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V. Cotaţii valutare

I. Se cunosc următoarele cotaţii valutare spot pe piaţa FOREX la 19 noiembrie

2012:

New York Quotes London Quotes Bucharest Quotes

bid ask bid ask bid ask

GBP/USD 1,5904 1,5906 GBP/USD 1,5908 1,5910 EUR/RON 4,5261 4,5376

EUR/GBP 0,8049 0,8052 EUR/GBP 0,8048 0,8054 USD/RON 3,5512 3,5615

EUR/USD 1,2804 1,2806 EUR/USD 1,2805 1,2806 CHF/RON 3,7619 3,7722

USD/CHF 0,9404 0,9405 USD/CHF 0,9402 0,9404

USD/CAD 0,9963 0,9965 USD/CAD 0,9964 0,9966

USD/JPY 81,22 81,24 USD/JPY 81,21 81,23

1. Determinaţi existenţa oportunităţilor de arbitraj spaţial.

2. Cât ar trebui să fie cursul EUR/GBP în București, astfel încât o persoană să

poată realiza arbitraj cumpărând euro în București și vânzând euro în Londra?

3. Cât ar trebui să fie cursul EUR/USD în București, astfel încât o persoană să

nu poată realiza arbitraj cumpărând dolari în Londra și vânzând dolari în București?

4. Care este suma în USD ce poate fi obţinută de către o firmă engleză care

deţine 10.000 GBP?

5. Un turist elvețian doreşte să cumpere 1000 RON. De câţi franci elvețieni are

nevoie pentru a realiza această tranzacţie?

6. Care este cotaţia GBP/CHF bid-ask pe piaţa americană? Dar cotaţia

GBP/RON pe piaţa românească?

7. Un agent economic român a realizat un export de bunuri în Italia în valoare

de 10.500 EUR. Acesta dă ordin băncii sale de vânzare a sumei în EUR, dorind să

obţină în schimb USD. Să se determine suma în USD pe care o va obţine agentul.

8. Un agent economic american dispune de 50.000 franci elvetieni într-un cont

bancar. El are nevoie de dolari canadieni pentru a realiza un import de bunuri din

Canada. In acest scop da bancii “Beta” un ordin de vanzare a unei sume in franci

elvetieni astfel încat sa încaseze 35.000 dolari canadieni, sumă necesară importului.

Determinati:

a. suma in CHF pe care trebuie sa o vanda pentru a obtine 35.000 CAD;

b. cursul CAD/CHF la care se efectuează tranzacţia.

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9. Verificaţi existenţa oportunităţilor de arbitraj triunghiular pe piaţa

americană.

II. Se cunosc următoarele cotații in timp real furnizate de fx.street.com:

1. Verificați dacă există oportunități de arbitraj triunghiular cu monedele: EUR, USD, CHF.

Incercați ambele scheme: a) EUR-USD-CHF, b) EUR-CHF-USD. Calculați randamentul.

2. Incercați pentru alte monede sa verificati existenta oportunitatilor de arbitraj triunghiular.

3. Discutati in ce conditii ar trebui sa existe oportunitati de arbitraj triunghiular.

4. Să considerăm o firmă românească ce a realizat un export de bunuri în SUA

în valoare de 10.000 USD, suma urmând a fi încasată peste 6 luni. Pentru a se

proteja la fluctuaţiile cursului de schimb, firma apelează la o bancă cu care încheie

un contract forward. Ştiind că USD/RON este 3,5535/3,5645, rata dobânzii la lei

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5/8%, iar rata dobânzii la dolar 3/4%, să se determine care este preţul forward

stabilit de bancă.

5. Determinaţi punctele swap bid/ask pentru EUR/RON afişate pe un orizont de

3 luni, ştiind că: EUR/RON 4,5261 / 4,5376, ratele de dobândă la lei (p.a.) 5,8/6,25, iar

ratele de dobândă la euro în zona euro (p.a.) sunt 3,8/4,6. Sunt pozitive sau

negative? Euro face prima sau discount in raport cu leul românesc?

6. Dacă spread-ul procentual al cotației spot EUR/RON este de 0,034%, spread-

ul (absolut) pentru rata dobânzii la RON de 2 p.p. şi spread-ul (absolut) pentru rata

dobânzii la EUR este de 1 p.p., determinați spread-ul procentual al cotației forward

la 3 luni.

7. Un investitor european achiziţionează 10 obligatiuni TIPS (Treasury Inflation

Protected Securities), având următoarele caracteristici: valoarea nominală 1000

USD, rata cuponului 4% (cupoanele se plătesc anual), scadența 3 ani, obligaţiunea

se rambursează la scadență, iar valoarea nominală se ajustează ţinând cont de rata

inflaţiei. În cel de-al treilea an, cu suma obţinută din obligatiunile deţinute,

investitorul doreşte să investească în 200 de acţiuni AXA de la bursa EURONEXT.

Cursul spot EUR/USD în momentul schimbării sumei din USD în EUR este

1,2872/1,2877. Ştiind că rata inflaţiei pe perioada de deţinere a obligaţiunilor a

avut evoluţia din tabelul de mai jos, să se determine preţul în EUR la care

investitorul a achiziţionat actiunile AXA.

Nr. ani 1 2 3

Rata inflaţiei 2% 1% 3%

III. Analizaţi următoarele situaţii, utilizând „candle-stick graphs”.

1. Presupunem

că sunteți un trader pe

piața valutară care

utilizează platforma de

tranzacționare furnizată

de fxclub.com. În 17

octombrie 2011 ați

cumpărat o sumă în euro

cursul 1,3824 și ați vândut

la maximul pieţei la ora

10:19. Care a fost profitul

obținut în urma acestei

tranzacții dacă levierul a

fost 1:200, iar marja a fost

1000 euro?

EUR/USD cotații la minut

Sursa: www.fxclub.com

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2. Să presupunem că sunteți un trader care tranzacționează intra-day. La

data de 17 octombrie 2011 cumpărați dolari la ora 10:20 GMT la preţul de

deschidere și vindeți la ora 13.47. Care a fost rezultatul obținut conform datelor

prezentate în graficul de mai jos? Levierul a fost de 1:100, iar suma deţinută pentru

a realiza tranzacţia 5000 USD. Care ar fi fost rezultatul dacă levierul ar fi fost 1:1?

EUR/USD cotaţii la un minut

Sursa: www.fxclub.com

USD/JPY cotaţii la un minut

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Caseta V.1 FOREX MARKET

The foreign exchange market (currency, forex, or FX) trades currencies. It lets banks

and other institutions easily buy and sell currencies.

The purpose of the foreign exchange market is to help international trade and investment.

A foreign exchange market helps businesses convert one currency to another. For example,

it permits a U.S. business to import European goods and pay Euros, even though the

business's income is in U.S. dollars.

The foreign exchange market is unique because of:

its trading volumes,

the extreme liquidity of the market,

its geographical dispersion,

its long trading hours: 24 hours a day except on weekends (from 22:00 UTC

on Sunday until 22:00 UTC Friday),

the variety of factors that affect exchange rates.

the low margins of profit compared with other markets of fixed income (but

profits can be high due to very large trading volumes)

the use of leverage.

There is no unified or centrally cleared market for the majority of FX trades, and there is

very little cross-border regulation. Due to the over-the-counter (OTC) nature of currency

markets, there are rather a number of interconnected marketplaces, where different

currencies instruments are traded. This implies that there is not a single exchange rate but

rather a number of different rates (prices), depending on what bank or market maker is

trading, and where it is. In practice the rates are often very close, otherwise they could be

exploited by arbitrageurs instantaneously. The main trading center is London, but New

York, Tokyo, Hong Kong and Singapore are all important centers as well. Banks throughout

the world participate. Currency trading happens continuously throughout the day; as the

Asian trading session ends, the European session begins, followed by the North American

session and then back to the Asian session, excluding weekends.

Fluctuations in exchange rates are usually caused by actual monetary flows as well as by

expectations of changes in monetary flows caused by changes in gross domestic product

(GDP) growth, inflation (purchasing power parity theory), interest rates (interest rate

parity, Domestic Fisher effect, International Fisher effect), budget and trade deficits or

surpluses, large cross-border M&A (Mergers and Acquisitions) deals and other

macroeconomic conditions. Major news is released publicly, often on scheduled dates, so

many people have access to the same news at the same time. However, the large banks have

an important advantage; they can see their customers' order flow.

On the spot market, according to the BIS study, the most heavily traded products were:

EURUSD: 28%;

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USDJPY: 14%;

GBPUSD (also called cable): 9%.

and the US currency was involved in 84.9% of transactions, followed by the euro (39.1%),

the yen (19.0%), and sterling (12.9%) (see table). Volume percentages for all individual

currencies should add up to 200%, as each transaction involves two currencies.

While forex has been traded since the beginning of financial markets, on-line retail trading

has only been active since about 1996. From the 1970s, larger retail traders could trade FX

contracts at the Chicago Mercantile Exchange.

By 1996 on-line retail forex trading became practical. Internet-based market makers would

take the opposite side of retail trader’s trades.These companies also created retail forex

platform that provided a quick way for individuals to buy and sell on the forex spot

market.

In online currency exchange, few or no transactions actually lead to physical delivery to the

client; all positions will eventually be closed. The market makers offer high amounts of

leverage. While up to 4:1 leverage is available in equities and 20:1 in Futures, it is common

to have 100:1 leverage in currencies. In the typical 100:1 scenario, the client absorbs all

risks associated with controlling a position worth 100 times his capital.

High Leverage

The idea of margin (leverage) and

floating loss is another important

trading concept and is perhaps

best understood using an

example. Most retail Forex

market makers permit 100:1

leverage, but also, crucially,

require you to have a certain

amount of money in your account

to protect against a critical loss

point. For example, if a $100,000

position is held in EUR/USD on

100:1 leverage, the trader has to

put up $1,000 to control the

position. However, in the event of

a declining value of your

positions, Forex market makers,

mindful of the fast nature of forex

price swings and the amplifying

effect of leverage, typically do not

allow their traders to go negative

and make up the difference at a

later date. In order to make sure

the trader does not lose more

money than is held in the

account, forex market makers

typically employ automatic

Rank Currency

ISO 4217

code

(Symbol)

% daily

share

(April 2010)

1  United States

dollar USD ($) 84.9%

2  Euro EUR (€) 39.1%

3  Japanese yen JPY (¥) 19.0%

4  Pound sterling GBP (£) 12.9%

5  Australian dollar AUD ($) 7.6%

6  Swiss franc CHF (Fr) 6.4%

7  Canadian dollar CAD ($) 5.3%

8  Hong Kong dollar HKD ($) 2.4%

9  Swedish krona SEK (kr) 2.2%

10  New Zealand dollar NZD ($) 1.6%

11  South Korean won KRW (₩) 1.5%

12  Singapore dollar SGD ($) 1.4%

13  Norwegian krone NOK (kr) 1.3%

14  Mexican peso MXN ($) 1.3%

15  Indian rupee INR ( ) 0.9%

Other 12.2%

Total[15] 200%

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systems to close out positions when clients run out of margin (the amount of money in their

account not tied to a position). If the trader has $2,000 in his account, and he is buying a

$100,000 lot of EUR/USD, he has $1,000 of his $2,000 tied up in margin, with $1,000 left to

allow his position to fluctuate downward without being closed out.

Market participant

Unlike a stock market, the foreign exchange market is divided into levels of access. At the

top is the inter-bank market, which is made up of the largest commercial banks and

securities dealers. Within the inter-bank market, spreads, which are the difference between

the bid and ask prices, are razor sharp and not known to players outside the inner circle.

The difference between the bid and ask prices widens (for example from 0-1 pip to 1-2 pips

for a currencies such as the EUR) as you go down the levels of access. This is due to volume.

If a trader can guarantee large numbers of transactions for large amounts, they can demand

a smaller difference between the bid and ask price, which is referred to as a better spread.

The levels of access that make up the foreign exchange market are determined by the size of

the "line" (the amount of money with which they are trading). The top tier interbank market

accounts for 53% of all transactions. From there, smaller banks, followed by large multi-

national corporations (which need to hedge risk and pay employees in different countries),

large hedge funds, and even some of the retail FX market makers. According to Galati and

Melvin, “Pension funds, insurance companies, mutual funds, and other institutional

investors have played an increasingly important role in financial markets in general, and in

FX markets in particular, since the early 2000s.” (2004) In addition, he notes, “Hedge funds

have grown markedly over the 2001–2004 period in terms of both number and overall size”.

Central banks also participate in the foreign exchange market to align currencies to their

economic needs.

Transaction Costs and Market Makers

Market makers are compensated for allowing clients to enter the market. They take part or

all of the spread in all currency pairs traded. In a common example, EUR/USD, the spread

is typically 3 pips (percentage in point) or 3/100 of a cent in this example. Thus prices are

quoted with both bid and offer (i.e. "ask") prices (e.g., Buy EUR/USD 1.4903, Sell EUR/USD

1.4900). Traders buy at the higher "offer" or "ask" price, and sell at the lower "bid" price,

thus giving up the difference, or the spread, as the cost of the transaction. Of course, the

actual price level may also change during the interval between buying and selling.

That difference of 3 pips is the spread and can amount to a significant amount of money.

Because the typical standard lot is 100,000 units of the base currency, those 3 pips on

EUR/USD translate to $30 paid by the client to the market maker. However, a pip is not

always $10. A pip is 1/100th of a cent (or whatever), and the currency pairs are always

purchased by buying 100,000 of the base currency.

For the pair EUR/USD, the quote currency is USD; thus, 1/100th of a cent on a pair with

USD as the quote currency will always have a pip of $10. If, on the other hand, your

currency pair has Swiss francs (CHF) as a quote instead of USD, then 1/100th of a cent is

now worth around $9, because you are buying 100,000 of whatever in Swiss francs.