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)(存儲(chǔ)版)
【正文】 enance margins Forwards versus futures Forwards Futures Counterparty Bank CME Clearinghouse （ Forward contracts are created by mercial and investment banks, whereas futures contracts are usually found on futures exchanges） Maturity Negotiated 3rd week of the month (US) Amount Negotiated Standard contract size Fees Bidask Commissions Collateral Negotiated Margin account Settlement At maturity Most are settled early Futures exchanges ? Financial futures exchanges are usually associated with a modity futures exchange 2022 volume Top 5 futures exchanges (million contracts) Eurex Eurex (Germany amp。 )/(. f u tsf u ts ssrb ＝futtd/f std/f )/()/()( .2, f utsf utsF utF utS ssrssb ?＝ NFut*=(Amount in futures)/(Amount exposed) =b （通過(guò)歷史數(shù)據(jù)對(duì)上式回歸可以得出 b ） ? Hedge quality （對(duì)沖質(zhì)量） is measured by the rsquare (r2 = rs,fut2). r2 (or rs,fut2) measures the percentage variation in std/f explained by variation in futtd/f. High r2 ? low basis risk and a highquality hedge. Low r2 ? high basis risk and a relatively poor hedge. rsquare取值在（ 0， 1）之間 Contract size mismatch and the Hedge Ratio Contract size mismatch and the Hedge Ratio 假設(shè) b＝ ，則期貨套期保值比率： NFut*= (Amount in futures)/(Amount exposed) =b ＝ Amount in futures＝ （ ）（ Amount exposed） 如上例中，該公式有 1000萬(wàn)新元的空頭，需要持有的期貨多頭為 Amount in futures＝ （ ） （ 10000000） ＝ s$10,250,000 芝加哥商品期貨交易所一份新元期貨合約金額為 125,000，所以，持有期貨合約的規(guī)模為 82 份期貨合約 :10,250,000/125,000?82 An example of a Hedge Ratio ? It is now January 8. You need to hedge a €100 million obligation due on June 3. ? The spot exchange rate is S0$/€ = $€ ? A €100,000 CME euro futures contract expires on June 16 ? Based on st$/€ = a + b futt$/€ + et , you estimate b = with r2 = .(The relatively high r2 () of this regression means that this is a relatively high quality hedge. ) ? How many CME futures contracts should you buy to minimize the risk of your hedged position? The Hedge Ratio solution ? The optimal hedge ratio for this delta hedge is given by NFut* = (amount in futures)/(amount exposed) = b ?(amount in futures) = (b)(amount exposed) = ()(€100 million) = €102 million or (€102 million) / (€100,000/contract) = 1,020 contracts Currency mismatches and cross hedges A cross hedge is used when there is a maturity match but a currency mismatch 即選擇的期貨避險(xiǎn)合約標(biāo)的商品與現(xiàn)貨商品不同，市場(chǎng)上沒(méi)有類(lèi)似現(xiàn)貨所發(fā)行的期貨來(lái)避險(xiǎn)時(shí)，就要找另一個(gè)現(xiàn)貨價(jià)格有正相關(guān)，或者是同質(zhì)的產(chǎn)品來(lái)避險(xiǎn)。 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 o s s h e d g e (std / f1 = a + b std / f2+et) D e l t a c r o s s h e d g e (std / f1 = a + b f u ttd / f2+et) P e r f e c t h e d g e (std / f = a + b std / f+et) ( s u c h t h a t a = 0 , b ? 1 , a n d et= 0? D e l t a h e d g e (std /f = a + b f u ttd / f+et) H e d
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