对外经贸大学国际财务管理课件3.pdfVIP

国际财务管理 第三讲 外币衍生金融工具 对外经济贸易大学国际商学院会计学系制作 Foreign Currency Futures Aforeign currency futures contract is an alternative to a forward contract that calls for future delivery of a standard amount of foreign exchange at a fixed time, place and price. It is similar to futures contracts that exist for commodities such as cattle, lumber, interest- bearing deposits, gold, etc. In the US, the most important market for foreign currency futures is the International Monetary Market (IMM), a division of the Chicago Mercantile Exchange. Foreign Currency Futures 外币期货是指一种缔约在未来某个确定的日子 买入或卖出一项有关外汇资产后，在合同有效 期间每天结清市价差额的交易工具。 第一、期货合同只代表交易双方对有关货币 汇价变动方向的一种预测。 第二、一份期货合同实际是一份每天都需结 算清楚的有约束力的协定。 第三、期货的经纪人要求买卖双方都需在缔 约时付出一定数量的现金存款作为保证 金。 Foreign Currency Futures Rules of Currency Futures Trading a. 外币期货合约和外币期货合约的单位 b. 外币期货价格变动规则 c. 外币期货的交割月份 d. 保证金 保证金是期货交易的最大特色之一，保证金分为 两种： 初始保证金(Initial or Original Margin) 维持保证金(Maintenance Margin) 。 e. 佣金 Foreign Currency Futures A man buys one IMM DM futures contract on March 7,1990 at $0.5860/DM Initial margin $2,500 Maintenance margin $2,000 Contract size DM125,000 Contract value $73,250 (DM125,000 ×$0.5860/DM) Foreign Currency Futures Settlement price Contract Value Cash flow Margin 7 $0.5868 $73,350 +$100 +$2,500 8 0.5880 73,500 + 150 + 2,500 9 0.5869 73,362.5 - 137.5 + 2,362.50 12 0.5829 72,862.5 - 500 + 1,862.50 补 637.50 +$2,500