人民银行研究院衍生金融工具讲义InterestRateFutures.pptVIP

Lecture #4: Interest Rate Futures We will explore one of the most successful and exciting innovations in the history of futures market - the interest rate futures contract. We first introduce concepts of terms structures of spot and forward rates. We then discuss futures on T-bills, on Eurodollar deposits, and T-bonds. 1. Disasters of 94 ·???????? record six Fed increases in short-term interest rate and the associated collaps in the bond market. ·???????? a number of fixed income derivatives related disasters, including ·???????? April 12: Porcter Gamble announces a $157 million pretax charge for estimated losses on derivatives, many of them with Bankers Trust Company, a leading trader of the over-the-counter derivatives. ·???????? May 20: Piper Jaffray, a respected Minneapolis broker, injects $10 million (not nearly enough, as it turned out) into its Institutional Government Income Fund s partial repayment for losses on mortgage derivatives. ·???????? December 6: Orange County, California, files for bankruptcy following losses on leveraged fixed income positions. these events triggered vigorous responses 2. Instruments For the short end of the maturity spectrum, see Cook and Rowe, eds., Instruments of the Money Market, Federal Reserve Bank of Richmond; Call (804) 697-8000 for a free copy. Major Categories of Primary Fixed Income Securities Entries are year-end values for 1993, billions of dollars, as reported in the Board of Governors of the Federal Reserve System, Flow of Funds Codes Tables, Spet. 20, 1994. Updated data is available from the Fed via the internet: gopher://:70/11//other/fed Category Amount (billion) Treasury Securities 3309.9 Corporate Bonds 2066.7 Tax-Exempt Securities 1217.0 Mortgages 4209.9 US Agency Issues 1898.9 Commercial Paper