国际金融第三版外汇衍生产品市场FX Derivatives Market
chapter03外汇衍生产品市场课件
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3.2.1 外汇远期
• 本质上是一种预约买卖外汇的交易。 • 买卖双方签订合同，约定买卖外汇的币种、数额、汇 率和交割时间。 • 到规定的交割日期或在约定的交割期内，按照合同规 定条件完成交割。
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3.利率平价定理
（1）利率平价定理
• 如果两种相似金融工具的预期收益不同，资 金就会从一种工具转移到另一种工具。
• 相似金融工具的预期收益率相等时达到均衡。
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（2）国际金融套利
• 如果经过汇率调整，一国某种金融工具的预期收益率仍 高于另一国相似金融工具，资金就会跨国移动。
• 外汇银行直接报远期汇率 • 瑞士、日本等国采用此法
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(2)远期差价报价法
• 外汇银行在即期汇率之外，标出远期升 贴水。
• 升贴水是以一国货币单位的百分位来表 示的。
• 也可采用报标准远期升贴水的做法。
chapter03外汇衍生产品市场
例如：多伦多外汇市场上，某外汇银行公布的加元与美元的即期汇 率为USD1=CAD1.7814/1.7884，3个月远期美元升水 CAD0.06/0.10，
➢在接下来的两个月里，李森企图扳回这些损失，他认为股票指数 的下跌只是暂时性的，所以就继续买入日经指数期货，同时卖空 日本政府债券。但是股市继续下跌，李森的头寸损失达到了3亿 美元。最后巴林银行发现，李森累计造成的损失达到14亿美元， 超过了巴林银行的资本金。巴林这家百年老店最终破产，被荷兰 国际集团接管。
第三章外汇衍生产品市场
信用风险
即因交易对手违约而蒙受损失的可能性，场 外交易的违约风险相对更高。
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操作风险
衍生金融交易的操作风险来自两个方面：
一方面是由于衍生金融工具均采用先进通信技 术和计算机网络交易，因此存在着电子转账系 统故障，以及计算机犯罪等风险；
另一方面是从事衍生金融交易的主体违规操作， 从而给自身及交易对手带来的风险。
虚拟性是指金融衍生工具所具有的独立于现 实资本运动之外，能给金融衍生工具的持有 者带来一定收入的特性。具有虚拟性的衍生 产品本身并没有什么价值，它只代表获得收 入的权利，是一种所有权证书。而且衍生产 品的交易价值是按照利息资本化原则计算的。
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外汇衍生产品的基本特征-高度投机 性
金融衍生市场是一个充满不确定性的市场，价格 高低在很大程度上取决于买卖双方在各自掌握信 息基础上对未来价格形成的预期。因此当一种金 融产品价格进入上升周期时，价格越是上涨，就 越是有人因为预期价格继续上涨而入市抢购，从 而使得价格真的进一步上涨。这种所谓的“羊群 效应”，显然又会增强价格上涨的市场预期。当 这种正反馈过程得到足够的资金支撑时,就会导致 金融衍生产品价格完全脱离实体经济基础而过度 膨胀。
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管理风险
是指衍生金融工具的复杂化可能给交易主体 内部管理带来困难和失误，并导致监管机构 难以实施统一监管的风险。
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高风险与高回报并存
如何理解金融市场上的格言“高风险高回 报”？
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外汇远期（Forwards）
中国人民大学财政金融学院国际金融精品课程
裴平《国际金融学》第3版课后习题-第六章至第十二章【圣才出品】
裴平《国际金融学》第3版课后习题-第六章至第十二章【圣才出品】第6章国际金融市场1．简述离岸金融市场的含义。
答：离岸金融市场是指非居民之间金融资产交易的场所。
这是相对于国内金融市场（在岸）而言的，其一般含义为在原货币发行国境外进行各种金融资产交易的场所，比如像欧洲美元市场或者欧洲货币市场，由于是境外交易，其参与者就应该是交易地点的东道国的非居民。
根据离岸金融市场的功能和经营管理特征来划分，可以把离岸金融市场分为内外混合型离岸金融市场、内外分离型离岸金融市场，以及避税港型离岸金融市场。
（1）内外混合型离岸金融市场（或称一体化离岸金融市场）。
内外混合型离岸金融市场是指该市场的业务和国内金融市场市场的业务不分离，目的在于发挥两个市场资金和业务的相互补充和相互促进作用。
该市场的主要特征有：①市场的主体包括居民和非居民；②交易的币种是除东道国货币以外的可自由兑换货币；③该市场的业务经营非常自由，不受东道国国内金融法规的约束，国际和国内市场一体化。
（2）内外分离型离岸金融市场（或称分离型离岸金融市场）。
这种类型的离岸金融市场是专门为进行非居民交易而创建的金融市场，具有同国内金融市场相分离的特征，表现为东道国金融管理当局对所设立的离岸金融市场中的交易予以金融和税收的优惠，对境外资金的流入不受国内金融法规的约束，但离岸业务必须与国内（在岸）账户严格分离，其目的是将离岸金融活动与东道国国内（在岸）货币活动隔绝开来。
（3）避税港型离岸金融市场（或称名义性离岸金融市场）。
避税港型离岸金融市场又称“走账型”或“簿记型”离岸金融市场。
这种市场实际上不进行实际的金融交易，各银行只是在这个不征税的地区（国家）建立“空壳”分行，通过这种名义上的机构在账簿上中介境外与境外的交易，以逃避税收和管制。
2．简述20世纪90年代国际金融市场的新特征。
答：20世纪90年代，金融全球化的趋势日益明显，国际金融市场上的金融活动呈现出新的特征有：（1）金融衍生产品市场迅速拓展。
外汇衍生产品市场PPT课件
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思考：期货与远期交易风险的比较？
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（二）主要特征
交易合约标准化
交易金额和交割日期 价格波动限制
集中交易和结算 市场流动性高 履约有保证 投机性强
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IMM外汇期货交易
买方
经
纪
会员公司
返
单
回
订单
公 司
场内交易商
交易操作台 买入/卖出交易
卖方
经
纪
返 会员公司
单
回
公 司
买进10万英镑，需支付15.5 万美元
盈亏15－15.77＝-0.77万美 盈亏16－15.5＝0.5万美元 元
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此例说明：
不做期货，将损失0.77万美元；做期货将减 少损失0.5万美元（不考虑保证金、佣金、 利息和其他等交易费用）。
如果英镑不是贬值，而是升值，结果如何？ （请同学思考，并说明套期保值与投机的不 同）
• 时间 现货市场
• 3月20日 GBP1＝USD1.6200 • 7月20日 GBP1＝USD1.6325
期货市场
GBP1＝USD1.6300 GBP1＝USD1.6425
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国际过程
结果
3月20日
GBP1＝USD1.6200
GBP1＝USD1.6300
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保证金制度
客户在经纪公司开立保证金账户，经纪公司 在清算所开立账户，清算所将所有买卖指令 配对
Chapter 8 Financial Derivatives Market 金融衍生产品市场
Chapter 8 Financial Derivatives MarketText AFinancial DerivativesP1 S tarting in the 1970s and increasingly in the 1980s and 1990s, the world became a riskier place for the financial institutions described in this part of the book. Swings in interest rates widened, and the bond and stock markets went through some episodes of increased volatility. As a result of these developments, managers of financial institutions became more concerned with reducing the risk their institutions faced. Given the greater demand for risk reduction, the process of financial innovation came to the rescue by producing new financial instruments that help financial institution managers manage risk better. These instruments, called financial derivatives, have payoffs that are linked to previously issued securities and are extremely useful risk reduction tools.P2 In this chapter, we look at the most important financial derivatives that managers of financial institutions use to reduce risk: forward contracts, financial futures, options, and swaps. We examine not only how markets for each of these financial derivatives work but also how they can be used by financial institutions to manage risk. We also study financial derivatives because they have become an important source of profits for financial institutions, particularly larger banks, which have found their traditional business declining.HEDGINGP3 Financial derivatives are so effective in reducing risk because they enable financial institutions to hedge—that is, engage in a financial transaction that reduces or eliminates risk. When a financial institution has bought an asset, it is said to have taken a long position, and this exposes the institution to risk if the returns on the asset are uncertain. Conversely, if it has sold an asset that it has agreed to deliver to another party at a future date, it is said to have taken a short position, and this can also expose the institution to risk. Financial derivatives can be used to reduce risk by invoking the following basic principle of hedging: Hedging risk involves engaging in a financial transaction that offsets a long position by taking an additional short position, or offsets a short position by taking an additional long position. In other words, if a financial institution has bought a security and has therefore taken a long position, it conducts a hedge by contracting to sell that security (take a short position) at some future date. Alternatively, if it has taken a short position by selling a security that it needs to deliver at a future date, then it conducts a hedge by contracting to buy that security (take a long position) at a future date. We look at how this principle can be applied using forward and futures contracts.INTEREST-RATE FORWARD CONTRACTSP4Forward contracts are agreements by two parties to engage in a financial transaction at a future (forward) point in time. Here we focus on forward contracts that are linked to debt instruments, called interest-rate forward contracts; later in the chapter, we discuss forward contracts for foreign currencies.P5Interest-rate forward contracts involve the future sale (or purchase) of a debt instrument and have several dimensions: (1) specification of the actual debt instrument that will be delivered at a future date, (2) amount of the debt instrument to be delivered, (3) price (interest rate) on the debt instrument when it is delivered, and (4) date on which delivery will take place. An example of an interest-rate forward contract might be an agreement for the First National Bank to sell to the Rock Solid Insurance Company, one year from today, $5 million face value of the 6s of 2023 Treasury bonds (that is, coupon bonds with a 6% coupon rate that mature in 2023) at a price that yields the same interest rate on these bonds as t oday‘s, say 6%. Because Rock Solid will buy the securities at a future date, it is said to have taken a long position, while the First National Bank, which will sell the securities, has taken a short position.Hedging with Interest-Rate Forward ContractsP6 Why would the First National Bank want to enter into this forward contract with Rock Solid Insurance Company in the first place?P7 To understand, suppose that you are the manager of the First National Bank and have bought $5 million of the 6s of 2023 Treasury bonds. The bonds are currently selling at par value, so their yield to maturity is 6%. Because these are long-term bonds, you recognize that you are exposed to substantial interest-rate risk: If interest rates rise in the future, the price of these bonds will fall and result in a substantial capital loss that may cost you your job. How do you hedge this risk?P8 Knowing the basic principle of hedging, you see that your long position in these bonds can be offset by an equal short position for the same bonds with a forward contract. That is, you need to contract to sell these bonds at a future date at the current par value price. As a result, you agree with another party—in this case, Rock Solid Insurance Company—to sell it the $5 million of the 6s of 2023 Treasury bonds at par one year from today. By entering into this forward contract, you have successfully hedged against interest-rate risk. By locking in the future price of the bonds, you have eliminated the price risk you face from interest-rate changes.P9 Why would Rock Solid Insurance Company want to enter into the futures contract with the First National Bank? Rock Solid expects to receive premiums of $5 million in one year‘s time that it will want to invest in the 6s of 2023, but worries that interest rates on these bonds will decline between now and next year. By using the forwardcontract, it is able to lock in the 6% interest rate on the Treasury bonds that will be sold to it by the First National Bank.Pros and Cons of Forward ContractsP10 The advantage of forward contracts is that they can be as flexible as the parties involved want them to be. This means that an institution like the First National Bank may be able to hedge completely the interest-rate risk for the exact security it is holding in its portfolio, just as it has in our example.P11However, forward contracts suffer from two problems that severely limit their usefulness. The first is that it may be very hard for an institution like the First National Bank to find another party (called a counterparty) to make the contract with. There are brokers to facilitate the matching up of parties like the First National Bank with the Rock Solid Insurance Company, but there may be few institutions that want to engage in a forward contract specifically for the 6s of 2023. This means that it may prove impossible to find a counterparty when a financial institution like the First National Bank wants to make a specific type of forward contract. Furthermore, even if the First National Bank finds a counterparty, it may not get as high a price as it wants because there may not be anyone else to make the deal with. A serious problem for the market in interest-rate forward contracts, then, is that it may be difficult to make the financial transaction or that it will have to be made at a disadvantageous price; in the parlance of financial economists, this market suffers from a lack of liquidity.P12 The second problem with forward contracts is that they are subject to default risk. Suppose that in o ne year‘s time, interest rates rise so that the price of the 6s of 2023 falls. The Rock Solid Insurance Company might then decide that it would like to default on the forward contract with the First National Bank, because it can now buy the bonds at a price lower than the agreed price in the forward contract. Or perhaps Rock Solid may not have been rock solid after all, and may have gone bust during the year, and no longer be available to complete the terms of the forward contract. Because there is no outside organization guaranteeing the contract, the only recourse is for the First National Bank to go to the courts to sue Rock Solid, but this process will be costly. Furthermore, if Rock Solid is already bankrupt, the First National Bank will suffer a loss; the bank can no longer sell the 6s of 2023 at the price it had agreed on with Rock Solid, but instead will have to sell at a price well below that, because the price of these bonds has fallen.P13The presence of default risk in forward contracts means that parties to these contracts must check each other out to be sure that the counterparty is both financially sound and likely to be honest and live up to its contractual obligations. Because this type of investigation is costly and because all the adverse selection and moral hazard problems apply, default risk is a major barrier to the use of interest-rate forward contracts. When the default risk problem is combined with a lack of liquidity, we see that these contracts may be of limited usefulness to financial institutions. Althoughthere is a market for interest-rate forward contracts, particularly in Treasury and mortgage-backed securities, it is not nearly as large as the financial futures market, to which we turn next.FINANCIAL FUTURES CONTRACTS AND MARKETSP14 Given the default risk and liquidity problems in the interest-rate forward market, another solution to hedging interest-rate risk was needed. This solution was provided by the development of financial futures contracts by the Chicago Board of Trade starting in 1975.P15 A financial futures contract is similar to an interest-rate forward contract, in that it specifies that a financial instrument must be delivered by one party to another on a stated future date. However, it differs from an interest-rate forward contract in several ways that overcome some of the liquidity and default problems of forward markets.P16To understand what financial futures contracts are all about, let‘s look at one of the most widely traded futures contracts—that for Treasury bonds, which are traded on the Chicago Board of Trade. (An illustration of how prices on these contracts are quoted can be found in the Following the Financial News box, ―Financial Futures‖.) The contract value is for $100,000 face value of bonds. Prices are quoted in points, with each point equal to $1,000, and the smallest change in price is one thirty-second of a point ($31.25). This contract specifies that the bonds to be delivered must have at least fifteen years to maturity at the delivery date (and must also not be callable—that is, redeemable by the Treasury at its option—in less than fifteen years). If the Treasury bonds delivered to settle the futures contract have a coupon rate different from the 6% specified in the futures contract, the amount of bonds to be delivered is adjusted to reflect the difference in value between the delivered bonds and the 6% coupon bond. In line with the terminology used for forward contracts, parties who have bought a futures contract and thereby agreed to buy (take delivery of) the bonds are said to have taken a long position, and parties who have sold a futures contract and thereby agreed to sell (deliver) the bonds have taken a short position.P17To make our understanding of this contract more concrete, let‘s consider what happens when you buy or sell a Treasury bond futures contract. Let‘s say that on February 1, you sell one $100,000 June contract at a price of 115 (that is, $115,000). By selling this contract, you agree to deliver $100,000 face value of the long-term Treasury bonds to the contract‘s counterparty at the end of June for $115,000. By buying the contract at a price of 115, the buyer has agreed to pay $115,000 for the $100,000 face value of bonds when you deliver them at the end of June. If interest rates on long-term bonds rise, so that when the contract matures at the end of June, the price of these bonds has fallen to 110 ($110,000 per $100,000 of face value), the buyer of the contract will have lost $5,000, because he or she paid $115,000 for the bonds but can sell them only for the market price of $110,000. But you, the seller of the contract, will have gained $5,000, because you can now sell the bonds to the buyerfor $115,000 but have to pay only $110,000 for them in the market.P18It is even easier to describe what happens to the parties who have purchased futures contracts and those who have sold futures contracts if we recognize the following fact: At the expiration date of a futures contract, the price of the contract is the same as the price of the underlying asset to be delivered. To see why this is the case, consider what happens on the expiration date of the June contract at the end of June when the price of the underlying $100,000 face value Treasury bond is 110 ($110,000). If the futures contract is selling below 110—say, at 109—a trader can buy the contract for $109,000, take delivery of the bond, and immediately sell it for $110,000, thereby earning a quick profit of $1,000. Because earning this profit involves no risk, it is a great deal that everyone would like to get in on. That means that everyone will try to buy the contract, and as a result, its price will rise. Only when the price rises to 110 will the profit opportunity cease to exist and the buying pressure disappear. Conversely, if the price of the futures contract is above 110—say, at 111—everyone will want to sell the contract. Now the sellers get $111,000 from selling the futures contract but have to pay only $110,000 for the Treasury bonds that they must deliver to the buyer of the contract, and the $1,000 difference is their profit. Because this profit involves no risk, traders will continue to sell the futures contract until its price falls back down to 110, at which price there are no longer any profits to be made. The elimination of riskless profit opportunities in the futures market is referred to as arbitrage, and it guarantees that the price of a futures contract at expiration equals the price of the underlying asset to be delivered.P19 Armed with the fact that a futures contract at expiration equals the price of the underlying asset makes it even easier to see who profits and who loses from such a contract when interest rates change. When interest rates have risen so that the price of the Treasury bond is 110 on the expiration day at the end of June, the June Treasury bond futures contract will also have a price of 110. Thus, if you bought the contract for 115 in February, you have a loss of 5 points, or $5,000 (5% of $100,000). But if you sold the futures contract at 115 in February, the decline in price to 110 means that you have a profit of 5 points, or $5,000.Hedging with Financial FuturesP20 First National Bank can also use financial futures contracts to hedge the interest rate risk on its holdings of $5 million of the 6s of 2023. To see how, suppose that in March 2007, the 6s of 2023 are the long-term bonds that would be delivered in the Chicago Board of Trade‘s T-bond futures contract expiring one year in the future, in March 2008. Also suppose that the interest rate on these bonds is expected to remain at 6% over the next year, so that both the 6s of 2023 and the futures contract are selling at par (i.e., the $5 million of bonds is selling for $5 million and the $100,000 futures contract is selling for $100,000). The basic principle of hedging indicates that you need to offset the long position in these bonds with a short position, so you have to sell the futures contract. But how many contracts should you sell? The number ofcontracts required to hedge the interest-rate risk is found by dividing the amount of the asset to be hedged by the dollar value of each contract, as is shown in Equation 1:NC =V A/VCwhere NC = number of contracts for the hedgeV A = value of the assetVC = value of each contractP21 Given that the 6s of 2023 are the long-term bonds that would be delivered in the CBT T-bond futures contract expiring one year in the future and that the interest rate on these bonds is expected to remain at 6% over the next year, so that both the 6s of 2023 and the futures contract are selling at par, how many contracts must First National sell to remove its interest-rate exposure from its $5 million holdings of the 6s of 2023? Since V A = $5 million and VC = $100,000,NC = $5 million/$100,000 = 50You therefore hedge the interest-rate risk by selling 50 of the Treasury Bond futures contracts.P22Now suppose that over the next year, interest rates increase to 8% due to an increased threat of inflation. The value of the 6s of 2023 that the First National Bank is holding will then fall to $4,039,640 in March 2008 (The value of the bonds can be calculated using a financial calculator as follows: FV = $5,000,000, PMT = $300,000, I = 8%, N = 15, PV = $4,144,052.). Thus the loss from the long position in these bonds is $960,360:Value on March 2008 @ 8% interest rate $4,144,052Value on March 2007 @ 6% interest rate -$5,000,000Loss -$ 855,948P23 However, the short position in the 50 futures contracts that obligate you to deliver $5 million of the 6s of 2023 on March 2007 has a value equal to $4,144,052, the value of the $5 million of bonds after the interest rate has risen to 8%, as we have seen before. Yet when you sold the futures contract, the buyer was obligated to pay you $5 million on the maturity date. Thus the gain from the short position on these contracts is also $855,948:Amount paid to you on March 2008,agreed upon in March 2007 $5,000,000Value of bonds delivered on March 2008@ 8% interest rate -$4,144,052Gain $ 855,948P24 Therefore the net gain for the First National Bank is zero, indicating that the hedge has been conducted successfully.P25 The hedge just described is called a micro hedge because the financial institutionis hedging the interest-rate risk for a specific asset it is holding. A second type of hedge that financial institutions engage in is called a macro hedge, in which the hedge is for the institution‘s entire portfolio. For example, if a bank has more rate-sensitive liabilities than assets, a rise in interest rates will cause the value of the bank‘s net wort h to decline. By selling interest-rate future contracts that will yield a profit when interest rates rise, the bank can offset the losses on its overall portfolio from an interest-rate rise and thereby hedge its interest-rate risk.Organization of Trading in Financial Futures MarketsP26 Financial futures contracts are traded in the United States on organized exchanges such as the Chicago Board of Trade, the Chicago Mercantile Exchange, the New York Futures Exchange, the MidAmerica Commodity Exchange, and the Kansas City Board of Trade. These exchanges are highly competitive with one another, and each organization tries to design contracts and set rules that will increase the amount of futures trading on its exchange.P27 The futures exchanges and all trades in financial futures in the United States are regulated by the Commodity Futures Trading Commission (CFTC), which was created in 1974 to take over the regulatory responsibilities for futures markets from the Department of Agriculture. The CFTC oversees futures trading and the futures exchanges to ensure that prices in the market are not being manipulated, and it also registers and audits the brokers, traders, and exchanges to prevent fraud and to ensure the financial soundness of the exchanges. In addition, the CFTC approves proposed futures contracts to make sure that they serve the public interest. The most widely traded financial futures contracts listed in the Wall Street Journal and the exchanges where they are traded (along with the number of contracts outstanding, called open interest, on March 20, 2006) are listed in Table 1.P28Given the globalization of other financial markets in recent years, it is not surprising that increased competition from abroad has been occurring in financial futures markets as well.The Globalization of Financial Futures MarketsP29 Because American futures exchanges were the first to develop financial futures, they dominated the trading of financial futures in the early 1980s. For example, in 1985, all of the top ten futures contracts were traded on exchanges in the United States. With the rapid growth of financial futures markets and the resulting high profits made by the American exchanges, foreign exchanges saw a profit opportunity and began to enter this business. By the 1990s, Eurodollar contracts traded on the London International Financial Futures Exchange, Japanese government bond contracts and Euroyen contracts traded on the Tokyo Stock Exchange, French government bond contracts traded on the Marché à Terme International de France, and Nikkei 225 contracts traded on the Osaka Securities Exchange all became among the most widely traded futures contracts in the world.P30Foreign competition has also spurred knockoffs of the most popular financial futures contracts initially developed in the United States. These contracts traded on foreign exchanges are virtually identical to those traded in the United States and have the advantage that they can be traded when the American exchanges are closed. The movement to 24-hour-a-day trading in financial futures has been further stimulated bythe development of the Globex electronic trading platform, which allows traders throughout the world to trade futures even when the exchanges are not officially open. Financial futures trading has thus become completely internationalized, and competition between U.S. and foreign exchanges is now intense.Explaining the Success of Futures MarketsP31The tremendous success of the financial futures market in Treasury bonds is evident from the fact that the total open interest of Treasury bond contracts exceeded 20,000 on March 20, 2006, for a total value of more than $2 billion (20,000 X $100,000). There are several differences between financial futures and forward contracts and in the organization of their markets that help explain why financial futures markets such as those for Treasury bonds have been so successful.P32Several features of futures contracts were designed to overcome the liquidity problem inherent in forward contracts. The first feature is that, in contrast to forward contracts, the quantities delivered and the delivery dates of futures contracts are standardized, making it more likely that different parties can be matched up in the futures market, thereby increasing the liquidity of the market. In the case of the Treasury bond contract, the quantity delivered is $100,000 face value of bonds, and the delivery dates are set to be the last business day of March, June, September, and December. The second feature is that after the futures contract has been bought or sold, it can be traded (bought or sold) again at any time until the delivery date. In contrast, once a forward contract is agreed on, it typically cannot be traded. The third feature is that in a futures contract, not just one specific type of Treasury bond is deliverable on the delivery date, as in a forward contract. Instead, any Treasury bond that matures in more than fifteen years and is not callable for fifteen years is eligible for delivery. Allowing continuous trading also increases the liquidity of the futures market, as does the ability to deliver a range of Treasury bonds rather than one specific bond.P33 Another reason why futures contracts specify that more than one bond is eligible for delivery is to limit the possibility that someone might corner the market and ―squeeze‖ traders who have sold contracts. To corner the market, someone buys up all the deliverable securities so that investors with a short position cannot obtain from anyone else the securities that they contractually must deliver on the delivery date. As a result, the person who has cornered the market can set exorbitant prices for the securities that investors with a short position must buy to fulfill their obligations under the futures contract. The person who has cornered the market makes a fortune, but investors with a short position take a terrific loss. Clearly, the possibility that corners might occur in the market will discourage people from taking a short position and might therefore decrease the size of the market. By allowing many different securities to be delivered, the futures contract makes it harder for anyone to corner the market, because a much larger amount of securities would have to be purchased to establish the corner. Corners are a concern to both regulators and the organized exchanges that design futures contracts.P34Trading in the futures market has been organized differently from trading in forward markets to overcome the default risk problems arising in forward contracts. In both types, for every contract, there must be a buyer who is taking a long position and a seller who is taking a short position. However, the buyer and seller of a futures contract make their contract not with each other but with the clearinghouse associated with the futures exchange. This setup means that the buyer of the futures contract does not need to worry about the financial health or trustworthiness of the seller, and vice versa, as in the forward market. As long as the clearinghouse is financially solid, buyers and sellers of futures contracts do not have to worry about default risk.P35To make sure that the clearinghouse is financially sound and does not run into financial difficulties that might jeopardize its contracts, buyers or sellers of futures contracts must put an initial deposit, called a margin requirement, of perhaps $2,000 per Treasury bond contract into a margin account kept at their brokerage firm. Futures contracts are then marked to market every day. What this means is that at the end of every trading day, the change in the value of the futures contract is added to or subtracted from the margin account. Suppose that after you buy the Treasury bond contract at a price of 115 on Wednesday morning, its closing price at the end of the day, the settlement price, falls to 114. You now have a loss of 1 point, or $1,000, on the contract, and the seller who sold you the contract has a gain of 1 point, or $1,000. The $1,000 gain is added to the seller‘s margin account, making a total of $3,000 in that account, and the $1,000 loss is subtracted from your account, so you now have only $1,000 in your account. If the amount in this margin account falls below the maintenance margin requirement (which can be the same as the initial requirement but is usually a little less), the trader is required to add money to the account. For example, if the maintenance margin requirement is also $2,000, you would have to add $1,000 to your account to bring it up to $2,000. Margin requirements and marking to market make it far less likely that a trader will default on a contract, thus protecting the futures exchange from losses.P36A final advantage that futures markets have over forward markets is that most futures contracts do not result in delivery of the underlying asset on the expiration date, whereas forward contracts do. A trader who sold a futures contract is allowed to avoid delivery on the expiration date by making an offsetting purchase of a futures contract. Because the simultaneous holding of the long and short positions means that the trader would in effect be delivering the bonds to itself, under the exchange rules the trader is allowed to cancel both contracts. Allowing traders to cancel their contracts in this way lowers the cost of conducting trades in the futures market relative to the forward market in that a futures trader can avoid the costs of physical delivery, which is not so easy with forward contracts.Hedging Foreign Exchange RiskP37Foreign exchange rates have been highly volatile in recent years. The large。
国际金融市场(第三版)课件6
国际金融市场
中国人民大学出版社
史燕平 王 倩 主编
国际金融市场的外部环境 及国际金融市场概述
目
外汇市场与外汇风险管理
国际货币市场
录
国际资本市场
国际黄金市场
全书知识结构
国 际 第二章 收 支
本章内容介绍
01
国际收支平衡表
02
2015年，中国国家外汇管理局开始 采用国际货币基金组织出版的《国际收支 和国际投资头寸手册》(第六版)中设立的 国际收支平衡表标准。
（二）国际收支与汇率
在开放经济下,汇率是连接国内外市场的重要纽带。而国际收支的变化,直接反映着本 国外汇市场外汇供求状况的变化,进而可导致外汇价格的变化。
国际收支顺差
外汇供应增加
外汇供大于求
汇率下降本币升值
➢ 国际收支的各个项目都存在收支对比的关系,从而就会形成该项目的顺差或逆差。 ➢ 一般来说,只有经常账户下的外汇收入才会对稳定一国的汇率起到根本的作用。
当收入大于支出时,称为顺 差,以数学符号“+”来表示,
通常可以省略
当支出大于收入时，为逆差, 以数学符号“-”来表示
一、国际收支平衡表中的平衡关系及国际收支的主要差额
（二）国际收支中的主要差额
贸易差额
贸易差额是一国 货物进出口规模的对 比。当出口大于进口 时,称为贸易顺差,反 之称为逆差。
国际收支差额
（二）国际收支平衡表的记录方法
商品 服务 经常转移 资产 债务 官方储备
借方项目（-）
进口商品 非居民为本国居民提供服务或从本国取得收入 本国居民对非居民的单方向转移 本国居民获得外国资产 本国居民偿还非居民债务 官方储备增加
金融英语06derivativesmarkets
2021/
下周安排
• 共12个topic，每组3-4个人，选择喜欢的 topic，分组讲演。
• 要求：每组不得少于7分钟，并出两道练习 题。
•2021/12/30
BREAD PPT DESIGN
谢谢！
• 4.I want to be a certificated lawyer.
• 5.That guy is certifiable.
2021/12/30
BREAD PPT DESIGN
An introduction to the global derivatives market
2021/12/30
2021/12/30
BREAD PPT DESIGN
Global nature of the market
• Derivatives exchanges themselves provide equal access to customers worldwide.
• Today, almost 80 percent of the turnover at Eurex, one of Europe’s major derivatives exchanges, is generated outside its home markets of Germany and Switzerland, up from only 18 percent ten years ago.
• It has become a central contributor to the stability of the financial system and an important factor in the functioning of the real economy.
第3章 外汇衍生产品市场
方案二：在签约的时候就在外汇市场上以GBP1=USD1.5的汇 率购入5万英镑，并将这笔英镑投资购买三个月期的英 镑国库券，到期再收回这笔英镑款项用来支付货款。
外汇远期交易的应用
方案一的具体分析： 假设英镑3个月期汇升水10点，即远期汇率 是GBP1=USD1.5010,那么进口商花费50美元就 达到减少5000美元损失的目的。 如果英镑期汇贴水，，美国进口商反而可以 少支付美元，比如远期汇率贴水10点， GBP1=USD1.4990,比即期还少支付50美元，只 要7.495万美元就可以了。
外汇远期交易的应用
因汇率变动将要多支付5000美元。
美国进口商如何进行套期保值？
方案一：进口商在签约时在外汇市场上购进三个月期的 英镑远期，三个月后履行购入英镑期汇的义务，将所获 得的英镑用于支付货款，从而避免了英镑价格上升所带来的损 失。而美国进口商为此付出的代价仅仅是因因英镑远期升水 而多支付的美元数额。
交易主体和期限
合约买入者(需求者),进口商、外币债务人、 外汇远期看涨的投机者
合约卖出者(供应者),出口商、外币债权人 外汇远期看跌的投机者 期限：按月来计，3个月；1-6个月；1年
基本特征
场外交易 没有标准化的透明性的条款
违约风险显著 可能要求合约对手方提供担保
到期前不能转让，合约签订时无价值 外汇远期只是一种约定，既非资产也非负债
第三章 外汇衍生产品市场
FX Derivatives Market
教学要点
外汇远期(FX Forwards) 外汇期货(FX Futures) 外汇期权(FX Options) 外汇互换(FX Swaps)
外汇远期
本质上是一种预约买卖外汇的交易. 买卖双方签订合同，约定买卖外汇的币种、 数额、汇率和交割时间. 到规定的交割日期或在约定的交割期内，按 照合同规定条件完成交割.
衍生品市场(derivatives market)共93页
同时一人身兼首席交易员和清算主管两职。 有一次，他手下的一个交易员，因操作失误亏损 了6万英镑， 当里森知道后，却因为害怕事情暴露影响他的前 程，便决定动用88888“错误帐户”。 而所谓的“错误帐户”，是指银行对代理客户交 易过程中可能发生的经纪业务错误进行核算的帐户 （作备用）。 以后，他为了私利一再动用“错误帐户”，创造 银行帐户上显示的均是赢利交易。
YoYuouwwaanntt ttoo mmaaxximimiziezeexepxepcteecdteyidelydieolvdero2vyeera2r:year
Option I: – Invest in a 1-year Treasury. When it matures, invest in another 1-year Treasury.
➢远期外汇合约（Forward Exchange
Contracts）
➢ 远期利率协议（Forward Rate Agreement）
金融远期合约的种类
远期利率协议（Forward Rate Agreements，FRA） – 是一种远期合约，买卖双方商定将来一定时间点(指利 息起算日)开始的一定期限的协议利率，并规定以何种 利率为参照利率，在将来利息起算日，按规定的协议 利率、期限和本金额，由当事人一方向另一方支付协 议利率与参照利率利息差的贴现额。 – 多方：名义借款人，目的主要是为了规避利率上升的 风险。 – 空方：名义贷款人，目的主要是为了规避利率下降的 风险。 – 名义：借贷双方不必交换本金，只是在结算日根据协 议利率和参考利率之间的差额以及名义本金额，由交 易一方付给另一方结算金。 – 远期利率：现在时刻开始的将来一定期限的利率。如 14远期利率，即表示1个月之后开始的期限3个月的 远期利率。
JJ04 外汇衍生品市场
的协议，交易双方约定在外来某个日期按约定利率借贷一笔 数额和期限预先确定的名义本金。
远期外汇合约：是外汇买卖双方约定在未来某个日期按约
定的远期汇率、币种、金额进行交割的合约。
金融远期合约的分类：根据基础资产划分为
远期合约的特点：
金融期货市场
• 金融期货合约：是一种合同承诺，合同的买方和
当前，芝加哥商品交易所中英镑期货合 约的即期价格是1.5950美元，按此价格计 算 ， 150 万 美 元 相 当 于 940439 英 镑 （ $1500 000÷$1.5950/£ ） 。 每 份 英 镑 合 约 金 额 为 62500 英 镑 ， 所 以 该 公 司 需 要 出 售 15 份 （ 940439÷62500 ） 6 月 英 镑 期 货 合 约 。 通 过签订货币期货合约，该公司将汇率锁定 在$1.5950/£。
损益计算：
6月份期货合约的出售价格：
$1.5950/份
为轧平头寸合约购入价格：
$1.6330/份
每份期货合约交易导致损失：
$0.0380/份
15份期货合约遭受的总损失：
$35625
（15×62500×0.0380）
结果B： 如果在6月合约到期时，外汇市场上的即期汇
率低于$1.5950/£，假设达到$1.5500/£。同时， 当天的英镑期货合约结算价格为1.5490美元。该 公司为了扎平头寸，需要按1.5490美元的价格购 买15份6月英镑期货合约，同时按$1.5500/£的即 期汇率，在外汇市场上再购回所需要的美元。损 益计算如下：
结果A： 如果在6月合约到期时，外汇市场上的即期汇
率高于$1.5950/£，假设达到$1.6350/£。同时， 当天的英镑期货合约结算价格为1.6330美元。该 公司为了扎平头寸，需要按1.6330美元的价格购 买15份6月英镑期货合约，同时按$1.6350/£的即 期汇率，在外汇市场上再购回所需要的美元。损 益计算如下：
国际金融第三版课后习题集与答案解析
第一章外汇与外汇汇率Foreign Exchange & Exchange Rate练习题一、填空题练习说明：请结合学习情况在以下段落空白处填充适当的文字，使上下文合乎逻辑。
外汇的概念可以从两个角度来考察：其一，将一国货币兑换成另一国货币的过程，也就是（1）的外汇概念；其二，国际间为清偿债权债务关系进行的汇兑活动所凭借的手段和工具，也就是（2）的外汇概念。
通常意义上的外汇都是指后者。
外汇的主要特征体现在两个方面：外汇是以（3）表示的资产，外汇必须是可以（4）成其他形式的，或者以其他货币表示的资产。
因此，外汇并不仅仅包括可兑换的外国货币，外汇资产的形式有很多，例如，（5），（6），（7）等等。
（8）是外汇这样特殊商品的价格，又称（9），是不同货币之间兑换的比率或者比价，或者说是以一种货币表示的另一种货币的价格。
（10）和间接标价法是两种基本的汇率标价方法。
前者是指以一定单位的外国货币为标准，来计算折合多少单位的本国货币；后者是指以一定单位的本国货币为标准，来计算折合多少单位的外国货币。
目前，国际市场上通行的（11），是以美元作为标准公布外汇牌价。
汇率根据不同的标准可以分为不同的种类，例如，买入价，卖出价和中间价；即期汇率和远期汇率；（12）和套算汇率；电汇汇率，（13）和票汇汇率；官方汇率和市场汇率；贸易汇率和金融汇率；固定汇率和浮动汇率；名义汇率和实际汇率。
19世纪初到20世纪初，西方资本主义国家普遍实行的是（14）制度，各国货币都以黄金铸成，金铸币有一定的重量和成色，有法定含金量；金币可以（15）、（16）、自由输出入，具有无限清偿能力。
在这种货币制度下，汇率是相当稳定的，这是因为，两种货币汇率决定的基础是铸币平价，即两种货币（17）之比。
而各国货币法定的含金量一旦确定，一般不轻易改动，因而铸币平价是比较稳定的。
当然，金本位制度下的汇率同样会根据外汇供求关系的作用而上下浮动。
当某种货币供不应求时，汇价会上涨，超过铸币平价；反之，汇价就会下跌，低于铸币平价。
国际金融第三版外汇市场Foreign Exchange Market
19
外汇交易市场的有效性
弱式：市场上当前价格反映了历史价格序列 中包含的所有信息 半强式：当前价格反映了所有公开的可利用 信息，也包括过去价格中的信息 强式：当前价格充分反映了所有可能知道的 信息，包括独占和内部信息
中国人民大学财政金融学院国际金融精品课程
中国的外汇市场
有两个层次：零售市场（银行结售汇市场） 、同业市场（银行间外汇市场） 发展设想： 增加交易品种和工具 向电子撮合系统交易方式转变 走向市场的无形化
中国人民大学财政金融学院国际金融精品课程
复习要点
现代外汇市场的功能和特点 外汇市场的主要参与者和层次 套汇交易 即期交易 远期交易 掉期交易
国际贸易引起的债权债务清偿要求不同国家的 货币相互兑换 货币兑换的价格、时间、数量以及交割等都要 在外汇市场上实现
中国人民大学财政金融学院国际金融精品课程
3
外汇市场起源
透过国际贸易需要跨国货币收付的表象， 挖掘外汇市场起源的本质
主权货币的存在 非主权货币对境外资源的支配权和索取权 的存在 金融风险特别是汇率风险的存在 投机获利动机的存在
6
外reign exchange and derivatives market activity in 2007 2007年4月外汇市场交易额达到3.2万亿美元，与01-04年相 比，日均增长63% 外汇掉期增长最快，80%；远期增长73%，现汇交易增长 59% 金融机构与非金融机构、企业之间的交易增长迅速，金融机构 之间的交易增长速度减缓 交易货币多元化，美元、欧元是主导，港币增长最快，新兴市 场货币交易量占总额的20% 新加坡、瑞士、英国市场份额上升，美国和日本有所下降
《外汇衍生产品市场》PPT课件
可能要求合约对手方提供担保
到期前不能转让，合约签订时无价值
外汇远期只是一种约定，既非资产也非负债
5
报价方法
远期汇率直接报价法
外汇银行直接报远期汇率 瑞士、日本等国采用此法
远期差价报价法
外汇银行在即期汇率之外，标出远期升贴水 也可采用报标准远期升贴水的做法
两种远期汇率下的掉期套利收益比较
在日本投资的本利和（以日元计价）
在美国投资的本利和（以日元计价）
1000×（1＋4％×3/12）=1010万
1000/100×98×（1＋10％×3/12）=1005万 1000/100×101.5×（1＋10％×3/12）=1040万
13
外汇期货
指在有组织的交易场所内，以公开叫价方式 确定汇率，交易标准交割日期、标准交割数 量的外汇
1972年芝加哥商品交易所开辟国际货币市场 (IMM)，完成首笔外汇期货交易
14
主要特征
交易合约标准化
交易金额和交割日期 价格波动限制
集中交易和结算 市场流动性高 履约有保证 投机性强
15
IMM外汇期货交易
买方
经
纪
会员公司
返
单
回
订单
公 司
场内交易商
交易操作台 买入/卖出交易
相似金融工具的预期收益率相等时达到均衡
国际金融套利
如果经过汇率调整，一国某种金融工具的预期收益率仍 高于另一国相似金融工具，资金就会跨国移动
资金在国际间的转移，必然影响相关国家可贷资金市场 的供求，影响利率水平，进而影响到汇率
8
远期汇率的确定
假设条件
某美国居民可持有一年期美元资产或英镑资产 两国利率分别是Rh和Rf 英镑兑美元即期汇率为S，1年期远期汇率为F
国际金融习题与答案 (5)
第三章外汇衍生产品市场一、本章要义外汇衍生产品通常是指从（1）-------------派生出来的外汇交易工具。
该交易的基本特征有：(2）-----------，即只要支付一定比例的(3）--------------就可以进行全额交易，不需要实际上的(4）---------------------，合约的终结一般也采用(5）----------------的方式进行，只有在到期日以(6）--------------方式履约的合约才需要买方交足货款。
因此金融衍生品的交易具有(7）-----------。
保证金越低，(8）--------------，(9）------------------。
(10）---------------，即预约买卖外汇的交易，亦即外汇买卖双方先行签订合同，约定买卖外汇的币种、数额、汇率和(11）------------------，到规定的交割日期或在约定的交割期内，再按合同规定条件，买卖双方办理交割的外汇交易。
(12）--------------，是指外汇买卖双方在有组织的交易场所内约定，以(13）--------------的方式确定的价格（汇率），在将来某日买入或卖出某一(14）----------------的某种外汇的交易活动。
(15）---------------，指期权合同的买方在向期权卖方（即立权人）支付一定的(16)------------------后，所获得的在一定时间内，按照协定汇率是否买进或卖出一定数量的外汇资产的(17）-------------。
(18）----------------，是交易双方相互交换不同(19）----------------、但(20）---------------相同和(21）---------------相等的货币及利息的业务。
外汇互换交易既涉及(22）--------------的互换，又涉及(23）-------------------的互换。
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中国人民大学财政金融学院国际金融精品课程
13
外汇期货
指在有组织的交易场所内，以公开叫价方式 确定汇率，交易标准交割日期、标准交割数 量的外汇 1972年芝加哥商品交易所（CME）开辟国 际货币市场(IMM)，完成首笔外汇期货交易
中国人民大学财政金融学院国际金融精品课程
14
CMEGROUP
300万美 元
出口土 豆美国 商人
4
2
情形1：£ 1=$1.8000，支付166.67万英镑 按照合约约定的价 格£ 1=$1.7880 卖给银行167.79万 英镑
情形2：£ 1=$1.7760，支付168.92万英镑
12
中国人民大学财政金融学院国际金融精品课程
利用外汇远期套利
如果某投资者持有1000万日元，日元年利率4％，美元年利率10％； 即期汇率USD1=JPY 100 若3个月远期汇率有两种状况： （1）USD1=JPY101.50 （2）USD1=JPY98.00
/education/index.html
中国人民大学财政金融学院国际金融精品课程
15
CHF/USD Futures
Contract Size：125,000 Swiss francs Contract Month Listings Six months in the March quarterly cycle (Mar, Jun, Sep, Dec) Settlement Physical delivery Position Accountability 10,000 contracts Ticker Symbol CME Globex Electronic Markets: 6S Open Outcry: SF AON Code: LS Minimum Price Fluctuation (Tick) Trading can occur in $.0001 per Swiss franc increments ($12.50/contract) and in $.00005 per Swiss franc increments ($6.25/contract) electronically, and for AON transactions.
43种FX期货 37种FX期权，2008年日均交易额达到$48亿，合约3万个 美式期权：AUD/USD, CAD/USD, CHF/USD, CME$INDEX,CZK/USD, CZK/EUR, EUR/USD, EUR/CHF, EUR/GBP, EUR/JPY,GBP/USD, HUF/USD, HUF/EUR, ILS/USD, JPY/USD, NZD/USD,PLN/USD, PLN/EUR, RUB/USD 欧式期权: AUD/USD,CAD/USD, CHF/USD, EUR/USD, GBP/USD,JPY/USD
两种远期汇率下的掉期套利收益比较
在日本投资的本利和 在美国投资的本利和 （以日元计价，万元） （以日元计价，万元） 1000×（1＋4％ ×3/12）=1010 1000/100×98×（1＋10％ ×3/12）=1005 1000/100×101.5×（1＋10 ％×3/12）=1040 套利盈利 （以日元计价，万元） 1005-1010=-5 1040-1010=30
2
外汇远期
本质上是一种预约买卖外汇的交易
买卖双方签订合同，约定买卖外汇的币种、数 额、汇率和交割时间 到规定的交割日期或在约定的交割期内，按照 合同规定条件完成交割
中国人民大学财政金融学院国际金融精品课程
3
外汇远期分类
定期外汇远期交易
固定交割日期 在成交日顺延相应远期期限后进行交割
第3章 外汇衍生产品市场
FX Derivatives Market
中国人民大学财政金融学院国际金融精品课程
1
教学要点
外汇远期(FX Forwards) 外汇期货(FX Futures) 外汇期权(FX Options) 外汇互换(FX Swaps)
中国人民大学财政金Байду номын сангаас学院国际金融精品课程
季度期权、月期权、周期权 4JM09 P = the fourth weekly JPY/USD June 2009 put option “PJM09 P8400” is the price for the June 2009 8400 put options for JPY/USD futures 最后交易日 到期日
中国人民大学财政金融学院国际金融精品课程
9
远期汇率的确定
Rh
中国人民大学财政金融学院国际金融精品课程
10
远期汇率的确定
Rh
中国人民大学财政金融学院国际金融精品课程
11
利用外汇远期套期保值
1
3月后
5
300万 美元
远期美元 多头合约
3
进口 土豆
6
银行
3月后
英镑
进口土 豆英国 商人 3月后
300万 美元
择期外汇远期交易
不固定交割日期 零售外汇市场上，银行在约定期限内给予客户 交割日选择权
中国人民大学财政金融学院国际金融精品课程
4
基本特征
场外交易
没有标准化的透明性的条款
违约风险显著
可能要求合约对手方提供担保
到期前不能转让，合约签订时无价值
外汇远期只是一种约定，既非资产也非负债
国际金融套利
如果经过汇率调整，一国某种金融工具的预期收益率仍 高于另一国相似金融工具，资金就会跨国移动 资金在国际间的转移，必然影响相关国家可贷资金市场 的供求，影响利率水平，进而影响到汇率
中国人民大学财政金融学院国际金融精品课程
8
远期汇率的确定
假设条件
某美国居民可持有一年期美元资产或英镑资产 两国利率分别是Rh和Rf 英镑兑美元即期汇率为S，1年期远期汇率为F
6
择期远期汇率的确定
择期交易为客户提供外汇交割灵活性，在 价格确定上则倾向于对银行有利
•远期外汇升水时，银行以交割 有效期期初汇率为外汇买入价 •远期外汇贴水时，银行以交割 有效期期末汇率为外汇卖出价
中国人民大学财政金融学院国际金融精品课程
7
远期汇率的确定
利息平价定理
如果两种相似金融工具的预期收益不同，资金就会从一 种工具转移到另一种工具 相似金融工具的预期收益率相等时达到均衡
中国人民大学财政金融学院国际金融精品课程
5
报价方法
远期汇率直接报价法
外汇银行直接报远期汇率 瑞士、日本等国采用此法
远期差价报价法
外汇银行在即期汇率之外，标出远期升贴水 也可采用报标准远期升贴水的做法
掉期率报价法
外汇银行在即期汇率之外，标出掉期率
中国人民大学财政金融学院国际金融精品课程