June利率-了解欧洲美元期货【英文】.

欧洲英文  时间:2021-05-06  阅读:()

INTEREST RATES

Understanding Eurodollar Futures

FEBRUARY 14,2013

John W.Labus zewski

Michael Kamradt

David Gibbs

Managing Director

Executive Dire ctor Directo r

Research&Product Development 312-466-7469 Interest Rate Products 312-466-

7473

Product Marketing 312-207-2591

CME Eurodollar futures have achieved remarkable success since their debut inDecember 1981.Much of this growth may directly be attributed to the fact thatEurodo llar futures represent fundamental building b lo cks o f the interest rate marketp lace.Indeed, they may be deployed in any number of ways to achieve diverse objectives.

This article is intended to provide an understanding regarding how and whyEurodollar futures may be used to achieve these diverse ends.We commence with somebackground on the fundamental nature of Eurodollar futures including a discussion ofpricing and arbitrage relationships.We move on to an explanation of how Eurodollarfutures may be used to take advantage of expectations regarding the changing shape ofthe yield curve or dynamic credit considerations.

Finally,we discuss the symbiotic relationshipbetween Eurodo llar futures and over-the-counter

(OTC interest rate swap s (IRS. In particular,Eurodo llar futures are o ften used toprice and to hedge interest rate swaps with good effect.

Pricing and Quotation

Eurodo llar futures are b ased on a$1 million face-value,3-month maturityEurodollar Time Deposit.They are settled in cash on the 2nd London bank business dayprior to the 3rd Wednesday of the contract month by reference to the British Banker’s

Association(BBA Interest Settlement Rate forthree-month Eurodollar Interbank Time Depo sits.

These contracts mature during the months o f March,June,Septemb er,or December,extending outward 10 years into the future.However, the exchange also offers“serial”contract months in the four nearby months that do not fall into the March quarterly cycle.See Table 1 below for contract specifications.

Where once trading was largely conducted on the floor of the exchange usingtraditional open outcry methods during re gular daylight hours–today, trading activity islargely conducted on the CME Globex®electronic trading platform on nearly an aroundthe clockbasis.

These contracts are quoted in terms of the“IMM index.”1 The IMM index is equalto 100 less the yield on the security.

=100.000−

E.g., if the yield equals 0.750%, the IMM index is quoted as 99.250.

=100.000−0.750%=99.250

Ifthe value of the futures contract should fluctuateby one basis point(0.01%, this equates to a$25.00 movement in the contract value.This maybe confirmed by calculated the basis point value

(BPV of a$1 million face value,90-day money market instrument into the followingformula.=#0.01%=$1,000,000#0.01%=$25.00

The minimum allowable price fluctuation,or“tick”size, is generally established at one-half ofone basis point,or 0.005%.Based on a$1 million face-value 90-day instrument, this equates to$12.50.However, in the nearbyexpiring contract month, the minimum price fluctuation is set at one-quarter basis point,or 0.0025%,equating to$6.25 per contract.

1

The IMM,or International Monetary Market,wasestablished as a division of the CME many years ago.

The distinction is seldom made today because CMEoperates as a unified entity,but re ferenc es to IMMpersist today.

500,000

1,000,000

1,500,0002,000,0002,500,0003,000,000

3,500,000

4,000,0002000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

Eurodo llar Average Daily Vo lume

Futures Options

As seen in Table 2 below,March 2014 Eurodollar futures advanced by 1.5 b asispoints on January 30,2013 to settle the day at a price of 99.49.Noting that each basispoint is worth$25 per contract based on a$1 million 90-day instrument, this implies anincrease in value of$37.50 for the day.

Shape ofYield Curve

Pricing patterns in the Eurodollar futures market are very much a reflection ormirror of conditions prevailing in the money markets and moving outward on the yieldcurve.But before we explain how Eurodollar futures pricing patterns are kept in lockstepwith the yield curve, let us consider that the shape of the yield curve may be interpretedas an indicator of the direction in which the market as a whole believes interest rates mayfluctuate.

Three fundamental theories are referenced to explain the shape ofthe yield curve–(1 the expectations hypothesis; (2 the liquidity hypothesis;and, (3 the segmentationhypothesis.

Let’s start with the assumption that the yield curve is flat. I.e., short-term andlonger-term interest rates are equivalent and investors are expressing no particularpreference for securities on the basis of maturity.The expectations hypothesis modifiesthis assumption with the supposition that rational investors may be expected to alter thecomposition of their fixed-income portfolios to reflect their beliefs with respect to thefuture direction o f interest rates.

Thus, investors move from long-term into short-term securities in anticipation ofrising rates and falling fixed-income security prices,noting that the value of long-terminstruments reacts more sharply to shifting rates than short-term instruments or by

moving from short-term into long-term securities in anticipation of falling rates and risingfixed-income prices.

Yields expected to rise Yield curve is steep

Yields expected to fall Yield curve is flat or inverted

In the process of shortening the maturity of one’s portfolio, investors bid up theprice of short-term securities and drive down the price of long-term securities.As a result,short-term yields decline and long-term yields rise- the yield curve steepens. In theprocess of extending maturities, the opposite occurs and the yield curve flattens or inverts.

2

The liquidity hypothesis modifies our initial assumption that investors may generallybe indifferent between short-and long-term investments in a stable rate environment.Rather,we must assume that investors generally prefer short-over long-term securities tothe extent that short-term securities roll over frequently,offering a measure of liquidityby virtue of the fact that one’s principal is redeemed at a relatively short-term maturityd ate.

As such, long-term securities must pay a liquidity premium to attract investment,and long-term yields typically exceed short-term yields,a natural upward bias to theshape of the curve.

Finally, the segmentation hypothesis suggests that investors may be less than fullycapable of modifying the composition oftheir portfolios quickly and efficiently in order

to take advantage of anticipated yield fluctuations. In particular, investors sometimes faceinternally or externally imposed constraints: the investment policies of a pension

2 Although these observations are generally true, they may not be absolutely true.

E.g., the Fed had been pushing short-term rates higher in early 2005 while longer-termrates remained relatively stable.As such, the yield curve was in the process of flatteningwhile many analysts still expected the Fed to continue tightening.

0%

1%

2%

3%

4%

5%

6%

3

-

Mth

6

-

Mth

1-

Yr

2-

Yr

3-

Yr

5

Yr

totyun:香港cn2 vps,5折优惠,$6/月,10Mbps带宽,不限流量,2G内存/2核/20g+50g

totyun,新公司,主要运作香港vps、日本vps业务,接入cn2网络,不限制流量!VPS基于KVM虚拟,采用系统盘和数据盘分离,从4G内存开始支持Windows系统...大家注意下,网络分“Premium China”、“Global”,由于站长尚未测试,所以也还不清楚情况,有喜欢吃螃蟹的尝试过不妨告诉下站长。官方网站:https://totyun.com一次性5折优惠码:X4QTYVNB3P...

Friendhosting,美国迈阿密机房新上线,全场45折特价优惠,100Mbps带宽不限流量,美国/荷兰/波兰/乌兰克/瑞士等可选,7.18欧元/半年

近日Friendhosting发布了最新的消息,新上线了美国迈阿密的云产品,之前的夏季优惠活动还在进行中,全场一次性45折优惠,最高可购买半年,超过半年优惠力度就不高了,Friendhosting商家的优势就是100Mbps带宽不限流量,有需要的朋友可以尝试一下。Friendhosting怎么样?Friendhosting服务器好不好?Friendhosting服务器值不值得购买?Friendho...

HostKvm四月优惠:VPS主机全场八折,香港/美国洛杉矶机房$5.2/月起

HostKvm是一家成立于2013年的国外主机服务商,主要提供基于KVM架构的VPS主机,可选数据中心包括日本、新加坡、韩国、美国、中国香港等多个地区机房,均为国内直连或优化线路,延迟较低,适合建站或者远程办公等。本月商家针对全场VPS主机提供8折优惠码,优惠后美国洛杉矶VPS月付5.2美元起。下面列出几款不同机房VPS主机产品配置信息。套餐:美国US-Plan0CPU:1cores内存:1GB硬...

欧洲英文为你推荐
thresholdaltoolsMax163University163桥面163present37win7关闭445端口如何快速关闭445端口iphone连不上wifi苹果手机“无法加入网络”怎么办itunes备份itunes备份是什么google图片搜索谁能教我怎么在手机用google的图片搜索啊!!!联通iphone4联通iphone4跟苹果的iphone4有什么不一样? 比如少了什么功能? 还是什么的?
空间域名 企业域名备案 hkbn directspace webhostingpad 免费主机 美国主机代购 主机屋免费空间 国外php空间 彩虹ip 免费ftp空间申请 北京双线 qq云端 重庆双线服务器托管 100mbps 1元域名 789 独立主机 php服务器 网页加速 更多