国际金融第5章

Total Assets $2,200m
5-9
wenku.baidu.com
Practice Problem
Bank X is in Milan. Bank Y is in London. The current exchange rate is €1.10 = £1.00. Show the correct balances in each account if a currency trader employed at Bank X buys £100,000,000 from a currency trader at Bank Y for €110,000,000. (The balance sheets are shown on the next slide.)
€ deposit at X€1,210m €1,320m £deposit at X £ 200m £ 100m Other Assets €590m Total Assets €2,020m
300m X’s deposit £ £ 400m X’s deposit €880m €770m Other L&E €810m Total L&E €2,020m
Bank B NYC
Liabilities
300m A’s Deposit £ £ 400m A’s Deposit $800m $600m Other L&E $800m Total L&E $2,200m
£deposit at B £ 300m B’s Deposit$1,000m £ 400m $1,200m $ deposit at B $800m B’s Deposit £ 200m $600m £ 100m Other Assets £ 600m Other L&E £ 600m 1,300m Total Assets £ 1,300m Total L&E £
5-12
Spot Rate Quotations
A direct quotation is:
– The U.S. dollar equivalent. – E.g., “a Japanese Yen is worth about a penny.”
An indirect quotation is:
Bank A is in London. Bank B is in New York. The current exchange rate is £1.00 = $2.00. A currency trader employed at Bank A buys £100m from a currency trader at Bank B for $200m settled using its correspondent relationship.
5-3
Chapter Outline Continued
The Forward Market
– – – – – Forward Rate Quotations Long and Short Forward Positions Forward Cross-Exchange Rates Swap Transactions Forward Premium
International commercial banks communicate with one another using:
– SWIFT: The Society for Worldwide Interbank Financial Telecommunications. – CHIPS: Clearing House Interbank Payments System. – ECHO: Exchange Clearing House Limited, the first global clearinghouse for settling interbank FX transactions.
5-10
Bank X buys £ 100m from Y for €110m Bank X
Practice Problem
€110m
£ 100m €1.10 = £ 1.00 Bank Y
Milano
London
Bank Y Assets Liabilities Assets Liabilities
5-2
Chapter Outline
Function and Structure of the FX Market
– FX Market Participants – Correspondent Banking Relationships
The Spot Market
– – – – – – Spot Rate Quotations The Bid-Ask Spread Spot FX Trading Cross Exchange Rate Quotations Triangular Arbitrage Spot Foreign Exchange Market Microstructure
Source: Sam Y. Cross, All About the Foreign Exchange Market in the United States, Federal Reserve Bank of New York, http://www.newyorkfed.org.
5-6
Correspondent Banking Relationships
Exchange-Traded Currency Funds
5-4
FX Market Participants
The FX market is a two-tiered market:
– Interbank market (wholesale) • About 100-200 banks worldwide stand ready to make a market in foreign exchange. • Nonbank dealers account for about 40% of the market. • There are FX brokers who match buy and sell orders but do not carry inventory and FX specialists. – Client market (retail)
$ deposit at A $1000m $1200m £deposit at A £ 200m £ 100m Other Assets $800m
You can check your work: make sure that £ 1,300m = $1,200x(£ 1/$2) +£ + £ 100 600
3-most forward 3-most forward 6-mos forward 6-mos forward
– The price of a U.S. dollar in the foreign currency. – E.g., “you get 100 yen to the dollar.”
See Exhibit 5.4 in the textbook.
5-13
Spot Rate Quotations
Bank A London $200 Bank B NYC
5-8
£ 100
Correspondent Banking Relationships
Bank A buys £ 100m from Bank B for $200m
Bank A London
Assets
$200 £ 100
Liabilities Assets
Bank X Assets Liabilities
£deposit at Y £ 300m Y’s deposit €1,210m deposit€1,210m £ 400m €1,320m € deposit at Y €880m Y’s deposit €770m Other Assets £ 600m Other L&E £ 200m £ 100m £ 400m
1-mos forward The indirect
6-mos forward
.9986 1.0014 quote for the 3-most forward pound is: £ .9988 $1 1.0012 .5072 =
.9979 1.0021
1-mos forward 1-mos forward
Large commercial banks maintain demand deposit accounts with one another, which facilitates the efficient functioning of the FX market.
5-7
Correspondent Banking Relationships
Currencies Currencies
U.S.-dollar foreign-exchange rates inin late New York trading. U.S.-dollar foreign-exchange rates late New York trading.
.5072 = 1.9717
Electronic Conversations per Hour
average peak
45000 40000 35000 30000 25000 20000 15000 10000 5000 0 1:00 3:00 5:00 7:00 10 am in Lunch Europe Tokyo hour in coming in Tokyo 9:00 11:00 1:00 15:00 5:00 19:00 9:00 11:00 Asia Lunch Americas London New 6 pm in going out hour in coming in going out Zealand NY London coming in
1,700m Total L&E £ 1,700m Total Assets £
Check: £ 1,700m = €1,320m x
Check: €2,020m = £ 400m x
£ 1.00 100 400 €+£ + £ 1.10 €1.10
£ 1.00
+ € 770 + €810
5-11
Correspondent Banking Relationships
The Market for Foreign Exchange
Chapter Five
McGraw-Hill/Irwin
Copyright © 2012 by The McGraw-Hill Companies, Inc. All rights reserved.
Chapter 5

Xiaojing Chen chenxj@suibe.edu.cn
1
The direct quote US$ the US$ for per in pound is: £ = .9984 1 $1.97171.0016 Canadian dollar
Country/currency
--------Friday-------
--------Friday--------------Friday------Country/currency Country/currency Euro area euro Euro area euro in US$ per US$ in US$ per US$ 1.4744 1.4744 .6783 .6783
Market participants include international banks, their customers, nonbank dealers, FX brokers, and central banks.
5-5
Circadian Rhythms of the FX Market