国际金融英文版CH6

Chapter6FinancialDerivativesforCurrencyRiskManagementIntroductiontoFinancialDerivativesFinancialderivativesarefinancialinstrumentswhosevaluesarederivedfromanunderlyingassetsuchasastockoracurrency.Derivativesaremainlyusedtohedgeagainstinterestrateandforeignexchangerisk.Theyarealsousedtospeculate.Currencyforwards,currencyfuturesandoptions,currencyswapsaremainderivativesinthederivativesmarket.CurrencyFuturesTheviolentfluctuationsofcommoditypricesledtothecreationoffuturesmarket.ThecollapseoftheBrettonWoodspeggedexchangeratesystemisthemainreasonforthefirstcurrencyfuturescontract.Currencyfuturescontractwascreatedtocovertheforeignexchangerisk.Afuturescontractisanagreementbetweentwopartiestobuyandsellacurrencyatacertainfuturetimeforacertainprice.Afuturescontractremediestheprobleminherentinaforwardcontract.Themajorproblemwithaforwardcontractisthedefaultrisk.Aforwardcontractisapurecreditinstrument.Whicheverwaythepriceofthespotrateofexchangemoves,onepartyhasanincentivetodefault.Forexample,iftheforwardrateis$1.35/€,thespotrateonthefuturedeliverydayis$1.40/€,thenthepartywhosellstheeurohastheincentivetodefault.Ifthefuturespotrategoesdown,thepartywhobuystheeuromaydefault.Afuturescontractissimilartoaforwardcontract,buttherearealotofdifferencesbetweenthetwo.ForwardversusCMEFuturesContractsForwardsExchange-tradedfutures1.LocationInterbankExchangefloor2.MaturityNegotiated:typically1,3,6,12monthsorupto10yearsThethirdMondayofMarch,June,September,December3.AmountNegotiated:usuallymorethan$5millionStandardizedcontractamount:suchas€125,000oneuros4.FeesBid-askspreadCommissionschargedper“roundturn”,$30percontract5.CounterpartyBankExchangeclearinghouse6.CollateralNegotiated:dependingoncustomer’screditriskInitialmarginandmaintenancemargin,markedtomarketdaily7.SettlementNearlyallLessthan5%settledbyphysicaldelivery8.Tradinghours24hoursDuringexchangehoursFeaturesofCurrencyFuturesFuturescontractsarestandardizedcontractintermsofthecurrenciestraded,contractsize,andmaturityofthecontract.Forexample,(CME)JPYfuturescontractcontractsize:￥12,500,000expirationdate:thirdWed.ofMarch,June,September,andDecemberlasttradingday:thesecondbusinessdayproceedingtheexpirationday(usuallyMonday)Futurescontractsaretradedonanorganizedexchange.AClientwhowantstrademustopenanaccountincommissionhouse.Allordersareexecutedthroughthecommissionhouse.Commissionhouseisa“registeredagent”oftheclient.Futurescontractsaresettledthroughexchange’sclearinghouse.Theclearinghouserecordstrade,managesday-to-daysettlement,andguaranteesthedelivery.Futurescontractsaremarkedtomarketonadailybasis.Clearinghouseissuesmargincallifthepositionofaclient’saccountdeteriorates.Aninitialmarginandamaintenancemarginarerequiredtopurchaseafuturescontract.Aninitialmarginisthemoneyaclientmustdepositwhenafuturescontractispurchased.Maintenancemarginistheminimumamountofthemoneythatmustbemaintainedinamarginaccount.Aclientmustdepositextramoneyifamargincallisissuedbytheclearinghouse.Dailymarkingtomarketmeansprofitsandlossesarepaideverydayandisequivalenttoclosingoutacontracteachdayattheendoftrading,payingofflossesorreceivinggains,andwritinganewcontract.ExampleofMarkingtoMarketAclienttakeslongpositioninaSwissfrancfuturescontractonMondaymorning.Contractsize:SFr125,000Priceofthecontract:$0.85/SFrInitialmargin:$2,000Maintenancemargin:$1,500(Margincallwillbeissuediffundsinmarginaccountarelessthan$1,500)Costofthecontract:0.85x125,000=$106,250Mondayclosingexchangerate:$0.88/SFrTheclientgainssincethepriceisup.(0.88–0.85)x125,000=$3,750Theclient’smarginaccountbalance:$2,000+$3,750=$5,750Theoldcontractisclosedout.Theclienthasanewcontractnow($0.88/SFr).Tuesdayclosingexchangerate:$0.84/SFrTheclientlosessincethepriceisdown.(0.84–0.88)x125,000=-$5,000Theclient’smarginaccountbalance:$5,750-$5,000=$750Amargincallisissued.Extradeposit:$750Thepriceofthecontractis$84/SFrnow.Ifthecontractexpiresnow,theclientloses$1,250inhismarginaccount.However,hegainsfromthenewcontract.Hisdollarpaymentis:0.84x125,000=$105,000Comparedtohispreviouscostofthecontract,$106,250,hesaves$1,250.Iftheholderofthefuturescontractlosesinhismarginaccount,hegainsfromthespotexchangemarket;andviceversa.Markingtomarketensuresthattheclearinghouse’sexposuretocurrencyriskisatmostoneday.FuturesInformationMexicanPesoFuturesUS$/Peso(CME)HedgingorSpeculatingwithaCurrencyFuturesContractAnexampleofhedgingTheTexasInstrumenthas100millionDanishkronerobligationdueinSeptember.Contractsize:USD50,000(Euronextstandard)Futuresprice:DKr1.25/$Maturity:SeptemberThecompanycanselldollarforkroner.Soittakesashortpositioninthedollarfutures.(100m/1.25)/(50,000)=16contractsNomatterwhatthefutureexchangerateis,thecompany’sdollarpaymentisfixedat:100m/1.25=$80millionAnexampleofspeculationMr.SpeculatorbelievesMexicanpesowillappreciateagainstthedollar,hetakesalongpositioninCME’spesofuturescontract.Supposehepurchases100contractsatthepriceof$0.10615/Mex$.Ifthespotrateattheexpirationdateis$0.11146/Mex$(5%up),hisprofitis:(0.11146–0.10615)x500,000x100=$265,500Ifthepesoisdown