貨幣金融學（第十三版）課件 英文 -web3 Financial Derivatives

TheEconomicsofMoney,Banking,andFinancialMarketsThirteenthEditionWebChapter3FinancialDerivativesCopyright?2022,2019,2016PearsonEducation,Inc.AllRightsReservedPreviewThischapterslooksatthemostimportantfinancialderivativesthatmanagersoffinancialinstitutionsusetoreducerisk:forwardcontracts,financialfutures,options,andswaps.LearningObjectives(1of2)W3.1Defineahedge,alongposition,andashortposition.W3.2Defineaforwardcontractandsummarizeitsadvantagesanddisadvantages.W3.3Summarizethedifferencesbetweenaforwardcontractandafinancialfuturescontract.W3.4Identifythedifferenttypesofoptionscontractandsummarizethreeconclusionsregardingcallandputoptions.LearningObjectives(2of2)W3.5Defineaswapandsummarizetheadvantagesanddisadvantagesofinterest-rateswaps.W3.6Summarizethethreetypesofcreditderivatives.HedgingEngageinafinancialtransactionthatreducesoreliminatesriskLongpositionShortpositionHedgingriskinvolvesengaginginafinancialtransactionthatoffsetsalongpositionbytakinganadditionalshortposition,oroffsetsashortpositionbytakinganadditionallongposition.Interest-RateForwardContractsAgreementsbytwopartiestoengageinafinancialtransactionatafuture(forward)pointintimeSpecificationoftheactualdebtinstrumentthatwillbedeliveredatafuturedateAmountofthedebtinstrumenttobedeliveredPrice(interestrate)onthedebtinstrumentwhenitisdeliveredDateonwhichdeliverywilltakesplaceProsandConsofForwardContractsPro:canbeasflexibleasthepartiesinvolvedwouldlikeCon:itcanbedifficulttofindacounterpartylackofliquidityCon:contractssubjecttodefaultriskFinancialFuturesContractsandMarketsSimilartoaninterest-rateforwardcontractbutdiffersinwaysthatovercomesomeoftheliquidityanddefaultproblemsAttheexpirationdateofafuturescontract,thepriceofthecontractconvergestothepriceoftheunderlyingassettobedelivered.Application:HedgingWithFinancialFutures(1of2)Holding$5Mof6s2041March20196sof2030arelong-termbondtobedeliveredintheC

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Tfuturescontractexpiringinoneyear:March2020.Interestisexpectedtostayat6%forthenextyearsothe6sof2041andthefuturescontractaresellingatpar.Needtooffsetthelongpositioninthebondwithshortpositions(sellingafuturescontract).Ifinterestratesincreaseoverthenextyearto8%ValueonMarch2020@8%interestrateValueonMarch2019@6%interestrateLossApplication:HedgingWithFinancialFutures(2of2)Shortpositioninthefuturescontractshasavalueof$4,039,640(thevalueof$5Minbondsaftertheinterestraterises),butthebuyerofthefuturescontractagreedtopayyou$5Monthematuritydate.Yourgainis$960,360,thishasbeenasuccessfulmicrohedge.Themacrohedge:thehedgeisfortheinstitution’sentireportfolio.OrganizationofTradinginFinancialFuturesMarketsOrganizedexchangesRegulatedbytheCommodityFuturesTradingCommission(C

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C)EnsurepricesarenotmanipulatedRegistersandauditsbrokers,traders,andexchangesApprovesproposedfuturescontractstoensuretheyservethepublicinterestTradinghasbecomeglobalizedanddone24hoursadayTable1WidelyTradedFinancialFuturesContractsintheUnitedStates(1of2)TypeofContractContractSizeOpenInterest,July2017Interest-RateContractsBlankBlankTreasurybonds$100,000732,092Treasurynotes$100,0003,202,411Five-yearTreasurynotes$100,0002,959,255Two-yearTreasurynotes$200,0001,375,416Thirty-dayFedfundsrate$5million1,706,604Eurodollar$4million13,172,945StockIndexContractsBlankBlankStandard&Poor’s500Index$250timesindex89,687E-MiniStandard&Poor’s500Index$50timesindex3,030,405E-MiniNASDAQ100$20timesindex293,228Nikkei225StockAverage$5timesindex35,613Table1WidelyTradedFinancialFuturesContractsintheUnitedStates(2of2)TypeofContractContractSizeOpenInterest,July2017CurrencyContractsBlankBlankYen12,500,000yen241,605Euro125,000euros455,955Canadiandollar100,000Canadian$190,219Britishpound100,000pounds213,286Swissfranc125,000francs40,080Mexicanpeso500,000newpesos214,991Source:

VolumeandOpenInterest,/daily_bulletin/monthly_volume/Web_OI_Report_CMEG.pdf.UsedbypermissionofC

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EGroupInc.ExplainingtheSuccessofFuturesMarkets(1of2)QuantitiesdeliveredanddeliverydatesarestandardizedAfuturescontractcanbetradedAnyTreasurybondthatmaturesinmorethanfifteenyearsandisnotcallableforfifteenyearsiseligiblefordeliveryLimitsthepossibilityofcorneringthemarketExplainingtheSuccessofFuturesMarkets(2of2)BuyerandsellermakethecontractwithaclearinghouseMarginaccountthatismarkedtomarketeverydayMostfuturescontractsdonotresultindeliveryoftheunderlyingassetontheexpirationdateReducestransactioncostsApplicationHedgingForeignExchangeRisk(1of2)Giventhevolatilityofforeignexchangeratesinrecentyears,financialinstitutionsareincreasinglysubjecttosignificantforeignexchangerisk.Exchangerateriskcandevelopinthefollowingway:supposethataU.S.firm,D

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FPrinting,isdueapaymentof10millioneurosintwomonthsfor$10millioningoodssoldinGermany.Ifthevalueoftheeurofallssignificantlyduringtheinterveningtimeperiod,D

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FPrintingmaysufferahugeloss.ApplicationHedgingForeignExchangeRisk(2of2)ThetypeofexchangerateriskfacedbyD

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FPrintingcanbeaddressedinoneoftwoways:HedgingForeignexchangeriskwithForwardContractsHedgingForeignexchangeriskwithFuturesContractsOptions(1of2)Contractsthatgivethepurchasertheoption(right)tobuyorselltheunderlyingfinancialinstrumentataspecifiedprice(exerciseorstrikeprice)withinaspecificperiodoftime(termtoexpiration).Thesellerisobligatedtobuyorsellthefinancialinstrumentifthebuyeroftheoptionexercisestherighttosellorbuy.Thebuyerdoesnothavetoexercisetheiroption.Options(2of2)ApremiumispaidfortheoptionAmericanoptioncanbeexercisedatanytimeuptotheexpirationdateEuropeanoptionscanonlybeexercisedontheexpirationdateStockoptionsFuturesoptionsMoreliquidthandebtinstrumentmarketsRegulatedbytheS

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C(stocks)andtheC

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C(futures)OptionsContractsCalloptiongivestheownertheright—butnottheobligation—tobuyafinancialinstrumentattheexercisepricewithinaspecificperiodoftime.Putoptiongivestheownertheright—butnottheobligation–tosellafinancialinstrumentattheexercisepricewithinaspecificperiodtotime.Figure1ProfitsandLossesonOptionsVersusFuturesContractsDifferencesBetweenOptionsandFuturesContracts(1of2)Forafuturescontract,theprofitsgrowbyanequaldollaramountforeverypointincreaseinthepriceoftheunderlyingfinancialinstrument.Fortheoptioncontractprofitsdonotalwaysgrowbythesameamountforagivenchangeinthepriceoftheunderlyingfinancialinstrumentbecauseoftheprotectionaffordedfromlosses.DifferencesBetweenOptionsandFuturesContracts(2of2)InitialinvestmentonthecontractsdifferMoneychangeshandsdailyinthefuturesmarket;onlyoncefortheoptioncontract(whentheoptionisexercised)PricingOptionPremiumsThehigherthestrikeprice,everythingelsebeingequal,thelowerthepremiumoncall(buy)optionsandthehigherthepremiumonput(sell)options.Thegreaterthetermtoexpiration,everythingelsebeingequal,thehigherthepremiumsforbothcallandputoptions.Thegreaterthevolatilityofpricesoftheunderlyingfinancialinstrument,everythingelsebeingequal,thehigherthepremiumsofbothcallandputoptions.SwapsFinancialcontractsthatobligateeachpartytothecontracttoexchangeasetofpayments(notassets)itownsforanothersetofpaymentsownedbyanotherparty.Currencyswapsinvolvetheexchangeofasetofpaymentsinonecurrencyforasetofpaymentsinanothercurrency.Interest-rateswapsinvolvetheexchangeofonesetofinterestpaymentsforanothersetofinterestpayments,alldenominatedinthesamecurrency.Interest-RateSwapContractsInterest-rateswapspecifiesInterestrateonthepaymentsthatarebeingexchangedTypeofinterestpaymentsTheamountofnotionalprincipalThetimeperiodoverwhichtheexchangescontinueFigure2Interest-RateSwapPaymentsAdvantagesofInterest-RateSwapsLargetransactionscostsfromrearrangingbalancesheetsareavoidedInformationaladvantagesaremaintainedPossibletohedgeinterest-rateriskoveraverylonghorizonDisadvantagesofInterest-RateSwapsSwapmarketssufferfromalackofliquiditySubjecttodefaultriskNeedforinformationaboutcounterpartieshasthusattractedintermediariesInvestmentbanksLargecommercialbanksCreditDerivativesCreditoptionsRighttoreceiveprofitstiedeithertothepriceofanunderlyingsecurityortoaninterestrateTiesprofitstochangesinaninterestratesuchasacreditspreadCreditswapIncreasesdiversificationandlowersoverallriskCreditdefaultswapCredit-linkednotesCombinationofabondandacreditoptionApplication:LessonsFromtheGlobalFinancialCrisis:WhenAreFinancialDerivativesLikelytoBeaWorldwideTickingTimeBomb?(1of2)Allowsfinancialinstitutiontoincreasetheirleverage(A

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Gcase)BankshaveholdingsofhugenotionalamountsoffinancialderivativesthatgreatlyexceedtheamountofbankcapitalHowever,derivativesexposureatbankshasnotbeenaseriousproblem,even