The Pricing Analysis Of Jinqi Income Certificates Issued By Orient Securities Company Limited

The income certificates issued by securities has experienced rapid development since 2014.As an innovative product for the securities company,the income certificates have broaden the financing channels and promoted new businesses for the securities company;As a new investment product,it gets more and more investors' attention.As the same structured financial products,domestic research focuses on the products issued by commercial banks,but the research on securities' income certificates is still very little.This paper take the Jinqi income certificates issued by Orient Securities Company Limited as the reaserch object,and summarize their characteristics after analyzing the 146 issued products.The term of the products is generally short,the yield to maturity is composed of a fixed yield and a flaoting yield,which is decided by the embedded option of the products.The option is mainly an exotic options or an option trading stratagy,such as binary option and spread option.There are always two products issued at the same time,one's floating yield is bullish about the underlying asset,the others' is bearish about the underlying asset.The paper mainly conduct the pricing models for Jinqi income certificates according to the theory of fixed-income securities and B-S option pricing model,and then caculate four products' price.The results show that the model prices are higher than the actual issuing prices,and the discount rate is between 0.9% and 2.8%,which is the opposite phenomenon of premium issuing of commercial banks' structured products.The paper also analyzes that different choosing of the volalitity and the risk-free rates is the main factor affecting the prices.The paper argues that the competition of the financial institutions is the main reason why securities companies discounttingly issue income certifacates,giving profit to investors,and give the thinking and suggestions from the perspective of the securities and the regulators to promote the reasonable development of the income certigicates market.In addition,the paper's analysis on the pricing of the Jinqi income certificates has a certain reference value for the investors and helps them to have a more comprehensive understanding of the innovative products.At present,income certificates are discountingly issued,however but investors still need to choose the appropriate investment according their own circumstances,and should understand the risks contained in the products.