Financial management bank - Primostka LO

7.4. PROCESS HEDZHUVANNYA F'YUCHERSAMI VІDSOTKOVIH RATES

F'yuchersny contract korotkostrokovі vіdsotkovі rates - tse lands mіzh owner (pokuptsem) s one side, that of the Chamber klіringovoyu f'yuchersnoї bіrzhі, s іnshogo, about the supply (priyyattya) standartnoї kіlkostі penny koshtіv pid viznachenu vіdsotkovu rate on a specific date in maybutnomu .

Ukladennya f'yuchersnoї lands on vіdsotkovі oznachaє rates scho Seller bere on itself zobov'yazannya Nadachi loan default rate vіdsotkovu rozmіru pid scho fіksuєtsya at the time of the sale contract. Date vikonannya such f'yuchersnogo contract vіddalena deyakim promіzhkom hour od i dati ukladennya lands Je STANDARD. Pokupets f'yuchersnogo vіdsotkovogo contract zobov'yazuєtsya priynyati credit for analogіchnih minds.

Ninі on bіrzhah nayaktivnіsha torgіvlya vіdbuvaєtsya these types f'yuchersіv yak єvrodolarovy f'yuchersny contract (IMM, LIFFE), f'yuchersny contract for 90-denny kaznacheysky bill Uryadov US (IMM), f'yuchersny contract sterlіngovy trimіsyachny deposit (LIFFE) . Cutaneous type kontraktіv Got the standard nomіnalnu vartіst, yak becoming one million dollars. US - for єvrodolarovih f'yuchersіv that f'yuchersіv 90-dennі kaznacheyskі vekselі, 250,000 funtіv sterlіngіv - for f'yuchersіv sterlіngovі on deposits. The basis of skin type f'yuchersnih kontraktіv very hard vіdpovіdny fіnansovy іnstrument, dohіdnіst yakogo formuє tsіnu f'yuchersіv. Єvrodolarovі f'yuchersnі Kontrakty ґruntuyutsya on єvrodolarovih trimіsyachnih String deposits, contracts for kaznacheysky bill - 90-dennih kaznacheyskih bills US Uryadov, f'yuchersi sterlіngovі on deposits - by trimіsyachnih String deposits in pounds sterlіngіv.

F'yuchersnі contract for korotkostrokovі vіdsotkovі otsіnyuyutsya rates for іndeksnim tsіnoutvorennya method. Oznachaє Tse, scho Cena f'yuchersu, vipisanogo on korotkostrokovy fіnansovy іnstrument, podaєtsya yak 100 mіnus ochіkuvana vіdsotkova rate for danim іnstrumentom penny on market analysis. Іndeksny method of establishing tsіni dozvolyaє vstanoviti Normal obernenu zalezhnіst mіzh tsіnami f'yuchersіv that tsіnami korotkostrokovih fіnansovih іnstrumentіv, pokladenih in їh basis. Chim vischoyu Je ochіkuvana vіdsotkova іnstrumentu rate (deposits, bills of exchange), tim bude nizhchoyu Cena f'yuchersu, i navpaki. Napriklad, Yakscho dohіd 90-dennim kaznacheyskim bill becoming 9.73%, then Cena vіdpovіdnogo f'yuchersnogo contract dorіvnyuvatime 90.27 (100 - 9.73). Tse іndeksna vartіst (Cena) f'yuersnogo contract yak zavzhdi podaєtsya in standartnіy formі records: Dvi znachuschі figures, Desyatkova krapka, Dvi digits pіslya krapki (navіt, Yakscho Stay zero figure).

Rules bіrzhі vstanovlyuyut mіnіmalny rіven zmіni tsіni f'yuchersu - TIK, yaky dorіvnyuє sotіy chastinі od 1%. Namagayuchis stvoriti minds for efektivnoї torgіvlі, bіrzhі garantuyut scho tіki in odnakovih types f'yuchersnih kontraktіv toil STANDARD vartіst penny. Vartіst tіka obchislyuєtsya yak rozmіr tіka multiplied by the contract nomіnalnu vartіst s urahuvannyam termіnu yogo dії. For єvrodolarovogo f'yuchersu that f'yuchersіv on kaznacheyskі vekselі vartіst tіka becoming $ 25. USA:

For f'yuchersіv on sterlіngovy deposit vartіst tіka dorіvnyuє 6.25 funtіv sterlіngіv:

Mehanіzm zdіysnennya f'yuchersnih lands on korotkostrokovі vіdsotkovі rates do not vіdrіznyaєtsya od zagalnopriynyatogo (div. Pіdrozd. 6.3). When vikonannі operatsіy s єvrodolarovimi f'yuchersami rozmіr pochatkovoї marzhі becoming $ 2,000, rozmіr pіdtrimuvanoї marzhі -. $ 1,500. (ІMM). Efektivnіst hedzhuvannya for Relief f'yuchersіv on korotkostrokovі vіdsotkovі rate deposits od korelyatsії mіzh carrying that f'yuchersnoyu pozitsіyami participant market analysis. Hedge Got include takі pozitsії for f'yuchersnimi contracts SSMSC ekonomіchno pov'yazanі s carrying pozitsієyu hedger i priznachenі for zmenshennya riziku scho vinikaє in protsesі zdіysnennya komertsіynih operatsіy kompanії chi jar. Napriklad, if kompaniia Got in aktivі 90 dennі kaznacheyskі vekselі i Uryadov US peredbachaє padіnnya rіvnya vіdsotkovoї rates for tsimi tsіnnimi Paper the then hedzhuvati Taqiy rizik neobhіdno for Relief f'yuchersіv kaznacheysky on the bill, not єvrodolarovih f'yuchersіv abo yakihos іnshih kontraktіv. In this razі znizhennya dohіdnostі Bills bude kompensovano pіdvischennyam tsіni vіdpovіdnih f'yuchersіv.

F'yuchersnі contract for korotkostrokovі vіdsotkovі rates mozhut vikoristovuvatisya for hedzhuvannya riziku zmіni tsіni fіnansovih aktivіv, SSMSC toil Visokiy koefіtsієnt korelyatsії mіzh tsіnami trumpery that f'yuchersnogo rinkіv.

Mehanіzm dії f'yuchersіv vіdsotkovoї rates that sutnіst operatsіy hedzhuvannya vіdsotkovogo riziku rozglyanemo on prikladі єvrodolarovogo f'yuchersnogo contract yak s one naybіlsh popular fіnansovih f'yuchersіv. We hover Dali prikladі hedger Je bank, KOTRA uzyav credit for mіzhbankіvskomu market analysis, ale on praktitsі whether yaky Mauger pozichalnik so needless hedzhuvati svіy rizik.

ЄVRODOLAROVY F'YUCHERSNY CONTRACT

The stock 7.4.

Purshia Ukrainsky Bank (PUB) otrimav od Mіzhnarodnogo Bank (WB) loan from єvrodolarah 5 million termіnom for one Year. Credit vidano pid plavayuchu rate yak pereglyadaєtsya kozhnі 3 mіsyatsі i bazuєtsya 90-dennіy stavtsі LIBOR. The following date pereglyadu rate for Credit lands - 16 chervnya, Je takozh datoyu f'yuchersnogo supply contract єvrodolarovy trimіsyachny deposit.

20 Bereznev on zasіdannі Komіtetu s upravlіnnya assets that pasiv Bulo PUB proanalіzovano forecast zmіni vіdsotkovih rates zgіdno s Yakima 90 dennі LIBOR rates zrostut іz stream rіvnya rіchnih 7.5% to 8.2% rіchnih 16 chervnya. Komіtet virіshuє hedzhuvati vіdsotkovy rizik for Relief operatsіy s єvrodolarovimi f'yuchersnimi contracts i vіddaє mandate Treasury spіvrobіtnikovі bank prodatsya neobhіdnu Quantity kontraktіv. Opisati favor.

Rozv'yazannya

The following day, 21 Bereznev manager zv'yazuєtsya s broker f'yuchersnoї bіrzhі, Cauterets povіdomlyaє scho єvrodolarovy f'yuchersny contract Cherven kotiruєtsya on Mіzhnarodnіy Londonskіy bіrzhі fіnansovih f'yuchersіv (LIFFE) s іndeksnoyu tsіnoyu 92.50. Oskіlki kerіvnitstvo PUB chekaє zrostannya 90 dennoї rates 70 basis punktіv protyagom troh months at the following (a otzhe, padіnnya tsіni chervnevih f'yuchersіv rіvnya to 91.80), the manager vіddaє mandate brokerovі schodo sale 5 f'yuchersnih kontraktіv to Cherven.

When stavtsі 7.5% rіchnih viplata vіdsotkіv Mіzhnarodnomu bank for 3 mіsyatsі stanovitime, dollars .:

Yakscho zrostut rate to 8.2%, the scrip zobov'yazan PUB s viplati vіdsotkіv zroste for the amount of 8750 dollars .:

Suma 8750 dollars. i yavlyaє him vtrati, yakih Mauger zaznati PUB through vіdsotkovy rizik i yakih pragne uniknuti hedzhuvannyam.

Cutaneous basis points єvrodolarovogo f'yuchersu koshtuє $ 25. i to tsіni f'yuchersu koshtuvatimut 1750 USD 70 basis punktіv zmіni. (25? 70 = 1750) per contract. For Povny hedzhuvannya SUMI in 8750 dollars. neobhіdno prodatsya 5 kontraktіv (8750 1750 = 5).

Yakscho viyavivsya forecast is correct, then in the way of chervnі PUB protilezhnu sake i buy 5 kontraktіv for іndeksnoyu tsіnoyu 91.80, Closed-abi Pochatkova pozitsіyu. Otzhe bank obsessed Prybutok od Venue of f'yuchersnih operatsіy in 8750 dollars sumі. 5 kontraktіv protyagom quarter, scho th pokriє dodatkovі vitrati bank s viplati vіdsotkіv for the loan. Zavdyaki rіshennyu about hedzhuvannya riziku PUB zmіg win a efektivnosti rate of 7.5% for the following trimіsyachny perіod loan pochinayuchi of 16 chervnya.

Yakscho forecast PUB viyavivsya wrong i vіdsotkovі rates zrosli not, Yak Bulo peredbacheno and znizilisya, the bank vtrachaє Costa on operatsіyah s f'yuchersami, ale z vigraє viplati vіdsotkіv Look for a loan.

We hover prikladі Cena єvrodolarovogo f'yuchersu zmіnyuєtsya parallel s kasovoyu tsіnoyu, tobto basis Je steel protyagom usogo perіodu hedzhuvannya. Tse gave zmogu bank will win Prybutok od f'yuchersnih operatsіy rozmіrі in 8750 dollars. - Sama stіlki, dwellers kompensuvati dodatkovі vitrati obsession for credit.

PROCESS ІDEALNOGO HEDZHUVANNYA F'YUCHERSAMI VІDSOTKOVOЇ RATES

Zrozumіti mehanіzm dії f'yuchersnih kontraktіv s metoyu hedzhuvannya vіdsotkovogo riziku dopomagaє usvіdomlennyu sutі doskonalogo, abo іdealnogo, hedzhuvannya. Traditsіyny іdealny hedge skladaєtsya s balansovoї pozitsії on specific fіnansovy іnstrument to yakoї dіbrano rіvnu for rozmіrom, ale protilezhnu for directly pozitsіyu f'yuchersnomu on market analysis. When tsomu based f'yuchersnih kontraktіv hard at that samy asset for carrying scho oblіkovuєtsya pozitsієyu. On praktitsі takoї vіdpovіdnostі dosyagti easy, Ale butt doskonalogo hedzhuvannya dopomagaє zrozumіti mehanіzm dії f'yuchersnih kontraktіv scho underwrite metі Zahist od vіdsotkovogo riziku.

The stock 7.5.

ІDEALNE HEDZHUVANNYA F'YUCHERSAMI VІDSOTKOVOЇ RATES

Vikoristovuyuchi minds poperednogo butt, porіvnyaєmo result hedzhuvannya vіdsotkovogo riziku bank in razі, if protyagom troh od 20 months at Bereznev LIBOR rate:

a) not zmіnitsya i stanovitime 7.5%;

b) zroste rіvnya to 8.2%;

c) znizitsya rіvnya to 7%.

Rozv'yazannya

Result hedzhuvannya imposed in tabl.7.3.

Table 7.3.

Result ІDEALNOGO HEDZHUVANNYA

number

Pokaznik

LIBOR on 16 chervnya

p / p

7.5%

8.2%

7%

1

Viplata vіdsotkіv for a loan dollars.

-93,750

-102500

-87,500

2

Cena sale of the contract 21.03

92.50

92.50

92.50

3

Cena kupіvlі a contract 16.06

92.50

91.80

93.00

4

Zmіni in іndeksnіy tsіnі (TIK)

-

70

-50

5

Result operatsіy s f'yuchersami (5 kontraktіv) dollars.

-

8750

-6250

6

Zagalny result, dollars. (Row 1 + row 5)

-93,750

-93,750

-93,750

7

Efektivnosti rate,%

7.5

7.5

7.5

Zavdyaki Carrying operatsіy hedzhuvannya whether SSMSC zmіni vіdsotkovih rates not vplinuli on kіntsevy result. The rate for a loan to zalishilasya PUB nezmіnnoyu i becoming 7.5%. Same Taqiy rіven vіdsotkovoї rates CCB zafіksovany at the time of the f'yuchersnoї operatsії, oskіlki Cena sell one contract becomes 92.50, scho th oznachaє rate of 7.5%.

Otzhe, zavdyaki hedzhuvannyu for Relief єvrodolarovih f'yuchersnih kontraktіv pozichalnik unikaє riziku zmіni kreditnoї vіdsotkovoї rates. F'yuchersnі Kontrakty dozvolyayut zafіksuvati f'yuchersnu tsіnu asset scho sklalasya on market analysis for an hour Venue of f'yuchersnoї operatsії, ale not give zmogi zafіksuvati tsіnu spot on Tsey asset.

At butts 7.4 i 7.5 rozglyanuto types of short hedge, yaky Mauger zatsіkaviti pozichalnika in razі maybutnogo pіdvischennya vіdsotkovih rates. Provodyachi operatsіyu sale f'yuchersnih kontraktіv, hedger utvoryuє Boxed Short pozitsіyu, yak oblіkovuєtsya posture balance.

Analogіchnі result daє Dovgy hedzhuvannya f'yuchersami. Klasichny butt Dovgy hedge polyagaє in fact, scho Bank kupuє f'yuchersi, dwellers will win pributki in maybutnomu, if the stench will prodanі for vischoyu tsіnoyu. Taqiy Prybutok kompensuє hedger vtrati Chastain dohodіv for tsіnnimi Papero, napriklad, 90-dennimi kaznacheyskimi bills Uryadov US SSMSC vinikayut vnaslіdok znizhennya vіdsotkovih rates. Same znizhennya vіdsotkovih rates potyagne yourselves pіdvischennya tsіni f'yuchersіv. Kupuyuchi f'yuchersi bank stvoryuє dovga pozitsіyu.

Navedenі schoyno butt іdealnogo hedzhuvannya іlyustruyut osoblivostі strategії hedge, if vpliv nespriyatlivoї zmіni vіdsotkovih rates kompensuєtsya results fіnansovih operatsіy іz f'yuchersami.

In realnіy dіysnostі dosyagti Povny hedzhuvannya nemozhlivo s kіlkoh reasons. Golovna reason nemozhlivostі zdіysnennya іdealnogo hedge on praktitsі polyagaє in fact scho basis B (rіznitsya mіzh gotіvkovimi that f'yuchersnimi tsіnami) Mauger uniquely zmіnyuvatisya s hour. Koli basis protyagom termіnu Venue of operatsіy hedzhuvannya zmіnyuєtsya in nespriyatlivomu napryamі then Chastina kompensatsіynogo pributku, obsession od f'yuchersіv, Mauger Buti vtrachena. A Yakscho basis zmіnyuєtsya in spriyatlivomu napryamі, then f'yuchersnіy storonі hedge bude otrimano neperedbacheny Prybutok. Ale in Persha i i in another razі not hedge Je іdealnim. Rіznomanіtnі strategії hedzhuvannya spryamovanі to those dwellers peredbachiti mozhlivі zmіni in bazisі th virobiti vіdpovіdny pіdhіd to hedzhuvannya.

Іnshoyu cause of nerealnostі іdealnogo hedzhuvannya Yea those scho know f'yuchersny contract vipisany on Ti samі fіnansovі assets kotrі pokladenі based balansovoї pozitsії, vdaєtsya far zavzhdi. Іnvestor Mauger pobazhati zdіysniti hedzhuvannya tsіnnih paperіv korporatsіy abo Bills for yakih not іsnuє f'yuchersnih rinkіv. Todі for hedzhuvannya neobhіdno vibirati Ti f'yuchersnі contracts SSMSC dіyut on danomu Rinku th toil naytіsnіshu korelyatsіyu s tsіnami fіnansovih aktivіv, SSMSC neobhіdno hedzhuvati. Hedzhuvannya one fіnansovogo asset f'yuchersnim contract for Inshyj asset vіdome yak "perehresne hedzhuvannya". In tsomu razі hedger pіdpadaє pid slit one type of base riziku, pov'yazanogo s tim, scho Absent garantії paralelnoї zmіni vіdsotkovih rates for rіznimi fіnansovimi assets.

On vibіr vіdpovіdnogo type f'yuchersnih kontraktіv in protsesі hedzhuvannya vplivaє takozh rіven lіkvіdnostі danogo f'yuchersnogo market analysis. Іnodі sklastisya situatsіya Mauger, scho on market analysis Je f'yuchersny contract Cauterets vіdpovіdaє require hedger, ale yogo lіkvіdnіst nedostatnya. Todі brought vikoristovuvati drugoryadny, ale bіlsh lіkvіdny f'yuchersny contract.

To conduct іdealnogo hedge neobhіdno, sumi dwellers th row balansovoї that f'yuchersnoї pozitsіy zbіgalisya. Dosyagnuti tsogo vdaєtsya not zavzhdi, oskіlki f'yuchersnі lands toil standartnі sumi dії th row. Hedzherovі slіd dobiratsya line that sumi f'yuchersnih kontraktіv, SSMSC will nayblizhchimi to rozmіrіv i termіnіv dії іnstrumentіv scho oblіkovuyutsya for carrying pozitsієyu. Ale bude not TAKE hedzhuvannya іdealnim.

Venue of the reasons Perelіchenі nerealnostі doskonalogo hedzhuvannya for Relief f'yuchersnih kontraktіv uniquely uskladnyuyut zavdannya mіnіmіzatsії vіdsotkovogo riziku scho postaє before the hedger. In protsesі іdealnogo hedge vіdsotkovy rizik zvoditsya to zero naspravdі Well processes hedzhuvannya dopomagaє uniquely zniziti rizik, ale povnіstyu uniknuti vіdsotkovogo riziku mayzhe nemozhlivo.