第14章必讲 利率互换与货币互换

14-4
Size of the Swap Market

At the end of 2009（In the middle of 2007） the notational principal of:
Interest rate swaps was $349,200（$271,853）billion USD. Currency swaps was $16,500（$12,291）billion USD.
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B
FIRM B
LIBOR + ½%
11.75% LIBOR +0.5%
An Example of an Interest Rate Swap
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Definitions


In a swap, two counterparties agree to a contractual arrangement wherein they agree to exchange cash flows at periodic [ˌpiəriˌ ɔdik] intervals（以周期性的间隔）. There are two types of interest rate swaps:



As a broker, the swap bank matches counterparties but does not bear any risks of the swap. As a dealer, the swap bank stands ready to accept either side of a currency swap, and then later lay off（停止） their risk, or match it with a counterparty.
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Swap Market Quotations


Swap banks will tailor the terms of interest rate and currency swaps to customers’ needs Since the swap banks are dealers for these swaps, there is a bid-ask spread.
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Interest Rate Swap Quotations
Euro-€
Bid 1 year 2 year 3 year 4 year 2.34 2.62 2.86 3.06 Ask 2.37 2.65
£Sterling
Bid 5.21 5.14 Ask 5.22 5.18
Swiss franc


Firm B is considering issuing 5-year fixed-rate Eurodollar bonds at 11.75 %. Alternatively, firm B can raise the money by issuing 5year floating-rate notes at LIBOR + 0.5%.
Firm A is a AAA-rated MNC located in the U.K. and wishes to raise $10,000,000 Eurodollar loans.


Firm A is considering issuing 5-year fixed-rate Eurodollar bonds at 10 percent. It would make more sense to for the firm to issue floatingrate notes at LIBOR to finance floating-rate Eurodollar loans.
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Interest Rate & Currency Swaps
INTERNATIONAL FINANCIAL 第5章介绍的远期合约，第7章介绍的期货和期权合 约，这些工具很少有长达几年的。第 7章还介绍了 MANAGEMENT
规避短期的以美元计价的利率风险的欧洲美元利率 期货合约。 Fourth Edition 本章介绍的利率互换，包括单一货币和交叉货币， 都是用来规避长期利率和长期外汇风险的。 EUN / RESNICK

Single currency interest rate swap
fixed-for-floating
swaps are often just called interest rate
swaps.

Cross-Currency interest rate swap
This
is often called a currency swap; fixed for fixed rate debt service in two (or more) currencies.
borrowing position of
Firm
10½% + (LIBOR + ½%) - (LIBOR - ¼%) = 11.25% which is ½% better than they can borrow fixed.
FIRM A 10% LIBOR Fixed rate Floating rate
They can borrow externally at
Swap Bank
½ % of $10,000,000 = $50,000 that’s quite a cost savings per year for 5 years. 10 ½%
LIBOR – ¼%
LIBOR + ½ % and have a net
Bid 0.92 1.23 Ask 0.98 1.31
U.S. $
Bid 3.54 3.90 Ask 3.57 3.94
2.89 3.82 5.13 –3.855.17 means 1.50 the
5 year
6 year 7 year
3.23
3.38 3.52
1.58bank 4.11 4.13 swap will pay 3.09 fixed-rate 5.12 5.17 1.73 1.81 4.25 4.28 euro payments at 3.82% 3.26 against 5.11 receiving 5.16 1.93 2.01 4.37 4.39 euro LIBOR or it will 3.41 receive 5.11 fixed-rate 5.16 2.10 2.18 4.46 euro payments at 4.50 3.55 3.85% 5.10 against 5.15 paying 2.25 euro 2.33LIBOR 4.55 4.58
8 year
9 year 10 year
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3.63
3.74 3.82
3.66
3.77 3.85
5.10
5.09 5.08
5.15
5.14 5.13
2.37
4.48 2.56
2.45
2.56 2.64
4.62
4.70 4.75
4.66
4.72 4.79
Examples of an Interest Rate Swap
Chapter Fourteen
14
14-2
Chapter Outline



Types of Swaps Size Size of of the the Swap Swap Market Market The Bank The Swap Swap Bank Swap Swap Market Market Quotations Quotations Interest Rate Swaps Interest Rate Swaps Currency Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Variations of Interest Rate Currency Variations of Basic Basic Interest Rate and andSwaps Currency Swaps Swaps Risks of Interest Rate and Currency Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient? Is the Swap Market Efficient?
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An Example of an Interest Rate Swap
Firm B is a BBB-rated U.S. company. It needs $10,000,000 to finance an investment with a five-year economic life.
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An Example of an Interest Rate Swap （本页不讲）
½% of $10,000,000 = $50,000. That’s quite a cost savings per year 10 3/8% for 5 years.
Swap Bank
Here’s what’s in it for Firm A: They can borrow exwk.baidu.comernally at 10% fixed and have a net borrowing position of -10 3/8% + 10% + (LIBOR – 1/8%) =LIBOR – ½ % which is ½ % better than they can borrow floating without a swap.
FIRM B 11.75% LIBOR +0.5%
LIBOR – 1/8%
Firm
10%
A
FIRM A Fixed rate Floating rate 10% LIBOR
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An Example of an Interest Rate Swap （本页不讲）
Here’s what’s in it for B:
INTERNATIONAL FINANCIAL MANAGEMENT
14-0
Interest Rate & Currency Swaps
Chapter Objective:
INTERNATIONAL FINANCIAL MANAGEMENT
Chapter Fourteen
14
This chapter discusses currency and interest rate swaps, which are relatively new instruments for Fourth Edition hedging long-term interest rate risk and foreign EUN / RESNICK exchange risk.
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An Example of an Interest Rate Swap
The borrowing opportunities of the two firms are: 标红的为各自的比较优势策略
Firm A Fixed rate Floating rate 10% LIBOR Firm B 11.75% LIBOR + 0.5%

The most popular currencies are:


Euro U.S. dollar Japanese yen British pound sterling Swedish krona（主要用于利率互换） Swiss franc（主要用于货币互换）
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The Swap Bank
A swap bank is a generic term to describe a financial institution that facilitates swaps between counterparties. The swap bank can serve as either a broker or a dealer.