第讲用于汇率风险管理的衍生产品货币期货与期货市场.ppt
《第讲用于汇率风险管理的衍生产品货币期货与期货市场.ppt》由会员分享,可在线阅读,更多相关《第讲用于汇率风险管理的衍生产品货币期货与期货市场.ppt(34页珍藏版)》请在三一文库上搜索。
1、Chapter 2,Derivative Securities for Currency Risk Management Currency Futures and Futures Markets,Chapter Overview,1 Financial Futures Exchanges 2 The Operation of Futures Markets 3 Futures Contracts 4 Forward versus Futures Market Hedges 5 Futures Hedges Using Cross Exchange Rates 6 Hedging with Cu
2、rrency Futures,Chapter Objectives,This chapter compares currency futures contracts to currency forward contracts and shows how they are priced by the marketplace. Emphasis is placed on how currency futures contracts are similar to, and yet different from, forward contracts The last several sections
3、discuss implementation issues: Delta hedges for maturity mismatches Cross hedges for currency mismatches Delta-cross hedges for currency and maturity mismatches,Forward Market,1. Forward Contracts A forward contract is an agreement between a corporation and a commercial bank to exchange a specified
4、amount of a currency at a specified exchange rate (called the forward rate) and on a specified future date. When MNCs anticipate a future need for or future receipt of a foreign currency, they can set up forward contracts to lock in the rate at which they can purchase or sell a particular foreign cu
5、rrency.,A forward hedge of the dollar,Underlying position of a French exporter (long $s) Sell $s forward at Ft/$ (short $s and long s) Net position,+$40 million,+40 million,-$40 million,+40 million,-Goods,The forward contract provides a perfect hedge because the size and timing of the hedge transact
6、ion exactly offsets the size and timing of the underlying exposure.,Forward Market,2. Non-Deliverable Forward Contracts a. New type A non-deliverable forward contract (NDF) does not result in an actual exchange of currencies. Instead, one party makes a net payment to the other based on a market exch
7、ange rate on the day of settlement. b. Frequently used for currency in emerging markets c. No delivery required d. One party to the agreement makes a payment to the other party based on the exchange rate at the future date.,An NDF can effectively hedge future foreign currency payments or receipts:,N
8、DF Market,Index = $.0018/peso pay $20,000 to bank.,Forward versus Futures Contracts,Comparing currency futures contracts to currency forward contracts and shows how they are priced by the marketplace. Forwards are a pure credit instrument Whichever way the price of the spot rate of exchange moves, o
9、ne party always has an incentive to default(违约动机) Eg,FX,$1.475/,当汇率上升时,卖方有违约动机,当汇率下降时,买方有违约动机。 The futures contract solution A futures exchange clearinghouse takes one side of every transaction (and makes sure that its exposures cancel one another) Contracts are marked-to-market daily Require initia
10、l and maintenance margins,Forwards versus futures,Forwards Futures Counterparty Bank CME Clearinghouse (Forward contracts are created by commercial and investment banks, whereas futures contracts are usually found on futures exchanges) Maturity Negotiated 3rd week of the month (US) Amount Negotiated
11、 Standard contract size Fees Bid-ask Commissions Collateral Negotiated Margin account Settlement At maturity Most are settled early,Futures exchanges,Financial futures exchanges are usually associated with a commodity futures exchange 2002 volume Top 5 futures exchanges (million contracts) Eurex - E
12、urex (Germany & Switzerland) 536.0 CME - Chicago Mercantile Exchange (U.S.) 444.5 CBOT - Chicago Board of Trade (U.K.) 276.3 Euronext - (Amsterdam, Brussels, Lisbon, Paris, London) 221.3 NYMEX - New York Mercantile Exchange (U.S.) 107.4 BM&F - Bolsa Mercadorias & de Futuros (Brazil) 95.9 Source: Fut
13、ures Industry Association,Forwards versus futures,Futures contracts are similar to forward contracts Futures contracts are like a bundle of consecutive one-day forward contracts (期货合约是一连串可更新的1天期远期合约的组合: Each day, the previous days forward contract is replaced by a new one-day forward contract with a
14、 delivery price equal to the closing price from the previous days contract. 如三个月期的远期合约,相当于90个可更新的1天期的远期合约 Daily settlement is the biggest difference between a forward and a futures contract Futures and forwards are nearly identical in their ability to hedge risk(在规避风险管理的功能上有相似之处),Hedging with future
15、s,Forward contracts can be tailored to match the underlying exposure Forward contracts thus can provide a perfect hedge of transaction exposure to currency risk Exchange-traded futures contracts are standardized They will not provide a perfect hedge if they do not match the underlying exposures Curr
16、ency mismatch - there may not be a futures contract in the currency that you would like to hedge Maturity mismatch - there may not be a futures contract expiring on the same day as your underlying transaction exposure Contract size mismatch - the underlying transaction exposure may not be an even in
17、crement of existing futures contracts,Interest rate parity revisited,Some definitions St,Td/f = spot price at time t for expiry at time T Ft,Td/f = forward price at time t for expiry at time T Futt,Td/f = futures price at time t for expiry at time T Forward and futures prices are equal through inter
18、est rate parity Interest rate parity is usually expressed as a forward-looking relation from time zero to time t. (Ftd/f / S0d/f) = (1+id)/(1+if)t In the slide, IRP is expressed as a backward-looking relation from time t through the expiration date T(即根据IRP可以预测远期和期货价格) Futt,Td/f = Ft,Td/f = Std/f (1
19、+id)/(1+if)T-t STd/f (as t T),Spot and futures price convergence at expiration,Futures prices converge to spot prices at expiration.,Maturity mismatches and basis risk,If there is a maturity mismatch, futures contracts may not provide a perfect hedge Because the convergence of futures prices to spot
20、 prices is nearly linear, interest rate differentials (1+id )/(1+if ) are often approximated by the simple difference in nominal interest rates, (id-if). The difference (id-if) is called the basis The risk of change in the relation between futures and spot prices is called basis risk When there is a
21、 maturity mismatch, basis risk makes a futures hedge slightly riskier than a forward hedge(当存在期限错配时,基差风险使期货套期保值相对远期套期技术而言更有风险。),Maturity mismatches and Delta hedges,Futures hedge is called a delta hedge when there is a mismatch between the maturity (but not the currency) of a futures contract and th
22、e underlying exposure. When there is a maturity mismatch, a futures hedge cannot provide a perfect hedge against currency risk.,Dec 16,Oct 26,Mar 13,-S$10million underlying obligation,Futures expiration date following the cash flow,An example of a delta hedge,time 0,time t=227/365,Sept 11,Futures ex
23、piration date following the cash flow,time T=278/365,An example of a delta hedge,There are 227days between March 13 and October 26. A hedge with the futures contract expires on September 11 only hedges against currency risk through that date. It remains exposed to changes in currency values from the
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 用于 汇率 风险 管理 衍生 产品 货币 期货 期货市场
链接地址:https://www.31doc.com/p-2085626.html