Sie sind auf Seite 1von 52

c 

  

Ô 
 
 




 
 
 
Ô 
Ô

A Comment


 
 
  


  
  
 
      
       


 


    

°
(tructure of the Presentation

   !   ! " #



$$


ÿ 
 %  %
ÿ     
ÿ c  
   #   &   
ÿ %   %   " '% "(  
 c)
 $$
 
ã
A(C CONCEPT(TERMNOLOGE(
oreign Currency vs. oreign Exchange
c 
 !'*  °(!
+$
‰' (   oreign Currency       


"   ,
‰'(   oreign Exchange     
 ! !  
 '-(   + 
  %   !
. !  !  /     / 
   !   ! 0
&!
   / 
! 
 "   /  /  
 ,
c     
‰ inancial market is a place where
Resourcesfunds are transferred from
those having surplusexcess to those
having a deficitshortage.
deficitshortage.

.
c 
  
‰ 
  

   
 $
‰ 1  
  
 
  $

 
% <

 %   
     2
     
 2
 $$ " 
  ! 
    


 
   / 
    
$

$
$$ %$
%$ -$
-$.3   4*5

6    


 
´4*5
´4%7
´89
´17495*%:"9;
hhat is a oreign Exchange
Transaction ?
ù       
  

    
   $
ù   
     

   
  oreign
Exchange Risk.
1%""19*"9c7%";9
)9; %=
‰ *
     
'
>5  ($
‰ %   " '% "($
‰     $
‰ 1/ *  ?; $
‰ "      $
‰ %" 
‰ 9 %
‰ 
  
‰ 

c7%";9)9;%;" *

‰ c")5
‰ 1;;5
‰ 7 17*"
‰ 9;5c:7
‰ c%c:7"9;
    *  
c)   
'   '4*5?"9%(
' @5 0 @A  /0 
' 
% 
'  
' 5 5 
' A 5 
' *"  
A  5   
Currencies are traded both in u  and
value dates.
value


1) Ready: * 


  $$$"
°) Value Tom : *  $$$  
3) (pot Transaction : *    
 $
""   c)   !* 
*  
  $
h 
   

‰ Time Zone Difference


‰ Herstat Risk
4) orward Transaction: *    °

  
 $
c)% B   C
n the forex market rates are always quoted µtwo way¶.
Two way quote gives both µid¶ and µOffer¶.
$$
4*5?"9%D-$.3? 3
?7
@ c0C 
  
 $
  

            & $

@1' 1 (C


     
   $

µase Currency¶ Vs. µDealt Currency¶

9/   /      /   $
"   & /    $
$$CVC
U(DNR= 48.500
1  A$1  


/  & 
 @  0

 @  0
@   0$
@   0$


/     
  @& 0

@  0

@  0 @0$
RATE QUOTATON CONVENTON(
N--DRECT QUOTATON:
N
³Price of one Unit of oreign Currency in terms
of Domestic Currency´
e.g. U(DNR = 48.500
74*5 -$.3
*74*5 -$ 3
* 33$3
n the international market, almost all
currencies are quoted indirectly.

.
RATE QUOTATON CONVENTON(
DRECT QUOTATON:
³Price of one Unit of Domestic Currency in terms of oreign
Currency´
e.g. EURO= 1.°8051°
7  $°-3.
*7  $°-°
*  3$333+

c  & 5 


1) Pound (terling
°) Euro
3) Australian Dollar
4) New Zealand Dollar
5) rish Punt


n the international market, almost all the
currencies are quoted in terms of U(D.
$$
E18D3.$+-?-°
E18D 3.$+-?-°
 %4%*@c)D01 $
ORhARD TRAN(ACTON(

1. Out right salepurchase of a currency against the


other for settlement at a future date at the
predetermined exchange rate.
°. orward rates are quoted as premium or discount
over spot rate.

3. orward rates depend upon interest rate


differential between the two currencies.

4. Currency with higher interest rates is at discount


wrt currency having lower interest rate.

5. Currency with lower interest rates is at premium


wrt currency having higher interest rate.
Calculating orward Rate

nterest rate of U(D = 1.°5%


nterest rate of NR = .00%
(pot Rate = 48.50
D for NR = Actual35
D for U(D = Actual30

(ix month orward Rate =


spot rate (48.50) x (1+ .018135)(1+.01°518130)
=59.87
 (hAP Transaction

 c)       /   


            
 !       
  
            !
     !  
   
 $$
 

c)      @0  @ 


 0           

 
 $$
ù c 
    
 
 

 
  $
 


‰  C
 C  
/   / $%  
" '% "(    9    
/  $
‰  
 C

C
 
$   
 '$$" c!   (  
9  
 %   " '% "($

ù *"c'*   "/  c   


   (
Deals are done over Telephone,
REUTER( dealing system etc
REUTER(
 
ù "*   c) $
ù *   /%"$
ù 1  1  $
ù        $

  
ù 5    5  ?   / $
ù % 
% &    6 
 $
ù 5   / "% '$$:" 7%(
ù A  %   " '% "(  
%4%*$
Pre-Reform era till early 90s ( The fixed
Pre-
ERM & Exchange Control Regime)
ù  
     
ù %   " '% "(  
      
 
ù   
    
ù !"#$ 
  
ù         
! $  % 
          
 
Pre--Reform era till early 90s
Pre
(The fixed ERM & Exchange Control Regime)
ù "# &!"&$   
       

ù "# &!"&$ %  
  
 %  %  
 
   %    
ù %     
  
    %"# 
&!"&$
ù     %   "#
&!"&$
Market liberalization. The decade of 90s

ù  #    


  # 
ù '( 
   
)# "#
*  
'%   %   
  
%   " '% "( "(
ù  ' 
   
 !+ ,' $
ù 
  %  %     
#
ù 
   '    
#!   $
Post detonation crisis (May ¶98) and
move towards market based ERM.
ù &-. &
# 

# 
‰ ,   * 
#
‰ "# &!"&$  %%
 / 
01  # * 
   
ù ,   
 %    
  
Post detonation crisis (May ¶98) and
move towards market based ERM.
´    -.  
 

 
´% 
 "# &!"&$
     
 # 
 
´) %%  
 %      
  
´  %,

  %,
22,
  3
40 0--.
´%    !
 5$   
     
    
 ## 
´& 67567 .7547  &+889-6576
Post detonation crisis (May ¶98) and
move towards market based ERM.
,

,
22 
  0---
'
  
  %     
     
:
   
   
 # #
   

   
:
  


%  # 
   3
4777
 
 

 
orex Transactions
The Demand (ide of interinter--bank market
ù  ù
ù / 
 
  
 $
ù 
      
" $
ù 7    / $
ù 7     $
ù 1B  B!    $
orex Transactions

The Demand (ide of interinter--bank market


ù %        / $
ù %      $
ù %         
  @
   0 $
ù 5
 
*%$
ù 
  
/ $
orex Transactions
The (upply (ide of inter
inter--bank market
ù  ù
ù     
 $
ù    $
ù c 5 "$
ù     $
ù "
 
*%$
ù 
  
/ $
oreign Exchange Risk
  
  $
$   
    
  
 $
°$ c 
     

   /   

/?$
ã$     /  
    

 $
NET OPEN POSITION-
POSITION- (NOP)
A measure of foreign exchange risk

ï 971
9?9: /   
c 
' 
 ?*#7 ?*($
ï 91     ³LONG´ 
7/ 
   $
ï 9 /1     ³(HORT´ 
7    $
ï 971   
   
   / 
  /

/  $
ï " 6  
c) 

  
$
EXAMPLE (NOP) (U(D in Mio)

Opening Position ±3$33

% 1
   ±$33

c1
    '$33 (F ±3$3

% *  ' 3  8( G ±3$.3

c*     G ±3$3

NET OPEN PO(TON $ 1.00


Introduction to Inter-
Inter-bank FX activities
oreign Exchange Exposure
c) 


 
  
  
c$
EAMPLE
 G971& "9%
CURRENCY (HORT LONG
Dollar G3
Yen 3
Euro G3
Pound 3
Total -°0 °0
971  3 
 °0$
c 
  

%  %   
" '% "(  

  
u I¶s uole in the Forex Market

‰    

 
$
‰ % G
% G/       
  
 
  
/  $
‰ =

  /$
‰      2 

$
u I¶s uole in the Forex Market

ï % "
     

    /   'c °  ($
ï 
    

 1    
 
 /  $
ï 1  /  
 971 ! 

 
/     
  

 / 
 /  $
TuEASUu OPEuATIONS AT u I
$     
    
   /6    )9; % #
"9%* %*
°$ 5      
 c)    
ã$       /    / 

*   
$ "   /    
 
   
       


  
  
/ 
      # 
   
/     
.$ c  
       
       5 5   
     % ""$$
Functions of DMMD
à à 
ÿ 1     /   #
c)  /c 7 $
ÿ 1  ?  $
ÿ ; 
     *  $
ÿ % /    $
ÿ %     
  
  $
  
ÿ 971 $
ÿ c) ?   $
ÿ 7 !
ÿ c     $
ù  c  

ÿ    ù
  
 $
ÿ   &
ÿ c   
ÿ   
  ùù &
ÿ % 1   ùù ° !$!c
  $
     
ù *   *>
ù : 
ù @: 0 @: 0$
ù        $
ù 
 @ 0$
NTERVENTON
‰   
 

   /6 % "
 
  
‰ "   
c)
  
  


  &   /
c)
   
 ?
&/  
‰ "  /%58 
c7%%5
OTHER  RELATED UNCTON(

‰ 7cc*" 79"7%"9;
‰ 5":8%*c7% %=
‰ "%54%%98"A"8c7%; 1
18 9*
‰ %*%A 9; 9
*  
    

Inputs of Computerized
Reporting System - 

 individua foreign exchange transactions reported by


each bank on dai y basis on a f oppy diskette

'Amount 'Currency 'Posting date


'Counter Party 'Rate 'Deal Date
'Type of Deal 'Maturity Date 'Mode of Deal
*  
    

€ Reports from CRS

—? 
—
?   
— 
—  
*  
    

€ Reports from CRS Cont·d

u    
     

—        


—Ô          
—Ô       
—  
      
Ä 
 

   

ï Non-Quantitative Tools
ï Quantitative Tools
  


ï Moral suasion
ï facilitating large commercial outflows
ï Relaxation in EEL
Ä 
 

   
Quantitative Measures
   
  
´   
/      ' (
 /'
(     $
´ 1c: 
/   10 10 % 0 
  $
´ "
  c:!/  0
 
  
   
 /


c:$
V  

ï 5  /  


/
*   
/    $
ï *
 ?
 /     
ï " 
  /6 

! 

    


  
  u"#
 

ï "  /   $% "


 
  $

ï %*%A 4":5"9;