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【正文】 in the future. Thus, you go Long on 10 Hog Futures. If the price drops .17 cents per pound ($.0017) what is total change in your position? 30,000 lbs x $.0017 loss x 10 Ks = $ loss Since you must settle your account every day, you must give your broker $ $510 cents per lbs 22 24 McGraw Hill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved SWAPS example cont benefit to XYZ floating = 0 fixed = +.50 gain .50 benefit to ABC floating = .25 fixed + = + .75 gain .50 benefit to bank floating + = 0 fixed = +.25 gain +.25 total benefit = 12,500 (same as w/o bank) 22 22 McGraw Hill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved SWAPS ? transactions ? rarely done direct ? banks = middleman ? bank profit = part of “swap gain” example same continued XYZ ABC go to bank separately XYZ term = SWAP floating libor + .25 for fixed ABC terms = swap floating libor + .25 for fixed 22 20 McGraw Hill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved SWAPS example cont Benefit to XYZ Net position floating + 0 fixed + +.50 Net gain +.50% Benefit ABC Net Position floating + fixed + + gain +.75% 22 18 McGraw Hill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved SWAPS ? “ Plain Vanilla Swap” (generic swap) ? fixed rate payer ? floating rate payer ? counterparties ? settlement date ? trade date ? effective date ? terms ? Swap Gain = fixed spread floating spread 22 16 McGraw Hill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved Futures Contract Concepts Not an actual sale Always a winner a loser (unlike stocks) K are “settled” every day. (Marked to Market) Hedge K used to eliminate risk by locking in prices Speculation K used to gamble Margin not a sale post partial amount Hog K = 30,000 lbs Tbill K = $ mil Value line Index K = $index x 500 22 14 McGraw Hill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved Hedging 1 Spot Contract A contract for immediate sale delivery of an asset. 2 Forward Contract A contract between two people for the delivery of an asset at a negotiated price on a set date in the future. 3 Futures Contract A contract similar to a forward contract, except there is an intermediary that creates a standardized contract. Thus, the two parties do not have to negotiate the terms of the contract. The intermediary is the Commodity Clearing Corp (CCC). The CCC guarantees all trades “provides” a secondary market for the speculation of Futures. 22 12 McGraw Hill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved Hedging Business has risk Business Risk variable costs Financial Risk Interest rate changes Goal Eliminate risk HOW? Hedging Future
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