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1、Chapter6FinancialDerivativesforCurrencyRiskManagementIntroductiontoFinancialDerivativesFinancialderivativesarefinancialinstrumentswhosevaluesarederivedfromanunderlyingassetsuchasastockoracurrency.Derivativesaremainlyusedtohedgeagainstinterestrateandforeignexchangerisk.Theyarealsousedtospeculat
2、e.Currencyforwards,currencyfuturesandoptions,currencyswapsaremainderivativesinthederivativesmarket.CurrencyFuturesTheviolentfluctuationsofcommoditypricesledtothecreationoffuturesmarket.ThecollapseoftheBrettonWoodspeggedexchangeratesystemisthemainreasonforthefirstcurrencyfuturescontract.Currenc
3、yfuturescontractwascreatedtocovertheforeignexchangerisk.Afuturescontractisanagreementbetweentwopartiestobuyandsellacurrencyatacertainfuturetimeforacertainprice.Afuturescontractremediestheprobleminherentinaforwardcontract.Themajorproblemwithaforwardcontractisthedefaultrisk.Aforwardcontractisapu
4、recreditinstrument.Whicheverwaythepriceofthespotrateofexchangemoves,onepartyhasanincentivetodefault.Forexample,iftheforwardrateis$1.35/€,thespotrateonthefuturedeliverydayis$1.40/€,thenthepartywhosellstheeurohastheincentivetodefault.Ifthefuturespotrategoesdown,thepartywhobuystheeuromaydefault.A
5、futurescontractissimilartoaforwardcontract,buttherearealotofdifferencesbetweenthetwo.ForwardversusCMEFuturesContractsForwardsExchange-tradedfutures1.LocationInterbankExchangefloor2.MaturityNegotiated:typically1,3,6,12monthsorupto10yearsThethirdMondayofMarch,June,September,December3.AmountNegot
6、iated:usuallymorethan$5millionStandardizedcontractamount:suchas€125,000oneuros4.FeesBid-askspreadCommissionschargedper“roundturn”,$30percontract5.CounterpartyBankExchangeclearinghouse6.CollateralNegotiated:dependingoncustomer’screditriskInitialmarginandmaintenancemargin,markedtomarketdaily7.Se
7、ttlementNearlyallLessthan5%settledbyphysicaldelivery8.Tradinghours24hoursDuringexchangehoursFeaturesofCurrencyFuturesFuturescontractsarestandardizedcontractintermsofthecurrenciestraded,contractsize,andmaturityofthecontract.Forexample,(C
