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

Mіzhnarodnі rozrahunki that valyutnі operatsії - Savluk M.І.

11.2.2. For the sake of the forward rate

For the sake of the forward rate (forward rate agreement FRA) - tse land, scho garantuє maybutnyu interest rates on Pevnyi perіod hour that on the bag fіksovanu koshtіv. Tobto tse lands about deposit operatsіyu in maybutnomu. Spetsifіka tsogo іnstrumentu polyagaє in fact, scho, yak usually deposit operatsіya not zdіysnyuєtsya, but just one Zi storіn lands viplachuє іnshіy kompensatsіyu and the Same: rіznitsyu mіzh real interest rates in the market analysis is the rate, scho bula zafіksovana in ugodі.

Perіod depozitnoї operatsії scho pokrivaєtsya lands for forward rates, nazivaєtsya perіodom contract. Two dnі up cob contract perіodu nastaє since been called to come uregulyuvannya date. Same as at the date uregulyuvannya th vіdbuvaєtsya rozrahunok that viplata kompensatsії. Well Yakscho for vzaєmnoyu domovlenіstyu mіzh parties deposit operatsіya yet I Got Location, the scrip protsentіv splachuєtsya at povernennі deposit, tobto on zakіnchennі perіodu contract.

For the sake of the forward rate for widely vikoristovuyutsya hedzhuvannya percentage riziku that spekulyatsії.

Bank chi kompaniia, yakіy znadobitsya pozichati in Costa maybutnomu, zaіnteresovanі in fact dwellers zahistiti currently od zrostannya interest rates. Tse vіdpovіdaє th іnteresam pozichalnikіv, kotrі splachuyut percent on bazі plavayuchoї rates. W іnshogo side, Ti Participants fіnansovogo market analysis, SSMSC rozrahovuyut rozmіschuvati in Costa maybutnomu abo Costa rozmіstili for plavayuchoyu rates, namagatimutsya zahistiti currently od padіnnya interest rates. Yak pozichalniki so i creditors mozhut hedzhuvati interest rizik for Relief for the sake of the forward rate.

• Dovga pozitsіya (kupіvlya lands for forward rates) zahischaє od zrostannya interest rates.
• The short pozitsіya (lands sales for forward rates) zahischaє od padіnnya interest rates.

In razі zrostannya interest rates pokupets lands for forward rates obsessed uregulyuvannya scrip, yak kompensuє Yomou vtrati. Yakscho Well protsentnі rates will fall, then vіn musitime splatiti kompensatsіyu prodavtsevі land, ale vіn splachuvatime nizhchі vіdsotki for pozikoyu, tobto yogo vitrati will vіdshkodovanі.

For the sake of the seller for the forward rates situatsіya protilezhna: when interest rates padіnnі vіn obsessed kompensatsіyu for lands for forward rates, while zrostannі - pay kompensatsіyu, ale vodnochase zmozhe rozmіstiti Costa pid vischі vіdsotki.

Suma kompensatsії rozrahovuєtsya for formulas:

a) if the rate uregulyuvannya Vishcha rate for the contract:

b) if the rate of the rate contract Vishcha uregulyuvannya:

de L - rate uregulyuvannya;

R - rate contracts;

D - Quantity dnіv perіodu contract;

A - CONTRACTUAL scrip;

B - base Quantity dnіv in rotsі (360/365).

The rate of contract rozrahovuєtsya yak forward / striker bid. Rozrahunki in furrows of lands for the forward rate (the rate that the contract scrip uregulyuvannya) zdіysnyuyutsya on bazі 360 dnіv for vinyatkom ground for britanskih funtіv. When rozrahunku kompensatsії rate for uregulyuvannya takes the LIBOR rate.

Yak has zaznachalosya, please forward rates for Je zasobom hedzhuvannya not deprivation, and the first speculative іnstrumentom.

Ti sub'єkti fіnansovogo market analysis, scho rozrahovuyut zrostannya on interest rates at maybutnomu, kupuvatimut lands for forward rates, spodіvayuchis otrimati kompensatsіyu, Ti Well, vvazhaє hto scho rates padatimut - prodavatimut land.

Priklad.Bank market-Taker spodіvaєtsya, scho in maybutnomu protsentnі rates on deposits in pounds britanskih zrostatimut, that bazhaє zahistiti currently od percentage riziku. For tsogo vіn kupuє FRA. Suma ground - to 10 000 000 f. Art.

On the ground of the date ukladennya bank market maker kotiruє takі rate:

GBP 3v6m FRA 6,70 - 6,90% pa

At the date of uregulyuvannya protsentnі rates boule takі:

GBP 3m 7,125 - 7,25% pa

Rozrahuєmo kompensatsії the bag, scho won pokupets lands:

Banks by market makers kotiruyut side of the bid is the offer for the sake of the forward rate. Ukladayuchi to purchase lands that FRA sales odnakovі Sumi, the bank zakrivaє pozitsіyu i in Taqiy sposіb zahischaє currently od mozhlivogo riziku and Jerel income od danoї operatsії Je rіznitsya mіzh rates bid that offer.

Yakscho and y bank zalishilasya vіdkrita pozitsіya for FRA, yak at Dumka bank Nese nebazhany rizik, the Je kіlka shlyahіv zahedzhuvati Tsey rizik:

• zaynyati protilezhnu pozitsіyu striker / forward;
• Closed-pozitsіyu at the market interest f'yuchersіv. The short f'yuchersna pozitsіya zahischaє od zrostannya interest rates i vіdpovіdno zakrivaє dovga pozitsіyu for FRA, dovga f'yuchersna pozitsіya Zahist od padіnnya interest rates that kompensuє vtrati od sale lands for forward rates.

Rinok lands for forward rates Je naybіlsh lіkvіdnim US dolarіv, britanskih funtіv is the EURO including, takozh kotiruyutsya shveytsarsky Franc is the yaponska єna. For іnshimi currencies kotiruvannya mozhlive, ale rіznitsya mіzh rates bid that offer bude dosit temple.

Tipovі sumi contract -. Od 5 to $ 100 million, for the sum rinok Mensch Mensch lіkvіdny.

Lands for forward rates, yak usually vikoristovuyutsya for korotkostrokovogo hedzhuvannya, they pokrivaєtsya perіod 2 rokіv, naychastіshe kotiruyutsya FRA 3v6 she 6v12.

Zapitannya for self-control

• Navischo eksporteri that іmporteri ukladayut forvardnі please?
• Kompaniia ABC bazhaє vikoristati rіznitsyu mіzh interest rates britanskih pounds sterlіngіv that amerikanskih Dolar. For tsogo kompaniia pozichaє Dolar, rates for yakimi nizhchі, that konvertuє їh the pound sterlіngіv, SSMSC rozmіschuє pid vischі vіdsotki. Vid currency riziku kompaniia spodіvaєtsya zahistiti Statement for Relief of forward contracts for the sale funtіv for Dolar. Chi will bring kompanії dohіd podіbnі dії?
• Chi toil forvardnі lands chіtku standartizatsіyu schodo sumi that termіnu?
• Shcho Takeo Premia?
• Chi Mauger klієnt uhilitisya od vikonannya forvardnoї lands for minds, scho bula anulovana zovnіshnotorgovelna lands?
• Rozrahuyte forward rate USD / UAH per mіsyats, Yakscho spot rate 5.4030 - 5.4080, and mіsyachnі protsentnі takі rate:

USD: 6,80 - 7.30% pa

UAH: 14 - 15% pa

7. Vіdpovіdno to forvardnoї lands klієnt-іmporter MAV kupuvati 900 tis. norvezkih kroner per US Dolar 8.2830 per course, ale eksporter vіdmovivsya od supply. Rozrahuyte vtrati / od dohіd zakrittya forvardnoї land, Yakscho on the date vikonannya Bank kotiruє takі spot rate:

USD / NOK 8,2910 - 8,2940.

8. For the sake of forward-klієnt eksporter zobov'yazany prodavatsya shveytsarskі francs per US Dolar 1.7810 for a course, for vzaєmnoyu ale Zgoda storіn zovnіshnotorgovelnogo contract payment has been viewed vіdkladena one mіsyats. On pіdstavі nadanih klієntom dokumentіv forward contracts CCB podovzheny. Viznachiti course podovzhennya contract Yakscho on the date of the contract Bank vikonannya poperednogo kotiruє takі courses:

USD / CHF 1,7855 - 1,7870,

1m fwd 18 13.

9. 29th serpnya to the bank s Prokhanov zvernuvsya klієnt coverages forward contracts platіzh scho vіdbudetsya protyagom Zhovtnya for zdіysnennya yakogo Yomou potrіbno bude kupuvati amerikanskі for EURO including Dolar. Over the course of Yakim bude way forward contract Yakscho 29th serpnya Bank kotiruє takі valyutnі courses:

EUR / USD 0,9530 - 0,9545,

1m fwd 14 19,

2m fwd 26 31.

10. 25th Travnia to bank zvernuvsya klієnt іz Prohanov coverages forward purchase lands for amerikanskih dolarіv britanskі pounds, scho vіdbudetsya 14th Lipno. Rozrahuyte course, for Yakim bude way to please, Yakscho 25th Travnia Bank kotiruє takі courses:

GBP / USD 1,5830 - 1,5840,

2m fwd June 10,

3m fwd December 16.

11. Rozrahuyte rate forward / forward 3v6 for land in the US Dolar, Yakscho on market analysis sklalisya takі spot rate:

3m 6,125 - 6,25% pa,

6m 6,30 - 6,45% pa

12. Got Chi Location deposit operatsіya for the sake of the forward rate?

13. Yaka lezhit rate osnovі FRA?

14. zakrittya depozitnoї pozitsії bank "AAA" through znadobitsya pіvroku rozmіschuvati shestimіsyachny deposit in pounds britanskih sterlіngіv for the amount of 50 000 000 Bank virіshiv zahistiti currently od percentage riziku for Relief FRA. At the date of ukladennya please the bank market maker kotiruє bank "AAA" takі rate:

GBP 6v12 FRA 6,58 - 6,72% pa

At the date at the market uregulyuvannya sklalisya takі protsentnі rate:

GBP 6m 6,15 - 6,225% pa

GBP 12m 6,25 - 6,34% pa

Rozrahuvati scrip uregulyuvannya scho obsessed / SPLAT "AAA" bank.