【正文】 llateralization 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(jì) 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(qiáng)的流動性會給予一定的補(bǔ)嘗，因此 X的價格比 Y要低一些。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(wù)又處于高杠桿狀態(tài)（高負(fù)債比率）。這是因?yàn)樵阢y行之間存在大量的場外交易，當(dāng)銀行 A破產(chǎn)時，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(yùn)作帶來巨大的困難，依次類推。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 crimes.[5] The threat of a RICO indictment unnerved many at Drexel. A RICO indictment would have required the firm to put up a performance bond of as much as $1 billion in lieu of having its assets frozen. This provision was put in the law because anized crime had a habit of absconding with the funds of indicted panies, and the writers of RICO wanted to make sure there was something to seize or forfeit in the event of a guilty verdict. Unfortunately, most of Drexel39。d been told that if Drexel were indicted under RICO, it would only survive a month at most.[6] Noheless, negotiations for a possible plea agreement collapsed on December 19 when Giuliani demanded that Drexel waive its attorneyclient privilege. He also demanded that Milken leave the firm if the government ever indicted him. These terms were far too much even for those who had advocated a settlement from the beginning, and Drexel39。s children, and more ominously, managers of money funds. This partnership raised the specter of selfdealing, and at worst, bribes to the money managers. At the very least, this was a serious breach of Drexel39。t work out, as well as an unexpected crash of the junk bond market, 1989 was a difficult year for Drexel even after it settled the criminal and SEC cases. Reports of an $86 million loss going into the fourth quarter resulted in the firm39。s last resort was a bailout by the government. Unfortunately for Drexel, one of first hostile deals came back to haunt it at this point. Unocal39。s funds management arm as Burnham Financial Group, which currently operates as a diversified investment pany. Burnham was reportedly still arranging deals until his death at age 93.[9] The rest of Drexel emerged from bankruptcy in 1992 as New Street Capital, a small investment bank with only 20 employees (at its height, Drexel employed over 10,000 people).[2] In 1994, New Street merged with Green Capital, a merchant bank owned by Atlanta financier Holbe Green.[10] 市場報價 ? 價格 ? 結(jié)算價格 ? 交易量和未平倉合約數(shù)量 ? 期貨價格的規(guī)律 ? 正向市場、反向市場 ? 如果合約價格是期限的遞增函數(shù)，稱這種市場為“正常市場”。 60 交割 Delivery ? If a futures contract is not closed out before maturity, it is usually settled by delivering the assets underlying the contract. When there are alternatives about what is delivered, where it is delivered, and when it is delivered, the party with the short position chooses. ? A few contracts (for example, those on stock indices and Eurodollars) are settled in cash ? 現(xiàn)金結(jié)算 61 Questions ? When a new trade is pleted what are the possible effects on the open interest? ? Can the volume of trading in a day be greater than the open interest? 交易員類型和交易指令類型 Types of Orders ? 交易員類型： ? 傭金經(jīng)紀(jì)人 ? 自營經(jīng)紀(jì)人 ? 投機(jī)者 /交易員 ? 短期投機(jī)者：可能只有幾分鐘 ? 短線交易員 /日間交易員：不超過一個交易日 ? 頭寸交易員：持有期較長 ? 指令類型： ? 市場指令 market order ? 限價指令 Limit ? 止損指令 Stoploss ? Stoplimit ? Marketif touched ? Discretionary ? Time of day ? Open ? Fill or kill 64 制度 Regulation of Futures ? 違規(guī)交易 ? 操縱市場 （ corner the market,囤積合約） ? 如持有巨額多頭合約，同時控制標(biāo)的商品的供應(yīng) ? 流通在外的期貨合約數(shù)量超過了可用于交割的標(biāo)的商品數(shù)量。它以幾例華爾街金融丑聞開篇，告訴人們，無論在個人的金融活動中，還是在金融市場及金融機(jī)構(gòu)的運(yùn)作中，倫理都是不可缺少的。 67 會計和稅收 Accounting Tax ? Ideally hedging profits (losses) should be recognized at the same time as the losses (profits) on the item being hedged ? Ideally profits and losses from speculation should be recognized on a marktomarket basis ? Roughly speaking, this is what the accounting and tax treatment of futures in the . and many other countries attempt to achieve ? 美國財務(wù)會計準(zhǔn)則委員會 (FASB) ? 以公平價格計入資產(chǎn)負(fù)債表 68 遠(yuǎn)期與期貨合約比較 Forward Contracts vs Futures Contracts (Table , page 41) Contract usually closed out Private contract between 2 parties Exchange traded Nonstandard contract Standard contract Usually 1 specified delivery date Range of delivery dates Settled at end of contract Settled daily Delivery or final cash se