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单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,Chapter 2,Derivative Securities for Currency Risk Management,Currency Futures and Futures Markets,Chapter Overview,1,Financial Futures Exchanges,2,The Operation of Futures Markets,3,Futures Contracts,4,Forward versus Futures Market Hedges,5,Futures Hedges Using Cross Exchange Rates,6,Hedging with Currency Futures,Chapter Objectives,This chapter compares currency futures contracts to currency forward contracts and shows how they are priced by the marketplace.,Emphasis is placed on how currency futures contracts are similar to,and yet different from,forward contracts.,The last several sections discuss implementation issues:,Delta hedges for maturity mismatches,Cross hedges for currency mismatches,Delta-cross hedges for currency and maturity mismatches,Forward Market,1.Forward Contracts,A forward contract,is an agreement between,a corporation and a commercial bank,to exchange a specified amount of a currency at a specified exchange rate(called the forward rate)and on a specified future date.,When MNCs anticipate a future need for or future receipt of a foreign currency,they can set up forward contracts to,lock in the rate,at which they can purchase or sell a particular foreign currency.,A forward hedge of the dollar,Underlying position of a,French exporter(long$s),Sell$s forward at F,t,/$,(short$s and long,s),Net position,+,$,40 million,+,40 million,-,$,40 million,+,40 million,-Goods,v,/$,Long$s,s,/$,Short$s,The forward contract provides,a perfect hedge because,the,size and timing,of the,hedge transaction exactly,offsets the size and timing,of the underlying exposure.,Forward Market,2.Non-Deliverable Forward Contracts,a.New type,A,non-deliverable forward contract(NDF),does not result in an actual exchange of currencies.Instead,one party makes a net payment to the other based on a market exchange rate on the day of settlement.,b.Frequently used for currency in emerging markets,c.No delivery required,d.One party to the agreement makes a payment to the other party based on the exchange rate at the future date.,An NDF can effectively hedge future foreign currency payments or receipts:,NDF Market,Expect need for 100M Chilean pesos.,Negotiate an NDF to buy 100M Chilean pesos on Jul 1.Reference index(closing rate quoted by Chiles central bank)=$.0020/peso.,April 1,Buy 100M Chilean pesos from market.,July 1,Index=$.0023/peso,receive$30,000 from bank due to NDF.,Index=$.0018/peso,pay$20,000 to bank.,Forward versus Futures C,ontracts,Comparing,currency futures contracts,to,currency forward contracts,and shows how they are priced by the marketplace.,Forwards are a pure credit instrument,Whichever way the price of the spot rate of exchange moves,one party always has an,incentive to default(,违约动机）,Eg,FX,$1.475/,当汇率上升时，卖方有违约动机，当汇率下降时，买方有违约动机。,The futures contract solution,A futures exchange,clearinghouse,takes one side of every transaction(and makes sure that its exposures cancel one another),Contracts are,marked-to-market,daily,Require initial and maintenance,margins,Forwards versus futures,Forwards,Futures,Counterparty,BankCME,Clearinghouse,（Forward contracts are created by commercial and investment banks,whereas futures contracts are usually found on futures exchanges）,Maturity,Negotiated3rd week of the month(US),Amount,NegotiatedStandard contract size,Fees,Bid-askCommissions,Collateral,NegotiatedMargin account,Settlement,At maturityMost are settled early,Futures exchanges,Financial futures exchanges are usually associated with a commodity futures exchange,2002 volume,Top 5 futures exchanges,(million contracts),Eurex,-Eurex(Germany&Switzerland),536.0,CME,-,Chicago Mercantile Exchange,(U.S.),444.5,CBOT,-,Chicago Board of Trade,(U.K.),276.3,Euronext,-(Amsterdam,Brussels,Lisbon,Paris,London),221.3,NYMEX,-New York Mercantile Exchange(U.S.),107.4,BM&F,-Bolsa Mercadorias&de Futuros(Brazil),95.9,Source:Futures Industry Association,Forwards versus futures,Futures contracts are similar to forward contracts,Futures contracts are like a bundle of consecutive one-day forward contracts,（期货合约是一连串可更新的1天期远期合约的组合：Each day,the previous days forward contract is replaced by a new one-day forward contract with a delivery price equal to the closing price from the previous days contract.,如三个月期的远期合约，相当于90个可更新的1天期的远期合约,Daily settlement,is the biggest difference between a forward and a futures contract,Futures and forwards are nearly identical in their ability to hedge risk（在规避风险管理的功能上有相似之处）,Hedging with futures,Forward contracts can,be tailored,to,match,the,underlying exposure,Forward contracts thus can provide a perfect hedge of transaction exposure to currency risk,Exchange-traded futures contracts are standardized,They will not provide a perfect hedge if they do not match the underlying exposures,Currency mismatch,-there may not be a futures contract in the currency that you would like to hedge,Maturity mismatch,-there may not be a futures contract expiring on the same day as your underlying transac
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