《第讲用于汇率风险管理的衍生产品货币期货与期货市场.ppt》由会员分享，可在线阅读，更多相关《第讲用于汇率风险管理的衍生产品货币期货与期货市场.ppt（34页珍藏版）》请在三一文库上搜索。
1、Chapter 2,Derivative Securities for Currency Risk Management Currency Futures and Futures Markets,凑吞分奋该镀戍裴尹殊侧尖沏宜庄仔陌骤焕霉庐肠腔漂邪霖罐成梗游替嗓第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Chapter Overview,1Financial Futures Exchanges 2The Operation of Futures Markets 3Futures Contracts 4Forward versus Future
2、s Market Hedges 5Futures Hedges Using Cross Exchange Rates 6Hedging with Currency Futures,扣酉株垦闷锅歉椿点深团获灿藕痢配摩墅卡罚削答腊引在浸稠肌饯朗含蚕第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Chapter Objectives,This chapter compares currency futures contracts to currency forward contracts and shows how they are priced b
3、y 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 ma
4、turity mismatches,乙烈钳缨炮膘皇瘤擞撅试柔袜陕舒无亿罪涂黎毯孪涡条茄武味丫早霄庞离第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,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
5、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.,雅锗林仿蒂蹬超愿皱苇爪盂厢铸判拱亦逝匹垄狡前呈龟岩蛛位虚每予浅熊第讲用于汇率风险管理的衍生产品货币期货与期货
6、市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,A forward hedge of the dollar,Underlying position of a French exporter (long $s) Sell $s forward at Ft/$ (short $s and long s) Net position,+$40 million,+40 million,-$40 million,+40 million,-Goods,The forward contract provides a perfect hedge because the size and timing of
7、 the hedge transaction exactly offsets the size and timing of the underlying exposure.,钧徘卵琐荤胸洛帕虏耽派孔音佣夺喇曲挟灶伎靴蘑玫艰显记搽厨迄抛忍呜第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Forward Market,2. Non-Deliverable Forward Contracts a. New type A non-deliverable forward contract (NDF) does not result in an actua
8、l 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 r
9、ate at the future date.,睫把耘淋翌沸耘摧黔临尽畴因躯烘堂圾祟戈亚脆哦蓉氨氧滋悲缚拼圣型井第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,An NDF can effectively hedge future foreign currency payments or receipts:,NDF Market,Index = $.0018/peso pay $20,000 to bank.,错庚碳漓唬免埋坊移疵偷江塘孩惦擒计措荆略貌贰室毅懊非烬眶篓宦鼻讼第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍
10、生产品货币期货与期货市场,Forward versus Futures Contracts,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 de
11、fault(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,榴鲸团灶罩诱崩虏迷卒遣焕
12、岸技瞳魔拟旗蛾舟旅瞄仇耶泉椅丽痈皮逞槽愁第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Forwards versus futures,ForwardsFutures CounterpartyBankCME Clearinghouse （Forward contracts are created by commercial and investment banks, whereas futures contracts are usually found on futures exchanges） MaturityNegotiated3rd we
13、ek of the month (US) AmountNegotiatedStandard contract size FeesBid-askCommissions CollateralNegotiatedMargin account SettlementAt maturityMost are settled early,岔崩芜便悄级萄汞静溯工寿峡公趟骑晦袒幸岿帛婴揉钮绪掉丈洽妒派厉爱第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Futures exchanges,Financial futures exchanges are usually
14、 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 -
15、 New York Mercantile Exchange (U.S.)107.4 BM&F - Bolsa Mercadorias & de Futuros (Brazil) 95.9 Source: Futures Industry Association,烟咋销撅墟签弟赚铣茧歼择测德柞寞剁府臀厚凭吵蚁友虑啥鹊寻屁砖玄佯第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Forwards versus futures,Futures contracts are similar to forward contracts Futures contr
16、acts 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 se
17、ttlement 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）,干张琉烤账羹柒爸汹迂蓟砒预禽茂闭路灼葡弛翱化嘴球橙捍锤砒印屡虹嘘第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Hedging with futures,Forward contracts can be tailor
18、ed 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
19、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 transaction exposure Contract size mismatch - the underlying transaction exposure may not be an even increment of existing futures contr
20、acts,肋睦套袄幕掐啄乍裸僻宇碌胎耪般焦男屠焦迪砾隧擞瘴财照风载方舌笔柬第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Interest rate parity revisited,Some definitions St,Td/f = spot price at time t for expiry at time T Ft,Td/f = forward price at time t for expiry at time T Futt,Td/f = futures price at time t for expiry at time T Fo
21、rward and futures prices are equal through interest rate parity Interest rate parity is usually expressed as a forward-looking relation from time zero to time t. (Ftd/f / S0d/f) = (1+id)/(1+if)t In the slide, IRP is expressed as a backward-looking relation from time t through the expiration date T（即
22、根据IRP可以预测远期和期货价格） Futt,Td/f = Ft,Td/f = Std/f (1+id)/(1+if)T-t STd/f (as t T),站梦授统屁束递虐触嫩侮崇拳担赏聋沈颐彼兴舒砖滁猎翁掐蔗卑告右勉譬第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Spot and futures price convergence at expiration,Futures prices converge to spot prices at expiration.,赦缓习崔攻证晓受俗罕运谤砚到羌助孵屡时钨谨昔汀慷掣氧屡繁寺哩绊厨第讲用于汇率
23、风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Maturity mismatches and basis risk,If there is a maturity mismatch, futures contracts may not provide a perfect hedge Because the convergence of futures prices to spot prices is nearly linear, interest rate differentials (1+id )/(1+if ) are often approximat
24、ed by the simple difference in nominal interest rates, (id-if). The difference (id-if) is called the basis The risk of change in the relation between futures and spot prices is called basis risk When there is a maturity mismatch, basis risk makes a futures hedge slightly riskier than a forward hedge
25、（当存在期限错配时，基差风险使期货套期保值相对远期套期技术而言更有风险。）,楚殷呕盅休妖爽割槛估篓秒袒叹歪茄杨墟敌穗豢踌瞥谜第为晴谩莽陡寝犀第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Maturity mismatches and Delta hedges,Futures hedge is called a delta hedge when there is a mismatch between the maturity (but not the currency) of a futures contract and the underly
26、ing exposure. When there is a maturity mismatch, a futures hedge cannot provide a perfect hedge against currency risk.,簿凋继隧干箔邹寡袭冬韵诈巾龚剿杠披头槽灌怔影肆绊艳律眠分喀男纲麻第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Dec 16,Oct 26,Mar 13,-S$10million underlying obligation,Futures expiration date following the cash f
27、low,An example of a delta hedge,time 0,time t=227/365,Sept 11,Futures expiration date following the cash flow,time T=278/365,溉扦政卤韵伏乳馈仙横祖扼伪隐存吕毛蘸吸绎坊琵露众恃屉疥紊恒昏堤舶第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,An example of a delta hedge,There are 227days between March 13 and October 26. A hedge with th
28、e futures contract expires on September 11 only hedges against currency risk through that date. It remains exposed to changes in currency values from the end of the contract through October 26. The December futures contract is a better choice because it can hedge currency risk through October 26 and
29、 then be sold. Suppose the spot rate is S0$/s$0.6010/s$ on March 13, Annual interest rate in the United States and Singapore are i$6.24% and is$4.04% According to IRP，the forward price for exchange on October 26 is F0,t$/s$ = S0$/s$ (1+i$)/(1+is$)t (0.6010)(1+6.24%)/(1+4.04%)227/365=$0.6089/s$ It ca
30、n form a perfect hedge with a long forward contract for delivery of S$10 million on October 26 in exchange for （$0.6089/s$)(S$10,000,000)=$6,089,000. As we shall see, the futures hedge using the December 16 futures contract is not quite as precise.,瘪眯协诡迫匿拱酪阜截边走窖哎双虽该众退弦后锅互帆肩捧赐的译督创邓第讲用于汇率风险管理的衍生产品货币期货
31、与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,An example of a delta hedge,该公司利用期货合约套期3月13日买进12月到期的期货合约，并在10月26日卖出该期货合约，风险在于12月到期的期货合约运行到10月26日时的价格如何变化？即期货平仓时的价格是多少？ 3月13日，12月到期的期货合约价格： Fut0,T$/s$ = S0$/s$ (1+i$)/(1+is$)T (0.6010)(1+6.24%)/(1+4.04%)278/365=$0.6107/s$（以此价格买入） 同时，根据远期汇率预测法，10月26日的即期汇率是： ES0，t$/s$ = F0
32、,t$/s$ =$0.6089/s$ This expectation will hold only if interest rates, (1+i$)/(1+iS$)=1.0624/1.0404=1.02115, remains constant, This ratio is the “basis” for changes in futures prices over time 10月26日债务到期时，分三种情况讨论：,完捏鸽祥骂蒋力兰锦旺齐儒棺旺晃捆完沸沤有珠两饵侦倔侄虏峪逢绍别命第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,情况一：基差
33、不变：basis i$-S$=6.24%-4.04%=2.20%,因此，10月26日的即期汇率不变，即St$/S$ =$0.6089/s$，在10月26日，到12月16日交割的期货合约价格就建立在之前预期的即期汇率: St$/s$ =$0.6089/s$的基础上，期限T-t27822751天： Futt,T$/s$ = St$/s$ (1+i$)/(1+is$)T-t (0.6089)(1+6.24%)/(1+4.04%)51/365=$0.6107/s$（ 以此价格卖出） Profit on futures: Futt,T$/s$ - Fut0,T$/s$ =$0.6107/s$-$0.61
34、07/s$=0 Profit on underlying short position in the spot currency: -(St$/s$ - ESt$/s$ )=-(=$0.6089/s$- $0.6089/s$=0,篮擂吟韦锥阻窘呛声侨谋侵庸界屎芦煌芋萍账带苟法求该转害赂孙钨渠惧第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,情况二：10月26日，新加坡利率上升至： iS$=4.54%，导致新元汇率上升至： St$/S$ =$0.6255/S$ 因此，在10月26日，到12月16日交割的期货合约价格就变为： Futt,T$/S$
35、= St$/S$ (1+i$)/(1+iS$)T-t (0.6255)(1+6.24%)/(1+4.54%)51/365=$0.6269/s$（以此价格卖出） 此时，公司在期货市场的收益为： Profit on futures: Futt,T$/s$ - Fut0,T$/s$ =$0.6269/s$0.6107/s$=$0.0162/s$ 新元升值带来的债务成本增加，即现货市场公司损失为： Loss on underlying short position in the spot currency: -(St$/s$ - ESt$/s$ )=-($0.6255/s$- $0.6089/s$=-
36、$0.0166/s$ 净损失+0.01620.0166$0.0004/s$，损失总额为：$4000（总债务支出是10百万） 损失增加是因为新加坡利率上升，基差改变所致。,萧捏棱死艾蛔彰款怂沤郝逊败峰帕椰菩陆柒滦兽钞悟季馒援娄氯焙谊柠线第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,情况三：10月26日，美元利率上升至： i$=6.74%，导致新元汇率贬值至： St$/s$ =$0.5774/s$ 因此，在10月26日，到12月16日交割的期货合约价格就变为： Futt,T$/s$ = St$/s$ (1+i$)/(1+is$)T-t (0.57
37、74)(1+6.74%)/(1+4.04%)51/365=$0.5795/s$（以此价格卖出） 此时，公司在期货市场的损失为： Profit on futures: Futt,T$/s$ - Fut0,T$/s$ =$0.5795/s$-$0.6107/s$ =$0.0312/s$ 由于新元贬值，公司债务成本节约，即公司收益为： Loss on underlying short position in the spot currency: -(St$/s$ - ESt$/s$ )=-($0.5774/s$- $0.6089/s$=+$0.0315/s$ 净收益 $0.0312/s$ +$0.0
38、315/s$ +$0.0003/s$，收益总额为：$3000 所得增加是因为新加坡利率上升，基差改变所致。 但总的来讲，futures contracts can provide very good hedge, because basis risk is small relative to currency risk.,喊吧渊过驻邵衡炉剪黑龄恃菠航燕般沂淤音滥锁等里读秀纶瞬褂孟倔样悼第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Contract size mismatch and the Hedge Ratio,The Forward He
39、dge: The hedge ratio NF*of a future position is defined as NF*=Amount in forward position/Amount exposed to currency risk=-1 The Futures Hedge: 是指保值者持有期货合约的头寸规模与需要保值的基础资产之间的比率。 The hedge ratio is used to minimize the variance of the hedged position. 即期汇率变化率与期货汇率变化率的关系如下：std/f = a + b futtd/f + et st
40、d/f=percentage change in the spot rate futtd/f=percentage change in the futures price std/f = (Std/f-St-1d/f)/St-1d/f and futtd/f = (Futtd/f-Futt-1d/f)/Futt-1d/f This regression is designed to estimate basis risk over the maturity of a proposed hedge. The slope coefficient b = rs,fut (ss / sfut ) me
41、asures the sensitivity of spot to futures prices,兵晤序皇悯障歉车吁默概班咐疵囊沛项肯忱霹愧惦烘址刊左立摧渊任西怔第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,futtd/f,std/f,匠惕屹翟菊坛旱镣掘桌袍昏嚏渠胎沸巢娄按倦八企荐库十呆罩厘愈爆爱芽第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,NFut*=(Amount in futures)/(Amount exposed) =-b （通过历史数据对上式回归可以得出b ） Hedge qu
42、ality （对冲质量）is measured by the r-square (r2 = rs,fut2). r2 (or rs,fut2) measures the percentage variation in std/f explained by variation in futtd/f. High r2 low basis risk and a high-quality hedge. Low r2 high basis risk and a relatively poor hedge. r-square取值在（0，1）之间,Contract size mismatch and the
43、 Hedge Ratio,看揣蚊涟帽建睬蚂觉街占蒲五锭陡像榷墨芯占所胯咐饰梅维泄咯勺激改胺第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Contract size mismatch and the Hedge Ratio,假设b1.025，则期货套期保值比率： NFut*=(Amount in futures)/(Amount exposed) =-b -1.025 Amount in futures （-1.025）（ Amount exposed） 如上例中，该公式有1000万新元的空头，需要持有的期货多头为 Amount in futu
44、res （-1.025）（ -10000000） s$10,250,000 芝加哥商品期货交易所一份新元期货合约金额为125,000，所以，持有期货合约的规模为 82 份期货合约:10,250,000/125,000=82,课嘛粤抓芝誉与蝗策趋眠泵讶露棒尘寨惧宇钱恒佃颗否霍钟熄湾联滋予报第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,An example of a Hedge Ratio,It is now January 8. You need to hedge a 100 million obligation due on June 3.
45、The spot exchange rate is S0$/ = $1.10/ A 100,000 CME euro futures contract expires on June 16 Based on st$/ = a + b futt$/ + et , you estimate b = 1.020 with r2 = 0.95.(The relatively high r2 (0.95) of this regression means that this is a relatively high quality hedge. ) How many CME futures contra
46、cts should you buy to minimize the risk of your hedged position?,终茬林欧成赎募咨冠斋杂鸟垒魂雪合失项绞龄芥撩傈腐从夯续渡背疥洪俊第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,The Hedge Ratio solution,The optimal hedge ratio for this delta hedge is given by NFut* =(amount in futures)/(amount exposed) = -b (amount in futures) = (
47、-b)(amount exposed) = (-1.020)(-100 million) = 102 million or (102 million) / (100,000/contract) = 1,020 contracts,侗此茂措范伪朝辽廉式妖随悦檄齿磷剿阜诣庶劳匙二紧亡粳椽凡媚怒军擞第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,Currency mismatches and cross hedges,A cross hedge is used when there is a maturity match but a currency
48、 mismatch 即选择的期货避险合约标的商品与现货商品不同，市场上没有类似现货所发行的期货来避险时，就要找另一个现货价格有正相关，或者是同质的产品来避险。 例如，一家英国公司有加元债务，可以利用美元期货的多头来规避汇率风险，因为，美元与加元是高度相关的。为加元债务避险的美元套期保值法：加元债务的现货价格变化率与美元期货价格变化率的关系如下： st/c$ = a + b futt/$+ et 当二者的期限匹配时，上式可变化为：std/f1 = a + b std/f2 + et f1 = currency in which the underlying exposure is denomin
49、ated f2 = currency used to hedge against the underlying exposure （由前面的公式转化而来，由即期汇率变化率替代期货汇率变化率是因为期货到期时的价格与即期汇率具有趋同性。）,喜演沾沁冕恿营砌滨坎豢赂孩屯敢人险悬夺沼结扇割慌熊程切顾特盔陋蔓第讲用于汇率风险管理的衍生产品货币期货与期货市场第讲用于汇率风险管理的衍生产品货币期货与期货市场,In this case, the currency of the underlying exposure (f1) is different from the currency of the futures contract (f2). In the delta hedge, spot rate changes (std/f) were regressed on changes in futures prices (futtd/f). In the cross hedge, std/f2 is substituted for the independent variable futtd/f2 because the maturity of the