用于汇率风险管理的衍生产品：货币期货与期货市场

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1、Chapter2DerivativeSecuritiesforCurrencyRiskManagement——CurrencyFuturesandFuturesMarketsChapterOverview1FinancialFuturesExchanges2TheOperationofFuturesMarkets3FuturesContracts4ForwardversusFuturesMarketHedges5FuturesHedgesUsingCrossExchangeRates6Hedgingw

2、ithCurrencyFuturesChapterObjectivesThischaptercomparescurrencyfuturescontractstocurrencyforwardcontractsandshowshowtheyarepricedbythemarketplace.Emphasisisplacedonhowcurrencyfuturescontractsaresimilarto,andyetdifferentfrom,forwardcontracts..Thelastsever

3、alsectionsdiscussimplementationissues:DeltahedgesformaturitymismatchesCrosshedgesforcurrencymismatchesDelta-crosshedgesforcurrencyandmaturitymismatchesForwardMarket1.ForwardContractsAforwardcontractisanagreementbetweenacorporationandacommercialbanktoexc

4、hangeaspecifiedamountofacurrencyataspecifiedexchangerate(calledtheforwardrate)andonaspecifiedfuturedate.WhenMNCsanticipateafutureneedfororfuturereceiptofaforeigncurrency,theycansetupforwardcontractstolockintherateatwhichtheycanpurchaseorsellaparticularf

5、oreigncurrency.AforwardhedgeofthedollarUnderlyingpositionofaFrenchexporter(long$s)Sell$sforwardatFt€/$(short$sandlong€s)Netposition+$40million+€40million-$40million+€40million-Goodsv€/$Long$ss€/$Short$sTheforwardcontractprovidesaperfecthedgebecausethesi

6、zeandtimingofthehedgetransactionexactlyoffsetsthesizeandtimingoftheunderlyingexposure.ForwardMarket2.Non-DeliverableForwardContractsa.NewtypeAnon-deliverableforwardcontract(NDF)doesnotresultinanactualexchangeofcurrencies.Instead,onepartymakesanetpayment

7、totheotherbasedonamarketexchangerateonthedayofsettlement.b.Frequentlyusedforcurrencyinemergingmarketsc.Nodeliveryrequiredd.Onepartytotheagreementmakesapaymenttotheotherpartybasedontheexchangerateatthefuturedate.AnNDFcaneffectivelyhedgefutureforeigncurre

8、ncypaymentsorreceipts:NDFMarketExpectneedfor100MChileanpesos.NegotiateanNDFtobuy100MChileanpesosonJul1.Referenceindex(closingratequotedbyChile’scentralbank)=$.0020/peso.April1Buy100MChileanpesosfrommarket.July1Index=$.0023/pesor