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International Financial Management by P G Apte Chapter 9 Presentation
Text of Currency & Interest Rate Futures
Day One 1 10 1 – Maintain A Daily Journal Sample
CURRENCY AND INTEREST RATE FUTURES
CURRENCY FUTURES A futures contract, like a forward contract is an agreement between two parties to exchange one asset for another, at a specified date in the future, at a rate of exchange specified up front. However, there are a number of significant differences. Major Features of Futures Contracts
Organized Exchanges not OTC markets. Standardization : Amount of asset, expiry dates, deliverable grades etc. Clearing House: A party to all contracts. Guarantees performance. Mitigates/Eliminates Credit Risk Daily mark-to-market and a system of margins. Actual delivery is rare.
Foreign Currency FuturesContract specifications are established by the exchange on which futures are traded.Major features that are standardized are:Contract sizeMethod of stating exchange ratesMaturity dateLast trading dayCollateral and maintenance marginsSettlementCommissionsUse of a clearinghouse as a counterparty
FUTURES CONTRACTSGlobal Futures Exchanges:
1)IMM: International Monetary Market2)LIFFE: London International Financial Futures Exchange3)CBOT: Chicago Board of Trade4) SIMEX: Singapore InternationalMonetary Exchange5)DTB: Deutsche Termin Bourse6)HKFE: Hong Kong Futures Exchange
FUTURES CONTRACTSB.Forward vs. Futures ContractsBasic differences: 1) Trading Locations 2) Regulation 3) Frequency of delivery 4) Size of contract 5) Transaction Costs 6) Quotes 7) Margins 8) Credit Risk
Vmware fusion 10 1 64gb. Delivery dateCustomizedStandardizedParticipantsBanks, brokers,Banks, brokers,MNCs. PublicMNCs. Qualifiedspeculation notpublic speculationencouraged.encouraged.SecurityCompensatingSmall securitydepositbank balances ordeposit required.credit lines needed.ClearingHandled byHandled byoperationindividual banksexchange& brokers.clearinghouse.Daily settlementsto market prices.Comparison of the Forward & Futures MarketsForward MarketsFutures MarketsContract sizeCustomizedStandardized
RegulationSelf-regulatingCommodityFutures TradingCommission,National FuturesAssociation.LiquidationMostly settled byMostly settled byactual delivery.offset.TransactionBanks bid/askNegotiatedCostsspread.brokerage fees.Comparison of the Forward & Futures MarketsForward MarketsFutures MarketsMarketplaceWorldwideCentral exchangetelephonefloor with worldwidenetworkcommunications.
FUTURES CONTRACTSAdvantages of Futures:1) Easy liquidation2) Well- organized and stable market.3) No credit risk
Disadvantages of Futures:1) Limited to a few currencies2) Limited dates of delivery3) Rigid contract sizes
FUTURES CONTRACTS ON IMMAvailable Futures Currencies/Contract Size:1) British pound / 62,5002) Canadian dollar /100,0003) Euro / 125,0004) Swiss franc / 125,0005) Japanese yen / 12.5 million6) Mexican peso / 500,0007) Australian dollar / 100,000
Exchange traded currency futures were launched in India on August 29, 2008. As of now only USD-INR contracts have been permitted with contract size of USD 1000 with monthly maturities upto twelve months. The contracts will be cash settled in INR. Contracts will expire on the last working day of the month. Quotations will be given in rupee terms.Unlike OTC forwards, no underlying exposure is required to trade in USD-INR futures. Individuals can also trade for purely speculative purposes. Margins will be calculated using a VAR framework.Contracts have started trading on NSE. Eventually, they will also be traded on MCX and BSE. Contracts between INR and other currencies will be introduced later based on perception of market interest.
FUTURES CONTRACTSTransaction costs:Commission payment to a floor trader; Brokerage, Bid-Offer SpreadsLeverage is highInitial margin required is relatively low (less than 2% of contract value).
FUTURES CONTRACTS: SAFEGUARDSMaximum price movements1) Contracts set to a daily price limit restricting maximum daily price movements.2) If limit is reached, a margin call may be necessary to maintain a minimum margin.
System of Margins
Initial margin : When position is opened Variation Margin: Settlement of daily gains and losses Maintenance Margin : Minimum balance in margin account. Balance falls below this, margin call issued. If not met, position liquidated. Regulators specify minimum margins between clearing members and clearinghouse. Margins at other levels negotiated Margins can be deposited in cash or specified securities such as T-bills. Interest on securities continues to accrue to owner. Margin is a performance bond. Levels of margins may be changed if volatility increases.
System of Margins With clearing house guarantee, buyer-seller need not worry about each others creditworthiness. Standardized contracts with margin system increase liquidity.Protects clearing house; enhances financial integrity of the exchange. Credit risk issues almost eliminated
CLEARING HOUSECLEARING MEMBER ACLEARING MEMBER BNON-CLEARING MEMBERCUSTOMERCUSTOMERNON-CLEARING MEMBERCUSTOMERCUSTOMER
TYPES OF ORDERS IN FUTURES MARKETS Market Orders : Execute at best available price Limit Orders: Sell above or buy below stated limits Market If Touched or MIT Orders: Become market orders if price touches a trigger Stop-Loss Orders : Sell if price falls below a limit; buy if it rises above a limit. Used to limit losses on existing positions Stop Limit Orders : Stop loss plus limit Time of Day Orders, Day Orders, Good Till Canceled(GTC) Orders Participants : Brokers, Floor Traders, Dual Traders, Futures Commission Merchants. Hedgers and speculators both participate.
Currency Futures Contract Specifications Exchange: IMM at Chicago Mercantile Exchange(CME)
British Pound Japan Yen Size: 625000 12,500,000 'Tick': $ 0002 per $0.000001 per (Per Contract) ($12.50) ($12.50)
Expiry Months: January, March, April, June, July, September, October, December, & Spot Month (Both GBP and JPY) Limit: NO LIMIT FOR THE FIRST 15 MINUTES OF TRADING. A schedule of expanding price limits will be in effect when the 15-minute period is ended. (Both GBP and JPY) Tick : Minimum size of price movement.
Contract Open High Low Settle Chg Op IntDec 09 1.1153 1.1189 1.1095 1.1146 -.0016 117663Mar 10 1.1140 1.1194 1.1109 1.1153 -.0017 107Jun 10 1.1120 1.1185 1.1120 1.1167 -.0018 9 PRICE QUOTES OCTOBER 1, 2009SOURCE : WALL STREET JOURNAL JAPANESE YEN (CME) USD PER 100 JPY Magic photo eraser 1 61.
Contract Open HighLow Settle Chg Op IntDec 09 1.6005 1.6024 1.5920 1.5946 -.0056 102389Mar 10 1.5992 1.6009 1.5923 1.5945 -.0056 97 BRITISH POUND (CME) OCTOBER 1, 2009SOURCE : WALL STREET JOURNAL
Contract Open High Low Settle Chg OP INT Dec 09 0.9658 0.96780.9571 0.9608 -.0052 45156 SWISS FRANC (CME) OCTOBER 1, 2009SOURCE : WALL STREET JOURNAL
CONTRACT OPEN HIGH LOW CLOSE OP.INT NOTIONAL VALUE
OCT 09 47.90 47.99 47.78 47.86 300000 522288.06
NOV 09 48.03 48.10 47.89 47.96 95700 139438.45
DEC 09 48.11 48.18 47.99 48.05 4800 1482.95
JAN 10 48.19 48.19 48.10 48.10 2000 15.01 USD/INR CONTRACT TRADED ON MCX-SX OCTOBER 1, 2009 QUOTESCONTRACT SIZE : USD 1000 TICK SIZE : Rs.0.25NOTIONAL VALUE: VALUE OF CONTRACTS TRADED RS.LAKHEXPIRY DATE: 2 BUSINESS DAYS BEFORE THE LAST WORKING DAY OF THE CONTRACT MONTHSource: BUSINESS STANDARD
MCX-SX USD/INR FUTURES, November 25, 2008
The MCX-SX INR December futures opened stronger and made a high of 49.96 on the back of overnight strength seen in US markets coupled with strong Asian markets in the morning. US rescue package of around $306 billion to Citigroup saw support being provided to stock markets.
One-month offshore Non-Deliverable Forward contracts were quoting at 50.62/77, weaker than the onshore spot rate, indicating the outlook for the currency continues to be bearish in the near term.
MCX-SX INR December futures towards the end of the session closed towards 50.33. Supports are at 50 followed by 49.7, while the resistances are seen around 50.60 followed by 50.95 levels. MCX-SX INR January futures closed towards 50.52 and registered a volume of 13.02cr and the open interest increased by 52.03% from the previous session.
Mumbai, Dec 2 The December futures contract today ended higher at 50.43 on the currency derivatives segment of the MCX Stock Exchange (MCX-SX).The December contract resumed lower due to sharp losses seen in Asian stock markets. Looses in the market would see more outflows of funds,