Bloomberg掉期衍生产品培训(精)

By Michael Wong
Swaps are exchange of one type of cash flows for another type that is considered to be of equal value.
▪ Interest rate swaps: Agreement to exchange fixed interest
2010 Bloomberg L.P. All rights reserved.
Plain Vanilla swap example
• Nominal Amount: USD$ 10,000,000
• Effective Date:
4/18/07
• First Coupon Date:
10/18/07
▪ Swaps are traded over the counter (OTC) rather than from the
exchange
▪ Based on an agreed notional amount, but no exchange of
principal, so no impact on the balance sheets (only P&L). Therefore, they’re classed as off-balance sheet (OBS) instruments.
By Michael Wong
Risk Management with Swaps
▪ ABC issued a
10yr floating rate coupon
ABC can create a synthetic FIXED rate liability with a swap (= pay fixed, receive floating)
Size of interest rate swap market
341( June 09) 309 309
230 169 151
2010 Bloomberg L.P. All rights reserved.
In Trillion US
Source BIS
What is an interest rate swap?
Payments Floating interest on bond + spread Fixed interest through swap
pay fixed
Bondholders Receipts Floating interest through swap
Net paymentFixed interest + spread
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View forward and zero curve
By Michael Wong
3 main functions of SWPM 1.Mark to market 2.Pricing a swap
3.Spread calculation
By Michael Wong
View stripped rates
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Create customized yield curve
By Michael Wong
Historical forward curve
analysis
rate e.g. LIBOR, ,EURIBOR, HIBOR…..
2010 Bloomberg L.P. All rights reserved.
Structure of Interest Rate Swaps
▪ Exchange of interest payments (cash flows) ▪ At agreed intervals (tenor) - semi annual, quarterly etc ▪ Over an agreed period, 5yr, 10yr… ▪ Usually fixed to floating. If one is receiving fixed, means
bond
Fixed
▪ But, now
interest rates
ABC
are rising and
they want to
pay fixed
interest
Floating interest LIBOR
Swap Dealer
▪ So, they enter Floating
into a swap, LIBOR + where they spread
By Michael Wong
Historical spread analysis {HAS}
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By Michael Wong
Forward rate matrix {FWCM}
2010 Bloomberg L.P. All rights reserved.
➢ What should be the fair value of this swap?
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Interest rate derivative demo <IRDD>
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▪ Floating side is reset periodically off some index, such as 3
month LIBOR
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Check LBIOR fixing on <BBAM>
2010 Bloomberg L.P. All rights reserved.
payments with floating (or the opposite) over an agreed period. Payments are based on an agreed principal amount, but principal won’t be exchanged
▪ Floating payment could be linked to any reference fixing
2010 Bloomberg L.P. All rights reserved.
Swap Valuation {SWDF<GO>} for Defaults
2010 Bloomberg L.P. All rights reserved.
Customized yield curve {ICVS}
2010 Bloomberg L.P. All rights reserved.
paying floating; so the other party is receiving floating and paying fixed. However, the a swap can also structured in fixed to fixed or float to float
• Maturity Date:
4/18/08
• Payment Frequency:
Semi-annual
Biblioteka Baidu
• Day Count:
Act/360
• Pay Coupon:
5%
• Receive Coupon:
3M LIBOR + 50 bp
• Payment Frequency:
Quarterly
2010 Bloomberg L.P. All rights reserved.
Ingredients in Interest Rate Swaps
▪ Fixed/floating Coupon ▪ Notional ▪ Effective/value date ▪ Maturity ▪ Tenor ▪ Convention e.g Act/360 ▪ Floating index e.g Libor/Euribor ▪ Par swap ▪ Spread ▪ Premium/Market value ▪ DV01