商业银行管理-ROSE-7e-课后答案chapter-08

105CHAPTER8USINGFINANCIALFUTURES,OPTIONS,SWAPS,ANDOTHERHEDGINGTOOLSINASSET-LIABILITYMANAGEMENTGoalofThisChapter:Thepurposeofthischapteristoexaminehowfinancialfutures,option,andswapcontracts,aswellasselectedotherasset-liabilitymanagementtechniquescanbeemployedtohelpreduceabank’spotentialexposuretolossasmarketconditionschange.Wewillalsodiscoverhowswapcontractsandotherhedgingtoolscangenerateadditionalrevenuesforbanksbyprovidingrisk-hedgingservicestotheircustomers.KeyTopicsinthisChapterTheUseofDerivativesFinancialFuturesContracts:PurposeandMechanicsShortandLongHedgesInterest-RateOptions:TypesofContractsandMechanicsInterest-RateSwapsRegulationsandAccountingRulesCaps,Floor,andCollarsChapterOutlineI.Introduction:SeveraloftheMostWidelyUsedToolstoManageRiskExposureII.UseofDerivativeContractsIII.FinancialFuturesContracts:PromisesofFutureSecurityTradesataSetPriceA.BackgroundonFuturesB.PurposesofFinancialFuturesTradingC.MostPopularTypesofFuturesContractsD.TheShortHedgeinFuturesE.TheLongHedgeinFutures1.UsingLongandShortHedgestoProtectIncomeandValue2.BasisRisk3.BasisRiskwithaShortHedge4BasisRiskwithaLongHedge5.NumberofFuturesContractsNeededIV.InterestRateOptionsA.NatureofInterest-RateOptionsB.HowTheyDifferfromFuturesContractsC.MostPopularTypesofOptionsD.PurposeofInterest-RateOptionsV.RegulationsandAccountingRulesforBankFuturesandOptionsTrading106VI.InterestRateSwapsA.NatureofswapsB.QualityswapsC.AdvantagesofSwapsOverOtherHedgingMethodsD.ReverseswapsE.PotentialDisadvantagesofSwapsVII.Caps,Floors,andCollarsA.InterestRateCapsB.InterestRateFloorsC.InterestRateCollarsVIII.SummaryoftheChapterConceptChecks8-1.Whatarefinancialfuturescontracts?Whichfinancialinstitutionsusefuturesandotherderivativesforriskmanagement?Financialfuturescontactsarecontractscallingforthedeliveryofspecifictypesofsecuritiesatasetpriceonaspecificfuturedate.Financialfuturescontracthelptohedgeinterestrateriskandarethus,usedbyanybankorfinancialinstitutionthatissubjecttointerestraterisk.8-2.Howcanfinancialfutureshelpfinancialservicefirmsdealwithinterest-raterisk?Financialfuturesallowbanksandotherfinancialinstitutionstodealwithinterest-rateriskbyreducingriskexposurefromunexpectedpricechanges.Thefinancialfuturesmarketsaredesignedtoshifttheriskofinterestratefluctuationsfromrisk-averseinvestorstospeculatorswillingtoacceptandpossiblyprofitfromsuchrisks.8-3.Whatisalonghedgeinfinancialfutures?Ashorthedge?Alonghedgeroffsetsriskbybuyingfinancialfuturescontractsaroundthetimenewdepositsareexpected,whenaloanistobemade,orwhensecuritiesareaddedtothebank'sportfolio.Later,asdepositsandloansapproachmaturityorsecuritiesaresold,alikeamountoffuturescontractsissold.Ashorthedgeroffsetsriskbysellingfuturescontractswhenthebankisexpectingalargecashinflowinthenearfuture.Later,asdepositscomeflowingin,alikeamountoffuturescontractsispurchased.8-4.Whatfuturestransactionswouldmostlikelybeusedinaperiodofrisinginterestrates?Fallinginterestrates?Risinginterestratesgenerallycallforashorthedge,whilefallinginterestratesusuallycallforsomeformoflonghedge.8-5.HowdoyouinterpretthequotesforfinancialfuturesinTheWallStreetJournal?107Thefirstcolumngivesyoutheopeningprice,thesecondandthirdthedailyhighandlowprice,respectively.Thefourthcolumnshowsthesettlementpricefollowedbythechangeinthesettlementpricefromthepreviousday.Thenexttwocolumnsshowthehistorichighandlowpriceandthelastcolumnpointsouttheopeninterestinthecontract.8-6.Afuturesiscurrentlysellingataninterestyieldof4percent,whileyieldscurrentlystandat4.60percent.Whatisthebasisforthesecontracts?Thebasisforthesecontractsiscurrently4.60%–4%or60basispoints.8-7.Supposeabankwishestosell$150millioninnewdepositsnextmonth.Interestratestodayoncomparabledepositsstandat8percent,butareexpectedtoriseto8.25percentnextmonth.Concernedaboutthepossibleriseinborrowingcosts,managementwishestouseafuturescontract.Whattypeofcontractwouldyourecommend?Ifthebankdoesnotcovertheinterestrateriskinvolved,howmuchinlostpotentialprofitscouldthebankexperience?Ataninterestrateof8percent:$150millionx0.08x30360=$1millionAtaninterestrateof8.25percent:$150millionx0.0825x30360=$1.031millionThepotentiallossinprofitwithoutusingfuturesis$0.0313millionor$31.3thousand.Inthiscasethebankshoulduseashorthedge.8-8.Whatkindoffutureshedgewouldbeappropriateineachofthefollowingsituations?a.Afinancialfirmfearsthatrisingdepositinterestrateswillresultinlossesonfixed-rateloans?b.Afinancialfirmholdsalargeblockoffloating-rateloansandmarketinterestratesarefalling?c.Aprojectedriseinmarketratesofinterestthreatensthevalueofthefinancialfirm’sbondportfolio?a.Therisingdepositinterestratescouldbeoffsetwithashorthedgeinfuturescontracts(forexample,usingEurodollardepositfutures).b.Fallinginterestyieldsonfloating-rateloanscouldbeatleastpartiallyoffsetbyalonghedgeinTreasurybonds.108c.Thebank'sbondportfoliocouldbeprotectedthroughappropriateshorthedgesusingTreasurybondandnotefuturescontracts.8-9.Explainwhatisinvolvedinaputoption?Aputoptionallowsitsholdertosellsecuritiestotheoptionwriterataspecifiedprice.Thebuyerofaputopti