【精品】investments 投资学 （博迪bodie, kane, marcuschap023 futures, swaps, and risk management精品ppt课件.ppt

INVESTMENTS 投资学（博迪BODIE,KANE,MARCUS）Chap023 Futures,Swaps,and Risk ManagementINVESTMENTS|BODIE,KANE,MARCUSFutures can be used to hedge specific sources of risk.Hedging instruments include:Foreign exchange futuresStock index futuresInterest rate futuresSwapsCommodity futuresFutures2INVESTMENTS|BODIE,KANE,MARCUSForeign Exchange FuturesForeign exchange risk:You may get more or less home currency than you expected from a foreign currency denominated transaction.Foreign currency futures are traded on the CME and the London International Futures Exchange.3INVESTMENTS|BODIE,KANE,MARCUSFigure 23.2 Foreign Exchange Futures4INVESTMENTS|BODIE,KANE,MARCUSInterest rate parity theoremDeveloped using the US Dollar and British PoundwhereF0 is todays forward rateE0 is the current spot ratePricing on Foreign Exchange Futures5INVESTMENTS|BODIE,KANE,MARCUSINVESTMENTS|BODIE,KANE,MARCUSINVESTMENTS|BODIE,KANE,MARCUSHedging Foreign Exchange RiskA US exporter wants to protect against a decline in profit that would result from depreciation of the pound.The current 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.8INVESTMENTS|BODIE,KANE,MARCUSHedge Ratio for Foreign Exchange ExampleHedge Ratio in pounds$200,000 per$.10 change in the pound/dollar exchange 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 contracts 9INVESTMENTS|BODIE,KANE,MARCUSFigure 23.3 Profits as a Function of the Exchange Rate10INVESTMENTS|BODIE,KANE,MARCUSAvailable on both domestic and international stocksSettled in cashAdvantages over direct stock purchaselower transaction costsbetter for timing or allocation strategiestakes less time to acquire the portfolioStock Index Contracts11INVESTMENTS|BODIE,KANE,MARCUSTable 23.1 Major Stock-Index Futures12INVESTMENTS|BODIE,KANE,MARCUSTable 23.2 Correlations among Major U.S.Stock Market Indexes 13INVESTMENTS|BODIE,KANE,MARCUSCreating 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 are long or short the index futures14INVESTMENTS|BODIE,KANE,MARCUSCreating 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 futures15INVESTMENTS|BODIE,KANE,MARCUSExploiting 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 Arbitrage16INVESTMENTS|BODIE,KANE,MARCUSThis is difficult to implement in practiceTransactions 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 Trading17INVESTMENTS|BODIE,KANE,MARCUSHedging Systematic RiskTo protect against a decline in stock prices,short the appropriate number of futures index contracts.Less costly and quickerUse the beta for the portfolio to determine the hedge ratio.18INVESTMENTS|BODIE,KANE,MARCUSHedging 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%=(.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).19INVESTMENTS|BODIE,KANE,MARCUSHedge Ratio ExampleH=Change in the portfolio valueProfit on one futures contract$600,000$6,250=96 contracts short20INVESTMENTS|BODIE,KANE,MARCUSFigure 23.4 Predicted Value of the Portfolio as a Function of the Market Index 21INVESTMENTS|BODIE,KANE,MARCUSUses 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 decline in rates for a planned future investment.22INVESTMENTS|BODIE,KANE,MARCUSHedging 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 basis point23INVESTMENTS|BODIE,KANE,MARCUSHedge Ratio ExampleH=PVBP for the portfolioPVBP for the hedge vehicle$9,000$90=100 T-Bond contracts24INVESTMENTS|BODIE,KANE,MARCUSHedgingThe 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 portfolio.The hedge is imperfect in practice because of slippage the yield spread does not remain constant.25INVESTMENTS|BODIE,KANE,MARCUSFigure 23.5 Yield Spread26INVESTMENTS|BODIE,KANE,MARCUSSwapsSwaps 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 based on a floating rate.The foreign exchange swap calls for an exchange of currencies on several future dates.27INVESTMENTS|BODIE,KANE,MARCUSInterest Rate Swap:Text Example28INVESTMENTS|BODIE,KANE,MARCUSThe Swap DealerDealer enters a swap with Company APays fixed rate and receives LIBORDealer enters another swap with Company B Pays LIBOR and receives a fixed rateWhen two swaps are combined,dealers position is effectively neutral on interest rates.29INVESTMENTS|BODIE,KANE,MARCUSFigure 23.6 Interest Rate Swap30INVESTMENTS|BODIE,KANE,MARCUSFigure 23.7 Interest Rate Futures31INVESTMENTS|BODIE,KANE,MARCUSSwaps are essentially a series of forward contracts.We need to find the level annuity,F*,with the same present value as the stream of annual cash flows that would be incurred in a sequence of forward rate agreements.Pricing on Swap Contracts32INVESTMENTS|BODIE,KANE,MARCUSFigure 23.8 Forward Contracts versus Swaps 33INVESTMENTS|BODIE,KANE,MARCUSCredit 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.34INVESTMENTS|BODIE,KANE,MARCUSCommodity Futures Pricing General principles that apply to stocks apply to commodities.HoweverCarrying costs are more for commodities.Spoilage is a concern.35INVESTMENTS|BODIE,KANE,MARCUSCommodity Futures PricingLet F0=futures price,P0=cash price of the asset,and C=Carrying cost 36INVESTMENTS|BODIE,KANE,MARCUSFutures PricingF0=P0(1+rf+c)is a parity relationship for commodities that are stored.The formula works great for an asset like gold,but not for electricity or agricultural goods which are impractical to stockpile.37INVESTMENTS|BODIE,KANE,MARCUSFigure 23.9 Typical Agricultural Price Pattern over the Season 38INVESTMENTS|BODIE,KANE,MARCUSExample 2.8 Commodity Futures PricingThe T-bill rate is 5%,the market risk premium is 8%,and the beta for orange juice is 0.117.Orange juice discount rate is 5%+.117(8%)=5.94%.Let the expected spot price in 6 months be$1.45.$1.45/(1.0594)0.5=$1.409=PV juiceF0/(1.05)0.5=0.976F0=PV futures0.976F0=$1.409F0=$1.44439