【正文】 問(wèn)題出現(xiàn)了：雖然稻米的現(xiàn)金交易價(jià)格波動(dòng)很小，但期貨交易價(jià)格波動(dòng)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(chǎng)。 ? 但是怪事出現(xiàn)了：期貨市場(chǎng)剛一關(guān)閉，實(shí)物市場(chǎng)便開始劇烈波動(dòng)。兩年后，市場(chǎng)一片混亂，政府不得不恢復(fù)期貨交易。不過(guò)，這次與以前不同了，期貨交易必須伴隨基礎(chǔ)市場(chǎng)的實(shí)物交割，這樣市場(chǎng)才逐漸穩(wěn)定下來(lái)。 32 保證金的運(yùn)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(fēng)險(xiǎn) 41 場(chǎng)外市場(chǎng) 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(zhǎng)期資本管理公司的巨大損失 ? 20世紀(jì) 90年代中期成立的對(duì)沖基金長(zhǎng)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(duì)沖基金的投資策略為 收斂套利策略 ，這一策略的簡(jiǎn)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(dòng)性比 Y要差（ X的交易沒(méi)有 Y活躍），市場(chǎng)對(duì)于較強(qiáng)的流動(dòng)性會(huì)給予一定的補(bǔ)嘗，因此 X的價(jià)格比 Y要低一些。 LTCM在交易中首先對(duì) X持長(zhǎng)頭寸，并對(duì) Y持短頭寸，之后等待在將來(lái)某個(gè)時(shí)刻兩種債券的價(jià)格趨向一致，這樣就可以達(dá)到套利目的。 ? 當(dāng)利率增長(zhǎng)時(shí)， LTCM預(yù)計(jì)債券價(jià)格下降的數(shù)量基本相同，因此對(duì)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(dāng)利率下降時(shí)， LTCM預(yù)計(jì)債券價(jià)格上漲的數(shù)量也會(huì)基本相同，因此因抵押條約造成的資金外流不會(huì)很大。 ? 1998年 8月，俄羅斯對(duì)本國(guó)國(guó)債違約，造成了資本市場(chǎng)的 “擇優(yōu)而棲”現(xiàn)象 ，使得流動(dòng)性較強(qiáng)的產(chǎn)品的價(jià)格與流動(dòng)性差的產(chǎn)品價(jià)格之間的差價(jià)比平時(shí)要高得多，因此在 LTCM投資組合中流動(dòng)性較強(qiáng)的產(chǎn)品與流動(dòng)性較差的產(chǎn)品的差價(jià)急劇增大，買入的債券價(jià)格大幅下降，而賣出的債券價(jià)格急劇上升。這時(shí)，無(wú)論對(duì)長(zhǎng)頭寸還是短頭寸交易都必須注入抵押品，公司的財(cái)務(wù)又處于高杠桿狀態(tài)（高負(fù)債比率）。 由于 LTCM不能滿足抵押品的要求，因此必須對(duì)交易進(jìn)行平倉(cāng)，從而給 LTCM造成了 40億美元的損失。假如財(cái)務(wù)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(lái)的壓力，這樣公司就有機(jī)會(huì)等到流動(dòng)性強(qiáng)的產(chǎn)品價(jià)格和流動(dòng)性差的產(chǎn)品價(jià)格趨向一致的時(shí)候。 46 Clearing Houses and OTC Markets ? 場(chǎng)外市場(chǎng)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(fēng)險(xiǎn) ? 系統(tǒng)風(fēng)險(xiǎn)是指由某一家金融機(jī)構(gòu)違約而促成的連鎖反應(yīng)，一家銀行的違約會(huì)觸發(fā)其他銀行違約，從而對(duì)整個(gè)金融系統(tǒng)的穩(wěn)定造成威脅。這是因?yàn)樵阢y行之間存在大量的場(chǎng)外交易，當(dāng)銀行 A破產(chǎn)時(shí)，銀行 B因?yàn)榕c銀行 A之間的交易而蒙受巨大損失，從而可能會(huì)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(huì)給 C的運(yùn)作帶來(lái)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(jī)及2023年雷曼兄弟破產(chǎn)危機(jī)中幸免，但監(jiān)管人員仍然憂心忡忡。在 2023~2023年的金融動(dòng)蕩中，政府拯救了許多大型金融機(jī)構(gòu)使其免于破產(chǎn)，其原因是政府對(duì)系統(tǒng)風(fēng)險(xiǎn)的顧慮。 德崇證券 (Drexel Burnham Lambert )的破產(chǎn)過(guò)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