ch05掉期及利率衍生品.ppt

Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,*,*,Multinational Financial Management,Alan Shapiro7,th,Edition,J.Wiley&Sons,Power Points by,Joseph F.Greco,Ph.D.,California State University,Fullerton,1,SWAPS AND INTEREST RATE DERIVATIVES,CHAPTER 9,2,CHAPTER OVERVIEW,I.Interest Rate and Currency Swaps,II.Interest Rate Forwards and Futures,III.Structured Notes,3,I.INTEREST RATE AND CURRENCY SWAPS,I.,利率互换和货币互换,A.,利率互换,1.,定义,是双方达成的一项协议，即在一特定的偿还期内按双方约定的名义金额交换利息支付，期中一方以固定利率换取另一方的浮动利率。,4,THE CLASSIC SWAP,a.,名义本金,:a reference amount used only to calculate interest expense but never repaid.,b.,偿还期限,:less than 1 to over 15 years,5,THE CLASSIC SWAP,2.,类型,a.,息票互换：是同种货币的固定利率和浮动利率之间的互换，即交易的一方向另一方支付一系列固定利率的利息款项换取对方支付的一系列浮动利率的利息款项。从交易的对方而言，则是支付一系列浮动利率的利息款项换取一系列固定利率的利息款项。这是利率互换中最基本的交易方式。,b.,基点互换：浮动,-,浮动互换。参考利率不同,LIBOR:,互换业务中最重要的参考利率,4.作用,:,降低融资成本；抵补利率风险,6,P,208,降低融资成本,A,、,B,双方都需要,10000,万美元,5,年期的资金。,借款人,固定利率,浮动利率,A,方：,BBB,级,B,方：,AAA,级,差异,8.5%,7.0%,1.5%,6,个月,LIBOR+0.5%,6,个月,LIBOR,0.5%,100,个基点利差,7,A,欧洲债券,浮动利率,贷款,BigBank,B,7.35%,7.25%,LIBOR,LIBOR,LIBOR+0.5%,7%,净利润,7.35%,-7.25%,+LIBOR,-LIBOR,0.10%,净成本,7.35%,+LIBOR+0.5%,-LIBOR,7.83%,净成本,LIBOR,+,7%,-7.25%,LIBOR-0.25%,正常融资成本：,8.50%,利差：,0.65%,正常融资成本：,LIBOR,利差：,0.25%,100,个基点,8,P,282,抵补利率风险,IBM,和花旗银行的利率互换实例,9,THE CURRENCY SWAP,B.,货币互换,1.,定义,在一定期间内以一种标价货币的偿还责任转换成另一种双方同意的货币标价的偿还责任。,2.,目的,:,可以使公司充分利用各种不同货币借款。,10,THE CURRENCY SWAP,3.,特点,:,a.,不是一笔贷款,b.,没有利息费用，也不会作为负债出现在资产负债表中,c.,获得对冲权,d.,本金到期一定要交换,e.,互换类似于一个远期合约，远期汇率就是现行的即期汇率。,11,P,285,陶氏化学（需要欧元）、米其林都（需要美元）金额,20000,万美元（固定利率，,10,年），当前即期汇率,1.1,$,美元标价债券,欧元标价债券,陶氏化学,米其林,7.5%,7.7%,8.25%,8.1%,年限,米其林,陶氏化学,1-10,10,17 820 000,220 000,000,$15 000,000,$200 000,000,米其林发欧债，陶氏发美债，互换,12,陶氏化学,米其林,固定利率美债,固定利率欧债,第,10,年,20 000,万美元,1 500,万美元,1,10,20 000,万美元,第,0,年,20 000,万美元,第,10,年,22 000,万欧元,第,0,年,22 000,万欧元,第,10,年,1 782,万欧元,1,10,1,10,年,1500,万美元,第,0,年,20 000,万美元,第,0,年,22 000,万欧元,1,10,年,1782,万欧元,第,10,年,22 000,万欧元,借欧元成本：,8.1%,借美元成本：,7.5%,13,利率,货币互换,一种货币的固定利率负债,另一种货币的浮动利率负债,P286,陶氏；米其林,美元标价债券,欧元标价债券,陶氏化学,米其林,7.5%,7.7%,LIBOR+0.35%,LIBOR+0.125%,14,THE CURRENCY SWAP,4.,互换的经济利益,when arbitrage prohibited,they provide long-term financing.,15,II.INTEREST RATE FORWARDS AND FUTURES,.,利率远期和利率期货,:,-three types used to manage interest rate risk,A.,远期对远期,B.,远期利率协议,C.,欧洲美元期货,16,INTEREST RATE FORWARDS AND FUTURES,远期对远期,1.,现在锁定了将来存贷款利率的合约,2.Contract conditions:,-,特定的利率,-,将来贷款的本金,-,特定利率生效开始及结束的日期,17,p290,远期对远期利率,希望锁定在,3,个月后发生、为期,6,个月的价值,100,万美元的欧洲美元存款利率。,自制远期对远期,+$983 526,-$983 526,-$1 000,000,+$1 034 792,3,个月,9,个月,18,INTEREST RATE FORWARDS AND FUTURES,远期利率协议,(,FRAs,),1.cash-settled,2.over-the-counter forward contract 3.,合约允许公司按名义本金对特定的将来利息支付事先确定利率水平。,19FRAs,基于,LIBOR,的利息支付公式,20,INTEREST RATE FORWARDS AND FUTURES,欧洲美元期货,1.,是一份以现金结算的期货合约，该合约为期限,3,个月、以,LIBOR,支付的、金额,100,万美元的欧洲美元存款。,2.Contracts traded on:,a.Chicago Mercantile Exchange,b.London International Financial Futures Exchange,c.Singapore International Monetary Exchange,3.,指数报价：,100-,年远期利率,21,III.STRUCTURED NOTES,Interest-bearing securities whose interest payments are determined by reference to a formula set in advance and adjusted on specific,reset,dates.,22,STRUCTURED NOTES,Inverse Floaters,a floating-rate instrument whose interest rate moves inversely with market interest rates.,23,