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1、利率衍生产品简介(Introductionofinterestratederivatives)1.1introductionofinterestratederivativesTheemergenceanddevelopmentof1.1.1interestratederivativesSince1970s,interestrateshavebecomemoreandmoreuncertainty,sothatmoreandmoreFinancialinstitutionsarereluctanttocommittolong-terminterestrates.Interestratesros
2、esharplybetween1973and1974Withvolatility,lendersbegantousefloatinginterestrates.By1980s,floatingrateshadbeenwidelyacceptedUsedinthefieldoflending,whichresultsinbettercontrolofinterestrateexposuresbylenders,butatthesametimeTherateriskisthenpassedontothedebitside.Thus,thefinancialinstrumentsthatcanef
3、fectivelycontroltheinterestrateriskbeginProduce.Andwaswelcomedinthemarket.Futuresweretheearliestfinancialinstrumentsintroducedtohelpcompaniescontrolinterestrates.DollarbasedInterestratefuturescontractswereoriginallymadeatChicago,Board,of,Trade(CBOT)andChicagoMercantileExchange(CME)isintroduced.By19
4、80s,Britain,Japan,Canada,australia,France,GermanyandothercountriesandChina'sHongkongregionhaveintroducedtheirowninterestratefutures.FuturestradeIthastakentheleadintheinterestrateriskmanagementproducts.Finally,banksarestartingtooffersimilarFinancialinstrument.Amongthem,interestrateswapsfirstappeared
5、in1982,andinthebeginningof1983therewasalong-termprofitRateagreement(FRAs).Likeforeignexchangemarkets,optionsarequicklyintroducedintointerestrateproducts.BasedonperiodTheoptioncontracttransactionofthegoodswasintroducedinCBOTandCME.In1983,thebanktradedatthecounter(over-the-counter,shortformOTC)introd
6、ucedinterestrateoptions,includingtheceilingofinterestrates(CAP)lowerinterestrate(floor)andinterestratedoublelimit(collar).Althoughinterestratederivativesarelaterthanforeignexchangederivatives,investorsarehedgingtheirinterestratesThedemandforriskisstrong,andthemarketshareinderivativeproductsisincrea
7、singyearbyyear.accordingtoOfficeComptrolleroftheCurrency(OCC)derivativesreportforthethirdquarterof2003,Thenominaltotalofinterestratederivativescontractsinthequarteraccountedforthenominaltotalofallderivative