国际金融英文版CH6.pptx
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国际金融英文版CH6.pptx
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Chapter6FinancialDerivativesforCurrencyRiskManagementIntroductiontoFinancialDerivativesnFinancialderivativesarefinancialinstrumentswhosevaluesarederivedfromanunderlyingassetsuchasastockoracurrency.nDerivativesaremainlyusedtohedgeagainstinterestrateandforeignexchangerisk.Theyarealsousedtospeculate.nCurrencyforwards,currencyfuturesandoptions,currencyswapsaremainderivativesinthederivativesmarket.CurrencyFuturesnTheviolentfluctuationsofcommoditypricesledtothecreationoffuturesmarket.nThecollapseoftheBrettonWoodspeggedexchangeratesystemisthemainreasonforthefirstcurrencyfuturescontract.nCurrencyfuturescontractwascreatedtocovertheforeignexchangerisk.nAfuturescontractisanagreementbetweentwopartiestobuyandsellacurrencyatacertainfuturetimeforacertainprice.nAfuturescontractremediestheprobleminherentinaforwardcontract.nThemajorproblemwithaforwardcontractisthedefaultrisk.Aforwardcontractisapurecreditinstrument.Whicheverwaythepriceofthespotrateofexchangemoves,onepartyhasanincentivetodefault.nForexample,iftheforwardrateis$1.35/,thespotrateonthefuturedeliverydayis$1.40/,thenthepartywhosellstheeurohastheincentivetodefault.Ifthefuturespotrategoesdown,thepartywhobuystheeuromaydefault.nAfuturescontractissimilartoaforwardcontract,buttherearealotofdifferencesbetweenthetwo.ForwardversusCMEFuturesContractsForwardsExchange-tradedfuturesExchange-tradedfutures1.LocationInterbankExchangefloor2.MaturityNegotiated:
typically1,3,6,12Negotiated:
typically1,3,6,12monthsorupto10yearsmonthsorupto10yearsThethirdMondayofMarch,June,ThethirdMondayofMarch,June,September,DecemberSeptember,December3.AmountNegotiated:
usuallymorethanNegotiated:
usuallymorethan$5million$5millionStandardizedcontractamount:
Standardizedcontractamount:
suchas125,000oneurossuchas125,000oneuros4.FeesBid-askspreadBid-askspreadCommissionschargedper“roundCommissionschargedper“roundturn”,$30percontractturn”,$30percontract5.Counterparty5.CounterpartyBankExchangeclearinghouseExchangeclearinghouse6.CollateralNegotiated:
dependingonNegotiated:
dependingoncustomerscreditriskcustomerscreditriskInitialmarginandmaintenancemargin,Initialmarginandmaintenancemargin,markedtomarketdailymarkedtomarketdaily7.SettlementNearlyallLessthan5%settledbyLessthan5%settledbyphysicaldeliveryphysicaldelivery8.Tradinghours8.Tradinghours24hoursDuringexchangehoursDuringexchangehoursFeaturesofCurrencyFuturesnFuturescontractsarestandardizedcontractintermsofthecurrenciestraded,contractsize,andmaturityofthecontract.Forexample,(CME)JPYfuturescontractcontractsize:
¥12,500,000expirationdate:
thirdWed.ofMarch,June,September,andDecemberlasttradingday:
thesecondbusinessdayproceedingtheexpirationday(usuallyMonday)nFuturescontractsaretradedonanorganizedexchange.AClientwhowantstrademustopenanaccountincommissionhouse.Allordersareexecutedthroughthecommissionhouse.Commissionhouseisa“registeredagent”oftheclient.nFuturescontractsaresettledthroughexchangesclearinghouse.Theclearinghouserecordstrade,managesday-to-daysettlement,andguaranteesthedelivery.nFuturescontractsaremarkedtomarketonadailybasis.Clearinghouseissuesmargincallifthepositionofaclientsaccountdeteriorates.nAninitialmarginandamaintenancemarginarerequiredtopurchaseafuturescontract.nAninitialmarginisthemoneyaclientmustdepositwhenafuturescontractispurchased.nMaintenancemarginistheminimumamountofthemoneythatmustbemaintainedinamarginaccount.nAclientmustdepositextramoneyifamargincallisissuedbytheclearinghouse.nDailymarkingtomarketmeansprofitsandlossesarepaideverydayandisequivalenttoclosingoutacontracteachdayattheendoftrading,payingofflossesorreceivinggains,andwritinganewcontract.ExampleofMarkingtoMarketnAclienttakeslongpositioninaSwissfrancfuturescontractonMondaymorning.Contractsize:
SFr125,000Priceofthecontract:
$0.85/SFrInitialmargin:
$2,000Maintenancemargin:
$1,500(Margincallwillbeissuediffundsinmarginaccountarelessthan$1,500)Costofthecontract:
0.85x125,000=$106,250nMondayclosingexchangerate:
$0.88/SFrTheclientgainssincethepriceisup.(0.880.85)x125,000=$3,750Theclientsmarginaccountbalance:
$2,000+$3,750=$5,750Theoldcontractisclosedout.Theclienthasanewcontractnow($0.88/SFr).nTuesdayclosingexchangerate:
$0.84/SFrTheclientlosessincethepriceisdown.(0.840.88)x125,000=-$5,000Theclientsmarginaccountbalance:
$5,750-$5,000=$750Amargincallisissued.Extradeposit:
$750nThepriceofthecontractis$84/SFrnow.Ifthecontractexpiresnow,theclientloses$1,250inhismarginaccount.However,hegainsfromthenewcontract.Hisdollarpaymentis:
0.84x125,000=$105,000Comparedtohispreviouscostofthecontract,$106,250,hesaves$1,250.nIftheholderofthefuturescontractlosesinhismarginaccount,hegainsfromthespotexchangemarket;andviceversa.nMarkingtomarketensuresthattheclearinghousesexposuretocurrencyriskisatmostoneday.FuturesInformationMexicanPesoFuturesUS$/Peso(CME)HedgingorSpeculatingwithaCurrencyFuturesContractnAnexampleofhedgingTheTexasInstrumenthas100millionDanishkronerobligationdueinSeptember.Contractsize:
USD50,000(Euronextstandard)Futuresprice:
DKr1.25/$Maturity:
SeptemberThecompanycanselldollarforkroner.Soittakesashortpositioninthedollarfutures.(100m/1.25)/(50,000)=16contractsnNomatterwhatthefutureexchangerateis,thecompanysdollarpaymentisfixedat:
100m/1.25=$80millionnAnexampleofspeculationMr.SpeculatorbelievesMexicanpesowillappreciateagainstthedollar,hetakesalongpositioninCMEspesofuturescontract.nSupposehepurchases100contractsatthepriceof$0.10615/Mex$.Ifthespotrateattheexpirationdateis$0.11146/Mex$(5%up),hisprofitis:
(0.111460.10615)x500,000x100=$265,500Ifthepesoisdownby5%,hislossis$265,500.nForwardandfuturesshareacommoncharacteristic;whatisgainedononesideofthecontractpriceislostontheother.nDrawbacksoffuturescontractThecurrencyexposurecannotexactlymatchexchangescontractsize.Clientscanonlypartlyhedgetheirexposure.Thereisamismatchbetweenmaturityofthecontractandmaturityofthecashflow.Frequentmargincallsbringinconvenientforbusinesses.CurrencyOptionsnAncurrencyoptionprovidesinvestors,hedgers,orspeculatorswithaninstrumentthathaveaone-sidedpayoffonacurrencytransaction.nAnoptionisacontractthatgivesitsownertherightbutnottheobligationtobuyorsellagivenamountofanunderlyingassetatafixedprice(called“exercisepriceorstrikeprice”)sometimeinthefuture.nAnoptionholderisthebuyerofthecontractandhasthechoicetoexecuteorabandonthecontract.nAnoptionwriteristhesellerofthecontractandhastheobligationoncetheholderexercisestheoption.nTheoptionholderpaysthewriteranoptionpremium(optionprice)fortheright.nAcurrencycalloptionistherighttobuytheunderlyingcurrencyatastrikepriceandonaspecifieddate.nTheunderlyingcurrencyisthecurrencytobegrantedbyanoptioncontract.Thecurrencytobeexchangedfortheunderlyingcurrencyiscalledcountercurrency.nForexample,aeurooptioninCMEorPSEistherighttobuyorselleuro.EuroistheunderlyingcurrencyandU.S.dollaristhecountercurrency.nAcurrencyputoptionistherighttoselltheunderlyingcurrencyatastrikepriceandonaspecifieddate.nIftherightcanbeexercisedatanytimeduringthelifeoftheoptionitiscalledanAmericanoption.nIftherightcanbeexercisedonlyattheoptionsexpirationdate,itiscalledaEuropeanoption.nOptionquotescontractsize,maturity,lasttradingdayarealldifferentatdifferentexchanges.OptionsonCMEareAmericanoptions;whileoptionsonPSEareEuropeanoptions.CMEGBPOptionQuotes(contractGBP62,500,quotedincentsperpound)Calls-SettlePuts-SettleStrikePriceOctNovDecOctNovDec14301.862.663.280.040.841.4814400.982.042.720.161.221.9014500.361.502.160.541.682.3414600.161.061.721.342.242.9014700.040.761.402.222.9414800.080.521.103.184.24Source:
WallStreetJournal,6October2000CurrencyOptionMarketsnExchange-tradedoptionsarestandardizedcontractsintermsofthecurrenciestraded,contractsizeandmaturity.nOnlybrokerswhoowna“seat”onanexchangecandirectlypurchaseoptioncontracts.nOTCoptionsaretailoredtofittheneedsoftheclients.Theunderlyingcurrency,strikepriceandmaturityarespecifiedbytheclients.Thewriterquotestheoptionpremium.TheIntrinsicValueofanOptionnAnoptionwillbeexercisedonlywhenithasvalue.nCalloptionintrinsicvaluewhenexercised=Max(Std/fKtd/f),0When(Std/fKtd/f)0,theoptionhasintrinsicvalue;When(Std/fKtd/f)0,theoptionhasnointrinsicvalueorzerointrinsicvalue.nPutoptionintrinsicvaluewhenexercised=Max(Ktd/f-Std/f),0When(Ktd/f-Std/f)0,theoptionhasintrinsicvalue;When(Ktd/f-Std/f)0,theoptionhasnointrinsicvalueorzerointrinsicvalue.nAnoptionwithintrinsicvalueisin-the-money.Anoptionwithzerointrinsicvalueisout-of-the-money.Ifthefuturespotrateisthesameasthestrikeprice,theoptionisat-the-money.nForacalloption,ifthespotrateclosesabovethestrikeprice,itisin-the-money.Ifthespotrateisbelowthestrikeprice,itisout-of-the-money.nForaputoption,ifthespotrateclosesabovethestrikeprice,itisout-of-the-money.Ifthespotrateisbelowthestrikeprice,itisin-the-money.nForbothcallandput,ifthespotrateclosesthesameasthestrik
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