JP2003099621A - Risk-hedging method for foreign exchange fluctuation - Google Patents

Abstract

PROBLEM TO BE SOLVED: To attain a hedge against the risk of a foreign exchange fluctuation against currencies that are still infant in futures transaction. SOLUTION: This risk-hedging method for foreign exchange fluctuation includes a phase of accepting an application of contract to pay a first amount on a specified day, a phase of calculating the foreign exchange rate at a specified exchange market at a specified point of time to determine a contract rate, a phase of calculating a second amount in the customer's currency for the first amount based on the contract rate, a phase of calculating the exchange rate on the specified date to determine a settlement rate, a phase of settling the balance between the contract rate and the settlement rate, a phase of receiving the first amount in the customer's currency, and a phase of sending the first amount received in the previous phase to a specified destination.

Description

Detailed Description of the Invention

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to a method for hedging foreign exchange fluctuation risk, and more particularly to a method for hedging foreign exchange fluctuation risk in a currency in which futures exchange transactions are immature.

[0002]

2. Description of the Related Art In the foreign exchange trading market, futures trading is conducted in order to hedge the risk of future exchange fluctuations. This futures contract involves trading on a specific day in the future at the exchange rate currently agreed.
However, such futures trading cannot handle all currencies in the foreign exchange market, and some immature currencies cannot be handled due to the monetary policy of the country. The current situation.

Non-Deliverable Forward (NDF) transactions have been proposed in order to hedge foreign exchange risk in such immature currencies. This NDF transaction is a transaction based on a forward exchange contract with a special contract in which an opposite sale is made and the difference is settled before the settlement date of the main transaction. For example, a Japanese company A sends a 100 million Korean won (K) to a Korean company C through a bank B.
It is assumed that RW) is remitted. First, Company A makes a reservation for so-called yen selling and won buying. That is, company A
Contracts with the amount of payment and the settlement date according to the rate of the day. The rate (commitment rate) of the contracted day is 9.50JPY / 100KRW
Then, the contracted amount of the company A is 9.5 million yen. Next, in order to determine the rate of the settlement date, the company A performs the opposite sale, that is, the yen buying won sale according to the rate at that time before the settlement date (actually, one business day before the settlement date). At this time, if the yen's appreciation of the won is weak, Company A will suffer a foreign exchange loss, and if the yen's depreciation of the yen is appreciable, a foreign exchange gain will occur. On the settlement date, the company A sends money to the bank B (more accurately, the local branch) according to the rate (settlement rate) of the day to raise 100 million won from the market. Remit 100 million won procured from company C to company C ((6) in the figure).

[0004]

As described above, even in the case of a foreign exchange forward contract with a special contract that can hedge future exchange rate fluctuation risk, strictly speaking, the opposite trading is performed before the settlement date and the settlement rate is set. Since it was decided, there was a slight deviation from the true settlement rate on the settlement date.
In addition, a certain commission was incurred when purchasing a local currency in the market, which was a burden on the user.

[0005] Therefore, an object of the present invention is to propose a new scheme for hedging the risk of future exchange rate fluctuations in a currency that is immature in futures trading.

[0006]

The gist of the present invention is to combine a non-deliverable forward (NDF) transaction and a forward exchange transaction.

Specifically, the present invention includes the step of accepting a contract offer from a customer to pay a first amount in a predetermined local currency on a predetermined date, and an exchange rate at a predetermined time from a predetermined exchange market. Calculating and determining this as a contract rate, calculating a second amount in the transaction currency of the customer for the first amount according to the contract rate, and calculating an exchange rate at the predetermined date. , Determining this as a settlement rate, performing a difference settlement based on the contract rate and the settlement rate, paying a second amount in the transaction currency, and receiving a first amount in the local currency And a step of remitting the received first amount to a predetermined destination, which is a method for hedging foreign exchange fluctuation risk.

The present invention can be constructed by a predetermined function (group) realized by cooperation of hardware resources such as a computer and software resources (programs etc.).

[0009]

DESCRIPTION OF THE PREFERRED EMBODIMENTS Next, embodiments of the present invention will be described with reference to the drawings.

FIG. 1 is a diagram showing an overall system for realizing the transaction method according to this embodiment. The system shown in the figure is realized by computers connected to each other exclusively online.

Here, the company system 1 (hereinafter simply referred to as "company 1") purchases a predetermined amount of local currency on a predetermined date, and is a local customer, the company system 2
(Hereinafter, it will be simply referred to as "company 2".) An example will be described in which the money is sent. This local currency shall be regulated for futures exchange transactions. The bank system 3 (hereinafter, simply referred to as “bank 3”) is a bank having a main branch office in Japan (home country), and further has a branch office where the company 2 is located. The company 1 has an account in the bank 3 and holds it. In this sense, the company 1 can be regarded as a customer of the bank 3. Now, the head office (or branch) of Bank 3 in Japan is displayed as Bank 3A, and the local branch is Bank 3
It shall be displayed as B. The local market 4 is a partner with which the bank 3B buys and sells local currencies, and typically corresponds to another bank or company. The local market 4 can be the local market of the bank 3B itself if the bank 3B can buy and sell the local currency locally and can carry out foreign exchange trading.

FIG. 2 is a flow chart for explaining the flow of the transaction method according to this embodiment. First, company 2
The company 1, which is obliged to pay a predetermined amount in local currency to the company, applies to the bank 3A for the contract by this transaction method and concludes the contract with the bank 3A (STEP20.
1). The contract is typically concluded by a contract or the like, and the date of conclusion is the contract date. The details of the contract are the date when the local currency is purchased (settlement date), and the transaction currency (home currency) when the local currency is purchased at the settlement date.
The exchange rate (contract rate), the amount in the local currency to be purchased and the amount in the transaction currency to be paid (contract amount) based on the contract rate are set. Specifically, when the bank 3A receives a contract offer, the bank 3A
Instruct B to calculate the amount of money in the home transaction currency necessary to raise the amount in the local currency, and in response to this, the bank 3B
Acquires from the local market 4 the amount in the home currency required for purchasing the amount in the local currency at the settlement date, calculates the exchange rate, and notifies the bank 3A. In addition,
If there is no standard quote between the transaction currency and the local currency,
For example, the exchange rate can be calculated from the reference rate of US dollars (USD). The bank 3A presents the contract contents to the company 1, requests the approval, and when the company 1 approves, the bank 3B uses the local currency according to the contract contents in the local currency according to the contract. Instruct to purchase a predetermined amount. The bank 3B executes a forward exchange transaction in the local market, and the bank 3A concludes a contract when the content of the contract is finalized.

Next, the bank 3A sells the same amount as the predetermined amount in the local currency and purchases the transaction currency according to the contents of the contract with the company 1 on the settlement date.
The settlement rate is determined (STEP 202). By determining the settlement rate, the bank 3A executes the difference settlement based on the contract amount and the settlement amount (STEP203). Due to the settlement of the difference, the bank 3A performs a deposit process to the account of the company 1 if an exchange gain has occurred, and a withdrawal process from the account of the company 1 if an exchange loss has occurred. Next, the company 1 sends the settlement amount in the transaction currency to the bank 3B of the local branch via the bank 3A (STEP20.
4). The bank 3B pays the contracted amount in the transaction currency of the remitted amount to the local market 4 and receives the amount in the local currency (STEP205). And bank 3B
Performs the remittance processing of the received amount which is the local currency to the company 2 which is the payee (STEP 206).

As a result, the company 1 can settle the contract with the contracted amount determined on the contracted day even if the settling is done in a currency in which futures exchange transactions are difficult, and can hedge the exchange fluctuation risk. Become.

Next, the transaction method according to this embodiment will be described by showing a specific example. In this example, the case where the company 1 pays 100 million Korean won (KRW) by September 6 to the company 2, which is a Korean subsidiary, will be described as an example. FIG. 3 is a diagram for explaining a specific flow of funds at this time.

First, the company 1 makes a contract offer to the bank 3A. That is, the company 1 presents 100 million KRW to the bank 3A as the amount of money in the purchase desired local currency. Bank 3
A presents the exchange rate notified by the bank 3B, which is the Korean branch, and the amount in the transaction currency based on the exchange rate ((1) in the figure). Since there is no standard market price between the transaction currency, JPY, and the local currency, KRW, in this example, the exchange rate is calculated from the standard market price of US dollars (USD). For example, 1USD = 1300KR
W (USD / KRW @ 1300), 1USD = 1
If it is 23.50JPY (USD/JPY@123.50), 100KRW = 9.50JPY (100
KRW/JPY@9.50), in this case bank 3
A is this exchange rate (contract rate) 100 KRW / J
PY@9.50 and 9.5 million yen based on this contract rate will be offered as the contract amount.

When the bank 3A receives the approval from the company 1,
Instructing the purchase of the local currency according to the local futures exchange transaction with this contract content, the bank 3B executes the forwards exchange transaction in the local market 4 in response to the instruction. In this example, the bank 3B is US
Selling 76923.08 USD as D / KRW @ 1300 and buying 100 million KRW ((2A) in the figure), USD
I sell 9.5 million JPY as /JPY@123.50 and buy 76923.07USD ((2B) in the figure). As a result, the futures reservation for purchasing 100 million KRW for 9.5 million JPY has been completed.

It is assumed that the settlement date (8/6) has arrived after concluding the above-mentioned contract. The bank 3B determines the settlement rate according to the contracted content according to the contract content, but the exchange rate (settlement rate) is 100 KRW / JP.
Suppose it has changed to Y@10.00. So, bank 3A
Pays the difference based on the contract rate and the settlement rate. In this example, the depreciation of the yen is high, so 50
Since a foreign exchange gain of 10,000 JPY has occurred, Bank 3A
Deposit the amount into the account of company 1 in
(3)). In addition, when the so-called yen appreciation is weakened, the company 1 will pay the exchange loss to the bank 3A.

On the other hand, the bank 3B pays the amount in the transaction currency at the contracted rate in the local market 4 and receives the amount in the local currency. In this example, 100
KRW/JPY@9.50 paid 9.5 million JPY ((4A) in the figure) and received 100 million KRW (in the figure)
(4B)).

On the other hand, the company 1 sends the amount in the transaction currency based on the settlement rate to the bank 3B, preferably via the bank 3A. In this example, company 1
10 million JPY will be sent to Bank 3B (in the figure)
(Five)). However, from the perspective of Company 1, since there is an exchange gain, it is virtually the case that the transaction is made at the exchange rate reserved on the trade date. Then, the bank 3B receiving this remittance remits 100 million KRW previously procured in the local market 4 to the designated company 2.

In the above embodiment, the flow of processing has been described in a sequential manner, but it is not particularly limited to this, and the order of processing may be changed or parallel processing may be performed as long as there is no contradiction in the operation. .

As described above, according to this embodiment, the following advantages can be obtained. That is, according to the present embodiment, since a predetermined amount in local currency is procured from the local market after the exchange gain or loss is fixed on the settlement date, it is possible to use the stable exchange fluctuation of NDF transactions. become. In other words, it becomes possible to hedge foreign exchange fluctuation risk in a currency in which futures exchange transactions are regulated for some reason.

Further, according to this embodiment, after the futures are reserved at the contract rate on the contract day, the opposite trade is performed at the settlement rate on the day of the settlement date. Therefore, the difference settlement based on the contract rate and the settlement rate. You will be able to hedge foreign exchange fluctuation risk by simply doing with the customer. In other words, banks and their customers need only compensate for the profit and loss generated by exchange rate fluctuations. Further, according to the present embodiment, since the purchase fee of the local currency is not incurred, the cost can be saved accordingly.

The above embodiment is an example for explaining the present invention and is not intended to limit the present invention only to this embodiment. The present invention can be implemented in various forms without departing from the gist thereof.

[0025]

EFFECTS OF THE INVENTION According to the present invention, it is possible to hedge the risk of foreign exchange fluctuation even for an immature currency in which foreign exchange trading of futures exchanges is regulated, and thus stable The funds can be managed in the local currency.

Further, according to the present invention, since the transaction currency amount of the customer can be determined in advance, it is possible for the customer to estimate the budget and to carry out stable and systematic fund management that is not affected by exchange rate fluctuations. Will be able to.

[Brief description of drawings]

FIG. 1 is a diagram showing an entire system that realizes a transaction method according to an embodiment of the present invention.

FIG. 2 is a flowchart for explaining a flow of a transaction method according to an embodiment of the present invention.

FIG. 3 is a diagram for explaining a specific flow of funds by the transaction method according to the embodiment of the present invention.

[Explanation of symbols]

1 ... Customer company 2 ... Payee company 3 ... Bank 4 ... Local market

   ─────────────────────────────────────────────────── ─── Continued front page    (72) Inventor Yasushi Okamoto             1-1-1 Otemachi, Chiyoda-ku, Tokyo             Inside the ceremony company Sanwa Bank F-term (reference) 3E040 CA12 CA14

Claims (3)

[Claims] 1. A step of accepting a contract offer from a customer to pay a first amount in a predetermined local currency on a predetermined date, and calculating an exchange rate at a predetermined time from a predetermined exchange market, and calculating the exchange rate. And calculating a second amount in the transaction currency of the customer for the first amount according to the contract rate, calculating an exchange rate at the predetermined date, and determining this as a settlement rate. The step of making a difference settlement based on the contract rate and the settlement rate; paying a second amount in the transaction currency and receiving a first amount in the local currency; And a step of remitting a first amount to a predetermined destination. 2. The method according to claim 1, further comprising the step of accepting a third amount in the transaction currency according to the settlement rate from the customer. 3. The step of performing the difference settlement, when the exchange gain is generated, deposit the amount of the exchange gain into the customer's account, while when the exchange loss is generated, the The method of claim 1, wherein the method further comprises the step of withdrawing the amount of exchange loss from the customer's account.