固定收益证券InterestRate Futures Contracts.ppt
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1、Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,27-1,Chapter 27Interest-Rate Futures Contracts,Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,27-2,Learning Objectives,After reading this chapter,you will understandwhat a futures contract isthe differences between a
2、futures and a forward contractthe basic features of various interest-rate futures contractsthe cheapest-to-deliver issue for a Treasury bond futures contract and how it is determinedhow the theoretical price of a futures contract is determinedhow the theoretical price of a Treasury bond futures cont
3、ract is affected by the delivery optionshow futures contracts can be used in bond portfolio management:speculation,changing duration,yield enhancement,and hedginghow to calculate the hedge ratio and the number of contracts to short when hedging with Treasury bond futures contracts.,Copyright 2010 Pe
4、arson Education,Inc.Publishing as Prentice Hall,27-3,Mechanics of Futures Trading,A futures contract is a firm legal agreement between a buyer(seller)and an established exchange or its clearinghouse in which the buyer(seller)agrees to take(make)delivery of something at a specified price at the end o
5、f a designated period of time.The price at which the parties agree to transact in the future is called the futures price.The designated date at which the parties must transact is called the settlement date.The contract with the nearest settlement date is called the nearby futures contract.The next f
6、utures contract is the one that settles just after the nearby contract.The contract furthest away in time from settlement is called the most distant futures contract.,Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,27-4,Mechanics of Futures Trading(continued),Opening PositionWhen an
7、 investor takes a position in the market by buying a futures contract,the investor is said to be in a long position or to be long futures.If,instead,the investors opening position is the sale of a futures contract,the investor is said to be in a short position or short futures.Liquidating a Position
8、A party to a futures contract has two choices on liquidation of the position.First,the position can be liquidated prior to the settlement date.The alternative is to wait until the settlement date.For some futures contracts,settlement is made in cash only.Such contracts are referred to as cash-settle
9、ment contracts.,Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,27-5,Mechanics of Futures Trading(continued),Role of the ClearinghouseAssociated with every futures exchange is a clearinghouse.A futures contract is an agreement between a party and a clearinghouse associated with an e
10、xchange.The clearinghouse makes it simple for parties to a futures contract to unwind their positions prior to the settlement date.When an investor takes a position in the futures market,the clearinghouse takes the opposite position and agrees to satisfy the terms set forth in the contract.Because t
11、he clearinghouse exists,the investor need not worry about the financial strength and integrity of the party taking the opposite side of the contract.Besides its guarantee function,the clearinghouse makes it simple for parties to a futures contract to unwind their positions prior to the settlement da
12、te.,Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,27-6,Mechanics of Futures Trading(continued),Margin RequirementsWhen a position is first taken in a futures contract,the investor must deposit a minimum dollar amount per contract as specified by the exchange.This amount,called the
13、 initial margin,is required as deposit for the contract.At the end of each trading day,the exchange determines the settlement price for the futures contract.This price is used to mark to market the investors position,so that any gain or loss from the position is reflected in the investors equity acc
14、ount.,Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,27-7,Mechanics of Futures Trading(continued),Margin RequirementsThe maintenance margin is the minimum level(specified by the exchange)by which an investors equity position may fall as a result of an unfavorable price movement bef
15、ore the investor is required to deposit additional margin.The additional margin deposited,called the variation margin,is the amount necessary to bring the equity in the account back to its initial margin level.The concept of margin differs for securities and futures.When securities are acquired on m
16、argin,the difference between the price of the security and the initial margin is borrowed from the broker with the security purchased serving as collateral for the loan.For futures contracts,the initial margin,in effect,serves as“good faith”money,an indication that the investor will satisfy the obli
17、gation of the contract.,Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,27-8,Mechanics of Futures Trading(continued),CommissionsCommissions on futures contracts are fully negotiable.They are usually quoted on the basis of a round turn,a price that includes the opening and closing ou
18、t of the futures contract.In most cases,the commission is the same regardless of the maturity date or type of the underlying instrument.Commissions for institutional accounts vary enormously,ranging from a low of about$11 to a high of about$30 per contract.,Copyright 2010 Pearson Education,Inc.Publi
19、shing as Prentice Hall,27-9,Futures Versus Forward Contracts,Just like a futures contract,a forward contract is an agreement for the future delivery of the underlying at a specified price at the end of a designated period of time.Futures contracts are traded on organized exchanges and are standardiz
20、ed agreements as to the delivery date(or month)and quality of the deliverable.A forward contract differs in that it has no clearinghouse,usually has nonstandardized contracts(i.e.,the terms of each contract are negotiated individually between buyer and seller),and typically has nonexistent or extrem
21、ely thin secondary markets.Because there is no clearinghouse that guarantees the performance of a counterparty in a forward contract,the parties to a forward contract are exposed to counterparty risk.,Copyright 2010 Pearson Education,Inc.Publishing as Prentice Hall,27-10,Risk and Return Characterist
22、ics of Futures Contracts,The buyer of a futures contract will realize a profit if the futures price increases;the seller of a futures contract will realize a profit if the futures price decreases.If the futures price decreases,the buyer of a futures contract realizes a loss while the seller of a fut
23、ures contract realizes a profit.When a position is taken in a futures contract,the party need not put up the entire amount of the investment.Instead,only initial margin must be put up.Although the degree of leverage available in the futures market varies from contract to contract,the leverage attain
24、able is considerably greater than in the cash market.Futures markets can be used to reduce price risk.Without the leverage possible in futures transactions,the cost of reducing price risk using futures would be too high for many market participants.,Copyright 2010 Pearson Education,Inc.Publishing as
25、 Prentice Hall,27-11,Currently Traded Interest-Rate Futures Contracts,Most major financial markets outside the United States have futures contracts similar to the U.S.Several of the more important interest-rate futures contracts in the United States are described in the following sections.For the fi
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