cfa金融衍生品ppt課件(參考版)
2025-05-08 12:01本頁(yè)面
【正文】 。 some are large multinational banks based in other countries that have London offices. There is also an equivalent Euro lending rate called Euribor, or Europe Interbank Offered Rate. Euribor, established in Frankfurt, is published by the European Central Bank. The floating rates are for various periods and are quoted as such. For example, the terminology is 30day LIBOR (or Euribor), 90day LIBOR, and 180day LIBOR, depending on the term of the loan. For longerterm floatingrate loans, the interest rate is reset periodically based on the thencurrent LIHOR for the relevant period. 32 The short in a deliverable forward contract: A. has no default risk. B. is obligated to deliver the specified asset. C. makes a cash payment to the long at settlement. Answers: B The short in a forward contract is obligated to deliver the specified asset at the contract price on the settlement date. Either parry may have default risk if there is any probability that the counterparty may nor perform under the terms of the contract. Concept Checkers Study Session 17 33 KEY CONCEPTS 、 多頭；價(jià)格變化時(shí)雙方的損益情況及違約風(fēng)險(xiǎn)； ：反簽 ， 現(xiàn)金了結(jié)； 。 Please note that when market interest rates increase, discounts increase, and Tbill prices fall. A long, who is obligated to purchase the bonds, will have losses on the forward contract when interest rates rise, and gains on the contract when interest rates fall. The outes for the short will be opposite. 29 Forward Markets and Contracts LOS . describe the characteristics of the Eurodollar time deposit market, and define LIBOR and Euribor. Eurodollar deposit is the term for deposits in large banks outside the United States denominated in . dollars. The lending rate on dollardenominated loans between banks is called the London Interbank Offered Rate (LIBOR). It is quoted as an annualized rate based on a 360day pear. In contrast to Tbill discount yields, LIBOR is an addon rate, like a yield quote on a shortterm certificate of deposit. LIBOR is used as a reference rate for floating rate . dollardenominated loans worldwide. 30 Forward Markets and Contracts Example: LIBORbased loans Compute the amount that must be repaid on a $1 million loan for 30 days if 30day LIBOR is quoted at 6%. Answer: The addon interest is calculated as $1 million x x (30/360) = $5,000. The borrower would repay $1,000,000 + $5,000 = $1,005,000 at the end of 30 days. 31 Forward Markets and Contracts LIBOR is published daily by the British Banker39。 23 Forward Markets and Contracts LOS . differentiate between a dealer and an end user of a forward 終用戶、交易商 The end user of a forward contract is typically a corporation, government unit, or nonprofit institution that has existing risk they wish to avoid by locking in the future price of an asset. 舉例：美國(guó)公司 60天后支付 100萬(wàn)歐元，鎖定成本 Dealers are often banks, but can also be nonbank financial institutions.
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