用于匯率風(fēng)險(xiǎn)管理的衍生產(chǎn)品：貨幣期貨與期貨市場(chǎng)(1)-wenkub
2023-01-26 11:22:17 本頁(yè)面
【正文】 n how currency futures contracts are similar to, and yet different from, forward contracts.. ? The last several sections discuss implementation issues: Delta hedges for maturity mismatches Cross hedges for currency mismatches Deltacross hedges for currency and maturity mismatches Forward Market 1. Forward Contracts A forward contract is an agreement between a corporation and a mercial bank to exchange a specified 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 currency. 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 $40 million +€40 million Goods v€/$ Long $s s€/$ Short $s The forward contract provides a perfect hedge because the size and timing of the hedge transaction exactly offsets the size and timing of the underlying exposure. Forward Market 2. NonDeliverable Forward Contracts a. New type ? A nondeliverable forward contract (NDF) does not result in an actual exchange of currencies. Instead, one party makes a payment to the other based on a market exchange 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: NDF Market Expect need for 100M Chilean pesos. Negotiate an NDF to buy 100M Chilean pesos on Jul 1. Reference index (closing rate quoted by Chile’s central bank) = $.0020/peso. April 1 Buy 100M Chilean pesos from market. July 1 Index = $.0023/peso ? receive $30,000 from bank due to NDF. 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, one party always has an incentive to default(違約動(dòng)機(jī)） Eg,FX,$163。F Bolsa Mercadorias amp。 但總的來(lái)講， futures contracts can provide very good hedge, because basis risk is small relative to currency risk. Contract size mismatch and the Hedge Ratio The Forward Hedge: The hedge ratio NF*of a future position is defined as NF*=Amount in forward position/Amount exposed to currency risk=1 The Futures Hedge: 是指保值者持有期貨合約的頭寸規(guī)模與需要保值的基礎(chǔ)資產(chǎn)之間的比率。為加元債務(wù)避險(xiǎn)的美元套期保值法：加元債務(wù)的現(xiàn)貨價(jià)格變化率與美元期貨價(jià)格變化率的關(guān)系如下： st163。 futures hedge is nearly perfect when there is a maturity and a currency match and the underlying transaction exposure is an even increment of the futures contract size. A classification of futures hedges C u r r e n c y Ma t u r i t y E x a c t m a t c h E x a c t m a t c h M i s m a t c h M i s m a t c h C r
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