Academia de Studii Economice din Bucureti

Facultatea de Relaii Economice Internaionale

Tehnica plilor i finanrii

internaionale
Cursul 12
Utilizarea instrumentelor derivate
n finanarea internaional

Conf. Cristian PUN

Email: cpaun@ase.ro
URL: http://www.finint.ase.ro
 Piaa
instrumentelor
derivate
Piaa instrumentelor derivate

1999 2000 2001 2002

Derivate
FRAs 6,755 6,423 7,737 9,146
Swaps 43,936 48,768 58,897 68,274
Options 9,380 9,476 10,933 12,575
TOTAL 60,091 64,668 77,568 89,995
Derivate pe curs de schimb

Derivate 1999 2000 2001 2002

Forward and futures 9,593 10,134 11,176 11,298
Swaps 2,444 3,194 3,102 3,350
Options 2,307 2,338 2,470 3,427
TOTAL 14,344 15,666 16,748 18,075
 Derivate pe aciuni
Derivative 1999 2000 2001 2002
Forward and swap 283 335 320 386
Options 1,527 1,555 1,561 1,828
TOTAL 1,809 1,891 1,881 2,214

Derivate pe active reale

Instrument 1999 2000 2001 2002
Gold 243 218 231 279
Others 305 445 337 444
Forward and swap 163 248 328 388
Options 143 196 279 367
TOTAL 548 662 598 777
Contractele forward

Long
Short

Profit

Spot
Loss

Forward rate
Managementul riscului valutar folosind forward

Poziia Riscul Poziia

Creditor currency Short on forward contracts

interest
Debtor currency Long on forward contracts
interest

Caracteristicile contractelor forward:

Nu este un contract standardizat
Preul forward este negociabil
Contractele forward se lichideaz numai la scaden
Contractele forward nu au pia secundar
Nu poate fi schimbat beneficiarul.
Contractele futures

Long futures
Short futures

Profit

Futures at the
Loss Settlement date

Initial Futures
Managementul riscului folosind futures

Poziia Riscul Poziia pe futures

Creditor currency Short on futures contracts

interest

Debtor currency Long on futures contracts

interest
Opiunile CALL
Long CALL

Profit
Profit

Loss
Loss

Short CALL

PE + Premium
Opiunile PUT

Long PUT

Profit Profit

Loss Loss

Short PUT

PE - Premium
Managementul riscurilor de credit folosind opiunile

Poziia Riscul Poziia pe opiuni

Creditor currency Long PUT on options contracts

interest

Debtor currency Long CALL on options contracts

interest

Not: de evitat poziiile SHORT

Contractele de SWAP

Swap Bank
A B

Fixed
LIBOR
Credit interest Credit
rate
Swap
contract
Bank A Bank B
Instrumentele sintetice pe rata dobnzii - CAP

a. cap :
Premium

A Bank B
Cap

Credit
LIBOR

Bank A i1= i1+ premium dif.i

Instrumentele sintetice pe rata dobnzii - floor

b. floor :
Premium

Bank A Bank B
cap

Credit
LIBOR

A i1= i1 - premium + dif.i

Instrumentele sintetice pe rata dobnzii - collar

c. collar :
TBR

Bank A Bank B
Credit
LIBOR
Credit
Premium
Collar
A Bank C