6、Ch6 Derivatives.pptx

InvestmentBanking投资银行业务POWERPOINT TEMPLATECHAPERT SIXDERIVATIVESSAYINGSDerivatives are financial weapons of mass destruction.Warren Buffett, 1930-真实的故事：美国金融危机中，申请破产保护的雷曼兄弟被发现持有足以制造一枚核弹的铀饼。在一次衍生交易中，交易伙伴因为无法及时平仓，而只能交割实物铀。DerivativesDerivatives are securities whose price are dependent upon or derived from?one or more underlying assets.?Derivatives are generally used to hedge?risk, but can also be used for?speculative purposes. Most derivatives are characterized by high leverage.? Trading Mechanism of DerivativesExchangesReady-madeFutures, OptionsNegotiated SystemTailor-madeOptions, Swaps, FRADerivatives and Risk ManagementMarket Role of Investment BanksDerivatives Chosen RisksUnderwriterPrice RiskFutures for HedgingOptions to UncertaintyMarket MakerPrice Risk (net position)System RiskFutures, OptionsPortfoliosBroker-DealerPrice Risk(Counterpart) Credit RiskFutures, OptionsReady-made productsFuture MarketFutures A?financial contract obligating the buyer to?purchase an asset (or the seller to sell an asset), such as a physical commodity or a financial instrument,?at a predetermined?future date and price. Futures contracts detail the quality and quantity of the underlying asset; they are standardized to facilitate trading on a futures exchange. Some futures contracts may call for physical delivery（实物交割） of the asset, while others are settled in cash（现金结算）.Participants of Futures MarketExchangesClearing HouseParticipantsTo control counterparty riskBrokersInvestorsCharacteristics of Future TradingStandardized Contract Margins: Mark to the MarketCharacteristicsInitial Margin/ Maintenance Margin/ Variation MarginPosition LimitsHedgingContract SpecificationsTrading Unit/Contract SizeQualityMinimum Price ChangeDaily Price LimitContract MonthsTrading HoursLast Trading DayDeliverySpecificationsSP 500 Futures ContractSP 500 Futures ContractRoles of Futures TradingRisk Shifting风险转移Price Discover价格发现RolesSpeculation投机获利Tips:期货市场的主要功能就是将套期保值者的价格风险转移给投机者Future Market: Stock Index Fut