金融市場與機(jī)構(gòu) Jeff Madura 13

13FinancialFuturesMarketsChapterObjectivesExplainhowfinancialfuturescontractsarevaluedExplaintheuseoffuturestospeculateorhedgebasedonanticipatedinterestratechangesExplaintheuseofstockindexfuturestospeculateorhedgebasedonanticipatedstockpricemovementsDescribehowfinancialinstitutionsparticipateinfuturesmarketsBackgroundonFinancialFuturesFuturesareaderivativesecurityDerivativesSecuritieswhosevalueisderivedfromthevalueofsomeunderlyingassetorfinancialinstrumentDerivativesecuritypricesrelatedtofactorsaffectingpricesinthespotmarketForexample,bondfuturespricesarerelatedtowhatishappeninginmarketswherebondsareboughtandsoldforimmediatedeliveryBackgroundonFinancialFuturesStandardizedagreementtodeliverortakedeliveryofafinancialinstrumentataspecifiedpriceanddatePriceisdeterminedbytradersforstandardizedcontractsTheunderlyingfinancialinstrumentSettlementdateFormofdeliveryforunderlyingassetTradingonorganizedexchangesprovidesliquidityandguaranteedsettlementBackgroundonFinancialFuturesExchangememberstradecontractsintradingpitsOrganizedexchangesincludeChicagoBoardofTradeandChicagoMercantileExchangeOnlymembersorthoseleasingprivilegescantransactbusinessontheflooroftheexchangeCommissionbrokersFloortradersRegulatedbytheCommoditiesFuturesTradingCommissionorCFTCBackgroundonFinancialFuturesEstablishaccountandinitialmarginMaintenancemarginandmargincallOrdertotradingfloorOpenoutcrytradingClearinghousefunctionDailymarket-to-marketofcontractsStepsInvolvedinTradingFuturesBackgroundonFinancialFuturesToSpeculateTakeapositionwiththegoalofprofitingfromexpectedchangesinthecontract’spriceNopositioninunderlyingassetToHedgeMinimizeormanagerisksHavepositioninspotmarketwiththegoaltooffsetriskPurposeofTradingFinancialFuturesInterpretingFinancialFuturesTablesFuturescontractpricesreportedinthefinancialpressColumnsofinformationforeachmaturitymonththatistradingOpen,high,lowandthesettlementorclosingpriceChangeintheclosingpricefromthepreviousdayOpeninterestorhowmanycontractsareoutstandingforaparticularmaturityValuationofFinancialFuturesFuturescontractpricerelatedtothepriceoftheunderlyingassetInverserelationshipbetweendebtcontractpricesandinterestratesappliestofuturespricesFuturescontractpricereflectstheexpectedpriceoftheunderlyingassetorindexasofthesettlementdateAnythingthataffectsthepriceoftheunderlyingassetaffectsthefuturespriceImpactofopportunitycostsorbenefitsBondFuturesContractPriceChangesPricesofTreasurybondfuturesmovewithspotmarketCorrelationofpricemovementsinspotandfuturesimportanttohedgersandspeculatorsMarketparticipantsinfuturesmonitorthesamekindsofeconomicindicatorsandinterestrateinformationasInvestorswhoownbondsInvestorswhoexpecttobuybondsBorrowerswhomightplanonissuingdebtExhibit13.3FrameworkforFuturesPriceChangesOverTimeaRequiredReturnonTreasuryBondRequiredReturnonTreasuryBillPriceofTreasuryBondPriceofTreasuryBillExpectedMovementsinTreasuryBondPricesNotEmbeddedinExistingPricesPriceofTreasuryBondFuturesPriceofTreasuryBillFuturesExpectedMovementsinTreasuryBillPricesNotEmbeddedinExistingPricesInternationalEconomicConditionsU.S.FiscalPolicyU.S.MonetaryPolicyU.S.EconomicConditionsLong-TermRisk-FreeInterestRate(TreasuryBondRate)Short-TermRisk-FreeInterestRate(TreasuryBillRate)SpeculatingwithInterestRateFuturesLongposition;purchasefuturescontractsStrategytouseifspeculatoranticipatesinterestrateswilldecreaseandbondpriceswillincreaseBuyafuturescontractandifratesdropthecontract’spricerisesabovewhatitcosttopurchaseandexchangeaddsgainwithdailysettlementtoinvestor’saccountIfinterestratesriseinsteadoffall,futurescontractpricedropsandinvestor’saccountisreducedbydailylossExhibit13.4PotentialPayoffFromSpeculativeFuturesPositionaaProfitorLossfromSellingaFuturesContractMarketValueoftheFuturesContractasoftheSettlementDateS0ProfitorLossfromPurchasingaFuturesContractMarketValueoftheFuturesContractasoftheSettlementDateS0SpeculatingwithInterestRateFuturesShortposition;sellfuturescontractsStrategytouseifspeculatoranticipatesinterestrateswillriseandcontractpricesdropSell(short)afuturescontractandclosethepositionbybuyingacontracttooffsetshortIfratesrise,thepricetobuythecontractandclosethepositionislessthanthepricereceivedfortheinitialsaleofthecontractSpeculatorlosesmoneyifratesdropClosingouttheFuturesPositionMostbuyersandsellersoffuturescontractsdonotactuallymakeortakedeliveryoftheunderlyingassetCanclosepositionanytimebeforecontractexpirationdateOffsetorcloseouttheirpositionsinthefuturesmarketbythesettlementdateTradethesamecontractandmaturitymonthtoopenandclosethepositionObligationsnetoutwhentraderscloseClosingouttheFuturesPositionExamplesOpenwiththesaleofaJunematurityT-bill,closewiththepurchaseofaJunematurityT-billOpenwiththepurchaseofaJunematurityT-billandclosewiththesaleofthesamekindofcontractandmaturity--JuneT-billGainorlossonapositiondependsonpurchasepricecomparedtothesellingpriceDailysettlementwithexchangeHedgingwithInterestRateFuturesUsinginterestratefuturestocreateashorthedgeHedgeradverselyaffectedbyaninterestrateincreaseBankusingprimarilyshort-termfundstofinancelonger-termassetsHurtbyrisingrates;mustrefinancefundingbeforeinvestmentre-pricedHedgingwithInterestRateFuturesTheshorthedgeSellfuturescontractswithcharacteristicssimilartothesecuritiesbeinghedgedIfratesincrease,hedgerclosesoutthepositionataprofitinthefuturesmarkettooffsetspotmarketpositionopportunityloss(reducedinterestmargin)Ifratesdecrease,hedger’sspotmarketgains(widerinterestmargin)offsetbylossesonthefuturespositionHedgingwithInterestRateFuturesUsinginterestratefuturestocreatealonghedgeExamplesofadverseeffectsofadecreaseininterestratesPlantopurchasedebtsecuritiesinafewmonthsandifratesdecline,thepurchasepriceofbondsincreases—longfuturespositionlocksinpriceofbondsBankfinancesloanswhoseratesadjusteverysixmonthswithCDsthathaveatwo-yearterm—longfuturespositionlocksinloanratestomaintainspreadHedgerusesfuturespositiontooffsetspotlossesandgains—locksinapriceorspreadHedgingwithInterestRateFuturesHedgingnetexposureFutureshedgeshavetransactioncostsNetexposureisthedifferencebetweenassetandliabilitypositionsBondIndexFuturesBondindexfuturesMuni-bondindexfutures(MBI)BondbuyersindexUsesofbondindexfuturestohedgeInsurancecompanyusingfuturecashinflowstobuymunicipalbondinnearfuture;interestratedecreaseswillraisebondpricesInvestmentbankingfirmunderwritingbonds;hurtifinterestratesrise,decreasingbondpricesPositiontogaininfuturesiflossoccursinspotStockIndexFuturesTypesofindexfuturescontractsSeveraldifferentindexcontractstradedontheChicagoBoardofTradeandChicagoMercantileExchangeSecuritiesunderlyingthecontractnotdeliverable--cashsettlementContract’spriceistheindextimesthedollarvaluegiveninthecontract’sspecificationsForexample,ChicagoMercS&Pcontractistheindexvaluetimes$250StockIndexFuturesValueoffuturescontracthighlycorrelatedwiththevalueoftheunderlyingindexDifferencesoradvantagesanddisadvantagestoowningtheactualindexversusfuturesUndersomecircumstances,arbitrageprofitsarepossibleIndicatorsmonitoredbythemarketincludeanythingaffectingtheunderlyingindexStockIndexFuturesSpeculatingwithstockindexfuturesCapitalizeonexpectationswithouthavingsufficientcashtobuytheactualstocksinindexExpectanincreaseinstockprices,buyindexfutures;gain/lossesleveragedwithsmallinvestmentHedgingwithstockindexfuturesHedgemarketriskofanexistingportfolioPensionfundmanagerwithreasonablereturnforyearsellsindexfuturescontractstolockinreturnStockIndexFuturesHedgingissuesHedgeismoreeffectiveifinvestor’sportfolioisdiversifiedlikethetheunderlyingindexforthefuturescontractPortfoliomanagersdonotnecessarilyhedgetheentireportfolioDynamicassetallocationwithstockindexfuturesPortfoliomanagerusesstockindexfuturestovaryrisk/returnpositionofportfoliowithoutrestructuringexistingstockportfoliosAnefficientriskmanagementtechniqueStockIndexFuturesPricesofstockindexfuturesversusstocksDiffertosomedegreeIndexfuturespricesmaybehigherorlowerthantheunderlyingindexStockindexfuturescanmorerapidlychangeasexpectationschange—investorswatchasindicatorofmarketdirectionDifferentialsreducehedgingeffectivenessTestofsuitabilityofstockindexfuturesStockIndexFuturesArbitragewithstockindexfuturesInstitutionalinvestorscapitalizeondifferencesbetweenpriceofindexfuturesandstockpricesSimultaneousbuy/sellprogramtradingwhenthereisaprofitabledifferencebetweenindexfuturesandstocksrepresentedintheunderlyingindexServesto“tie”theindexvaluetothatofthecorrespondingstockportfoliousedbyotherinvestorstohedgeorspeculateStockIndexFuturesCircuitbreakersonstockindexfuturesSuspendstradingonspecificstocksorstockindexesafteraspecifiedmarketdeclineGivesinvestorsachancetoevaluateinformationormeetmargincallsbeforetradingresumesImpactsprogramtradingwhichhasbeenlinkedtomarketvolatilityRisksofTradingFuturesContractsMarketriskSpeculatorswinorlosebasedonchangingmarketvalueoffuturescontractsHedgers,withapositionintheunderlyingasset,arenotsignificantlyimpactedbycontractpricevolatilityBasisriskFuturescontractpricesdonotvaryinexactlythesamewayastheunderlyingasset’spricePricecorrelationofcontractandunderlyingassetimpactstheabilitytohedgemarketriskRiskofTradingFuturesContractsDealingwithbasisriskIdentifyfuturescontractwithpricechangescloselyrelatedtotheunderlyingassetCrosshedginginvolvesusingafuturescontractwithanunderlyingassetdifferentfromtheassettohedge,forexample,hedgecommercialpaperrateexposurewithT-billsfuturesLiquidityriskPricedistortionsifacontractisnotwidelytradedNeedacounterpartytoclosepositionRiskofTradingFuturesContractsCreditriskCounterpartydefaultsNotariskonexchange-tradedcontractswhereexchangeservesasthecounter-partyP