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

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.

Not withstanding the necessity for rollovers, the extension of credit, in terms of position sizes that can be kept outstanding, and of course the amount of margin necessary to be on deposit with a particular financial institution at any given time,the idea of trading on margin also carries with it the specific inference of creating financial leverage. For example, if one were to use the same example of a long p>osition of one million pounds Sterling at 1.9305, the relative margin that might be called to hold this position open would generally be in the order of (5% of the implied dollar value or .05x 1,9305,000) approximately $96,000. Once again, using the hypothetical end of day mark to market loss of 15 points, the loss on this position of $1500 can be extrapolated as being 1.5% overnight, or an annualized 540% loss on implied capital usage. Clearly, this leverage goes both ways, and the amount of theoretical gain on invested capital can also be enormous. The point here is that margin can be an enormously powerful tool for trading in larger sizes than might be implied by specific amounts of capital. Effectively, through the use of margin as a funding technique for trading foreign exchange, the difference between what might have previously been referred to, as retail versus institutional trade size is now indistinguishable.

As the profile of margin and leveraged customers within the foreign exchange market has increased, there has also been a significant amount of irreversible characteristics that have taken hold within the market as a whole. Most notably, in this regard, is the amount of absolute liquidity available at any one time. For example, as the size of trading has increased, and speculative interest has grown, the banks that have historically quoted prices have been forced to trade in larger sizes to accommodate this demand. The extension of this dynamic haslead to the introduction of multiple new outlets and price distribution channels, particularly through electronic connections. In fact, during the most part of the past ten years, the only significant electronic trading platforms were EBS and Reuters, both of whom dealt exclusively with the wholesale bank trading community at laige. Within the past few years however, this has dramatically changed. Not only in the context of single bank proprietary electronic systems, given out to direct bank customers, but larger platforms such as Currenex, Fxall, and Hotspot, to name a few, are now all available to direct customers. Through these types of multi bank portals, traders can now access what is effectively inter bank pricing, on a direct basis. All of which would have been impossible without the implicit assumption that margin trading were available to these multiple classes of customers as a means of settlement. The point here is that mai^in, as a basis for trading foreign exchange， has actually precipitated a fundamental re configura tion of trading in general. As this trend continues, with a wider audience growing accustomed to the issues related to both margin and its implied effects on leverage, foreign exchange will become continuously more transparent in terms of price, and more diverse in terms of its overall customer base.