INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap023 Futures, Swaps, and Risk Management

1、CHAPTER 23Futures, Swaps, and Risk ManagementFutures can be used to hedge specific sources of risk.Hedging instruments include:Foreign exchange futuresStock index futuresInterest rate futuresSwapsCommodity futuresFutures2Foreign Exchange FuturesForeign exchange risk: You may get more or less home cu

2、rrency than you expected from a foreign currency denominated transaction.Foreign currency futures are traded on the CME and the London International Futures Exchange.3Figure 23.2 Foreign Exchange Futures4Interest rate parity theoremDeveloped using the US Dollar and British PoundwhereF0 is todays for

3、ward rateE0 is the current spot ratePricing on Foreign Exchange Futures5Text Pricing Example rus = 4% ruk = 5%E0 = $2.00 per pound T = 1 yrIf the futures price varies from $1.981 per pound, covered interest arbitrage is possible.6Direct Versus Indirect QuotesDirect exchange rate quote:The exchange r

4、ate is expressed as dollars per unit of foreign currencyIndirect exchange rate quote:The exchange rate is expressed as foreign currency units per dollar7Hedging Foreign Exchange RiskA US exporter wants to protect against a decline in profit that would result from depreciation of the pound. The curre

5、nt futures price is $2/1. Suppose FT = $1.90?The exporter anticipates a profit loss of $200,000 if the pound declines by $.10Short or sell pounds for future delivery to avoid the exposure.8Hedge Ratio for Foreign Exchange ExampleHedge Ratio in pounds $200,000 per $.10 change in the pound/dollar exch

6、ange rate$.10 profit per pound delivered per $.10 in exchange rate= 2,000,000 pounds to be deliveredHedge Ratio in contracts Each contract is for 62,500 pounds or $6,250 per a $.10 change$200,000 / $6,250 = 32 contracts9Figure 23.3 Profits as a Function of the Exchange Rate10Available on both domest

7、ic and international stocksSettled in cashAdvantages over direct stock purchaselower transaction costsbetter for timing or allocation strategiestakes less time to acquire the portfolioStock Index Contracts11Table 23.1 Major Stock-Index Futures12Table 23.2 Correlations among Major U.S. Stock Market I

8、ndexes 13Creating Synthetic Positions with FuturesIndex futures let investors participate in broad market movements without actually buying or selling large amounts of stock.Results:Cheaper and more flexibleSynthetic position; instead of holding or shorting all of the actual stocks in the index, you

9、 are long or short the index futures14Creating Synthetic Positions with FuturesSpeculators on broad market moves are major players in the index futures market.Strategy: Buy and hold T-bills and vary the position in market-index futures contracts.If bullish, then long futuresIf bearish, then short fu

10、tures15Exploiting mispricing between underlying stocks and the futures index contractFutures Price too high - short the future and buy the underlying stocksFutures price too low - long the future and short sell the underlying stocksIndex Arbitrage16This is difficult to implement in practiceTransacti

11、ons costs are often too largeTrades cannot be done simultaneouslyDevelopment of Program TradingUsed by arbitrageurs to perform index arbitragePermits quick acquisition of securities Index Arbitrage and Program Trading17Hedging Systematic RiskTo protect against a decline in stock prices, short the ap

12、propriate number of futures index contracts.Less costly and quickerUse the beta for the portfolio to determine the hedge ratio.18Hedging Systematic Risk ExamplePortfolio Beta = .8S&P 500 = 1,000Decrease = 2.5%S&P falls to 975Portfolio Value = $30 millionProjected loss if market declines by 2.5% = (.

13、8) (2.5%) = 2%2% of $30 million = $600,000Each S&P500 index contract will change $6,250 for a 2.5% change in the index. (The contract multiplier is $250).19Hedge Ratio ExampleH = =Change in the portfolio valueProfit on one futures contract$600,000 $6,250= 96 contracts short20Figure 23.4 Predicted Va

14、lue of the Portfolio as a Function of the Market Index 21Uses of Interest Rate HedgesA bond fund manager may seek to protect gains against a rise in rates.Corporations planning to issue debt securities want to protect against a rise in rates.A pension fund with large cash inflows may hedge against a

15、 decline in rates for a planned future investment.22Hedging Interest Rate Risk ExamplePortfolio value = $10 millionModified duration = 9 yearsIf rates rise by 10 basis points (.1%), thenChange in value = ( 9 ) ( .1%) = .9% or $90,000Price value of a basis point (PVBP) = $90,000 / 10 = $9,000 per bas

16、is point23Hedge Ratio ExampleH = = PVBP for the portfolioPVBP for the hedge vehicle $9,000 $90= 100 T-Bond contracts24HedgingThe T-bond contracts drive the interest rate exposure of a bond position to zero.This is a market neutral strategy. Gains on the T-bond futures offset losses on the bond portf

17、olio.The hedge is imperfect in practice because of slippage the yield spread does not remain constant.25Figure 23.5 Yield Spread26SwapsSwaps are multi-period extensions of forward contracts.Credit risk on swapsAn interest rate swap calls for exchanging cash flows based on a fixed rate for cash flows

18、 based on a floating rate.The foreign exchange swap calls for an exchange of currencies on several future dates.27Interest Rate Swap: Text Example28The Swap DealerDealer enters a swap with Company APays fixed rate and receives LIBORDealer enters another swap with Company B Pays LIBOR and receives a

19、fixed rateWhen two swaps are combined, dealers position is effectively neutral on interest rates.29Figure 23.6 Interest Rate Swap30Figure 23.7 Interest Rate Futures31Swaps are essentially a series of forward contracts.We need to find the level annuity, F *, with the same present value as the stream

20、of annual cash flows that would be incurred in a sequence of forward rate agreements.Pricing on Swap Contracts32Figure 23.8 Forward Contracts versus Swaps 33Credit Default SwapsPayment on a CDS is tied to the financial status of one or more reference firms.Allows two counterparties to take positions on the credit risk of those firms.Indexes of CDS have now been introduced.34Commodity Futures Pricing General principles that apply to stocks apply to commodities. HoweverCarrying costs are more for commodities.Spoilage is a concern.35Commodity Futures Pric