5CHAPForeign Exchange Transactions.pptVIP

CHAPTER 5Foreign Exchange Transactions (Foreign Exchange Derivatives Market) Introduction 著名的巴林银行破产事件,堪称金融衍生工具操作失败的经典案例。1995年2月26日，新加坡巴林公司期货经理尼克.里森投资日经225股指期货失利，导致巴林银行遭受合计14亿美元的巨额损失，最终无力继续经营而宣布破产。从此，这个有着233年经营史和良好业绩的老牌商业银行在全球金融界消失。 2004年，中航油在新加坡石油衍生产品交易中损失5亿美元。这一事件震动了全球金融界，也再一次证明了衍生产品交易的两面性。 Study Requirements Study times: 6 hours Study Objectives: 1.熟悉外汇交易产品的特征 2.掌握远期、期货、期权、互换等主要外汇衍生产品的交易机制和交易方法 3.了解外汇交易市场的现状和未来 Important point: the mechanism of foreign exchange transactions Difficult points: Master the methods to deal with the foreign exchange transactions to avoid risks and make profits §5.1 Spot Foreign Exchange Transactions and Future Foreign Exchange Transactions Ⅰ. Spot Foreign Exchange Transaction The transaction will be taken in two working days after the exchange is agreed. 1.Banks Banks, 2.Central banks Commercial Banks 3.Foreign exchange brokers Commercial Banks Ⅱ.Forward exchange transaction The transaction to exchange one currency for another on some date in the future at a price set now.(P59) Common dates for future exchange are 30,90,180 days Forward Exchange Rate- Spot Exchange Rate =Premium/Discount It is closely concerned with INTEREST RATE. Premium/Discount is determined by interest rate. Premium/Discount= Spot Exchange Rate x Interest Rate per Year(%) x month/12 Spot Exchange Rate x Interest Rate Per Month(‰) x months In the Direct Q uatation Method Forward Exchange Rate= Spot Exchange Rate+Premium Spot Exchange Rate-Discount 原则:利率高的货币远期贴水 利率低的货币远期升水 For example, 多伦多外汇市场上,某外汇银行公布的加元与美元的即期汇率为USD1=CAD1.7814/1.7884，3个月远期美元升水CAD0.06/0.10，则3个月远期汇率为 1.7814+0.06/100=cad1.7820和1.7884+0.10/100=CAD1.7894 在伦敦外汇市场，某外汇银行公布的即期汇率为 GBP1=USD1.4608/1.4668 3个月远期英镑贴水USD0.09/0.07 则3个月远期汇率为GBP1=1.4608-0.09/100=USD1.4599和1.4668-0.07/100=USD1.4661 §5.2 Arbitrage(套汇) Ⅰ.Definition of Arbitrage The process of buyin