CHNG I

T gi hi oi
Exchange rate
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I. Cc khi nim
1.
-

Ngoi hi
L khi nim dng ch cc phng tin c th dng tin hnh TTQT, bao gm:
1.1 Ngoi t (Foreign Currency): tc l tin ca nc khc lu
thng trong mt nc. Ngoi t gm hai loi: Ngoi t tin mt v ngoi t tn dng.

1.2 Cc phng tin thanh ton quc t ghi bng ngoi t: - Hi phiu (Bill of Exchange)
- K phiu (Promissory Note) - Sc (Cheque) - Th chuyn tin (Mail Tranfer). - in chuyn tin. (Telegraphic Tranfer) - Th tn dng (Credit card). - Th tn dng ngn hng (Bank Letter of credit)
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1.3 Cc phng tin tn dng (cc chng khon c gi) ghi bng ngoi t nh:
C Tri Tri

phiu (Stock) phiu kho bc (Treasury Bill) phiu cng ty (Debenture) tri quc gia (Government Loan).

Cng

1.4 Vng, bc, kim cng, ngc trai, qu v cc kim loi qu v him khc c dng lm tin t.
1.5 Tin Vit Nam di cc hnh thc sau y:
Tin VN nc ngoi di mi hnh thc khi quay li Vit Nam. Tin tn dng VN ghi tn ti khon ca ngi phi c tr (Non Resident) ti cc NH thng mi VN c quyn tham gia vo TTQT. Tin Vit Nam c ngun gc ngoi t khc.
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1.6. Theo iu 4, Php lnh ngoi hi ngy 13 thng 12 nm 2005 ca UBTV Quc hi, c hiu lc t ngy 1/6/2006, Ngoi hi bao gm:

a) ng tin quc gia khc hoc ng tin chung Chu u v ng tin chung khc c s dng trong thanh ton quc t v khu vc (sau y gi l ngoi t);
b)Phng tin thanh ton bng ngoi t, gm sc, th thanh ton, hi phiu i n, hi phiu nhn n v cc phng tin thanh ton khc; c) Cc loi giy t c gi bng ngoi t nh: tri phiu Chnh ph, tri phiu cng ty, k phiu, c phiu v cc loi giy t c gi khc; d)Vng thuc d tr ngoi hi nh nc, trn ti khon nc ngoi ca ngi c tr; vng di dng khi, thi, ht, ming trong trng hp mang vo v mang ra khi lnh th Vit Nam; )ng tin ca nc Cng ho x hi ch ngha Vit Nam trong 4

2. T gi hi oi
2.1. L gi c ca mt n v tin t nc ny th hin bng mt s tin t nc khc.
VD: Mt ngi VN c 1,6 t VND, anh ta c th n s GD mua USD m anh ta cn: NH s tr cho anh ta mt s USD l: 100.000 USD

Nh vy gi ca 1 USD = 1.600.000.000 = 16.000 VND

100.000

2.2. L quan h so snh gia hai ng tin vi nhau.

VD: USD/VND GBP/USD = 15.990/16.000 = 1.8898/1.9000.
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3. Cch nhn bit TGH

VD: NHVCB nim yt cc loi TG sau: USD/VND= 15.990/ 16.000 GBP/USD= 1.8845/75

3.1. Cch c
T gi la M - Vit Nam ng t 15.990 n 16.000 T gi Bng Anh - la M t 1.8845 n 75.

3.2 T gi ng trc (15990; 1.8845) l t gi NH mua USD v GBP gi l t gi BID (BID Rate)
3.3 T gi ng sau (16.000; 1.8875) l t gi NH bn USD v GBP, gi l t gi ASK (ASK Rate).
T l : ASK - BID = Spread Spread chnh l li nhun ca NH thu c.
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3.4 i vi mt s loi tin c gi cao nh USD, GBP, EURO, CAD: t gi ASK ch cng b im (point) c l im. Hai ch s u sau du phy c l s (figure), hai s sau gi l im (point). - C 100 im tng ln 1 s. - C 100 s tng ln 1 n v tin t VD:GBP/USD = 1,8845/75. c l: T gi Bng Anh- la M t 1,8845 n 75 (mt n v tin t, tm tm s bn lm im n by nhm im).
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4. Phng php yt gi:

4.1. C 2 phng php yt gi ph bin
- Yt gi trc tip (certain quotation) tc l c bao nhiu s lng tin t trong nc bng mt n v ngoi t. VD: Ti Hongkong: USD/HKD = 7,7860/90.
- Yt gi gin tip (Incertain quotation) tc l c bao nhiu ngoi t bng mt n v tin t trong nc. VD: Ti Hongkong: HKD/USD= 0.1248/0.1283.

4.2. ng tin ng trc l ng tin yt gi v l mt n v tin t c nh. ng tin ng sau l tin nh gi v l mt s lng tin t bin 8 i.

5. C s hnh thnh t gi:

5.1. Trc nhng nm 1970 khi vng cn l bn v, s ng nht ca ng tin trong giai on ny l HLV nn TGH ca cc ng tin c da vo HLV c trong chng (ngang gi vng). VD: HLV ca GBP = 2,488281 gr HLV ca USD = 0,888671 gr Nh vy TGH ca GBP v USD l GBP/USD = 2,488281/0,888671=2,80 USD
TGH xc nh da vo HLV gi l ngang gi vng (Gold Parity).
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5.2. T thng 12/1970 n nay: Ch tin t Bretton Woods sp , ng la khng c i ra vng. TGH ca ng tin t giai on ny c xc nh da vo sc mua ca tin t. VD: L hng A bn ti M = 16 USD, bn ti Anh = 10 GBP. TGH gia USD v GBP c xc nh da vo sc mua ca 2 loi tin trn, c ngha l: USD/GBP = 10/16 = 0,625 TGH da vo sc mua gi l ngang gi sc mua (Purchasing Power parity - PPP).

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II. xc nh t gi theo phng php tNh cho

1. Cch xc nh TGH ca 2 ng tin yt gi (v tr ng tin t s) 2. Xc nh TGH ca 2 ng tin nh gi (v tr ng tin mu s) 3. Xc nh TGH ca 2 ng tin yt gi khc nhau (ng tin yt gi - t s v ng tin nh gi mu s)
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1. Cch xc nh TGH ca 2 ng tin yt gi (v tr ng tin t s)

Bit GBP/VND v USD/VND ---> USD/GBP = ? 1.1. Cng thc chung: USD/GBP = TGT t s/ TGT mu s
= USD/VND/GBP/VND.
1.2 ASK USD/GBP = BID USD/VND/ ASK GBP/VND 1.3 BID USD/GBP = ASK USD/VND/ BID GBP/VND
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VD: VCB cng b t gi hi oi nh sau: USD/VND = 15.760/15.860 GBP/VND = 25.260/25.370 USD/GBP = ? ASK USD/GBP = BID USD/VND/ASK GBP/VND = 15.760/25.370 = 0,6212 BID USD/GBP = ASK USD/VND/ BID GBP/VND = 15.860/25.260 = 0,6279 -Nu Unimex H Ni c 100.000 USD th s i c -100.000 x 0,6212 = 62.120 GBP
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2. Cch xc nh TGH ca 2 ng tin nh gi (V tr ng tin mu s).

Bit USD/VND v USD/JPY ---> tnh JPY/VND 2.1. Cng thc chung: JPY/VND = TGT mu s/TGT t s = USD/VND/USD/JPY
= BID USD/VND/ASK

2.2. ASK JPY/VND USD/JPY 2.3. BID JPY/VND

= ASK USD/VND/BID14

V d: USD/JPY = 129/132 USD/VND = 15.760/15.860

ASK JPY/VND = BID USD/VND/ASK USD/JPY = 15.760/132 = 119,40 BID JPY/VND = ASK USD/VND/ BID USD/JPY = 15.860/129 = 122,95

Nu bn 1.000.000 JPY mua c 119.400.000 VND

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3. Xc nh TGH ca 2 ng tin 2 v tr yt gi khc nhau (ng tin ny v tr yt gi- t s, ng tin kia v tr nh gi- mu s

Cho cp TGH: GBP/USD, USD/VND --- > GBP/VND = ? 3.1. Cng thc chung: GBP/VND = GBP/USD x USD/VND
3.2. ASK GBP/VND = BID GBP/USD x BID USD/VND 3.3. BID GBP/VND = ASK GBP/USD x ASK USD/VND
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V d: GBP/USD = 1,8225/75 USD/VND = 15.760/15.860 GBP/VND = ? Ta c: ASK GBP/VND = 1,8225 x 15.760 = 28.723

BID GBP/VND = 1,8275 x 15.860 = 28.984

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III. Cc nhn t nh hng ti s bin ng ca TGH

1. Trt gi do lm pht (Yu t c bn)

Cng thc chung: A/B = PR[1 + (IB-IA)]. Trong : A: ng tin yt gi. B: ng tin nh gi. PR: TGH bnh qun hin ti. IA: Tc lm pht ca tin yt gi A. IB: Tc lm pht ca tin nh gi B.
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V d Ngy 10/7/2006, 1 USD = 15.780. - Lm pht ca Vit Nam d on thng 12/2006 l 15%. - Lm pht ca M d on thng 12/2006 l 4%. Vy: USD/VND = 15.780[1+(0,15 - 0,040)] = 17.516

Kt lun: T gi bin ng do lm pht ph thuc vo mc chnh lch lm pht 2 nc c ng tin yt gi v nh gi.

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2. Tnh hnh cung v cu ngoi hi trn th trng

2.1. Tnh hnh d tha hay thiu ht ca CCTTQT - Nu thu > chi -> cn cn thanh ton d tha -> kh nng cung cp ngoi hi > nhu cu v ngoi hi -> TGH gim xung. - Nu chi > thu -> cn cn thanh ton thiu ht -> kh nng cung cp ngoi hi < nhu cu v ngoi hi -> TGH tng ln. 2.2. Thu nhp thc t ca ngi dn tng. 2.3. Nhng nhu cu v ngoi hi tng.
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3. Mc chnh lch li sut gia cc nc

Nc no c li sut ngn hn cao hn nc khc hoc cao hn LSTG th vn ngn hn s chy vo nhm thu phn chnh lch do tin li to ra.

Cng thc chung:

Rf = Rs + Rs x N/360 x (Id Iy)
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V d:
V d: Rs USD/JPY = 120 Iy = 8%/nm Id = 10%/nm N = 1 thng Ta c: Rf = 120 + 120 x 1/12(0,10-0,08) = 120,2 USD/JPY k hn thng = 120,2
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iv. iu chnh TGH

1. khi nim iu chnh TGH l vic nh nc dng cc bin php kinh t hoc ti chnh can thip vo th trng hi oi nhm iu chnh TGH bin ng theo chiu hng hoc trong mc mong nun.
2. ngha ca vic iu chnh TGH

2.1. Khi TGH ln cao 2.2. Khi TGH xung thp

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3. Cc bin php iu chnh TGH

3.1. Chnh sch chit khu ca NHTWW (Discount policy) L chnh sch ca NHTW dng thay i t sut chit khu ca Ngn hng mnh nhm iu chnh TGH trn th trng .

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- Khi TGH ln cao NNTW nng cao TSCK -> Li sut th trng tng -> Vn ngn hn chy vo th trng trong nc. -> Du s cng thng ca cung cu -> TGH gim.
- iu kin: Tnh hnh kinh t chnh tr, tin t trong nc phi n nh.
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Nhn xt Mt hn ch ca chnh sch chit khu - Do nghip v hi phiu gim xung so vi trc, Ngn hng v cc nh t nhn vay tin nc ngoi tng vn sn xut. -> S l thuc ca cc NHTM i vi NHTW gim xung. - Mc ch TB ngn hn chy vo mt nc khng phi hon ton do li sut ln cao
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3.2. Chnh sch hi oi (Chnh sch th trng m hay Chnh sch Nh nc hot ng cng khai trn th trng).

l chnh sch m NHTW hoc cc c quan ngoi hi ca Nh nc trc tip tham gia mua bn ngoi hi trn th trng t do nhm tc ng trc tip vo TGH. - Khi TGH tng, NHTW bn ngoi hi - Khi TGH gim, NHTW mua ngoi hi Chnh sch tng h SWAP (Swing agreement of payment).
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Nhn xt Li th ca CSH so vi CSCK:

- Chnh sch chit khu NH thng th b ng. - Chnh sch hi oi th ch ng hn. - Chnh sch chit khu khng th thay i li sut lin tc trn th trng c. - Chnh sch hi oi linh hot hn, c th thay i gi mua v bn theo th trng. Nhn xt: hai chnh sch trn l 2 chnh sch truyn thng ca cc nc TB p dng.
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3.3. Qu d tr bnh n hi oi
L hnh thc bin tng ca chnh sch th trng t do - nhm to ra mt cch ch ng mt lng ngoi hi d tr ng ph vi s bin ng ca TGH thng qua vic hot ng cng khai ca Nh nc trn th trng. C hai cch lp qu d tr: - Pht hnh tri khon kho bc bng tin trong nc - Dng vng lp qu.

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3.4. Ph gi tin t (Devaluation)

Ph gi tin t l s nh tt sc mua ca tin t nc mnh so vi ngoi t thp hn sc mua thc t ca n hay l nng cao TGH ca mt n v ngoi t.

V d: thng 12 /1971, USD ph gi 7,89%, kt qu l TGH ca mt n v NT (GBP) tng t: 1GBP = 2,40 USD ln 1GBP = 2,605 USD. hay sc mua ca USD gim t: 1 USD = 0,416GBP xung cn = 0,383 GBP.
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Tc dng ca chnh sch ph gi tin t:

- y mnh xut khu, hn ch nhp khu. - Khuyn khch nhp khu vn, hn ch xut khu vn. - Khuyn khch du lch vo trong nc, hn ch du lch ra nc ngoi. - Cp khng mt phn gi tr thc t ca nhng ai nm trong tay ng tin b ph gi.
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3.5. Nng gi tin t : (Revaluation)

L vic nng cao chnh thc n v tin t nc mnh so vi ngoi t cao hn sc mua thc t ca n.
V d: Thng 10/1969 Mc c nng gi -> 1 USD = 4 DEM gim xung cn 3,66 DEM hay 1 DEM tng t 0,25 USD ln 0,27 USD.

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Tc dng ca nng gi:

Ngc li vi ph gi tin t: - Hn ch xut khu, y mnh nhp khu. - Hn ch nhp khu vn, khuyn khch xut khu vn. - Khuyn khch du lch ra nc ngoi, hn ch du lch vo nc mnh.
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V. Cc loi TGH
C 3 cn c phn loi t gi: - Cn c vo nghip v kinh doanh ca ngn hng. - Cn c vo cch qun l ngoi hi ca nh nc. - Cn c vo phng tin thanh ton.

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1. Cn c vo nghip v kinh doanh ca ngn hng, chia ra:

1.1. T gi mua vo Bid rate. 1.2. T gi bn ra Ask rate. 1.3. T gi giao ngay Spot rate. 1.4. T gi k hn Forward rate. 1.5. T gi m ca Opening rate. 1.6. T gi ng ca Closing rate. 1.7. T gi tin mt - Cash rate 1.8. T gi chuyn khon Transferrable rate

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2. Cn c vo cch qun l ngoi hi ca nh nc, chia ra.

2.1. T gi chnh thc Official rate. 2.2. T gi t do Market rate. 2.3. T gi c nh Fixed rate. 2.4. T gi th ni Floating rate. 2.5. Ch nhiu t gi: + T gi c bn v t gi u i.
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3. Cn c vo phng tin thanh ton chia ra:

3.1. T gi in hi (Telegraphic Transfer Rate) thng l t gi c nim yt ti ngn hng, l t gi chuyn ngoi hi bng in; l t gi c s xc nh cc loi t gi khc; nhanh nhng t. 3.2. T gi th hi (Mail Transfer Rate) l t gi chuyn ngoi hi bng th; r nhng chm.

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C s chn tr tin bng th hay bng in Ta c: a - Kim ngch L/C b - T sut cho vay ca ngn hng (nm) c - Thi gian thu nhanh ca i tin bng in so vi i tin bng th. T - in ph. M - Th ph - Hng s (360 x 100)
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Nu a.b.c - T 0 Ta c a.b.c T (I) H qu: nu tch ca kim ngch L/C, li sut v thi gian thu nhanh in ph th i tin bng in s em li hiu qu kinh t tt nht. (Cng thc I ti u)

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Nu T - a.b.c M Hay l a.b.c (T - M)

(II)

H qu: Nu tch ca kim ngch L/C, li sut v thi gian thu nhanh tch ca hiu gia in ph vi th ph v hng s en ta th i tin bng in s em li hiu qu kinh t ti thiu.

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3.3. T gi sc v T gi hi phiu tr ngay - Cheque rate & Draft rate.

V d: T gi hi phiu tr ngay - 1 hi phiu tr ngay c gi tr: 1000 GBP.
- Li sut ca ngn hng Anh: 4%/nm. - TGH 1 GBP t London->New York=> 1 GBP=2,8 USD - S ngy cn thit chuyn HP t London to New York (N): 15 phiu ngy 1000 GBP tr ngay l: Gi ca hi

1000 GPB = (1000 x 2,8) Hay 1 GBP = 2,795 USD

2800 x 4 x 15

2,795

100 x 360
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3.4. T gi hi phiu k hn V d: - 1 hi phiu c gi tr: 1000 GBP.

- Li sut ca ngn hng Anh: 4%/nm. - TGH 1 t London->New York=> 1 GBP=2,8 USD - K hn ca hi phiu l (N): 90 ngy Gi ca hi phiu 1000 GBP c k hn 90 ngy l: 1000 GPB = (1000 x 2,8) -

2800 x 4 x 3
100 x 12

2772

Hay 1 GBP = 2,772 USD

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VI. Th trng hi oi
1. Khi

nim Th trng hi oi l ni din ra vic mua, bn tin v tin gi ngn hng ghi bng nhng ng tin ring bit ca tng quc gia khc nhau. Cc giao dch ny xc nh cc t gi, theo cc ng tin c trao i vi nhau t ng tin ny ra ng tin khc, ng tin khc n lt mnh li xc nh gi mua hng ha v ti sn ca nc ngoi
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C hai h thng hi oi: H thng hi oi Anh M: - C tnh cht biu tng - Quan h giao dch c th trc tip, song ch yu thng qua in thoi, telex H thng hi oi lc a (Php, c, ): - C a im nht nh.
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2. i tng mua bn trn th trng hi oi

- L ngoi hi, trong ch yu l mua bn cc ngoi t v phng tin thanh ton c gi tr nh ngoi t

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3. Nhng ngi tham gia trn TT hi oi

3.1. Cc ngn hng thng mi:

a. Vai tr ca cc ngn hng thng mi - Vi t cch l ngi bn hoc ngi mua -> xut pht t v tr trung tm ca cc NHTM trong vic thc hin cc hot ng thanh ton quc t. - Vi t cch l ngi trung gian cho khch hng ca h. - Cc ngn hng cng thc hin cc giao dch cho chnh mnh.
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b. Phng thc giao dch gia cc ngn hng:

- Theo hnh thc lin ngn hng (Chim t 70% - 90% tng doanh s). Mc ch l vic to doanh li t nghip v arbitrage hoc t vic tch tr u c ngoi hi
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3.2. Ngn hng Trung ng

a. Chc nng ca ngn hng trung ng: - Chu trch nhim pht hnh ng tin nc mnh v qun l cung ng tin t.

- Gi n nh t gi gia ng tin bn t vi cc ng tin khc.

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b. Hot ng ca ngn hng trung ng:

- Mc ch: Thc hin vic mua v bn ngoi t cn bng hot ng khch hng v nhm tc ng vo t gi hi oi. - Nhim v: L ngn hng phc v nh nc trong vic thc hin cc hot ng thanh ton ca Chnh ph v cc t chc phi chnh ph. - Hot ng can thip ca NHTW vo th trng ngoi hi (mua bn ngoi hi) ty thuc vo vic NHTW th ni t gi cho th trng t do hay tc ng vo ch t gi.
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3.3. Cc nh mi gii
- Doanh s hot ng thng qua cc nh mi gii chim n 50% tng doanh s kinh doanh ngoi hi. - Cc nh mi gii t chc cc quan h bng in thoi v mng vi tnh. - Khc vi cng ty mi gii chng khon l cng ty mi gii chng khan khng phi du tn khch hng cn cng ty mi gii hi oi phi du tn. - L ph mi gii: New York l ph cho mi giao dch 3 triu USD l 96 USD.

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3.4. Cc cng ty

- Cc cng ty thc hin mua bn ngoi t thanh ton hng ha xut nhp khu. - Cc giao dch mua bn ngoi t gia cc cng ty v cc ngn hng ch chim mt t l rt nh. - Hin nay vai tr ca cc cng ty ln c bit cc cng ty a quc gia ngy cng tng trn th trng hi oi.
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4. Phn loi th trng hi oi

Cn c vo thi im giao dch kt thc: 4.1. Th trng giao ngay: - L th trng m ti vic mua bn, thanh ton v giao nhn ngoi hi xy ra ng thi hoc chm nht l 2 ngy lm vic, k t khi hp ng thng mi c k kt.

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- Ngy giao nhn ngoi hi gi l ngy gi tr. - tr thnh ngy gi tr c hiu lc th ngy gi tr phi l ngy lm vic ca nc c ng tin trong giao dch. - Ngy gi tr giao ngay chun l hai ngy lm vic sau ngy tha thun giao dch.
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4.2. Th trng hi oi c k hn:

- L th trng m vic k kt hp ng mua bn ngoi hi v vic giao nhn ngoi hi khng ng thi. Tc l vic giao nhn ngoi hi c thc hin vo thi im nh trc trong tng lai. - T gi hi oi k hn c ngha rt ln trong vic bo him hi oi. - K hn ca hp ng thng thng l ngn hn.
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5. Cc nghip v trn th trng hi oi.

5.1. Nghip v mua bn thanh ton ngay - L nghip v m trong vic k kt hp ng v vic thc hin hp ng xy ra ng thi hoc sau 2 ngy. - T gi thanh ton ngay (sau 2 ngy lm vic): Spot rate. - Nu thay i thi gian t 2 ngy -> 3 ngy: Spot next. - Nu thay i thi gian t 2 ngy -> 1 ngy: Tomorrow next.
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5.2. Nghip v mua bn c k hn.

- L nghip v m trong mi iu khon ca hp ng c nh ra trong hin ti, song vic thc hin cc iu khon (giao nhn ngoi hi) s xy ra sau mt thi gian nht nh theo t gi tha thun lc k kt hp ng. - ngha: trnh ri ro v t gi trong kinh doanh ngoi hi. - T gi thanh ton c k hn: Rf = Spot rate 1 s im gia tng hay khu tr (premium or discount).
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V d: Ngy 17/8/1998 hng Daimle-Benz bn t Mercedes cho 1 ngi M. - gi tr hp ng: 10 triu USD. - N: 3 thng. - Ngy n hn 17/11/998. Hng d on trong tng lai gi USD s h -> quyt nh bn 10 triu USD cho 1 NHTM - Rs USD/DEM = 1,4610/1,4630. - Rf USD/DEM (3 thng) = 1,4823.
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Cch tnh: Ti thi im 17/8/1998. I DEM = 9,7%/nm. I USD = 4%/nm. N = 92 ngy.

Cng thc: Premium = Rs x N x chnh lch li sut

360 x 100

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=> Premium = 0,0213

1,4610 x 92 x (9,7 4,0)

360 x 100

n 19/11/1998: Hng Daimle-Benz s nhn c: 10.000.000 x 1,4823 Ngc li: Rf USD/DEM = 14.823.000 DEM = 1,4610 - 0,0213 = 1,4397

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Cng thc chung: - Rs: TGGN USD/HKD - Rf: TGKH USD/HKD - Iy : Li sut cho vay USD. - Id : Li sut cho vay HKD. - N : Thi hn cho vay. - K : H s thi gian (N/360). - Pu: S lng USD cho vay ban u.

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Nu u t bng USD trong N thi hn:

FU = PU + PU.IUK = PU(1+IUK). Nu u t bng HKD trong N thi hn: FHKD = (PU.Rs)(1+IHKDK)
(Quy i ra HKD)

Theo quy lut bnh qun ha li nhun: FU = FHKD

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Gi nh u t bng USD phi quy i ra RfHKD vi mc t gi = ? tng ng vi nh u t bng HKD. Ta c: PU(1+IUK).Rf = (PU.Rs)(1+IHKDK) => Rf(1+IUK)= Rs(1+ IHKDK)
1 + IHKDK 1 + IUK Kt qu: Nu li sut ca ng tin yt gi cao ta nguyn cng thc (I) ny v p dng tnh Rf theo kt qu c.
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Rf = Rs

(I)

Tip tc ta c: Rf = Rs( = Rs( ) = Rs( ) 1 + IHKDK + IUK - IUK 1 + IUK 1 + IUK + IHKDK - IUK 1 + IUK 1 + IUK IHKDK - IUK
+

1 + IUK

1 + IUK

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= Rs (1+

IHKDK - IUK
1 + IUK

= Rs + Rs ( = Rs + Rs

IHKDK - IUK
1 + IUK IHKD - IU 1 + IUK

) )

N 360

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- Kt qu: Nu li sut cho vay ca USD thp, thi hn cho vay ngn ta c th coi 1 + IUK = 1. Vy cng thc trn s l: Rf = Rs + Rs x N/360 x (IHKD - Iu) (2) - H qu: T gi GNKH Rf bng tng t gi giao ngay v mc chnh lch li sut cho vay ca hai ng tin yt gi v nh gi trong N thi hn. Cng thc chung:

Rf = Rs + Rs

N 360

(Id - Iy)

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SWAP RATE
Tnh Rfa (USD/CHF) = ? Rsa(USD/CHF) = 2,30/2,40 Icb = 10,00% (8,00%) Iub = 8,00% (10,00%) N = 30 ngy Rfa (USD/CHF) = 2,40+2,40.1/12(0,10-0,08) = 2,40+0,0040= 2,4040 (PRE =40 points ( L im gia tng vo t gi bn k hn) Rfa (USD/CHF) = 2,40+2,40.1/12(0,08-0,10) = 2,40 0,0040 = 2,3960 (Dis = 40points) (L khu tr vo t gi bn k hn) PREMIUM ca t gi bn v mua k hn gi l SWAP RATE gia tng DISCOUNT ca t gi mua v bn k hn gi l SWAP RATE khu tr

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V d: - USD/HKD = 7,7860. - Iu = 8%/nm. - IHKD = 10%/nm. - N = 1 thng Ta c: Rf = 7,7860 + 7,7860 x 1/12 x (0,1 0,08) = 7,7860 + 0,01298 = 7,87989. - 0,01298 l im gia tng vo t gi k hn, gi l premium Kt lun: Nu li sut cho vay ca ng tin nh gi>li sut cho vay ca ng tin yt gi th c + thm vo t gi giao ngay premium.

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Ngc li: Nu li sut cho vay ca ng tin nh gi < li sut cho vay ca ng tin yt gi th b khu tr i (discount) mt s im so vi t gi giao nhn ngay.

V d: vi nhng d liu nh trn nhng Iu = 10%/nm v IHKD =8%/nm, ta c: Rf = 7,7860 - 0,01298 = 7,87730.

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5.3. Nghip v Swap

- L nghip v m trong mt ng tin c mua v c bn ng thi, nhng ngy tin hnh giao dch mua v bn li xy ra vo hai thi im khc nhau. - Li dng c ch tn dng Swap, ngn hng phi hp mua v bn ngoi t ngay vi mua v bn c k hn kim li hoc bo tn vn.

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V d: Mt ngn hng thc hin nghip v Swap 1 thng gia USD v VND cho khon 10.000 USD. - T gia giao ngay Rs USD/VND = 15.800. -Iu = 7%/nm. v IVND = 10%/nm. - Ngn hng thc hin mua 10.000 USD giao ngay: 10.000x 15.800 = 158.000.000 VND - Bn USD c k hn 1 thng theo t gi k hn:

Rf = Rs + Rs

N 360

(IVND-Iu)

= 15.800 +15.800 x 1/12 x (0,1 0,08)

= 15.800 + 26 = 15.826
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5.4. Nghip v Arbitrage

L nghip v kinh doanh ngoi hi m vic to li nhun da trn c s ca s chnh lch t gi ca cc ngoi t giao dch ngay trn mt hoc nhiu th trng hi oi.
-

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C hai loi nghip v Arbitrage:

- Arbitrage cn bng: l vic mua mt lng ngoi hi nht nh ti th trng hi oi r nht hoc bn mt lng ngoi hi nht nh ti th trng t nht vo mt thi im nht nh. - Arbitrage khng gian: l vic mua ngoi hi th trng r nht ng thi bn ngoi hi ti th trng hi oi t nht.

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Arbitrage khng gian c chia lm hai loi:

- Arbitrage hai im V d: London
Spot rate GBP/USD = 1,98
hay USD/GBP = 0,505 2 USD hay

NewYork
1 USD = 0,5 GBP
1 GBP =

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- Arbitrage ba im
London
GBP/DEM = 8,0

NewYork
USD/GBP = 0,5

Franfurt USD/DEM = 3,5

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5.5- GIAO DCH QUYN CHN OPTION TRANSACTION

A KHI NIM : B - C IM : + Giao dch ti s giao dch . + i tng giao dch : - hp ng quyn chn mua ( call option ) - hp ng quyn chn bn ( put option ) + ph quyn chn - mua ( call premium ) - bn ( put premium ) + t gi k hp ng quyn chn = t gi k hn . + t gi o hn H quyn chn = t gi giao ngay . + K hn ca hp ng l k hn chun , ngn hn . + giao dch mt s cc tin t quy nh . + thc hin hp ng : - giao tht v thanh ton bng tng tr gi H . - hu hp ng .
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C giao dch mua hp ng quyn chn mua

Cng ty A mua HQCM 1000 USD k hn 3 thng ,

Rfa = 15.450 VN : 1000 USD x 15.450 VND = 15.450.000 VND tng chi ph : 20,60 USD . - call premium = 2% x 1000 usd = 20 USD - li huy ng = 12% nm x 20 USD x 3/12 = 0,6 USD Rsb vo lc o hn hp ng = 15.950 VN . Cng ty a bn 1000 USD x 15.950 VND = 15.950.000 VND Cng ty a c li IN THE MONEY : 15.950.000 - { 15.450.000 +( 20,6 x 15.950 )} = 171.430 VND Cng ty A chn vic thc hin hp ng quyn chn mua Nu rsb vo lc o hn hp ng = 15.774,96 VND cng ty a ho vn at the money: 15.774.964,26 - { 15.450.000 +( 20,6 x 15.774,96)} = 0 vND cng ty a c th hu hp ng hoc thc hin hp ng nu cng ty c nhu cu USD . Rsb gi l t gi ho vn . nu rsb vo lc o hn hp ng < 15.774,96 VND , cng ty s l , do tng thu < tng chi out the money
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D giao dch mua hp ng quyn chn bn

cng ty A mua hqc bn 1000 USD k hn 3 thng

rsb = 15.400 VND . Tng thu : 15.400.000 VND . Tng chi ph = 20,60 usd . - put premium : 2% x 1000 = 20 USD - li huy ng : 20 x 12% x 3/12 = 0,60 USD . Nu Rsa vo ngy o hn = 15.750 VN , cng ty b l OUT THE MONEY 15.750.000 - { 15.400.000 - ( 20,60 x 15.750 )} = 674.450 VND Nu Rsa vo ngy o hn = 15.000 VN cng ty c li IN THE MONEY 15.400.000 ( 20,6 x 15.000 ) 15.000.000 = 91.000 VND Nu rsa = 15.089,16 VND , cng ty ho vn AT THE MONEY : 1 5.400.000 ( 20,6 x 15.089 , 16 ) 15.089.163 = 0 VND

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