PGS.

TS Nguyen ang Dn

TH TRNG TAI CHNH

(FINANCIAL MARKETS)

PGS.TS NGUYEN ANG DN

Chng I
I.

PGS.TS Nguyen ang Dn

TONG QUAN VE TH TRNG TAI CHNH

CHC NANG CUA TH TRNG TAI CHNH (TTTC)

1. Khai niem ve TTTC: + Th trng giao dch, mua ban, trao oi cac san pham tai chnh ngan han, trung han, dai han e ap ng nhu cau khac nhau cua cac chu the trong nen kinh te. - oi vi cac chu the tha von: Tm kiem li nhuan thong qua hoat ong au t . - oi vi cac chu the thieu von: Bo sung von cho hoat ong san xuat kinh doanh va cac nhu cau au t khac. + Th trng tai chnh la loai th trng bac cao ch ton tai va hoat ong trong ieu kien cua nen kinh te th trng. 2. C s hnh thanh TTTC: + The che th trng c duy tr trong nen kinh te tai chnh + Cac nhu cau giao lu von trong xa hoi c khuyen khch manh me trong khuon kho luat phap :

- Giao lu von trc tiep PGS.TS Nguyen ang Dn - Giao lu von gian tiep thong qua cac to chc tai chnh trung gian. + Cac nh che tai chnh c hnh thanh va hoat ong co hieu qua: - Cac Ngan hang thng mai - Cac nh che tai chnh phi ngan hang - Cac to chc trung gian khac 3. Chc nang cua TTTC - Khi thong cac nguon von va dan von, e ap ng cac nhu cau cua nen kinh te xa hoi.
Nguon cung ng von (ni tha von): -Ca nhan, ho gia nh -n v kinh te TH TRNG TAI CHNH

Nhu cau s dung von (ni thieu von):

-n v kinh te -Chnh phu TW

-To chc oan the, xa hoi

-Chnh phu -Ngi nc ngoai -V....v

-Chnh quyen a phng

-Ca nhan -Ho gia nh -V...v

+ Kch thch tiet kiem va au t - Tch luy tien te: Thoi quen cua moi tang lp dan c trong xa hoi dan en viec tch luy tien te mot cach thng xuyen. - au t: Lam cho ong tien tch luy c bao toan va sinh li - Thuc ay kinh te xa hoi phat trien + Lam gia tang tnh thanh khoan cho cac tai san tai chnh. - Kha nang chuyen hoa thanh tien cao - Giup chu s hu cac tai san tai chnh de dang chuyen oi danh muc au t theo yeu cau. - Tao thuan li cho cac cong cu tai chnh lu thong thong suot. II. PHAN LOAI TH TRNG TAI CHNH 1. Phan loai TTTC theo thi han luan chuyen von: + Th trng tien te: Th trng giao dch mua ban cac chng t co gia ngan han. + Th trng hoi oai: Th trng giao dch, mua ban, trao oi ngoai te va cac phng tien thanh toan quoc te. + Th trng chng khoan: Th trng giao dch, mua ban cac chng t co gia trung han va dai han.

PGS.TS Nguyen ang Dn

2. Phan loai TTTC theo c cau cua th trng:

PGS.TS Nguyen ang Dn

+ Th trng s cap: Th trng phat hanh lan au cac chng t co gia e huy ong va tap trung von. + Th trng th cap: Th trng mua ban trao oi cac chng t co gia tr a phat hanh lan au. 3. Phan loai TTTC theo tnh chat luan chuyen von: + Th trng cong cu n: Th trng phat hanh, mua ban cac chng khoan n :

- Cong cu n ngan han

- Cong cu n trung han - Cong cu n dai han

+ Th trng cong cu von: Th trng phat hanh, mua ban cac chng khoan von :
- C phiu

- Chng ch qu u t

III. VAI TRO CUA TTTC PGS.TS Nguyen ang Dn 1. Tao lap nguon von cho nen kinh te: + Tao lap nguon von qua he thong NHTM (von gian tiep) + Tao lap nguon von qua th trng chng khoan: (von trc tiep) 2. Gop phan nang cao hieu qua hoat ong cua nen kinh te. + Khai thac triet e cac nguon lc tai chnh + Kch thch viec s dung von tiet kiem va co hieu qua 3. ay nhanh qua trnh t do hoa tai chnh va hoi nhap quoc te + T do hoa tai chnh - T do hoa lai suat (lai suat thoa thuan) - Thc hien c che quan ly ty gia linh hoat - T do hoa giao dch vang lai - T do hoa giao dch von - Thc hien chuyen oi ong ban te + Hoi nhap quoc te: - Hoi nhap trong lnh vc Kinh te - Thng mai - Hoi nhap trong lnh vc Tai chnh Ngan hang - Hoi nhap trong cac lnh vc khac (XH ngoai giao, van hoa,...)

Chng II
I. CHC NANG CUA TH TRNG TIEN TE (TTTT)

PGS.TS Nguyen ang Dn

TH TRNG TIEN TE (MONEY MARKET)

1.

Khai niem ve TTTT: +Mot bo phan khong the chia cat cua th trng tai chnh + La th trng phat hanh, giao dch, mua ban cac chng t co gia ngan han + La th trng von ngan han 2. Cac chu the tham gia TTTT + Ngan hang Trung ng + Kho bac Nha Nc + Cac Ngan hang Thng Mai +To chc tn dung phi ngan hang (Cty TC, CTy cho thue TC). + Cac to chc tai chnh phi Ngan Hang (Cty BH,CK, Quy au t). + Cac doanh nghiep (Cty, Tong Cty) + Cac ca nhan ...

3. Cong cu cua th trng tien te.

PGS.TS Nguyen ang Dn

+ Tn phieu kho bac

+ Tn phieu Ngan Hang TW + Chng ch tien gi

+ Ky phieu ngan hang

+ Hoi phieu, lenh phieu + Cac giay n ngan han khac

4. Chng nang cua TTTT

- Tao lap va cung ng von ngan han cho nen kinh te - Tao moi trng au t an toan va co hieu qua cho cac chu the trong xa hoi

- Lam lanh manh tnh hnh lu thong tien te

PGS.TS Nguyen ang Dn

II. C CAU CUA TH TRNG TIEN TE

1. Th trng tien gi: (Deposit Market)

+ Th trng tien gi la th trng tap trung nguon von thong qua he thong NNTM va cac to chc tn dung. + Th trng tien gi la th trng giao dch gia cac NHTM cac to chc tn dung vi cac to chc va ca nhan trong xa hoi + Th trng tien gi co v tr quan trong va la bo phan cot loi cua th trng tien te. + Cac cong cu cua th trng tien gi rat a dang va phong phu ong thi la th trng co tnh canh tranh cao. 2. Th trng tn dung (cho vay) (Lend Market) + Th trng tn dung la th trng cung ng von cho nen kinh te theo nguyen tat hoan tra. + Th trng tn dung la th trng giao dch gia ben cho vay (lender) va ben i vay (Borrower)

PGS.TS Nguyen ang Dn

Trong o: Ben cho vay gom:

- Cac NHTM
- Cac Cong ty tai chnh - Quy tn dung

- Chnh phu
- Cac to chc kinh te... Ben i vay gom:

- Cac loai hnh doanh nghiep

- Ca nhan - Chnh phu... + Pham vi hoat ong cua th trng tn dung la rat ln: - Tn dung ngan hang: - Cac NHTM, TCTD cho vay von oi vi cac to chc kinh te, ca nhan, ho gia nh.

PGS.TS Nguyen ang Dn

- Cho vay ngan han tai tr kinh doanh , chiet khau chng t co gia

- Tai tr d an au t
- Cho thue tai chnh - Tn dung thng mai:

- Cho vay gia cac to chc kinh te vi nhau thong qua mua ban chu hang hoa (tra cham, tra sau)
- Cong cu hoat ong cua cac tn dung thng mai la hoi phieu (Bill of Exchange) hoac lenh phieu (Promissory Note)

- Tn dung nha nc:

- Cac to chc va ca nhan cho nha nc vay von e au t cho cong trnh d an c s ha tang cua nen kinh te. - Cong cu hoat ong cua tn dung nha nc la trai phieu (Bonds) 3. Th trng Lien ngan hang (Interbank Market) a. Khai niem: Th trng lien ngan hang la th trng vay va cho vay lan nhau gia cac NHTM di s to chc va quan ly cua NHTW

b. Cac chu the tham gia th trng lien ngan hang. + Ngan hang trung ng: - Ngi to chc va ieu hanh hoat ong TTLNH

PGS.TS Nguyen ang Dn

- Ngi cho vay cuoi cung e can bang cung cau von ngan han gia cac NHTM + Cac NH thng mai: - La ngi i vay neu thieu von kha dung - La ngi cho vay neu tha von kha dung c. Cac giao dch tren th trng Lien ngan hang. + Vay va cho vay e bo xung nguon von ngan han gia cac NH thng mai. - Cong cu ieu chnh: lai suat th trng lien ngan hang (Inter Bank offered Rate IBOR) IBOR tang khi cau > cung

IBOR giam khi cung > cau

Sau khi ieu chnh IBOR ma van khong xap lap c cn bang cung cau th NHTW se tham gia - Tac dung: S dung triet e nguon von kha dng cua toan he thong ngan hang thng mai. + Cho vay thanh toan:

PGS.TS Nguyen ang Dn

NH trung ng cho vay cac NH thng mai b thieu hut von trong thanh toan. NHTW co the ap dung 1 trong 2 phng thc cho vay.
- Cho vay qua em (Overnight Lend) - Thau chi (Overdraft) Tac dung: Thuc ay he thong thanh toan c thc hien nhanh chong 4. Th trng m (Open Market) a. Khai niem: Th trng m: + la mot bo phan cua th trng tien te + La ni dien ra hoat ong giao dch mua ban chng t co gia ngan han gia NHTW vi cac NHTM va cac to chc khac.

Nghiep vu th trng m: + La nghiep vu cua NHTW e tien hanh mua ban, chng PGS.TS Nguyen ang Dn t co gia ngan han vi cac NHTM cac to chc khac nham thc hien muc tieu cua chnh sach tien te quoc gia. (khoan 4, ieu 9 luat NHNNVN (luat so 01/1997/QH10) Nghiep vu th trng m la nghiep vu mua, ban cac chng t co gia ngan han do NHNNVN thc hien tren th trng tien te nham thc hien chnh sach tien te quoc gia + Nghiep vu th trng m la cong cu cua NHTM e ieu hanh chnh sach tien te. Trng hp 1: Khi nen kinh te co lam phat cao va gia tang NHTW can phai giam khoi tien cung cng: NHTW se ban chng t co gia Trng hp 2: Khi nen kinh te co dau hieu suy thoai, tang trng cham NHTW can gia tang khoi tien cung ng th NHTW se mua chng t co gia.

b. Hang hoa cua th trng m:

* ac iem cua hang hoa tren th trng m: + Co tnh thanh khoan cao + c chuyen nhng va giao dch thuan li + Phan ln c phat hanh theo phng thc chiet khau

* Cac ieu kien cua hang hoa tren th trng m

PGS.TS Nguyen ang Dn

+ Cac chng t co gia c phat hanh va lu thong hp phap + Cac chng t co gia phai c ang ky tai S GD ngan hang Nha nc Viet Nam. + Chng t co gia c phat hanh va thanh toan bang VN + Co thi han hien lu con lai toi a la 90 ngay(i vi giao dch mua bn hn) Cac loai hang hoa cua th trng m + Tn phieu kho bac: ay la chng t co gia ngan han, la giay nhan n cua chnh phu oi vi ngi mua, trai phieu kho bac vi s cam ket mac nh, trong viec thanh toan von va lai cho ngi s hu TPKB. + Tn phieu NHTW: ay cung la chng t co gia ngan han do NHTW phat hanh thong qua th trng m e thc hien chnh sach tien te trong tng giai oan, la giay nhan n cua NHTW oi vi cac NHTM va cac to chc tai chnh. Khi ao han NHTW thanh toan theo gia tr tn phieu cho ngi mua tn phieu.Tn phieu NHTW co thi han rat phong phu:28 ngay,56 ngay 84 ngay, 182 ngay& 365 ngay + Cac loai khac (nh trai phieu chnh phu, chng ch tien gi, chng t co gia khac)

PGS.TS Nguyen ang Dn

c. Cac chu the tham gia th trng m:

* Ngan hang Trung ng: + Ngi to chc va ieu hanh hoat ong cua th trng m

+ Ngi tham gia ban, mua chng t co gia vi cac chu the khac cua th trng nhng khong v muc tieu li nhuan
* oi tac cua Ngan hang Trung ng Ngi trc tiep tham gia mua ban chng t co gia vi muc tieu tm kiem li nhuan. Cac oi tac phai ap ng cac ieu kien sau:

- c thanh lap va hoat ong kinh doanh theo luat phap hien hanh cua nc Viet Nam - Co phieu ang ky tham gia th trng, c NH Nha nc Viet Nam chap thuan va cap ma so giao dch (code) ma khoa, ma ch ky cua nhng ngi co lien quan e tien hanh giao dch tren th trng m (gom ngi co tham quyen, ngi kiem soat va ngi giao dch). - Phai co tai khoan tien gi khong ky han tai s giao dch NHNNVN hoac tai chi nhanh NHTW tnh, Thanh pho trc thuoc trung ng. - Trang b ay u cac phng tien ky thuat hien ai (mang vi tnh, fax, dien thoai ghi am), e giao dch tren th trng m vi NHNN. - Chap hanh nghiem chnh cac quy nh cua quy che nghiep vu th trng m.

PGS.TS Nguyen ang Dn

+ Cac thanh vien la oi tac cua NHTW gom:

PGS.TS Nguyen ang Dn

NHTM nha nc (5/5 NH tham gia)

NH co phan (25/37NH tham gia) Cac NH thng mai: NH lien doanh (4/5 NHLD tham gia)

NH nc ngoai (20/36 chi nhanh nc ngoai tham gia)

-

Cac to chc tn dng phi ngan hang:

Cong ty tai chnh
Cong ty cho thue tai chnh

Qu tn dng Nhn dn
Cac thanh vien khac (Cty Chng khon ,qu u t , cng ty Bo him)

d. Cac nghiep vu giao dch tren th trng m

PGS.TS Nguyen ang Dn

* Giao dch khong hoan lai:

+ NHTW giao dch mua hoac ban chng t co gia vi oi tac cua mnh ma khong co bat ky cam ket nao ve viec ban hoac mua lai cac chng t o (mua, ban han)

+ Cong thc xac nh gia ca mua ban chng t co gia

GT GMB=

LS x T
1+

100 x 365

Trong o: GMB gia ca mua ban chng t co gia

GT: gia tr ao han cua chng t

LS: Lai suat (L/S cong bo hoac L/S trung thau) T: Thi han con lai cua chng t (hoac thi han ban au)

* Giao dch co hoan lai (REPO)

PGS.TS Nguyen ang Dn

- ay la giao dch mua ban chng t co gia gia NHTW vi cac oi tac cua th trng. Trong o ben ban cam ket se mua lai chng t co gia a ban, khi en han quy nh.
- Cong thc xac nh gia ban va gia mua lai chng t co gia: GT GB =
1+

LS x thi han hieu lc con lai (ngay) 100 x 365 LS x thi han ban (ngay)

GM = GB ( 1+
100 x 365

Trong o:

GB: gia ban chng t co gia GT: gia tr ao han cua chng t LS: Lai suat (L/s cong bo hoac L/s trung thau)

PGS.TS Nguyen ang Dn

GM: gia mua lai chng t co gia a ban trc ay

e. Phng Thc au Thau

* au thau khoi lng (au thau) + NHTW thong bao khoi lng (gia tr) chng t can ban hoac can mua vi lai suat c xac nh ( lai suat cong bo) + Cac oi tac ang ky khoi lng mua hoac ban trong pham vi khoi lng thong bao, vi mc toi thieu la 100tr VND * au thau lai suat (au gia) + NHTW ch thong bao khoi lng can ban hoac can mua ma khong a ra mc lai suat nao. + Cac oi tac ang ky khoi lng mua hoac ban kem theo cac lai suat tng ng (toi a 5 mc lai suat khac nhau)

f. Phng Thc Xet Thau

* Xet thau khoi lng
+ Neu khoi lng thong bao > Tong khoi lng au thau: Moi n d thau hp le eu c xet thau (trung thau) + Neu khoi lng thong bao < Tong khoi lng au thau Khoi lng trung thau c phan bo theo cong thc sau: Khoi lng trung Khoi lng au
x thau thanh vien i thau = thanh vien i Tong khoi lng at thau

PGS.TS Nguyen ang Dn

Khoi lng thong bao

* Xet duyet lai suat (ap dung 1 trong 2 phng thc xet thau) + Xet thau lai xuat thong nhat (Xet thau mot gia kieu Chau Au) - Xac nh lai xuat trung thau thong nhat: o la mc lai xuat ma tai o khoi lng au thau luy ke (cong don) khoi lng thong bao

PGS.TS Nguyen ang Dn - Sau o xac nh khoi lng trung thau va gia ca mua ban chng t co gia theo lai suat thong nhat

- Th du: NHTW thong bao ban tn phieu NHTW vi khoi lng la 2,200 ty VND theo phng thc au thau lai suat xet thau lai xuat thong nhat. Cac NH a nop n d thau vi khoi lng va lai xuat theo bang di ay.

L/s at thau (nam)

NHA 100 200 200 200( 80) 200 900

Khoi lng at thau (Ty VN) NHB NHC

Tong cong

So at thau Luy ke

6.75%
7.00% 7.25% 7.50% 7.75% 8.00% Tong cong

100
200 300 400 100 100 300 300(120)

100
400 600 900 500(200) 200 2.700

100
500 1.100 2.000 2.500 2.700

1000

800

Lai suat trung thau thong nhat la 7,75%

PGS.TS Nguyen ang Dn

+ Xet thau lai suat rieng le (Xet thau nhieu gia kieu My)
- Neu NHTW ban chng t co gia: Th lai suat trung thau rieng le lai suat trung thau cao nhat. - Neu NHTW mua chng t co gia: Th lai suat trung thau rieng le lai suat trung thau thap nhat. Trong o: lai suat trung thau cao nhat hoac thap nhat la mc lai suat, tai o khoi lng cong don ln hn hoac bang () khoi lng thong bao.

- Xac nh khoi lng trung thau tng ng vi cac lai suat rieng le
- Sau o s dung lai suat trung thau rieng le e xac nh gia ca giao dch.

Chng III
TH TRNG HOI OAI
I. KHAI NIEM , AC IEM VA VAI TRO CUA TTH

PGS.TS Nguyen ang Dn

(FOREIGN EXCHANGE MARKET)

1. Khai niem + Khai niem ve ngoai hoi: Tat ca cac phng tien c s dung trong giao dch thanh toan quoc te. - Ngoai te - Cong cu thanh toan bang ngoai te - Chng t co gia bang ngoai te - Vang - ong tien quoc gia (khi xuat hoac nhap) + Khai niem ve th trng hoi oai: - Th trng dien ra cac hoat ong giao dch, mua ban ngoai te va cac phng tien thanh toan co gia tr ngoai te khac - La ni hnh thanh ty gia hoi oai theo quan he cung cau - La bo phan cua th trng tai chnh co trnh o phat trien cao

2.

ac iem cua TTH

PGS.TS Nguyen ang Dn

+ TTH khong ton tai trong mot khong gian cu the nhat nh ma hoat ong cua no thong qua cac phng tien thong tin hien ai.
+ Co tnh quoc te hoa cao. + Giao dch mua ban cac loai ngoai te t do chuyen oi. + Giao dch vi khoi lng ln (khoi lng toi thieu va doanh so) 3. Vai tro cua TTH + Tao ieu kien e ket noi cac nhu cau giao dch ngoai te trong nen kinh te + Lam cho cac giao dch mua ban trao oi ngoai hoi i vao ne nep, on nh, gop phan on nh th trng tai chnh + Giup NHTW nam bat c thong tin ve th trng e tham mu cho chnh phu trong viec thc hien chnh sach quan ly ngoai hoi. + Tao ieu kien e hoi nhap vi th trng tai chnh quoc te.

II. THANH VIEN THAM GIA TH TRNG HOI OAI Co 2 thanh vien tham gia: Ngan hang Nha nc Viet Nam:

PGS.TS Nguyen ang Dn

1. oi Vi Th Trng Ngoai Te Lien Ngan Hang:(th trng ban buon)

+ Ngi to chc va ieu hanh hoat ong cua th trng LNH

+ Ngi thc hien viec mua ban ngoai te e ieu tiet th trng nham thc muc tieu cua CSTT: - NHNN mua ngoai te khi cung > cau (ty gia giam) NHNN mua ngoai te dan en ket qua nh sau: * D tr ngoai hoi nha nc tang * Lng tien cung ng tang (ap lc lam phap) * Hoat ong xuat khau c khuyen khch - NHNN ban ngoai te khi cau > cung (ty gia tang cao)

Ket qua: PGS.TS Nguyen ang Dn *D tr ngoai hoi nha nc giam * Lng tien cung ng giam Cac TCTD c phep hoat ong cung ng dch vu ngoai hoi (Cac NHTMQD, Chi nhanh nc ngoai, Ngan hang lien doanh, NH co phan o th quy mo ln...) + Tham gia th trng e kinh doanh ngoai te + ieu chnh trang thai ngoai hoi theo gii han quy nh e phong nga rui ro ty gia. 2. oi vi th trng ngoai te gia NH vi khach hang (Th trng giao dch ban le) Thanh vien cua th trng gom: + Cac to chc tn dung c phep + Cac ban thu oi ngoai te + Khach hang (cac n v kinh te, cac to chc, ca nhan) Cac n v kinh te, cac to chc: Mua ban ngoai te chuyen khoan, e thanh toan tien hang hoa, dch vu, tra n vay NH tra n nc ngoai, chuyen li nhuan ra nc ngoai.

 Cac ca nhan: Mua ban ngoai te bang tien mat e ap ng nhu cau cho ca nhan (du lch, hoc tap, cha benh...) III. CAC NGHIEP VU GIAO DCH HOI OAI 1. Giao dch giao ngay (spot) Ty gia giao dch: Ty gia giao ngay (Spot Rate) Ty gia c xac nh tai thi iem giao dch. Ngay giao dch (N) hai ben mua ban ky hp ong giao dch Ngay gia tr (ngay thc hien) (N+ 2) sau 2 ngay lam viec hai ben mua ban thc hien viec chuyen tien cho oi tac cua mnh, ben nao cham tre se b phat. L/s phat: 150% Sibor neu ben ban chuyen ngoai te cham 150% L/s tai chiet khau (Rediscount Rate) neu ben mua cham thanh toan Tac dung: - ap ng nhu cau ngoai te trc mat cho cac thanh vien cua th trng. - Giup cac TCTD ieu chnh trang thai ngoai hoi kp thi

PGS.TS Nguyen ang Dn

2. Giao dch ky han (Forward) Khai niem: - Ty gia giao dch: ty gia ky han (Forward Rate) ty gia c xac nh tai thi iem giao dch (ky hp ong) nhng c ap dung trong tng lai (15 ngay, 1, 2... 12 thang) + Xac nh ty gia ky han - Phng phap lai suat (t dung) - Phng phap iem ky han FR = SR FP Trong o:FR: Forward Rate ty gia kyhan SR: Spot Rate ty gia giao ngay FP: Forward Point iem ky han - Ty gia mua ky han = ty gia mua giao ngay iem ky han - Ty gia ban ky han = ty gia giao ngay iem ky han ban Neu: iem ky han ban > iem ky han mua: iem gia tang (Premium Point) th cong (+) vao ty gia giao ngay e co ty gia ky han Neu: iem ky han ban < iem ky han mua: iem khau tr (Discount Point) th tr (-) vao ty gia giao ngay e co ty gia ky han.

PGS.TS Nguyen ang Dn

Ty gia Giao ngay

iem ky han 1 thang 16/11 15/23 2 thang 29/22 24/49 6 thang 90/108 92/107

PGS.TS Nguyen ang Dn

9 thang 126/112 105/118

12 thang 185/166 125/145

USD/CHF = 1,7218/39 EUR/USD =1,3166/79

USD/CHF ky han 1 thang (co iem khau tr) Bid = 1,7218-0,0016 = 1,7204/02 ASK = 1.7239-0.0011=1,7228 EUR/USD ky han 9 thang (co iem gia tang) Bid= 1,3166 + 0,0105 = 1,3271 ASK= 1,3179 + 0,0118 = 1,3297

 Ngay thc hien: Ben ban va ben mua thc hien hp ong bat ke ty gia thc te tren th trng tang giam nh the nao. Tac dung: -Giup cho cac thanh vien chu ong hn trong viec mua ban ngoai te (tnh chac chan). -La cong cu e phong nga rui ro 3. Giao dch hoan oi (Swap) Khai niem: Phoi hp giao dch giao ngay vi giao dch ky han S o giao dch
Ngoai te: 1.000.000USD Giao ngay 18/12/07 oi khoan 16.100 trieu VND Ngan hang A (Ban giao ngay, mua ky han) Hp ong Hoan oi ngoai te (Swap) oi khoan 16190 trieu VND Giao ky han 18/6/08 Ngoai te: 1.000.000USD Cong ty B Mua giao ngay, Ban ky han

PGS.TS Nguyen ang Dn

 Tac dung: + Chuyen nhng tam thi ong tien nay sang ong tien khac e ap ng nhu cau kinh doanh + Cong cu phong nga rui ro ty gia + Giup cac NH duy tr c trang thai ngoai oi trong tng lai V du minh hoa tai NHA co tnh hnh sau: - L/s tien gi USD ky han 6 thang la 0,36% thang - L/s cho vay ngan han VND la 1,2% thang - Chi ph kinh doanh la 0,3%thang NHA se co thu nhap va chi ph nh sau: + Thu nhap (lay VND cho vay ngan han 6 thang va thu lai cho vay) 16.100.000.000VND x 6 x 1,2% = 1,159.200.000 + Chi ph: Chi ph kinh doanh 16.100.000.000 x 6 x 0,3% = 289.800.000 + Chi tra lai tien gi USD 1.000.000 x 6 x 0,36% x (16.290) = 351.864.000 + Chenh lech Swap 16.290.000.000 16.100.000.000 = 190.000.000 Cong chi ph: 831.664.000

PGS.TS Nguyen ang Dn

4.

+ Lai cua NHA = Thu nhap chi ph PGS.TS Nguyen ang Dn 1.159.200.000 831.664.000 = 327.753.000 Giao dch quyen chon (options) Khai niem: La giao dch mua ban ngoai te co ky han nhng ngi mua quyen chon (khach hang) khong bat buoc phai thc hien hp ong a ky ket. ac iem: + Ngi mua quyen chon khong b rang buoc bi hp ong quyen chon. Ho co the thc hien hoac huy bo hp ong a ky. + Quyen chon ch danh cho 1 pha o la khach hang. Con NH la nha kinh doanh tien te bat buoc phai thc hien hp ong, bu lai NH c thu ph quyen chon khi hp ong c ky ket. Phan loai quyen chon: + Phan loai theo oi tac mua quyen chon - Quyen chon mua (call option): ay la quyen chon cho phep khach hang c quyen mua ngoai te theo cac ieu khoan cua hp ong hoac huy bo hp ong (khong mua) neu ieu o la co li cho mnh -Neu ty gia thc te > ty gia hp ong : thc hien quyen chon mua - Neu ty gia thc te < ty gia hp ong: bo quyen chon mua va mua ngoai te theo ty gia thc te se co li hn.

PGS.TS Nguyen ang Dn

+ Quyen chon ban (put option): ay la quyen chon cho phep khach hang c quyen ban ngoai te theo cac ieu khoan cua hp ong hoac huy bo hp ong (khong ban) neu ieu o la co li cho mnh)
- Neu ty gia thc te < ty gia hp ong: thc hien quyen chon ban

- Neu ty gia thc te > ty gia hp ong: bo quyen chon ban va ban ngoai te theo ty gia thc te se co li hn.
+ Phan loai theo tnh chat quyen chon. - Quyen chon kieu chau Au (European option style) ch cho phep ngi mua quyen chon (khach hang) thc hien hp ong vao ngay ao han cua hp ong. - Quyen chon kieu My (American option style) cho phep ngi mua quyen chon (khach hang) thc hien hp ong vao bat ky mot ngay nao trong thi han cua hp ong quyen chon.

Cong ty ABC

PGS.TS Nguyen ang Dn

NH A

NH B

+ Quyen chon mua vi NH A - So lng USD 1.000.000 USD - oi khoan: VN

- Thi han 3 thang ao han ngay 31/12/07

- Ty gia USD/VND: 16.250 - Ph quyen chon mua: 5VND/1USD (5.000.000)

+ Quyen chon ban vi NH B

PGS.TS Nguyen ang Dn

- Loai ngoai te giao dch: USD

- So lng : 1.000.000 - oi khoan: VND

- Thi han 3 thang: ao han ngay 31/12/07

- Ty gia USD/VND: 16140 - Ph quyen chon ban: 5VND/1USD (5.000.000

Tnh huong 1: Vao ngay 31/12/07

- Ty gia th trng USD/VND 16280/16300 - Thc hien quyen chon mua vi gia 16.250

- Sau o ban USD vi gia 16280

- Lai (16280 16250). 1.000.000]- 5.000.000 = 25.000.000

- Tnh huong 2: Vao ngay 31/12/07

PGS.TS Nguyen ang Dn

+Ty gia th trng USD/VND: 16105 /16125

+ Mua ngoai te theo gia th trng 16125 (bo quyen chon mua) + Ban ngoai te theo hp ong quyen chon ban vi gia 16140

lai (16140 16125) x 1.000.000-5.000.000 = 10.000.000

- Tnh huong 3: Vao ngay 31/12/07 +Ty gia th trng USD/VND 16140/16250

Cong ty A thc hien hp ong hoac huy bo hp ong

Tac dung cua quyen chon: + am bao nhu cau ngoai te trc mat va trong tng lai cho khach hang mot cach chac chan. + Cho phep khach hang la chon phng an giao dch ngoai te toi u + Cong cu phong nga rui ro hoi oan va la cong cu kinh doanh ngoai te linh hoat co hieu qua.

- Ty gia th trng USD/VND: 16105 /16125

PGS.TS Nguyen ang Dn

+ Mua ngoai te theo gia th trng 16125 (bo quyen chon mua)
+ Ban ngoai te theo hp ong quyen chon ban vi gia 16140 lai (16140 16125) x 1.000.000-5.000.000 = 10.000.000

- Ty gia th trng USD/VND 16140/16250

Cong ty A thc hien hp ong ban khong thc hien hp ong en c nhng khong co loi g ca.

Tac dung cua quyen chon:

+ am bao nhu cau ngoai te trc mat va trong tng lai cho khach hang mot cach chac chan. + Cho phep khach hang la chon phng an giao dch ngoai te toi u + Cong cu phong nga rui ro hoi oan va la cong cu kinh doanh ngoai te linh hoat co hieu qua.