 1993 to 98.5% in 1994.

In addition to MTB, the largest exchange platforms for futures trading were RTSB, Moscow Central stock Exchange- MCFB and Moscow Financial Futures Exchange - MFFB, which started trading in September 1995. The MTB and MCSE have been the most successful in the area of currency futures, while the RTSB has been in the area of GKO futures trading. the Moscow Chamber of Commerce, established on the basis of the Secondary Resources Exchange, and a number of regional exchanges also traded in currency forward instruments. in addition to contracts for currency and government securities, futures for privatization checks (vouchers) were traded on Russian stock exchanges.

Futures exchanges peaked in late 1994 until the 1995 banking crisis. Volume open positions on MTB, RTSB, and MCSE increased to 220 million dollars, and the volume of transactions per day on contracts for the US dollar - up to 130 million dollars. In January 1995, the daily turnover of the currency futures market on only one MTB approached the turnover of the largest currency spot exchange - the MICEX (30-40 million dollars per day, the volume of open positions - 70 million dollars).

The MICEX itself entered the derivatives market only in 1996, when the activity of the derivatives market had already begun to decline. On September 12, the exchange began trading in futures for the US dollar in the amount of 1,000 dollars. and GKO (10 GKO) without physical delivery. Later, contracts were introduced for ordinary shares RAO "UES of Russia" and NK "LUKOIL", as well as to the MICEX stock index. By August 1998, 6 types of contracts were circulating on the MICEX. The last to be introduced was a dollar contract with a fixed minimum and maximum price. "Launched" on June 30, 1996, it was a futures contract in the form of settlements, and in its economic essence was similar to options.

In addition to currency futures and futures contracts for other financial instruments, since the first half of the 1990s, exchanges have tried to organize trading in commodity futures. However, in conditions of strong inflation, when prices were rising, the commodity futures market could not develop. All attempts by Russian exchanges to establish trading in commodity futures were unsuccessful, although there were quite a few of these attempts, and they were very persistent.

The first to start trading in commodity futures was MTB. Trades in granulated sugar, introduced on the stock exchange, reached in April 1994 a volume equivalent to 3.6 thousand tons. On July 25, 1994, MTB also introduced contracts for wheat. And although the volume of wheat futures sold in August 1994 was already equivalent in physical terms to 23.3 thousand tons, this species fixed-term contract lasted only half a year. Futures trade in granulated sugar has also ceased. Several times MTB tried to establish trading in aluminum futures. The first contract with a volume of 20 tons, which turned out to be unsuccessful, was replaced by another, with a volume of only 150 kg, but they could not establish trade.

Commodity futures were also traded by other exchanges. The MCBM organized trading in three-month futures for non-ferrous metals. Futures trades in lumber were held at the Russian Agricultural Exchange. Scandium futures trading was very sluggish on the RTSB in 1994-95.

Thus, the Russian derivatives market that emerged in 1992 developed mainly as a dollar futures market. However, in September 1995, the government introduced a "currency band". Since its presence significantly limited the amount of possible profit, currency futures ceased to be so attractive for investing free assets. the futures market began to narrow. And yet, currency futures, among other contracts, remained the most preferred derivative. So, despite the current "currency corridor", the dollar futures was the main instrument of the derivatives market on the MICEX, occupying 77% of the market in 1997 (22% were derivatives on GKOs, 1% - on other contracts), and in the crisis year of 1998 - almost 99%.

Unfortunately, the market for standard contracts in Russia turned out to be very vulnerable to various financial crises that shook the country. "Black Tuesday" October 11, 1994, the banking crisis in August 1998 dealt severe blows to futures trading.

I note that at that time the speculative nature of the derivatives market largely determined the further events that led to the crisis on October 5, 1994, futures trading on the MCSE was temporarily suspended due to the fact that the exchange chamber was unable to make mutual settlements between bidders. The situation was as follows, the founders of the MCSE reserved for themselves 400 shares of the Chamber, while independently evaluating them at 50 million rubles apiece - they contributed them as a guarantee for opening positions on the futures market. When fortune turned away from them, they had to sacrifice a "collateral", the declared price of which was significantly overestimated in relation to the market.

Of course, at present, the legislative regulation of the Russian derivatives market has gone far ahead, which will not allow repeating such a gross mistake as self assessment collateral, taking part in the auction by the organizer of the auction and others, but nevertheless, in any trading in derivatives there are always risks that we are not yet aware of and that may arise in the future.

October 5, 1994 entered the history of the Russian futures market as "Black Tuesday", which froze the futures market for a week on another exchange - MTB. At that time, many participants carried out arbitrage operations between the two sites of the MCSE and MTB. Having not received their winnings on the MCSE, the players were trapped when they were unable to cover their loss on another site - MTB. Futures trading resumed at the MCSE only in November 1994, but the "most valuable asset" of the financial market - investor confidence was lost.

Having "withstood the blow" in 1994, the largest domestic currency futures trading platform collapsed in early 1996 due to the crisis in the interbank credit market that began in August 1995. Then MTB placed collateral in banks, which began to experience serious difficulties with their liquidity, and the exchange was unable to pay off its debts.

On June 1, 1998, the Russian Exchange (former RTSB) stopped trading on all contracts, due to the fact that several losing traders, who conducted operations without real collateral, could not fulfill their obligations. Existing general warranty and insurance funds was not enough to meet the obligations. Trading limits opened clearing house on the basis of an oral order from the President of the Russian Stock Exchange for some bills of "Rosresursinvest" that were in his personal safe!

On June 15, 1998, trading was resumed, but they were held at minimum volumes. The Exchange continued to operate with derivatives after the August crisis with the following futures: for the US dollar, for the shares of Lukoil, Mosenergo, RAO UES, for the IBA index, for the euro against the US dollar, the latter began trading in January 1999, a contract for the international index S&P 500 was also traded (31.5% of the market). At the same time, trading was carried out by the brokerage houses themselves, at their own expense (dealer transactions). Turnovers were just meager compared to the present.

In April 1999, the share of international futures dropped noticeably to 10%. In the summer of the same year, exotic contracts for elections to the State Duma of the Russian Federation became popular.

A month after the start of the collapse on the Russian Stock Exchange, the August 1998 crisis followed, which finally destabilized the activity of the Russian futures market, until the very year 2000, when there was some "revival" of the Russian derivatives market.

Summing up this chapter, I would like to note that the formation of the Russian derivatives market was not easy, there were huge gaps in the legislative framework, when making payments, banal fraud and more. But, despite all these problems, the derivatives market remains currently the most liquid and fastest growing market.

3.2 State and prospects of the derivatives market in Russia

Derivative financial instruments have become widespread in market economies in the context of financial globalization. Growth in global financial markets led to their integration and expansion of financial instruments. If the emergence of financial derivatives was largely due to the period of application of currency restrictions in the leading developed countries, then their maximum use fell on the period of liberalization of the interstate movement of capital.

Over the past decades, in the United States and other developed countries, there has been an active process of development of the financial sector of the economy associated with its liberalization. Huge amounts of money have been accumulated in various investment and hedge funds. financial resources. All this plus progress in the field information resources led to the rapid development of the derivatives market in the West. The most actively traded financial instrument on the Western market is a futures contract. Derivatives markets are highly concentrated internationally.

In 2008, compared to the previous year, Russia saw a rapid development of the derivatives market and the derivatives market, namely:

rapid growth of derivatives market turnover, especially for currency instruments (more than 5 times), commodity instruments and stock futures (more than 20 times);

an increase in the number of bidders - banks that enter into transactions with derivatives and forward instruments, including new types of underlying assets. (For example, if in 2007 only 11 banks indicated transactions with interest rate derivatives, then in 2008 there were already more than 20 of them);

the emergence of new types of derivatives, including new types of underlying assets;

The distribution of futures instrument turnover by underlying assets is more traditional for Russia (given in the table below) and reflects its historical realities: as before, the vast majority of transactions (almost 90%) are accounted for by currency derivatives, the next place is occupied by equity derivatives (8 .5%) and interest-bearing instruments (2.8%).

This is followed by derivatives on bonds and commodities. It is especially noteworthy that at the turn of 2007-2008, credit derivatives first appeared on the Russian market (despite the fact that this is one of the most common instruments on Western markets).

According to the Bank for International Settlements Bank for International Settlements (BIS), Basel, www.bis.org, in 2008 compared to 2007, the leader changed: instead of currency forwards, this place was taken by currency swaps, the share of which doubled: 51% in 2008 versus 25% in 2007. Their share also increased due to exchange currency futures. The share of currency options is still small, although it increased from 1.3% to 1.9%, which is explained by difficulties in taxing transactions with this instrument. Forward currency instruments have become noticeably shorter in terms of terms, so transactions on instruments with a maturity of less than one month have grown noticeably from 25.6% to 34.5%. The main instrument in currency pairs is the dollar-ruble, 73.8% in relation to other currency pairs, transactions with which are mainly carried out by banks at their own expense, about 85% in relation to client transactions, which account for only 15%.

Table. Turnovers on transactions with derivatives in the Russian Federation

underlying asset	OTC instruments, (shares,%)	Exchange Instruments
		Futures
FX Futures/Derivatives
Interest
Equity derivatives
Commodity derivatives
Credit derivatives
precious metal

With regard to the way transactions are concluded, it should be noted that more than 2/3 of transactions (70.7%) are concluded by banks directly with each other in bilateral transactions, and only 29.3% are concluded through intermediaries (exchanges and inter-dealer brokerage firms). The latter include MICEX, GFI, NFBK, ICAP, Chicago Mercantile Exchange (CME), and others.

Market of derivative instruments (derivatives)

If we explain what it is in simple terms, we can say that derivatives are a security for a security. The term is based on the English word derivative, which literally translates as “derivative function”

Derivatives belong to the so-called secondary instruments. Secondary or derivative financial instruments are such types of contracts that are based on an underlying (primary) asset.

Almost any product (oil, precious and non-ferrous metals, agricultural, chemical products), currencies of different countries, common stocks, bonds, stock indices, commodity basket indices and other instruments can become the basis of a derivative. There are even derivative securities on another derivative - an option on a future, for example.

That is, derivatives are securities that provide their holder with the right to receive other types of assets after a certain period of time. At the same time, the price and requirements for these financial documents depend on the parameters of the underlying asset.

The derivatives market has much in common with the securities market and they are based on the same principles and rules, although it also has its own characteristics.

In an extremely rare case, the purchase of a derivative security involves the delivery of an actual commodity or other asset. As a rule, all transactions are made in non-cash form through the clearing process

What derivatives are there?

Classification by underlying asset

Financial derivatives- contracts based on interest rates on bonds of the USA, Great Britain and other countries.
Currency derivative securities- contracts for currency pairs (euro/dollar, dollar/yen and other world currencies). Futures for the dollar/ruble pair are very popular on the Moscow Exchange.
Index derivatives- contracts for stock indices such as S&P 500, Nasdaq 100, FTSE 100, and in Russia also futures for stock indices of the Moscow Exchange and RTS.
Equity derivatives. MICEX also trades futures for a number of Russian shares leading companies: LUKOIL, Rostelecom, etc.
Commodity derivatives- contracts for energy resources, such as oil. On precious metals- gold, platinum, palladium, silver. For non-ferrous metals - aluminum, nickel. For agricultural products - wheat, soybeans, meat, coffee, cocoa and even orange juice concentrate.

Examples of derivative securities

futures and forward contracts;
currency and interest rate swaps;
options and swaptions;
contracts for difference and future interest rates;
warrants;
depositary receipts;
convertible bonds;
credit derivatives.

Features of the derivatives market

Most of the derivatives are not recognized as securities by Russian legal acts. The exception includes options that are issued by Joint-Stock Company, and secondary financial instruments based on securities. These include depositary receipts, forward contracts for bonds, stock options.

While primary assets are usually acquired to hold the underlying asset, earn a profit on a subsequent sale, or earn interest, investments in derivatives are made to hedge investment risks.

For example, a farmer insures himself against a shortfall in profits by signing a futures contract in the spring for the supply of grain at a price that suits him. But he will sell the grain in the fall, after the harvest. Automakers hedge their risks by entering into the same agreements to receive non-ferrous metal at a price that suits them, but in the future.

However, investment opportunities of derivatives are not limited to hedging. Their purchase with the aim of selling then with a speculative purpose is one of the most popular strategies on the stock exchange. And, for example, futures, in addition to high profitability, attract with the opportunity, with not the largest investments, to get leverage for a significant amount for free.

However, it should be kept in mind that all speculative transactions with secondary financial instruments are high-risk!

When choosing derivatives as a means of making a profit, an investor should balance his portfolio with more reliable securities with low risk.

Another nuance is that the number of derivative financial instruments may well be much larger than the volume of the underlying asset. Thus, the issuer's shares may be less than the number of futures contracts on them. Moreover, the company issuing the underlying financial instrument may have nothing to do with the creation of derivatives.

What are the advantages of derivatives?

The derivatives market is attractive to investors and has a number of advantages over other financial instruments.

Among the advantages of derivatives as a tool for making a profit, it is worth noting the following:

Derivative financial instruments have a relatively low threshold for entering the market and make it possible to start with minimal amounts.
The ability to make a profit even in a declining market.
The ability to extract more profit and get it faster than from owning shares.
Savings on transaction costs. So, for example, an investor does not need to pay for the storage of derivatives, while brokerage commissions for such contracts are also very low and can amount to several rubles.

Conclusion

Derivatives are an interesting and popular investment tool that allows you to make significant profits in a relatively short period of time. However, the rule is fully applicable to them: higher profitability - more risks.

Diversification investment portfolio and the inclusion of more stable, but less profitable securities, allows these risks to be reduced