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TOPIC 6

FOREIGN CURRENCY
FUTURES MARKET

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 TOPIC OVERVIEW

• Introduction
• Contract specifications
• Futures contract daily settlement
• Hedging by Futures contract

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 CME EDUCATION
Sinh viên được yêu cầu truy cập vào trang giới thiệu về hợp đồng
futures theo đường link để tìm hiểu về Hợp đồng futures giao
dịch trên Chicago Mercantile Exchange (CME):

https://www.cmegroup.com/education/courses/introduction-to-
futures/definition-of-a-futures-contract.html

THỜI GIAN: 30 PHÚT

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 FUTURES MARKET
– First futures contract appeared in 1864
– There are many kind of futures contracts:
– commodity futures contract,
– foreign currency futures contract,
– LIBOR futures contract,
– T-Bill futures contract and
– futures contract on S&P’s 500 Stock Index…
– The two largest exchanges on which futures contracts trade are the
Chicago Board of Trade (CBOT) and the Chicago Mercantile Exchange
(CME)
– Many other exchanges throughout the world trade futures contracts:
LIFFE, SOFFEX, TIFFE, SIMEX...
 FUTURES CONTRACT
– A standardized contract for the purchase and sale of
financial instruments or physical commodities on a
futures exchange for future delivery. (CME group)
 FUTURES CONTRACT
– The contract size specifies the amount of the asset that has to be delivered under
one contract. Contract size for a contract vary from commodity to financial future.
– The price agreed to by the two traders on the floor of exchange is known as the
futures price. This price, like any other price, is determined by the laws of supply
and demand.
– A futures contract is refereed to by its delivery month. The exchange must specify
the precise period during the month when delivery can be made. The delivery
months vary from contract to contract.
– Traders charge commissions on futures contracts rather than using the bid-ask
spreads found in the forward market.
– Futures contract can be closed out with an offsetting trade.
– Profits and losses of futures contract are paid every day at the end of trading, it
called marking to market
 FUTURES CONTRACT
– Performance bond (Margin) requirement reduces risk for investor’ s future. The
initial margin shows how much money must be in the amount balance when the
contract is entered into.
– A Performance bond (margin) call is issued if the balance in the account falls
below the maintenance margin that new money must be added to the account
balance to bring it up to the initial margin.
– Daily settlement reduces default risk of futures contract relative to forward
contracts
– Everyday, futures investors must pay over any losses or receive any gains from
the day’s price movements. These gains or losses are generally added to or
subtracted from the investor’s margin account.
 AN EXAMPLE OF DAILY SETTLEMENT
WITH A FUTURES CONTRACT
• Sáng 03.4.2023, một nhà đầu tư mua một hợp đồng
futures về dầu thô kỳ hạn tháng 5.2023 trên thị trường
CME. Khối lượng 1.000 thùng/hợp đồng. Giá futures
của dầu thô kỳ hạn tháng 5.2023 là 50$/thùng. Ký
quỹ ban đầu là 6.100$, ký quỹ duy trì là 5.100$/HD.

https://www.cmegroup.com/education/courses/introduction-to-futures/calculating-
futures-contract-profit-or-loss.html

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 GIAO DỊCH VỚI HỢP ĐỒNG FUTURES

• MUA hợp đồng futures:

– Tại thời điểm Mua TSCS giá
– Đến thời điểm : giá tăng  lời: - )
giá giảm lỗ: - )
• BÁN hợp đồng futures:
– Tại thời điểm Bán TSCS giá
– Đến thời điểm : giá tăng  lỗ: )
giá giảm lời: )
 AN EXAMPLE OF DAILY SETTLEMENT WITH A
FUTURES CONTRACT
TIME MARKING TO MARKET BALANCE OF ACCOUNT

Sáng 03.04.2023 Nhà đầu tư MUA 1 hợp đồng futures về dầu thô, khối Ký quỹ ban đầu: 6.100$
lượng 1.000 thùng/HD, giá 50$/thùng

Chiều 10.4.2023 Giá furures về dầu thô tăng lên 50,5$/thùng, NDT lời: NDT nhận trên TK: 500$, Cán cân trên TK= 6.600$
(50,5$ - 50$) 1.000 thùng = 500$. Giá mới của HD là
50,5$/thùng
Chiều 19.4.2023 Giá furures về dầu thô tăng lên 52$/thùng, NDT lời: (52$ - NDT nhận trên TK: 1.500$, Cán cân trên TK=
50,5$) 1.000 thùng = 1.500$. Giá mới của HD là 52$/thùng 8.100$

Chiều 08.5.2023 Giá furures về dầu thô giảm 51$/thùng, NDT lỗ: (52$ - NDT thanh toán trên TK: 1.000$, Cán cân trên TK=
51$) 1.000 thùng = 1.000$. Giá mới của HD là 51$/thùng 7.100$

Chiều 15.5.2023 Giá furures về dầu thô là 51,1$/thùng, NDT lời: (51,1$ - NDT nhận trên TK: 100$, Cán cân trên TK= 7.200$
51$) 1.000 thùng = 100$. Giá mới của HD là 51,1$/thùng

+NDT đóng trạng thái HD, với giá 51,1$/thùng NDT lời: 7.200 – 6.100 = 1.100$

Physical Delivery NDT thực hiện HD, mua dầu thô với giá 51,1$/thùng theo Cân đối: giá thực mua: 51,1$ - 1,1$ = 50$/thùng
17.5.2023 giá thị trường ở thời điểm thực hiện
 AN EXAMPLE OF DAILY SETTLEMENT
WITH A FUTURES CONTRACT
• Sáng 17.7.2023, một nhà đầu tư bán một hợp đồng futures về
dầu thô kỳ hạn tháng 8.2023 trên thị trường CME. Khối lượng
1.000 thùng/hợp đồng. Giá futures của dầu thô kỳ hạn tháng
8.2023 là 70$/thùng. Ký quỹ ban đầu là 6.100$, ký quỹ duy trì
là 5.100$/HD dầu thô.

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 AN EXAMPLE OF DAILY SETTLEMENT WITH A
FUTURES CONTRACT

TIME MARKING TO MARKET BALANCE OF ACCOUNT

Sáng 17.7.2023 Nhà đầu tư BÁN 1 HD futures về dầu thô, KL: 1000 thùng, giá Ký quỹ ban đầu 6.100$
70$/thùng
Chiều 25.7.2023 Giá futures về dầu thô tăng lên 70,3$/thùng.

Chiều 01.8.2023 Giá futures về dầu thô tăng lên 71.3$/thùng.

Chiều 07.8.2023 Giá futures về dầu thô giảm xuống 70,7$/thùng.

Chiều 14.8.2023 Giá futures về dầu thô giảm xuống 70.6$/thùng.

NDT Đóng trạng thái hợp đồng

Physical Delivery NDT thực hiện hợp đồng

16.8.2023
FUTURES CONTRACT VS FORWARD CONTRACT
HEDGER OR SPECULATOR - FUTURES CONTRACTS

The hedger buys futures contracts because he wants to PROTECT himself

from price swings in the future. By using futures to lock in a future price for a
product, he makes his costs – and his profits – more predictable. In other
words, he trades futures to drive risk out of his business.

The speculator ACCEPTS price risk in pursuit of profit. Speculators have no

interest in owning the product being traded, but they are interested in the
contracts for those products. Think of it like investing – buying and selling
futures contracts in order to make a profit when prices move in the right
direction.
https://www.futuresfundamentals.org/explore-the-marketplace/the-wide-world-of-futures-
traders/
 HEDGING VỚI HỢP ĐỒNG FUTURES

• Dự báo giá lên, MUA hợp đồng futures:

– Tại thời điểm Mua TSCS giá
– Đến thời điểm : giá tăng  lời: - )
giá giảm lỗ: - )
• Dự báo giá xuống, BÁN hợp đồng futures:
– Tại thời điểm TSCS giá
– Đến thời điểm : giá tăng  lỗ: )
giá giảm lời: )
 HEDGING USING FUTURES
1. In June. 2022, Company A, based in the US, knows that it will have to
pay £1 millions in Sept. 2022. for goods it has purchased from a British
supplier. The current exchange rate is $1.3220, and Sept. 2022 futures price
for CME contracts on £ is $1.3860
Solution:
– Company A could hedge its foreign exchange risk by taking a long position
in £1 million worth of Sept. futures contracts. Total of 16 contracts would
have to be purchased.
2. Company B, based in the US, export goods to UK and in June. 2022
knows that it will receive £2 millions in Aug. 2022. The current exchange
rate is $1.3120, and Aug. futures price for CME contracts on £ is $1.3150
Solution:
– Company B could hedge its foreign exchange risk by taking a short position
in £2 million worth of Aug. futures contracts. Total of 32 contracts would
have to be purchased.
1. In June. 2022, Company A, based in the US, knows that it will have to
pay £1 millions in Sept. 2022. for goods it has purchased from a British
supplier. The current exchange rate is $1.3220, and Sept. 2022 futures
price for CME contracts on £ is $1.3860

Giả sử yết giá trên các thị trường ở thời điểm (thời điểm thanh toán)
như sau:
: = 1.3250$/£. = 1.3990$/£. Giá thực mua £?
 1. In June. 2022, Company A, based in the US, knows that it will have to
pay £1 millions in Sept. 2022. for goods it has purchased from a British
supplier. The current exchange rate is $1.3220, and Sept. 2022 futures
price for CME contracts on £ is $1.3860

Giả sử yết giá trên các thị trường ở thời điểm (thời điểm thanh toán)
như sau:
: = 1.3250$/£. = 1.3990$/£. Giá thực mua £?

Spot market Futures market

: = 1.3220$/£. = 1.3860$/£.

: = 1.3250$/£. = 1.3990$/£. 0.0130$/£

Giá thực mua: 1.3250$/£ - 0.0130 = 1.3120$/£

1. In June. 2022, Company A, based in the US, knows that it will have to
pay £1 millions in Sept. 2022. for goods it has purchased from a British
supplier. The current exchange rate is $1.3220, and Sept. 2022 futures
price for CME contracts on £ is $1.3860

Giả sử yết giá trên các thị trường ở thời điểm (thời điểm thanh toán)
như sau:
: = 1.3150$/£. = 1.3800$/£. Giá thực mua £?
 1. In June. 2022, Company A, based in the US, knows that it will have to
pay £1 millions in Sept. 2022. for goods it has purchased from a British
supplier. The current exchange rate is $1.3220, and Sept. 2022 futures
price for CME contracts on £ is $1.3860

Giả sử yết giá trên các thị trường ở thời điểm (thời điểm thanh toán)
như sau:
: = 1.3150$/£. = 1.3800$/£. Giá thực mua £?

Spot market Futures market

: = 1.3220$/£. = 1.3860$/£.

: = 1.3150$/£. = 1.3800$/£. -0.006$/£

Giá thực mua: 1.3150$/£ + 0.006 = 1.3210$/£

 INCLASS EXERCISE

A company enters into a short futures contract to sell 5,000

bushels of wheat for 250 cent per bushel. The initial margin
is $3,000 and the maintenance margin is $2,000. What price
change would lead to a margin call? Under what
circumstances could $1,500 be withdraw from the margin
account?