home Other disciplines books Mіzhnarodnі rozrahunki that valyutnі operatsії - Savluk M.І.

Mіzhnarodnі rozrahunki that valyutnі operatsії - Savluk M.І.

11.1.2. forward rate

Forward rate is not Yea prognozovanim spot rate and deprivation vіdobrazhennyam Monetary kursіv is the interest rate at the market on the date ukladennya forvardnoї land.

Forvardnі Kontrakty Je pohіdnimi іnstrumentami depozitіv market analysis. In osnovі forward exchange rate yaky fіksuєtsya at ukladennі contract lezhit exchange rate spot on the date ukladennya land, skorigovany on forvardnі item scho nazivayutsya "Premia» (pm) chi «discount» (dis) (fallow od of dodayutsya stink up the course spot chi vіdnіmayutsya) SSMSC stale od rіznitsі interest rates for the currencies, scho take fate in kontraktі.

Premia / discount rozrahovuєtsya of the formula:

de S - spot rate;

D R - rіznitsya interest rates (Interest Rates kotiruvannya - Interest rates bazi kotiruvannya);

D - Quantity dnіv perіodu;

B - base Quantity dnіv rotsі at (360 abo 365);

Rb - Interest rates bazi kotiruvannya.

Yakscho interest rates for the currency, yak Yea bazoyu kotiruvannya, Vishcha of interest rates for the currency kotiruvannya, the forward exchange rate bude nizhchim for spot rate, vіdpovіdno forvardnі items will vіdnіmatisya od spot rate (currency bude kotiruvatisya on the forward market analysis s discount).

Yakscho interest rates for the currency, yak Yea bazoyu kotiruvannya, nizhcha of interest rates for the currency kotiruvannya, the forward exchange rate bude vischim for spot rate (currency bude kotiruvatisya on the forward market analysis premієyu s).

Yakscho protsentnі rate Currency Currency Bazi i kotiruvannya zbіgayutsya, the forward rate dorіvnyuvatime spot rate on the date ukladennya land.

Priklad.Na 1 kvіtnya on market analysis kotiruyutsya takі exchange rate * 2 is the protsentnі stavki1:

* 2: {For sproschennya mi rozglyanemo serednі protsentnі rates, no margin vrahovuyuchi bid / offer.}

GBP / USD 1,4745;

GBP 3 m - 5,8%;

USD 3 m - 6,5%.

Rozrahuєmo trimіsyachnogo rate for forward contracts.

Currency kotiruvannya in danomu prikladі Je Dolar US and bazoyu kotiruvannya - britansky pound sterlіngіv. The interest rate for Dolar Vishcha for interest rates for pound, otzhe have danomu prikladі Dolar bude kotiruvatisya s premієyu:

Forward rate dorіvnyuvatime 1.4745 + 0.0025 = 1.4770.

Yak Bulo zaznacheno in osnovі forward contracts lezhit operatsіya deposit market analysis. Klієnt bank - іmporter - Mauger zahistiti currently od Monetary riziku, vikoristavshi rinok depozitіv: from day ukladennya zovnіshnotorgovelnoї lands klієnt kupuє currency on the spot market analysis i rozmіschuє її in deposit termіn zakіnchennya yakogo zbіgaєtsya s datoyu payment. Yakscho klієnt-eksporter minds of the contract oderzhuє іnozemnu currency vіn Mauger zahistitisya od Monetary riziku have Taqiy sposіb: uzyati poziku in іnozemnіy valyutі that prokonvertuvati її in natsіonalnu currency, yak rozmіstiti in the deposit. According zakіnchennі termіnu dії kreditnoї lands klієnt povertaє poziku for rakhunok іnozemnoї currency, oderzhanoї for eksport produktsії. Income abo vtrati od such hedzhuvannya stale od rіznitsі interest rates for the currencies. Ale slіd zaznachiti, scho for eksportera abo іmportera pershochergovim Je Zahist od riziku currency rather than speculative obsession pributku for rakhunok rіznitsі interest rates on rіznih Rink.

Alternatives hedzhuvannya, rozglyanutogo vische, Je forward land. Forward rate skladaєtsya s spot rate is the protsentnoї rіznitsі. Tsya rіznitsya Je nіscho Lots Other, yak rіznitsya mіzh income od currencies, scho kupuєtsya rate for the spot that vkladaєtsya deposit on Pevnyi termіn, that interest vitratami of currencies, scho was taken in poziku that sold for spot rate.

Dovedemo on prikladі, scho in osnovі forvardnoї operatsії lie operatsії depozitіv market analysis.

Klієnt bank - kompaniia scho zdіysnyuє eksportno-іmportnu dіyalnіst. Kompaniia іmportuє napіvfabrikati s US that eksportuє produktsіyu in Nіmechchinu. So rank, kompaniia otrimuє Costa in EURO including, but platezhі zdіysnyuє in US Dolar. Uyavimo, scho three mіsyatsі kompanії neobhіdno zdіysniti platіzh of 10 000 000 dollars. USA.

Pripustimo, scho on the date ukladennya lands on market analysis sklalasya such situatsіya:

* 3: For {sproschennya mi rozglyanemo serednі protsentnі rates, no margin vrahovuyuchi bid / offer.}

Zvichayno, kompaniia Mauger zalishiti his pozitsіyu vіdkritoyu, while nastannі termіnu payment buys for US Dolar EURO including for spot rate. Ale, Hoca Yakscho kompaniia zahistitisya od riziku currency, Won Mauger vikoristati one s dvoh varіantіv:

• by au-Perche, Mauger kompaniia sogodnі take poziku 10 million EURO including, konvertuvati її in that poklast Dolar Dolar on trimіsyachny deposit. According zakіnchennі termіnu dії deposit rozrahuvatisya for svoїmi zobov'yazannyami before torgovelnimi partners Dolar and poziku pogasiti for rakhunok nadhodzhennya in EURO including.
• Alternatively, kompaniia Mauger uklasti favor forward to purchase US dolarіv for EURO including.

Priklad.1. Vipadok s Rink depozitіv:

Klієnt konvertuє Dolar EURO including in the course of 1,000 vitrati loan in EURO including dorіvnyuvatimut:

1000000 • 4.0 • 90/360 • 100 = 10,000.

Pіslya zakіnchennya termіnu dії loan scrip, skorigovana on protsentnі vitrati, bude with such a:

1,000,000 + 10,000 = 1,010,000.

Revenues for the deposit in US Dolar dorіvnyuvatimut:

1000000 • 5.8 • 90/360 • 100 = 14,500.

Pіslya zakіnchennya termіnu deposit scrip, skorigovana on protsentnі income dorіvnyuє:

1,000,000 + 14,500 = 1,014,500.

Yakscho zіstaviti tsі sumi, then the EUR / USD dorіvnyuvatime:

1,014,500 / 1,010,000 = 1.004 455.

2. Hedzhuvannya forward contracts.

Course of a forward contract for three mіsyatsі dorіvnyuvatime:

Otzhe, efekt od depozitnoї that forvardnoї lands Je odnakovim scho tverdzhennya bring about forward contracts yak pohіdny іnstrument Rinku depozitіv in іnozemnіy valyutі.

Zrozumіlo, scho on the date vikonannya please the spot rate Mauger (i, yak usually Buda) vіdrіznyatisya od exchange rate contract to a contract Zi storіn zaznaє vtrat, oskіlki bude zobov'yazana іnozemnu buy currency for a course, for vischim spot, abo prodatsya for nizhchim . Ale vzhe bazhaє klієnt bank at the time of the contract for ukladennya zovnіshnotorgovelnoyu operatsієyu prorahuvati svoї nadhodzhennya abo platezhі. Kompaniia not set for Meta obsession pributku for rakhunok kursovoї rіznitsі and namagaєtsya deprivation zahistiti currently od nespriyatlivoї zmіni exchange rate.

Bank Mauger zalishiti pozitsіyu vіdkritoyu, Yakscho on spodіvaєtsya spriyatlivі zmіni Monetary kursіv, abo zahistiti currently od Monetary riziku for Relief f'yuchersіv chi optsіonіv against nayprostіshy Way Zahist od Monetary riziku - kotiruvannya kupіvlі forward rates (bid) that sell (offer). Slіd zaznachiti takozh, scho ukladennya forvardnoї lands Je bezoplatnoy, tobto klієnt not splachuє bank komіsіynu abo whether yak іnshu vinagorodu. So rank, Jerel pributku bank od quoted forward operatsіy Je rіznitsya mіzh course kupіvlі that sale (spread).

When kotiruvannі forward rate, yak i at kotiruvannі Monetary kursіv is the interest rate, so needless vikoristovuyutsya standartnі poznachennya.

Napriklad, kotiruvannya trimіsyachnogo forward rate of US Dolar to britanskogo pound sterlіngіv matim Taqiy viglyad:

GBP / USD 3m fwd 1,4538.

Yak valyutnі Courcy, so i bet protsentnі toil Dvi PARTIES kotiruvannya - bid that offer, otzhe, zrozumіlo scho rozrahovuvati dvostoronnє kotiruvannya forward rate neobhіdno іz zastosuvannyam vіdpovіdnih storіn kotiruvannya exchange rate is the interest rate:

de S - Spot rate (vіdpovіdno bid is the offer);

RC - Interest Rates kotiruvannya (vіdpovіdno bid is the offer);

RB - Interest rates bazi kotiruvannya (vіdpovіdno bid is the offer);

D - Quantity dnіv in perіodі;

B - 360 365 abo.

Rozrahuєmo on prikladі kotiruvannya bid that offer.

Priklad.Nehay at the market spot kotiruyutsya takі valyutnі Kursi that protsentnі rate:

USD / UAH 5,4910 - 5,4940,

USD 1m 5,5 - 6% pa,

UAH 1m 15 - 16% pa

Rozrahuєmo forward rate USD / UAH per mіsyats:

USD / UAH 1m fwd 5,5314 - 5,5412.

Zazvichay kotiruvannya forward rate Got Taqiy viglyad:

EUR / USD 0,9530 - 0,9540,

1m fwd October 20.

Tobto kotiruє bank rate is the spot forvardnі points.

Yakscho forvardnі paragraph bid for vischі forvardnі paragraphs offer, then Location Got a discount, Yakscho paragraph nizhchі bid for the offer - it Premia.

We hover prikladі paragraph nizhchі bid for the item offer, tobto Dolar EURO including s kotiruєtsya to premієyu.

Dovedemo tse.

Pripustimo, scho Got that rozrahuєmo Location discount for such minds odnomіsyachny forward rate to the US Dolar EURO including:

Bid Offer

0.9530 0.9540

Against the side kotiruvannya not shaping can Buti odnakovimi, otzhe in danomu vipadku Got Premia Location:

Bid Offer

0.9530 0.9540