衍生品与风险管理英语教学课件PPT the structure of forward and futures markets

1、chapter 2 the structure of forward and futures markets nref. don.m.chance, chapter 7 nlearning objectives: qto define forward and futures contracts qto describe the institutional characteristics of forward and futures markets, especially the daily settlement procedure in futures markets and the deli

2、very process qto provide information on the futures contracts available for trading qto describe the process of placing an order to trade a futures contract qto illustrate the role of the clearinghouse in futures trading qto show how to access futures prices qto present information on the magnitude

3、and effects of transaction costs in futures trading qto discuss the regulatory structure of futures and forward markets 1. definition na forwawrd contract is an agreement between two parties, buyer and a seller, that calls for the delivery of an asset at a future point in time with a price agreed up

4、on today. na futures contract is that has standardized terms, is traded on an organized exchange, and follows a daily settlement procedure in which the losses of one party to the contract are paid to the other party. nboth have an obligation not the right. nlike an exchange-listed option, however, a

5、 futures contract can be sold in the market prior to expiration. nlike an over-the-counter option, a forward contract can be offset by creating a new forward contract. 2. the development of forward and futures markets the development of organized markets nchicago board of trade (cbot，芝加哥交易所，芝加哥交易所),

6、 1848 nchicago mercantile exchange (cme，芝加哥商品交易所），芝加哥商品交易所）， 1898 qits predecessor: chicago produce exchange (1874) chicago butter and egg board qit was the 2nd largest futures exchange in the us. nin 2006, cbot and cme were merged, and became the biggest futures exchange in the world. nthe 1990s sa

7、w an explosion in the development of futues exchanges around the world. the development of financial futures n1972, futures contracts on foreign currencies qinternational monetary market (imm) n1975, the 1st interest rate futures contract q1976, 1st futures contract on 90-day u.s. treasury bills q19

8、77, u.s treasury bond futures q1990s, eurodollar futures contract n1980s, stock index futures contract types of financial futures nfutures contracts on foreign currencies （外汇期货）：（外汇期货）：the 1st futures contract ninterest rate futures contract（利率期货）（利率期货） qbond futures（债券期货）（债券期货） qlibor，hibor，etc. nf

9、utures contract on equity（股权类期货）（股权类期货） qstock index futures contract qsingle stock futures contract qportfolio futures contract the development of options on futures markets nan option on a futures permits the holder the right to buy, if a call, or sell, if a put, a specific underlying futures cont

10、ract at a fixed price up to a specific expiration day. qin this case, the option is a derivative on a derivative. nthus, two expirations qthe options expiration and the futures expiration qfor some contracts, the option and futures expire simultaneously, which is equivalent to an option on the under

11、lying spot asset. qfor most cases, the option expires before but relatively close to the expiration of the futures. nthe option would trade on the same exchange on which the underlying futures traded. qthe parallel trading of the option and the underlying created a strong demand for arbitrage tradin

12、g between these two instruments and led to highly active and efficient markets. 3. the otc forward market nthe forward market is large and worldwide. nits participants are banks, corporations, and governments. nthe two parties to a forward contract must agree to do business with each other, which me

13、ans that each party accepts credit risk from the other. qunlike options nin spite of the credit risk, forward contracts offer many advantages. qthe primary advantage is that the terms and conditions are tailored to the specific needs of the two parties. qthe forward market also has the advantage of

14、being a private market in which the general public does not know tha the transaction was done. this prevents other traders from interpreting the size of various trades as perhaps false signals of information. qthe otc market is also an unregulated market. 4.中国期货交易所的发展中国期货交易所的发展 n旧中国期货市场：旧中国期货市场：1892

15、年，上海股份公所，中国最年，上海股份公所，中国最 早的期货交易所早的期货交易所 n新中国期货市场：新中国期货市场：1990年中国郑州粮油批发市场；年中国郑州粮油批发市场； n1999年，确认三大全国性的期货交易所：年，确认三大全国性的期货交易所： q上海期货交易所：主要金属、能源、化工上海期货交易所：主要金属、能源、化工 q大连商品交易所：主要豆类、玉米、棕榈油、聚乙烯大连商品交易所：主要豆类、玉米、棕榈油、聚乙烯 q郑州商品交易所：主要菜籽油、小麦、棉花、白砂糖、郑州商品交易所：主要菜籽油、小麦、棉花、白砂糖、 pta、绿豆、绿豆 n2006年，中国金融期货交易所年，中国金融期货交易所 q2

16、010年年4月份正式推出股指期货交易，其标的物为沪深月份正式推出股指期货交易，其标的物为沪深300 指数指数 5. organized futures trading na futures exchange is a corporate entity comprised of members. qalthough some exchanges allow corporate memberships, most members are individuals. qthe members elect a board of directors, which in turn selects indiv

17、iduals to manage the exchange. qthe exchange has a corporate hierarchy consisting of officers, employees, and committees. nalthough futures exchanges are usually nonprofit corporations, some exchanges are profit-making corporations with publicly traded stock. qsuch as cme 5.1 contract development no

18、ne of the exchanges important ongoing activities is identifying new and useful futures contracts. nmost exchanges maintain research staffs that continuously examine the feasibility of new contracts. qwhen the exchange determines that a contract is likely to be successful, it writes a proposal specif

19、ying the terms and conditions and applies to the regulatory authority, such as cftc, for permission to initiate trading. how to determine an asset that is a likely candidate for a successful futures contract? 1.the asset had to be storable. qbut there are now futures contracts on nonstorable assets

20、such as electricity and even such factors as the wheter, which is not a specific asset at all. 2.the existence of an identifiable, volatile spot price and a group of potential users who face a risk of loss if prices move in a certain direction nwhether the contract will be actively traded will depen

21、d on whether it fills the needs of hedgers and whether speculators are interested enough to take risks in it. nsee case1 5.2 contract terms and conditions nthe contracts terms and conditions are determined by the exchange subject to regulatory approval. nthe specifications for each contract are the

22、size, quotation unit, minimum price fluctuation, grade, and trading hours. 1.contract size means that one contract covers a specific number of units of the underlying asset. nsize cannot be too small or too large. 2.the quotation unit is simply the unit in which the price is specified. 3.miniumu pri

23、ce fluctuation is usually the smallest unit of quotation. nfor example, treasury bonds are quoted in a minimum unit of 1/32. nthus, the minimum price change on a treasury bond futures contract is 1/32 of 1% of the contract price, i.e. 0.0003125 (=1%1/32). nsince the contract has a face value (contra

24、ct size) of $100,000, the minimum price change is 0.0003125 ($100,000)=$31.25. 4.contract grade: in the case of agricultural commodities there may be numerous grades, each of which would command a quality price differential in the spot market. 5.trading hours nmost agricultural futures trade for fou

25、r to five hours during the day. nmost financial futures trade for about six hours. nbut now many exchanges have eletronic trading systems, whereby trading occurs at terminals that can be placed in offices and even in homes. 5.3 delivery terms the contract must also indicate a specific delivery date

26、or dates, the delivery prodecure, and a set of expiration months. nexpiration months: qin the case of harvestable commodities, the exchange usually establishes expiration months to correspond with harvest months. qin nonharvestable commodities, such as financial futures, the exchange usually has fol

27、lowed the pattern of allowing expirations in march, june, september, and december. nfinal trading day: qthis may be any day in the month, but the most common ones are the third friday of the month and the business day prior to the last business day of the month. nfirst delivery day: qmost contracts

28、allow delivery on any day of the month following a particular day. qusually the first eligible delivery day is the first business day of the month. qin the case of stock index futures and other cash- settled contracts, the settlement lccurs on the last trading day or on the day after the last tradin

29、g day. ndelivery procedure: qfor non-cash-settled contracts, the delivery procedure must be specified. qthe delivrable spot commodity must be sent to any of several eligible locations. nfinancial adjustments to the price received upon delivery are required when an acceptable but lower- grade commodi

30、ty is delivered. 5.4 daily price limits and trading halts nlimit up（涨停板）（涨停板）: the contract price hits the upper limit nlimit down（跌停板）（跌停板）: the price moves to the lower limit nlimit move（涨跌停）（涨跌停）: any such move, up or down ncircuit breaker（断路器）（断路器）: when prices move rapidly, trading can be stopp

31、ed for predetermined periods. 例：上海期货交易所黄金期货标准合约例：上海期货交易所黄金期货标准合约 交易品种 黄金 交易单位 1000克/手 报价单位 元(人民币)/克 最小变动价位 0.01元/克 每日价格最大波动限制 不超过上一交易日结算价5% 合约交割月份 1-12月 交易时间 上午9:0011:30 下午1:303:00 最后交易日 合约交割月份的15日（遇法定假日顺延） 交割日期 最后交易日后连续五个工作日 交割品级 金含量不小于99.95%的国产金锭 交割地点 交易所指定交割金库 最低交易保证金 合约价值的7% 交易手续费 不高于成交金额的万分之二（含

32、风险准备金） 交割方式 实物交割 交易代码 au 上市交易所 上海期货交易所 5.5 other exchange responsibilities nthe exchange specifies that members meet minimum financial responsibility requirements. nit may establish position limits（头寸）（头寸）, which restrict the number of contracts that an individual trader can hold. nthe exchange esta

33、blishes rules governing activities on the trading floor and maintains a department responsible for monitoring trading to determine whether anyone is attempting to manipulate the market. 6. futures traders 6.1 general classes of futures traders ncommission brokers（佣金经纪商）（佣金经纪商）simply execute transact

34、ions for other people. qcommission brokers can be an independent businessperson who executes trades for individuals or institutions or a representative of a major brokerage firm. qcommission brokers make their money by charging a commission for each trade. nlocals（自营交易商）（自营交易商）are individuals in bus

35、iness for themselves who trade from their own accounts. qthey attempt to profit by buying contracts at a given price and selling them at a higher price. qtheir trading provides liquidity for the public. qlocals assume the risk and reap the rewards from their skill at futures trading. ndual trading（双

36、向交易）：（双向交易）：some traders engage in dual trading, in which they trade for themselves and also trade as brokers for others. 6.2 classification by trading strategy nhedger（套期保值者）：（套期保值者）：holds a position in the spot market, and takes a futures contract that is opposite to the position in the spot marke

37、t reduces the risk. nspeculators（投机者）：（投机者）：attempt to profit from guessing the direction of the market. qthey play an important role in the market by providing the liquidity that makes hedging possible and assuming the risk that hedgers are trying to eliminate. nspreaders（差额交易者）：（差额交易者）：use futures

38、 spreads to speculate at a low level of risk, which involves a long position in one contract and a short position in another. qintercommodity qa maintenance margin（维持保证金）（维持保证金）: the account that must be maintained every day thereafter. nthe margin deposit is not quite like the margin on a stock tra

39、de. qin stock trading, the investor deposits margin money and borrows the remainder of the stock price from the broker. qin futures trading, not only is th margin requirement much smaller, but the remainder of the funds are not borrowed. the margin deposit is more like a good-faith security deposit.

40、 so sometimes we also call it performance bonds（履约保证书）（履约保证书）. nthe margin can be treasury bills or cash. nhow to settle? qsettlement price（结算价格）：（结算价格）：at the end of each day, count the average of the prices of the last fe trades of the day. qmarked to market（市值调整）：（市值调整）：the difference in the curr

41、ent settlement price and the previous days settlement price is determined. nif the difference is positive because the settlement price increased, the dollar amount is credited to the margin accounts of those holding long positions and charged to those holding short positions. nif the difference is n

42、egative because the settlement price decreased, the dollar amount is credited to the holders of short positions and charged to those holding long positions. qthis is called the daily settlement. ndaily settlement is an important feature of futures markets and a major difference between futures and f

43、orward markets. qin forward markets, the gains and losses are normally incurred at the end of the contracts life, when delivery is made. qfutures markets credit and charge the price changed on a daily basis. nthis helps ensure the markets integrity, because large losses are covered a little at a tim

44、e rather than all at expiration, by which time the holder of the losing position may be unable to cover the loss. nif the balance falls below the maintenance margin requirement, you receive a margin call （保证金催付通知）（保证金催付通知）and must deposit enough funds to bring the balance back up to the initial marg

45、in requirement. nvariation margin（可变保证金）：（可变保证金）： the additional funds deposited. qthey are officially due within a few days but usually are required to be deposited immediately. nif the investor does not have the funds, the broker will attempt to close out the position. qin a limit, a long position

46、 can ultimately lose the full price of the contract. this would occure if the price went to zero. qon a short position, there is no upper limit on the price. therefore, the loss theoretically is infinite. 逐日结算例子：逐日结算例子： 期货初始价格为期货初始价格为100，初始保证金，初始保证金5，维持保证金，维持保证金40 持有持有10份期货合同的多头的账户变化，如下：份期货合同的多头的账户变

47、化，如下： 日期日期初始初始 账户账户 存入资存入资 金金 结算结算 价格价格 期货价期货价 格变化格变化 盈利或盈利或 损失损失 期末账期末账 户户 005010050 150099.2-0.8-842 242096-3.2-3210 31040101550100 41000103.52.525125 51250103-0.5-5120 61200104110130 nopen interest（未结权益或者叫未平仓合约）：（未结权益或者叫未平仓合约）：the total number of futures contracts outstanding at any one time. qea

48、ch contract has both a long and a short position and counts as one contract of open interest. qexample: ndavid bought one futures contract from tom, then the open interest is 1. nif david sells the contract to lucy, the open interest is still 1. nbut if tom buys the contract back from lucy, the open

49、 interest becomes 0. nmost futures traders do not hold their positions to expiration; rather, they simply reenter the market and execute an offsetting transaction. qin other words, if one held a long position in a contract, one might elect to simply sell that contract in the market. qthe clearinghou

50、se would properly note that the traders positions were offsetting（平仓）（平仓）. qif the position were not offset before the expiration month, delivery would become likely. 7.4 delivery and cash settlement neach contract has a delivery month. qthey delivery procedure varies among contracts. qsome contract

51、s can be delivered on any business day of the delivery month. qothers permit delivery only after the contract has traded for the last day. qand others are cash settled, where there is no delivery at all. ndelivery usually is a three-day sequence beginning 2 business days prior to the first possible

52、delivery day. 1.position day（头寸确定日）（头寸确定日）, two business days before the intended delivery day, when the holder of a short position who intends to make delivery notifies the clearinghouse of its desire to deliver. 2.notice of intention day（意向通知日）（意向通知日）, the next business day, when the exchange sele

53、cts the holder of the oldest long position to receive delivery. 3.delivery day（交割日）（交割日）, the third day, when delivery takes place and the long pays the short. nmost non-cash-settled contracts permit delivery any business day of the delivery month. qdelivery is consummated by wire transfer. qmost co

54、ntracts allow for more than one deliverable instrument. the contract usually specifies that the price paid by the long to the short be adjusted to reflect a difference in the quality of the deliverable good. nfor cash-settled contracts, such as stock index futures qthe settlement price on the last t

55、rading day is fixed at the closing spot price of the underlying instrument, such as the stock index. qone exception is the chicago mercantile exchanges s and people who often use as a store of value. nenergy 9.3 miscellaneous commodities nmostly traded very lightly and many are no longer listed. nfe

56、rtilizer, shrimp, electricity, rubber, glass, cement, potatoes, peanuts, sunflower seeds, inflation, peas, flax, kerosene, yarn, weather, etc. 9.4 foreign currencies nthe 1st financial futures contracts launched in 1972. nus dollar, the euro, the japanese yen, the british pound, the swiss franc, the canadian dollar and the mexican peso. nnow these contracts have insignificant volume relative to the forward market. 9.5 treausry bills and eurodollars nthe eurodollar contract is the most actively traded futures contract.