第14章必讲 利率互换与货币互换.ppt

Chapter Outline Types of Swaps Size of the Swap Market The Swap Bank Swap Market Quotations Interest Rate Swaps Currency Swaps Variations of Basic Interest Rate and Currency Swaps Risks of Interest Rate and Currency Swaps Is the Swap Market Efficient? Definitions In a swap, two counterparties agree to a contractual arrangement wherein they agree to exchange cash flows at periodic [?pi?ri??dik] intervals（以周期性的间隔）. There are two types of interest rate swaps: 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. 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. 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） 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. 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. 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. Interest Rate Swap Quotations Examples of an Interest Rate Swap 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 floating-rate notes at LIBOR to finance floating-rate Eurod