Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Onshore market, offshore market » ?

Aussi appelé : onshore market · offshore market

Definition 18.2 Markets II: Rates, FX and Credit · Chapitre 18 — Emerging-Market FX and NDFs

The onshore market of a currency is the market in its own country, under its regulators and controls; the offshore market is the market outside it, among non-residents, where the currency trades on different terms or only in cash-settled form.

One currency, three markets. The onshore renminbi trades within a band around the daily central parity; the offshore renminbi is deliverable outside mainland China at its own prices; NDFs settle in dollars against the onshore fixing. Money moves between the first two only through controlled channels, so their prices can differ. Schematic.
Figure 18.1. One currency, three markets. The onshore renminbi trades within a band around the daily central parity; the offshore renminbi is deliverable outside mainland China at its own prices; NDFs settle in dollars against the onshore fixing. Money moves between the first two only through controlled channels, so their prices can differ. Schematic.

Exemples

Example 18.3 (Two forward curves for one currency)

Suppose onshore USDCNY trades at 7.1000 spot and 7.0400 three months forward, and offshore USDCNH at 7.1200 and 7.0700, with a dollar rate of 3.68%. The onshore forward implies a renminbi rate of 0.31% for 91 days, the offshore one 0.89%: a basis of 0.58 percentage points, the price of moving renminbi across the line. The onshore band that day would run from 6.9580 to 7.2420.

Lire dans le chapitre →