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International Rose and Currency Operations - Savluk M.І.

16.4. Management of currency rizik

The basis for managing a currency currency є to read more and more characteristics is that I can help banks to selectively manage, so as to insure non-acceptance of currency rye - I have to understand a long time ago. This is due to the fact that practical currency exchange is not necessary for any currency transaction, but it’s not up to you to go to zbits, because there’s more to the oaths that threaten the bank. For the most part, for readable organization of financial robots, Maybut’s zbitki can be built up to a minimum, but they can overwrite insignificant sums of zbitkiv in the latest incomes.

The main elements otsіnyuvannya currency riziku є byznachennya:

  • type of foreign currency, for which rosette is held;
  • sum of currencies;
  • triviality per period of currency exchange;
  • type of currency rozrahunkіv.

Vibir currencies for healthy roses can be seen as a unique method of insurance. The following rule applies to the currency of currency є orinition for a strong currency, such as the purchase of a nationally valid currency.

Trivial period of foreign currency exchange is safe for the business hour between the date of the date and the date of the date (the date of currency), and the numerical rate of exchange is lower if the currency is longer, if the time is right, .

In economic practice, you can often see currency rizika often interweave with you, and you can see the same amount of less than the maximum amount of money if you have to keep the balance of your total warehouse.

Managing the foreign currency rizik (Fig. 16.1) transmitting a detailed analysis, evaluating the most possible insurance method and insurance. For practitioners of insurance of foreign currency risks, hedges are called for, which is clearly indicated by the counter-measures, which are hidden by the continuing unpleasant tendencies to the financial market.

Managing currency rizik is based on the vibrant strategic strategy of management, which should take revenge on such basic elements:

  • Victory of all possible interests is unique , which can be reduced to significant zbitkіv;
  • control of the ruling and the total sum of the international reserves, as well as the small number of unique opportunities;
  • insurance of foreign currency exchange in times of impossibility.

To understand the wide range of strategic management strategies: a neutral shutter position, if financial managers through insignificant exchange of interest rates do not take them free of charge, control and insurance of all 16 different currencies. 16 different currencies. 1. That is why I want to exchange currency rises for the whole time of singing methods of insurance, the basis of their strategic management.

The main method of insurance is to ensure that you always have the right to exchange rates, but if you have to pay the price, you will have to pay a higher rate. Nin_isnu_city is low to achieve effective methods of insuring foreign exchange risks, but can be used in sub-accounts of the foreign exchange market for specific minds and for starting business. Pіd tsimi methods rosumі-

Table 16.1


Unified Risiku

Shift step

Utrimannya Riziku (at singing boundaries)

Vіdmova vіd of non-traditional classes

Vіdmova vіd non-standard projects

The interior of the venture

Finance venture projects

Self-insurance (reserve koshtіv)

Disipacy (rosіyuvannya, rozpodіl)

Flush system

Diversification of zones of state donation and klіnturi

Rozpodil riziku at the clock

Diversification view

Rozpodil vіdpovіdalnostі mіzh participants in the land

there are a lot of singing financial operations, I’m giving you a loan so that I can often get out of the cryptocurrencies, I’ll go through the money of foreign exchange rates, but I can take a look at it, and here’s a clear reference.

Oskilki get to grips with the performance of the hour of the commercial commencement of practical activities, it is practically impotent, with the head method є changing the stage of the performance and the confusion of singing frames. The component is in the form of self-insurance through the creation of reserve funds in the form of compensation for potential losses in the form of foreign currency transactions.

It’s even more important - the system of diversification of financial markets for financial instruments, currency codes, geographical regions, and counterparties. Diversification itself can be realized through improvement to complete a folding system and an exchange system (abo limіtіv). So, the greater number of financial structures lasts an hour for a robot to install on a separate currency market:

  • foreign limits in open currency positions;
  • Limit statements of currency codes, groups of currencies and bank metals;
  • limit on counterparties and those geographic regions;
  • day limits (to limit hours on the term robots of a banking day);
  • nіchnyh limіtіv (set, as a rule, on the liabilities of the currency currency positions at the time of the robot pose between the banking day). Zauvazhimo, scho system of low limits is significantly higher for the system of low limits. First of all, thanks for correcting the possibility of not giving up the financial position of the posture between the banking day;
  • limit on skin currency dealer;
  • limit “stop los”, which is locked at close to the bottom of the currency positions, at the times of the unpleasant rukh of currency rates;
  • limit on the work with the latest financial tools (for the type of tool, codes and groups of currencies, dealers, counterparties and etc.).

Strahuvannya yak fіnansovo-buhgaltersky method daє zmogu uniknuti dvoh vidіv vіdkritih pozitsіy in іnozemnіy valyutі - Dovgy, tobto volodіnnya dovgostrokovimi assets іnozemnіy valyutі, i short, tobto volodіnnya іnozemnoyu currency in uniquely bіlshih obsyagah, nіzh tse neobhіdno for virіshennya korotkostrokovih zavdan, pov'yazanih із відповідним type of dіyalnostі. If you think that you should go into this unique position, the winter currency exchange rates will not bring to the bottom line of the capital budget.

Pure Exposure to the Bank ( NEXP ) dorіvnyuє

NEXP = [(FX A - FX L) + FX b - FX s],

de FX A - the amount of assets in foreign currency;

FX L - suma zobov'yazan in valyutі;

FX b - the amount of currency purchased for trading operations;

FX s - the sum of currencies, sold at a trading operation.

If NEXP > 0, then the bank will clean the currency position.

The Bank, now my clean currency exchange position, foreign currency exchange rate, and the change in the value of foreign currency is clearly changing. At the time of the change in foreign currency, the bank is not far away.

If NEXP <0, then the bank will clean the currency position short.

The Bank, now my short currency position is, the foreign currency is different from the previous one, the currency is always the same. As a matter of fact, the variability of foreign currency changes, the bank is not large.

In order to roshrahuvati shit a little chi zbitok, required:

NEXP • [S (t) - S (t - 1)],

de S ( t ) - spot camp rate at t hour;

S ( t - 1) - spot camp rate for the last period.

For example, a bank with such operations:

  • Having seen loans in the amount of 1 million pounds. Art.
  • Having accepted deposits in the amount of 250 yew. f. Art.
  • Pure exposition = 750,000 p. Art.

Spot rate to become 1 f. Art. = $ 1,6200

  • Yakshcho pound exchange rate to 1.6250 dollars. for 1 f. Art., then the position is clean at the pounds sterling bank in price for $ 3,750. USA.
  • The rate of the pound falls to 1.6150 dollars. for 1 f. Art., then the pure position of the bank in British pounds is changed in price by $ 3,750. USA.

The settlement of short-term foreign currency positions is especially important for the management of foreign currency bonds of commercial banks. Svitova is an economic practice of a voucher of an accepted ryvne of currency currency of financial install on a ryvnі vidnoshenny value of a vidkritі positsії to establish a capital price establish. Specific standards can be set to the value of the international position, the position for the group of currencies and bank metals, the environment for the short position, the condition for the open position. Appointments pіdhіd vikoristuєєі і in Ukraine. With the help of currency currency exchange, the National Bank of Ukraine, with the instruction № 141 “On the procedure for regulation and analysis of commercial banks”, which was approved for the second quarter, is refundable

  • The norm of foreign legal provisions (Н16 - up to 40%).

Rosrakhovatsya yak vіdnoshennya zagalnogo magnitude vidkrito ї currency position positsії bank to capital bank:

H15 = Vp / K • 100%,

de Vp - zagalna vidkrita currency position to the bank for the balance sheet and off-balance sheet assets and goiters owed to the bank for all foreign currencies at the hryvnia equivalent (the drawing is carried out for the fixed date);

K - capital bank.

For skin and foreign currency, money is spent on all balance sheet and off-balance sheet assets and total balance on-balance sheet and off-balance goiters owed to the bank. As a matter of fact, assets and off-balance-sheet wagings are overturning. Wartiness and off-balance assets and off-balance goiter'zan, vidkrivaets dovga vidkrita currency position. Yakshcho wartow passives and off-balance-sheet goats'yazan re-distributeє vartіst assets and off-balance sheet vimog, відкриваться is a short відкрита currency position. With the full credit, the currency position is shown with a plus sign, and the short currency is position with a minus sign.

Vrakhovuchi, which has a multi-currency trading plan, needs for leather and foreign currency credit cards for all balance sheet assets and loans for banks I, II, III, IV classes (for banks, banks, banks, banks, banks, banks, banks, banks, etc.). (tilki group 920, 921, 929, 935, 936) The plan of the accounting department of the accounting region of commercial banks of Ukraine.

The magnitude of the open currency position as a whole by the upgraded bank is shown as the sum of the absolute values ​​of the most recent and all short currency values ​​in the national currency (without the currency mark) for all currencies.

  • The standard for short-term foreign currency position for leather foreign currency (H17 - up to 20%)

H16 = Vin / K • 100%,

de Win - short (short) vidkrit currency position of the bank for the balance sheet and off-balance sheet assets and goiters owed to the bank for dermally converted currency in hryvnia equivalent (the drawing is carried out for the due date);

K - capital bank.

Dewg (short) vidcrit currency position for the hryvnia equivalent banknote is deductible (short) for skin currency in convertible currency.

  • Standard dovgoї (korotkoї) vіdkritoї valyutnoї pozitsії at vsіh bankіvskih metals (H18 - 10%) rozrahovuєtsya yak vіdnoshennya dovgoї (korotkoї) vіdkritoї valyutnoї pozitsії jar at vsіh bankіvskih metals have hryvnia ekvіvalentі to kapіtalu jar:

H18 = Vm / K • 100%,

de Vm - Dovga (short) vidkrita currency position for the bank for balance sheet and off-balance sheet assets and governing bank for bank metals in hryvnia equivalent (a draw is carried out for the due date);

K - capital bank.

4. The standard of the regulated foreign currency position of the newly appointed bank (H19) is limited to the principle of the regulated monetary position ( B 3) to the bank ( K ) of the bank:

de V 3 - vidkrita currency position for assets and goiters for skin and foreign currency, prized by a certain amount, which can be denoted by a line that has been filled up to the mark.

The normative value of the notional foreign currency position is not greater than 50%.

5. The norm of an open (short) closed bank foreign currency position in freely convertible currencies (H20) is limited to a limited one in small bank open currency (fully converted):

H 20 mє buti not more than 30%.

Operations with bank metals for the currency market of Ukraine are governed by the law of Ukraine “On state regulation of the video watch, video and video of the precious metals and control of the transactions with them” and the provisions of the Ukrainian currency trading bank.

The currency of the position of the newly appointed bank is recognized with ease: it is ignored by the skin and foreign currency and bank metals.

For the rozmіr vidkrito currency positions posovіznazhenogo bank add:

  • purchase (sales) of ready-made and non-ready foreign currencies, accurate and string transactions (on the minds of swap, forward, option and foreign);
  • the gain (payment) of foreign currency in the money of the income and the amount of money and income, the amount of money and money for the sale of goods;
  • purchase (sales) of the main interests and commodity-material values ​​for foreign currency;
  • the need to pay money in foreign currency to the statutory fund for thinking, what should the bank of loans be for the non-resident relatives in foreign currency;
  • redeemed by the bank of hopeless stumbling in foreign currency (deducted from the bank as a whole from a completely divided vitrat);
  • Foreign exchange operations with foreign currency (winnings of the same currency in one hour and a half after them in foreign currencies, including those in the national currency, which can be used without any changes).

The currency of the position on the date of the transaction with the purchase (sale) of foreign currency, as well as the increase in income (vitrat), the increase in expenses (deducted from the balance) and the previous income until the transfer.

Upgrades The bank will have the right to credit currency position with the right to cancel the form of the National Bank of Ukraine of the Ukrainian Banking License for the right to carry out operations with foreign currency values ​​and the right to have the right to receive credit from the Ukrainian bank.

Currency position of the bank is limited by class No. 3 to the balance sheet “Operations with valued accounts and assets and gambling”, section 38 “Position of the bank with foreign currency and bank metals and bank accounts” ”, On balance racks 3800 and 3801. 3800 AP“ Position to the Bank of Foreign Currency and Banking Metals ”- a technical merchandise for visualization of the bank of foreign currency and bank metals. To be victorious for operating operations, as well as for two different currencies, but for operations with bank metals. Performed around the date of currency For debit rachunka there is a wartime of foreign currency, yak zbilshuє for short, but a change of currency credit position - loan for foreign currency, yak zbilshuє yak for a short currency. 3801 AP (counter-counterpart) “Equivalent position to the bank of foreign currency and bank metals” - a technical round for the region of the hryvnia equivalent to the position of foreign currency and bank metals. For debit rachunka, equivalent amount of foreign currency is paid, as much as possible, but to change the short currency currency position, for credit - equivalent amount of foreign currency, so as to change the currency shortly.

The policy of managing a commercial bank on a one-hour basis for the currency market will be most appreciated at times:

  • the interchange of foreign exchange transactions with transactions, invested customers (these are basically trading ones);
  • Establishment of a strict system of limits for trading currency values;
  • obmezhennya tsikh limіtіv tolka with head convertible currencies, regular yakit corporate clients on yak_isnu;
  • the establishment of days and overnight currency limits for all bank counterparties;
  • Zdіysnennya zhorstky monitoring for the visions of procedures, transferred to the system of managing the riziki, I will become the counterparty that behavior of the currency market as a whole.

Among the main methods of hedging foreign currency risks, require the following: structurally unbalanced assets, liabilities, payables and debts, foreign exchange payments, forward payments, operating loans, option loans and borrowings parallel pozichki, leasing, discount vimog in foreign currencies, vikoristannya currency koshtіv, zdіsnennya payments for other zrostayuyucho currency.

In economic practice, methods are often intertwined with each other, and in addition to financial and credit establishments, there is more than one water hour per hour, but only one method. Victoria of a wide range of methods I can help you to get the most out of currency speculation and the organization of a system of managing foreign currency transactions in a specific credit and financial installation.

Managing currency rizik is based recklessly on victorious singing instruments in bank dіyalnostі. The most widespread practice among currency practitioners was the following foreign exchange operations: forward, swap, option and futures, which are widely used in the interbank market, foreign exchange, forward and optional markets. Зміст і порядок застосування цих інструментів було розглянуто в попередніх розділах (11, 12, 13, 14). Тут ми зупинимося лише на деяких моментах їх застосування в загальній системі управління валютними ризиками.

Ф'ючерси використовуються для зменшення валютного ризику у випадку, якщо банк розраховує здійснити платежі або одержати виплату валютних засобів у майбутньому, використовуючи заздалегідь установлений курс. Можливість валютного ризику виникає від непевності щодо зміни біржового курсу до терміну закінчення угоди. Використання ф'ючерсів для хеджування валютного ризику обмежене лімітованим числом валют, розмірами контрактів, термінами обертання інструменту. Перевага ф'ючерсів полягає в їх часовій гнучкості, тобто можливості закрити позицію в будь-який час до настання терміну поставки.

Для уникнення недоліків ф'ючерсного ринку є можливість забезпечити хеджування відкритих позицій на нестандартизованому ринку форвардів.

Для забезпечення хеджування довгострокового валютного ризику використовують, як правило, валютні свопи. Їх також часто застосовують у зв'язку з емісією облігацій. Емітент залучає кошти в одній валюті і обмінює її на іншу, більш стійку. Метою валютного свопу під час емісії облігацій є або зниження витрат на фінансування емісії, або одержання валюти в такій формі, у якій її не можна одержати безпосередньо під час позики.

Довгостроковий валютний ризик виникає внаслідок різних причин:

  • якщо банк здійснив довгострокові інвестиції у визначеній валюті і вони забезпечують потік регулярних прибутків, то ризик для банку полягатиме в можливому зниженні вартості даної валюти. Це скоротить розмір як прибутку від інвестицій, так і самого інвестованого капіталу;
  • якщо у банку є довгострокові зобов'язання в іноземній валюті, наприклад термінові кредити, але немає регулярних надходжень у даній валюті, то існує ризик зростання вартості даної валюти, унаслідок чого обслуговування цієї позики стає дорожчим;
  • якщо банк розраховує зробити платежі в іноземній валюті або одержати інвалютні кошти, він зазнаватиме небезпеки коливань вартості валюти до самого моменту платежу або одержання коштів. Зростання курсу валюти збільшить вартість будь-якого платежу, а його падіння скоротить суму надходжень.

Валютний ризик може бути зменшений або цілком ліквідований за допомогою створення відповідного зворотного потоку коштів або «заморожування» курсу валюти, за яким будуть зроблені розрахунки (операція своп). Якщо банк має інвестиції в іноземній валюті, то хеджування може забезпечуватися за рахунок створення потоків платежів у тій же валюті, яка відповідає інвестиційному прибутку. Якщо у банку є борг в іноземній валюті, то хеджування може полягати у створенні потоку регулярних прибутків у тій валюті, що відповідає процентним виплатам за позиками. Відповідність валюти надходжень і відпливу забезпечує банку хеджування ризику, оскільки будь-які зміни вартості валюти однаково відіб'ються як на прибутках, так і на збитках. Валютний своп подібний довгостроковому форвардному контракту. Фіксуючи процентні ставки за майбутніми операціями з валютою, можна досягти хеджування валютного ризику.

Валютні опціони надають ще додаткові можливості для страхування ризиків у вигляді можливості відмовитися від виконання угоди. Але це додатково підвищує ціну самого хеджування завдяки сплаті опціонної премії.

Взагалі, слід зазначити, що під час процесу управління ризиками завжди зважуються дві вартості: вартість самого ризику і вартість коштів, що витрачається на його хеджування. Якщо вартість хеджування перевищує вартість самого ризику, хеджування вважається недоцільним або застосовується більш дешевий метод.

На українському валютному ринку розглянуті методи хеджування валютних ризиків тільки починають запроваджуватися. Перепонами на їхньому шляху є низький рівень розвитку валютного ринку взагалі та відсутність його сучасної інфраструктури зокрема.