The Design Of A Structured Financial Product Linked To The SSE 50ETF

Equity-linked structured financial products are a type of structured financial products that nest derivative financial instruments into fixed-income securities,pursue floating income on a certain rate of return,and link income with a single stock,a basket of stocks,stock indices,index funds or other Equity assets.Since Solomon issued the $100 million S&P 500-linked notes in 1986,stock-linked notes have benefited from the flexibility,the determinism of risk and return ranges,and the combination of capital preservation and floating income.More and more investors in the world are sought after.Since the beginning of this year,the introduction of the New Regulations on Assets and Controls has broken the rigid payment characteristics of commercial banks' wealth management products,while the relatively loose monetary policy has also led to the continuous decline in the rate of return.Products such as bank wealth management products and money market funds which were deeply loved by investors in the past,is losing their appeal.This leads to a strategic opportunity for stock-linked structured financial products.In 2018,the growth rate of commercial banks' structured deposits reached more than 40%,and the overall scale showed rapid growth.It broke through 10 trillion yuan in one fell swoop,which is called "phenometic" products after the new regulations.Under the background of the sharp increase in demand,this paper draws on the research results of many scholars at home and abroad.Based on the current situation of domestic capital market and derivatives market,the paper makes breakthroughs in the issuance and design of stock-linked structured financial products,which designs a stock-linked structured financial product linked to the SSE 50ETF.The content of the first chapter is the research background and research significance of this paper,and summarizes the relevant research status at home and abroad.The second chapter systematically expounds the basic concepts such as the definition of stock-linked products and the characteristics of risk-return.The status quo of stock-linked structural products at home and abroad,and the classification of stock-linked products based on embedded positions and linked targets are also introduced in this chapter;the third chapter introduces the design content and design principles of the products;the fourth chapter uses the classic BS option pricing model and the Monte Carlo simulation which is based on ARMA-GARCH model to price the product.It 1s found that the issue price of this product is slightly higher than the actual pricing result,but the gap was not big.The fifth chapter is the risk hedge of the issuer.The strategy mainly includes two methods:traditional hedging method and hedging strategy based on sensitivity analysis.In the sixth chapter,the author links the products with the existed products from ICBC,ABC and CMB to analyze the advantages and disadvantages of this product;The seventh chapter is the product marketing promotion strategy,which has extensive discussion on product demand,target customers and marketing strategies;Chapter ? is a summary of the full text.This paper fills the blank of domestic research on the design and distribution of stock-linked structured financial products connected with the SSE 50ETF,which has high theoretical value and practical significance for investors,publishers and financial markets.