【正文】 問題出現(xiàn)了：雖然稻米的現(xiàn)金交易價格波動很小，但期貨交易價格波動很大，而且一直如此。 1869年，政府終于再也不能忍受這種情況，下令關(guān)閉了期貨市場。 ? 但是怪事出現(xiàn)了：期貨市場剛一關(guān)閉，實物市場便開始劇烈波動。兩年后，市場一片混亂，政府不得不恢復期貨交易。不過，這次與以前不同了，期貨交易必須伴隨基礎(chǔ)市場的實物交割，這樣市場才逐漸穩(wěn)定下來。 32 保證金的運作 Margins ? A margin is cash or marketable securities deposited by an investor with his or her broker ? The balance in the margin account is adjusted to reflect daily settlement ? Margins minimize the possibility of a loss through a default on a contract 33 Example of a Futures Trade (page 2729) ? An investor takes a long position in 2 December gold futures contracts on June 5 ? contract size is 100 oz. ? futures price is US$1250 ? initial margin requirement is US$6,000/contract (US$12,000 in total) ? maintenance margin is US$4,500/contract (US$9,000 in total) 34 A Possible Oute (Table , page 28) Day Trade Price ($) Settle Price ($) Daily Gain ($) Cumul. Gain ($) Margin Balance ($) Margin Call ($) 1 1, 12,000 1 1, ?1,800 ? 1,800 10,200 2 1, ?540 ?2,340 9,660 ….. ….. ….. ….. …… 6 1, ?780 ?2,760 9,240 7 1, ?1,260 ?4,020 7,980 4,020 8 1, 180 ?3,840 12,180 ….. ….. ….. ….. …… 16 1, 780 ?4,620 15,180 35 Margin Cash Flows When Futures Price Increases Long Trader Broker Clearing House Member Clearing House Clearing House Member Broker Short Trader 36 Margin Cash Flows When Futures Price Decreases Long Trader Broker Clearing House Member Clearing House Clearing House Member Broker Short Trader 37 Some Terminology ? Open interest: the total number of contracts outstanding ? equal to number of long positions or number of short positions ? Settlement price: the price just before the final bell each day ? used for the daily settlement process ? Volume of trading: the number of trades in one day 38 Key Points About Futures ? They are settled daily ? Closing out a futures position involves entering into an offsetting trade ? Most contracts are closed out before maturity 39 Crude Oil Trading on May 26, 2023 Open High Low Settle Change Volume Open Int Jul 2023 6,315 388,902 Aug 2023 3,746 115,305 Dec 2023 5,055 196,033 Dec 2023 4,175 100,674 Dec 2023 1,258 70,126 ? 結(jié)算中心與結(jié)算保證金 ? 信用風險 41 場外市場 Collateralization in OTC Markets ? 抵押制度 ? It is being increasingly mon for transactions to be collateralized in OTC markets ? Consider transactions between panies A and B ? These might be be governed by an ISDA Master agreement with a credit support annex (CSA) ? The CSA might require A to post collateral with B equal to the value to B of its outstanding transactions with B when this value is positive. 42 Collateralization in OTC Markets continued ? If A defaults, B is entitled to take possession of the collateral ? The transactions are not settled daily and interest is paid on cash collateral ? See Business Snapshot for how collateralization affected Long Term Capital Management when there was a “flight to quality” in 2023. 業(yè)界事例 22 長期資本管理公司的巨大損失 ? 20世紀 90年代中期成立的對沖基金長期資本管理公司（ LTCM）在其交易中一直采用抵押品條款，這家對沖基金的投資策略為 收斂套利策略 ，這一策略的簡單例子如下：假如 X和 Y是同一家公司發(fā)行的兩種債券， X和 Y具有相同的收益，但 X的流動性比 Y要差（ X的交易沒有 Y活躍），市場對于較強的流動性會給予一定的補嘗，因此 X的價格比 Y要低一些。 LTCM在交易中首先對 X持長頭寸，并對 Y持短頭寸，之后等待在將來某個時刻兩種債券的價格趨向一致，這樣就可以達到套利目的。 ? 當利率增長時， LTCM預計債券價格下降的數(shù)量基本相同，因此對于 X債券付出的抵押品與 Y債券收入的抵押品基本相同；類似地，當利率下降時， LTCM預計債券價格上漲的數(shù)量也會基本相同，因此因抵押條約造成的資金外流不會很大。 ? 1998年 8月，俄羅斯對本國國債違約，造成了資本市場的 “擇優(yōu)而棲”現(xiàn)象 ，使得流動性較強的產(chǎn)品的價格與流動性差的產(chǎn)品價格之間的差價比平時要高得多，因此在 LTCM投資組合中流動性較強的產(chǎn)品與流動性較差的產(chǎn)品的差價急劇增大，買入的債券價格大幅下降，而賣出的債券價格急劇上升。這時，無論對長頭寸還是短頭寸交易都必須注入抵押品，公司的財務又處于高杠桿狀態(tài)（高負債比率）。 由于 LTCM不能滿足抵押品的要求，因此必須對交易進行平倉，從而給 LTCM造成了 40億美元的損失。假如財務并不處于高杠桿狀態(tài) ， LTCM也許能夠承受“擇優(yōu)而棲”現(xiàn)象帶來的壓力，這樣公司就有機會等到流動性強的產(chǎn)品價格和流動性差的產(chǎn)品價格趨向一致的時候。 46 Clearing Houses and OTC Markets ? 場外市場的中心結(jié)算 ? Traditionally transactions have been cleared bilaterally in OTC markets ? Following the 20232023 crisis, the has been a requirement for most standardized OTC derivatives transactions to be cleared centrally though clearing houses. 47 Bilateral Clearing vs Central Clearing House 業(yè)界事例 23 系統(tǒng)風險 ? 系統(tǒng)風險是指由某一家金融機構(gòu)違約而促成的連鎖反應，一家銀行的違約會觸發(fā)其他銀行違約，從而對整個金融系統(tǒng)的穩(wěn)定造成威脅。這是因為在銀行之間存在大量的場外交易，當銀行 A破產(chǎn)時，銀行 B因為與銀行 A之間的交易而蒙受巨大損失，從而可能會造成銀行 B破產(chǎn)，銀行 C可能同銀行 A及銀行 B之間都有交易，因此銀行 C也可能遭遇巨大損失，從而也會給 C的運作帶來巨大的困難，依次類推。 ? 金融系統(tǒng)在 1990年的德崇證券 (Drexel)危機及2023年雷曼兄弟破產(chǎn)危機中幸免，但監(jiān)管人員仍然憂心忡忡。在 2023~2023年的金融動蕩中，政府拯救了許多大型金融機構(gòu)使其免于破產(chǎn)，其原因是政府對系統(tǒng)風險的顧慮。 德崇證券 (Drexel Burnham Lambert )的破產(chǎn)過程 ? According to Dan Stone, a former Drexel executive, the firm39。s aggressive culture led many Drexel employees to stray into uhical, and sometimes illegal, conduct. Milken himself viewed the securities laws, rules and regulations with some degree of contempt, and often condoned uhical and illegal behavior by his colleagues at Drexel39。s operation in Beverly Hills.[5] However, he personally called Joseph, who