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Lecture International finance: An analytical approach (3/e): Chapter 9 - Imad A. Moosa

Chapter 9 - Currency futures and swaps. In this chapter, the learning objectives are: To describe futures contracts and show how they circumvent the problems of forward contracts, to compare forward and futures markets, to describe swaps and introduce some terminology,. | Chapter 9 Currency Futures and Swaps Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Objectives To describe futures contracts and show how they circumvent the problems of forward contracts To compare forward and futures markets To describe swaps and introduce some terminology 9- Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Definition Currency futures contracts represent an obligation of the seller to deliver a certain amount of a specified currency in the future at an exchange rate determined now 9- Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Problems of Forward Contracts Non-standard contract dimensions Default risk Lack of liquidity 9- Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Using a forward contract C A Forward contract JPY Goods B AUD JPY 9- Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Tendency to default on a forward contract A tends to default A B USD 1 million Forward rate = 1.80 AUD 1.8 million C Spot rate = 1.90 USD 1 million AUD 1.9 million 9- (cont.) Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Tendency to default on a forward contract (cont.) B tends to default USD 1 million Forward rate = 1.80 AUD 1.8 million Spot rate = 1.70 USD 1 million AUD 1.7 million A B C 9- (cont.) Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. . | Chapter 9 Currency Futures and Swaps Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Objectives To describe futures contracts and show how they circumvent the problems of forward contracts To compare forward and futures markets To describe swaps and introduce some terminology 9- Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Definition Currency futures contracts represent an obligation of the seller to deliver a certain amount of a specified currency in the future at an exchange rate determined now 9- Copyright 2010 McGraw-Hill Australia Pty Ltd PPTs t/a International Finance: An Analytical Approach 3e by Imad A. Moosa Slides prepared by Afaf Moosa Problems of Forward Contracts Non-standard contract dimensions Default risk Lack of liquidity 9- Copyright 2010 .