Financial management bank - Primostka LO

7.3. HEDZHUVANNYA RIZIKU VІDSOTKOVIH rates for Relief Forward KONTRAKTІV

Forward contracts for vіdsotkovimi rates (FRA - forward rate agreement) - tse dvostoronnya lands, yakіy fіksuєtsya vіdsotkova rate for credit, scho yogo Bude Nada viznachenu to date in maybutnomu.

One іz uchasnikіv takoї lands Je Credit establish other participant - klієnt, yaky zvernuvsya for a loan. Іnodі forvardnі contracts during vіdsotkovimi rates ukladayutsya mіzhbankіvskomu on market analysis.

On the forward market analysis kontraktіv zagalnopriynyatimi Je takі termіni:

  • Date ground - date, if i klієnt Bank pіdpisali forward contracts;
  • the date of payment abo rozrahunkіv - date otrimannya loan in the bank;
  • Maturity date - the date Povernennya klієntom osnovnoї sumi that vіdsotkіv for a loan;
  • fіksingu date - the date on yak fіksuєtsya rinkova rate for a loan;
  • Forward perіod - hour od dati dati lands to payment;
  • contract perіod - hour od dati dati payment before maturity tobto perіod on yaky bank loan nadaє klієntovі i narazhaєtsya a credit rizik;
  • Contractual interest rate - vіdsotkova rate for a loan, yak viznachena that zafіksovana to date ukladennya lands i garantuєtsya Bank perіod for the whole contract.

Saying to Іnakshe, zgіdno s minds forward contracts on credit bronyuєtsya Pevnyi perіod, yaky nazivayut forward. Forvardnі lands mozhna ukladati i for deposit operatsіyami, fіksuyuchi vіdsotkovu rate for deposit, yaky bude contribution to the bank on the date in viznachenu maybutnomu.

Forward contract that perіodi and takozh scrip sake of shaping can Buti i dovіlnimi viznachayutsya for Bazhanov that require klієnta. Types of forward perіod - od 1 to 3 months at, model contractual perіod becoming 12 - 24 mіsyatsі scho daє pіdstavi vіdnositi forvardnі contracts during vіdsotkovimi rates to serednostrokovih pohіdnih fіnansovih іnstrumentіv. On mіzhnarodnih forward Rink tipovі sumi kontraktіv stanovlyat od 5 to $ 100 million. USA, ale zagalom obmezhen schodo sum Absent.

NAME forward kontraktіv vіdbivayut vіdnoshennya trivalostі perіodu forward to zagalnoї trivalostі contract in mіsyatsyah, scho i ohoplyuє forward contract perіodi. Napriklad, if forward perіod becoming 1 mіsyats and contract - 3 mіsyatsі, the contract matim titles "one to chotiroh" (zapisuyut «FRA 1/4»).

TSІNOUTVORENNYA forward KONTRAKTІV (FRA)

Vazhlivim Etap in protsesі ukladennya forvardnoї lands Je vstanovlennya kontraktnoї rates. Bet obchislyuєtsya Treasury fahіvtsyami bank s upravlіnnya rizikami i proponuєtsya klієntovі, yaky zvernuvsya s drive forward contracts. On rіven kontraktnoї rates vplivayut chinniki scho їh neodmіnno take up uwagi analіtiki bank and the Same:

1) market analysis potochnі minds, Especially rinkіv f'yuchersіv that svopіv;

2) Results analіzu krivoї Ruhu bankіvskih aktseptіv;

3) i popit propozitsіya the forward Rink;

4) vlasnі mozhlivostі that znachuschіst Vlasnyi pozitsіy;

5) Results prognozuvannya shvidkostі directly that magnitude zmіni vіdsotkovih rates on market analysis.

Treasury Fahіvtsі pokladayutsya takozh i on Vlasnyi Dumka about rozmіr forward rates, scho daє zmogu vrahovuvati th Ti chinniki, SSMSC not toil kіlkіsnih characteristics. Otzhe, viznachennya forvardnoї rates - tse folding processes, yaky potrebuє Suchasnyj tehnologіy, kіlkіsnih metodіv analіzu that prognozuvannya, Visoko rіvnya pіdgotovki kadrіv.

Zdebіlshogo rіven contract rates for the forward lands descho vischy, nіzh rіven rates for credit, market analysis SSMSC dіyut on the spot. Zumovlyuєtsya Tse note scho if klієnt prognozuє znizhennya vіdsotkovih rates for loans, the ukladannya kreditnoї forvardnoї lands vtrachaє Sens. Zvertatisya to the bank s drive forward contract for a loan vipravdano deprivation in addition razі, if ochіkuєtsya pіdvischennya rates. Pіdvischena contract rate vіdbivaє nasampered rizik, scho yogo bere on itself a bank fіksuyuchi in Danian time maybutnіm rate for the loan.

Hoch on rіven kontraktnoї rates vplivayut rіznomanіtnі chinniki, ale based tsіnoutvorennya forward kontraktіv very hard rozrahunok forvardnoї vіdsotkovoї rates vikonuvany on pіdstavі dіyuchih rinkovih rates. Yakscho forward rates fіksuєtsya in ugodі, then won peretvoryuєtsya on the contract. I Prote forward contract rate shaping can not zbіgatisya.

Chіtko z'yasuvati mehanіzm tsіnoutvorennya for forward contracts is possible, rozglyanuvshi favor yak poziku that vkladennya koshtіv for minds, scho Bank pokrivaє vartіst contract. Taqiy pіdhіd daє zmogu rozrahuvati forward rates in tochtsі bezzbitkovostі, tobto mіnіmalny (Basic) rіven, nizhche od yakogo Bank zaznaє zbitkіv. The essence of the method viznachennya forvardnoї polyagaє rates have vikonannі poslіdovnostі such krokіv:

1) Bank robit on poziku market analysis for the amount of the contract for zagalny perіod dії yogo pid rinkovu bet that viznachaє vartіst takoї poziki;

2) Bank vkladaє on market analysis dan the bag in the forward perіod for scho otrimuє payment in viglyadі vіdsotkіv;

3) viznachaєtsya rіznitsya mіzh vartіstyu poziki that sumoyu, yak turned the vkladennya koshtіv the forward perіod;

. 4) in paragraph 3 zaznachena rіznitsya - tse Costa, scho for forward lands toil Buti styagnenі klієnta h i s a bet peretvoryuyutsya urahuvannyam trivalostі perіodu contract.

Bet obchislena for Relief zaznachenogo method nazivaєtsya forward rates in tochtsі bezzbitkovostі. Rozglyanemo Tsey method on a particular prikladі.

Forward lands for loans

The stock 7.3.

Klієnt zvernuvsya to bank 1 chervnya, Abi dіznatisya, yakoyu Buda for a loan at the rate of $ 10 million sumі. US perіod 3 mіsyatsі, pochinayuchi of 1 Lipno. On Danian hour at the market rate dіyut takі LІVOR for Dolar US chotirimіsyachna rate for a loan - 8.25%; odnomіsyachna rate - 8.18%.

Obchisliti rate for forward contracts in tochtsі bezzbitkovostі that opisati parametric land.

Rozv'yazannya

1. The Bank bere sumі credit from $ 10 million. US 4 mіsyatsі pid dіyuchu rinkovu rate of 8.25%, scho koshtuє 275,000 dollars .:

2. Bank credit nadaє whether Money Does klієntovі sumі 10 million dollars. US 1 mіsyats pid 8.18% otrimuє 68167 dollars for scho .:

3. scrip becoming 206833 dollars in tochtsі bezzbitkovostі .:

275000 - 68167 = 206833.

SAME Tse Ti Costa, SSMSC potrіbno otrimati od klієnta forward for land.

4. scrip 206833 dollars, peretvorena on vіdsotkovu rate, becoming 8.22%.:

Zauvazhimo scho scrip in tochtsі bezzbitkovostі, if peretvoryuєtsya to rate vіdnositsya not to pochatkovoї Sumi loan (10 million USD.), And to Sumi, in yakіy vrahovano prirіst vartostі (tse The basic scrip that vіdsotki, otrimanі for vkladennya koshtіv the forward perіod) .

Rozrahuvavshi rate bank proponuє klієntovі uklasti 1 chervnya forward sake, in yakіy bude zafіksovano rate for a loan at 8.22% rіvnі 3 mіsyatsі, pochinayuchi of 1 Lipno. Yakscho klієnt pogodzhuєtsya іz zaproponovanoyu rate, the forward rate peretvoryuєtsya on the contract. Contract matim takі characteristics: date ground - 1 chervnya; payment date - 30 chervnya; The maturity date of the loan - 30 Veresnya. Forward perіod stanovitime 1 mіsyats, contract perіod - 3 mіsyatsі. Hosting Project lands - «FRA 1/4».

Rozrahuvati rate for forward contracts mozhna sproscheno, zastosuvavshi formula serednoї geometrichnoї size:

(7.7)

de r - vіdsotkova rate scho dіє protyagom usogo perіodu forvardnoї land (i forward contract); r 1, r 2 - vіdsotkova vіdpovіdno rate in the forward contract that perіod (r 2 - nevіdoma magnitude rіvnyannya); T - uves perіod land, yaky i vklyuchaє forward contract perіodi (in days); t 1, t 2 - i vіdpovіdno forward contract perіod (in days); B - rozrahunku base (360 abo dnіv 365).

In tsomu rіvnyannі vіdomі OAO All quantities krіm forvardnoї rate r 2. Znaydena contract rate so bude with such a priblizno samoyu, yak i bet obchislena Perche method yaky daє tochnіshі result, urahovuyuchi zmіnu osnovnoї sumi for forward perіod. For another pіdhodu scrip loan vzagalі does not take up uwagi, scho generally produces up zavischennya forvardnoї rates (and otzhe, nablizhenogo її value) porіvnyano s Persha method.

Bet obchislena rozglyanutimi schoyno methods Je mіnіmalnoyu, tobto with such a scho not bring bankovі pributkіv i not zavdaє zbitkіv. Zvichayno, klієntovі proponuєtsya Vishcha rate, and the rate in tochtsі bezzbitkovostі pokazuє bankіvskim fahіvtsyam Mezhuyev, nizhche yakoї vstanovlyuvati nedotsіlno contract rate.

Virіshalnim factor yaky vplivaє on rіven kontraktnoї rates Je forecast zmіni vіdsotkovih rates protyagom usogo perіodu dії forvardnoї land. Yakscho bank peredbachaє znizhennya vіdsotkovih rates protyagom forward perіodu then Mauger zaproponuvati klієntovі contract rate for nizhchu rіven rates tochtsі bezzbitkovostі. In this razі Bank on the date please do not blame provoditi real operatsіy іz zaluchennya koshtіv that їh rozmіschennya the forward perіod. Yakscho viyavitsya forecast is correct, then the bank zmozhe zaluchiti Costa for vikonannya minds forvardnoї kreditnoї lands on the date rozrahunkіv pid vіdsotkovu rate nizhchu, nіzh to date ukladennya land. For takoї strategії Bank narazhaєtsya on vіdsotkovy rizik, ale Got otrimati mozhlivіst dodatkovy dohіd. Zaluchennya that rozmіschennya koshtіv bank in the forward perіod not Je obov'yazkovimi for vikonannya forvardnoї land. Tsі operatsії toil umovny character, i bank Mauger vikoristovuvati INSHI dzherela fіnansuvannya forvardnoї lands for a loan.

MEHANІZM VIKONANNYA forward KONTRAKTІV

Mehanіzm vikonannya minds forvardnoї lands Got osoblivostі, yakih polyagaє are in fact scho on the date of the loan rozrahunkіv klієntovі oformlyaєtsya pid dіyuchu rinkovu rate and rіznitsya mіzh rinkovoyu that the contractual rates at viplachuєtsya viglyadі konkretnoї sumi koshtіv. Taqiy pіdhіd zdіysnennya forward to cater to zumovleny tim, scho loan nadannya i obslugovuvannya forvardnoї lands rozglyadayutsya yak Dvi okremі - credit that forward - bankіvskі operatsії. Zaznacheny mehanіzm dozvolyaє ukladati forvardnі contracts in rozrahunku umovnu on the bag. Oznachaє Tse, scho factual vidaєtsya loan is not, and the bank abo klієnt viplachuyut deprivation rіznitsyu mіzh rinkovoyu that the contractual rates in rozrahunku umovnu on the bag. Organіzatsіyno ukladannya vikonannya that forward lands - Right of Treasury Bank abo fіnansovogo upravlіnnya and nadannya loan - credit department, yaky oformlyaє Credit klієntom s favor on zagalnih pіdstavah.

Bank fіksuє rinkovu rate for two londonskі robochі dnі to dati payment, Yakscho on the way to please osnovі LІBOR rates in US Dolar. For land, SSMSC ukladenі kanadskih in Dolar, date fіksingu zbіgaєtsya s datoyu payment. Pіslya of yak rinkovu rate zafіksovano bank obchislyuє in penny virazhennі rіznitsyu mіzh rinkovoyu that the contractual rates, yak nazivaєtsya rozrahunkovoyu sumoyu PC:

(7.8)

de r - rinkova rate at the date of fіksingu; r * - Contractual interest rate; t - Quantity dnіv have contractual perіodі; OS - Basic scrip contract.

Rozrahunkova scrip vіdbivaє rozmіr vigrashu abo prograshu for forward lands at the date of maturity. The order of payment - otrimannya nalezhnoї rіznitsі - ustanovlyuєtsya for domovlenіstyu uchasnikіv from day ukladennya land, ale zdebіlshogo OAO All rozrahunki conductive at the date of payment. For tsogo diskontuyut rozrahunkovu the bag before i dati payment znahodyat scrip payment joint venture:

(7.9)

The stock 7.3. (prodovzhennya)

Turning to butt 7.3 obchislimo scrip payment for minds, scho on fіksingu date 28 chervnya LІBOR becomes 8.5%.

Rozrahunkova scrip dorіvnyuvatime, dollars .:

Amount on the date of payment rozrahunkіv stanovitime, dollars .:

Oznachaє Tse, scho 30 chervnya klієnt otrimaє rozmіrі credit from $ 10 million., Yaky bude pid decorated rate of 8.5%. Prote oskіlki of minds forvardnoї lands contract rate becomes 8.22%, the bank viplatit klієntovі scrip rozmіrі payment in 6854 dollars. Yakscho zgіdno s sake of 10 million soums dollars. Bula umovnoyu i vidavavsya loan is not, then the bank MAV deprivation viplatiti klієntovі scrip payment. In vipadkah, if the rate at the date of fіksingu viyavitsya nizhchoyu of contract, payment scrip otrimaє Bank od klієnta.

Forward lands Mauger yak umovno rozglyadatis parі on rіven vіdsotkovoї rate on the date in viznachenu maybutnomu. One Zi storіn, yak UCLA sake, vigraє otrimuє i Costa, іnsha - prograє i pay. Dodatkova Pay at viglyadі komіsіynih for forward contracts is not styaguєtsya.

Payment amount, scho її viplativ Bank klієntovі, vіdnositsya on vitrati Yea i sumoyu nedooderzhanogo pributku bank. Oznachaє Tse, scho scrip payment - tse not pryamі zbitki bank and vtrachena mozhlivіst otrimati dodatkovy dohіd. Same those scho bank to spend on a date usі operatsії ukladennya lands i operuє s real and not prognozovanimi vіdsotkovimi rates daє Yomou mozhlivіst not carry forward for real zbitkіv lands navіt i todі, if rinkovі rate at the date of fіksіngu perevischuyut kontraktnі. In rozglyaduvanіy situatsії Bank rozmіschuє resources pid nizhchu contract rate nіzh mіg tse bi zrobiti without zobov'yazan for forward contracts. Tse dozvolyaє scrip payment, scho її viplachuє bank klasifіkuvati yak vtrachenі mozhlivostі vigіdnіshe rozmіstiti Costa.

For zbalansovanogo pіdhodu to upravlіnnya asset i pasiv bank Mauger uniknuti vtrat forward for land, SSMSC vinikayut through nespriyatlivy for Demba ruh rates tobto not rizikuvati navіt "vtrachenimi mozhlivostyami". For tsogo bankovі neobhіdno uklasti forward for the sake of a deposit on the bag Ti samі th termіni, scho th in forvardnіy kreditnіy ugodі. Todі vitrati scho pov'yazanі s viplatoyu SUMI payments vdastsya kompensuvati income od forvardnoї depozitnoї to please, i navpaki. Taqiy pіdhіd dozvolyaє hedzhuvati vіdsotkovy rizik bank ale not daє mozhlivostі otrimati dodatkovі perevagi od spriyatlivoї zmіni vіdsotkovih rates. Napriklad, Yakscho rinkova rate at the date of fіksingu bude nizhchoyu for contract, then forward s zgіdno lands for a loan bank otrimaє dodatkovy Prybutok in viglyadі sumi payment od klієnta. Ale s zgіdno forward to please the bank deposit zmusheny bude viplatiti klієntovі vischu deposit rates, nіzh one yak dіє on market analysis.