货币银行学米什金第十一章PPT方案.ppt

案例 在2008年，部分央企在金融衍生品市场上栽了跟头。中国国航08年底的燃油套期保值合约公允价值损失已扩大到68亿元；东方航空去年底航油套保影响公允价值损失已达62亿元；中国远洋于12月公布远期运费协议，在浮亏与实现收益相抵后，合计亏损39.5亿元；中国中铁和中国铁建去年也分别曝出高额汇兑损失。 国航、东航、上航均因套期保值的目的订立燃油保值合约。国航披露，合同期间国航有权以约定价格按照事先确定的周期从对手方买入一定数量的燃油；同时，对手方也有权以约定价格按照事先确定的周期向国航卖出一定数量的燃油。国航有权买入燃油的价格远高于对手方有权卖出燃油的价格。 这一套保的实质是既买入看涨期权又卖出看跌期权，希望以卖出看跌期权的收益来对冲昂贵的买入看涨期权费，同时承担市场航油价格跌破看跌期权锁定下限时的赔付风险。 几家航空公司盘算的是，若燃油上涨，公司以固定价格买入燃油的权利所产生的收益可以补贴经营过程中燃油现货采购成本的上涨；若燃油价格下跌，公司现货采购成本的节省可以补贴履行套期保值合约义务按高于现货价格的约定价格买入燃油的损失。但这一复杂的套期保值操作过于追求套利，在油价波动幅度不大时可以获得较稳定收益，一旦跌幅超过套利区间，就会面临不可挽回的损失。 * Interest rate caps, floors and collars The purchase of a put option on Eurodollar futures essentially places a cap on the banks borrowing cost. The advantage of a put option is that for a fixed price, the option premium, the bank can set a cap on its borrowing costs, yet retain the possibility of benefiting from rate declines. If the bank is willing to give up some of the profit potential from declining rates, it can reduce the net cost of insurance by accepting a floor, or minimum level, for its borrowing cost. Interest rate caps and floors Interest rate cap…an agreement between two counterparties that limits the buyers interest rate exposure to a maximum rate the cap is actually the purchase of a call option on an interest rate Interest rate floor…an agreement between two counterparties that limits the buyers interest rate exposure to a minimum rate the floor is actually the purchase of a put option on an interest rate Interest rate cap…A series of consecutive long call options (caplets) on a specific interest rate at the same strike rate. To establish a Rate Cap: the buyer selects an interest rate index a maturity over which the contract will be in place a strike (exercise) rate that represents the cap rate and a notional principal amount By paying an up-front premium, the buyer then locks-in this cap on the underlying interest rate. The buyer of a cap receives a cash payment from the seller.The payoff is the maximum of 0 or 3-mo