公司理财25.ppt

Chapter Outline 25.1 Forward Contracts 25.2 Futures Contracts 25.3 Hedging 25.4 Interest Rate Futures Contracts 25.5 Duration Hedging 25.6 Swap Contracts 25.7 Actual Use of Derivatives 25.8 Summary Conclusions 25.1 Forward Contracts A forward contract specifies that a certain commodity will be exchanged for another at a specified time in the future at prices specified today. Its not an option: both parties are expected to hold up their end of the deal. If you have ever ordered a textbook that was not in stock, you have entered into a forward contract. 25.2 Futures Contracts: Preliminaries A futures contract is like a forward contract: It specifies that a certain commodity will be exchanged for another at a specified time in the future at prices specified today. A futures contract is different from a forward: Futures are standardized contracts trading on organized exchanges with daily resettlement (“marking to market”) through a clearinghouse. Futures Contracts: Preliminaries Standardizing Features: Contract Size Delivery Month Daily resettlement Minimizes the chance of default Initial Margin About 4% of contract value, cash or T-bills held in a street name at your brokerage. Daily Resettlement: An Example Suppose you want to speculate on a rise in the $/￥ exchange rate (specifically you think that the dollar will appreciate). Daily Resettlement: An Example Currently $1 = ￥140 and it appears that the dollar is strengthening. If you enter into a 3-month futures contract to sell ￥ at the rate of $1 = ￥150 you will make money if the yen depreciates. The contract size is ￥12,500,000 Your initial margin is 4% of the contract value: Daily Resettlement: An Example If tomorrow, the futures rate closes at $1 = ￥149, then your position’s value drops. Your original agreement was to sell ￥12,500,000 and receive $83,333.33: Daily Resettlement: An Example The $559.28 comes out of your $3,333.33 margin account, leaving $2,774.05 This is short of the $3,355.70 required f