每半年双方结算支付差额.ppt

Interest Yields, Interest-Rate Risk, and Derivative Securities 1.Hedging, Speculation, and Derivative Securities1)interest risk Individuals who trade in international financial markets face risks arising from variations in asset returns and foreign exchange risks that arise from exchange-rate volatility. Interest rate risk is the possibility that the market value of a financial instrument will change as interest rates vary. Capital gain is a rise in the value of a financial instrument at the time it is sold relative to its market value at the time it was purchased. 2)possible responses to interest risk: Some limiting strategies: ? to hold bonds with shorter durations, to avoid zero-coupon bonds and to make certain that all bonds holdings yield frequent coupon returns. ? to hold mostly short-term financial instruments. three problems with the second strategy: ?long duration instrument will provide greater returns. ?rolling over short-term instruments can be costly. ?holding only short-maturity instruments sacrifices potential benefits from portfolio diversification. ? hedging: is a strategy of using other financial instruments to reduce financial-market and foreign-exchange-market risks. two key requirements: flexibility and speed. 3)derivative securities: derivative security: is a financial instrument whose return depends on the returns of other financial instruments. hedging with forward contracts speculation with derivatives Example: hedging and speculation 远期利率协议 例：A公司2007年3月1日预知6个月后有一笔100万美元收入，预测利率下降，卖出6对9、2.56%的FRA合约给银行。如果9月1日市场利率为2.06%，双方如何清算？A公司有何收益？ 2.common derivatives and their risks1)forward contracts 2)futures futures contract is an agreement to deliver a standardized amount of a specific nation’s currency at a designated future date. Foreign-exchange forward contract is an agreement that ensures the future delivery of a foreign currency at a specified rate of exchan