Exchange(CME芝加哥商品交易所).ppt

Foundations of Multinational Financial Management5th EditionAlan Shapiro J.Wiley & Sons Power Points by Joseph F. Greco, Ph.D. California State University, Fullerton Currency Futures and Options Markets Chapter 8 PART I.FUTURES CONTRACTS I. CURRENCY FUTURES A. Background 1. Long history 2. Extremely volatile due to information driven nature 3. Price Discovery Role Financial derivatives: they are contracts that derive their value from some underlying asset(stock , bond, currency) 1.Forwards 2.Futures 3.Options 4.SWAP FUTURES CONTRACTS 1972: Chicago Mercantile Exchange(CME芝加哥商品交易所) opens the International Monetary Market (IMM). Purpose: speculator vs hedger FUTURES CONTRACTS 2. IMM provides a. an outlet for hedging currency risk with futures contracts. Definition: contracts written requiring a standard quantity of an available currency at a fixed exchange rate at a set delivery date. FUTURES CONTRACTS b. Available Futures Currencies/Contract Size: 1.) British pound / 62,500 2.) Canadian dollar /100,000 3.) Euro / 125,000 4.) Swiss franc / 125,000 5.) Japanese yen / 12.5 million 6.) Mexican peso / 500,000 7.) Australian dollar / 100,000 FUTURES CONTRACTS c. Transaction costs: commission payment to a floor trader d. Leverage is high 1.) Initial margin required is relatively low (less than 2% of contract value). FUTURES CONTRACTS: SAFEGUARDS e. Maximum price movements 1.) Contracts set to a daily price limit restricting maximum daily price movements. 2.) If limit is reached, a margin call may be necessary to maintain a minimum margin保證金. Initial Margin:當期貨交易開始時需具備的金額 Maintenance Margin:當低於維持保證金時，必須補足金額至原始保證金的額度 FUTURES CONTRACTS g. Global futures exchanges: 1.) I.M.M. International Monetary Market 2.) L.I.F.F.E.London International Financial Futures Exchange 3.) C.B.O.T. Chicago Board of Trade 4.) S.I.M.E.X.Singapore International