I. Rolul ratelor de dobândă în determinarea cursului de schimb. Paritatea ratelor de dobândă A. Considerăm că rata dobânzii aferentă unor titluri de stat emise în U.K. este 10% anual. Cursul spot în prezent este 1 GBP = 1,6 USD. Se cere: 1. Dacă un investitor american ar deține 20.000 USD, şi doreşte să achiziționeze titluri de stat emise de guvernul britanic pe perioada de un an, cât este randamentul investiţiei sale? 2. Ştiind că peste un an cursul GBP/USD este 1,5, estimaţi randamentul investiţiei în GBP echivalent în USD pentru titluri de stat deţinute. B. Presupunem că un investitor român deţine suma de 10.000 RON timp de un an şi are două alternative de investire: a) Constituirea unui depozit în lei, rata dobânzii la depozitele în lei este 8%; b) Constituirea unui depozit în euro, rata dobânzii la depozitele în euro este 4%. În prezent cursul spot EUR/RON este 4,5281. Se cere: 3. Care credeţi că sunt principalii factori ce influenţează cererea pentru depozitele într-o monedă? 4. Cât este randamentul unui depozit în valoare de 10.000 RON pe un an? 5. Presupunând că euro se apreciază în raport cu leul cu 4,5% într-un an, cât este randamentul unui depozit în euro pe un an, ştiind că investitorul deţine 10.000 RON? 6. Cât ar trebui să fie cursul EUR/RON peste un an astfel încât sumele obţinute din variantele a) şi b) să fie egale? 7. Dacă cursul EUR/RON estimat pentru momentul T=1 an este 4,5015, care dintre cele dintre cele două variante este mai avantajoasă? Găsiţi o strategie prin care să obţineţi un profit cert fără a folosi capital propriu. 8. Explicaţi care sunt principalii factori ce influenţează cursul de schimb spot potrivit relației UIP. C. Un investitor american are la dispoziţie o sumă de 100.000 de dolari, iar rata dobânzii pe piaţa americană este de 2,75%. De asemenea, se cunosc ratele de dobândă şi cursurile prezente şi aşteptate faţă de dolar pe următoarele pieţe: Piaţa Rata dobânzii la 3 luni Curs actual Curs aşteptat peste 3 luni România 6% 3,5117 3,5000 Elveţia 1,5% 0,9252 0,9037 9. Ştiind că perioada de investire este de 3 luni, să se determine varianta optimă de plasare a banilor pentru investitor. 1
10. Cât este rata la depozitele în CHF exprimată în dolari? 11. Cât ar fi trebuit să fie cursul USD/RON peste trei luni astfel încât să fie satisfăcută UIP? 12. Cum se poate acoperi investitorul american împotriva riscului de curs de schimb în cazul în care optează pentru un depozit în franci elvețieni? 13. Interpretaţi relaţia dintre UIP si paritatea acoperită a ratelor de dobândă (en. CIP) prin prisma teoriei pieţelor eficiente. 14. La un moment dat, pe piața financiară se înregistrează datele din tabelul de mai sus. În cazul în care o bancă afișează un curs forward egal cu 3.6000 RON pentru 1 USD, să se identifice dacă există posibilitatea pentru un agent economic de a realiza un profit fără risc (posibilitate de arbitraj). Cum influențează acțiunile agentului de mai sus nivelul cursului forward, ținând seama de faptul că ratele de dobândă la credite sunt egale cu cele la depozite și nu există spread pe piața valutară? 15. În cazul datelor din tabelul de mai sus, o bancă afișează un curs forward egal cu 3.5200 RON pentru 1 USD. Există posibilități de arbitraj? Cum afectează acțiunile arbitrajorului cursului de schimb? 16. Explicați pe baza următoarelor scheme paritatea acoperită și cea neacoperită a ratei dobânzii. Completați săgețile din schemă cu procesele aferente. I. Paritatea acoperită a ratei dobânzii 1 RON 1/S 0 EURO (1+r RON ) RON (1+r EUR ) X 1/S 0 EUR F x (1+r EUR ) x 1/S 0 RON Este o condiție pentru lipsa posibilităților de arbitraj, investitorii sunt indiferenți între activele financiare denominate în valute diferite, iar riscul valutar a fost eliminat prin contracte forward. II. Paritatea neacoperită a ratei dobânzii 1 RON (1+r RON ) RON S e x (1+r EUR ) x 1/S 0 RON Riscul valutar este lăsat neacoperit, iar randamentul aferent plasamentului în valută variază în funcție de cursul de schimb. 1/S 0 EURO (1+r EUR ) X 1/S 0 EUR 17. Răspundeți la următoarele întrebări după ce ați lecturat Caseta 1: 2
a) Ce reprezinta CIP? b) La ce se refera conceptul Covered Interest Arbitrage? c) Cum putem explica deviatiile de la CIP? d) Ce reprezinta UIP? De ce este important studiul validitatii UIP? e) Care este legătura dintre comerțul cu valute și paritatea neacoperită a ratelor de dobândă? f) Care sunt sursele de profit în cadrul comerțului cu valute? g) Care sunt efectele generate de comerțul cu valute pe piețele financiare internaționale? h) Care a fost rolul comerțului cu valute în declanșarea crizei financiare actuale? 3
Caseta 1. Comerțul cu valute How traders have been triumphing over economic theory NO COMMENT on the financial markets these days is complete without mention of the carry trade, the borrowing or selling of currencies with low interest rates and the purchase of currencies with high rates. For some years smarties have been borrowing funds in Japan at its still amngly low interest rates, then lending the money in countries where nominal interest rates are a lot higher. But why does the carry trade work? In theory, it shouldn't or not for as long as it has. Foreignexchange markets operate under a state of covered interest parity. In other words, the difference between two countries' interest rates is exactly reflected in the gap between the spot, or current, exchange rate and the forward rate. If that were not so, it would be possible for a Japanese investor to sell yen, buy dollars, invest those dollars at high American interest rates for 12 months and simultaneously sell the dollars forward for yen to lock in a profit in a year's time. The potential for arbitrage means such profits cannot be earned. However, economic theory also suggests that uncovered interest parity should operate. In the real world, uncovered interest parity has not applied over the past 25 years or so. The carry trade has been a lucrative thing to do - just as long as the exchange rate between the yen and the currency of the country where you lent the money doesn't move against you. How the carry trade works The mechanics of the carry trade are relatively straightforward. Currencies around the world are tied to a set of interest rates that savers can expect to receive for investments denominated in that currency. Borrowers, meanwhile, can expect to pay that rate for loans of the currency. Because countries vary in the ways they monitor or control interest rates for their particular currency, there isn't necessarily any connection among rates in different countries; for the most part, local economic conditions dictate local interest rates, and to the extent that these local economic conditions aren't interrelated, interest rates in different countries tend to move independently of each other. Using the carry trade strategy involves three separate transactions. First, you must find a country offering loans at a relatively low interest rate and borrow money denominated in that country's currency. Second, you take the foreign currency that you just borrowed and exchange it for the currency of a different country that is offering higher interest rates on investments. Third, once you've made the currency conversion, you then invest your new currency and earn a relatively high rate of interest. Risks of the carry trade It's important to realize that although the carry trade has worked very well over the past decade, it is not without risks. The key variable in determining whether a particular carry trade strategy will be profitable is what happens to exchange rates during the time the trade is open. If the value of the borrowed currency rises in relation to the value of the invested currency, then one's profits will be reduced or even turn into losses. The success of the carry trade also depends on the continuing disparity among interest rates in various countries. Much of the success of the dollar-yen carry trade strategy is that short-term interest rates were 4%-5% higher in the United States than in Japan. Some commentators have expressed concern that if traders stop using the carry trade strategy, then the recent weakness in the dollar may accelerate. Because investors who execute carry trade strategies buy dollars in exchange for yen, their transactions create demand for the dollar and help to support the exchange rate. Without this support, some observers worry that the dollar would fall dramatically and create a 4
currency crisis of the sort usually associated with developing countries. Whether these consequences actually come about, remains to be seen. The carry trade is one example of how sophisticated investors use global financial markets to seek profits. Although the strategy involves risk, it has rewarded its users significantly over the past several years. But if the success of this strategy is coming to an end, it may have an impact on the earnings of financial institutions that have made substantial use of the carry trade. These trades allowed some traders to rake in big profits, but they also played a part in the credit crisis that struck world economic systems in 2008. It's not surprising that, with all the panic, the smarties have been pulling out of these carry-trade deals. As they do, of course, the higher demand for the yen causes it to appreciate, thus wiping out the interest-rate gains and making it more urgent for others to get out. Fingers are being burnt as we speak. Setting Up The Carry Trade To become a successful carry trader, understanding the role that interest rates play in the FX market is a crucial task. A country offering high interest rates will attract more capital as investors seek to capitalize higher returns. As interest rates rise, investment will follow, which can in turn increase the value of the currency. Carry trader's main focus becomes the expectation on the direction of a country's interest rate, to ensure their high rate of return. Generally, traders seek to buy currencies with high interest rates, and seek to short currencies who offer low interest rates. The carry trade works best under certain market conditions, and the selection of the currency pair can make the difference between a losing and a profitable trade. When selecting the currency pair, traders want to observe two things. On the one hand, the trader wants to make sure he is buying the currency that has the higher interest rate and is selling the currency that has a lower interest rate in comparison. On the other hand, the trader also wants to view the health of the economy for the currency pair to ensure the market will move to his/her favor. Essentially, the trader will be buying a currency with a stronger economy and selling the currency with a weaker economy. Some currency pairs that are usually selected to apply the carry trade strategy are: GBP/JPY, GBP/CHF, AUD/JPY, EUR/JPY, CAD/JPY, and USD/JPY. In the 2000s, the term "carry trade" became synonymous with the "yen carry trade". Carry Trade Strategy Example The carry trade is a popular trading strategy used in the FX market. It guarantees traders at least some return on their medium and longer term positions. In the Carry Trade, speculators buy high interest currencies and sell currencies with low interest rates. These positions ensure that each trading day rollover-interest will be posted to the trader's account. Thus, the Carry Trade has the potential to significantly enhance a trader's return. Example - Leverage Cuts Both Ways in Yen Carry Trade Let's run through an example of a yen carry trade to see what can happen when the market is booming and when it goes bust. 1. Borrow 100 million yen for one year at 0.50% per annum 2. Sell the borrowed amount and buy U.S. dollars at an exchange rate of 115 yen per dollar 3. Use this amount (approximately US$870,000) as 10% margin to acquire a portfolio of mortgage bonds paying 15% 5
4. The size of the mortgage bond portfolio is therefore $8.7 million (i.e. $870,000 is used as 10% margin, and the remaining 90%, or $7.83 million, is borrowed at 5%). After one year, assume the entire portfolio is liquidated and the yen loan is repaid. In this case, one of two things might occur: Scenario 1 (Boom Times) Assume the yen has depreciated to 120, and that the mortgage bond portfolio has appreciated by 20%. Total Proceeds = Interest on Bond Portfolio + Proceeds on Sale of Bond Portfolio = $1,305,000 + $10,440,000 = $11,745,000 Total Outflows = Margin Loan ($7.83 million principal + 5% interest) + Yen Loan (principal + 0.50% interest) Overall Profit = $2,686,000 = $8,221,500 + 100,500,000 yen = $8,221,500 + $837,500 = $9,059,000 Return on Investment = $2,686,000 / $870,000 = 310% Scenario 2 (Boom Turns to Bust) Assume the yen has appreciated to 100, and that the mortgage bond portfolio has depreciated by 20%. Total Proceeds = Interest on Bond Portfolio + Proceeds on Sale of Bond Portfolio = $1,305,000 + $6,960,000 = $8,265,000 Total Outflows = Margin Loan ($7.83 million principal + 5% interest)+ Yen Loan (principal + 0.50% interest) Overall Loss = $961,500 = $8,221,500 + 100,500,000 yen = $8,221,500 + $1,005,000 = $9,226,500 Return on Investment = -$961,500 / $870,000 = -110% 6
The Credit Crisis And The Carry Trade The global credit crunch that developed from August 2007 led to the gradual unraveling of the yen carry trade. Starting with the collapse of Lehman Brothers and the U.S. government rescue of AIG, speculators began to be hit with margin calls as prices of practically every asset began sliding. To meet these margin calls, assets had to be sold, putting even more downward pressure on their prices. As credit conditions tightened dramatically, banks began calling in the loans, many of which were yen-denominated. Speculators not only had to sell their investments at fire-sale prices, but also had to repay their yen loans even as the yen was surging. Repatriation of yen made the currency even stronger. In addition, the interest rate advantage enjoyed by higher-yielding currencies began to dwindle as a number of countries slashed interest rates to stimulate their economies. The unwinding of the gigantic yen carry trade caused the Japanese currency to surge against major currencies. The yen rose as much as 29% against the euro in 2008. By February 2009, it had gained 19% against the U.S. dollar since September, rising to a 13-year high of about 90. The global economy was also severely affected, as the collapse in asset prices affected consumer confidence and business sentiment, and exacerbated an economic slowdown. Nations whose currencies were heavily involved in the carry trade (such as Japan) would also face economic headwinds, as an unusually strong domestic currency can render exports uncompetitive. 7