Derivatives trade
Details of FWD points
Bullet points
Theory of OTC derivatives
What differs Forwards from others
Details of FWD points
Theory of OTC derivatives
There are two doors for Derivatives users
HEDGING
Speculation
Theory of OTC derivatives
FWD
supply
demand
price
What defines OTC – FWD?
O ver T he
OTCC ounter FWD
Size
Forward
Swap =spot
Rate + Forward
OTC option
Date
Exchange listed
No front payment
Futures
Flex, custom
Option
Obligation
Details of FWD points
Spot=+
FWD rate =
- Spot
=
(spot, IR$, IRT)
Considered as cost
Details of FWD points
T, IR$, =IRSpot*(IR
T)
IR$)*T/365
Spot USDMNT spot rate
IR$
Interest rate for USD products
IRT
Interest rate for MNT products
T
Forward contract duration
Details of FWD points
Customer Value
Collateral size
Market timing
Attractive size
Competition
Matching interest
Policy rate decision
Base margin rate
17.0%
16.0%
15.0%
16.2%
14.0%
15.5%
13.0%
12.0%
14.0%
11.0%
12.5%
10.0%
9.0%
8.0%
16.1%
base
10.2%
2015 1
2
3
4
5
6
7
8
9
10
11
12
2016 1
2
3
4
5
6
7
8
9
Deposit rates
IR
IR$ Interest rate for USD products
IR margin
IRT Interest rate for MNT products
12M
50%
Value
Details of FWD points
MNT loan / USD deposit
BID
13.50%
22.00%
ASK
5.50%16.20%
16.50%
USD purchase / USD deposit
15.00%
5.50%
MNT deposit
15.00%
9.50%
15.00%
Example:
Ex. 132––12M
3M FWD
6M
28-Mar-2015
Date: 28-Jun-2015
28-Sep-2015
2046.21
Official rate: 1944.46
1996.76
2050.00
Spot rate: 1945.00
2000.00
11.80%
IR margin BASE: 10.20%
13.17%
1945
2050**(10.20%)
(11.80%) =* 3263.36
6 / 12 = 49.725
120.95
FWD points = 2000
(13.17%)
109.05
16.64
Trade PnL: 280.275
215.25
420.00
MNT cost save: 102.11
-62.70
-125.4
USD opportunity: -31.35
261.60
311.24
Worth: 351.035
3M @49.725
12M @263.366M @120.95
Today
2280.00
FWD
2170.95
1999.725
2263.36
START
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