Kirt C. Butler国际金融课件ch06.pptVIP

Chapter 6 Currency Futures Futures Markets 6.1 Financial Futures Exchanges 6.2 The Operation of Futures Markets 6.3 Futures Contracts 6.4 Forward versus Futures Market Hedges 6.5 Futures Hedges Using Cross Exchange Rates 6.6 Hedging with Currency Futures 6.7 Summary A forward hedge of the dollar Underlying position of a French exporter (long $s) Sell $s forward at Ft€/$ (short $s and long €s) Net position Currency futures contracts Forwards are a pure credit instrument Forwards are a zero-sum game, and one party always has an incentive to default The futures contract solution A futures exchange clearinghouse takes one side of every transaction (and makes sure that its exposures cancel one another) Contracts are marked-to-market daily Require initial and maintenance margins Futures exchanges Financial futures exchanges are usually associated with a commodity futures exchange 2002 volume Top 5 futures exchanges (million contracts) Eurex - Eurex (Germany Switzerland) 536.0 CME - Chicago Mercantile Exchange (U.S.) 444.5 CBOT - Chicago Board of Trade (U.K.) 276.3 Euronext - (Amsterdam, Brussels, Lisbon, Paris, London) 221.3 NYMEX - New York Mercantile Exchange (U.S.) 107.4 BMF - Bolsa Mercadorias de Futuros (Brazil) 95.9 Source: Futures Industry Association Growth of derivatives trading Forwards versus futures Forwards Futures Counterparty Bank CME Clearinghouse Maturity Negotiated 3rd week of the month (US) Amount Negotiated Standard contract size Fees Bid-ask Commissions Collateral Negotiated Margin account Settlement At maturity Most are settled early Been there, done that... Futures contracts are similar to forward contracts Futures contracts are like a bundle of consecutive one-day forward contracts Daily settlement is the biggest difference between a forward and a futures contract Futures and forwards are nearly identical in their ability to hedge risk Hedging with forwards and futures Forward contracts can be ta