【正文】 on A : The bank will invest domestically, ., in the . CD market. $1(1+10%/4)= $ Theories of FX Market Option B: The bank will 1. Convert the US$ in 163。 ? 已知：即期匯率 $1=— ? 3個(gè)月匯水?dāng)?shù) 120—140 ? 求：該公司 3個(gè)月后應(yīng)付多少美元？ 我國(guó)某公司計(jì)劃 3個(gè)月后用美元兌付 700萬(wàn)瑞士法郎進(jìn)口貨款，為防止瑞士法郎升值，做遠(yuǎn)期交易。 22 ? 計(jì)算公式： ? 升（貼）水?dāng)?shù) =即期匯率 兩國(guó)利差 月數(shù) /12 ? 如上面例子： ? 3個(gè)月 ￡ 貼水?dāng)?shù) = % 3/12 ? =＄ ? 3個(gè)月 ￡ 遠(yuǎn)期匯率 == ＄ ? 同樣求出 3個(gè)月美元的升水?dāng)?shù) ? =1/ % 3/12 ? = ￡ ? 3個(gè)月＄遠(yuǎn)期匯率 = ￡ + ￡ ? = ￡ ? 或： ￡ 1/= ￡ 23 （ 2）兩國(guó)貨幣遠(yuǎn)期外匯市場(chǎng)的供求關(guān)系 ?遠(yuǎn)期外匯市場(chǎng)的遠(yuǎn)期匯率升貼水?dāng)?shù)要圍繞兩國(guó)貨幣短期利率決定的升貼水?dāng)?shù)上下波動(dòng)，在供求均衡情況下，兩者才會(huì)一致。 ? 2month forward discount rate for CHF for bid is % [={()/}x(12/2)x100] III. Settlement Date ? Spot/Forward contracts are settled on the date of delivery of the funds promised in the contract. ? Spot contracts are usually settled two business days (or less) after the agreement is reached. ? The settlement date is also called the value date. Suppose a 1month forward contract is entered into on July 7 (Wednesday). Since the spot value date, which is two business days after the contract, is July 9, the settlement day for, the forward contract will be August 9. For 2month forward contracts, the settlement day will be September 9. 19 （一）遠(yuǎn)期外匯交易的計(jì)算 用匯水?dāng)?shù)計(jì)算遠(yuǎn)期匯率 （ 1）直接標(biāo)出外匯的遠(yuǎn)期匯率，瑞士與日本采用此方法。 11 第二節(jié) 外匯風(fēng)險(xiǎn)管理 ?主要針對(duì)交易風(fēng)險(xiǎn)管理 ?兩種方法：金融管理法和非金融管理法 ?金融管理法包括：遠(yuǎn)期外匯交易、外匯期貨交易、外匯期權(quán)交易、貨幣市場(chǎng)借貸法（ BSI法）和貨幣互換 ?非金融管理法包括：選擇合同貨幣、提前或推遲結(jié)算、 LSI法等 I. Spot market ? Denominating vs. “Commodity” Currency ? For a bidask quote of US$/CHF , “US$” is denominating currency and “CHF” is “modity” currency. ? Direct vs. Indirect Quote ? For . residents, direct quote: US$/CHF indirect quote: CHF/US$ is. Direct Bid = 1/Indirect Ask Direct Ask = 1/Indirect Bid Quotes Trading I. Spot market ? BidAsk Spread ? Percentage of spread = (Ask price – Bid price)/Ask price . ()/ = % ? More actively traded FX implies narrower the bidask spread Quotes Trading Changes in Currency Values ? Appreciation vs. Depreciation . if we know $ (last year) and $ (today), ? US$ has appreciated by: ()/ =%。 9 （二）會(huì)計(jì)風(fēng)險(xiǎn) (Accounting Exposure) ?又稱折算風(fēng)險(xiǎn)，是指匯率變動(dòng)對(duì)企業(yè)或銀行財(cái)務(wù)報(bào)表上項(xiàng)目?jī)r(jià)值變動(dòng)的影響。 ? （ ） 100= RMB 8 例 2 ? 我國(guó)政府于 1979年開(kāi)始使用日本政府貸款，根據(jù)雙方協(xié)議，日元貸款每年支付一次，我國(guó)還款用日元。 ?交易風(fēng)險(xiǎn)是最常見(jiàn)的外匯風(fēng)險(xiǎn)。 5 二、匯率風(fēng)險(xiǎn)的種類 ?交易風(fēng)險(xiǎn) ?會(huì)計(jì)風(fēng)險(xiǎn) ?經(jīng)濟(jì)風(fēng)險(xiǎn) 6 （一）交易風(fēng)險(xiǎn)（ Transaction Exposure） ?交易風(fēng)險(xiǎn)是指外匯匯率波動(dòng)使經(jīng)濟(jì)實(shí)體外匯頭寸的實(shí)際價(jià)值發(fā)生變化而導(dǎo)致?lián)p失的可能性。 ?簽約時(shí)匯率：￡ 1= ?結(jié)算時(shí)匯率： ￡ 1= ?則我國(guó)公司因人民幣升值少收入 民幣。 ? 1980年匯率：＄ 1=J￥ ，須支付＄ ? 1990年匯率： ＄ 1=J￥ ，須支付＄ ? 僅利息支付上就損失 。因此，銀行未來(lái)現(xiàn)金流是不確定的。 The outright bid quote is US$/CHF Bid quote: (=) Ask quote: (=) Annualized Forward Premium (Discount) Rate ? Forward Rate Spot Rate 12 months (or 360 days) ? = x ? Spot Rate Forward Contract maturity in months (or in days) Annualized 1month forward bid rate for the CHF is % [={( )/}x12x100]。 ? 結(jié)論：利率低的貨幣其遠(yuǎn)期匯率一般表現(xiàn)為升水，利率高的貨幣其遠(yuǎn)期匯率一般表現(xiàn)為貼水。 24 計(jì)算練習(xí) 已知：紐約市場(chǎng) ? 即期匯率 $1=— ? 1個(gè)月匯水?dāng)?shù) 80—100 ? 3個(gè)月匯水?dāng)?shù) 140—160 ? 求：紐約市場(chǎng) 1個(gè)月和 3個(gè)月美元對(duì)瑞士法郎的遠(yuǎn)期匯率？ 已知：即期匯率 $1=— ? 3個(gè)月匯水?dāng)?shù) 80—60 ? 6個(gè)月匯水?dāng)?shù) 160—80 ? 求： 3個(gè)月和 6個(gè)月美元的遠(yuǎn)期匯率，并計(jì)算 3個(gè)月和 6個(gè)月美元匯率升貼水折年率（用中間價(jià)）？ 25 計(jì)算練習(xí) 我國(guó)某公司從瑞士進(jìn)口成套設(shè)備，預(yù)計(jì) 3個(gè)月后用美元存款兌付 1572萬(wàn)瑞士法郎進(jìn)口貨款，擔(dān)心瑞士法郎升值，做遠(yuǎn)期外匯交易進(jìn)行保值。, and ?3month forward rate (FR) is US$ 163。) 2. Invest in the . CD market, 163。* US$/163。 ? The Japanese nominal interest rate is higher than the ., its currency is expected to depreciate. Why? IV. Unbiased Forward Market Hypothesis ? Equating the two equations (1) and (4) because their right sides are identical, we obtain: ? The forward price is an unbiased predictor for the future spot price. This is the unbiased forward market hypothesis, or speculative efficient market (SEM) hypothesis. FR = SR1 (5) Motivations of Participants in FX Market ? Foreign exchange market has three types of activities: arbitrage, hedging and speculation. ? Hedging allows of importers, exporters and multinational corporations to avoid currency exposure, ., volatility in profits due to FX volatility. ? 1. Hedging Risk: Diversifiable or Systematic? ?Diversifiable risk for both the Customer and the Bank ?Systematic for the customer but diversifiable for the bank ?Systematic for both the customer and the bank ? 2. Hedge Ratio Motivations of Participants in FX Market Example Given the following: ? Spot rate: € $ or US$€ ? Forward Rate: € $ or US$€ ? German interest rate: 12% per annum ? . interest Rate: 10% per annum A payment of € 10 million is required in three months. Which market (forward or Money Market) should be used for hedging? Motivations of Participants in FX Market Example ? Cost in forward market in three months US$ € x € 10 million = US$ million ? Cost in Money Market ? Find the present value of the foreign currency at the foreign market rate. We invest in the German money market that will yield €100 i