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DoNotCopyorPostThisdocumentisauthorizedforuseonlybyGimSeowuntilApril2011.Copyingorpostingisaninfringementofcopyright.Permissions@hbsp.harvard.eduor617.783.7860.HarvardBusinessSchool9-295-141Rev.March4,1997ResearchAssociateKendallBackstrandwrotethisnoteunderthesupervisionofProfessorW.CarlKesterasthebasisforclassdiscussionratherthantoillustrateeithereffectiveorineffectivehandlingofanadministrativesituation.Copyright©1995bythePresidentandFellowsofHarvardCollege.Toordercopiesorrequestpermissiontoreproducematerials,call1-800-545-7685,writeHarvardBusinessSchoolPublishing,Boston,MA02163,orgoto—electronic,mechanical,photocopying,recording,orotherwise—withoutthepermissionofHarvardBusinessSchool.1IntroductiontoDerivativeInstrumentsAderivativeisafinancialinstrument,orcontract,betweentwopartiesthatderivesitsvaluefromsomeotherunderlyingassetorunderlyingreferenceprice,interestrate,orindex.Commonderivativesincludeoptions,forwardcontracts,futurescontracts,andswaps.Commonunderlyingassetsincludeinterestrates,exchangerates,commodities,stocks,stockindices,bonds,andbondindices.Derivativesarecreatedandtradedintwointerlinkedmarkets—organizedexchangesatthenationalandregionallevel,andaninternationalnetworkofdealersandend-usersinwhichtransactionsareexecutedprivately,thatis,overthecounter(OTC).Overrecentdecades,financialmarketshavebeenmarkedbyincreasedvolatility.Asforeignexchangerates,interestrates,andcommoditypricescontinuetoexperiencesharpandunexpectedmovements,ithasbecomeincreasinglyimportantthatcorporationsexposedtotheserisksbeequippedtomanagethemeffectively.Riskmanagement,themanagerialprocessthatisusedtocontrolsuchpricevolatility,hasconsequentlyrisentothetopoffinancialagendas.Andinthehotspotaretheseso-calledderivatives.Furthermore,astheseinstrumentshavebecomemorereadilyavailable,theirapplicationhasextendedbeyondtraditionalriskmanagementtothemoreopportunisticrealmofspeculation.Inbothapplications,derivativesrepresentpowerfultoolsbywhichinstitutionsandindividualsalikecansignificantlyaffecttheirfinancialsecurityandviability.Derivativesareusedbyavarietyofentitiessuchascorporations,commercialbanks,andindividualandinstitutionalinvestorstoreduceor“layoff”variousrisksincludingtheaforementionedinterestraterisk,foreigncurrencyrisk,commoditypricerisk,andinvestmentrisk.Exhibit1providesresultsofasurveyontheusesofderivativesbychieffinancialofficers.Forexample,achieffinancialofficerofacompanyheavilyexposedtoforeignexchangefluctuationsoftenexploitstheforeignexchangeforwardmarkettoshieldthecompany’sbalancesheetfromcurrencydepreciation.Similarly,agrainproducermightuseaforwardcontracttohedgeagainstpricedepreciationin,say,wheatorsoybeans.Throughtheuseofaputoption,aninvestorcanestablishalimitonthepotentiallossonaninvestment.Ontheotherendoftheapplicationspectrum,anentitycantradederivativesforpurelyspeculativepurposes.Broadly,holdersofderivativessecurities,aswellastheircounterparties,canachievegoalsrangingfromriskmanagementtospeculation.Thederivativesthemselveshelpallocateeconomicrisksefficientlybytransferringrisksbetweenpartiessuchthateachholdstheriskitisbetterableormorewillingtobear.Thisnoteprovidesaconceptualbasisforunderstandingthefundamentalpropertiesandapplicationsofcommonderivativeproductsthatgiverisetotheiruseinfinancialmanagement.Eachofthreemajorfamiliesofderivativeinstruments—options,forwardsandfutures,andswaps—isdiscussedintheseparatesectionsthatfollow.DoNotCopyorPostThisdocumentisauthorizedforuseonlybyGimSeowuntilApril2011.Copyingorpostingisaninfringementofcopyright.Permissions@hbsp.harvard.eduor617.783.7860.295-141IntroductiontoDerivativeInstruments2OptionsCommonTerminologyOptionsarederivativeinstrumentsthatcanbeusedasameansofspeculationorinvestmentaswellashedgingorriskmanagement.Optionswrittenonbothfinancialandphysicalassetshavebeentradedformanyyearsindealer-markets.However,itwasnotuntil1973,whentheChicagoBoardofTradeformedtheChicagoBoardOptionsExchange(CBOE),thatorganizedpublicmarketsforoptionsbegantoappear.Exchangeswerethenestablishedtotradeoptionswrittenonassetssuchasindividualstocks,stockindices,commodities,foreigncurrencies,andTreasurybonds.Anoptionisacontractbetweenthebuyer(orholder)oftheoptionandtheseller(orwriter)oftheoption.Thiscontractgivesthebuyeroftheoptiontherighttobuy(orsell)anassetfrom(to)theselleroftheoption.Theseller,ontheotherhand,isobligatedunderthetermsoftheoptioncontracttoperform.Plainlystated,anoptioncontractdefinestherightsofthebuyerandtheobligationsoftheseller.Theoptiontobuyanassetisknownasacalloption,andtheoptiontosellanassetisknownasaputoption.Anexampleofacallandputoptionwrittenonaparticularcompany’scommonstock,thatofMicrosoftCorporation,isprovidedinTableAbelow.TableAOptionstradedonMicrosoft’sstock,November30,1994(dollarspershare)Stock(asset)price$64.125Exerciseprice$60MaturitydateApril15,1995Calloptionprice(premium)$7.50Putoptionprice(premium)$2.125Thespecifiedassetinvo
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