spot rate

Содержание
  1. Spot Rates, Forward Rates, and Bootstrapping
  2. Forward Rates
  3. Bootstrapping
  4. Conclusion
  5. Spot Rates & Forward Rates: How They Work & How to Use Them
  6. What is a Spot Rate?
  7. Example
  8. How Do Spot Rates Work?
  9. What is a Spot Contract?
  10. What is a Spot Trade?
  11. What is a Future Spot Rate?
  12. What is a Forward Rate?
  13. What are Forward Contracts and Forward Trade?
  14. Why Do People Use Forward Rates and Contracts?
  15. Where to Find Spot Rates
  16. Where to Find Forward Rates
  17. Best Online Forex Brokers
  18. Final Thoughts on Spot Rates
  19. Using Spot Rates & Forward Rates In Your CFA Exam
  20. Level 1 CFA Exam: Spot Rate vs Forward Rate
  21. Definitions
  22. How to Compute a Bond Price using Spot Rates?
  23. How to Compute a Bond Price using Forward Rates?
  24. Implied Forward Rate vs Implied Spot Rate
  25. Level 1 CFA exam Takeaways for Spot Rates and Forward Rates
  26. Spot Rate (Definition, Meaning) | Step by Step Guide with Examples
  27. Spot Rate Examples
  28. Example #1
  29. Example #2
  30. Example #3
  31. Advantages
  32. Disadvantages
  33. Limitations
  34. Important Points to Note About Change in Spot Rate
  35. Recommended Articles
  36. Спотовая цена — что это? Объясняю на морковках
  37. Виды рынков
  38. Срочный
  39. Спотовый
  40. Сходства и различия между спот-рынком и срочным рынком
  41. Что такое спот-сделка
  42. Типы сделок
  43. Где применяются
  44. Примеры работы сделками спот
  45. Особенности торговли на спот-рынке
  46. Как проходит сделка
  47. Правила торгов на спотовым рынке золота
  48. Плюсы и минусы спот-сделок
  49. Спот и Форекс: что общего
  50. Отличия от свопа
  51. Спотовая цена на рынке: что это такое
  52. Спотовая цена и цена на срочном рынке: в чем разница
  53. Спотовый рынок золота: текущий курс и цены
  54. Заключение

Spot Rates, Forward Rates, and Bootstrapping

spot rate

The spot rate of a bond is the current yield for a given term. Market spot rates for certain terms equal the yield to maturity of zero-coupon bonds with those terms. The spot rate increases as the term increases, but this pattern deviates frequently. So bonds with longer maturities generally have higher yields.

A graph of the spot rates for different maturities forms the yield curve, and the shape of this curve often determines the effectiveness of certain bond strategies, especially those to lower interest rate risk, such as bond immunization strategies.

Moreover, some holders of coupon bonds want to strip the bonds into a series of zero-coupon bonds, either to mitigate risk by more closely matching the duration of assets to liabilities or to earn a profit by selling the zeros. Profit can also be made by reconstituting the zero-coupon bonds back into the original bond, if the sum of the zeros is cheaper than the reconstituted bond.

Selling zeros or reconstituting the zeros depending on market prices is a form of arbitrage, a means of earning a riskless profit. However, whether it would be profitable to issue zeros, strip coupons, or reconstitute coupons depends on the spot-rate curve, or the yield curve, which allows the investor to estimate the market price for a bond with a certain term.

Often, however, not enough zero-coupon bonds are selling in the market to clearly indicate what actual bonds prices would be at a given maturity. How can spot rates be determined for maturities where market information is lacking?

Closely related to the spot rate is the forward rate, which is the interest rate for a certain term that begins in the future and ends later.

So if a business wanted to borrow money 1 year from now for a term of 2 years at a known interest rate today, then a bank can guarantee that rate through the use a forward rate contract using the forward rate as interest on the loan. Forward rate contracts, a common type of derivative, are forward rates.

Forward rates are also necessary for evaluating bonds with embedded options. But since forward rates are future spot prices for interest rates, which is unknowable, how are forward rates determined?

Spot rate curves and forward rates implied by market prices can be determined from the market prices of coupon bonds through a process called bootstrapping.

Forward Rates

The price of a bond = the present value of all its cash flows. The usual technique is to use a constant yield to maturity (YTM) in calculating the present value of the cash flows. However, the bond price equation can be used to calculate the forward rates as implied by the current market prices of different coupon bonds.

Bond Price Calculated Using a Constant Yield to Maturity
Bond Price=C1(1+YTM)1+C2(1+YTM)2+ … +Cn(1+YTM)n+P(1+YTM)n
  • C = coupon payment per period
  • P = par value of bond
  • n = number of years until maturity
  • YTM = yield to maturity

A coupon bond can be considered as a group of zero-coupon bonds with a zero corresponding to each coupon payment and to the final principal repayment.

In this way, each cash flow should be discounted at the interest rate appropriate for the period in which the cash flow will be received.

The value of the zero-coupon bonds must equal the coupon bond; otherwise, an arbitrageur could strip the bond and sell the zeros for a profit, as they sometimes do.

The forward rates thus calculated are not forecasts of future interest rates, since future interest rates are unknown. Rather, the forward rates are simply calculated from current bond prices; hence, they are sometimes called implied forward rates, because they are implied by bond market prices in the same way that implied volatility is determined by option market prices.

Bootstrapping

Treasuries are the ideal type of bond to use to construct a yield curve because they lack credit risk, so Treasury prices depend more on market interest rates. Treasuries define a risk-free yield curve, but the market prices also imply forward rates, which are yields for certain periods in the future.

Because Treasury notes and bonds are generally issued as coupon bonds, their prices cannot simply be used to construct the spot rate curve or to calculate forward rates.

Instead, a theoretical spot rate curve and implied forward rates are constructed through the process of bootstrapping which calculates the forward rates by considering the value of the zero coupon bonds equivalent to the Treasury bonds.

The calculated forward rates can then construct the spot-rate curve by adding the yields for each term to the desired maturity.

The bootstrapping technique is the price-yield equation using different rates for each of the 6-month terms, as determined by market prices:

Bond-Yield Equation Using Different Rates for Each Cash Flow
Bond Price=C1(1+r1)1+C2(1+r2)2+ … +Cn(1+rn)n+P(1+rn)n
  • r = interest rate per period
    • If r = an annual yield, but the term is for ½ year, then divide by 2

The interest rate is 1st calculated for the 6-month bond that has a known market price, which has only a single payment, consisting of the coupon payment and the principal repayment, at its maturity.

After the rate is calculated for the 1st period with the 6-month bond, then that rate is used to calculate the rate for the 2nd period of a 1-year bond, and so on, until all the rates for the desired number of terms for which there are market prices available have been determined.

This is called the bootstrapping technique, because the prior calculated spot rates are used to calculate later spot rates in successive steps.

Two 6% coupon bonds with no credit-default risk and a nominal par value of $100 have the following clean market prices (no accrued interest) and times left to maturity. Note that the annualized yield is divided by 2 because each term only covers ½ year:

  • 6-month bond: $99
  • 1-year bond: $98
  • y = annualized yield to maturity
  1. Determine the yield for the 6-month bond using the market price of $99. At the end of 6 months it will pay a coupon of $3 plus the principal repayment, for a total of $103:
    1. 99 = 103/(1+y/2)
    2. 99 × (1+y/2) = 103
    3. 1+y/2 = 103/99 = 1.0404
    4. y/2 = 1.0404 – 1 = .0404
    5. y = .0404 × 2 = .0808 = 8.08%
  2. Determine the 2nd-term yield for the 1-year bond by using the market price of $98 for the bond and the yield for the 1st term calculated in step 1:
    1. Present Value of First Coupon Payment + Present Value of Final Payment = 98
    2. 3/1.0404 + 103/(1 + y/2)2 = 2.88 + 103/(1 + y/2)2 = 98
    3. 103/(1 + y/2)2 = 98 – 2.88 = 95.12
    4. 103 = 95.12 × (1 + y/2)2
    5. (1 + y/2)2 = 103/95.12 = 1.082883
    6. Present Value of Final Bond Payment = 103/1.082883 = 95.12
    7. Market Price of Bond = $2.88 + $95.12 = $98

So, according to these market prices, the spot rate for the current 6-month term annualized is 8.0808% and the forward rate for the 2nd 6-month term annualized is 8.2883%.

Conclusion

The bootstrapping technique is simple, but finding the real yield curve and smoothing it out requires more complicated mathematics, because bond prices are not only affected by interest rates but also by other factors, such as credit risk, taxes, liquidity, and the simple variance in supply and demand for each maturity. More sophisticated mathematical techniques are used to determine more realistic rates, but these are beyond the scope of this article. Nonetheless, bootstrapping does illustrate how forward rates can be calculated from current bond prices, which can then be pieced together to fill in the gaps in the spot-rate curve.

Источник: https://thismatter.com/money/bonds/spot-rates-forward-rates-bootstrapping.htm

Spot Rates & Forward Rates: How They Work & How to Use Them

spot rate

The purpose of investing is a way to generate value over a certain period of time. People invest for many different reasons: to support children in the future, to ensure a peaceful retirement or simply to do some saving. In order to properly invest in a way that generates value, you will need to understand how rates work.

What is a Spot Rate?

The spot rate is crucial to understand if you want to start trading forex, or in the foreign exchange market. The spot rate is the rate of a financial instrument at this current moment.

 This is why it’s called a spot rate – because it concerns the price at its current spot (place).

The spot rate concerns the price of financial security in the moment of a contract settlement, but a contract is not necessary to settle the spot.

Example

You are at the airport to fly from New York to London. You go to a currency exchange desk to exchange your U.S. dollars into British pounds. You see two exchange rates:

  • We buy GBP at $1.2650
  • We sell GBP at $1.2750

The spot rate of the GBP/USD forex pair will be somewhere in the middle, probably around $1.2700. The exchange desk buys and sells at different prices because they profit from the difference, or the spread.

How Do Spot Rates Work?

If two parties settle a contract financial security, they enter it at a particular rate. This rate can be anything as long as the two parties agree. At the same time, they can settle the contract the spot rate of the security – the current exchange rate. If they settle the contract the spot rate, this means that the current (today’s) exchange rate will apply at the date of the trade.

What is a Spot Contract?

A spot contract is a bonding of buying or selling a financial asset. The contract is for an immediate settlement on the spot date – usually two days after the date of the trade. The spot contract exchanges the asset on its spot rate.

What is a Spot Trade?

A spot trade is an exchange of financial assets via a spot contract on the spot rate.

What is a Future Spot Rate?

The future spot rate is the rate of a financial asset in the future. For example, the two-month future spot rate of the EUR/USD is unknown now but it will be available in two months and will generally be the price of the EUR/USD after two months.

Investors will use the future spot rate of a financial asset to enter an agreement now. For example, you agree with a second party that in two months you will exchange euros for dollars on the two-month future spot rate of the EUR/USD. This will bond you now to conduct that transaction in two months on the spot rate, no matter what the price is.

What is a Forward Rate?

The forward rate is a preliminary negotiated rate between two parties which will apply in the future.

This means that you agree nowto exchange on a specific rate in the future and the parties negotiate on the rate now.

The forward rate in a settled contract will apply no matter what the actual exchange rate is at the time of the forward rate implementation.

What are Forward Contracts and Forward Trade?

A forward contract is an agreement the forward rate of a financial asset and a forward trade is a settlement between two parties for the exchange of financial assets through a forward contract and a forward rate.

Why Do People Use Forward Rates and Contracts?

The most common purpose of forward contracts is to hedge exchange rate risk. It is very useful to protect your future cash flows from currency exposure. This cash flow can come from deals where payments come in the future. Another source of future cash flow could be regular payments that you get from a trust fund or an inheritance.

Where to Find Spot Rates

Spot rates are hard to find. Even if you find a spot rate, you’re ly to pay a commission for the service you want to get. If not a commission, there will ly be a spread. You might find somebody who exclusively agrees to exchange at the spot rate for you but nobody exchanges financial assets for free.

The best forex brokers trade very close to the spot rate of financial assets. The reason for this is that brokers accumulate very high exchange volumes so they can afford to keep your costs down as much as possible. Also, the smaller the amount you want to exchange, the further the exchange rate will be from the spot rate. Take a look at our favorites below.

Where to Find Forward Rates

You can get forward rates of financial assets via many financial entities. These can be banks, investment firms or some of the best discount brokers.

A comprehensive team of financial analysts stays behind the calculation of the forward rates in the financial institutions.

They take into consideration the interest rate differentials in the countries, the inflation, the SWAP points and other financial indicators.

You can always bargain and negotiate a better forward rate. The bigger the amount you exchange, the better forward rate you can get.

Best Online Forex Brokers

Take a look at the best online forex brokers to get started with trading or investing in forex.

Final Thoughts on Spot Rates

Spot rates, future spot rates and forward rates are an advanced way to interpret the exchange rate of a financial asset and they are constantly used in the daily operations of investors.

As you saw, spot rates are very easy to understand, but people constantly confuse future spot and forward rate. Just remember that the future spot rate is unknown now, while the forward rate is available in the respective financial institution.

Forward rates are one of the easy ways to hedge exchange rate risk, as its rules are straightforward. Forward contracts are constantly used in international trading to exchange goods and services for different currencies.

International businesses are not interested in profiting from the exchange rate, but to lock in guaranteed future cash flow for future needs. In such cases, forward contracts are a great tool to keep your capital protected.

Источник: https://www.benzinga.com/money/what-is-a-spot-rate/

Using Spot Rates & Forward Rates In Your CFA Exam

spot rate

CFA Exam: Level 1 / Fixed Income / Spot Rates & Forward Rates

4 Methods of Bond Valuation

Level 1 CFA Exam: Spot Rate vs Forward Rate

Spot rate is the yield-to-maturity on a zero-coupon bond, whereas forward rate is the interest rate expected in the future. Bond price can be calculated using either spot rates or forward rates.

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Definitions

Spot rate (z) is defined as yield-to-maturity on a zero-coupon bond.

If we know more than one spot rate, we can plot a spot curve. The spot curve is a set of yields-to-maturity on zero-coupon bonds with different maturities.

Spot markets are markets for immediate delivery and forward markets are markets for future delivery.

As far as spot markets are concerned, we talk about spot rates. For forward markets, we have forward rates (f). Quite obviously, the former are interest rates on financial instruments traded in spot markets, while the latter are interest rates on financial instruments traded in forward markets.

The forward curve presents different forward rates for different maturities.

How to Compute a Bond Price using Spot Rates?

Valuation of a 4-year bond using spot rates:

Where:

  • P – bond’s value,
  • C – coupon payment,
  • FV – par value,
  • \(z_1\), \(z_2\), \(z_3\), \(z_4\) – spot rates.

Please note that each cash flow is discounted using a different spot rate:

Question 1: Using Spot Rates to Compute Bond Price

Question 1:

The table below presents different spot rates:

YearSpot rate
12.2%
22.5%
33.0%
43.2%

The value of a four-year coupon bond with an annual coupon of USD 4 and the par value equal to USD 100 is closest to:

  1. USD 98.
  2. USD 102.
  3. USD 103.

Answer: C

\(P=\frac{4}{1.022}+\frac{4}{(1.025)2}+\frac{4}{(1.03)3}+\frac{104}{(1.032)4}\)

\(P=3.9139+3.8073+3.6606+91.6884=103.0702\)

Please note that we discounted each coupon (or coupon + par value in the case of Year 4) by a different spot rate from the table.

Note: In the exam, pay attention to answers! For example, in this question answer A is impossible. That’s because, the data given, we would expect the bond to be selling at a premium owing to the fact that all spot rates are lower than the coupon rate. Thus, the value of the bond should be higher than its par value.

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How to Compute a Bond Price using Forward Rates?

Valuation of a 3-year bond using forward rates:

Where:

  • P – bond’s value,
  • C – coupon payment,
  • FV – par value,
  • \(f_{0,1}\), \(f_{1,2}\), \(f_{2,3}\) – forward rates.

Please note that above we used 1-year forward rates to find the bond price. However, we can also use longer forward rates, e.g. 2-year forward rates.

Pay also attention to forward rates notation:

\(f_{n,n+k}\) means an implied k-year forward yield n years into the future (n-year into k-year rate; nyky; n’s, k’s), e.g.

\(f_{2,5}\) is an implied 3-year forward yield 2 years into the future (2-year into 3-year rate; 2y3y; 2’s, 3’s)

Implied Forward Rate vs Implied Spot Rate

If we know two different spot rates, we are able to compute the implied forward rate:

\((1+z_n)n\times(1+f_{n,n+k})k=(1+z_{n+k}){n+k}\)

for example:

\((1+z_3)3\times(1+f_{3,5})2=(1+z_5)5\)

Where:

  • \(z_n\) is the yield-to-maturity on a zero-coupon bond maturing in n years,
  • \(z_{n+k}\) is the yield-to-maturity on a bond maturing in (n+k) years,
  • \(f_{n,n+k}\) stands for implied k-year forward yield n years into the future.

Of course, we can rearrange the formulas and make the implied forward rate the subject of the formula. In the case of interest rates stated on an annual basis, the implied forward rate equals:

\(f_{n,n+k}=[\frac{(1+z_{n+k}){n+k}}{(1+z_n)n}]{\frac{1}{k}}-1\)

If we know different forward rates we can compute the implied spot rate, e.g. if we know the \(f_{0,1}\) and \(f_{1,2}\), we can compute the implied \(z_2\):

\((1+f_{0,1})\times{(1+f_{1,2})}=(1+z_2)2\)

\(z_2=[(1+f_{0,1})\times{(1+f_{1,2})}]{0.5}-1\)

Question 2: Implied Forward Rate

Question 2:

In a table below, spot rates for different years are given:

YearSpot rate
12.2%
22.5%
33.0%
43.2%

If we want to compute the implied 2-year into 1-year rate, we should most ly use the following spot rates:

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Level 1 CFA exam Takeaways for Spot Rates and Forward Rates

  1. The spot rate is the yield-to-maturity on a zero-coupon bond, whereas the forward rate is the rate on a financial instrument traded on the forward market. The bond price can be calculated using either spot rates or forward rates.
  2. We can calculate the implied forward rate from spot rates and vice versa: we can calculate the implied spot rate from forward rates.
  3. The implied forward rate can be perceived as the breakeven reinvestment rate.
  4. Forward rates help us exploit arbitrage opportunities if such opportunities arise.
  5. Yield curve is a set of yields-to-maturity on coupon bonds with similar credit ratings and different maturities.
  6. Spot curve is a set of yields-to-maturity on zero-coupon bonds (spot rates) with similar credit ratings and different maturities.
  7. Forward curve is a set of forward rates for equal periods at different points in time.
  8. Par curve is a set of yields-to-maturity on coupon bonds priced at par with similar credit ratings and different maturities.
  9. If consecutive spot rates are higher and higher, then the forward curve is above the spot curve.
  10. If the spot curve is downward sloping, then the forward curve is below the spot curve.

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Источник: https://soleadea.org/cfa-level-1/spot-rates-and-forward-rates

Spot Rate (Definition, Meaning) | Step by Step Guide with Examples

spot rate

“Spot Rate” is the cash rate at which immediate transaction and/or settlement takes place between the buyer and seller parties. This rate can be considered for any and all types of products prevalent in the market ranging from consumer products to real estate to capital markets. It gives the immediate value of the product being transacted.

Spot Rate Examples

Let’s see some simple to advanced examples to understand it better.

Example #1

Joe goes to the market to purchase 10gm of 24k bullion gold. The seller bids the same at $450.00. This rate is the spot rate. If Joe buys the bullion at this rate, the transaction gets settled.

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We can also say that this rate is the real market rate, which shows the actual market movement.

Example #2

In the above example, considers that the seller offers Joe with a deal. His view is that the market will be bullish in the future, and gold rates will rise. He suggests Joe book the bullion today at $455.00 and collect the same after one month. Rates after one month would be around $475.00.

This type of agreement is a forward contract whereby the buyer can book the product at a rate which is a little higher than the spot rate (including the seller’s premium), also called the forward rate, and take the delivery later, thus making profits from the then spot rate.

Example #3

It can be measured for Currency exchanges as well. Below is a table that demonstrates conversion rates of various currencies against USD.

Spot Rates as on Closing of 18th April 2019

Source: www.yahoofinance.com

The above table reflects the rate to be paid by each other currency to purchase U.S. Dollars. These are called spot rates because at that specific instance, or at that spot, this is the exchange rate. It may vary at different timings of the day and on other days as well. Actually, it continuously changes in bps at every second.

Advantages

  • The parties are confirmed with the rate and value of the product for which the transaction is to be made.
  • Spot rate gives the actual movement of markets.
  • There is no speculation involved in the calculation of this rate.
  • There is no effect from market dynamics volatility, time value, interest rate changes, etc. since buyers and sellers both are sure about the current scenario in the market with no reason for any doubts of future market movement.
  • The study of spot rates for a particular period may help in market price trend analysis for the particular product.

Disadvantages

  • Spot rate may prove to bring lesser profit to a buyer of the product in case of bearish markets. The current spot rate may be higher due to which the buyer pays more today than tomorrow.
  • Financing requires other products as well, which deal with future rates and speculation.
  • Spot rate brings exchange risks to individual, corporate and other finances, since the current rate may not be equivalent to the rate at the time of settlement.
  • Floating rates may create a difference in the actual calculation as they fluctuate and may be different at the time of settlement.
  • It also depends upon market situations, which include political scenarios, war conditions, an act of God situations, and other environmental activities. Although this may not be directly related to product performance, it actually affects its price in the market. However, in such scenarios, almost the entire market gets affected.

Limitations

  • It can be beneficial at a particular instance, but it lacks the ability to forecast futuristic rates and movement of the market.
  • It depends upon the demand for that particular product in the market. The higher the demand -the higher is the price. However, if demands vary in the future, price changes, hence, for a buyer who has a bullish view may face losses spot rate purchases. This can, however, be hedged by any derivative product which has a future rate of interest as one of its components.
  • It is very dynamic. For liquid products in the market, it changes every second (sometimes even millisecond). Hence, the buyer has to be extremely focused on the purchase and settlement of its desired deal, as small changes in basis points can also have big impacts on some deals depending upon other factors.
  • It is the basic rate. Investors can deal with spot rate contracts that are a specific rate and give a conservative income upon a sale. This limitation can be overcome by investing in more dynamic products that deal with futuristic rates.

Important Points to Note About Change in Spot Rate

  • An increase in spot rate reflects the acceptance of the product in markets and vice-versa.
  • The volatile spot rate signifies the instability of the performance of the product in the market. It increases the overall risk of the portfolio and may also affect the performance of other assets in the portfolio.
  • Increases in the spot rate denote a bullish market, and vice-versa. However, it is important to understand the dynamics of such securities prevalent in that instance.
  • Delta, which is the first-order derivative, depends upon changes in the price of the product and is one of the key indicators of market movement for most of the securities.

This has been a guide to what is Spot Rate and its definition. Here we discuss top examples of spot rate along with its advantages & disadvantages and limitations. You may learn more about Derivatives from the following articles –

Источник: https://www.wallstreetmojo.com/spot-rate/

Спотовая цена — что это? Объясняю на морковках

spot rate

Здравствуйте, уважаемый читатель!

Мы покупаем акции на бирже по спотовой цене или это рынок производных? Многие слышали эти понятия. Спот, что такое спотовая цена — это тема нашего разговора. Особенности, механизм действия, отличия от других рынков рассмотрю далее.

Виды рынков

Основные типы — рынок форвардных (срочных) контрактов и спотовый (spot market) по цене спроса/предложения на месте. Ниже основные определения.

Срочный

Здесь осуществляется торговля деривативами, производными инструментами. Класс финансовых инструментов, предусматривающих поставку базового актива в будущем. Самые ликвидные и распространенные — фьючерсы, опционы.

Базовым активом выступают ценные бумаги, товарные группы, металлы, нефтепродукты, валюта, индексы. Контракты имеют конечный срок исполнения. Отсюда название.

На Московской бирже секция срочных инструментов называется FORTS (ФОРТС). История создания начинается на Санкт-Петербургской бирже, далее вошла в РТС, после объединения с ММВБ — подразделение Московской биржи.

Сведения по инструментам и результатам торгов на странице сайта.

Спотовый

Договор сторон на куплю/продажу в обычном понимании — спотовый рынок. Стороны договариваются о цене, заключают сделку по оговоренной цене. Покупатель платит, продавец поставляет товар.

Расчет наличными деньгами. У продавца в наличии должен быть товар, у покупателя — деньги. Это обязательные условия спотового режима. Покупка продуктов в магазине с немедленной оплатой на кассе и купля акций на бирже по цене спроса/предложения — спотовые сделки.

Сходства и различия между спот-рынком и срочным рынком

Основные:

  1. Спотовый режим предусматривает обязательное наличие товара у покупателя, всей суммы контракта у продавца. Форвардные контракты не имеют обязательного требования поставки базового актива после экспирации. Поставочные фьючерсы предусматривают отгрузку товара после завершения срока контракта, фьючерсы без поставки (т.н. «выход в деньги») — расчет между сторонами только в денежной форме.
  2. Производные инструменты не дают таких прав собственника, как на базовый актив спотового рынка. В первую очередь это касается акций. Форвардные контракты на, к примеру, акции Лукойла или Газпрома не дают право держателю на дивиденды или участие в управлении компанией, права голоса. Справедливо для любых фьючерсов и опционов на ценные бумаги во всем мире. Деривативы — виртуальный финансовый инструмент. Без учета поставочных фьючерсов основное назначение производных — инструменты спекуляции и хеджирования.
  3. Базовое понятие спотового режима — немедленный расчет после сделки. Стороны заключают договор по рыночной цене, сразу следует расчет со стороны покупателя. И поставка товара продавцом на условиях контракта. По своей природе производный инструмент не требует немедленного расчета. Окончательный расчет между сторонами в будущем при экспирации. Для его открытия достаточно внести гарантийное обеспечение. Размер определен правилами биржи и брокера.

Что такое спот-сделка

Спотовая сделка происходит по согласованной цене со стороны покупателя и продавца на товар. Расчеты сразу, поставка реального товара. Говоря проще, у покупателя должна быть сумма для оплаты всего объема договора, у продавца — товар в наличии. Допускаются расчеты днем или на два позже. Об этом ниже.

Типы сделок

Определение спотовой сделки допускает расчеты между сторонами не только в день покупки.

Типы по дате взаиморасчетов:

  1. TOD или Т+0 (применяется на Московской бирже). Текущий день до момента перехода времени через 00:00 ч. От слова (англ.) today.
  2. TOM или Т+1. На следующий день.
  3. SPT или Т+2. Расчеты через два дня. Основной вид на Московской бирже с 2013 года. Средства покупателя депонируются под сделку, окончательное списание с торгового депозита через два дня. В понедельник прошла сделка, окончательный расчет — в среду. Считаются только рабочие торговые дни. Это необходимо учитывать при покупке акций под выплату дивидендов. Бумаги должны быть куплены не менее чем за 2 дня до момента отсечки. С учетом возможных накладок в депозитарии лучше это сделать за 3–4 дня. Дата отсечки реестра известна заранее.

Где применяются

Основные направления:

  • спотовая торговля, в том числе биржевая реальными активами;
  • на валютном рынке.

Примеры работы сделками спот

Таблица результатов торгов на спотовом рынке Московской биржи — фондовая секция. Цены, объем, инструмент.

Кликнув на тиккер, попадаем на подробности торговли с выбором рабочего таймфрейма.

Особенности торговли на спот-рынке

Рассмотрим некоторые особенности спотового режима торгов.

Как проходит сделка

Этапы:

  1. Трейдер выставляет заявку на покупку или продажу. Определяет объем в лотах в соответствии со спецификацией торгуемого инструмента. Цена заявки может быть разной в зависимости от типа торгового приказа — по рыночной цене, при выполнении определенных условий (стоп-приказ, тейк-профит, айсберг-заявка). Приказ может быть транслирован вручную или через специальную программу для торговли — заявки генерируются роботом по заложенному алгоритму.
  2. По цене спрос/предложение заключается сделка. Со счета продавца списывается актив. Со счета покупателя депонируются (бронируются) деньги на весь объем. В обычном режиме торгов Т+2 окончательный расчет происходит через 2 рабочих дня.
  3. Если предметом договора выступали акции, право владения переписывается на нового владельца электронным путем в депозитарии.

Правила торгов на спотовым рынке золота

Контракты на спотовое золото описаны в спецификациях. Пример — GOLD на LME. 100 тройских унций.

Минимальный объем на LME — 1000 тройских унций. Расчет в долларах США. Физические параметры слитков определяет стандарт LGD (London Good Delivery). К основным требованиям относят вес (350-450 унций), чистоту металла (995 и выше), форму слитка, допустимые размеры вогнутости, маркировку.

Плюсы и минусы спот-сделок

К достоинствам отнесу:

  • высокий уровень защищенности инвестора на уровне законодательства;
  • прозрачную схему заключения сделок. В отличие от Форекса, все приказы выводятся на реальный рынок;
  • высокую ликвидность по очень многим инструментам. Если в России это несколько десятков инструментов, на американском рынке — сотни;
  • возможность долгосрочного инвестирования;
  • зарабатывать можно как на росте цены, так и на падении (длинная, короткая позиции);
  • возможность покупки реальных активов — ценные бумаги мировых компаний, драгоценные металлы.

Минус — на спотовой торговле можно как заработать, так и получить убыток. Это бизнес со своей спецификой.

Спот и Форекс: что общего

Основное:

  1. Купля/продажа через автоматизированные системы. Используются торговые программы с использованием цены ленты котировок — биржевой стакан.
  2. Цена сделки рыночная. Определяется автоматически как результат заявок на покупку и продажу.
  3. Использование заемных средств. Определения разные, суть одна — брокер/биржа предоставляют возможность заключения сделки на больший объем денежных средств, имеющихся у трейдера.

Отличия от свопа

Природа свопа — процентная ставка центральных банков. К ней привязка и начисление % при переходе через 17:00 Нью-Йоркского времени. Спотовая торговля — заключение сделок по рыночной цене с немедленной поставкой и оплатой. Формирование цены рыночное. Процентная ставка здесь играет далеко не первую роль.

Спотовая цена на рынке: что это такое

Если мы рассматриваем спотовую торговлю на бирже — все происходит в автоматизированном режиме. Клиенты через брокеров и сами брокеры формируют заявки на покупку и продажу, которые транслируются в торговый терминал. Формируется стакан котировок — цены заявок и объем.

В каждой строке совмещенный объем от разных клиентов. Режим безадресных торгов. Продажа и покупка происходит в автоматическом режиме по цене совмещения заявок сторон.

Это спотовые цены.

Спотовая цена и цена на срочном рынке: в чем разница

Рассмотрим на примере одного инструмента — акций Сбербанка на Московской бирже. Это спотовый режим. И фьючерса на него. Цена акций по закрытию на 13.11.2019 г. составила 237,21 руб. Цена ближнего фьючерса на акции Сбербанка SBRF 12.19 — 23 984 руб.

В соответствии со спецификацией фьючерсного контракта Сбербанка цена определяется как стоимость 100 акций. Если мы умножим цену акций на 100, получим 23 721. Торгуемая стоимость другая. Разница называется контанго. Она положительная относительно базового актива. Если стоимость фьючерса меньше базового актива — бэквордация.

Спотовая цена и стоимость деривативов определяется спросом/предложением и работой маркет-мейкеров. Можно сказать, при контанго рынок ожидает более высокой цены завтра относительно сегодня на споте. Бэквордация — наоборот. В день экспирации контанго и бэквордация исчезают. Так как они являются по факту виртуальными ожиданиями трейдеров относительно спотового базового актива.

В параметрах SBRF 12.19 указан последний день обращения 19 декабря. Дата исполнения — на следующий день. Это дата экспирации. Фьючерс поставочный. Если у трейдера открыта длинная позиция на 1 контракт, он не закроет ее до вечера 19 декабря, на следующий день ему поступит 100 обыкновенных акций Сбербанка.

Спотовый рынок золота: текущий курс и цены

Как выглядит спотовый рынок драгметаллов, включая золото?

Крупные игроки спотового золота не очень охотно делятся подробностями. В первую очередь это касается запасов реального металла на складах. Одно дело быстро купить и продать по биржевой цене фьючерс на золото, совсем другое — покупка физического слитка.

На кого ориентироваться и где купить, если вы гражданин любой страны? Попробуем разобраться.

Первый уровень — ценообразование. Тон здесь задают крупные мировые площадки спотовых контрактов с золотом:

  1. Лондонская биржа металлов (LME). Отгрузка с более чем 20 складов со всего мира. Поставочный фьючерс GOLD. Объем 100 тройских унций. Актуальные цены по последнему фиксингу цены, объемы торгов и открытому интересу на странице биржи.
  1. COMEX. Дивизион по торговле с драгоценными металлами в составе Чикагской биржи CME. Контракты на 10, 50, 100 унций.

Второй уровень — крупные спотовые игроки. Самый крупный из них — канадский брокер KITCO. На своем сайте онлайн транслирует цены и результаты торгов по активным торговым сессиям в Нью-Йорке, Лондоне, Азии.

Третий уровень — оформление крупных спотовых контрактов. Гарантия поставки и качества золота. В большинстве случаев происходит через LondonPreciousMetalsClearingLimited. Клиринг спота. 5 участников, крупные мировые банки: HSBC, ICBC Standard Bank, JP Morgan, Scotiabank, UBS.

Четвертый уровень — компании-брокеры, на которых можно купить спотовый металл даже немного дешевле, чем по цене фиксинга Лондона или NY. С поставкой золота со своего склада. Таким является британская BullionVault.

Частный инвестор или государство в качестве клиента — не имеет значения. Отгрузка купленного металла может быть осуществлена в течение 2-х часов со своих хранилищ компании в Цюрихе, Лондоне, Торонто, Сингапуре, Нью-Йорке. 75 000 клиентов в 175 странах мира, запасы складов порядка 4000 тонн. Это больше запасов в Германии, Италии или Франции.

Заключение

Я рассмотрел спотовый режим торговли, механизм формирования спотовых цен. Это рынок реального товара. В качестве примера привел цепочку от заключения договора до отгрузки на спотовом рынке золота.

Источник: https://greedisgood.one/spotovaya-tsena

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