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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
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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4.2. 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.
5.2. 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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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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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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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
= ASK USD/VND/BID14
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
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
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.
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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- 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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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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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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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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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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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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(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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2800 x 4 x 15
2,795
100 x 360
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2800 x 4 x 3
100 x 12
2772
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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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- 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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- 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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a. Chc nng ca ngn hng trung ng: - Chu trch nhim pht hnh ng tin nc mnh v qun l cung ng tin t.
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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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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- 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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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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360 x 100
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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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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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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)
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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
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