「Uncovered interest arbitrage」 Do you know What does it means?
「Covered interest arbitrage」Do you know What does it means?
（第17章）套息交易要怎樣營運，才不會出現風險呢？
上文我分析了，利差交易，盈利的兩個方面。
I analyzed above, the carry trade profitability aspects.
現在，我們開始認識：
Now, we begin to realize:
「非拋補套利」和「拋補套利」是甚麼意思？
"Uncovered interest arbitrage" and "Covered interest arbitrage," What does it mean?
（一） 套息交易的風險控制：
(Ⅰ) the carry trade risk control：
非拋補利套利的定義：
Uncovered interest arbitrage Definition:
非拋補套利主要是利用兩個國家市場利息率的差異，把短期資金從利率低的市場調到利率高的市場進行投資，以謀取利息差額的收益。
Uncovered arbitrage mainly refers to the use of the two countries, differences in financial market interest rates, the short-term funds from lower market interest rates, transferred to higher market interest rates, investment of funds, to obtain the difference between interest incomes.
假設美國6個月定期存款的利率為4%，而英國倫敦市場上，6個月期的國庫券收益率為6%，假設6個月內，英鎊對美元的匯率不變，那麼，投資者將資金，從美國調往倫敦進行6個月的資金投資，就可以穩定獲得2%的利息收入。
Suppose the United States six month time deposit interest rate is 4%, while the UK market in London, 6-month Treasury bills yield 6%, assuming six months, the Pounds against the U.S. dollar exchange rate, then investors will funds from the United States moved to London for six months the funds, investors can get a 2% steady income.
例如，倫敦投資者，擁有300萬美元資金，在美國的銀行存入6個月的定期存款，利率為4%，六個月後，投資者的本金和利息，總共獲得306萬美元。
For example, investors in London, put 300 million U.S. dollars in U.S.A. banks into a six-month time deposit interest rate of 4%, after six months, investors principal and interest, received a total
of $US 3,060,000 .
此時：如果投資者，進行利差交易，由於倫敦金融市場的利率比較高，投資者用美元兌換成英鎊進行投資，獲利可以增加。
At this point: If the investor carry trades, the London financial markets, interest rates relatively high, investors with investment dollars into Pounds, profit can be increased.
假設，即日的匯率是1GBP=USD1.5000，投資者即日在銀行，賣出300萬美元，便可以獲得200萬英鎊。假如，投資者即日將200萬英鎊，調往倫敦，購買英國6個月的國庫券，進行六個月的投資，利率為6%。6個月後，投資商可以獲得本金和利息共206萬英鎊。
Suppose, now the exchange rate is 1GBP = USD1.5000, investors are now in the bank, sold $ 3 million, will be able to get 200 million Pounds. If investors today will be 200 million Pounds, transferred to the United Kingdom, the United Kingdom for six months to buy Treasury bonds, the six-month investment, the interest rate is 6%. After 6 months, investors receive principal and interest can be 206 million Pounds.
如果英鎊對美元的匯率，在6個月內，沒有發生變化，投資者，可以獲得的本金和利息，合共206萬英鎊，投資者即日可以兌換成309萬美元。
If the Pounds against the Dollars in six months, no change, investors can get the principal and interest, totaling £ 2,060,000 investors now can be redeemed for U.S. $ 3,090,000
由於投資者進行套利交易，所以投資者能夠多賺9萬美元。
As the carry trade, investors can earn U.S. $ 90,000.
這是一種純粹的套利交易，所以便稱為「非拋補套利」。
This is a pure arbitrage trading, so they called the "non-uncovered arbitrage."
但是在目前浮動的匯率制度下，6個月內，英鎊對美元的匯率，不可能不會發生變化。
But in the current floating exchange rate system, within six months, the Pounds against the U.S. dollar, it is impossible not change.
如果在6個月期間，英鎊匯率下跌，假設六個內，匯率是GBP1=USD1.4500。
If the six-month period, the Pounds fell, assuming six months, the exchange rate is GBP1 = USD1.4500.
投資者，便可能不能兌換回，原來投資的美元數額，因此蒙受損失。
If the £206 million of principal and interest, only in exchange for $ 298.7 million (£206 million X1.4500), then compare the stored in U.S. banks, earnings decreased US$103000($US 309-$US 298.7).
在這種情況下，投機套利交易者，便會利用遠期外匯交易，避免匯率風險。
In this case, speculative arbitrage traders will use forward foreign exchange transactions to avoid currency risk.
（二）什麼是拋補套利？
(Ⅱ) What is the covered interest arbitrage?
拋補套利是指：進行套利投資者，將資金從甲地調往乙地時，希望獲取較高的利息，於是，投資者，在外匯市場上賣出，遠期的乙國貨幣，防止投資虧損風險。
Uncovered arbitrage means: arbitrage investors, the funds transferred from A to point B, they hope to get higher interest rates, and so investors in the foreign exchange market, sell, and forward currency of State B and prevent the risk of investment losses.
按照我們剛才的計算方式，如果這個遠期匯水，能夠保證贏利，那麼投資者就會進行交易。這是規避風險的方法之一。
According to our earlier calculation， if the long-term catchment, to ensure profitability, then an investor will be traded. This is one way to avoid the risk.
匯水，是指遠期匯率與即期匯率的差額。
Catchment is the forward rate and the spot exchange rate difference.
若遠期匯率大於即期匯率，那麼這一差額，稱為升水，表示遠期外匯，比較即期外匯，價格較高。
If the forward rate is greater than the spot rate, then this difference, called the At Premium, said the forward foreign exchange, more spot foreign exchange, the price is higher.
若遠期匯率低於即期匯率，那麼，這一差額，稱為貼水，表示遠期外匯，比較即期外匯便宜。
If the forward rate is lower than the spot rate, then this difference, called the Discount, said the forward foreign exchange, spot foreign exchange more expensive.
若遠期匯率與即期匯率相等，那麼就稱為平價。這種報價方法是銀行間外匯報價法，通過即期匯率加減升貼水，就可算出遠期匯率。
If the forward rate and spot rate are equal, then known as Parity this offer is interbank foreign exchange quotation method, addition and subtraction by the spot exchange rate premiums and discounts, we can calculate the forward rate.
The calculation of long-term catchment:
遠期匯水由三個因素決定：兩種貨幣的即期匯率、兩種貨幣的利率水準，期限的長短。
Long-term catchment determined by three factors: the spot exchange rate between two currencies, two monetary interest rates, length of the period.
遠期匯水的計算公式為：
Long-term catchment is calculated as:
遠期匯水＝即期匯率×（報價幣利率－被報價幣利率）×天數／360
Long-term catchment = the spot exchange rate × (quote currency interest rate - quote currency interest rate) × number of days / 360
在上述公式中，假如報價貨幣，利率高於被報價貨幣的利率，其中，利率差距是正數，此時，遠期匯率，減去即期匯率，差距大於零，稱之為升水；若報價幣利率，低於被報價幣利率，而利率差距為負數，此時，遠期匯率減去即期匯率，假如是低於零，稱之為貼水。
In the above formula, if the quote currency, interest rate higher than the interest rate quoted currency in which the interest rate gap is positive, this time, the forward rate, minus the spot rate, the gap is greater than zero, called the premium; if the offer currency interest rates, currency rates below are quoted, and the interest rate gap is negative, this time, forward rate minus the spot rate, if it is below zero, called the Discount.
拋補套利，是一種套利與掉期，互相結合的一種交易。通過這種交易，投資者既可以獲得利率差額的好處，同時，又可以獲得較高的利息收入。
Covered interest arbitrage is an arbitrage with swaps, a transaction with each other. Through this transaction, the investor can get both the benefits of the interest rate differential, while they can get higher interest income.
但是，要進行套利交易，卻要付出一筆掉期成本。
However, to carry out arbitrage transactions, have to pay swap costs.
這是計算公式：掉期成本年率 =（升水/貼水*12）/（即期匯率*遠期月數）*100%
This is the formula: swap cost per annum = (At Premium / discount * 12) / (forward spot rate *number of months) * 100%
拋補套利，是否可行，取決於利率差距與掉期成本（年利率）的互相比較。
Covered interest arbitrage, if feasible, depending on the interest rate gap with the swap cost (interest rate) is compared with each other.
當掉期成本的年利率，高於或者等於利率差距時，便沒有利潤可賺；相反，當掉期成本年利率，低於利息差距時，則可以進行套利交易，因為，這是有利潤可賺的投資。
When the cost of interest rate swaps, interest rate higher than or equal to the gap, they did not make a profit; the contrary, when the cost of interest rate swaps, interest rate lower than the gap, then you can make arbitrage trading, because this is a profit earn investment.
（三）進行拋補套利交易的例子：
（Ⅲ）For example, Covered arbitrage transactions:
例如，假定瑞士金融市場，存款利率年息是8%；英國金融市場，存款利率年息是13%；
￡1= SF2.5。
For example, assume that the Swiss financial market, the deposit rate is 8% per annum; the UK financial markets, deposit rate are 13% per annum;
£ 1 = SF2.5.
10萬瑞士法郎，在瑞士銀行存款3個月，到期利息為：100000*8%*3/12= SF2000。
100,000 Swiss francs, the Swiss bank deposits for three months, interest due to: 100000 * 8% * 3 / 12 = SF2000.
假定，3個月的遠期匯率是￡1= SF2.48。
Assume that three-month forward rate is £ 1 = SF2.48.
掉期成本，年利率是：
Swap costs, interest rate is:
[（2.5-2.48）*12]/（2.5*3）*100%=3.2%。
此時，掉期成本，年利率（3.2%）低於利息差距（5%）。這是有利潤可賺的交易。
At this point, the cost of swaps, interest rate (3.2%) lowers than the interest rate gap (5%). This is a make profit trading.
1、 掉期成本
•買入40000￡現匯 2.5 付出100000 SF
•賣出40000￡期匯 2.48 收入99200 SF
1, the cost of swaps
• 2.5 to pay cash100000 SF to buy 40000 £
• to sell 40000 £ Forward exchange 2.48 income 99200 SF
• 2.5 to pay cash100000 SF to buy 40000 £
• to sell 40000 £ Forward exchange 2.48 income 99200 SF
2、 獲得的利息是：800 SF
2, the interest earned is: 800 SF
•存放在英國3個月所得利息：40000*13%*3/12*2.48=SF3224
• Store in the UK for three months interest earned: 40000 * 13% * 3 / 12 * 2.48 = SF3224
•存放在瑞士3個月所得利息：100000*8%*3/12=SF2000
• Store in Switzerland for three months interest earned: 100000 * 8% * 3 / 12 = SF2000
增加的利息是1224SF
Increased interest is 1224SF
3、 凈收入：
3, net income:
凈收入=多得利息-掉期成本=1224-800=424SF
Net income = more gains interest - swaps cost = 1224-800 = 424SF
拋補套利是指：在進行套利交易的同時，同時進行外匯拋補，(亦即是，進行掉期交易，目的是規避匯率變動的風險)。
Covered interest arbitrage means: making the carry trade, while at the same time uncovered foreign exchange, (that is, swap transactions, the purpose is to avoid the risk of exchange rate changes).
當外匯市場上，兩種貨幣的即期匯率和遠期匯率，兩者的利率相差額度，低於當時這兩種貨幣的利率差額時，拋補套利就會發生。
When the foreign exchange market, the two currencies in the spot rate and forward exchange rates, interest rate difference between the two lines, below the prevailing interest rate difference between the two currencies, the uncovered arbitrage occurs.
典型的拋補套利行為是：當事人借入利率較低的某種貨幣。
A typical arbitrage is: speculators, borrowing a currency with lower interest rates.
在現匯市場上，將這筆資金，轉變為利率較高的另一種貨幣，並進行投資；
In the spot market, the money, higher interest rates into another currency, and investment;
為了避免匯率風險，投機者，同時訂立一份遠期外匯合同，在到期日，按照預先商議的匯率，賣出利率較高的貨幣，用來償還借入的款項。
In order to avoid exchange rate risk, speculators, and entered into a forward foreign exchange contracts, the maturity date, according to a pre-negotiated rates, higher interest rates to sell the currency, used to repay borrowed money.
這種拋補套利交易，通過恰當的安排，將幾筆交易，進行適當的組合，使借款人在獲取利潤的同時，完全避免了市場風險。
These covered interest arbitrage transactions, through appropriate arrangements to carry out the appropriate combination of the borrower, in the profits, while completely avoiding market risk.
（四）套息交易對匯市的影響：
(Ⅳ), Carry trade impact on currency markets：
讓我再說說，套息交易的建立和結算，對匯市的影響 ：
Let me say that the establishment of the carry trade and settlement, the impact of currency:
當套息交易建立時，因為是買入高息貨幣，賣出低息貨幣，那麼，高息貨幣在外匯現貨市場，就會向上升，低息貨幣，就會向下跌。
When the carry trade is established, because it is high yielding currencies to buy, sell low-interest money, then the high interest rate currencies in the foreign exchange spot market will be to rise, low-interest money, will be to fall.
當套息交易，有大量結算時，因為要在外匯市場上，賣出高息貨幣，買入低息貨幣，所以，高息貨幣就會向下跌，低息貨幣，就會向上升。
When the carry trade, a large settlement, because in the foreign exchange market, selling high-yielding currencies, buying cheap money, so money will be to high interest rates fall, low-interest money, will be to rise.
遠期外匯市場的主要功能是：
The main function of the forward foreign exchange market is:
避免即期匯率的波動，帶來投資的風險。
To avoid the spot exchange rate fluctuations, bringing investment risk.
（五）遠期外匯市場的參與者，可分為三大類：
（Ⅴ）Forward foreign exchange market participants, can be divided into three categories:
規避風險的人：
Risk-averse person:
舉例來說，某香港出口商，預計三個月後，可以收到一筆，美國客戶用美元計價的貨款，出口商為了避免這一筆款項，在三個月後，當兌換成港幣時，美元可能會大幅貶值。所以該出口商，可以預先在遠期外匯市場中，賣出相當數額的三個月期限的遠期外匯，三個月後，不論美元上升或下降，出口商都將確定以三個月前所約定的匯率，兌換成港幣，因此規避了匯兌可能下跌的風險。
As an example, a Hong Kong exporter, is expected after three months, he can receive a U.S. customer, with the dollar-denominated loans, exporters, in order to avoid, this sum of money after three months, when converted into Hong Kong dollars, the dollar may be depreciated. Therefore, the exporter can advance in the forward foreign exchange market, selling a considerable amount of three-month period, and forward foreign exchange, after three months, regardless of dollar rise or fall, exporters, will be determined in three months before the agreed exchange rate, converted into dollars, so to avoid, the exchange may fall risk.
套取利息的人：
People taking interest: (Perfect Market)
企圖套取利益的人，會根據各個國家之間，銀行利率的差距，進行外匯交易，假定：在完美市場的情況下，資金會由較低利率的國家，流向較高利率的國家。在此情況下，資金將會在國際間互相流動。因此，便會影響匯率的變化，在這情況之下，可能會產生，即期匯率和遠期匯率之間，暫時不協調的現象。套取利息的人，便有機會，藉此，從事套利交易，賺取金錢。
In the foreign exchange market, carry trades people, according to the various countries, the gap between interest rates, foreign exchange transactions.
Assumptions: In the case of perfect markets, capital of the country by the lower interest rates, higher flow rates the country. In this case, the international mutual funds will flow. Therefore, the changes will affect the exchange rate, in these circumstances; it may have, between the spot rate and forward rate, a temporary imbalance. People taking interest, have the opportunity to engage in arbitrage trading to earn money.
Assumptions: In the case of perfect markets, capital of the country by the lower interest rates, higher flow rates the country. In this case, the international mutual funds will flow. Therefore, the changes will affect the exchange rate, in these circumstances; it may have, between the spot rate and forward rate, a temporary imbalance. People taking interest, have the opportunity to engage in arbitrage trading to earn money.
進行投機的人：
People to speculate:
參與套息交易的人，他們進行利差交易的動機，純粹是因為他們對匯率未來的走勢和預測，有獨到之判斷，而又願意承擔匯率變動所帶來的風險。他們追求因為預期正確，而帶來之利潤。
Involved in carry trades, and their carry trades motivation, the exchange rate simply because they forecast future trends and correct judgments, and willing to bear the risks of exchange rate changes. They seek, because the expected correct, and bring profit.
也由於上述參與者之加入市場，而促使遠期外匯市場，不斷地蓬勃發展。
Also due to join the participants of the market, and promote, forward foreign exchange market, continue to flourish.
筆者在本站網誌發表的所有內容，純屬個人意見分享，並未對任何人士構成投資建議
My blog published on this site all content is purely personal opinion to share, did not constitute investment advice for any person.
沒有留言:
張貼留言