Property Derivatives - A basic insight with a special focus on Austria E-Book

Carina Wechtl

• Herausgeber: GRIN Verlag
• Sprache: Englisch

Veröffentlichungsjahr: 2012

Beschreibung

Bachelor Thesis from the year 2011 in the subject Economics - Finance, grade: 1.8, Fachhochschule des bfi Wien GmbH, language: English, abstract: Research Question: The main research question of this paper is: "How do property derivatives work and which advantages do they have?" This question is answered in the chapters two to five where the necessary parts to establish property derivatives and their advantages in comparison with other real estate investments are mentioned. The secondary questions are: "Is there a property derivatives market in Austria or even a potential?", and "For whom can a property derivative make sense and where is the state-of the-art in property derivative knowledge in Austria?" The first question is answered in chapter six and seven. The method to find out the state-of the-art of knowledge is identified in chapter seven.

Leseprobe

Table of Content

List of Abbreviations

1 Problem outline and significance

1.1 Purpose and Motivation

1.2 Research Question

1.3 Method

1.4 Disposition

1.4 Terminology

2 Rationales for Property Derivatives

2.1 Principles of the Property Derivative Market

2.2 Advantages

2.3 Disadvantages

2.4 Users in the Market

3 Basic Property Derivative Instruments

3.1 Property Swaps

3.2 Property Forwards

3.3 Property Futures

3.4 Property Options

4 Underlying Indices

4.1 Characteristics of Indices

4.2 Important International Indices

4.3 Indices in Austria

5 Pricing of Property Derivatives

5.1 Pricing Models for Property Derivatives

5.2 Pricing influencing assumptions

6 Property Derivatives in Austria

6.1 Austrian Property Market

6.2 Austrian Property Derivatives Market

6.3 Valuation of a Property Swap

7 Conclusion and suggestions

Appendix 1: Interview mit Hr. Höchtl

Appendix 2: Risks of derivatives

Appendix 3: Comparison of different kinds of property investments

Appendix 4: Explanation of systematic risk and into the un-systematic risk

Appendix 5: Criteria for underlying indices

Appendix 6: Available IPD indices all over the world

Appendix 7: Full databank profiles for the IPD countries

Appendix 9: Evaluation of a 5-year property swap

Appendix 10: Evaluation of a 5-year property swap

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List of Abbreviations

AG Aktiengesellschaft

Art. Artikel

bfi Berufsförderungsinstitut

bzw. beziehungsweise

BWG Bankwesengesetz

Dec December

DIX Deutscher Immobilien Index

Ebn Euro billions

e.g. exempli gratia, for example

etc. et cetera

EUR euro

EURIBOR Euro Interbank Offered Rate

FH Fachhochschule

FMA österreichische Finanzmarktaufsichtsbehörde

GBP Great Britain Pound

GmbH Gesellschaft mit beschränkter Haftung

REIT Real Estate Investment Trust

HBOS Halifax and Bank of Scotland

HPI Halifax House Price Index

i.d.R. in der Regel

i.e. id est

IPD Investment Property Databank

ISDA International Swaps and Derivatives Association

LIBOR London Interbank Offered Rate

MIT Massachusetts Institute of Technology

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NCREIF National Council of Real Estate Investment Fiduciaries

n.d. no date

NPI National Property Index

OTC Over-the-Counter

p. page

PV Present Value

Q1 quarter 1

UK United Kingdom

US United States

YoY Year over Year

Z Ziffer

z.B. zum Beispiel

$bn Dollar billions

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Abstract

Nowadays all participants of real estate and financial markets have to know about property derivatives. Everyone who wants to get basic know-how about property derivatives will find a good groundwork with the paper.

It paper offers an overview of the rationalities for property derivatives with its advantages and disadvantages as well as its users. Furthermore the basic property derivative instruments, such as: property swaps, property forwards, property futures and property options are explained. The characteristics of underlying indices and most favorite indices are mentioned as well. Also a basic insight about different pricing models is given. In addition the Austrian property derivatives market and the Austrian property market are outlined and compared with the market of the United Kingdom. Finally a valuation of a property swap on the UK All Property index is explained in detail.

The paper ends with a summary of the main outcomes and by mentioning further topics that have to be discussed in order to get an overall picture of the Austrian property derivatives market. Also some suggestions for developing a property derivatives market in Austria are mentioned.