113分析金融市場(chǎng)與金融機(jī)構(gòu)chp11-derivative(編輯修改稿)
2025-03-13 14:01 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 目的主要是為了規(guī)避利率下降的風(fēng)險(xiǎn) 。 ? 名義：借貸雙方不必交換本金 ， 只是在結(jié)算日根據(jù)協(xié)議利率和參考利率之間的差額以及名義本金額 ， 由交易一方付給另一方結(jié)算金 。 ? 遠(yuǎn)期利率： 現(xiàn)在時(shí)刻開始的將來一定期限的利率 。 如1?4遠(yuǎn)期利率 ， 即表示 1個(gè)月之后開始的期限 3個(gè)月的遠(yuǎn)期利率 。 28 FRA市場(chǎng)報(bào)價(jià)舉例 Example 29 Example 30 Example Metro Bank would sell a “3 vs. 6” FRA at 7 percent on a $1 million notional amount to County Bank. ? a 6month maturity ? based on a $1 million notional principal amount ? floating rate is 3month LIBOR and the fixed (exercise) rate is 7 percent The phrase “3 vs. 6” refers to a 3month interest rate observed three months from the present, for a security with a maturity date six months from the present. a href= /a a href= /aThe only cash flow will be determined in six months at contract maturity by paring the prevailing 3month LIBOR with 7 percent. 31 Assume that in three months 3month LIBOR equals 8 percent. In this case, County Bank would receive from Metro Bank $2,451. The interest settlement amount is $2,500: ? interest = (.08 .07)(90/360) $1,000,000 = $2,500. Because this represents interest that would be paid three months later at maturity of the instrument, the actual payment is discounted at the prevailing 3month LIBOR: ? actual interest = $2,500/[1+(90/360).08]=$ 2,451 Example 32 If instead, LIBOR equals 5 percent in three months. County Bank would pay Metro Bank : ? interest = (.07 )(90/360) $1,000,000 = $5,000 ? or $5,000 /[1 + (90/360).05] = $4,938 Metro Bank would take its position as a hedge if it was exposed to loss in a falling (relative to forward rate) rate environment. Example 33 Chapter Outline 1. Forward 2. Futures 3. Options 4. Swaps 34 Financial futures contracts …a mitment between two parties on the price and quantity of a standardized financial asset or index. They are traded on anized exchanges called future markets. 是指交易雙方在有組織的交易所內(nèi)以公開競(jìng)價(jià)的方式達(dá)成的，在將來某一時(shí)間交割標(biāo)準(zhǔn)數(shù)量特定金融工具的協(xié)議。 Futures (期貨 ) Contracts 35 Buyers of futures contracts, referred to as long futures, agree to pay the underlying futures price or receive the underlying asset. Sellers of futures contracts, referred to as short futures agree to receive the futures price or deliver the underlying asset. Futures (期貨 ) Contracts 36 Forward vs. Futures Markets Differences b/w Forward and Futures Markets ? a. The Organized Exchange ? the most prominent in the United States are the Chicago Board of Trade (CBOT) and the Chicago Mercantile Exchange (CME) ? b. Contract Termsstandardized item ? c. The Clearinghousetakes no active position in the market, but interposes itself between all parties to every transaction. ? d. The Requirement for Daily Resettlement (Marked to Market) 37 margin requirements Exchange members require traders to meet margin保證金 requirements that specify the minimum deposit allowable at the end of each day. The change in value of each trader’s account at the end of every day: a href= /a a href= /a ? is credited to the margin accounts of those with gains and ? debited the margin accounts of those with losses markingtomarket 逐日盯市 and the daily change in value variation margin. 38 Differences b/w Forward and Futures Markets ? E. Closing out a futures position involves entering into an offsetting trade ? F. Most contracts are closed out before maturity ? A Reversing Tradebrings a trader’s position in
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