【正文】 n 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。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)作帶來巨大的困難，依次類推。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。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。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。 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(yíng)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(gè)交易日 ? 頭寸交易員：持有期較長(zhǎng) ? 指令類型： ? 市場(chǎng)指令 market order ? 限價(jià)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(chǎng) （ corner the market,囤積合約） ? 如持有巨額多頭合約，同時(shí)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。 67 會(huì)計(jì)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(guó)財(cái)務(wù)會(huì)計(jì)準(zhǔn)則委員會(huì) (FASB) ? 以公平價(jià)格計(jì)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 settlement usually occurs prior to maturity FORWARDS FUTURES Some credit risk Virtually no credit risk 69 外匯報(bào)價(jià) Foreign Exchange Quotes ? Futures exchange rates are quoted as the number of USD per unit of the foreign currency ? Forward exchange rates are quoted in the same way as spot exchange rates. This means that GBP, EUR, AUD, and NZD are quoted as USD per unit of foreign currency. Other currencies (., CAD and JPY) are quoted as units of the forei