《衍生品与风险管理英语教学课件PPT the structure of forward and futures markets》由会员分享，可在线阅读，更多相关《衍生品与风险管理英语教学课件PPT the structure of forward and futures markets（58页珍藏版）》请在金锄头文库上搜索。
1、Chapter 2The Structure of Forward and Futures MarketsnRef. Don.M.Chance, Chapter 7nLearning objectives:qTo define forward and futures contractsqTo describe the institutional characteristics of forward and futures markets, especially the daily settlement procedure in futures markets and the delivery
2、processqTo provide information on the futures contracts available for tradingqTo describe the process of placing an order to trade a futures contractqTo illustrate the role of the clearinghouse in futures tradingqTo show how to access futures pricesqTo present information on the magnitude and effect
3、s of transaction costs in futures tradingqTo discuss the regulatory structure of futures and forward markets1. DefinitionnA 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 upon today.nA f
4、utures contract is a forward contracta forward contract 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-list
5、ed option, however, a 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 marketsThe development of organized marketsnChicago Board of Trade (CBO
6、T，芝加哥交易所，芝加哥交易所), 1848nChicago Mercantile Exchange (CME，芝加哥商品交易所），芝加哥商品交易所），1898qIts predecessor: Chicago Produce Exchange (1874) Chicago Butter and Egg BoardqIt 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.nT
7、he 1990s saw an explosion in the development of futues exchanges around the world.The Development of Financial Futuresn1972, Futures contracts on foreign currenciesqInternational Monetary Market (IMM)n1975, the 1st interest rate futures contractq1976, 1st futures contract on 90-day U.S. Treasury bil
8、lsq1977, U.S Treasury bond futuresq1990s, Eurodollar futures contractn1980s, stock index futures contractTypes of Financial FuturesnFutures contracts on foreign currencies（外汇期货）：（外汇期货）：the 1st futures contractnInterest rate futures contract（利率期货）（利率期货）qBond Futures（债券期货）（债券期货）qLIBOR，HIBOR，etc.nFutur
9、es contract on equity（股权类期货）（股权类期货）qStock Index Futures ContractqSingle Stock Futures ContractqPortfolio Futures ContractThe Development of Options on Futures MarketsnAn option on a futures permits the holder the right to buy, if a call, or sell, if a put, a specific underlying futures contract at a
10、 fixed price up to a specific expiration day.qIn this case, the option is a derivative on a derivative.nThus, two expirationsqThe options expiration and the futures expirationqFor some contracts, the option and futures expire simultaneously, which is equivalent to an option on the underlying spot as
11、set.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 trading between these
12、two instruments and led to highly active and efficient markets.3. The OTC Forward MarketnThe 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 means that each party
13、accepts credit risk from the other.qUnlike optionsnIn 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 being a private market i
14、n 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年，上海股份公所，中国最早年，上海股份公所，中国最早的
15、期货交易所的期货交易所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q2010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
16、交易，其标的物为沪深300指数指数5. Organized Futures TradingnA 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 individuals to manage the exchange.qThe exchan
17、ge 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 CME5.1 Contract DevelopmentnOne of the exchanges important ongoing activiti
18、es 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 specifying the terms and conditions and applies to the
19、 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 such as electricity and even such factors as the wh
20、eter, 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 directionnWhether the contract will be actively traded will depend on whether it fills the needs of hedgers and whethe
21、r speculators are interested enough to take risks in it.nSee case15.2 Contract Terms and ConditionsnThe contracts terms and conditions are determined by the exchange subject to regulatory approval.nThe specifications for each contract are the size, quotation unit, minimum price fluctuation, grade, a
22、nd 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 price fluctuation is usually the smallest unit of quotation.nFor
23、 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 (contract size) of $100,000, the minimum price change is 0.0003125 ($10
24、0,000)=$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 hoursnMost agricultural futures trade for four to five hours during the day.nMost financial futures trade for ab
25、out 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 TermsThe contract must also indicate a specific delivery date or dates, the delivery prodecure, and a set of expiration months.nExpir
26、ation 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 followed the pattern of allowing expirations in March, June, September, and D
27、ecember.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 allow delivery on any day of the month following a particular day.qUsually the
28、 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 trading day.nDelivery Procedure:qFor non-cash-settled contracts, the delivery procedure
29、 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 commodity is delivered.5.4 Daily Price Limits and Trading HaltsnLimit up（涨停板）（涨停板）: the cont
30、ract price hits the upper limitnLimit down（跌停板）（跌停板）: the price moves to the lower limitnLimit move（涨跌停）（涨跌停）: any such move, up or downnCircuit breaker（断路器）（断路器）: when prices move rapidly, trading can be stopped 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
31、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 ResponsibilitiesnThe exchange speci
32、fies 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 establishes rules governing activities on the trading floor and maintains a department responsible f
33、or monitoring trading to determine whether anyone is attempting to manipulate the market.6. Futures Traders6.1 General Classes of Futures TradersnCommission brokers（佣金经纪商）（佣金经纪商）simply execute transactions for other people.qCommission brokers can be an independent businessperson who executes trades
34、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 business for themselves who trade from their own accounts.qThey attempt to profit by buying contracts at
35、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（双向交易）：（双向交易）：some traders engage in dual trading, in which they trade for themselves and also trade as brok
36、ers for others.6.2 Classification by Trading StrategynHedger（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 market reduces the risk.nSpeculators（投机者）：（投机者）：attempt to profit from guessing the direction of the market.qThey
37、 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 spreads to speculate at a low level of risk, which involves a long position in one contract and a short positi
38、on in another.qIntercommodity & IntracommoditynArbitrageurs（套利者）：（套利者）：attempt to profit from differences in the prices of otherwise identical spot and futures positions.qWhen prices get out of line with these theoretical predictions, arbitrageurs enter the market and execute trades that bring price
39、s back in line.6.3 Classification by Trading StylenScalper（抢帽子者）（抢帽子者）attempt to profit from small changes in the contract price. qThey seldom hold their positions for more than a few minutes.qThey trade by using their skill at sensing the markets short-term direction and by buying from the public a
40、t the bid price and selling to the public at the ask price.qBecause they operate with very low transaction costs, they can profit from small moves in contract prices.nDay traders（当日交易商）（当日交易商）hold their positions for no longer than the duration of the trading day.qThey attempt to profit from short-t
41、erm market movements.qThey hold their positions much longer than do scalpers.qThey are unwilling to assume the risk of adverse news that might occur overnight or on weekends.nPosition traders（头寸交易商）（头寸交易商）hold their transactions open for much longer periods than do scalpers and day traders.qThey bel
42、ieve they can make profits by waiting for a major market movement.qIt may take as much as several weeks.6.4 Off-floor Futures TradersIn addition to individuals and institutions who directly participate in trading, there are certain other participants.qHere institutions include banks and financial in
43、termediaries, investment banking firms, mutual funds, pension funds, and other corporations.nAn introducint broker（IB，引介经纪商），引介经纪商）is an individual who solicits orders from public customers to trade futures contracts.qIBs do not execute orders themselves, nor do their firms.qRather, they subcontract
44、 with FCMs to do this. The IB and FCM divide the commission.nA commodity trading advisor （CTA，商品交易顾问），商品交易顾问）is an individual or firm that analyzes futures markets and issues reports, gives advice, and makes recommendations on the purchase and sale of contracts.qCTAs earn fees for their services but
45、 do not necessarily trade contracts themselves.nA commodity pool operator （CPO，商品交易合作基金运营商），商品交易合作基金运营商）is an individual or firm that solicits funds from the public, pools them, and uses them to trade futures contracts.qThe CPO profits by collecting a percentage of the assets in the fund and sometim
46、es through sales commissions.nAn associated person （AP，期货交易员），期货交易员）is an individual associated with any of the above individuals or institutions or any other firm engaged in the futures business.6.5 Forward Market TradersnThe forward market is dominated by large institutions, such as banks and corp
47、orations.nA typical forward market trader is an individual sitting at a desk with a telephone and a computer terminal.nForward and futures markets are linked closely.qForward contracts cannot be reversed by futures contracts.qHowever, a trader will do a forward contract and then immediately do a fut
48、ures contract to hedge the forward market risk.7. The Mechanics of Futures Trading7.1 Steps1.Open an account with broker: make a minimum deposit2.Placing an ordernA market order（市场交易指令）（市场交易指令）instructs the floor broker to obtain the best price.nA limit order（限价交易指令）（限价交易指令）specifies a maximum price
49、 to pay if buying or a minimum price to acept if selling.nA good-till-canceled order（撤销前有效交易指令）（撤销前有效交易指令）remains in effect until canceled.nA day order（当日交易指令）（当日交易指令）stays in effect for the remainder of the day.nA stop order （止损指令）（止损指令）is placed at a price lower than the current price. If the mark
50、et price falls to the specified price, the broker is instructed to sell the option at the best available price.3.How to trade1.Open outcry（公开喊价方式）（公开喊价方式）:nUnder a pit trading system, when an investor places an order, the broker phones the firms trading desk on the exchange floor and relays the orde
51、r to the firms floor broker.nThe floor broker goes to the pit in which the contract trades.nHand signals and a considerable amount of verbal activity are used to place bids and make offers.nThen the order is filled, the information is relayed back, ultimately to the brokers office, whereupon the bro
52、ker telephones the customer to confirm the trade.2.Electronic trading（电子交易方式）（电子交易方式）qNow the futures exchanges are fully automated so that bids and offers are submitted through a computer and trades are executed off the floor.qSome systems will even match buyer and seller.7.2 The Role of the Cleari
53、nghouse（清算所）（清算所）nAt this point in the process, the clearinghouse intervenes.nClearinghouse is an independent corporation, and its stockholders are its member clearing firms.qEach firm maintains a margin account with the clearinghouse and must meet minimum standards of financial responsibility.nThe
54、clearinghouse assumes the role of intermediary to each transaction.qIt guarantees the buyer that the seller will perform and guarantees the seller that the buyer will perform.nAll parties to futures transactions must have an account with a clearing firm or with a firm that has an account with a clea
55、ring firm.A Transaction on the Futures Exchange (p208)BuyerBuyersBrokerBuyersBrokersCommissionBrokerFuturesExchangeSellerSellersBrokersCommissionBrokerSellersBrokerFuturesClearinghouseBuyersBrokersClearingFirmSellersBrokersClearingFirm1a7a6a5b6b9a2a5a2b1b7b9b8a8b34nThe forward market is an OTC marke
56、t. The parties to the contract deal directly with each other. There is currently no clearinghouse to guarantee to each party that the other will perform.7.3 Daily Settlement（逐日结算制度）（逐日结算制度）nOne way in which the clearinghouse helps ensure its survival is by using margins and the daily settlement of a
57、ccounts.nFor each contract, there is bothqAn initial margin（初始保证金）（初始保证金）: the account that must be deposited on the day the transaction is opened;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
58、 trade.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 deposi
59、t. 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 curren
60、t 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 negat
61、ive 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 forward
62、 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 time rather
63、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 margin requirem
64、ent.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 can ultimately
65、 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化，如下：日期日期初始初始账户账户存入
66、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005010050150099.2-0.8-842242096-3.2-32103104010155010041000103.52.52512551250103-0.5-512061200104110130nOpen 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.qEach contract has both a long and a short
67、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 interest becomes 0.nMost futures traders d
68、o 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 clearinghouse would properly note that the traders positi
69、ons 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 SettlementnEach contract has a delivery month.qThey delivery procedure varies among contracts.qSome contracts can be delivered on any business day of the deliv
70、ery 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 delivery day.1.Position day（头寸确定日）（头寸确定日）, two busines
71、s 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 selects the holder of the oldest long position to receive de
72、livery.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 contracts allow for more than one deliverable instrument. The
73、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 futuresqThe settlement price on the last trading day is fixed at the closing spot price of the underlyin
74、g instrument, such as the stock index.qOne exception is the Chicago Mercantile Exchanges S&P 500 futures contract, which closes trading on the Thursday before the third Friday of the expiration month but bases the final settlement price on the opening stock price on Friday morning.About the financia
75、l futures contractsnAbout 99% of all futures contracts are not delivered.qMost traders close out their positions prior to expiration, a process called offsetting（平仓）（平仓）.qWhy?8. Futures Price Quotations合约名最新价涨跌持仓量成交量成交金额买卖价昨结算开盘最低最高现手al090312030-5515720218613169465012040/1206512085120101201012100209
76、. Types of Futures Contracts9.1 Agricultural CommoditiesnThe oldest group of futures contracts.nIt includes grains, such as wheat, corn oats, soybeans, and rice.nLivestock such as cattle and hogs.nFood products such as coffee, cocoa, orange juice, and sugar.nCotton, wool and wood.nParticipants: farm
77、ers and firms who use these raw materials as vital inputs.9.2 Natural ResourcesnMetals: gold, silver, and copper.qParticipants: companies that buy and sell these products and the products they are made into; and people who often use as a store of value.nEnergy9.3 Miscellaneous CommoditiesnMostly tra
78、ded very lightly and many are no longer listed.nFertilizer, shrimp, electricity, rubber, glass, cement, potatoes, peanuts, sunflower seeds, inflation, peas, flax, kerosene, yarn, weather, etc.9.4 Foreign CurrenciesnThe 1st financial futures contracts launched in 1972.nUS dollar, the euro, the Japane
79、se 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 EurodollarsnThe Eurodollar contract is the most actively traded futures contract.9.6 Treasury Notes and Bondsn3 T-
80、note contracts based on 2-year, 5-year, and 10-year maturities respectivelynThe T-bond with at least 15 years.9.7 EquitiesnStock index futures which are cash-settledqInvestors use them to hedge positions in stock, speculate on the direction of the stock market in general, and arbitrage the contracts
81、 against comparable combinations of stocks.qFor example, the S&P 500 futures is the most widely traded contract.nIt has an implicit multipler of $250. If the futures price is 1500, the actual price is 1500($250)=$375,000.nThe expirations are March, June, Sept, and Dec.nIndividual stocksqThese contra
82、cts are generally only on the most actively traded stocks.9.8 Managed FundsnManaged funds is simply a term that refers to the arrangement by which an investor hires a professional futures trader to conduct transactions on his or her behalf.nSeveral forms:1.Futures funds（期货基金）（期货基金）, which are essent
83、ially mutual funds that pool investors money and trade futures.2.Commodity pool（商品基金）（商品基金）, which are private arrangements that operate much like futures funds.3.Hedge funds（对冲基金）（对冲基金）, which is a privately organized pool of money that is invested in literally any financial instruments on any mark
84、ets of the world.1.It uses a high degree of leverage and takes short positions as wilingly as long positions.2.It is a very risky form of investment.3.These funds normally take in only investors who have large amounts of money and willingness to take high risks.4.Also, it tends to be quite secretive
85、.10. Transaction Costs in Forward and Futures TradingnCommissionsnBid-ask Spread（买卖价差）（买卖价差）qThe spread is the cost to the public of liquidity the ability to buy and sell quickly without a large price concession.nDelivery Costs11. The Regulation of Futures and Forward MarketsnAn uneven playing field between forward and futures market
