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interest rate will apply to a certain notional loan or deposit during a specified future period of time.
If there is a difference between these rates a discounted cash settlement based on this difference is
made.
If on the agreed date (fixing date) the FRA rate differs from the current market rate (reference rate), a
settlement payment depending on the difference must be paid by one of the contractors.
The principal is not exchanged and there is no obligation by either party to borrow or lend capital.
By enabling market participants to trade today at an interest rate that will be effective at some point
in the future, FRAs allow them to hedge their interest rate exposure on future engagements.
Concretely, the buyer of the FRA, who locks in a borrowing rate, will be protected against a rise in
interest rates and the seller, who obtains a fixed lending rate, will be protected against a fall in
interest rates. If the interest rates neither fall nor rise, nobody will benefit
Forward Rate Agreements (FRAs)
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Only the difference in interest rates is paid. The principal is not exchanged.
t1 t2
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origination date
Loan period
settlement date, or delivery end of forward period
date
FRA terminology
Maturity date: The date on which the notional loan or deposit expires.
Contract period: The time between the settlement date and maturity date.
Settlement date: The date on which the notional loan or deposit of funds becomes effective, that is, is said to begin
Fixing date- This is the date on which the reference rate is determined, that is, the rate to which the FRA rate is
compared.
FRA buyer- By convention, the buyer of an FRA is the contracting party that borrows at the FRA rate (contract
rate).
FRA seller- By convention, the seller of an FRA is the contracting party that lends at the FRA rate (contract rate).
FRA terminology
The spot date is usually two business days after the trade date, however it can by agreement be sooner or later
than this. The settlement date will be the time period after the spot date referred to by the FRA terms:for example
a 1×4 FRA will have a settlement date one calendar month after the spot date. The fixing date is usually two
business days before the settlement date. The settlement sum is paid on the settlement date, and as it refers to an
amount over a period of time that is paid up front (i.e., at the start of the contract period), the calculated sum is a
discounted present value. This is because a normal payment of interest on a loan/deposit is paid at the end of the
time period to which it relates; because an FRA makes this payment at the start of the relevant period, the
settlement amount is a discounted present value sum. With most FRA trades, the reference rate is the LIBOR
setting on the fixing date.
Settlement Amount of an
Forward Rate Agreements (FRAs)
The interest differential is the result of the comparison between the FRA rate
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The settlement amount is paid upfront (at the start of the contract period),
whereas interbank rates like LIBOR are for operations with interest
payment at the end of the loan period. To account for this, the interest
differential needs to be discounted, using the settlement rate as a discount
rate. The settlement amount is thus calculated as the present value of the
interest differential: Settlement amount = Interest differential / [1 +
Settlement rate × (Days in contract period ⁄ 360)]
If the settlement rate is higher than the contract rate, then it is the FRA
seller who has to pay the settlement amount to the buyer. If the contract rate
is higher than the settlement rate, then it is the FRA buyer who has to pay
the settlement amount to the seller. If contract rate and settlement rate are
equal, then no payment is made.
Notation and quoting of FRAs
The format in which FRAs are noted is the term to settlement date and term to maturity date, both expressed in
months and usually separated by the letter "x".
Examples:
2x6 - An FRA having a 2-month waiting period (forward) and a 4 month contract period.
6x12 - An FRA having a 6-month waiting period (forward) and a 6 month contract period.
FRA are quoted with the FRA rate. Thus, if an FRA 2x8 in US dollars quotes at 1.50%, and a future borrower
anticipates the 6-month USD Libor rate in two months being higher than 1.50%, he should buy an FRA.
FRA “Jargon”
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Two numbers define all FRAs; the first represents how many months forward the exposure will commence, and the
second represents how many months forward the exposure will expire.
For example, a FRA commencing three months from now and expiring six months after commencement would be
described as a 3 x 9 (pronounced "Threes Nines") FRA. Likewise a 1 x 4 (pronounced "Ones Fours") FRA is a FRA
commencing in one month and expiring in three months time
Example of an FRA
A corporation learns that it will need to borrow 1 000 000 $ in six months' time for a 6-month period.
The interest rate at which it can borrow today is 6-month LIBOR. Let us further assume that the 6-
month LIBOR currently is at 0.89465%, but the company’s treasurer thinks it might rise as high as
1.30% over the forthcoming months.
The treasurer choses to buy a 6x12 FRA in order to cover the period of 6 months starting 6 months
from now. He receives a quote of 0.95450% from his bank and buys the FRA for a notional of 1 000 000
$ on April 10th.
On the fixing date (October 10th, 2016), the 6-month LIBOR fixes at 1.26222%, which is the
A corporation learns that it will need to borrow 1 000 000 $ in six months' time for a 6-month period. The interest rate at
which it can borrow today is 6-month LIBOR. Let us further assume that the 6-month LIBOR currently is at 0.89465%, but
the company’s treasurer thinks it might rise as high as 1.30% over the forthcoming months.
The treasurer choses to buy a 6x12 FRA in order to cover the period of 6 months starting 6 months from now. He receives a
quote of 0.95450% from his bank and buys the FRA for a notional of 1 000 000 $ on April 10th.
On the fixing date (October 10th, 2016), the 6-month LIBOR fixes at 1.26222, which is the settlement rate applicable for
the company's FRA.
Interest differential = (1.26222% − 0.95450%) × (182/360) × 1 000 000 $ = 1 555.70 $
Discounted at 1.26222% to the settlement date, the settlement amount the company will receive is:
= 1 555.70 $ / [1 + 1.26222% × (182 ⁄ 360)] = 1 545.83 $
As anticipated by the treasurer, the 6-month LIBOR rose during the 6-month waiting period, hence the
company will receive the settlement amount from the FRA seller.
An Example of an FRA
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A firm sells a 5X8 FRA, with a NP of $300MM, and a contract rate of 5.8% (3-mo. forward LIBOR).
On the settlement date (five months hence), 3 mo. spot LIBOR is 5.1%.
There are 91 days in the contract period (8-5=3 months), and a year is defined to be 360 days.
By market participants who wish to hedge against future interest rate risks by setting the future interest rate
today (Hedging).
By market participants who want to make profits based on their expectations on the future development of
By market participants who try to take advantage of the different prices of FRAs and other financial
FRAs are a useful tool for managing interest rate exposures on a short-term basis. However, they do not address
Interest Rate Swaps (Swaps) are just one tool that can be used to modify longer-term exposures
FRAs are over-the-counter (OTC) products and are available for a variety of periods: starting from a few days
to terms of several years. In practice, however, the FRA-market for 1-year FRAs offers the highest liquidity
and is therefore also regarded as a money-market instrument.
The FRA is not an obligation to borrow or lend any capital in the future. At settlement date, the principal just
serves as the basis to calculate the difference between the two interest rates, or rather the settlement
payment that results from this difference.
Futures
Introduction
Settled daily
Specification of a futures contract
1. Quantity
2. Quality
3. Expiration months
4. Delivery terms
5. Delivery dates
6. Minimum price fluctuation
7. Daily price limits
8. Trading days and hours
CBOT Wheat Futures Contract
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Quantity: 5,000 bushels per contract.
Delivery Terms: Wheat must be delivered at a “regular” or approved warehouse (e.g., warehouses located
Chicago Switching District).
Payment: Seller received payment and delivers a warehouse receipt to the buyer.
Daily Price Limit: Trading price on a given day cannot differ from the preceding day's closing price by more
than 30 cents/bushel ($1,500/contract).
Trading Days: Wheat trades from 9:30 a.m. to 1:15 p.m. Chicago time.
Contract Details in India
A futures contract is specified in terms of the underlying and the expiry date.
A futures contract can be bought or sold on the exchange, as orders placed by buyers and sellers on the electronic
trading screen are matched.
The price of the futures contract moves based on trades, just as it does in the cash or spot market for stocks.
The contracts expire on the last Thursday of every calendar month. At any time there would be three contracts
available to trade:
The NEAR month contract expiring on the last Thursday of the current month.
The NEXT month contract expiring on the last Thursday of the next month.
The FAR month contract expiring on the last Thursday of the third month.
If the Thursday of a month is a trading holiday for the exchange where the contract is traded, it expires on the
previous trading day.
Futures Market in India
A futures contract is a forward contract, which is traded on an Exchange. NSE commenced trading in
futures on individual securities on November 9, 2001. The futures contracts are available on 175
securities stipulated by the Securities & Exchange Board of India (SEBI).
Indices- Nifty 50, Nifty IT, Nifty Bank
Stock Futures
The price of a futures contract (FP) will be equal to the spot price (SP) plus the net cost incurred in carrying the
asset till the maturity date of the futures contract.
FP = SP + (Carry Cost – Carry Return)
Here Carry Cost refers to the cost of holding the asset till the futures contract matures. This could include
storage cost, interest paid to acquire and hold the asset, financing costs etc. Carry Return refers to any income
derived from the asset while holding it like dividends, bonuses etc. While calculating the futures price of an
index, the Carry Return refers to the average returns given by the index during the holding period in the cash
market. A net of these two is called the net cost of carry.
Example:
Spot Price of Infosys = 1600, Interest Rate = 7% p.a. Futures Price of 1 month contract=1600 +
1600*0.07*30/365 = 1600 + 11.51 = 1611.51
Opportunities offered by Stock Futures
Stock futures offer a variety of usages to the investors. Some of the key usages are mentioned below:
Investors can take long term view on the underlying stock using stock futures.
Stock futures offer high leverage. This means that one can take large position with less capital. For example,
paying 20% initial margin one can take position for 100 i.e. 5 times the cash outflow.
Futures may look overpriced or underpriced compared to the spot and can offer opportunities to arbitrage
or earn risk-less profit. Single stock futures offer arbitrage opportunity between stock futures and the
underlying cash market. It also provides arbitrage opportunity between synthetic futures (created through
options) and single stock futures.
When used efficiently, single-stock futures can be an effective risk management tool. For instance, an
investor with position in cash segment can minimize either market risk or price risk of the underlying stock
by taking reverse position in an appropriate futures contract.
Interest Rate Futures
An Interest Rate Futures contract is "an agreement to buy or sell a debt instrument at a specified future date at a
price that is fixed today." The underlying security for Interest Rate Futures is either Government Bond or T-Bill.
Exchange traded Interest Rate Futures on NSE are standardized contracts based on 6 year, 10 year and 13 year
Government of India Security (NBF II) and 91-day Government of India Treasury Bill (91DTB). All futures
contracts available for trading on NSE are cash settled.
Short term interest rate Futures
The underlying assets in STIR futures are interest rates and has an underlying security that matures in less than
1 year . These interest rates refer to near-term money market interest rates which are comprised of the unsecured
inter-bank deposits markets (also known as the depo market). From these money markets comes the daily fixing of
London Inter-Bank Offered Rate (LIBOR), or its European equivalent: European Inter-Bank Offered Rate
(EURIBOR). These are the reference rates that are used to settle STIR futures on expiry.
Buyers and sellers can be banks, corporate treasurers or speculative traders such as hedge funds, proprietary groups or
individuals, formerly called locals but now known as liquidity providers (LP). These speculative traders attempt to make
money from price action, whereas banks and treasurers tend to use the markets as hedging tools to risk manage other
interest rate exposures
Contract structure and general specifications
The selling and buying of STIR futures represents a notional borrowing or lending from the money markets. They
confer the borrowing or lending at a rate determined by the price at which the future was transacted, for a period
of three months after the expiry and settlement of the contract, effectively a forward interest rate.
They are notional in the sense that they are cash settled and so a holding of STIR futures is not used to physically
lend or borrow money from the markets. Instead, this notional value or unit of trading, usually a denomination of
one million, is used as a proxy. The futures will mirror movements in the underlying market and provide a
representative profit and loss.
Each STIR future has a finite life and trades on a quarterly expiration cycle: March, June, September and
December. STIR futures trade as a quote of 100% minus the interest rate. For example, if interest rates were 4.50
%, the futures would be quoted as 95.500.
Settlement Mechanism-India
Settlement Price
a. NSE Bond Futures II (NBF II)
The daily settlement price (DSP) would be determined in the following manner:
Step 1:
The DSP is the volume weighted average Futures Price (VWAP) of the trades in the
last 30 minute of trading.
Step 2:
If the DSP cannot be calculated as above, a theoretical settlement rate would be used.
theoretical settlement rate of the contract is calculated as per the below formula.
Theoretical Future price = Cash price + Financing cost - Income on cash position
where
Cash price = Clean Price + Accrued Interest
Settlement Mechanism-India
A commodity futures contract is an agreement to buy or sell a specific amount of a commodity at a fixed date in the future
at a predetermined price. This contract specifies further details, like the quality of the commodity and the delivery location.
An investor could take a long position (where he buys a contract) or a short position (where he sells it). If the investor
expects the price of a commodity to rise, he takes a long position. If he expects the price to fall, he opts for the short
position.
These contracts allow buyers of commodities to avoid the risks associated with price fluctuations of products or raw
materials. For example, a manufacturer of steel instruments may buy a contract for protection against rising steel prices.
The sellers of commodities enter into contracts to lock in a price for their products. For example, an oil company may take a
contract to guard against a fall in oil prices in future.
Other players—like funds, arbitrageurs, and retail investors—use futures contracts to gain from price movements.
The prices of commodities change on a weekly or even daily basis. When the price of a commodity rises, the buyer of the
futures contract makes money. The buyer gets the product at the lower, agreed-upon price. He can now sell it at the higher
current market price. If the price falls, the seller of the futures contract makes money. The seller buys the commodity at the
current lower market price. He then sells it to the futures buyer at the higher, agreed-upon price.
What are Commodities Futures Contracts
In futures markets, buyers and sellers trade a commodity based on a standardised contract. You do not have to
compulsorily make or accept deliveries of physical goods here. Trade in futures contracts happens electronically
and the contracts can be settled in cash.
Large numbers of buyers and sellers with diverse risk profiles (hedgers, speculators, and arbitrageurs)
In India, trade in commodity futures takes place on exchanges. Some well-known exchanges are the National
Commodity and Derivatives Exchange (NCDEX) and the Multi Commodity Exchange of India (MCX).
When an investor buys commodity futures, he does not have to pay the full price of the contract. The investor
simply has to deposit a percentage of the contract as margin with the broker. The commodities trading exchange
determines the margin amount. It is typically 5–10% of the contract value.
Example :
An investor decides to buy 500 grams of silver futures for a certain price. He has to pay a certain amount as the
margin. This margin amount is much lower than the actual price for 500 grams of silver.
If the price of silver increases by Rs 3,000, then Rs 3,000 is credited to his account. If the price of silver falls by Rs
500, then Rs 500 is debited from his account.
Once the investor feels that the amount gained will not change further, he may choose to sell the futures.
Features of commodity futures
Organised : Commodity futures contracts always trade on an organised exchange. NCDEX and MCX are examples
of exchanges in India. NYMEX, LME, and COMEX are some international exchanges.
Standardised : Commodity futures contracts are highly standardised. This means the quality, quantity, and
delivery date of commodities is predetermined by the exchange on which they are traded.
Eliminate counter-party risk : Commodity futures exchanges use clearinghouses to guarantee fulfilment of the
terms of the futures contract. This eliminates the risk of default by the other party.
Facilitate margin trading : Commodity futures traders do not have to pay the entire value of a contract. They need
to deposit a margin that is 5–10% of the contract value. This allows the investor to take larger positions while
investing less capital..
Fair practices : Government agencies regulate futures markets closely. For example, there is the Forward Markets
Commission (FMC) in India and the Commodity Futures Trading Commission (CFTC) in the Unites States. The
regulation ensures fair practices in these markets.
Physical delivery : The actual delivery of the commodity can take place on expiry of the contract. For physical
delivery, the member needs to provide the exchange with prior delivery information. He also needs to complete all
delivery-related formalities as specified by the exchange.
Currency Future
A currency future, also known as FX future, is a futures contract to exchange one currency for another at a
specified date in the future at a price (exchange rate) that is fixed on the purchase date. On NSE the price of a
future contract is in terms of INR per unit of other currency e.g. US Dollars. Currency future contracts allow
investors to hedge against foreign exchange risk. Currency Derivatives are available on four currency pairs viz. US
Dollars (USD), Euro (EUR), Great Britain Pound (GBP) and Japanese Yen (JPY). Cross Currency Futures &
Options contracts on EUR-USD, GBP-USD and USD-JPY are also available for trading in Currency Derivatives
segment. Currency derivatives are offered by the National Stock Exchange (NSE) and Multi-Commodities
Exchange (MCX-SX)
How do currency futures work?
Suppose you are importing articles from the US for Rs 6 lakh on a 90-day credit when the rupee is trading
60 to a dollar. You have to pay $10,000 after three months. Let’s assume the rupee depreciates to Rs 65 to a
dollar at the end of three months. In that case, you will have to pay Rs 50,000 more. This is where currency
futures help. You could buy 10, three months’ futures contracts at the rate of Rs 60 per dollar. If the
exchange rate rises to Rs 65 after three months (when payment is due), you would make a profit of Rs 5 per
dollar or Rs 50,000. You need to decide on the currency pair (e.g.,dollar-rupee), contract validity (e.g.,two
months) and number of lots (e.g., if you are looking at $10,000, you need to buy 10 lots), before placing an
order. Unit of trading: 1 - 1 unit denotes 1000 USD
TYPES OF MARGIN
1. Initial Margin
2. Maintenance Margin
When margin reaches a minimum maintenance level, the trader is required to bring the
margin back to its initial level. The maintenance margin is generally about 75% of the initial
margin.
3. Variation Margin
A trader buys two July futures contracts on frozen orange juice. Each
contract is for the delivery of 15,000 pounds. The current futures price
is 160 cents per pound, the initial margin is $6,000 per contract, and
the maintenance margin is $4,500 per contract. What price change
would lead to a margin call?
Short Selling
You short 500 shares when the price is $120 and close out the short
position three months later when the price is $100. During the three
months a dividend of $1 per share is paid
What is your profit?
What would be your loss if you had bought 500 shares?
Short Hedge
The short hedge involves taking up a short futures position while owning the underlying product or
commodity to be delivered. Should the underlying commodity price fall, the gain in the value of the
short futures position will be able to offset the drop in revenue from the sale of the underlying.
Consider an example using crude oil. An inventory of 1,000 barrels of crude oil constantly changes in
value from wellhead to consumer, even before it is processed into gasoline or heating oil. A short
hedge is used by the owner of a commodity to essentially lock in the value of the inventory prior to
the transferring of title to a buyer. A decline in prices generates profits in the futures market on the
short hedge. These profits are offset by depreciation in the inventory value.
Long Hedge
The long hedge is a hedging strategy used by manufacturers and producers to lock in the price of a product or
commodity to be purchased some time in the future
The long hedge involves taking up a long futures position. Should the underlying commodity price rise, the
gain in the value of the long futures position will be able to offset the increase in purchasing costs.
Stock Index Arbitrage
The index arbitrage strategy attempts to profit from the differences between actual and theoretical prices of a stock
market index. This is done by simultaneously buying, or selling, a stock index futures contract while selling, or
buying, the stocks in that index.
Numericals
Contango Vs. Normal Backwardation
Contango is when the futures price is above the expected future spot
price. Because the futures price must converge on the expected future
spot price, contango implies that futures prices are falling over time as
new information brings them into line with the expected future spot
price.
Asset Allocation
Yield Enhancement
Modifying Systematic Risk
Futures as a substitute for indexing
Hedging
Hedging Using Index Futures
50
As a hedging vehicle, FRAs are similar to short-term interest rate futures (STIRs). There are however a couple of
distinctions that set them apart.
•FRAs are not traded on an organized exchange but are over-the-counter instruments.
•Although FRAs have fairly standardized contract provisions, they are not fully standardized the way futures
contracts are.
•When entering into an FRA, both parties to the contract entail credit risk exposure, because they face each other
directly. Futures on the other hand do not bear credit risk exposure, because they are transacted through an
exchange where each counterparty is facing the exchange.
•FRAs have the advantage that they can be traded for any maturity date. Futures, which are traded on exchanges,
only mature on specific dates each year
Options
• A derivative instrument that gives market participants the right to purchase or sell a
currency (or currency futures) but does not involve an obligation to do the same is called
options.
• If the underlying asset is a currency, it is known as a currency option, and if the underlying
is currency futures, it is a currency futures option.
• An option to buy an underlying asset is known as call option, and the option to sell an
underlying asset is called put option.
• The option purchaser is called the option buyer, and the option seller is called the option
writer. The price at which the option allows the buyer to buy the asset is called exercise
price or strike price.
Call Option Example
CALL OPTION Current Price = Rs.250
Premium = Right to buy 100
Rs.25/share
Reliance shares at Strike Price
Amt to buy Call a price of Rs.300
option = Rs.2500 per share after 3
months. Expiry
date
Suppose after a month,
Market price is Rs.400, then Suppose after a month, market
the option is exercised i.e. price is Rs.200, then the option is
the shares are bought. not exercised.
Net gain = 40,000-30,000- Net Loss = Premium amt
2500 = Rs.7500 = Rs.2500
Put Option Example
PUT OPTION Current Price = Rs.250
Premium = Right to sell 100
Rs.25/share
Reliance shares at Strike Price
Amt to buy Call a price of Rs.300
option = Rs.2500 per share after 3
months. Expiry
date
Suppose after a month,
Market price is Rs.200, then Suppose after a month, market
the option is exercised i.e. price is Rs.300, then the option is
the shares are sold. not exercised.
Net gain = 30,000-20,000- Net Loss = Premium amt
2500 = Rs.7500 = Rs.2500
Options Trading Strategies
Suppose XYZ stock is trading at $40 in June. An options trader executes a long call butterfly by purchasing
a JUL 30 call for $1100, writing two JUL 40 calls for $400 each and purchasing another JUL 50 call for
$100. On expiration in July, XYZ stock is still trading at $40 and JUL 30 call has an intrinsic value of $1000.
Calculate net profit/loss?
Butterfly Spread Example
Suppose XYZ stock is trading at $40 in June. An options trader executes a long call butterfly by purchasing
a JUL 30 call for $1100, writing two JUL 40 calls for $400 each and purchasing another JUL 50 call for
$100. The net debit taken to enter the position is $400, which is also his maximum possible loss.
On expiration in July, XYZ stock is still trading at $40. The JUL 40 calls and the JUL 50 call expire
worthless while the JUL 30 call still has an intrinsic value (stock price less the strike price) of $1000.
Subtracting the initial debit of $400, the resulting profit is $600, which is also the maximum profit
attainable.
Maximum loss results when the stock is trading below $30 or above $50. At $30, all the options expires
worthless. Above $50, any "profit" from the two long calls will be neutralised by the "loss" from the two short
calls. In both situations, the butterfly trader suffers maximum loss which is the initial debit taken to enter
the trade
Long butterfly spread with puts
A long butterfly spread with puts is a three-part strategy that is created by buying one put at a higher strike price,
selling two puts with a lower strike price and buying one put with an even lower strike price.
All puts have the same expiration date, and the strike prices are equidistant. In the example one 105 Put is
purchased, two 100 Puts are sold and one 95 Put is purchased. This strategy is established for a net debit, and both
the profit potential and risk are limited.
The maximum profit is equal to the difference between the highest and center strike prices less the net cost of the
position including commissions
Profit/Loss diagram and table: long butterfly spread with puts
Suppose XYZ stock is trading at $45 in June. An options trader enters a condor trade by
buying a JUL 35 call for $1100, writing a JUL 40 call for $700, writing another JUL 50
call for $200 and buying another JUL 55 call for $100.
What happens when the stock price falls to $35 or rise to $55 or $45 on expiration.
Condor Options
Suppose XYZ stock is trading at $45 in June. An options trader enters a condor trade by buying a JUL 35 call for
$1100, writing a JUL 40 call for $700, writing another JUL 50 call for $200 and buying another JUL 55 call for
$100. The net debit required to enter the trade is $300, which is also his maximum possible loss.
To further see why $300 is the maximum possible loss, lets examine what happens when the stock price falls to $35
or rise to $55 on expiration.
At $35, all the options expire worthless, so the initial debit taken of $300 is his maximum loss.
At $55, the long JUL 55 call expires worthless while the long JUL 35 call worth $2000 is used to offset the loss from
the short JUL 40 call (worth $1500) and the short JUL 50 call (worth $500). Thus, the long condor trader still
suffers the maximum loss that is equal to the $300 initial debit taken when entering the trade.
If instead on expiration in July, XYZ stock is still trading at $45, only the JUL 35 call and the JUL 40 call expires
in the money. With his long JUL 35 call worth $1000 to offset the short JUL 40 call valued at $500 and the initial
debit of $300, his net profit comes to $200.
Condor Options
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