《国际金融课件》unit 2 foreign exchange

1、Foreign ExchangeYOUR COMPANY NAME or YOUR SITE ADDRESSDefinition and QuotationsDefinition of Foreign ExchangeSee p17transactionsinvolvingtheconversionofmoneyofonecountryintothatofanotherorto discharge international obligations.动态外汇是指人们将一种货币兑换成另一种货币，用以清算国际间债券债务关系的行为。The media used to discharge intern

2、ational obligations.静态外汇是指以外币表示用以清偿国与国之间债权债务关系的一种支付手段。Foreignexchangereferstocurrencyandmoneyclaims,suchasbankbalancesandbankdrafts,whichisexpressedintheequivalentvalueinforeignmoney.Thus,apoundsterlingnoteismoneyinGreatBritain,butisforeignexchangeintheU.S.Adepositof$1000inanAmericanbanktotheaccount

3、ofaFrenchcompanyconstitutesthatamountofforeignexchangeinFrance.Thetermforeignexchangeisalsousedtorefertotransactionsinvolvingtheconversionofmoneyofonecountryintothatofanotherortotheinternationaltransferofmoneyandcreditinstruments.YOUR COMPANY NAME or YOUR SITE ADDRESSYOUR COMPANY NAME or YOUR SITE A

4、DDRESSYOUR COMPANY NAME or YOUR SITE ADDRESSThe cause of foreign exchangeSee p17World trade ad the cross-border money and capital movements resulting from financial transactions are the basis of foreign exchange dealings. YOUR COMPANY NAME or YOUR SITE ADDRESSRetell the example on page 17 with the f

5、ollowing words to illustrate the cause of foreign exchange. Yen 日元Swiss francs 瑞士法郎Continental banks 本地银行Eurodollar market 欧洲美元市场YOUR COMPANY NAME or YOUR SITE ADDRESSEurodollarEurodollars aretime depositsdenominated inU.S. dollarsatbanksoutside theUnited States, and thus are not under thejurisdicti

6、onof theFederal Reserve. Consequently, such deposits are subject to much less regulation than similar deposits within the U.S.YOUR COMPANY NAME or YOUR SITE ADDRESS欧洲美元欧洲美元，它并不是一种特殊的美元，与美国国内流通的美元是同质的，具有相同的流动性和购买力，所不同的是，欧洲美元存放在美国境外的各国银行、主要是欧洲和美国银行欧洲分行的美元存款，不由美国境内金融机构监管，不受美联储相关银行法规、利率结构的约束。YOUR COMPAN

7、Y NAME or YOUR SITE ADDRESSUnrestricted convertibility（自由兑换）See p18 and p29The Swiss franc is fully convertible whether the holder is resident in Switzerland or abroad and regardless of whether it is a matter of current payments（日常消费、经常支出）or financial transaction（金融交易）. YOUR COMPANY NAME or YOUR SIT

8、E ADDRESSPartial convertibility（部分可兑换）Many countries, on the other hand, consider only external or non-residents as convertible. For instance, the case with the United Kingdom: if a German exporter has sterling in a British bank, he could simply instruct his bank to covert his sterling into any othe

9、r currency and remit（汇款）it abroad; but a person domiciled（居住）in Britain couldnt as a general rule export capital except with the consent of the bank of England. YOUR COMPANY NAME or YOUR SITE ADDRESSIs Renminbi unrestricted convertible or partial convertible?Renminbi is partial convertible.YOUR COMP

10、ANY NAME or YOUR SITE ADDRESSarbitrage 套汇See p19If at a given moment the market rate in one center deviates too far from the average, a balance will soon be restored by arbitrage, which is the process of taking advantage of price differences in different places.套汇是指利用不同外汇市场的外汇差价，在某一外汇市场上低价买进某种货币，同时在

11、另一外汇市场上高价卖出该种货币，以赚取利润。YOUR COMPANY NAME or YOUR SITE ADDRESSDefinition of Foreign Exchange RateSee p19The exchange rates between two currencies specify how much one currency is worth in terms of the other.80 JYP = 1 USDYOUR COMPANY NAME or YOUR SITE ADDRESSQuotation of Foreign Exchange RateAn exchan

12、ge system quotation is given by stating the number of units of “quote currency”（标价货币） that can be exchanged for one unit of “base currency”（基准货币）.1.4044 USD = 1 EURquote currency base currencyYOUR COMPANY NAME or YOUR SITE ADDRESSQuotation of Foreign Exchange RateDirect quotation（直接报价法）: quotes usin

13、g a foreign currency as the unit currency.1 foreign currency unit=X home currency unitsIndirect quotation（间接报价法）:quotes using a countrys home currency as the unit currency.1 home currency unit= X foreign currency unitsYOUR COMPANY NAME or YOUR SITE ADDRESSQuotation of Foreign Exchange RateU.S. dolla

14、r quotation（美元报价法）: the value of the various local currency is expressed by indicating the price of one U.S dollar in local currency. 1 U.S dollar = X home currency unitsYOUR COMPANY NAME or YOUR SITE ADDRESSYOUR COMPANY NAME or YOUR SITE ADDRESS Foreign Exchange Transactions1. Spot Transaction2. Fo

15、rward Transaction3. Swap Transaction4. Foreign Exchange Futures5. Foreign Exchange OptionSpot Transaction 即期交易See p21Spot transaction means the actual and variable amount of the currency of one country which at any given time, can be bought for a fixed sum in the currency of another country. Theses

16、transactions are settled（完成） the second working day（两个营业日内）from the date of the deal（交易日）. The value date（交割日） given to a transaction is the date on which the money must be paid to the parties involved.YOUR COMPANY NAME or YOUR SITE ADDRESSSpot Rate 即期汇率The spot rate, also called “spot price”. In cu

17、rrency transactions, the spot rate is influenced by how much buyers are willing to pay and how much sellers are willing to accept certain currency, as well as by forex traders. 即期汇率又称现汇汇率，是买卖双方成交后，在两个营业日之内办理外汇交割时所用的汇率。一般在外汇市场上挂牌的汇率，除特别标明远期汇率以外，一般指即期汇率。我国的即期汇率是在央行当日公布的人民币汇率中间价基础上产生的YOUR COMPANY NAME

18、or YOUR SITE ADDRESSSpot Rate 即期汇率As a result, spot rates change frequently and sometimes dramatically.YOUR COMPANY NAME or YOUR SITE ADDRESSRead the example of a spot transaction on p22 and answer the questions.Party A: Bank A inParty B: Bank B in Date of the deal:Value date:The spot rate for USD a

19、nd Euro: 1USD= EuroYOUR COMPANY NAME or YOUR SITE ADDRESSForward Transaction 远期交易See p22Forward transaction means the actual and variable amount of the currency of one country which at any given time, can be bought for a fixed sum in the currency of another country. Theses transactions are settled o

20、n any pre-agreed date or more business days after the deal date（自交易日之后的商量好的任意一天或更多天之后）. YOUR COMPANY NAME or YOUR SITE ADDRESSForward Rate远期汇率See p22The forward rate/price in practice is either higher(premium 升水) or lower(discount 贴水) than the spot price. The forward rate is fixed at the outset（开始）.

21、 No money necessarily changes hands（无需付钱） until the transaction actually takes place, although dealers may require some customers to provide collateral（抵押品） in advance.YOUR COMPANY NAME or YOUR SITE ADDRESSForward Contract Periods 远期交割日期See p23Standard contract periods（标准交割日） : one, two ,three, six,

22、 and twelve months.Odd-date/broken-date（非标准交割日）: falling between standard datesVery long-dated forwards are rare because they tend to have a large bid-asked（出价高） spread and are relatively expensive. YOUR COMPANY NAME or YOUR SITE ADDRESSAdvantages of Forward Transaction See p221. Cover or hedge an o

23、therwise existing exchange risk2. Speculative transactions 3. Can be tailored and customized to meet the particular needs of a customer with respect to currency, amount and maturity dateYOUR COMPANY NAME or YOUR SITE ADDRESSOver the Counter 场外交易See p23 and p29Spot and Forward transactions are availa

24、ble over the counter from dealers. Over the counter: Asecuritywhich is not traded on anexchange, usually due to an inability tomeet listing requirements. For suchsecurities,brokers/negotiatorsnegotiatedirectlywith one another over computer networks and by phone, and theiractivitiesare monitored by t

25、heNASD（美国证券协会）.YOUR COMPANY NAME or YOUR SITE ADDRESSSwap TransactionSee p23A swap is a trade that combines both a spot and a forward transaction into one deal. It contains two simultaneous contract-deals, the first for spot delivery, and the second(the contrary of spot) for future delivery.Or in ot

26、her words, the simultaneous purchase and sale of identical amount of currency for different values dates.YOUR COMPANY NAME or YOUR SITE ADDRESSSee p23Suppose Citibank wants pounds for 3 months and works a swap. Citibank will trade dollars and in return will receive pounds. In 3 months the trade is r

27、eversed, Citibank will pay out pounds and receive dollars.Suppose the spot rate is GBP1=USD2 and the 3-month forward rate is GBP1=USD2.10 . How much does Citibank earn through the swap transaction?YOUR COMPANY NAME or YOUR SITE ADDRESS套期交易回报率按照即期交易率 GBP1=USD2, 用2美元买入1英镑。三个月后，按照远期交易率GBP1=USD2.10，用1英镑

28、买入2.1美元。此过程中，赚得0.1美元。本次套期交易回报率是0.1美元 2美元=5%。如果一年12个月银行都在做此种一周期为3个月的交易，收益率是5% 4=20%。YOUR COMPANY NAME or YOUR SITE ADDRESSSee p24Basis points 基点Annual terms 年期限YOUR COMPANY NAME or YOUR SITE ADDRESSForeign Exchange Futures 期货交易In the U.S. exchanges, a foreign exchange futures is an agreement between

29、two parties to buy/sell a particular(no-U.S. dollar) currency at a particular price on a particular future date, as specified in a standardized contract common to all participants in that currency futures exchange. YOUR COMPANY NAME or YOUR SITE ADDRESSA foreign exchange futures contract is conceptu

30、ally similar to forward foreign exchange contract, in that both are agreements to buy or sell a certain amount of a certain currency for another at a certain price on a certain date. However, there are important structural and institutional differences between the two instruments.YOUR COMPANY NAME o

31、r YOUR SITE ADDRESSDifferences between futures and forwardSee p25Futures Forwardoutcry OTCstandardized customizedmarked-to-market clearinghouse YOUR COMPANY NAME or YOUR SITE ADDRESSForeign Exchange Option 外汇期权A foreign exchange option contract gives the buyer the right, but not the obligation, to b

32、uy(or sell) a specified amount of one currency for another at a specified price on a specified date.指在未来一定时期可以买卖的权利，是买方向卖方支付一定数量的金额（指权利金）后拥有的在未来一段时间内（指美式期权）或未来某一特定日期（指欧式期权）以事先规定好的价格（指履约价格）向卖方购买或出售一定数量的特定标的物的权利，但不负有必须买进或卖出的义务。 YOUR COMPANY NAME or YOUR SITE ADDRESS权利金（Premium）即买卖期权合约的价格，是惟一的变量，其他要素都是

33、标准化的。权利金是期权的买方为获取期权合约所赋予的权利而必须支付给卖方的费用，其多少取决于敲定价格、到期时间以及整个期权合约。对期权的卖方来说，权利金是卖出期权的报酬，也就是期权交易的成交价。YOUR COMPANY NAME or YOUR SITE ADDRESSSee p26The following are types of (European) option contracts.1. call option: the right, but not the obligation, to buy a certain amount of a currency at a fixed rate

34、 (strike price履约价格) at a pre-arranged expiry date.2. put option: the right to sell a certain amount of a currency at a fixed rate (strike price履约价格) at a pre-arranged expiry date.YOUR COMPANY NAME or YOUR SITE ADDRESSSee p27European style option contract 欧式期权 Options my be exercised only on the expi

35、ration date. 期权持有者必须在期权到期日当天才能行使的期权。在亚洲区的金融市场，规定行使期权的时间是期权到期日的北京时间下午 1400。过了这一时间，再有价值的期权都会自动失效作废。YOUR COMPANY NAME or YOUR SITE ADDRESSAmerican style option contract 美式期权 Options my be exercised at any time prior to, and including, the expiration date. The American option provides the buyer with mor

36、e opportunities. 期权持有者可以在期权到期日以前的任何一个工作日纽约时间上午9时30分以前，选择执行或不执行期权合约。美式期权允许期权持有者在到期日或到期日前执行购买（如果是看涨期权）或出售（如果是看跌期权）标的资产的权利。YOUR COMPANY NAME or YOUR SITE ADDRESS举例：一客户预期欧元/美元会在两周内从1.1500水平逐步上升到1.1700水平。于是他同样买入一个面值10万欧元、时间两周，行使价在1.1500水平的欧式期权，期权费是0.65%（即付费650欧元手续费）。但该欧式期权必须等到到期日当天的北京时间下午1400才能行使。不能像美式期权

37、那样随意执行。假设该期权到期同样以1.1700执行，客户即可获利 1252.50美元（2000-6501.1500=1252.50）。如果该期权在到期日时下跌，该客户则面临损失。YOUR COMPANY NAME or YOUR SITE ADDRESSArbitrage 套汇What would happen? if 1 pound = 1.7 USD in London 1 pound = 1.6 USD in New YorkThere is an opportunity to make a riskless profit by arbitraging between the two l

38、ocations. Buy pounds when they are cheap(in New York) and simultaneously sell them where they are expensive(in London). For each pound bought and sold at the initial exchange rates, the arbitrage profit is 10 cents.What would happen later?YOUR COMPANY NAME or YOUR SITE ADDRESSArbitrage 套汇Such arbitr

39、age would occur on a large scale, increasing the demand for pounds in New York and increasing the supply of pounds in London. The dollar-pound exchange rate then would increase in New York and decrease in London. The two rates would be driven to be essentially the same.YOUR COMPANY NAME or YOUR SITE

40、 ADDRESSArbitrage 套汇Arbitrage is the process of buying and selling to make a (nearly) riskless pour profit, ensures that rates in different locations are essentially the same, and than rates and cross-rates are related and consistent among themselves.YOUR COMPANY NAME or YOUR SITE ADDRESSArbitrage 套

41、汇我们所描绘的外汇市场是一个适用于两种货币交易的单一的市场，但是，我们也曾提到过外汇交易发生于世界上不同的地方。比如，在每天特定的某一时段里，外汇交易发生于纽约、伦敦以及其他欧洲货币交易中心。那么，在同意时刻不同地方的汇率是否基本相同？还是受当地供求条件的影响而有所差别？此外，汇率八廓多种不同货币之间的汇率，既有表示各种外币的美元价格汇率，又有各种货币之间的交叉汇率。这些外币的美元汇率和交叉汇率是有联系，还是彼此独立？YOUR COMPANY NAME or YOUR SITE ADDRESSArbitrage 套汇套汇是一种通过买入和卖出，（几乎）没有任何风险地获得净利润的操作。这种操作使得

42、不同地方的汇率基本相同，也使得这些汇率和交叉汇率相互联系并保持一致。如果英镑在伦敦的汇率为每英镑1.7美元，而同一时间在纽约为每英镑1.6美元，此时会发生什么情况？如果外汇交易和货币兑换可以自由进行，那么可以通过在两地之间无风险的套汇而获利。套汇者在英镑便宜的地方（纽约）买入英镑，同时杂英镑昂贵的地方（伦敦）卖出英镑。以初始的汇率买卖1英镑则套汇所得的利润为10美分。这种套汇交易会大规模的进行，增加了纽约市场对英镑的需求和伦敦市场英镑的供给。美元对英镑的汇率在纽约市将会上升，在伦敦市场将会下降。YOUR COMPANY NAME or YOUR SITE ADDRESSArbitrage 套汇

43、结果，两地的汇率将会变得基本上一致（仍然会存在一些微小的差额，这是由于交易成本所造成的，这种成本使进一步的套汇活动不再有利可图）。YOUR COMPANY NAME or YOUR SITE ADDRESSTriangular arbitrage 三角套汇What would happen? if 1 franc = 0.5 USD 1 pound = 3 franc1 pound = 1.6 USD Your $150 buys francs. Use these francs to buy 100 pounds at the cross-rate. Convert these pounds back into dollars and you end up with $ .YOUR COMPANY NAME or YOUR SITE ADDRESS3