国际外汇市场培训资料

The largest global market 全球市场规模最大的组成部分

The FX market is the largest global financial market 外汇市场是全球金融市场中规模最大的市场

Daily turnover is over US$3 trillion globally 每日成交金额超过3万亿美元

Value tom (Value tomorrow) 明日起息


Value today 当天起息


Forward 远期交易

Deals where cash settlement takes place beyond spot. 交割日在即期T+2 之后的交易都称为远期交易 Where the cash settlement day falls on a non business day, it takes place on the following business day. 如果交割日落在一个非工作日，则一般顺延至下一个工作日
Markets fully closed from Friday NY Closing (app. 6am Sat in S’pore) to Monday Auckland open (app. 4am S’pore) But still some trading Sat and Sun in Middle-east.


The FX forward settlement date can be one day to one year later than spot date. 远期可以是在即期之后的一天到一年。
For value “forward”, the FX rate must take into account the interest differential between the two currencies. 远期汇率必须考虑两种货币的利率差 Implicitly, the party is borrowing/lending the currencies to effect the forward exchange. 背后的原理其实就是交易方拆借两种货币
FX Market Making 外汇市场做市商报价

Bid = price in ccy at which bank is willing to pay for the base currency 买入价：银行愿意买入基准货币的汇率 Offer = price at which bank is willing to sell the base currency 卖 出价：银行愿意卖出基准货币的汇率

FX Quoting Conventions 外汇报价惯例

Base / Counter Currency （作为报价货币的顺序）
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)

Cash settlement two business days from date of transaction. 交易日两个工作日（交易币种）交割
Cash settlement one business day from date of transaction. 交易日第二个工作日交割 Cash settlement on date of transaction 交易日当天交割
外汇市场停止交易的时间段：自周五纽约市场全部结束到下周一奥克 兰（新西兰）市场开盘，市场基本没有交易，但是周末时间中东市场 仍然有少量外汇的交易存在。
Definition of exchange rate 汇率的定义

A foreign exchange rate is a means of expressing the value of one currency (“base” currency) in terms of another (“counter” currency). 外汇汇率是用一种货币来表示另一种货币。 Quote 汇率 USDCNY USDHKD Base基准 1 USD = 1 USD = Counter 6.8200 CNY 7.7500 HKD
Example: USDCNY 6.8200 / 6.8250

Bid银行买入美元
“Bank Buy USD”
(sell CNY)
Offer / Ask 银行卖出美元
“Bank Sell USD” (buy CNY)
FX Cross rate 交叉汇率

Spot rate = Any rate that is quoted against the USD 即期汇率： 所有都对美金报价
London, New York, Tokyo & Singapore are top four global forex trading centres 伦敦、纽约、东京，以及新加坡是全球四大外汇交易中心

Participants in FX markets 外汇市场的参与者

Beijing times: （北京时间）


4am to 2pm New Zealand 新西兰时段 7am to 5pm Japan 日本时段 8am to 5pm Singapore & Hong Kong 新加坡时段 4pm - 2am London 伦敦时段 9pm - 5am New York纽约时段


Forward Outright 外汇远期交易

When the base currency is at forward premium, swap point is added to the spot rate to arrive at the Outright Forward rate 基准货币升水，掉期点加上即期汇率成为最终远期报价 When the base currency is at forward discount, swap point is deducted from the spot rate to arrive at the Outright Forward rate. 如果远期贴水，掉期点就为负，相当于减去掉期点得到远期报价 Example: Given spot USDCNY is 6.8200, 150/200 and 3 month swap point is150/200. What is the CNY 3 month Outright Forward rate? USDCNY即期价格6.8200，3个月掉期点150/200，那么3个月的远期报价是? Answer: 6.8350/6.8400 So USD is at forward premium against the CNY. So swap point is added to spot rate 美元兑人民币远期升水

Derive the JPYCNY cross rate, given, 计算美元兑人民币报价 USDJPY = 95.00 / 95.10 USDCNY = 6.8200 / 6.8250 JPYCNY = USDCNY divided by USDJPY 用美元兑人民币的报价除以美元兑日元报价 Hence, Bid = 6.8200 / 95.10 = 0.071714 Offer = 6.8250 / 95.00 = 0.071842


“Value date” is the date when exchange of currencies is done 起息日是两种货币做转换的日期
Also known as “settlement date” or “delivery date” 也被称作清算日或交割日 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)
FOREIGN EXCHANGE WORKSHOP
Objectives 目标

Understand FX Markets，Conventions and Dynamics 了解外汇市场规则及动态 Examine Market Products 深入了解外汇市场产品


Spot 即期交易 Forward Contracts 远期合约 FX Swaps 外汇掉期
Cross rate = Any rate that is quoted against a non-USD currency 非美元币种绕过互相标价 Example: USDCNY is a spot rate Example: JPYCNY is a cross rate


FX Cross rate 交叉汇率


Therefore Bid = 1.2920 x 95.00 = 122.74 Offer = 1.2930 x 95.10 = 122.96
Value datwk.baidu.coms 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” 也称合约日


Interbank FX rates are quoted against the US dollar 银行间报价的币种都以美元为基础
FX Quoting Conventions 外汇报价惯例

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 外汇报价惯例

Precision: How far to the right of the decimal point? 精确到小数点后第几位? EURUSD_____ USDJPY _____ USDCNY _____ USDSGD _____

Banks 银行 Investment Managers 投资经理 Central Banks 中央银行 Corporations 公司,企业 Individual Investors 个人投资者 Other Financial Institutions 其他金融机构
Global FX markets “always close but never closed” 全球外汇市场-连贯且不闭市


FX Cross rate 交叉汇率

What about EUR/JPY cross rate? 欧元兑日元报价? Given, EURUSD = 1.2920 / 1.2930 and USDJPY = 95.00 / 95.10, derive the cross rate EURJPY = EURUSD x USDJPY 欧元兑日元由欧元兑美元汇率乘以美元兑日元汇率得出。
FX Forward Terminology & Applications 外汇远期术语及应用
FX Forward 外汇远期

The forex market is usually traded spot value date, 2 business day delivery. 即期外汇市场通常T+2起息（加币CAD除外） FX can also be transacted for delivery on date going forward from spot. 即期以后的每个工作日，都可以有外汇远期交易。

Explore Product Applications 寻找使用外汇产品的机会 Understand FX Risks 理解外汇汇率风险 Understand Customer needs, Documentation and Process 了解客户需求，文件与流程


Foreign Exchange Markets Conventions 外汇市场惯例



Actual calendar days between value date and trade date could be more than 2 days. Why? 实际上日历上的即期交易起息日和交易日间隔超过两天， 为什么？
Value dates 起息日

Value spot 即期起息