《国际金融英文课件.ppt》由会员分享，可在线阅读，更多相关《国际金融英文课件.ppt（68页珍藏版）》请在三一办公上搜索。
1、4-0,The Market for Foreign Exchange,The FX market is the largest financial market in the world by any standard.It is open somewhere in the world 365 days a year, 24 hours a day.The daily trading of spot and forward foreign exchange is about $3.73 trillion. It is about $540 daily per person.London re
2、mains the worlds largest foreign exchange trading centers, and $1.7 trillion, a 25% increase from 2007 to 2010. US has $817 billion and 23% increase from 2007 to 2010.,4-1,Currency Symbols,In addition to the familiar currency symbols (e.g. , , , $) there are three-letter codes for all currencies.It
3、is a long list, but selected codes include:USD United States dollar CHFSwiss francsGBPBritish poundZARSouth African randCADCanadian dollarJPYJapanese yen,4-2,Function and Structure of the FX MarketThe Spot MarketThe Forward MarketExchange-Traded Currency Funds,Function and Structure of the FX Market
4、FX Market ParticipantsCorrespondent Banking RelationshipsThe Spot MarketThe Forward MarketExchange-Traded Currency Funds,Function and Structure of the FX MarketThe Spot MarketSpot Rate QuotationsThe Bid-Ask SpreadSpot FX TradingCross Exchange Rate QuotationsTriangular ArbitrageSpot Foreign Exchange
5、Market MicrostructureThe Forward Market,Function and Structure of the FX MarketThe Spot MarketThe Forward MarketForward Rate QuotationsLong and Short Forward PositionsForward Cross-Exchange RatesSwap TransactionsForward PremiumExchange-Traded Currency Funds,4.1 Function and Structure of the FX Marke
6、t4.2 The Spot FX Market4.3 The Forward FX Market4.4 Exchange-Traded Currency Funds (ETF;交易所交易基金),Chapter Outline,4-3,4.1 Function and Structure of the FX Market,The structure of the FX market is one of the primary functions of a commercial banker: to assist clients in the conduct of international co
7、mmerce. (*)The spot and forward FX markets are OTC.It is a worldwide linkage of currency trading banks, nonbank dealers, and FX brokers, who assist in trade, connected to one another vie a network of telephone, computer terminals, and automated dealing systems.Reuters (路透社) and EBS (电子经纪服务公司) are th
8、e largest vendors of quoting screen monitors used in trading currencies.,4-4,Rhythms of the FX Market,Most active trading takes place when European and Asian centers overlap or American and European centers overlap.,4-5,Function and Structure of the FX Market,4.1.1 FX Market Participants4.1.2 Corres
9、pondent Banking Relationships (通汇关系),4-6,4.1.1 FX Market Participants,One tier is the wholesales or interbank market and the other tier is the retail or client market.Market participants can be categorized into five groups including international banks, their customers, nonbank dealers, FX brokers,
10、and central banks.About 100-200 banks worldwide stand ready to make a market in foreign exchange. The interbank market accounts for 86% FX market in 2010.Nonbank dealers, including investment banks, mutual funds, pension funds, and hedge funds account for about 47% of the interbank trading volume in
11、 2010.,4-7,FX Market Participants,The international banks serve the bank customers, in the conduct of international commerce. The bank customers include MNC, money managers, private speculators. The client market accounts for 14% of FX market in 2010.FX brokers match buy and sell orders and receive
12、commission fees, but they do not carry inventory.The central bank has intervened in the foreign exchange market in an attempt to influence the price of its currency against that of a major trading partner or a country that it fixes or pegs its currency against.,4-8,FX Market Participants,Part of the
13、 interbank trading among international banks involves adjusting the inventory position they hold in various foreign currencies. However, most interbank trades are speculative or arbitrage transaction, where participants attempt to judge the future direction of price movement.Market psychology expect
14、ation is a key ingredient in currency trading, and a dealer can often infer anothers trading intention from the currency position being accumulated.The vast majority of interbank trades flows over Reuters and EBS platforms.,4-9,4.1.2 Correspondent Banking Relationships (通汇关系),The interbank market is
15、 a network of correspondent banking relationships.Large commercial banks maintain demand deposit accounts with one another, called correspondent banking accounts.The correspondent banking account allows for the efficient functioning of the FX market.,4-10,Correspondent Banking Relationships,Bank A i
16、s in London. Bank B is in New York.The current exchange rate is 1.00 = $2.00. A currency trader employed at Bank A buys 100m from a currency trader at Bank B for $200m settled using its correspondent relationship.,Bank ALondon,Bank BNYC,4-11,You can check your work: make sure that 1,300m = $1,200 x(
17、1/$2) +100 + 600,Bank A buys 100m from Bank B for $200m,Correspondent Banking Relationships,AssetsLiabilities, deposit at B,300m,Other Assets,600m,Bs Deposit,$1,000m,Other L&E,600m,Total Assets,1,300m,Total L&E,1,300m,AssetsLiabilities,$ deposit at A,$1000m,Other Assets,$800m,As Deposit,300m,Other L
18、&E,$800m,Total Assets,$2,200m,Total L&E,$2,200m,Bs Deposit,200m, deposit at A,200m,As Deposit,$800m,Bank ALondon,Bank BNYC,$ deposit at B,$800m,4-12,Practice Problem,Bank X is in Milan. Bank Y is in London.The current exchange rate is 1.10 = 1.00. Show the correct balances in each account if a curre
19、ncy trader employed at Bank X buys 100,000,000 from a currency trader at Bank Y for 110,000,000. (The balance sheets are shown on the next slide.),4-13,4-13,Bank X buys 100m from Y for 110m,AssetsLiabilities, deposit at Y,300m,Other Assets,600m,Ys deposit,1,210m,Other L&E,400m,Total Assets,1,700m,To
20、tal L&E,1,700m,AssetsLiabilities, deposit at X,1,210m,Other Assets,590m,Xs deposit,300m,Other L&E,810m,Total Assets,2,020m,Total L&E,2,020m,Ys deposit,200m, deposit at X,200m,Xs deposit,880m,Bank XMilano,Bank YLondon, deposit at Y,880m,Bank X,Bank Y,1.10 = 1.00,Practice Problem,4-14,Correspondent Ba
21、nking Relationships Example 4.1,Consider US importer desiring to purchase products from Dutch exporter invoiced at a cost of 750,000. If US bank offers a price of $1.2238/ 1.00. US bank will debit imports deposit account $917,850 for the purchase of euros. US will instruct its correspondent EZ bank
22、to debit its correspondent bank account 750,000 and credit the same amount to Dutch exports bank account.,4-15,Correspondent Banking Relationships - example,US bank will then credit its books $917,850, an as offset to the $917,850 debit to US importers account, to reflect the decrease in its corresp
23、ondent bank account balance with EZ bank.,4-16,Correspondent Banking Relationships,International commercial banks communicate with one another with some channels:SWIFT: The Society for Worldwide Interbank Financial Telecommunications (全球银行间金融电信协会), non-profit private organizationCHIPS: Clearing Hous
24、e Interbank Payments System (票据交换所银行间支付系统), for USD onlyECHO: Exchange Clearing House Limited (外汇结算有限公司), the first global clearinghouse for handling interbank FX transactions, merged with CLS in 1997.,4-17,4.2 The Spot FX Market,4.2.1 Spot and Cross Exchange Rate Quotations4.2.2 The Bid-Ask Spread4
25、.2.3 Spot FX trading4.2.4 Triangular Arbitrage4.2.5 Spot FX Market Microstructure,4-18,4.2.1 Spot and Cross Exchange Rate Quotations,Direct quotation 直接标价；美式标价; S($/)the U.S. dollar equivalenta British pound is worth about 1.9710 American dollarsIndirect Quotation 间接标价；欧式标价; S(/$)the price of a U.S.
26、 dollar in the foreign currencya American dollar is worth about 0.5072 British poundSee exhibit 4.4 in your textbook.,4-19,The direct quote for the pound is: 1 = $1.5405The indirect quote for the pound is: .6491 = $1,Note that the direct quote is the reciprocal of the indirect quote:,Spot Rate Quota
27、tions,5-20,Spot Exchange Rate Quotations,It should be intuitive that the American and European term quotes are reciprocals of one another.S($/): 1.5402S(/$): 0.6491In conclusion, S(/$) = 1/ S($/),4-21,Spot Exchange Rate Quotations,Sb($/): 1.9712Sa($/): 1.9717Sb(/$): 0.5072Sa(/$): 0.5073In conclusion
28、, Sa(/$) = 1/ Sb($/),4-22,Cross Exchange Rates (套算汇率)(No Transaction Costs),In general, it is easier to think of cross exchange rates calculated as the product of an American term and a European term exchange S(j/k) = S($/k) x S(j/$)Alternatively, cross exchange rate is the quotient of two American
29、term or two European term exchange rates.Alternatively, S(j/k) = S($/k) / S($/j),4-23,1.00 = 0.75,Pay attention to your “currency algebra”!,Cross Exchange Rates (No Transaction Costs),Suppose that S($/) = 1.50 i.e. $1.50 = 1.00 and that S($/) = 2.00 i.e. 1.00 = $2.00What must the S(/) cross rate be?
30、S(/) = S($/) x S(/$) = 1.50 x 0.50 = 0.75S(/) = S($/) / S($/) = 1.50 / 2.00 = 0.75,4-24,4.2.2 The Bid-Ask Spread(买卖价差),The bid price is the price a dealer is willing to pay you for something.The ask price is the amount the dealer wants you to pay for the thing.It doesnt matter if were talking used c
31、ars or used currencies: the bid-ask spread is the difference between the bid and ask prices.,4-25,The Bid-Ask Spread,A dealer could offer bid price of $1.4739 per ask price of $1.4744 per While there are a variety of ways to quote that, the bid-ask spread represents the dealers expected profit.,4-26
32、,The Bid-Ask Spread,A dealer pricing pounds in terms of dollars would likely quote these prices as 1217. 1.97 means big figure (主要数字); 12-17 means small figure (微量数字). How about 13-18 or 11-16?1.97971.9802 quotes these price as 97-02.,4-27,The Bid-Ask Spread,Sa(/$) = 1/Sb($/)互为导数；注意解释,4-28,The Bid-A
33、sk Spread,5-29,Copyright 2014 by the McGraw-Hill Companies, Inc. All rights reserved.,Customer sells pounds to dealer at direct bid,Buy USD from dealer at indirect ask,Dealer will pay $1.9715 for 1 GBP; he is asking $1.9720.He will pay .5071 for $1 and will charge .5072 for $1,Currency Conversion wi
34、th Bid-Ask Spreads,A speculator in New York wants to take a $10,000 position in the pound.After his trade, what will be his position?两种算法?,10,000 x 0.5071 = 5,071,4-30,4.2.3 Spot FX trading,In the interbank market, the standard size trade is about $10 million USD. The stakes are high.A bank trading
35、room is a noisy, active place.Dealers consists of the speculative and the non-speculative trades.The “long term” is about 10 minutes for any non-speculative trades.,4-31,Cross Rate Bid-Ask Spread (EX 4.2)(套算汇率价差计算练习EX.4.2),To find the / cross bid rate, consider a retail customer who:,1,000,000 ,= 1,
36、197,052,Starts with 1,000,000, sells for $, sells $ for :,Sb(/) = Sb(/$) x Sb($/) = 0.8171 x 1.4650 = 1.1971,4-32,Cross Rate Bid-Ask Spread,To find the / cross ask rate, consider a retail customer who:,1,000,000 ,= 834,732,Starts with 1,000,000, sells for $, sells $ for :,Sa(/) = Sa(/$) x Sa($/) = 0
37、.8175 x 1.4655 = 1.1980,4-33,Cross Rate Bid-Ask Spread,Recall that the reciprocal of the Sb(/) bid is the Sa(/) ask.,4-34,4.2.4 Triangular Arbitrage (EX4.3),Suppose we observe these banks posting these exchange rates.As we have calculated the “no arbitrage” / cross bid and ask rates, we can see that
38、 there is an arbitrage opportunity:,4-35,The arbitrage opportunity is that the investor buys those pounds from Credit Agricole for 1.3317 and sell those pounds for 1.3371 by going through Deutsche and Credit.,By going through Deutsche Bank and Credit Lyonnais, we (the investors) can sell 1 pound for
39、 1.3371.,1 ,= 1.3371,4-36,Triangular Arbitrage,Start with 1m: the investors Sell 1m to Deutsche Bank for $1,971,200. The bank buys .,The investors Buy euro from Credit Lyonnais receive 1,337,132. The bank buys $.,The investors Buy from Credit Agricole. You receive 1,004,078.89 = 1,337,132/1.3317. Yo
40、u gain 4,078.89.,4-37,4.2.5 Spot FX Market Microstructure,FX Market Microstructure refers to the mechanics of how a marketplace operates.Bid-Ask spreads in the spot FX market:Increase with FX rate volatility and Decrease with dealer competition.Private information (内幕消息) is an important determinant
41、of spot exchange rates.,4-38,Spot Foreign Exchange Microstructure,The traders responding to the bulk adjustment of economic announcements such as unemployment, trade deficits, inflation, GDP, and Federal funds rate take place within one minute.The central bank intervention does not appear to have a
42、substantial impact on exchange rates, but intervention does increase market volatility.,4-39,4.3 The Forward FX Market,A forward contract is an agreement to buy or sell an asset in the future at prices agreed upon today.If you have ever had to order an out-of-stock textbook, then you have entered in
43、to a forward contract.,4-40,The Forward FX Market,4.3.1 Forward Rate Quotations4.3.2 Forward Premium/Discount4.3.3 Forward Long and Short Positions4.3.4 Forward Cross Exchange Rates4.3.5 Swap Transactions,4-41,4.3.1 Forward Rate Quotations (远期汇率标价),The forward FX market involves agreements to buy an
44、d sell foreign currencies in the future at prices agreed upon today.Bank quotes for 1, 3, 6, 9, and 12 month maturities are readily available for forward contracts.Longer-term swaps are available.,4-42,Forward Rate Quotations,Consider these exchange rates: for British pounds, the spot exchange rate
45、is $1.9717 = 1.00 while the 180-day forward rate is $1.9593 = 1.00,Clearly market participants expect that the pound will be worth less in dollars in six months.,4-43,Forward Rate Quotations,Consider the (dollar) holding period return (HPR) of a dollar-based investor who buys 1 million at the spot e
46、xchange rate and sells them forward:,$HPR = 0.00629,Annualized dollar HPR = 1.26% = 0.629% 2,4-44,4.3.2 Forward Premium/Discount,It is common to express the premium or discount of a forward FX rate (远期汇率升水/贴水) as an annualized percentage deviation from spot FX rate.The premium or discount of a forwa
47、rd FX rate is useful for comparing against the interest rate differential between two countries. This will be explained in the next chapter.,4-45,Forward Premium/Discount,The formula for calculating the forward premium or discount for currency j in American terms isfN,J = FN($/j) S($/j)/S($/j) x 360
48、/daysThe formula for calculating the forward premium or discount for currency j in European terms isfN,J = FN(j/$) S(j/$)/S(j/$) x 360/days,4-46,Example 4.5 Forward Premium,From Exhibit 4.4, suppose the is appreciating from S($/) = 1.2238 to F3($/) = 1.2251The 91-day forward premium is given by:,= 0
49、.0041 or 0.41%,欧元对美元交易在9 months后发生0.41%升水,4-47,Forward Discount (远期汇率贴水),From Exhibit 4.4, suppose the $ is depreciating from S(/$) = 0.8171 to F3(/$) = 0.8163The 91-day forward discount is given by:,= -0.0037 or -0.37%,美元对欧元交易在9 months后发生0.37%贴水,4-48,4.3.3 Forward Long and Short Positions,If you ha
50、ve agreed to sell anything (spot or forward), you are in a “short” position.If you have agreed to buy anything (forward or spot), you are in a “long” position.Similarly,If you have agreed to sell FX forward, you are in a short position.If you have agreed to buy FX forward, you are in a long position
