《外汇交易实战图表与交易心理》 作 者：(新加坡)许强 (美国)Gary Weiss

一般而言，风险规避可分为两类：一为资本需求型的 风险规避措施（Capital Hedge); —为商业需求型的风险规 避(Commercial Hedge)。

Margin and leverage

As a conceptual issue, the idea of margin and leverage for the purpose of trading foreign exchange trading should not be an unusual concept. In fact, this basic idea is employed in all markets to a certain extent, and most notably as the underlying component of futures markets. The major difference with foreign exchange however, is that because a central clearinghouse does not settle trades, the levels at which margin or credit is extended, varies on almost a user by user basis. For example, a trader at a well known financial institution generally trades without margiii because the credit quality of the institution is such that it is trusted to settle the trade, regardless of the size, or the possible loss on the position, with whomever the trade was entered with. For most other traders however, and certainly most individual traders, this type of credit quality recognition can never be achieved. Therefore, it is most often the case that a certain amount of margin money is requested to be deposited as a type of good faith deposit. Again, this is a similar notion to the basis of margin in commodity futures markets.

However, the idea behind margin trading in foreign exchange is not just a credit tool, used for evaluation purposes, it is also an enabling tool because it allows large positions to be carried in varying currency pairs without the necessity of having to physically deliver the proceeds of that trade. This is accomplished by “rolling over” the trade, on a continual basis, to the next available settlement date or to such date at which a closeout of the trade has occurred. The use of the rollover is an essential component of margin trading and effectively is based on the concept of interest rate and dollar parity. In simple terms a rollover is a short dated swap that sells or buys a position on one date and does the opposite for the next date. In the first instance, the front leg of the swap is set to reflect the full, netted amount of a particular currency that would need to be delivered for a particular value date, and effectively sets the trade in the opposite direction, thereby netting the settlement to zero. The other side of the swap does the exact opposite, and thereby re instates the initial position for the next value date immediately following. The rate for this swap is reflective of the implied cost to carry a position for the period of the swap. For instance a one day swap on a positive carry currency will reflect the one day value of positive carry for that currency. This will incur a gain or loss for the particular period, relating to whether one is long or short. The most common form of short dated swap used to accomplish the basic rollover is usually referred to either as a “tom/next” , or “spot/next” trade. The key difference in the two being the date that it is entered into. For example, a tom/next swap is entered into with the front leg of the swap to settle on “tomorrow’s” value date (usually one business day) and the back leg to settle on the second value date. Whereas，the spot/next swap is entered into with the front leg of the swap to settle on the next spot date (usually two business days) and the back leg to settle on the second spot date (usually the next date after spot, or three days forward).

As mentioned before, and regardless of which method of rollover is used, the cost of the swap will generally reflect the cost of one day’s carry. And, in fact, the only reason for using one or the other variety in any particular circumstance is usually reflective of the particular institution’s view as to what might be the most convenient settlement apparatus, as opposed to any particular pricing notion.

The use of rollovers also can be viewed as a credit oriented function, because it effectively causes a position to become realized, and thereby effectuates a cash flow requirement related to the offset differential. For example, assume at the end of trading for a given spot date, there were multiple trades done in PoundSterlingleavingapositionoflongonemillionPoundsa gainst the dollar at an average rate of 1.9305. Further, assume that the spot/next rate is 1.3 points, and that the market has effectively closed at a rate of 1.9290, leaving an unrealized loss on the average position of 15 points. When putting on a spot/ next rollover at 1.3 points, the front leg of the swap will be booked at the then current market price of 1.9290, while the back end of the swap will be booked at a rate of 1.92887 (reflecting the swap differential for spot next of 1.3 points or 1.9290,00013=1.92887) . On settlement date for the front leg of the swap a cash amount of $1500 dollars negative, will fall into the account, as a result of the net down of the average position against the rollover rate, and a new open position will then be outstanding of long one million pounds at a rate of 1.92887 for the next available spot date. By creating the rollover, the position has now, not only been pushed forward to the next settlement date, but has also effectively been marked to the then current market rate, by creating a physical payment due. Clearly, indicative of a type of accounting function, the rollover is also a favorite tool used for credit purposes within many institutions because it accomplishes the goal of also keeping customer positions current and valued at market levels. There are incidentally, many operations that have taken the concept of rollovers in general, and put it into an even more automated environment. In this regard, the value of overnight cany rates are looked at as being either a net positive or negative number and added or subtracted to the customer account. The position, is not revalued at the then current market rate (as with a standard rollover either tom/next or spot/next) but rather is kept at the original price and marked to the then current market price, and margin is then called for to reflect a negative number. In either case, the outcome will be the same, meaning that overnight positions can be extended, valued as to the carry implications, and then finally marked to the then current market price, essentially keeping the valuation current.