KR20140028898A - Method and system for managing fund linked hybrid derivative linked securities(dls) - Google Patents

Abstract

The present invention relates to a method and system for operating a linked hybrid derivatives securities that can provide hybrid yields of various types of funds while guaranteeing the principal as a derivatives securities (DLS) product based on funds. The linked derivatives management system is a system for operating securities in which the rights to be paid or recovered are determined in a predetermined manner in connection with changes in the net asset value of the fund. A product issuing unit that generates a communication interface for processing subscription information, and a fund order request signal for investing in the net asset value of the fund of the asset manager's fund according to a preset product management method for the product subscribed to the product through the product issuing asset It includes a fund order to send to the manager server.

Description

METHOD AND SYSTEM FOR MANAGING FUND LINKED HYBRID DERIVATIVE LINKED SECURITIES (DLS)}

The present invention relates to a method and system for operating a linked hybrid derivatives securities, and more particularly, it is possible to present a hybrid yield in which various types of funds are mixed while guaranteeing principal as a derivatives securities product based on a fund. The present invention relates to a method and system for operating a fund-linked hybrid derivative bond.

Derivative Linked Securities (DLS) are securities that indicate the right to be paid or recovered in accordance with a predetermined method in connection with changes in the price, interest rate, indicator, unit or index based on the underlying asset. Say Basic assets include financial investment products, domestic currency, foreign currency, general merchandise (agriculture, livestock products, aquatic products, forest products, mining products, energy belongings and articles manufactured or processed from such raw materials, and the like), Credit risks (changes in credit due to a change in the credit rating of a party or a third party, bankruptcy or debt restructuring, etc.), or other risks inherent in natural, environmental, and economic phenomena, including prices, interest rates, indicators, units It is possible to calculate and evaluate. Issuance and sale may be made by a seller (the securities company, etc.) who has been authorized to manage derivatives securities, and payment of the repayment amount is guaranteed by the seller (issuing securities company, etc.). The base price of a derivative bond is calculated by various complex variables, including the price of underlying assets, volatility and interest rates.

In principle, such derivative bonds are paid on the maturity payment date or early repayment date, and if a repayment is desired, the investor can apply for the repayment as specified in the prospectus (for example, at 5 pm every Monday from the day after the issue date to the day before the maturity evaluation date). On request, either by wire or in writing, the fair value calculated based on the closing price of the next business day on the date of request for repayment (for example, less than 10% of the fair value if less than 6 months after issuance; less than 5% of the fair value if more than 6 months). The repayment amount after deduction) can be paid within 4 business days after the application date. In this case, the investor may lose the principal of investment in the investment of general derivative bonds, and there may be restrictions on the refundability if it is not the date of the request for repayment.

In particular, principal non-guaranteed commodities may lose their investment capital upon maturity due to the extent of the decline in underlying assets. Therefore, investors should fully understand the design structure of the commodity and its risk level before making investment decisions.

As such, the existing derivative-linked securities products have a disadvantage that it is not easy for an investor with expertise in this product to obtain a certain rate of return. In addition, the fund is a performance dividend product is generally not guaranteed the principal, there is a disadvantage that does not meet the principal's demand guarantee.

Republic of Korea Patent Publication No. 10-2007-0119881 (2007.12.21)

The present invention has been derived in view of the above-mentioned conventional problems, and an object of the present invention is a fund that can present a hybrid yield in which various types of funds are mixed while guaranteeing the principal as a derivative-bonded securities product based on the fund. It is to provide a method and system for operating a linked hybrid derivative bond.

Another object of the present invention is to diversify the product selection group of the manager's fund investment, create a principal guarantee fund structure due to derivatives securities products, further facilitate the development of customer-oriented products to meet customer needs, It is to provide a method and system for operating a fund-linked hybrid derivative bond that can contribute to diversification of customer asset portfolio allocation.

In order to solve the above technical problem, the fund-linked hybrid derivatives operating system according to an aspect of the present invention, securities displayed right to determine the amount of payment or recovery in accordance with a predetermined method in connection with the change in the net asset value of the fund A system for operating a product, comprising: a product issuing unit for generating an interface for processing subscription information on an investor's fund-linked derivatives securities product; And a fund order unit that transmits a fund order request signal for investing in the net asset value of at least one fund of the asset management company to the asset management server according to a preset product management scheme for the product subscribed to the product issuing unit.

In one embodiment, the fund-linked hybrid derivatives (hereinafter referred to simply as 'fund-linked derivatives' or fund-linked DLSs) products include Derivative Linked Securities (DLSs) that are based on funds. do. At this time, it is preferable that the fund-linked derivatives securities are a principal guarantee product with an option of setting a participation rate for the fund's yield.

In one embodiment, the fund-linked derivatives management system further includes a database coupled to the commodity issuer and fund order. The database may include information on the investor's subscription to the fund-linked derivative securities and information on the fund's NAV investment application for funds or net asset values (NAVs) ordered by the fund-linked derivative securities. have. In addition, the database may further include hedge management information for the fund-linked derivatives securities commodity, fund net asset value disclosure information of the product or the reference price disclosure information of the product.

In one embodiment, the fund linked derivatives operating system, a commodity issuing server having a commodity issuing unit and receives a commodity subscription request signal from the investor terminal; And a product management server having a fund ordering unit and receiving a product operation request signal for the fund-linked derivative-linked securities product of the investor from the product issuer server. The product manager server may generate a fund investment application text based on the received product operation request signal and transmit a fund order request signal including the generated fund investment application text to the asset manager server.

In one embodiment, the commodity management server performs a hedge operation on the fund-linked derivatives securities products.

Fund linked derivatives operating system according to another aspect of the present invention, the fund issuing unit for issuing the fund; And receiving a fund order request signal from a commodity issuing server operating a securities displaying a right in which a payment or recovery amount is determined in a predetermined manner in association with a change in the net asset value of the fund, and receiving the fund order request signal from the received fund order request signal. And a class setting unit for setting a subscription class of the fund on the basis. Here, the securities are Derivative Linked Securities (DLS) using the fund as an underlying asset, and it is preferable that the securities are a principal guaranteed product with an option for setting a participation rate for the fund's yield.

In accordance with an aspect of the present invention, a method of operating a fund-linked derivative-linked securities is a method of operating a securities in which a right to be paid or recovered is determined according to a predetermined method in connection with a change in the net asset value of the fund. Receiving a subscription request signal for a fund linked derivative bond product from the product; And transmitting a fund order request signal to the asset management server including a full fund application for investment in investing in the net asset value of the fund of the asset management company in accordance with a predetermined product management method for the fund-linked derivatives securities product. In this case, the fund-linked derivative-linked securities is a derivative-linked securities using the fund as an underlying asset, and it is preferable that the fund-derived derivative-bonded securities have an option of setting a participation rate for the fund's yield.

In one embodiment, the participation rate or profit participation rate is linked to the actual movement of the past fund to extract volatility that fits the internal operating model, calculate the actual operating error based on that volatility, and make the error zero or create a fair price. The share is determined by calculating the revenue participation rate.

In one embodiment, the method for operating a fund-linked derivatives securities further includes receiving a product operation request signal from a product issuer server that sells the fund-linked derivatives securities product to the investor side after receiving the subscription request signal. Include. In this case, the product issuing server is provided with the device (product issuing server, etc.) of the company or institution that is authorized to issue the product without actually operating the product, and the product subscription information of the investing party is provided through the product issuing server. Can be sent to.

In one embodiment, the method of operating the fund-linked derivatives securities, hedging the fund-linked derivatives securities products from the product management server that has sent the funds order request signal to the asset management server after receiving the product management request signal. It further comprises the step. Hedge operation involves a series of operational processes that reduce the risk of a product in accordance with a predetermined model based on option hedging.

In one embodiment, the method of operating the fund-linked derivatives securities further includes, after receiving the subscription request signal, performing short-term fund management on the fund-linked derivatives securities product at the product issuer server or the product manager server. Short-term fund management can refer to the implementation of a series of actions in accordance with a predetermined model, such as the purchase of bonds, in order to obtain a stable fixed income.

In an embodiment, the method for managing a linked fund-derived securities further includes receiving fund yield information or fund net asset value information from an asset management server.

According to the present invention, a method and system for operating a linked hybrid derivatives securities capable of presenting a hybrid yield of a combination of various types of funds while guaranteeing the principal as a derivatives securities (DLS) product based on a fund. Can be provided.

Moreover, according to this invention, the product selection group of a manager's fund investment can be diversified. In addition, we can create a principal-funded fund structure from derivatives securities products, which can contribute to the fund market activation and the smoothing of the capital market.

Moreover, according to the present invention, it is possible to further activate the customer-oriented product development that meets customer needs and contribute to diversification of customer asset portfolio distribution.

1 is a schematic diagram of a hybrid DLS management system to which a fund linked derivatives (DLS) management system according to an embodiment of the present invention is applied.
FIG. 2 is a block diagram schematically illustrating an embodiment of a seller employable in the hybrid DLS operating system of FIG. 1.
FIG. 3 is a flowchart illustrating an operation process of the hybrid DLS operating system of FIG. 1.
FIG. 4 is a schematic flowchart of a method for operating a fund linked derivative bond (DLS) that may be employed in the hybrid DLS operating system of FIG. 1.
5 is a graph illustrating an embodiment of a product structure according to the fund linked DLS operating method of FIG. 4.

Hereinafter, preferred embodiments of the present invention will be described in detail with reference to the accompanying drawings.

Generally, the product structure of Derivative Linked Securities (DLS) includes Knock-out, Bull-Spread, Digital, Reverse Convertible, and Early Repayment. It can be divided into.

Here, the knock-out type determines the amount of payment based on the price increase rate and the profit participation rate when the underlying asset price has never been touched and the call has been touched. An option is a method of paying a rebate at the same time it is destroyed. These knock-out types can be created to have various profit structures by adjusting marginal price, contracted amount, profit participation rate and principal guarantee level.

In the non-spread type, when the price of the underlying asset at maturity is above a certain level, the contractor pays a fixed amount, and when it is less than that, the investors are paid according to the price increase rate and the profit participation rate.

The digital type pays a predetermined amount only when the maturity price of the underlying asset is equal to or more than the exercise price. The digital type can be designed using digital call options or multi-level using multiple digital options.

The reverse convertible type pays a contracted amount even if the price of the underlying asset drops to some extent unless the price of the underlying asset falls below a predetermined drop line. The reverse convertible type could lead to a loss of principal if the underlying asset price falls below the downtrend line.

Early repayment is a method of early repayment of a pre-determined amount, termination of the contract, or otherwise, if the price of the underlying asset is above the threshold or above the threshold on the date of the interim price determination. The early repayment type is paid to the investor as pre-determined according to the maturity price of the underlying asset if it is not prepaid by the maturity.

The above-mentioned derivative derivative securities products are financial assets, domestic currencies, foreign currencies, general commodities (agricultural products, livestock products, aquatic products, forest products, mining products, energy belonging to commodities, and manufactured or processed using them as raw materials). Goods, and the like), credit risk (changes in credit due to a change in the credit rating of a party or a third party, bankruptcy or debt restructuring), and other risks belonging to natural, environmental and economic phenomena, etc. It may include a price, interest rate, indicators, units that can be calculated or evaluated.

Invented in the product structure of derivatives securities, the present invention first provides a hybrid derivatives securities commodity based on a variety of funds as a base asset, a hybrid of a plurality of funds among all funds such as stocks, bonds and other real assets. Return costs, and secondly, hedging the structured part (principal guarantee and participation rate part) mentioned in the detailed description below and constructing the product in such a way as to place an order through the asset manager to incur costs in setting up and closing the fund. Third, we will provide a system and method for managing derivative-linked securities that can easily determine safe investments simply by considering the rate of return and participation rate of the affiliated fund.

1 is a schematic diagram of a hybrid DLS management system employing a fund linked derivatives (DLS) operating system according to an embodiment of the present invention.

In the hybrid DLS management system 10 according to the present embodiment, the seller 12 additionally establishes and terminates the linkage with the asset manager 13 for the investor 11 who wants to invest in a fund but suffers a loss of principal. Implement a new fund class and terminate it to ensure that the principal is protected against fund losses without additional transaction costs. This is a schematic block diagram as shown in FIG.

As shown in FIG. 1, the hybrid DLS operating system 10 includes an investor 11, a seller 12, and an asset manager 13.

The investor 11 includes a terminal (hereinafter referred to as an investor terminal) of a user terminal, a company, or an institution for subscribing to a Fund Linked DLS product. The investor 11 may be a user, company or institution that pays the issue price for the subscription product.

The seller 12 has an apparatus (hereinafter referred to as seller server) for selling the fund linked DLS product to the investor 11. The seller server may act as a server device for the investor terminal and act as a client terminal for the server of the asset manager 13. That is, the merchant server may operate as a server-client combined device.

The asset manager 13 is an entity that issues and operates a fund, and sets or terminates a new class for the fund-linked DLS in at least one of the funds currently in operation at the request of the seller 12 (hereinafter, the manager server). Is called). The asset manager 13 may operate a fund including a class in which a fund-linked DLS is set, and may provide or disclose a return or net asset value (NAV) information of the fund to the seller 12.

Here, a fund is an investment fund created to invest in securities such as stocks, bonds, and derivatives, and refers to a fund management unit of a certain amount. Generally, the fund is a performance dividend product which is not guaranteed by the principal but can be structured through the present invention to satisfy the demand of the principal of the customer. As a fund that can be employed in the present embodiment, it is preferable that the fund does not affect the net asset value of the fund due to the limitation of the derivatives market (eg, a fund with a relatively high recruitment amount).

The fund-linked DLS product referred to in this embodiment is an atypical hybrid structured derivative whose yield is determined by the performance of the fund, and the seller (12), such as a securities firm, through the asset manager (13) and the net asset value of the actual fund. By directly operating (setting and terminating) in the company, it pays the rate of participation to the customer and guarantees the principal.

In addition, the fund-linked DLS product according to the present embodiment, the interest amount is determined by using the net asset value of the fund as a market index, and a call option that includes the fund as an underlying asset (Call Embedded). Product).

In this embodiment, the seller 12 may provide an assessment of the acquisition premium level by using the historical volatility data of the fund for efficient operation of the product, and may employ a geometric brownian motion or other probability model. We can apply a model to replicate a portfolio of funds. That is, in the hybrid DLS management system 10 according to the present embodiment, in order to evaluate the fund linked DLS position of the customer, information about model set up volatility that can be evaluated may be disclosed.

In addition, the hybrid DLS management system 10 may perform an option hedge such as delta hedging, proxy hedging, etc. to hedge the fund-linked DLS product. First, delta hedging will be briefly described as follows. In other words, derivatives such as options can generally be expressed as differential equations of underlying assets and time. Solving the differential equation yields a function that corresponds to the price of the option, which results in a function that fits the input. Common inputs include the fund's NAV, volatility, and interest rates. In order to derive a function, theoretical assumptions should be made about the variables. For example, the equation can be derived from the assumption that interest rates and volatility are constants. In other words, most options can be expressed as non-linear functions with the underlying assets and time as input variables. This function can then be approximated to the polynomial function of the underlying asset and developed into a Taylor series. At this time, the first differential term is called delta, and the change in basic asset changes by delta is called delta hedging. This process, from issue to maturity, can produce the same effect as buying and selling an underlying asset.

Next, Proxy Hedging is briefly described as follows. In other words, if you want to use the foreign futures market but there are no Korean won futures and options, choose a currency that is highly correlated with the change in Korean won. For example, if there is a significant positive correlation between the EUR / KRW (KRW) and the Japanese dollar (US $) / JPY (JPY), then the EUR / KRW (USD) long exchange position If an investor holds a hedging risk in EUR / KRW fluctuations, it can be covered by US $ / JPY futures. Note that there is no EUR / KRW futures, so the investor will exchange Yen for US $ in the US futures market. You can hedge the risk of EUR / KRW fluctuations by performing a buy transaction. This buy / sell transaction is called proxy hedging. In addition, German Mark (DM), Pound (￡), Canadian Dollar (C $), French Franc (FFr), Swiss Franc (SFr) and the like can be used.

In addition, the hybrid DLS management system 10 may perform option trading for the hedge operation of the fund-linked DLS products. Here, Option is a derivative product that buys or sells a right to buy or sell a product at a certain time in the future, and is also called a conditional claim.

FIG. 2 is a block diagram schematically illustrating an embodiment of a seller employable in the hybrid DLS operating system of FIG. 1.

Referring to FIG. 2, the seller 12 according to the present embodiment is a subject for issuing and operating a fund-linked DLS product, a product issuing unit 122 for issuing a product, and a fund for operating the product through a fund order. The order unit 124 is provided. In addition, the seller 12 may have a database 126 that is coupled to the product issuer 122 and the fund orderer 124.

The product issuing unit 122 includes a DLS product subscription interface for selling or issuing a fund linked DLS product. The DLS product subscription interface may be provided to an investor terminal connecting to the seller server of the seller 12 through a network, or to a terminal of a product sales representative of a branch of the seller 12. The DLS product subscription interface may be implemented as a DLS booking screen for reservation of a Fund Linked DLS product. The DLS booking screen may include a plurality of input units for describing a product name, a position for selling or buying, a participation rate for a fund return rate, a nominal amount, and the like. In addition, the DLS booking screen may include a hedge classification selector for selecting a hedge operation method, a fund selector for selecting a fund name, and the like. In addition, the DLS booking screen may include an input window for inserting a transaction date, a settlement date, a maturity evaluation date, a maturity repayment date, an OTC option, a settlement currency, an initial reference price, a contract exchange rate, and a selling price.

The network includes any network capable of performing a call or communication function, such as a mobile communication network for voice call, a mobile communication network for video call, an internet protocol (IP) or long term evolution (LTE) based data communication network, or the Internet. do. Such a network may include a mobile communication network, a data network or a satellite network, and the mobile communication network may include, for example, a body area network (BAN), a personal area network (PAN), a local area network (LAN), and a metropolitan area (MAN) according to a transmission distance thereof. Network, wide area network (WAN), and the like.

In addition, the product issuing unit 122 may include a product parameter setting interface for setting a product parameter of the fund-linked DLS product. The commodity parameter or input variable of the commodity parameter setting interface may be implemented to be automatically set internally according to the input information of the DLS commodity subscription interface when the investor subscribes to the fund-linked DLS commodity at the seller's online site or offline branch. have. These commodity parameter setting interfaces include option type, Call / Put alternative, underlying asset price, exercise price, maturity date, remaining date, interest rate, dividend rate, volatility, cash payment, barrier, participation rate, conversion A plurality of input windows for describing the ratio and the like may be provided. In some implementations, the product parameter setting interface may include a separate input screen for receiving at least a part of a corresponding product parameter or an input variable. The separate input screen for parameter setting and variable input may be used as a screen for valuation of fund linked DLS products.

The above-described DLS product subscription interface, DLS booking screen, and product parameter setting interface are similar in form and structure to various interfaces or setting screens for reservation or issuance of existing DLS products except that the actual contents of input variables or parameters are different. Therefore, illustration thereof is omitted.

The fund ordering unit 124 performs a fund order to the asset manager based on the fund-linked DLS products that the investor joined. When the fund is ordered, the fund ordering unit 124 generates a fund investment application full text based on the setting information of the subscription product set through the product issuing unit 122 and sends a fund order request signal including the generated fund investment application text. You can send it to the manager. The full fund investment application is the basic asset of the fund-linked securities, which is intended to invest in the change in the net asset value of the fund, which may include the terms of the agreement between the seller 12 and the asset manager. Using the fund ordering unit 124, the seller 12 has a subsidiary (new class) for the fund of the asset management company, and can set up or terminate the fund that becomes the basic asset of the fund-linked DLS product.

The database 126 stores product subscription information 1261 for the fund-linked DLS product of the investor registered through the product issuer 122, and the fund ordering unit 124 stores the net asset of the fund based on the fund-linked DLS product. Stores fund NAV investment information 1262 invested in value (NAV).

In addition, the database 126 may store product hedge management information 1263 which stores information on the hedge operation scheme of the seller 12 or information on the result of the hedge operation for the fund-linked DLS product. In addition, the database 126 may store fund NAV disclosure information 1264 or product reference price information 1265 related to the fund-linked DLS product.

FIG. 3 is a flowchart illustrating an operation process of the hybrid DLS operating system of FIG. 1.

Referring to FIG. 3, an investor first subscribes to a fund-linked derivative-linked securities company (hereinafter, simply referred to as “FL-DLS”) product (S31). Here, the securities company corresponds to the seller as a subject to sell the FL-DLS products, and if it is possible to sell the fund-linked derivatives securities of the present invention, it can be replaced by banks, government agencies, other authorized agencies and the like. At this stage, securities firms can sell or issue FL-DLS products linked to more than one fund.

Next, the securities firm applies for direct investment in the net asset value of the asset manager's fund in order to hedge the goods sold to the investor (S32). In the case of direct investments in changes in the net asset value of the fund, upfront commissions and repurchase fees may be incurred.

Next, the asset manager sets a new subscription class of the fund according to the request of the securities firm or the preset terms with the securities firm (S33). For example, the asset manager sets up a new class to provide the product to the securities firm.

Next, the securities firm hedges the FL-DLS products to guarantee the principal (S34). Here, the hedge operation involves repurchasing or further setting up the fund. In this case, the securities company may not charge the repurchase fee or upfront fee to the investor.

Next, the asset manager or securities company discloses the net asset value (NAV) of the fund for the FL-DLS product and the base price of the FL-DLS product (S35). This step S35 may be omitted in the case of a private equity fund.

Next, the securities company pays interest to the investor at a maturity or early redemption of the FL-DLS product, together with the principal, a performance (return) corresponding to a predetermined ratio (x%) of the fund's yield (S36).

On the other hand, in the present embodiment, the securities company not only issues the FL-DLS product but also operates as a subject that operates the FL-DLS product. Therefore, securities firms issue FL-DLS products or have a product issuing unit (122 of FIG. 2) and a product management company operating FL-DLS products or having a fund ordering unit (124 of FIG. 2). It may be implemented to have.

FIG. 4 is a schematic flowchart of a method for operating a fund linked derivative bond (DLS) that may be employed in the hybrid DLS operating system of FIG. 1.

Referring to FIG. 4, the investor 11 transmits a FL-DLS product subscription request signal to the product issuer 121 (S41). The investor 11 corresponds to an investor terminal, and the FL-DLS product subscription request signal may include FL-DLS product reservation information registered through the above-described DLS booking screen according to the request of the investor.

Next, the product issuer 121 sets the FL-DLS product subscription in response to the FL-DLS product subscription request signal (S42). The set information may be stored in the database as the product subscription information of the investor. The product issuer 121 corresponds to a product issuer server.

Next, the product issuer 121 transmits the FL-DLS product operation request signal to the product manager 123 (S43). Here, the product manager 123 corresponds to the product manager server. The FL-DLS product operation request signal may include predetermined information between the product issuer 121 and the product manager 123 for the fund investment application or the fund order. Such information may include at least a portion of investor information or product subscription information registered through the DLS booking screen.

Next, the product manager 123 generates a full fund investment application in response to the FL-DLS product operation request signal (S44). The full text of the Fund Investment Application shall include the contents for ordering the settings to at least one fund designated in the FL-DLS product. For example, the full text of a fund investment application may include what is listed in an online or offline application for an existing fund order.

Next, the product manager 123 transmits a fund order request signal including a full fund investment application to the asset manager 13 (S45). The asset manager 13 corresponds to the asset manager server. The asset manager 13 sets a new subscription class according to the fund order request of the product manager 123 for the previously issued fund S460 (S46). The setting of the subscription class may be automatically set on the communication channel according to a contract between the asset manager 13 and the product manager 123. In addition, the asset manager 13 may transmit the fund return information or the fund net asset value information to the product manager 123 for the funds ordered by the product manager 123 according to the implementation (S47).

Meanwhile, the product manager 123 may hedge the FL-DLS product in order to guarantee the principal's principal and revenue (S48). Hedge operations include fund orders based on FL-DLS products, repurchase or additional setting up of funds ordered. In addition, according to the implementation, the product manager 123 may perform hedging (short-term fund management, etc.) related to the principal operation of the FL-DLS product in order to guarantee the principal and the profit of the investor (S49).

In the present embodiment, the seller 121, the product manager 123 and the asset manager 13 may be provided in the form of an affiliate of a holding company that is a single subject. For example, the seller 121 and the product manager 123 may correspond to different departments or functional units of a securities company of a holding company, and the asset manager 13 may correspond to an asset manager of the same holding company.

FIG. 5 is a graph illustrating an embodiment of a product structure according to the method for operating a fund linked derivative bond of FIG. 4.

As shown in FIG. 5, the product structure of the fund-linked derivatives (DLS) operating method according to the present embodiment is as much as the participation rate (eg, 70%) when the fund returns 51 (h0-h2 interval). The profit 52 is generated and the principal 53 is guaranteed even if the fund yield falls (corresponding to the h0-h1 interval).

As described above, according to the present embodiment, a new derivative combination is different from the existing derivative-linked securities products having a product structure in which a profit is generated when the yield of the underlying asset rises but a principal loss occurs when the yield of the underlying asset falls below the reference price. Can provide securities products.

In the above embodiment, the participation rate may be determined by the following three steps.

First, it extracts the volatility that fits the internal management model by interlocking with the actual movement of the past fund, and second, calculates the actual operating error based on the volatility. Third, the error becomes zero or makes the fair price. It can be determined by calculating the rate of revenue participation that makes the error to a minimum.

The allowable range of the above-mentioned participation rate can be set from 0 to several%, and this participation rate is usually expressed in terms of profit participation rate for the increase, but returns in case of falling participation rate according to the product (eg participation rate -70%) You can insert a profitable participation rate into the drop, not a loss.

As described above, in the fund-linked hybrid DLS management scheme according to the present embodiment, the higher the participation rate, the greater the exposure to the fund's return, so that the DLS return increases, and when the negative participation rate is indicated on the loss rate of the fund, the lower the participation rate, the negative absolute value. As this increases, the DLS yield can increase.

It will be understood by those of ordinary skill in the art that various changes in form and details may be made therein without departing from the spirit and scope of the present invention as defined by the following claims . It is therefore to be understood that the above-described embodiments are illustrative in all aspects and not restrictive.

10: Hybrid Derivative Securities Operation System
11: Investor
12: Seller
121: product publisher
123: product manager
13: Asset Manager

Claims (18)

It is a system that manages securities in which the right to determine the amount of payment or recovery is determined according to a change in the net asset value of the fund.
A commodity issuing unit that generates an interface for processing subscription information of the investor-linked derivative-linked securities product; And
A fund ordering unit that transmits a fund order request signal to an asset management server to invest in the net asset value of an asset management company's fund according to a preset product management method for a product subscribed to the product issuing unit.
Fund-derived hybrid derivative bond management system comprising a. The method of claim 1,
The fund-linked derivative-linked securities product is a fund-linked hybrid derivatives management system including a derivative linked securities (DLS), the fund as an underlying asset. 3. The method of claim 2,
The fund-linked derivative-linked securities products, the fund-linked hybrid derivatives operating system including a principal guarantee product that has an option to set the participation rate for the fund's return. The method of claim 3,
The participation rate or profit participation rate is determined by extracting the volatility that fits the internal management model in conjunction with the actual movement of the past fund, calculating the actual operation error based on the volatility, and calculating the profit participation rate that makes the error minimum. Fund-linked hybrid derivatives management system. The method of claim 1,
And a database coupled to the product issuing unit and the fund ordering unit, wherein the database includes investment subscription information of an investor for the fund linked derivative bond product and investment application information for the net asset value of the fund. Fund-derived hybrid derivatives management system. 6. The method of claim 5,
And the database further comprises hedge management information of the commodity, net asset value disclosure information of the commodity, or reference price disclosure information of the commodity. The method of claim 1,
A product issuing server including the product issuing unit and receiving a product subscription request signal from the terminal of the investor; And
Commodity management server having the fund ordering unit and receives a product operation request signal for the fund-linked derivatives securities of the investor from the product issuer
Further comprising:
The merchandise management server generates a fund investment application text based on the received product management request signal and transmits a fund order request signal including the generated fund investment application text to the asset management server. Securities management system. 8. The method of claim 7,
The fund management server server linked hybrid derivatives securities management system, characterized in that for performing the hedge operation on the fund-linked derivatives securities. In the fund-linked hybrid derivatives management system,
A fund issuing unit for issuing a fund; And
Receiving a fund order request signal from a seller or a commodity management company that issues a security indicating a right to determine the amount of payment or recovery in accordance with a change in net asset value for the fund, and receives the fund order request signal Class setting unit for setting the subscription class of the fund based on
Fund-derived hybrid derivative bond management system comprising a. 10. The method of claim 9,
The securities are Derivative Linked Securities (DLS) using the fund as an underlying asset, and the fund-linked hybrid derivatives management system, characterized in that the principal guarantee product with an option to set the participation rate for the fund's return. 10. The method of claim 9,
The securities are a fund-linked hybrid derivatives management system, characterized in that the interest amount is determined by the market value of the fund as a market variable, and the call option using the fund as an underlying asset. A method of operating securities in which the right to determine the amount of payment or recovery is determined in a predetermined manner in connection with changes in the net asset value of the fund,
Receiving a subscription request signal for a fund linked derivative bond product from an investor terminal; And
Transmitting a fund order request signal including an investment application for investing in the net asset value of the fund of the asset management company fund according to a predetermined product management method in the fund-linked derivatives securities products to the asset management server
Fund linked hybrid derivatives operating method comprising a. The method of claim 12,
The fund-linked derivative-linked securities product is a Derivative Linked Securities (DLS) that uses the fund as an underlying asset, and is a fund-linked hybrid derivative, characterized in that it is a principal-guaranteed product with an option to set the participation rate for the fund's rate of return. How to Operate Consolidated Securities. The method of claim 12,
The participation rate or profit participation rate is determined by extracting the volatility that fits the internal management model in conjunction with the actual movement of the past fund, calculating the actual operation error based on the volatility, and calculating the profit participation rate that makes the error minimum. Fund-linked hybrid derivatives management system. The method of claim 12,
And after receiving the subscription request signal, receiving a product operation request signal from a product issuing server that sells a fund linked derivative bond product on the investor terminal side. 16. The method of claim 15,
After the step of receiving the product operation request signal, the fund-operated hybrid derivatives securities management further comprises a step of hedge operation for the fund-linked derivatives securities commodity management server server that sent the fund order request signal to the asset management server server Way. 17. The method of claim 16,
After the step of receiving the subscription request signal, the fund issuing server or commodity management server further comprises the step of operating a short-term fund for the fund linked derivatives securities products. The method of claim 12,
The fund-linked hybrid derivatives management method further comprising the step of receiving fund return information or fund net asset value information from the asset management server.

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