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3. () (2) (3) (4) S F i H i F (5) (6) 20 25 3.2 3.2. 66

3.2.2 998 4 43 B I S 999 3-998 6370 32. % 350 490 998 820 5400 580 5 000 4 000 000 998 290 999 4 9 588 998 New York Stock Exchange Factbook ( 9 9 9 ). 67

0 000 35 998 350 000 0 ~ 2 3-9 8 9 4 9 9 2 4 9 9 5 4 9 9 8 4 8 4 ( 2 5. 6 ) 2 9 0 ( 2 7. 0 ) 4 6 4 ( 2 9. 5 ) 6 3 7 ( 3 2 ) 5 ( 6. 0 ) 6 7 ( 5. 5 ) 2 4 4 ( 5. 5 ) 3 5 ( 8 ) ( 5. 5 ) 2 0 (. 2 ) 6 ( 0. 2 ) 4 9 ( 8 ) 5 5 ( 7. 7 ) 7 4 ( 6. 9 ) 0 5 ( 6. 7 ) 3 9 ( 7 ) ( n a ) 5 5 ( 5. ) 7 6 ( 4. 8 ) 9 4 ( 5 ) 5 6 ( 7. 8 ) 6 6 ( 6. ) 8 6 ( 5. 5 ) 8 2 ( 4 ) 4 9 ( 6. 8 ) 6 0 ( 5. 6 ) 9 0 ( 5. 7 ) 7 9 ( 4 ) 2 3 ( 3. 2 ) 3 3 ( 3. ) 5 8 ( 3. 7 ) 7 2 ( 4 ) 2 9 ( 4. 0 ) 2 9 ( 2. 7 ) 4 0 ( 2. 5 ) 4 7 ( 2 ) 9 6 ( 3. 4 ) 8 2 ( 6. 9 ) 2 4 8 ( 5. 8 ) 3 3 2 ( 6 ) 7 8 ( 0 0 ) 0 7 6 ( 0 0 ) 5 7 2 ( 0 0 ) 9 8 2 ( 0 0 ) 84 2 9 4 35 5 40 5 3 4 7 8 5 3 7 4 4 2 5 6 3 5 5 3 5 8 5 9 0 8 2 0 9 0 5 0 0 30 60 72 29 6 2 0 8 8 0 2 6 2 6 3 4. 2. 989 2 992 995 26 998 43 3. Bank for International Settlements, Central Bank Survey of Foreign Exchange and Derivatives Market Activity, May 996 ( Table F-2 and Table 2-A) and May 999 report (Table B-2). 3.2.3 3-2 20 3-2 999 987 2 J P 3 0 999 987 20 2 90 J P 98. 06 984 3 000 998 70 5 976 ~ 99 68

98 ~ 986 987 988 70 % 3-2 997 7 999 9 998 3-2 9 7 7 9 8 7 9 9 7 9 9 8 9 9 9 N A N A 0 9 2 6 3 7 5 5 3 8 5 7 9 0 9 3 6 8 0 7 6 8 4 5 3 4 8 6 6 2 8 5 6 9 N A N A 699 97 897 N A N A 0 4 0 6 3 6 8 0 7 6 8 8 6 5 7 3 J P 40 25 493 78 777 5 3 9 9 8 2 0 4 2 2 5 9 7 7 2 0 9. 2. J P 3. 977 987 4. 977 980 978 5. 6. NA Company annual reports. 3-2 3.2.4 3-2 Albéric Braas Charles Bralver 990 69

5 000 3 900 000 0 % 0. 0002 2 78 7 3-987 990 3 5 2-4 3- Federal Reserve Bank of New York, Q u a rterly Review, various issues and the Quarterly Report of Treasury and Federal Reserve Foreign Exchange Operations, Federal Reserve Bulletin, various issues. outstanding position 984 20 80 Carter bonds 3-982 70

3-9 8 7 9 7 8 00 96 0 978 2 6 5. 95 % 6. 2 % 9. 3 978 2 0. 55 98 982 0. 40 ~ 0. 45 979 2 2. 35 % 2. 65 % 9. 50 % 0. 60 98 7 983 0. 45 ~ 0. 50 Federal Reserve Bank of Chicago, International Letter, No.385 and No.387, Dec.22, 978, and Jan. 9, 979. 9 7 ~ 9 8 4 982 20 70 6 6 984 985 98 986 987 988 989 990 99 87 998 6 3. 5 999 2 3 320 995 973 993 7

3. 2 2 20 90 992 7 3.3 3.3. 2 3 6 2 n n 37 8 2 3-3 989 4 992 4 995 4 998 4 7 8 0 0 0 7 6 0 0 5 7 2 0 0 4 4 0 0 4 2 7 6 9. 5 5 4 5 0. 7 6 8 0 4 3. 3 5 7 7 4 0. 0 2 2 3. 6 7 0 6. 6 5 7. 3 3 0 9. 0 6 5 2 6. 9 4 5 7 4 2. 8 7 7 7 4 9. 4 7 3 4 5. 0 t 7 N A 2 9 4 6 4. 3 5 5 2 7 5 2 9 7 2 7 t N A 58 3 4. 5 28 2 8 92 2 6 t N A 5. 5. 2 8 0 9 9 8 Bank for International Settlements, Central Bank Survey of Foreign Exchange and Derivatives Market Activity, May 996 ( Tables 2-A, 2-B, 2-C, and 2-D); Bank for International Settlements, Central Bank Survey of Foreign Exchange Activity, March 993 (Table 5-A), and Bank for International Settlements, Central Bank Survey of Foreign Exchange and Derivatives Market Activity, May 999 (Table E-). 3-3 989 998 40 % 3-3 998 9 % 992 2 7 2 2 9 2 2 9 3 2 2 8 2 72

3.3.2 3-3 989 26. 9 % 998 5 % 72 % 3.3.3 2 0. 66 0. 67 3 2 K o h l h a g e n 979 73

3 - $ 0. 70 / C $ C $ 2. 30 / $. 6 3 - S U S $ / S U S $ / C $ S C $ / 3-2 S U S $ / S U S $ / C $ S C $ / 3-3 2 vehicle currency 3-4 998 87 % 989 90 % 00 % 998 3 % 3 % US$ US$ C$ = 3 - C$ 3-4 998 5 2 % 999 3 - a C$ C$ US$ = 3 - a US$ 3 - b C$ C$ = 3 - b 74

3-4 9 8 9 4 9 9 2 4 9 9 5 4 9 9 8 4 9 0 8 2 8 3 8 7 2 7 4 0 3 7 3 0 2 7 2 3 2 4 2 5 4 0 0 9 7 7 2 4 8 5 3 3 4 2 2 3 3 4 2 5 7 9 0 5 2 0 0 2 0 0 2 0 0 2 0 0 2 0 0 % Bank for International Settlements, Central Bank Survey of Foreign Exchange and Derivatives Market Activity, May 996 ( Table F-3); and Bank for International Settlements, Central Bank Survey of Foreign Exchange and Derivatives Market A c t i v i t y, May 999 (Table E-). covered interest arbitrage 5 3.3.4 t S t $ / F C t n F t, n $ / F C 3-2 7 3-2 D A D F t, 6 6 6 A B i $, 6 B C S t 6 C D i, 6 7 / + i, 6 / 2 7 D A 75

S + i $, 6 / 2 F t, 6 =S t ( + i $, 6 / 2 ) ( +i, 6 / 2 ) 3-4 3-4 7 i$ i$ i i 3-2 A D A B B C C D A B C D 3-3 998 5 % 9% 3-4 3-4 3-4 ( + i, 6 / 2 ) ( + i $, 6 / 2 ) =F t, 6 3-5 ( + i $, 6 / 2 ) ( + i, 6 / 2 ) =S t 3-6 76 F t, 6 S t

3-4 3-4 3-4 3-4 n $. 05 / 6 % 4. 5 % 2 F t, F t, (+ i $, ) =S t 3-7 (+ i ), (+ 0.06) = $.05 = $.276 (+ 0.045) 5 5 20 80 3-2 3-2 0949 CITIBANK N.Y. LONG DATED F.X.22 207-342 TX 6684 CILD 2 3 4 5 0 2 5 / 2 0 0 2 0 0 / 2 5 0 0 / + 0 0 5 0 / + 3 0 0 5 0 / + 3 5 0 2 0 / + 0 3 0 0 / 2 5 0 2 9 0 0 / 2 6 0 0 4 6 0 0 / 4 0 0 5 9 5 0 / 5 5 5 0 7 5 0 / 6 5 5 0 2 5 0 / 2 3 0 2 7 0 0 / 2 5 0 0 4 2 0 0 / 3 9 0 0 5 3 0 0 / 4 9 0 0 6 4 0 0 / 5 9 0 0 0 2 / 9 0 0 4 0 / 0 0 2 2 5 0 / 2 0 5 0 3 3 0 0 / 3 0 0 0 4 4 0 0 / 4 0 0 0 5 4 0 0 / 5 0 0 0 0 / 8 9 2 2 5 / 3 7 5 8 0 0 / 2 4 0 0 2 2 0 0 / 3 5 0 0 2 6 0 0 / 4 6 0 0 3 0 0 0 / 5 0 0 0 2 0 / 0 9 0 2 4 0 0 / 2 2 0 0 3 6 0 0 / 3 2 0 0 4 7 0 0 / 4 2 0 0 5 8 0 0 / 5 2 0 0 B F C 6 6 / 7 6 2 0 / 0 2 0 / 3 0 6 0 / + 5 0 2 2 0 / + 7 0 4 9 / 5 9 0 / 8 0 5 0 / + 9 0 0 0 / + 0 7 0 / + 0 2 0 / 2 4 0 2 2 5 / 2 7 5 2 2 5 / 3 0 0 2 2 5 / 3 0 0 2 2 5 / 3 0 0 5 0 / 4 5 0 2 2 2 S2-K2-2 26 20 80 988 2 0 3 983 77

5 D M /$ 3. 3 4 0 0 / 3. 3 4 2 0 3. 3 4 0 0 / 3. 3 4 2 0 0. 2 5 0 / 0. 2 3 0 0. 6 4 0 0 / 0. 5 9 0 0 3. 2 5 0 / 3. 2 9 0 2. 7 0 0 0 / 2. 7 5 2 0 / ~ 0. 2 % ~. 9 3 % (F S) /S ~ 3. 68 % ~ 8. 38 % ( 3. 43 %/ ) 5 F F R / $ 0. 4000 / 0. 4020 0. 4000 / 0. 4020 0. 2 2 5 / 0. 3 7 5 0. 3 0 0 0 / 0. 5 0 0 0 0. 5 2 2 5 / 0. 5 3 5 9 0. 7 0 0 0 / 0. 9 0 2 0 / ~ 0. 6 % ~. 8 9 % (F S) /S ~. 26 % ~ 3. 86 % ( 0. 76 %/ ) 3-7 98 square book 0 C o u n t i b a n k A B 3-3 C o u n t i b a n k C o u n t i b a n 2 000 000 A C o u n t i b a n k A C o u n t i b a n k C o u n t i b a n k A C o u n t i b a n k A C o u n t i b a n k C o u n t i b a n k A C o u n t i b a n k C o u n t i b a n k A C o u n t i b a n k 89 500 000 A C o u n t i b a n k 00 % C o u n t i b a n k A B C o u n t i b a n k 6 7 C o u n t i b a n k 2 000 000 2 C o u n t i b a n k 3-7 B C o u n t i b a n k B A C o u n t i b a n k 2 front-end fee 78

B B C o u n t i b a n k B A C o u n t i b a n k B 2 / 3 / 05 2 / 3 / 05 2 / 3 / 05 2 / 3 / 05 2 / 3 / 05 2 / 3 / 05 89 500 000 02 000 000 02 000 000 89 500 000 00 000 000 89 500 000 C o u n t i b a n k ( A ) ( A ) C o u n t i b a n k C o u n t i - C o u n t i b a n k b a n k 2 / 3 / 05 2 / 3 / 05 89 500 000 00 000 000 B B 3-3 2000 2 3 2005 2 2 C o u n t i b a n k $. 397 / $02 000 000/ 89 500 000 $. 73 / $00 000 000/ 89 500 000 3-5 3-2 A B D C A D C B 5. 68 % 0 % $ 0. 8679 / C $ $ 0. 8598 / C $ 5 ( ) ( +i $,3 4) = F + i t,3 $ C,3 4 0. 48 % S t 0.8598 ( + 0.0/4) = 0.8679 =.054 i $,3 = 0.066, 6.6% 3 A C o u n t i b a n k 79

3-2 D C A B D A C B 20 90 6 % $ 0. 572 $ 0. 5664 ( +i DM,3 4) = S t + i $,3 4 i DM,3 = 0.0944, ( ) F t,3 0.572 (+ 0.06/4) = 0.5664 =.0236 9.44% 3.4 3.4. 24 N Y S E C M 2 3 200 0 000 900 2 upstairs trading 44 a 0 3 Republic National Bank 994 80

2 3 4 3.4.2 3-4 9 9 2 3-4 3-4 5 3-4 976 2 7 3 4 5 8

3-4 2 0 80 2000-992 2000-2 993 M I N E X Q u o t r o n E B S MI N E X E B S 2 993 9 3 82

E B S 992 34 % 998 4 % 992 998 460 75 % 998 23. 6 % 980 50 % 995 35 998 27 % 4 % E B S 800 900 6 % 2 20 90 3 000 500 000 4 F X N E T 4 5 F X N E T 50 % 84 % 2000 - +X X / 3-3 998 9 2 9 2 E B S w w w. e b s p. c o m 3 A B 00 B A 000 A B 00 4 990 5 w w w. f x n e t. c o m 83

3-3 9 8 + 0 98 20 80 20 80 TA F E X A A A 3-4 3-4 98 6 75 980 2 2 D 3 98 7 8 99 B B B 995 9 % 996 5 60 2000 4 C u r r e n e x w w w. c u r r e n e x. c o m 84

0 0 0 20 5 3.4.3 3-5 998 82 % 8 % 0 2 3-5 998 4 % 5 7 7. 4 29.7 733.9 4 3. 9 347.7 49. 5.7 88.5 60.2 37.9 69.7 6 2. 3 53.4 22. l92.9 3 7 3. 3 94.3 27.0 38.8 5 3. 20.7 34.4 24. 279.2 20.9 26.6 6.9 9. 7 58.2 23. 48.9 30. 2 62.5.3 75.2 49. 0 09.0 46.2 98. 253.2 8.9 35.6 3.4 7. 9 73.4 34.6 62.3 70. 3 35.6.5 35.8 83. 0 285.0 84.7 304. 0 673.8 49.4 65.3 4.4 47. 7 292.3 49.9 429.9 745. 50.6 38.5 58.6 52. 7 Bank for International Settlements. Central Bank Survey of Foreign Exchange and Derivatives Market Activity, May 999 (Table E-). w w w. C F O w e b. c o m C F O w e b. c o m 2 300 2000 2 000 5 5 F X a l l J P F X a l l 2000 w w w. f x a l l. c o m 2 30 % 85

3-5 67 % 3-6 2000 5 20 2. 5 % 8 % ~ 0 % 20 55. 8 % 7 2. 3 % 998 20 40 % 5 8 % 998 3-6 2 0 2000 5 % % 2 3 4 5 6 7 8 9 0 2 3 4 5 6 7 8 9 20 2.53 2. 53 8.26 20. 80 8.07 28. 87 5.02 33. 88 4.55 38. 43 4.38 42. 82 J P 3.94 46. 76 3.27 50. 02 2.89 52. 9 2.87 55. 78 2.7 58. 50 2.07 60. 57.96 62. 53.95 64. 48.86 66. 34.72 68. 06.24 69. 30.22 70. 52.02 7. 54 0.74 72. 28 E u ro m o n e y, Deutsche Bank s Great Vi c t o r y, May 2000, p. 52. 3.5 3.5. 2 2 000 5 2 976 6 992 86

995 992 8 2 8 7 2000-2 3-7 26 6 2 0. 0003 3 0. 02 % 3-7 9 0 7 7 2 6 7 8 4 2 3 0 0 4 0 0 N A DM 0.0003 N A N A 992 8 3 992 8 7 Richard K. Ly o n s, Tests of Microstructural Hypotheses in the Foreign Exchange Market, Journal of Financial Economics 39 (995), pp. 32-5. 3-5 a 3-5 b 3-5 a 4000 3-5 b 3-5a 992 8 3 8 7 997 995 2 993 997 2 8 : 30 : 3 87

outgoing trade 5 ~ 6 999 24 3-5b / 992 8 3 8 7 Richard Ly o n s, Tests of Microstructural Hypotheses in the Foreign Exchange Market Journal of Financial Economics 3 9 (995), PP. 32-5. 3.5.2 983 88

A 996 8 6 G 60 0 A G G 9 : 00 3 : 00 00 G 3 : 00 A A 00 000 20 200 2 800 6 7 3.5.3 3 (American Depositary Receipt program) 3.6 4 990 Continuous Linked Settlement C L S C L S 5 C L S 2000 Herstatt risk 974 6 2 3 994 8 5 P. A 7 D 4 990 989 30 989 992 5 998 6 ~ 65 998 0 4 6 ~ 4 9 89

996 3.7 5 000 /. 2. 995 3. 4. 5. 6. 7. 8. 9. 90

0.. 2. 3. 4. 5. 6. 99 7. 8. 9... 40 C $ / $. 39 D M / $ a. C$/ DM b. C $ D M.05C$/ DM c. d. 2. 7 M P / $ 90 / a. M P / b. M P 0. M P / c. d. 3. 3. 55 F F r / D M. 39 D M / $ a. b. 5. 00 F F r / $ c. d. 4. 90 / $. 40 C $ / a. b. 60 / C $ c. d. 5. 3. 55 F F r / D M. 40 D M / $ a. b. 3. 65 F F r / D M 9

5. 0 5 F F r / $ 6. $ 0. 60 / D M i $, 6 6. 5 % i D M, 6 9 % a. b. $ 0. 60 / D M 7. 00 / $ i $, 6 6. 5 % i, 6 2. 5 % a. b. 95 / $ 8. 90 / $ 88 / $ 2. 5 % a. b. 0 % 9. $. 60 / $. 50 / 2 % a. b. 6 % 0. a. C P b. $ 0. 60 / D M $ 0. 58 / D M 8 %. 3 %. 40 C $ / $. 50 C $ / $ 6 % a. b. 92

93