home Other disciplines Books Міжнародні розрахунки та валюні операції - Savluk M.І.

Міжнародні розрахунки та валюні операції - Savluk M.І.

12.1.2. Practice укладення угод swap

The swap operation can be carried out with one counterparty, and the transaction itself must be converted by the bank itself. However, you can call a swap combination of two of the controversial convertible із із with the dates of the currency exchange on a one-som sum, with the counterparties.

A guide to the operation of the swap operation is being brought: the bank "Ukraine" is swapping the type by buying / selling (with the counterparty Bank Austria, London).

SWAP 100 JPY 1M

# ANDY> HI -51.4 / -51.1

ANATOLIY> I BUY AND SELL 100 JPY

# TO CONFIRM 100 MIO AGREED AT -51.1 I SELL AND BUY JPY

# RATES ARE 111.15 AND 110.639

# VAL 24FEB2000 AND 24MAR2000

# JPY TO BANK AUSTRIA, TOKYO ACC 456890023

# MY USD TO BONY NY.ACC 8900107006

# WHERE FOR YOU PLS?

TO CONFIRM AT -51.1 I SELL AND BUY 100 MIO JPY

VAL 24FEB2000 AND 24MAR2000

RATES ARE 111.15 AND 110.639

MY USD TO BTC, NY ACC 04-035-670

JPY TO BANK OF TOKYO, TOKYO ACC 6530564678

THNKS FOR THE DEAL DONE

GOOD LUCK! TILL WE MEET AGAIN. BIBI

# ALL AGREED

# BIBI

Як і в тікеті для конверсійних операцій, the upper part is part of the official document, and the bottom one - contact the dealers. So itself vkazuyutsya soi rekviziti:

• Currency and the sum of land;
• Type of swap (buy / sell sell / buy);
• Kursi першої конверсійної операції і зустрічної;
• The date of the currency exchange of the obsoch converts;
• Реквізити сторін. Zauvazhimo, scho with pidtverdzhennyi type of swap kozhny sidedi neobhidno vkazuvatu vidrazu rekviziti for duma currencies, scho take the fate in the operation.

To quote swaps so yourself, yak і favardnі ugodi, - forward punctu - quotations and swap, and forward operations for danogo periodu (the name of the friend of a name: "swap points" - swap points, swap rate). Tomu with quoted swap to dot the forwards (swap) points for the next period in the vigilant of a bilateral quotation, for example:

SWAP GBP / USD 3M (swap GBP / USD for three months)

# - 40 / -36.

In the given application "-40" - the side of the bid quoting the swap operation, for an anchored market maker the base currency is the currency at forward expences, and "-36" is the offer side of the quotation, for an anchored market maker, the base currency is sold at forward rates. So, for example, if you want to sell a swap to a sell / buy type, then the side of the swap transaction is swap buy / sell. Kursi swap rozrahovuyu zavzhdi market maker, market-teiker tilki pogodzhuyutsya with the minds of the land.

Turn to our butt. When the USD / JPY swap quotation is quoted per 100 million Japanese yen for one month, Bank Austria is quoted as "-51,4 / -51,1". Quotation of a bilateral quotation obovjazykov on the international currency market, yakzscho your contractor vystaviv tilki one side of the course, then vvazhaetsya, scho tse not eetichno. Dealer to the bank "Ukraine" swap the swap transaction type buy / sell JPY, and Bank Austria swap the sell / buy JPY і rozrachovu curls swap: 111.15 і 110.639. The value of the exchange rate of the conversion operations on spot and forward rates is as follows: on the spot of the spot, Bank Austria sells JPY from the side of the bid quoting USD / JPY, toto for 111.15 (at the time of the contract, USD / JPY 111.15 / 111, 22). At different rates, the spot exchange rate and the exchange rate of the swap operation, are not subject to swap quotation. Wono mozhe zmіnishis tilki pri znachnomu russi tsini spot і zmіynі of interest rates giving currencies (div. Formula rozraunku swap items). The forward rate of conversion operations is to be increased by an add-on (vіdnіmannyam) at the spot rate of forward points. Varto zapam'yatati: forward points of the parties of the bid bid for (vidnimayutsya) from the side offer a spot rate, and forward points of the parties offer dodayutsya (vidnimayutsya) from the side of the bid spot rate. Tom forward rate of pre -vnuvatime: 111.15 - 0.511 = 110.639.

Rozglyanemoshche butt: spot USD / DEM 1.9565 / 70, swap point for two months to become - 45 / - 40. It is possible to open a sell / buy currency pair for USD, but to designate a market maker for its counterparty. At the spot market maker, the USD sells to the US side, the offer is 1.9570, and on the forward coupwatim, the sides of the bid are quoted as swap: - 45. To that, the exchange rate swap type for the market maker will be 1.9570 and 1.9525 ( 1.9570 - 0.0045 = 1.9525).

Scheme of the retail forward rate of the other side of the swap operation:

Rate cpot = bid offer

Swap (forward) points = + (-) bid + (-) offer

Тоді, як і at розрахунку the rate of forward operations, використовується the scheme:

Rate cpot = bid offer

Swap (forward) points = + (-) bid + (-) offer

On the market, the swap transaction is termed "spread". Rozmіr spread to be stored in the quiet of the minds themselves, in the case of conversions. Rinok swap in the wake of widening at the international practice, there is a tendency to pop that proposition, it's not so often, not so often, on the market of converting operations.

For rozraunku swap points zastosovuyutsya the very formula, sho і for rozraunku forward points:

* - the base for a foreign currency for a penny market (360 for USD, JPY, CHF, EUR; 365 for GBP, BEF, IEP).

The quotation of swap points can be viewed on the websites of the Reuters information system: "EURF =", "JPYF =", "CHFF =", "GBPF =" that ін. Zauvazhimo, scho tsi kotirivannya povoditsya vidnosno dolara USA.