instruments in interest-rate, currency and ... - Volksbank AG

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International FX practices (key currency, base currency, cross calculations)The following rules have been established as international FX practices.1. The euro is always quoted as the key currency(e.g. EUR 1 = GBP X).2. The British pound is placed ahead of all other currencies (except EUR)(e.g. GBP 1 = AUD X).3. The Australian dollar and the New Zealand dollar are always listed first, unless listed against EUR or GBP.(e.g. AUD 1 = USD X).4. The USD is the key currency against all other currencies except in the US domestic market(e.g. USD 1 = CAD X).5. ”Cross Rates“, i.e. non-standard currency pairs are placed in any order against one another.The corresponding reverse rate can also be quoted upon request.
IMPRINTPublished by: Österreichische Volksbanken-AG, 1090 Vienna, Kolingasse 14 - 16, Tel. +43(0)50 4004-0, Fax +43(0)50 4004-3683Authors: Alfred Buder, Alexandra Lauffer-Köpplinger, Harald Klimt, Martin Mayer, Walter Riess, Gernot Rux, Claudia SchleissEditor: Andrea Rainsberger, Österreichische Volksbanken-AG, Marketing & Communications, 1090 Vienna, Kolingasse 14 – 16Graphic design and production: Dieter Achter, Österreichische Volksbanken-AG, Marketing & Communications, 1090 Vienna, Kolingasse 14 - 16September 2010May 2011
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Group Treasury at Volksbank AG (VBA
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The decision between hedging and po
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FORWARD RATE AGREEMENTSINTEREST-RAT
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Example 2: Liabilities side - from
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In the step-up swap, the nominal am
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Transaction in course:A company is
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nStep 3: Re-exchange of the princip
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Initial exchange, to be replaced by
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3M EURIBOR Loan3M EURIBORCompany3M
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INTEREST OPTIONSCAPWhat is a cap?A
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Termination of a capis possible at
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FLOORWhat is a floor?The complement
Page 32 and 33: COLLARWhat is a collar?A collar is
Page 34 and 35: Termination of a swaptionis possibl
Page 36 and 37: CURRENCY MANAGEMENTA large part of
Page 38 and 39: ExampleSought:CHF/JPY-rate determin
Page 40 and 41: Termination of a forward exchange t
Page 42 and 43: Types of optionsPlain vanilla optio
Page 44 and 45: eceives the option premium credited
Page 46 and 47: Participating optionThe participati
Page 48 and 49: ExamplePurchase call option strike
Page 50 and 51: Step payment optionsAs with the con
Page 52 and 53: Knock in / Knock out optionOne of t
Page 55 and 56: with regard to the fixing of prices
Page 57: Energy futures trades * )Table 3Abb
Page 60 and 61: RISK MANAGEMENTEvery company is for
Page 62 and 63: How easily can this risk be elimina
Page 64 and 65: Monte Carlo simulation/Variance/cov
Page 66 and 67: ExampleJPY creditCurrent price 100.
Page 68 and 69: CALCULATION OF THE CORRELATED VALUE
Page 70: The worst risk value would be on a
Page 73 and 74: CALL OPTION Is the right to buy tha
Page 75 and 76: FORWARD/FORWARD See credit forward.
Page 77 and 78: NOMINAL INTEREST RATE The nominal i
Page 79: TRADING Deliberately entering into
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instruments in interest-rate, currency and ... - Volksbank AG

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