_InterestRateSwaps(国际财务管理,英文版).pptx
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_InterestRateSwaps(国际财务管理,英文版).pptx
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,INTERNATIONALFINANCIALMANAGEMENT,EUN/RESNICK,SecondEdition,10,ChapterTen,Currency&InterestRateSwaps,ChapterObjective:
Thischapterdiscussescurrencyandinterestrateswaps,whicharerelativelynewinstrumentsforhedginglong-terminterestrateriskandforeignexchangerisk.,ChapterOutline,TypesofSwapsSizeoftheSwapMarketTheSwapBankInterestRateSwapsCurrencySwaps,1,ChapterOutline(continued),SwapMarketQuotationsVariationsofBasicCurrencyandInterestRateSwapsRisksofInterestRateandCurrencySwapsSwapMarketEfficiencyConcludingPointsAboutSwaps,2,Definitions,Inaswap,twocounterpartiesagreetoacontractualarrangementwhereintheyagreetoexchangecashflowsatperiodicintervals.Therearetwotypesofinterestrateswaps:
Singlecurrencyinterestrateswap“Plainvanilla”fixed-for-floatingswapsareoftenjustcalledinterestrateswaps.Cross-CurrencyinterestrateswapThisisoftencalledacurrencyswap;fixedforfixedratedebtserviceintwo(ormore)currencies.,3,SizeoftheSwapMarket,In1995thenotationalprincipalof:
interestrateswapswas$12,810,736,000,000.Currencyswaps$1,197,395,000,000Themostpopularcurrenciesare:
U.S.$(34%)(23%)DM(11%)FF(10%)(6%),4,TheSwapBank,Aswapbankisagenerictermtodescribeafinancialinstitutionthatfacilitatesswapsbetweencounterparties.Theswapbankcanserveaseitherabrokeroradealer.Asabroker,theswapbankmatchescounterpartiesbutdoesnotassumeanyoftherisksoftheswap.Asadealer,theswapbankstandsreadytoaccepteithersideofacurrencyswap,andthenlaterlayofftheirrisk,ormatchitwithacounterparty.,5,AnExampleofanInterestRateSwap,Considerthisexampleofa“plainvanilla”interestrateswap.BankAisaAAA-ratedinternationalbanklocatedintheU.K.whowishestoraise$10,000,000tofinancefloating-rateEurodollarloans.BankAisconsideringissuing5-yearfixed-rateEurodollarbondsat10percent.Itwouldmakemoresensetoforthebanktoissuefloating-ratenotesatLIBORtofinancefloating-rateEurodollarloans.,6,AnExampleofanInterestRateSwap,FirmBisaBBB-ratedU.S.company.Itneeds$10,000,000tofinanceaninvestmentwithafive-yeareconomiclife.FirmBisconsideringissuing5-yearfixed-rateEurodollarbondsat11.75percent.Alternatively,firmBcanraisethemoneybyissuing5-yearFRNsatLIBOR+percent.FirmBwouldprefertoborrowatafixedrate.,7,AnExampleofanInterestRateSwap,Theborrowingopportunitiesofthetwofirmsareshowninthefollowingtable:
8,103/8%,LIBOR1/8%,AnExampleofanInterestRateSwap,BankA,SwapBank,TheswapbankmakesthisoffertoBankA:
YoupayLIBOR1/8%peryearon$10millionfor5yearsandwewillpayyou103/8%on$10millionfor5years,9,103/8%,LIBOR1/8%,AnExampleofanInterestRateSwap,BankA,SwapBank,HereswhatsinitforBankA:
Theycanborrowexternallyat10%fixedandhaveanetborrowingpositionof-103/8+10+(LIBOR1/8)=LIBOR%whichis%betterthantheycanborrowfloatingwithoutaswap.,10%,%of$10,000,000=$50,000.Thatsquiteacostsavingsperyearfor5years.,10,LIBOR%,10%,AnExampleofanInterestRateSwap,SwapBank,CompanyB,TheswapbankmakesthisoffertocompanyB:
Youpayus10%peryearon$10millionfor5yearsandwewillpayyouLIBOR%peryearon$10millionfor5years.,11,LIBOR%,10%,AnExampleofanInterestRateSwap,SwapBank,CompanyB,TheycanborrowexternallyatLIBOR+%andhaveanetborrowingpositionof10+(LIBOR+)-(LIBOR-)=11.25%whichis%betterthantheycanborrowfloatingwithoutaswap.,LIBOR+%,HereswhatsinitforB:
%of$10,000,000=$50,000thatsquiteacostsavingsperyearfor5years.,12,LIBOR+%,103/8%,LIBOR1/8%,LIBOR%,10%,Bsaves%,AnExampleofanInterestRateSwap,BankA,SwapBank,CompanyB,Asaves%,Theswapbankmakesmoneytoo.,10%,%of$10million=$25,000peryearfor5years.,LIBOR1/8LIBOR=1/810-103/8=1/8,13,LIBOR+%,103/8%,LIBOR1/8%,LIBOR%,10%,Bsaves%,AnExampleofanInterestRateSwap,BankA,SwapBank,CompanyB,Asaves%,Theswapbankmakes%,10%,Notethatthetotalsavings+=1.25%=QSD,14,TheQSD,TheQualitySpreadDifferentialrepresentsthepotentialgainsfromtheswapthatcanbesharedbetweenthecounterpartiesandtheswapbank.Thereisnoreasontopresumethatthegainswillbesharedequally.Intheaboveexample,companyBislesscredit-worthythanbankA,sotheyprobablywouldhavegottenlessoftheQSD,inordertocompensatetheswapbankforthedefaultrisk.,15,AnExampleofaCurrencySwap,SupposeaU.S.MNCwantstofinancea10,000,000expansionofaBritishplant.TheycouldborrowdollarsintheU.S.wheretheyarewellknownandexchangefordollarsforpounds.Thiswillgivethemexchangeraterisk:
financingasterlingprojectwithdollars.Theycouldborrowpoundsintheinternationalbondmarket,butpayalotsincetheyarenotaswellknownabroad.,16,AnExampleofaCurrencySwap,IftheycanfindaBritishMNCwithamirror-imagefinancingneedtheymaybothbenefitfromaswap.IftheexchangerateisS0($/)=$1.60/,theU.S.firmneedstofindaBritishfirmwantingtofinancedollarborrowingintheamountof$16,000,000.,17,AnExampleofaCurrencySwap,ConsidertwofirmsAandB:
firmAisaU.S.basedmultinationalandfirmBisaU.K.basedmultinational.Bothfirmswishtofinanceaprojectineachotherscountryofthesamesize.Theirborrowingopportunitiesaregiveninthetablebelow.,18,AnExampleofaCurrencySwap,CompanyA,SwapBank,$8%,12%,$8%,11%,12%,$9.4%,CompanyB,19,AnExampleofaCurrencySwap,CompanyA,SwapBank,$8%,12%,$8%,11%,12%,$9.4%,CompanyB,Asnetpositionistoborrowat11%,Asaves.6%,20,AnExampleofaCurrencySwap,CompanyA,SwapBank,$8%,12%,$8%,11%,12%,$9.4%,CompanyB,Bsnetpositionistoborrowat$9.4%,Bsaves$.6%,21,AnExampleofaCurrencySwap,CompanyA,SwapBank,$8%,12%,$8%,11%,12%,$9.4%,CompanyB,Theswapbankmakesmoneytoo:
AtS0($/)=$1.60/,thatisagainof$124,000peryearfor5years.,Theswapbankfacesexchangeraterisk,butmaybetheycanlayitoffinanotherswap.,1.4%of$16millionfinancedwith1%of10millionperyearfor5years.,22,Aisthemorecredit-worthyofthetwofirms.,ComparativeAdvantageastheBasisforSwaps,Ahasacomparativeadvantageinborrowingindollars.Bhasacomparativeadvantageinborrowinginpounds.,Apays2%lesstoborrowindollarsthanB,Apays.4%lesstoborrowinpoundsthanB:
23,Bhasacomparativeadvantageinborrowingin.,ComparativeAdvantageastheBasisforSwaps,Bpays2%moretoborrowindollarsthanA,Bpaysonly.4%moretoborrowinpoundsthanA:
24,Ahasacomparativeadvantageinborrowingindollars.Bhasacomparativeadvantageinborrowinginpounds.Iftheyborrowaccordingtotheircomparativeadvantageandthenswap,therewillbegainsforbothparties.,ComparativeAdvantageastheBasisforSwaps,25,SwapMarketQuotations,SwapbankswilltailorthetermsofinterestrateandcurrencyswapstocustomersneedsTheyalsomakeamarketin“plainvanilla”swapsandprovidequotesforthese.Sincetheswapbanksaredealersfortheseswaps,thereisabid-askspread.Forexample,6.606.85meanstheswapbankwillpayfixed-rateDMpaymentsat6.60%againstreceivingdollarLIBORoritwillreceivefixed-rateDMpaymentsat6.85%againstreceivingdollarLIBOR.,26,VariationsofBasicCurrencyandInterestRateSwaps,CurrencySwapsfixedforfixedfixedforfloatingfloatingforfloatingamortizingInterestRateSwapszero-forfloatingfloatingforfloatingForaswaptobepossible,aQSDmustexist.Beyondthat,creativityistheonlylimit.,27,RisksofInterestRateandCurrencySwaps,InterestRateRiskInterestratesmightmoveagainsttheswapbankafterithasonlygottenhalfofaswaponthebooks,orifithasanunhedgedposition.BasisRiskIfthefloatingratesofthetwocounterpartiesarenotpeggedtothesameindex.ExchangerateRiskIntheexampleofacurrencyswapgivenearlier,theswapbankwouldbeworseoffifthepoundappreciated.,28,RisksofInterestRateandCurrencySwaps(continued),CreditRiskThisisthemajorriskfacedbyaswapdealertheriskthatacounterpartywilldefaultonitsendoftheswap.MismatchRiskItshardtofindacounterpartythatwantstoborrowtherightamountofmoneyfortherightamountoftime.SovereignRiskTheriskthatacountrywillimposeexchangeraterestrictionsthatwillinterferewithperformanceontheswap.,29,PricingaSwap,Aswapisaderivativesecuritysoitcanbepricedintermsoftheunderlyingassets:
Howto:
Plainvanillafixedforfloatingswapgetsvaluedjustlikeabond.Currencyswapgetsvaluedjustlikeanestofcurrencyfutures.,30,SwapMarketEfficiency,Swapsoffermarketcompletenessandthathasaccountedfortheirexistenceandgrowth.Swapsassistintailoringfinancingtothetypedesiredbyaparticularborrower.Sincenotalltypesofdebtinstrumentsareavailabletoalltypesofborrowers,bothcounterpartiescanbenefit(aswellastheswapdealer)throughfinancingthatismoresuitablefortheirassetmaturitystructures.,31,ConcludingRemarks,Thegrowthoftheswapmarkethasbeenastounding.Swapsareoff-the-bookstransactions.Swapshavebecomeanimportantsourceofrevenueandriskforbanks,32,EndChapterTen,33,
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