外汇衍生产品市场

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,*,第,3章,外汇衍生产品市场,FX Derivatives Market,1,教学要点,外汇期货(FX Futures),外汇期权(FX Options),外汇互换(FX Swaps),2,外汇期货,指在有组织的交易场所内，以公开叫价方式确定汇率，交易标准交割日期、标准交割数量的外汇,1972年芝加哥商品交易所开辟国际货币市场(IMM)，完成首笔外汇期货交易,3,主要特征,交易合约标准化,交易金额(,在芝加哥国际货币市场上，每份国际货币期货合约的金额都是标准的。如日元合约1250万元、加元合约10万加元、英镑合约6.25万英镑、瑞士法郎合约12.5万法郎、澳大利亚元合约10万澳元、墨西哥比索合约50万比索、欧元合约12.5万欧元。,),交割月份,是期货合约规定的外币合约的到期月，芝加哥国际货币市场的外币期货合约的交割月份分别为3、6、9、12月份。若合约到期前未进行对冲（即进行相反的买卖行为），则必须进行现汇交割。),交割日期(,芝加哥国际货币市场规定的交割日期都是到期月的第三个星期的星期三。),4,主要特征,价格波动限制(,最小价格波动和最高限价,。最小价格波动是指外汇期货合约在买卖时，由于供需关系使合约价格产生变化的最低限度。在交易场内，经纪人所做的出价或叫价只能是最小波动幅度的倍数。国际货币市场对每一种外汇期货报价的最小波动幅度都作了规定。,),集中交易和结算,市场流动性高,履约有保证,投机性强,5,场内交易商,场内交易商,交易操作台,买入/卖出交易,交易台报价员,报价板,行情报价网络,清算所,订单,会员公司,买方,提交交易,经纪返单回公司,订单,会员公司,卖方,提交交易,经纪返单回公司,IMM外汇期货交易,6,清算机制,由期货交易所提供或指定清算所,由清算所充当期货合约各方的交易对手,对于外汇期货买方来说，清算所是卖方,对于外汇期货卖方来说，清算所是买方,清算所始终存在，并要求集中清算,提高了市场的流动性,为外汇期货买卖双方消除了履约风险的顾虑,7,保证金制度,客户在经纪公司开立保证金账户，经纪公司在清算所开立账户，清算所将所有买卖指令配对,最低初始保证金和维持保证金,逐日结算制度(marking to market),未平仓头寸需按当日市场结算价计算账面盈亏,，据以调整原有的保证金数额,8,英镑期货的保证金账户流量,时间,市场报价,合约价格,保证金变动,追加(),/减少()金额,保证金,账户余额,T0,T1,T2,T3,T4,$1.4700/,$1.4714/,$1.4640/,$1.4600/,$1.4750/,$91,875.0,$91,962.5,$91,500.0,$91,250.0,$92,187.5,0,+$87.50,-$462.50,-$250.00,+$937.50,+$2,000.00,0,0,+$625.00,-$937.50,$2000.00,$2087.50,$1625.00,$2000.00,$2000.00,9,利用外汇期货套期保值,时间,现货市场,期货市场,汇率,3月20日,GBP1USD1,.,6200,GBP1USD1,.,6300,9月20日,GBP1USD1,.,6325,GBP1USD1,.,6425,交易,过程,3月20日,不做任何交易,买进20张英镑期货合约,9月20日,买进125万英镑,卖出20张英镑期货合约,结果,现货市场上，比预期损失1,.,63251251,.,62001251,.,5625万美元；,期货市场上，通过对冲获利1,.,64251251,.,63001251,.,5625万美元；亏损和盈利相互抵消，汇率风险得以转移。,3月20日，美国进口商与英国出口商签订合同，将从英国进口价值125万英镑的货物，约定6月后以英镑付款提货。,10,利用外汇期货投机,某投机者预计3个月后加元会升值，买进10份IMM加元期货合约（每份价值100 000加元），价格为CAD1USD0.716 5。如果在现货市场上买入，需要支付716 500美元，但购买期货只需要支付不到20的保证金。,11,外汇期权,指合约购买方在向出售方支付一定费用（期权费）后所获得的未来按规定汇率买进或卖出一定数量外汇的选择权,合约种类,看涨期权(call option)和看跌期权(put option),欧式期权和美式期权,12,期权费,由期权购买方支付给出售方,期权购买方的成本上限,期权出售方的收入上限,期权费的决定因素,供求关系,期权的内在价值,期权的时间价值或期限,预期的汇率波动性,13,14,看跌期权出售方,看跌期权购买方,15,外汇互换,也称货币互换，指交易双方相互交换不同币种但期限相同、金额相等的货币及利息,Currency swaps are swaps of long-term debt obligations in one currency for long term debt obligations in another currency.,16,Currency swaps“Ill pay yours if you pay mine”,The most common currency swap is the,currency coupon swap,which is a fixed-rate obligation in one currency for a floating-rate obligation in another,An agreement to exchange a principal amount of two currencies and,after a pre-arranged length of time,re-exchange the original principal,Interest payments are also usually swapped during the life of the contract,外汇互换示例：期初,18,外汇互换示例：期中,19,外汇互换示例：期末,20,Example of a currency coupon swap,GM will swap its fixed-rate dollar debt for BPs floating-rate pound sterling debt.,General Motors,(U.S.),GM,has 2-year,fixed-rate,50 million dollar debt priced at 6.62%compounded semiannually(sa),GM,wants floating-rate pound sterling debt,British Petroleum(U.K.),BP,has 2-year,floating-rate,40 million pound debt with semiannual payments priced at LIBOR+40 bps,BP,wants fixed-rate dollar debt,Suppose the spot exchange rate is S,/$,=$1.25/,Pricing schedule for a$/currency swap,Maturity,Bid($),Ask($),2 years,6.07%6.17%,3 years6.41%6.51%,4 years6.54%6.64%,5 years,6.59%,6.69%,All quotes are semiannual actual/365 against 6-month LIBOR()flat,Example of a currency Coupon swap,GMs swap cash flows,Initial exchange of principals:,Cash flows during life of the swap:,Re-exchange of principals:,GM,Swap Bank,$50m,40m,GM,Swap Bank,LIBOR,6.07%,GM,Swap Bank,$50m,40m,23,GMs net cost of funds,GM pays,6.62%,and receives,6.07%,in fixed rate dollar debt for a spread of,55 bp,(sa),GM pays,LIBOR,to the swap bank in pounds sterling,GMs net cost of funds is the pound sterling,LIBOR plus 55 bp,(sa)in bond equivalent yield,GMs net cost of funds,-BEY:,Fixed rate notes,in most countries(including the U.S.and the U.K.)are usually quoted as,“bond equivalent yields,”that assume a 365-day year,MMY:,Floating rate notes,(FRNs)such as Eurocurrencies pegged to LIBOR are quoted as“money market yields”that assume a 360-day year,The relation between the two is,MMY=BEY(360/365),Or,equivalently,BEY=MMY(365/360),The 55 bps spread on the fixed rate contracts is(55bps)(360/365)=,54.25,bps of the notional principal,in money market yield,or a money market yield of 0.5425 percent.,General Motorss net cost of funds is LIBOR+54.25 bps in semiannually compounded($)money market yield.,25,Example of a currency Coupon swap,BPs swap cash flows,Initial exchange of principals:,Cash flows during life of the swap:,Re-exchange of principals:,BP,Swap Bank,$50m,40m,BP,Swap Bank,LIBOR,6.17%,BP,Swap Bank,$50m,40m,26,BPs net cost of funds,The 40 bps spread on BPs floating rate contracts is a money market yield.This is equal to(0.40%)(365/360)=0.4056%,or 40.56 bps in semiannually compounded bond equivalent yield.,BPs net cost of funds is then a U.S.dollar interest rate of(6.17%+0.4056)=6.5756%in semiannually compounded bond equivalent yield.,Alternatively,this is equal to(6.5756%)(360/365)=6.4855%in semiannually compoun