速寫 Day23

來源：ASK

PSG報輸啊。
13-0。
有點慘。

之前充電器忘在家裡沒帶回來新竹。
所以買了個新的充電器。
之前用舊的充電器，邊衝邊用ipad時
都不會有筆跳來跳去的問題。
而現在用新的就有。

然後這陣子我又把舊的充電器帶回來了。
但現在ipad不管有沒有充電
我寫的時候都不定時的亂跳。
超煩。

2ㄏ，尤其是今天上隨機過程。
聽不懂就算了。
抄筆記的時候還一直跳來跳去！
我真的快崩潰了喔！

consolidate ─ 鞏固、合併、統一
Exchange use central counterparties (CCPs) to clear trades btw two members.
bilateral / multilateral netting ─ 雙邊 / 多邊結算
Variation margin and daily settlement are interrelated.
default fund contributions: if the initial margin is insufficient. (recall: defined contribution plan 確定提撥制)
CCPs pay interest on initial margin only, which is calculated as a function of futures price volatility and is determined by the exchange.
When providing noncash margin (securities e.g., T-bills), the equivalent cash would be a discounted amount of the securities’ value, with the discount known as a haircut, which is positively correlated with the price volatility of the underlying asset.

OTC derivatives are privately negotiated bilateral contracts transacted in a market with little or no regulation, which allows for contracts to be tailored (量身訂製).
For OTC derivatives, clearing and settlement are bilaterally negotitaed too, which did not generally mitigate risk.
OTC derivatives comprise of five broad classes:
1. interest rate (dominating)
1. foreign exchange
1. equity
1. commodity (smallest portion)
1. credit default swaps
margin requirement: initial requirement.
maintenance margin: minimum margin account balance required to retain the position.
margin call: if margin account balance falls velow the maintenance margin, the investor gets a margin call, and he must bring the margin account back to the initial margin amount. (The amount necessary to do this is called the variation margin)

When a member defaults, rather than closing out the trades at market value, CCP typivally auctions off the trades to the surviving members througn an auctioning process.
Also, Loss mutualization refers to members’ contributions to a default fund to cover future losses from member defaults and failed auction.
The initial margin set by a CCP is dependent on the risk of the transactions, not the members.
Clearing members typically include large players only, including large banks and global financial institutions.

1. standardized OTC derivatives must be cleared through CCPs. → fewer interconnections btw dealers, thereby reducing systemic risk.
1. standardized OTC derivatives must be traded on electronic platforms. → increasing price transparency.
1. all OTC trades must be reported to a central trade repository. → regulators are given key inputs in determining the risks involved with OTC derivatives.

1. Moral hazard.
1. Adverse selection.
1. Procyclicality (順週期性): reflects a scenario where a CCP increases margin requirements in volatile markets or during a crisis, which may aggravate (加劇) systemic risk.

Novation: the legal process of interposing the CCP btw the seller and the buyer. (e.g., Through novation, one contract (the bilateral contract btw OTC participants) is replaced with another contract with the CCP.)

1. Default risk.
1. Model risk. (Because OTC deratives are priced using valuation models rather than by the market.) Model risk could arise due to errors pertaining (關於) to volatility and in that regard, initial margins should be amended (修正) frequently to correspond with (對應) changes in volatility.
1. Liquidity risk.
1. Operational risk.
1. Legal risk: Litigation (訴訟) or claims (索賠) may arise due to differing laws in different jurisdictions or laws that are inconsistent with CCP’s regulations. (e.g., the segregation (隔離) and movement of margin and positions througn a CCP.)
1. Investment risk.
turbulent ─ 亂流

Open interest: 未平倉量
stipulate ─ 規定
tick size: the minimum price fluctuation for the contract.
basis \( = {spot \space price} - futures \space price\). That is, the basis converges toward zero as the maturity date nears.
All asset quality, asset quantity, delivery arrangements, and delivery time are characteristics specified by a futures contract.

Market orders: buy or sell at the best price available.
Discretionary (斟酌) order: is a market order where the broker has the option to delay transaction in search of a better price.
Limit orders: buy or sell away from the current market price.
Stop-loss orders: can make broker to sell the stock in order to prevent losses.
Stop-limit orders: a combination of a stop and limit order.
Market-if-touched orders (MIT orders) : would become market orders once a specified price is reached in the marketplace.
Good-till-canceled (GTC) orders (also called open orders): remain open until they either transact or are canceled.
Fill-or-kill orders: must be executed immediately or the trade will not take place.

Futures contracts are settled daily, therefore, all gains and losses for a given year would be considered realized and, therefore, must recorded each year. (e.g., marked to market)
Forwards settle at expiration; futures are marked to market and settle daily.

我會繼續努力的。