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Фінансовий менеджмент банку - Primostka L.O.

8.3. Forward-looking foreign currency contracts in the process of hedging currency risk

Forward exchange contracts - for the benefit of the estate of participants involved in the operation of the purchase and sale of summed up currency currencies for fisovanim course on the date of the vysnachenu in Maybutnomu.

Zgіdno with forward foreign exchange contract one party takes on itself zobov'jannja zdіysniti delivery viznachenoi kіlostі currency for the contractor for a contract on the date of the date, and іnsha side zobov zyabovnya priyonyati tsiu delivery і виплатити відповідну суму коштів у іншій валюі.

Sumi contractov ta trivalval predstodnogo periodu mozhut bouti dovilnimi і viznachayatsya in ugodi na domovlenistyu storin, vidpovidayuchi їhnнім consumes.

The main feeders with a forcible foreign exchange contract є riven exchange rate, which is to be dated on the date of the lease, and for the operation of the purchase, the currency will be deposited on the date of the currency. Щоб не втратити значних коштів на фордді, ітасникам бажано мати forecast зміни валюних курсів і враховувати вплив відповідних чинників on the process of formulating forward exchange rates.

For non-perivodah periodov hour (before rock), forward cursi can be calculated for the formula (8.1). When the foreign exchange rates are set, priaymayutsya up to uvazi vlasnі mirkuvannya uchasnikіv shodo zmіn tsini for currency, the rate, the fixation of the forward contract, not obovvjazkovo zbiagetsya with forward exchange rate, scho dіє on rinku.

Currency transaction, yak pokleno in the basis of the forward contract, may be real, yakshcho parties on the date rozraunkіv spravdi obminuyut one sumu currency on іншу, або мати умовний nature. In ostannomu mozi for vazemnoyu domovlenistyu storin real delivery sumi currency, zafiksovanoї in kontranyi, not vbdbuvaetsya, and no longer viplachuyutsya kursova rіznitsya in rozraunku on the basis of the sum of the contract. Курсова різниця визначається як різниця між rate, зафіксованим в угоді, та спот-курсом, що folded on the date фіксингу. Date fіksingu - tse day, if fіksuytsya rinkovy currency exchange rate (on the international markets for the last two days before the date of the development). For active currencies, the date of the date of the currency exchange is zbigayutsya, napriklad, kanadsky dolar - US dollar.

Yaksho spot-rate of currency on the date of the ficheging vyyavisya bottom for the course of financing of the contract, then the transfer will be rejected by the seller of the currency, and the merchant will pay the payment to the yom. Suma payment will be assessed as a supplement of the exchange rate on a contract basis. Yakshto spot-rate on the date of fiction is vyavivsya vishim for the contract rate, then the sum of payment is paid for the purchase of the seller.

Mekhanizm obesgovovuvannya forward foreign exchange contract marga y in rozmezhuvanni dyh vidiv operatsi - opertіії komіvlі-sale of currency and forward currency transactions. At different times, if the amount is settled at the expense of the sum, the operation of the sale is not carried out, and the parties are placed in the described order. Jaksho obmin currencies є real, then vin to be held for a day on fieksingu spot course. Vodochas hour vidbuvayutsya rozraunkki for vlasne forward operation with payment vzplatoyu sumi. Such an order for the services of forward foreign exchange contracts on the metropolitan area, for the purchase of goods for sale, for the purchase of currency, and for imports, for forward transactions, to be placed on the accounting books of the rajunks.

Forward contractual currencies zahischayut obokh participants in the course of foreign exchange rates in the course of the forward period of the exchange rate at the time of settlement of the land. The protivom of the first day of the forward contract is that participants are not accustomed to foreign currencies, losses from foreign exchange rates. In the case of a currency, the hedge of currency exchange risk. Operation hedgevannya not allow the participants to reject the trespasses zapadlivlіy for them zmіні exchange rate, alas zahischayut and іііd unpleasant rozvitku podі. In addition, having contracted the forward exchange rate contract, the participant of the foreign currency market knows exactly how much the money is worth, and the yak wins the chi to pay when the currency transaction is performed in the Maybutnom, but allow the yom to plan his own disposition.

The application 8.2.

FORWARD CURRENCY CONTRACT

Іноземний інвестор має намір вкладысти 10000000 dollars. Terminom for 6 months. For інвестування можливі two varіanti вибору прямку розміщення коштів:

1) євродоларовий депозит під 7% річних;

2) oblіgatsії vyrіshnnyї sobstvennі pozhivy (OVDP) to the ranks of the Ukraine під 40% річних.

As of the date of the investment, the spot rate of the hryvnia was USD / UAH = 3,8000.

Proanalizuvati dohіdnіst ta rіven a skinny zaprimkіv іnvestuvannya, and takozh perevagi ta nedolіki ukladannya forward currency contract.

Розв'язання

Оскільки інвестор має в розпорядженні долари, то при першому варіанті інвестування валюний ризик відсутній, освільки відсутня конвертація odnієї currency in іншу. Дохід інвестора в цьому разі дорівнюватиме, дол .:

At another varіantі інвесторові neххідно обміняти долари на гривні, що за спот-курсом становитиме 38000000 грн. After 6 months, you will receive a pre-tax for rozmіrі, UAH:

Після закінчення терміну інвестування потрібно convert the main sum of those deductions дохід у долари. Ale rate hryvnia at tse an hour can be changed. Otzhe, for another varіanta існує currencies ризик, по'в'яня зі зміною a rate of exchange in the course of 6 місяців.

At обміні доларів на гривні в інвестора utlyvoyatsya vіdkrita довга posetsіya za hryvnia, yaka bring prihіd u raz pіvіschenchenya rate hryvnia і zbitki - yіzі yogo znizhennya. Having returned to the currency of the contribution of koshtiv, investor myo virishiti: take on the currencies of the risk and curb the position of the foreign currency hedgevati currency risk, staking forward. Yaksho for 6 months, the rate does not change, then the investor will have to purchase 7,700,000 dollars. She does not spend money on the basic amount. At pidvishchennyy rate hryvnia to the dollar, the investor to gain dodatkovyh dohіd, a kind of vicarious vnasledok taken of him on the currency of that risky prudent business. Alysey rizik mozhe prizvesti і up to under-sustained planned income through a hindrance rate of hryvnia.

Якщо інвестор вирішує хеджувати валюний ризик, він має укласти forward rate of exchange contracts with a term for 6 months for a sum of 45600000 UAH. Other participant of the land, the forklift, the Ukrainian bank, the forward rate of hryvnia through 6 months. For this, we can be satisfied by the formula (8.1):

The bank will be vetoed by the rate of USD / UAH = 4,4057, and in the times of the investor such a course is fictitious for the forward contract.

After 6 months, having won for the OVDP zagalnu sumu 45600000 UAH., The investor realizes the forward contract і одержує, дол .:

45600000: 4.4057 = 10350228.

Sum income of 350,228 dollars. Майже дорівнює ставці за євродоларовим a deposit of 7%. Otzhe, operation hedge currency exchange risk zahischaє vid zbitkiv through neprjatlivivu zmіnu rate, ali i viklyucha mozhnivist oderzhaniya dodatkovyh pributkiv.

Settlement of the forward foreign exchange contract for the rate of USD / UAH = 4,4057 do not give zmogi інвесторові скористатися meaningfully vishim, ніж у євродоларовому депозиті, рівнем дохідності ОВДП. Alya ukladennya forward for the sake of a so-so whisking course hryvnia to dolar, nіж 4,4057, може надати можливість одержиня вищої дохідності, ніж у євродоларовому депозиті.

Vprovazhenzhenya currency corridor can allow zniziti rizik currencies, in the number and for non-terrestrial investors, oskilki function omegzhennya risiku poichna vikonuvati power. Alek Yak showed the disinformation, and the state does not have enough resources for the currency corridor, but it can also be interrupted, as it has become in a row in the face of the economic crisis of 1998. Otzhe, demand in the conducted operations with financial derivatives in the method of hedge currency exchange risk is not znikaka.