| 作者 |
 [转帖]ProShares First to Market with Inverse Bond ETF |
 |
| 所跟贴 |
这些ETF是很好玩很方便的，之前PA就做过SKF。。 -- 天凉好个哈糗 - (1391 Byte) 2008-5-02 周五, 21:37 (348 reads) |
theoretical
[博客]
[个人文集]
头衔: 海归上校
声望: 院士
性别: 
加入时间: 2006/10/13
文章: 5521
海归分: 69567
|
|
|
作者：theoretical 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
Read the Fine Print (This was written by Juan Carlos Arroyo Calderon)
Exchange-traded funds (ETFs) have skyrocketed in popularity, and there now seems to be an ETF for every imaginable strategy or group of securities. Many in the bear camp have been giddy about the availability of short and ultra-short ETFs, which now come in a variety of index and sector flavors.
CTB and other WSE loyalists should be aware of the growing problem with derivatives, like the fact that the notional value of total derivatives dwarf the size of the entire global economy many times over. Some may be asking what happened. Easy. Well, easy money that comes with underwriting or insuring any bad bet. As the monoline insurers are clearly showing, the theme of counterparty risk is one that looms large in any future scenario.
What is counterparty risk? Let’s say two parties, A and B, want to speculate on the movement of any item or security. A bets it will go down, and B bets that it will go up. The risk to either party is the move against them, that they will be taking a loss. The total risk represents the total loss to A or B, and each has a separate risk. Counterparty risk arises when either A or B lacks sufficient capital to pay up when he loses. Counterparty risk probably represents an amount less than total risk, and when you factor in the leverage and complex derivatives involved with today’s financial wizardry, it can get ugly rather fast.
I just happen to have a copy of ProShares prospectus for their ETFs, and it states:
Counterparty Risk (All Funds) A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to financial instruments entered into by the Fund or held by special purpose or structured vehicles. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the value of your investment in a Fund may decline. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds typically enter into transactions with counterparties whose credit rating is investment grade, as determined by a nationally recognized statistical rating organization, or, if unrated, judged by Proshare Advisors to be of comparable quality.
ProShares acknowledges counterparty risk in all their ETFs - short, ultra, and ultrashort. All three types of ETFs involve some form of leverage and derivative, without which it would be impossible for the fund to meet its objective. This legal disclaimer amounts to nothing more than generic vanilla in normal times, but we are not in normal times. The failure of the monolines hint at the serious risk factor involved with counterparty failures.
A few items from the ProShares disclosure deserve special mention:
Credit risk - That sucks, we are in a credit crisis.
Counterparty becoming bankrupt - Seems more likely by the day
Reorganization - With leverage, it’s likely and possible that many counterparties will have their capital base wiped out.
Counterparties with investment grade credit ratings - Given how great the credit rating agencies have been with subprime, does this assurance really mean anything?
Nationally recognized statistical rating organization - Moody’s, S&P, and Fitch among others. The ones who claim they do no due diligence for bonds and exotic structured credit products.
I peered out further into the ProShares prospectus to get more information I could get from the Bearish ETFs, or Shorts. Here’s what I found:
Futures Contracts and Options on Futures Contracts
Swap Agreements - Two-party contracts entered into primarily by institutional investors.
Forward Contracts - Two-party contracts entered with broker-dealers or financial institutions.
Options on Securities and Stock Indices
At least two categories of derivatives are OTC derivatives, which are not regulated by exchanges. OTC derivatives represent a higher counterparty risk as they depend solely on the capital strength of the two parties involved. It’s very much like a contract between two private parties without the mediation by a third-party, like an exchange.
The risks outlined here would apply not only to bearish and/or levered ETFs, but bearish and/or levered mutual funds as well. It’s ultimately each person’s call as to what risk they want to take and how much capital they want to risk.
作者：theoretical 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
|
|
|
| 返回顶端 |
|
 |
|
| |
|
|
|
您不能在本论坛发表新主题, 不能回复主题, 不能编辑自己的文章, 不能删除自己的文章, 不能发表投票, 您 不可以 发表活动帖子在本论坛, 不能添加附件不能下载文件, |
|
|
