1、FOREIGN EXCHANGE WORKSHOP,Objectives 目標,Understand FX Markets，Conventions and Dynamics 了解外匯市場規(guī)則及動態(tài) Examine Market Products 深入了解外匯市場產(chǎn)品 Spot 即期交易 Forward Contracts 遠期合約 FX Swaps 外匯掉期 Explore Product Applications 尋找使用外匯產(chǎn)品的機會 Understand FX Risks 理解外匯匯率風險 Understand Customer needs, Documentation and Proc

2、ess 了解客戶需求，文件與流程,Foreign Exchange Markets Conventions 外匯市場慣例,The largest global market 全球市場規(guī)模最大的組成部分,The FX market is the largest global financial market 外匯市場是全球金融市場中規(guī)模最大的市場 Daily turnover is over US$3 trillion globally 每日成交金額超過3萬億美元 London, New York, Tokyo & Singapore are top four global forex trad

3、ing centres 倫敦、紐約、東京，以及新加坡是全球四大外匯交易中心,Participants in FX markets 外匯市場的參與者,Banks 銀行 Investment Managers 投資經(jīng)理 Central Banks 中央銀行 Corporations 公司,企業(yè) Individual Investors 個人投資者 Other Financial Institutions 其他金融機構(gòu),Global FX markets “always close but never closed” 全球外匯市場-連貫且不閉市,Beijing times: （北京時間） 4am t

4、o 2pm New Zealand 新西蘭時段 7am to 5pm Japan 日本時段 8am to 5pm Singapore & Hong Kong 新加坡時段 4pm - 2am London 倫敦時段 9pm - 5am New York紐約時段 Markets fully closed from Friday NY Closing (app. 6am Sat in Spore) to Monday Auckland open (app. 4am Spore) But still some trading Sat and Sun in Middle-east. 外匯市場停止交易的時

5、間段：自周五紐約市場全部結(jié)束到下周一奧克蘭（新西蘭）市場開盤，市場基本沒有交易，但是周末時間中東市場仍然有少量外匯的交易存在。,Definition of exchange rate 匯率的定義,A foreign exchange rate is a means of expressing the value of one currency (“base” currency) in terms of another (“counter” currency). 外匯匯率是用一種貨幣來表示另一種貨幣。 Quote 匯率 Base基準 Counter USDCNY 1 USD = 6.8200 C

6、NY USDHKD 1 USD = 7.7500 HKD,FX Quoting Conventions 外匯報價慣例,Base / Counter Currency （作為報價貨幣的順序） Hierarchy: 1) Euro (EUR) 2) Sterling (GBP) 3) Australian dollar (AUD) 4) New Zealand dollar (NZD) 5) US dollar (USD) 6) Others (JPY, SGD, CNY, HKD etc) Interbank FX rates are quoted against the US dollar 銀

7、行間報價的幣種都以美元為基礎,FX Quoting Conventions 外匯報價慣例,Examples of FX quotes: USD / GBP or GBP / USD? USD / SGD or SGD / USD? USD / JPY or JPY / USD? USD / HKD or HKD / USD? JPY / CHF or CHF / JPY?,FX Quoting Conventions 外匯報價慣例,Precision: How far to the right of the decimal point? 精確到小數(shù)點后第幾位? EURUSD_ USDJPY _

8、 USDCNY _ USDSGD _,FX Market Making 外匯市場做市商報價,Bid = price in ccy at which bank is willing to pay for the base currency 買入價：銀行愿意買入基準貨幣的匯率 Offer = price at which bank is willing to sell the base currency 賣出價：銀行愿意賣出基準貨幣的匯率 Example: USDCNY 6.8200 / 6.8250 Bid銀行買入美元 Offer / Ask 銀行賣出美元 “Bank Buy USD” “Ban

9、k Sell USD” (sell CNY) (buy CNY),FX Cross rate 交叉匯率,Spot rate = Any rate that is quoted against the USD 即期匯率： 所有都對美金報價 Cross rate = Any rate that is quoted against a non-USD currency 非美元幣種繞過互相標價 Example: USDCNY is a spot rate Example: JPYCNY is a cross rate,FX Cross rate 交叉匯率,Derive the JPYCNY cross

10、 rate, given, 計算美元兌人民幣報價 USDJPY = 95.00 / 95.10 USDCNY = 6.8200 / 6.8250 JPYCNY = USDCNY divided by USDJPY 用美元兌人民幣的報價除以美元兌日元報價 Hence, Bid = 6.8200 / 95.10 = 0.071714 Offer = 6.8250 / 95.00 = 0.071842,FX Cross rate 交叉匯率,What about EUR/JPY cross rate? 歐元兌日元報價? Given, EURUSD = 1.2920 / 1.2930 and USDJP

11、Y = 95.00 / 95.10, derive the cross rate EURJPY = EURUSD x USDJPY 歐元兌日元由歐元兌美元匯率乘以美元兌日元匯率得出。 Therefore Bid = 1.2920 x 95.00 = 122.74 Offer = 1.2930 x 95.10 = 122.96,Value dates 起息日,“Trade date” is the day FX trade is done 交易日是交易成交日 Also known as “contract date” 也稱合約日 “Value date” is the date when exc

12、hange of currencies is done 起息日是兩種貨幣做轉(zhuǎn)換的日期 Also known as “settlement date” or “delivery date” 也被稱作清算日或交割日 SPOT value date is usually two business days after trade date. 即期起息通常是交易日后第二天(CAD外) Actual calendar days between value date and trade date could be more than 2 days. Why? 實際上日歷上的即期交易起息日和交易日間隔超過兩

13、天， 為什么？,Value dates 起息日,Value spot 即期起息 Cash settlement two business days from date of transaction. 交易日兩個工作日（交易幣種）交割 Value tom (Value tomorrow) 明日起息 Cash settlement one business day from date of transaction. 交易日第二個工作日交割 Value today 當天起息 Cash settlement on date of transaction 交易日當天交割 Forward 遠期交易 Dea

14、ls where cash settlement takes place beyond spot. 交割日在即期T+2 之后的交易都稱為遠期交易 Where the cash settlement day falls on a non business day, it takes place on the following business day. 如果交割日落在一個非工作日，則一般順延至下一個工作日,FX Forward Terminology & Applications 外匯遠期術語及應用,FX Forward 外匯遠期,The forex market is usually tra

15、ded spot value date, 2 business day delivery. 即期外匯市場通常T+2起息（加幣CAD除外） FX can also be transacted for delivery on date going forward from spot. 即期以后的每個工作日，都可以有外匯遠期交易。 The FX forward settlement date can be one day to one year later than spot date. 遠期可以是在即期之后的一天到一年。 For value “forward”, the FX rate must

16、take into account the interest differential between the two currencies. 遠期匯率必須考慮兩種貨幣的利率差 Implicitly, the party is borrowing/lending the currencies to effect the forward exchange. 背后的原理其實就是交易方拆借兩種貨幣,Forward Outright 外匯遠期交易,When the base currency is at forward premium, swap point is added to the spot

17、rate to arrive at the Outright Forward rate 基準貨幣升水，掉期點加上即期匯率成為最終遠期報價 When the base currency is at forward discount, swap point is deducted from the spot rate to arrive at the Outright Forward rate. 如果遠期貼水，掉期點就為負，相當于減去掉期點得到遠期報價 Example: Given spot USDCNY is 6.8200, 150/200 and 3 month swap point is15

18、0/200. What is the CNY 3 month Outright Forward rate? USDCNY即期價格6.8200，3個月掉期點150/200，那么3個月的遠期報價是? Answer: 6.8350/6.8400 So USD is at forward premium against the CNY. So swap point is added to spot rate 美元兌人民幣遠期升水,FX Forward points 外匯遠期點,If forward point 0 the base currency at a forward premium 如果遠期點

19、大于0， 則稱為遠期升水 If forward point () counter-currency interest rates = forward rate is at a discount (premium) to spot rate. 如果基準貨幣利率大于另一種貨幣，則遠期貼水，反之亦然,FX Forward points 外匯遠期點,Forward outright rate 遠期匯率公式 = Example: If the spot rate of USDCNY is 6.8400 90 day int rate for CNY is 3% and 1% for USD What i

20、s the 90 day USDCNY forward outright rate? 如果美元/人民幣即期交易價格6.8400，90天的利率是: 人民幣3%，美元1% 90天遠期匯率報價是？ Forward outright = 6.8400 x (1 + 0.03x 90/360) (1 + 0.01x 90/360) = 6.8741 注意這里利率也要加上期限來計算實際到期收益率,FX Forward points 外匯遠期點,USDJPY SPOT: 95.00, USD interest: 2% p.a., JPY interest: 0.5% p.a. USDJPY 即期價：95.0

21、0，美金年利息：2%，日元年利息：0.5% Customer buys USDJPY 1 month forward. Within the one month period, the customer receives higher interest on USD (2% ) compared to lower borrowing costs of JPY (0.5%), the Bank “gives” customer back the interest differential in the form of “discount swap points.” 客戶買進美金對日元一個月遠期。

22、一個月內(nèi)，客戶收到美金利息高于日元，銀行會把例療效差以掉期點貼水的方式還給客戶,FX Forward points 外匯遠期點,USD 1,000,000,JPY 95,000,000,JPY 95,039,583,USD 1,001,666.6,Forward rate = 95,039,583 / 1,001,666.6 = 94.88 Swap points = 94.88 - 95.00 = -0.12,Int rate 2.0% for 30days, 360 basis,Int rate 0.5% for 30 days, 360 basis,Int earned= USD1666

23、.6,Int cost = JPY39,583,94.88,95.00,Forward Outright application 外匯遠期交易應用,To hedge future currency cash flows: 套期保值規(guī)避未來現(xiàn)金流的匯率風險。 E.g. Exporter will be receiving EUR 1 million in 2 months and is concerned that EUR may weaken against CNY. 出口商將在2個月后獲得100萬歐元，擔心歐元會對人民幣貶值。 He can use a forward contract to

24、 sell EUR1mio at 8.8250 (spot 8.8200 plus 50 pips) for delivery 2 months later 他可以用遠期合約來提前以8.8250的匯率賣出1百萬歐元來鎖定歐元會對人民幣的匯率風險。,Forward Outright application 外匯遠期交易應用,2 months later, EURCNY Spot rate = 8.7000 兩個月后， EURCNY 即期價 = 8.7000 Exporter will still sell EUR1,000,000 at the rate of 8.8250 instead of

25、 8.7000. 出口商任然可以以8.8250的價格結(jié)匯。 By hedging with the forward outright, he will receive CNY8,825,000 instead of CNY8,700,000. Net difference amount of CNY125,000. 通過套期保值，他將獲得8,825,000 人民幣而不是8,700,000人民幣。 凈差金額125,000人民幣。 The exporter has secured the exchange rate and is able to determine his receipts in

26、local currency. 出口商已鎖定匯率，并能提早確定人民幣收益。,FX Swaps Terminology & Applications 外匯掉期術語及應用,FX Swap 外匯掉期,A swap deal is an exchange of one currency for another at a value date (“near leg”) and at the same time agreeing to exchange it back at an agreed price at a future date (“far leg”). 掉期交易就是在近端和遠端分別以協(xié)定的匯率

27、交換兩種貨幣。 The swap points reflects the cost of carry due to the interest differential between the two currencies during that period of time. 掉期點反映了將兩種貨幣利率差持有到期的成本。,FX Swap 外匯掉期,A buy/sell means to buy base currency for near value date and sell base currency for far value date. 買/賣掉期是指在近期買入基準貨幣，遠期賣出基準貨

28、幣。 A sell/buy means to sell base currency for near value date and buy base currency for far value date. 賣/買掉期是指在近期賣出基準貨幣，遠期買入基準貨幣。 Customer Buy/Sell (B/S) USD against CNY one month swap would be: 客戶B/S 美元兌人民幣的一個月掉期： Given USDCNY spot = 6.8200 / 6.8250 即期匯率 = 6.8200 / 6.8250 One month USDCNY swap = 5

29、0/100 一個月掉期點數(shù) = 50/100 Customer will buy USDCNY value spot at 6.8250 (Spot) Customer will sell USDCNY value 1 month at 6.8200 + 0.0050 = 6.8250 ( Forward outright),Swap application example 1 掉期應用例一,Roll an maturing FX position 延展到期的外匯頭寸 Yesterday customer entered into an FX deal to buy USD1m against

30、 CNY for Spot delivery at price of 6.8250. 昨天，客戶做了一筆買進一百萬美元對人民幣的即期外匯交易，兩天后交割，價格在6.8250。 Tomorrow he will receive USD1m and must pay CNY6.825m in delivery. 明天他會收到一百萬美元，要付682.5萬人民幣。 Due to a delay in cash flow, he does not want to settle until day after tomorrow (i.e. todays spot value). 但他明天不想交割，想到下一

31、個工作日交割。 He must “finance the position” with a swap whose front leg is tomorrow (“tom”) and whose back leg is todays spot date (“next”). Price +10 pip 那他必須“融”到頭寸來讓他做T/N的掉期, 如果價格是+10點， Solution: He sells and buys USD “tom-next” swap at 6.8250 vs. 6.8260. 賣/買1百萬美金對人民幣的TN掉期。,Why does it now cost CNY1,00

32、0 more to settle? 為什么人民幣的金額會變多 ？,Swap application example 2 掉期應用例二,Bridge currency cash flows across time 橋接跨時間段的貨幣現(xiàn)金流 A small business in China has the following cash flows in USD: 一個小企業(yè)有如下美金現(xiàn)金流： Now (Spot): Payable USD1,000,000 現(xiàn)在有應付賬款1百萬美金 1 months later : Receivable USD1,000,000 1個月以后收到1百萬美金 The

33、 company has CNY now and wants to minimize the FX exposure within the 1 month period. 企業(yè)現(xiàn)在擁有人民幣，并想在這1個月期限內(nèi)盡量減少外匯風險。 What can he do? 他可以怎么做？,Swap application example 2 掉期應用例二,Solution: Buy/Sell USD1,000,000 against CNY in a swap for value spot against 1 month. 解決方案：買/賣1百萬美金對人民幣的1個月掉期。 Spot date: Buys

34、 USD1,000,000 sells CNY6,820,000 in the front leg of the swap. Use the USD1,000,000 to settle business payable. 即期交易買入1,000,000美金賣出6,820,000人民幣。用買來的美金結(jié)算應付賬款。 1 month later: Business receivable of USD1,000,000 comes in. Use this to sell USD1,000,000 in back leg of swap, receive CNY6,825,000. 1個月后收到美金

35、進賬，賣出1,000,000美金，收到人民幣6,825,000。 Is there any FX risk? 這是否有任何外匯風險？,FX Outright & FX Swap 外匯遠期與外匯掉期,The “outright”: 遠期 Bilateral contract to exchange currencies in specified amounts on a specified future date. 未來雙方按遠期合約規(guī)定的交割日和匯率交換兩種貨幣 The “swap”:掉期 Two-step contract to exchange currencies in specifie

36、d amounts on a “near date” and then in opposite direction on a specified “far” date. 在近端和遠端交換兩種貨幣的合約,FX Outright & FX Swap 外匯遠期與外匯掉期,Exchange of cashflows at the end of swap period 在到期日完成貨幣轉(zhuǎn)換,Outright遠期,Near Value date,Exchange of cashflows at the end of swap period 在到期日交換貨幣,Swap,Exchange of cashflo

37、ws at the start of swap period 在開始日交換貨幣,T = spot,Far Value date,Risk Management Issues in FX Sales 外匯銷售的風險管理問題,Counterparty Risk 交易對手風險,Consists of Pre-settlement Risk and Settlement Risk 由清算前風險和清算風險組成 Settlement Risk involves one- or two-way payments in which the counter-party fails to make payment

38、 on time as agreed (or at all). 清算風險是由于交易對手無法按時按約定完成支付單向或雙向的支付而產(chǎn)生。 Pre-settlement Risk involves the counter-partys triggering some event prior to contract delivery that casts doubt on whether or not they will be able to perform. 清算前風險是由于在合約到期前交易對手發(fā)生某些事件，從而影響到他們是否能夠按時按合約交割的風險 FX transactions involve

39、both forms of counter-party risk. 外匯交易包含兩種交易對手風險。,Managing Counterparty Risks 管理交易對手風險,Set limit by counterparty 設定每個交易對手的額度 Settlement Risk 清算風險 Usually limits are set by how much total settlement can take place on a single day. 通常清算風險是按照一天清算總量來設置 Pre-settlement Risk 交割前的風險控制 Limits assigned based

40、on statistical prediction of how much could be lost in unrealised MTM profit if the counterparty were to default. 交易額度計算：基于統(tǒng)計預測交易對手如果要違約的情況下，未實現(xiàn)的重估損失是多少。 Pre-settlement risk交易前風險 = Replacement cost + Potential future exposure 重置成本+潛在未來風險 = PV + PFE 現(xiàn)值+未來可能損失,Pre-Settlement Risk 交割前風險,Pre-settlement

41、risk exists whenever a contract is entered into for which settlement occurs at a FORWARD date 交割前風險在交割完成前始終存在 For such contracts, a loss will occur if the counterparty defaults when it is losing and the contract had to be replaced at a cost higher than that originally incurred 這些合約中，如果交易對手因輸錢而違約，那么我

42、們平盤的成本會高于原先成本 No loss if the counterparty defaulted when it is winning 如果交易對手贏錢但是違約，那么我們平盤就沒有損失,Pre-settlement Risk 交割前風險,The longer the duration to settlement, the higher is the pre-settlement risk. 離交割日越遠，清算前風險就越大。 The more volatile the underlying exchange rate, the higher the pre-settlement risk.

43、 市場波動越劇烈，清算前風險越大。,Marked to Market “MTM” 重估,Customer sells USD 1m to SCB for value 2 months at USD1 = CNY 7. 客戶賣出100萬美元/人民幣的兩個月遠期合約，匯率7.00。 The customer is in financial problems and defaults. What is SCBs position. Two possible scenarios: 客戶財務發(fā)生問題，違約了，渣打銀行的頭寸是什么？在如下的兩種市場行情中是什么樣的損益： 1. Assume the spo

44、t rate is 7.5 假設市價是7.5 2. Assume the spot rate is 6.5假設市價是6.5,If the rate moves to CNY 7.5, and the customer defaults, SCB suffers a credit loss of : (7.5 7.0) x 1m = CNY500,000 如果遠期匯率到了7.5， 客戶違約帶給渣打銀行的信用損失是CNY500,000 If the rate moves to CNY 6.5, and the customer defaults, SCB suffers no credit loss, because it owes unreal