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Фінансовий менеджмент банку - Primostka L.O.

8.4. Hedzhuvannya ф'ючерсними contracts on the foreign currency

Ф'ючерсні контракти на нонону валюту - це цегода між by the seller (by the buyer) and by the klіringovoyuyu palatyu f'juchernoї bіrzhi about sales (купівлю) the standard amount of one dollar for the currency for the foreign exchange rate for a specific date in Maybutnomu. The sutnist f'yucernogo currency contract polyagae in that, shob zafiksuvati at the time of the settlement of the currency exchange rate, for a way to sell the transaction of the sale of currency in Maybutnomu.

Tipi f'yuchershnih contract on the foreign currency to finish riznomannitі і змінемться від біжжі to біржі for nomіnnoyu vartіstyu that kinds of currencies, to be exchanged. The subject of the auction is the futures on the US dolary, canadian dolari, pound sterling, FRN marks, Swiss francs, єni, Australian dolari, Mexican pesos, French francs.

Ф'ючерсніcontacts to the foreign currency should be examined with a view to the main exchange rate. Specificity of the pricewater is the American way of quoting. Tse means, at foreign currency futures all currencies, vyhodachi z kіlkostі dolariv in rozraunku on odinnitsu neozemnoy currency. The minimum amount of money in a currency futures, yak i in a fatal vipadku, і тік. Ale rozmіri ta vartіst tіkіv for rіznyh f'yuchersnyh kontraktіv to the currency is not the same, the severities of the rіznі currency mаyut різну вартість у доларовому вираженні. Номінальні sums contractів, розмір та вартість тіків for різних типів контраків is indicated in the table. 8.2.

In all vipadkah pributok chi chickens for f'yuchernosyu operatsiєyu viznachaetsya yak dobutok vartostі tіka, kіlostі tіkіv, the yak zmіnilas tsina contract, that kilkostі contractіv vіdkritoyu uchasnikom rinku positsієyu.

At bіlshostі міжнародних бірж валюні ф'ючерси діють on the basics of the quarterly cycle, if the birch, the wormwood, the heather that chest, the supplies for the contractual contracts.

Різноманітність ф'ючерсів на іноземну currency allow the hedgers of vibaryti soi contracti, yakі majut a high рівень кореляції з balance position and і досить exactly віделывають зміни у курєних курсах. Yaksho currency position of the participant of the market is vitiated in one of the main currencies, then the hedge is spent for the addition of f'yuchers to that very same currency. A yakshcho hedger maє vidkritu positsіy u currencies, for the sake of not complying with the type of f'yucernnyh contract, then neobhidno dibrati such f'yuchers, zmina tsini i yakogo bula b paralelnoyu zmіynі obmіnogo course of the exchange of currency. For viyavlennya tisnoti zalizhnostі mіzh zmіami tsіn zastosovuyutsya korelyatchesіnogo analiza.

Table 8.2

Main characteristics of foreign exchange contracts

Hedzhuvannya currency risk for the extradition of the futures contracts for the foreign currency in the amount of money in the amount of compensation for compensations for the balance position by surplus for the futures position and navpacks. Principles of the Mechanism of hedge-ivanie are discernible on the buttocks of the ideal hedgehwan with futures.

The application 8.3.

DOVGE HEDZHUVANNYA FOREIGN EXCHANGE FUCHURS

Клієнт банку - американська компанія підписала в березні contract for the supply of a holding from Nimeccini to a sum of DM 500,000 in cash to the payment to the chernivnya. Otzhe, in americanskoe kompanії stvoryuetsya korotka vіdkryta kozhinana posіtsіya za dojchmarkami. The company is accustomed to the currencies of risky, the consequences of the mark exchange rate to the dollar, extending through three months. Yakschoo management of the company of rehearsals, the course of the brand to the dollar, is extended through the length of the given period, then the foreign exchange position can be lined with a dose that allows you to add additional information to the course.

Manager of the bank to radiate kerіvnitsvu companies do not priymati on themselves currency risky, oskilki forecast svidchchat pro mozhlove pidvishchenya course marka-dolar. Tomu proruchennyam klієnta manager banka kupuє for kompanії chervnevi f'yucernny kontrakti in dojchmarkah, wartness of some at the moment of operation become DEM / USD = 0.5400. Describe the operation of a hedge.

Розв'язання

Купуючи ф'ючерси, компанія створиє довгу позицію, яка за розміром дорівнює балансовій позиції in DM 500000, і врівноважує її. Oskilki suma one contract in nonmarket stamps to become DM 125000, then for a different hedge in the currency of the currency position it is necessary to buy 4 contracts (500000: 125000 = 4).

At the Chervni company we will carry out the sale of chotiriok f'yuchers. Yakshto brand course to Dolar pidvishchitsya, then the company vigraє on f'yuchersah i obsches pributok sopryamє na zaplacheniyu dodatkovyh vitrat z kupivlі DM 500000, on the spot market. Yaksho, navpaki, the brand's rate of znizytsya, then vigrashe budey otrimano on baltsovo prosozhії kompanії for rahunok kupіvlі DM 500000 on spotovuyu zinku vigyednіshim course. For f'yuchersami in such times, the company is zabot zbitk, in the sum of the basic operation of the purchase of brands, dadut such a result, yak i in alternate vipadku. Projlyustruмоmo skazane on numerical applications (Table 8.3), de rorachovano results х hedzhuvannya currency ри при при при при:

A) DEM / USD = 0.5500

B) DEM / USD = 0.5400

C) DEM / USD = 0.5300

Table 8.3

The result of an ideal hedge of currency by currency

The operation of hedging allowed the American company to uniquely reduce the currency risk, which was charged with the exchange rate of the Ukrainian mark in the course of three months. Already in the birch country with the implementation of the operation of the cornflower futures, the company zafiksuala for itself the exchange rate on the river DEM / USD = 0.5400, and the annuity, and vartit zadnannya in dolarah - 270000.

Zavdjaki hedzhuvannju be-yakі zmіni at a rate of exchange for sumoju f'juchernoї operatsii that operatsіvі of marks on a penny rink to give one and the same result for the company. Take hedgevannya nazivayutsya thoroughlings, aboidalnym, oskilki vono permissibility ponynisty unikuti currency risky. ALE mozhnlivost carried out the ideal hedge-huyu є skorishe teoretichnoyu, nizh practical for a number of obektivnyh reasons, rozgljanutih earlier.

The application 8.4.

THE BRIEF OF HEDZHUVANNYA FOREIGN EXCHANGE FUCHURS

The bank, the base currency of which I am an American dollar, is maturing against a foreign currency position for pound sterling, while the yak was incurred with a loan in the amount of Ј75000 from 01.07.98 until 15.09.98. For predictions to the bank, the rate of sterling for a long period of time is too high, and the management of the hedge is in favor of positioning for the import of sterling and dolar futures contracts. 01.07.98 at LIFFE f'ючерсніcontracts for sterling-dolar were quoted at GBP / USD = 1.6500. Describe the operation of a hedge.

Розв'язання

For the hedge of foreign currency, the bank needs to sell 3 contracts (75000: 25000 = 3). Otzhe, at the bank stvoiutsya piece short position, yaka for the size dorivnyuє, alle for the tightness of the balance of the currency position.

09/15/98 virishiv Bank zakriti f'yucernnu positsiyu shlyom komіvli three contracts for the sterling-dolar exchange rate at the price of 1.5900, sho folded on the date. During the period, by stretching out a bank, having exaggerated the position on the market, 600 tiks ([1.6500 - 1.5900] • 0.0001) became one contract in one contract.

At LIFFE, the quality of the TIC in sterlingo-dolar contracts is $ 2.50. Отже, від spent ф'ючерсної операції з трьома contracts the bank having gained a surplus at розмірі 4500 dollars. (2.50 • 600 • 3 = 4500).

Al for the main position, the bank having recognized the zbits through the znizhennya rate of pounds sterling at such a rozmіrі. As of 01.07.98, the output of Ј75000 at the Dolar virazhenny was 123750; On September 15, 1998 - $ 119250. Znizhennia dolarovoy vartosty credit to become 4500 dollars. (123750 - 119250). Pributok, oderzhany at conducted f'yucernnyh operatsiy, allowing the bank kompensuvati vtrati for the basic positsієyu.

Otzhe, rіshennya about hedzhuvannya for допомогою currencies ф'ючерсів allowed the bank to unite currency risk. Здійснення ф'ючерсних операцій gave mozhnivist bank zafіksvati ф'ючерсний (майбутній) rate of currency on the river, sho folded at the time of the sale of the contracts on 01.07.98. Ale f'yucersny rinok do not give zmogi zafiksuvati spot-rate. Різниця між spot-rate and ф'ючерсним a course at the moment здійснення ф'ючерсної операції - the basis - to become that value, the Yaku risk can not be disturbed by a real diseconomy. At the induced application, the pripushchenya is corrupted, the basis is no longer zero, and the process of hedging is adjective.

ORGANIZATION OF FUTURAL TRADE IN UKRAINE

In Ukraine, trading in futures contracts was concluded at the Kyiv National Bank of Ukraine (1997) on the Ukrainian Mіzhbankівській валюній біржі (1998 рік).

To bid for trading with futures contracts for the foreign currency - US dollar, nonmarket brand, and takozh f'yucherami on the regional internal control positions (OVDP). The standard number of contracts is $ 1000, DM 1000 is 10 oblovatsiy OVDP. Nyaktivnisha torgivlya spostereagala contracts for American dolari. Torgovlya f'yucherami at the OVDP deco is accommodated in the amount of the riches of the rents in the line of repayment of the regional auctions, and also through the problems with the income received from the DDP (dd. 13, 14).

In Ukraine, the futures for the foreign currency are to be assessed with the main exchange rate (direct quotation). System tsinotvorennya f'yuchersnogo rink is parallel to the currency market, i tsini currencies in contracts vkazyuyutsya in hryvnia. Tse means, scho in the Ukraine f'yucersi kotiruyutsya in єvropeyskikh kotirivanney, todi yak on the international f'yuchersnyh birzhi priinyato otsinyuvati kontrakty, vyhodachi z kіlkostі dolarіv na odnitюsu іnshїї currency (American kotirivannya).

Терміни дії ф'ючерсних контраків закінчаться щомісяця, а не щокварталу, як на міжнародних біржах. Торгівля відбувається ф'ючерсними contracts з усіма місяцями виконання в межах року, але не більш ніж на 12 місяців уперед.

Мінімальні зміни ціни ф'ючерсів у процесі торгів - крок ціни - встанолюються rules Біржі. For ф'ючерсів на долар США крок ціни (тік) дорівнює 0,0001 UAH. (0,01 kop.) In rozrajunku on one dolar. Zmіni tsіni rozrahovuyutsya yak rіznitsya mіzh tsіnoyu vіdkritta kommercheskoy sesії ta kotirivalnoyu tsіnoju, scho viznachaetsya pri zakrittі sesії dokazhno mnogo mozyatsya vikonannya kontraktu.

On the UMVB, the cliring is carried out by the accrediting bank "Cliringovy Dym". The registration of the skin trade transactions with the overhaul variatsynoi margi zra rahunku of the party, the yak has been defeated, the rakhunok parties, she has played. Vikonannya vsekh f'yuchersnyh kontraktiv guarantors Rosahraukovoyu chambers.

Brothers fate in the futures trading can be legal entities of those individuals through the members of the Klinging house, yakis одно one-hourly by the members of the string section of the UMVB. For conducting f'yuchersnih operatsii potrybno vidkriti klієntskiy rahunok from a member of the Cliring House, for a kind of koshti, necessary for the conduct of operations. Allowable minimum of grotesque koshtiv on rahunku viznachaetsya the magnitude of pochatkoy ta dodatkovoi margin, neobhidnoy for zabezpechennya vіdikritih posііі klієnta. Розмір маржі in розрахунку for one відкриту posіcію to become 2-5% nomіnalіnі wartostі contract.

Додаткова маржа є фінансовим підкріпленням початкової маржі і Вететься клієнтами на підставі розпорядження Clir ing house in such vipadkas: from the messengers to the contract; For nayavnost rizkih kolivan tsin on rinku, yakі mozhut can call up to destabilizatsii system of guarantee f'yuchersnogo rinku.

To the method of obmenzhennya monopolism klієntіv ta zabezpechennia stabilnosti f'yuchersnogo rinku rules of the birzhi set up kіlkіst відкритих posііій on one рахунку за кожним вид і кожним місяцем виконання контрактів.

Vikonannya f'yucershnih kontraktiv mozhlive shlyah supplies (prinyattya) real asset (currency ODP), abo shlykh write-off (zarahuuvannya) variatsynoi margin pislja zdіysnennya offset (rozraunkovy fyucers). The registration of the purchase-sale agreement for the currency is to be performed by the members of the Claying House on the offensive day of the day when the remaining day of the auction is given the kind of contract. Pererahunok koshtiv for the contract of supply of currency vikonuetsya in tridenny period pislya zakrtya torgiv. Далі на підставі повідомлень оповноважених bankів about pererahuvannya currencies positsія продавця і покупця закриваються. For kozhny fjuchersny contract klієntami raspuchuyut birzhovy zbir. Bidding f'yuchersami vidbuvayutsya in the hall birzhi z voice vikoristannyam elektronnogo scoreboard, de fіksyutsya usnі applications brokeryv on kupivlyu chi sales contractov. Укладення угоди фіксується біржовим by the broker at protocol of trade. The members of the Cliring House may have the right to take part in the futures trades for the local authorities for the doruchennyi klієntіv. AB Kliringovyi dim ya yogo sleni nesit solіdarnu vіdpovidalnist for funktsionovannya sistemi garantirovannogo vikonannya f'yuchershnikh kontraktiv.

The need for internal development of the futuristic rink in Ukraine is brought to light by such basic reasons. In the first place, in the international f'yucersnyh rinks, these types of contracts are not respected, but they were consumed by the needs of Ukrainian hedgers. Sumi koshtiv, yakimi operutuyut vichtznyannyi vibrobniki that banks, meaningfully sushi for sumi, z yakimi pritsyuyut in the international markets. Ф'ючерсний the contract standard-nomіnalnogo ватості 1000000 dale. The US can not do the vicarities, but the tool hedgevannya risiku for sumi in kilka tysyach dolariv, yak that demand Ukrainian banks chi companii. For a hedge of currency, the risk is necessary, the base currency of the participant is equal to the contract of the bull. For vychtiznyannyh vibroknikov base currency - hryvnia, and f'yuchersnyh contract, in some odnієyu currencies bula b hryvnia, dosi on the international rink is not існує.

The process of hedge-hitting a risk-related risk is possible if the basis for the financing of the financial instrument is the same as the rate itself. On the Ukrainian financial market, the price of financial assets is based on domestic rates and rates, such as the rate of refinancing of the NBU, the amount of income received by the MODP, and so on. There are no types of futures contracts on international markets, but it is not permissible for them to act as a hedge of "domestic" financial risk.

Another cause of polygas is in the access to Ukrainian hedgers for the international financial markets. Formally, f'yucernnyi birzhi є gagalnoobraznimi, prot'y for the spent operations unnecessary to know the broker, a kind of weathering b praccyvati z danim clientom. For the Ukrainian participants, the rink of a broker's broker may be problematic. Більшість із them є new participants for the international rynkіv, yakі not muyut credit rating that's in the course of reputations. Tom from the Ukrainian companies and banks, it appears that the poor rivi is risky, but also by the least participants of the international rinks. I will look at the security broker may vimagati pidvishchennya rivnya garantiya vneskiv nabo nayavnostі uradavi garantii, scho znochno zbilshit fіnancovі vitrati z sobyana f'yucerns operacii.

Tom curriculum v activeizatsiya vlasnogo f'yuchersnogo rinku, a kind of vidpovidav bi needs and opportunities for vybitznyannyh vibroknіv, є naybіlsh real that perspective prospect of development of financial markets in Ukraine. In Maybutnomu such a market can integrate into the international system of futures trading.